Uniformly convergent finite element and finite difference methods for singularly perturbed ordinary differential equations

This thesis is concerned with uniformly convergent finite element and finite difference methods for numerically solving singularly perturbed two-point boundary value problems. We examine the following four problems: (i) high order problem of reaction-diffusion type; (ii) high order problem of convection-diffusion type; (iii) second order interior turning point problem; (iv) semilinear reaction-diffusion problem. Firstly, we consider high order problems of reaction-diffusion type and convection-diffusion type. Under suitable hypotheses, the coercivity of the associated bilinear forms is proved and representation results for the solutions of such problems are given. It is shown that, on an equidistant mesh, polynomial schemes cannot achieve a high order of convergence which is uniform in the perturbation parameter. Piecewise polynomial Galerkin finite element methods are then constructed on a Shishkin mesh. High order convergence results, which are uniform in the perturbation parameter, are obtained in various norms. Secondly, we investigate linear second order problems with interior turning points. Piecewise linear Galerkin finite element methods are generated on various piecewise equidistant meshes designed for such problems. These methods are shown to be convergent, uniformly in the singular perturbation parameter, in a weighted energy norm and the usual L2 norm. Finally, we deal with a semilinear reaction-diffusion problem. Asymptotic properties of solutions to this problem are discussed and analysed. Two simple finite difference schemes on Shishkin meshes are applied to the problem. They are proved to be uniformly convergent of second order and fourth order respectively. Existence and uniqueness of a solution to both schemes are investigated. Numerical results for the above methods are presented.

Interaction of additive and quantization noises in digital PLLs

Phase-locked loops (PLLs) are a crucial component in modern communications systems. Comprising of a phase-detector, linear filter, and controllable oscillator, they are widely used in radio receivers to retrieve the information content from remote signals. As such, they are capable of signal demodulation, phase and carrier recovery, frequency synthesis, and clock synchronization. Continuous-time PLLs are a mature area of study, and have been covered in the literature since the early classical work by Viterbi [1] in the 1950s. With the rise of computing in recent decades, discrete-time digital PLLs (DPLLs) are a more recent discipline; most of the literature published dates from the 1990s onwards. Gardner [2] is a pioneer in this area. It is our aim in this work to address the difficulties encountered by Gardner [3] in his investigation of the DPLL output phase-jitter where additive noise to the input signal is combined with frequency quantization in the local oscillator. The model we use in our novel analysis of the system is also applicable to another of the cases looked at by Gardner, that is the DPLL with a delay element integrated in the loop. This gives us the opportunity to look at this system in more detail, our analysis providing some unique insights into the variance `dip' seen by Gardner in [3]. We initially provide background on the probability theory and stochastic processes. These branches of mathematics are the basis for the study of noisy analogue and digital PLLs. We give an overview of the classical analogue PLL theory as well as the background on both the digital PLL and circle map, referencing the model proposed by Teplinsky et al. [4, 5]. For our novel work, the case of the combined frequency quantization and noisy input from [3] is investigated first numerically, and then analytically as a Markov chain via its Chapman-Kolmogorov equation. The resulting delay equation for the steady-state jitter distribution is treated using two separate asymptotic analyses to obtain approximate solutions. It is shown how the variance obtained in each case matches well to the numerical results. Other properties of the output jitter, such as the mean, are also investigated. In this way, we arrive at a more complete understanding of the interaction between quantization and input noise in the first order DPLL than is possible using simulation alone. We also do an asymptotic analysis of a particular case of the noisy first-order DPLL with delay, previously investigated by Gardner [3]. We show a unique feature of the simulation results, namely the variance `dip' seen for certain levels of input noise, is explained by this analysis. Finally, we look at the second-order DPLL with additive noise, using numerical simulations to see the effects of low levels of noise on the limit cycles. We show how these effects are similar to those seen in the noise-free loop with non-zero initial conditions.

Monopoles for gravitation and for higher spin fields

We consider massless higher spin gauge theories with both electric and magnetic sources, with a special emphasis on the spin two case. We write the equations of motion at the linear level (with conserved external sources) and introduce Dirac strings so as to derive the equations from a variational principle. We then derive a quantization condition that generalizes the familiar Dirac quantization condition, and which involves the conserved charges associated with the asymptotic symmetries for higher spins. Next we discuss briefly how the result extends to the nonlinear theory. This is done in the context of gravitation, where the Taub-NUT solution provides the exact solution of the field equations with both types of