Implicit stochastic Runge-Kutta methods for stochastic differential equations

In this paper we construct implicit stochastic Runge-Kutta (SRK) methods for solving stochastic differential equations of Stratonovich type. Instead of using the increment of a Wiener process, modified random variables are used. We give convergence conditions of the SRK methods with these modified random variables. In particular, the truncated random variable is used. We present a two-stage stiffly accurate diagonal implicit SRK (SADISRK2) method with strong order 1.0 which has better numerical behaviour than extant methods. We also construct a five-stage diagonal implicit SRK method and a six-stage stiffly accurate diagonal implicit SRK method with strong order 1.5. The mean-square and asymptotic stability properties of the trapezoidal method and the SADISRK2 method are analysed and compared with an explicit method and a semi-implicit method. Numerical results are reported for confirming convergence properties and for comparing the numerical behaviour of these methods.

Binomial leap methods for simulating stochastic chemical kinetics

This paper discusses efficient simulation methods for stochastic chemical kinetics. Based on the tau-leap and midpoint tau-leap methods of Gillespie [D. T. Gillespie, J. Chem. Phys. 115, 1716 (2001)], binomial random variables are used in these leap methods rather than Poisson random variables. The motivation for this approach is to improve the efficiency of the Poisson leap methods by using larger stepsizes. Unlike Poisson random variables whose range of sample values is from zero to infinity, binomial random variables have a finite range of sample values. This probabilistic property has been used to restrict possible reaction numbers and to avoid negative molecular numbers in stochastic simulations when larger stepsize is used. In this approach a binomial random variable is defined for a single reaction channel in order to keep the reaction number of this channel below the numbers of molecules that undergo this reaction channel. A sampling technique is also designed for the total reaction number of a reactant species that undergoes two or more reaction channels. Samples for the total reaction number are not greater than the molecular number of this species. In addition, probability properties of the binomial random variables provide stepsize conditions for restricting reaction numbers in a chosen time interval. These stepsize conditions are important properties of robust leap control strategies. Numerical results indicate that the proposed binomial leap methods can be applied to a wide range of chemical reaction systems with very good accuracy and significant improvement on efficiency over existing approaches. (C) 2004 American Institute of Physics.

Application of X-ray microtomography to numerical simulations of agglomerate breakage by distinct element method

Computer-aided tomography has been used for many years to provide significant information about the internal properties of an object, particularly in the medical fraternity. By reconstructing one-dimensional (ID) X-ray images, 2D cross-sections and 3D renders can provide a wealth of information about an object's internal structure. An extension of the methodology is reported here to enable the characterization of a model agglomerate structure. It is demonstrated that methods based on X-ray microtomography offer considerable potential in the validation and utilization of distinct element method simulations also examined.

Effective cell-centred time-domain Maxwell's equations numerical solvers

This research work analyses techniques for implementing a cell-centred finite-volume time-domain (ccFV-TD) computational methodology for the purpose of studying microwave heating. Various state-of-the-art spatial and temporal discretisation methods employed to solve Maxwell's equations on multidimensional structured grid networks are investigated, and the dispersive and dissipative errors inherent in those techniques examined. Both staggered and unstaggered grid approaches are considered. Upwind schemes using a Riemann solver and intensity vector splitting are studied and evaluated. Staggered and unstaggered Leapfrog and Runge-Kutta time integration methods are analysed in terms of phase and amplitude error to identify which method is the most accurate and efficient for simulating microwave heating processes. The implementation and migration of typical electromagnetic boundary conditions. from staggered in space to cell-centred approaches also is deliberated. In particular, an existing perfectly matched layer absorbing boundary methodology is adapted to formulate a new cell-centred boundary implementation for the ccFV-TD solvers. Finally for microwave heating purposes, a comparison of analytical and numerical results for standard case studies in rectangular waveguides allows the accuracy of the developed methods to be assessed. © 2004 Elsevier Inc. All rights reserved.

A theoretical comparison of two optimization methods for radiofrequency drive schemes in high frequency MRI resonators

In this paper, numerical simulations are used in an attempt to find optimal Source profiles for high frequency radiofrequency (RF) volume coils. Biologically loaded, shielded/unshielded circular and elliptical birdcage coils operating at 170 MHz, 300 MHz and 470 MHz are modelled using the FDTD method for both 2D and 3D cases. Taking advantage of the fact that some aspects of the electromagnetic system are linear, two approaches have been proposed for the determination of the drives for individual elements in the RF resonator. The first method is an iterative optimization technique with a kernel for the evaluation of RF fields inside an imaging plane of a human head model using pre-characterized sensitivity profiles of the individual rungs of a resonator; the second method is a regularization-based technique. In the second approach, a sensitivity matrix is explicitly constructed and a regularization procedure is employed to solve the ill-posed problem. Test simulations show that both methods can improve the B-1-field homogeneity in both focused and non-focused scenarios. While the regularization-based method is more efficient, the first optimization method is more flexible as it can take into account other issues such as controlling SAR or reshaping the resonator structures. It is hoped that these schemes and their extensions will be useful for the determination of multi-element RF drives in a variety of applications.

On functionally-fitted Runge-Kutta methods

Functionally-fitted methods are generalizations of collocation techniques to integrate an equation exactly if its solution is a linear combination of a chosen set of basis functions. When these basis functions are chosen as the power functions, we recover classical algebraic collocation methods. This paper shows that functionally-fitted methods can be derived with less restrictive conditions than previously stated in the literature, and that other related results can be derived in a much more elegant way. The novelty in our approach is to fully retain the collocation framework without reverting back into derivations based on cumbersome Taylor series expansions.

Methods for Categorical Longitudinal Survey Data: Understanding Employment Status of Australian Women

Many variables that are of interest in social science research are nominal variables with two or more categories, such as employment status, occupation, political preference, or self-reported health status. With longitudinal survey data it is possible to analyse the transitions of individuals between different employment states or occupations (for example). In the statistical literature, models for analysing categorical dependent variables with repeated observations belong to the family of models known as generalized linear mixed models (GLMMs). The specific GLMM for a dependent variable with three or more categories is the multinomial logit random effects model. For these models, the marginal distribution of the response does not have a closed form solution and hence numerical integration must be used to obtain maximum likelihood estimates for the model parameters. Techniques for implementing the numerical integration are available but are computationally intensive requiring a large amount of computer processing time that increases with the number of clusters (or individuals) in the data and are not always readily accessible to the practitioner in standard software. For the purposes of analysing categorical response data from a longitudinal social survey, there is clearly a need to evaluate the existing procedures for estimating multinomial logit random effects model in terms of accuracy, efficiency and computing time. The computational time will have significant implications as to the preferred approach by researchers. In this paper we evaluate statistical software procedures that utilise adaptive Gaussian quadrature and MCMC methods, with specific application to modeling employment status of women using a GLMM, over three waves of the HILDA survey.

The application of numerical modelling to the assessment of the potential for, and the detection of, spontaneous combustion in coal mines

Numerical modelling has been used to examine the relationship between the results of two commonly used methods of assessing the propensity of coal to spontaneous combustion, the R70 and Relative Ignition Temperature tests, and the likely behaviour in situ. The criticality of various parameters has been examined and a method of utilising critical self-heating parameters has been developed. This study shows that on their own, the laboratory test results do not provide a reliable guide to in situ behaviour but can be used in combination to considerably increase the ability to predict spontaneous combustion behaviour.

Theory and application of inverse problems in groundwater: numerical, laboratory and field studies.

Aquifers are a vital water resource whose quality characteristics must be safeguarded or, if damaged, restored. The extent and complexity of aquifer contamination is related to characteristics of the porous medium, the influence of boundary conditions, and the biological, chemical and physical processes. After the nineties, the efforts of the scientists have been increased exponentially in order to find an efficient way for estimating the hydraulic parameters of the aquifers, and thus, recover the contaminant source position and its release history. To simplify and understand the influence of these various factors on aquifer phenomena, it is common for researchers to use numerical and controlled experiments. This work presents some of these methods, applying and comparing them on data collected during laboratory, field and numerical tests. The work is structured in four parts which present the results and the conclusions of the specific objectives.

The (n+1)/2 rule for dealiasing in the split-step Fourier methods for n-wave interactions

The aim of this letter is to demonstrate that complete removal of spectral aliasing occurring due to finite numerical bandwidth used in the split-step Fourier simulations of nonlinear interactions of optical waves can be achieved by enlarging each dimension of the spectral domain by a factor (n+1)/2, where n is the number of interacting waves. Alternatively, when using low-pass filtering for dealiasing this amounts to the need for filtering a 2/(n+1) fraction of each spectral dimension.

Mathematical methods in power system stability studies

In this thesis various mathematical methods of studying the transient and dynamic stabiIity of practical power systems are presented. Certain long established methods are reviewed and refinements of some proposed. New methods are presented which remove some of the difficulties encountered in applying the powerful stability theories based on the concepts of Liapunov. Chapter 1 is concerned with numerical solution of the transient stability problem. Following a review and comparison of synchronous machine models the superiority of a particular model from the point of view of combined computing time and accuracy is demonstrated. A digital computer program incorporating all the synchronous machine models discussed, and an induction machine model, is described and results of a practical multi-machine transient stability study are presented. Chapter 2 reviews certain concepts and theorems due to Liapunov. In Chapter 3 transient stability regions of single, two and multi~machine systems are investigated through the use of energy type Liapunov functions. The treatment removes several mathematical difficulties encountered in earlier applications of the method. In Chapter 4 a simple criterion for the steady state stability of a multi-machine system is developed and compared with established criteria and a state space approach. In Chapters 5, 6 and 7 dynamic stability and small signal dynamic response are studied through a state space representation of the system. In Chapter 5 the state space equations are derived for single machine systems. An example is provided in which the dynamic stability limit curves are plotted for various synchronous machine representations. In Chapter 6 the state space approach is extended to multi~machine systems. To draw conclusions concerning dynamic stability or dynamic response the system eigenvalues must be properly interpreted, and a discussion concerning correct interpretation is included. Chapter 7 presents a discussion of the optimisation of power system small sjgnal performance through the use of Liapunov functions.

Vibrational methods applied to NDT testing and fluid density measurement

A system for the NDI' testing of the integrity of conposite materials and of adhesive bonds has been developed to meet industrial requirements. The vibration techniques used were found to be applicable to the development of fluid measuring transducers. The vibrational spectra of thin rectangular bars were used for the NDT work. A machined cut in a bar had a significant effect on the spectrum but a genuine crack gave an unambiguous response at high amplitudes. This was the generation of fretting crack noise at frequencies far above that of the drive. A specially designed vibrational decrement meter which, in effect, measures mechanical energy loss enabled a numerical classification of material adhesion to be obtained. This was used to study bars which had been flame or plasma sprayed with a variety of materials. It has become a useful tool in optimising coating methods. A direct industrial application was to classify piston rings of high performance I.C. engines. Each consists of a cast iron ring with a channel into which molybdenum, a good bearing surface, is sprayed. The NDT classification agreed quite well with the destructive test normally used. The techniques and equipment used for the NOT work were applied to the development of the tuning fork transducers investigated by Hassan into commercial density and viscosity devices. Using narrowly spaced, large area tines a thin lamina of fluid is trapped between them. It stores a large fraction of the vibrational energy which, acting as an inertia load reduces the frequency. Magnetostrictive and piezoelectric effects together or in combination enable the fork to be operated through a flange. This allows it to be used in pipeline or 'dipstick' applications. Using a different tine geometry the viscosity loading can be predoninant. This as well as the signal decrement of the density transducer makes a practical viscometer.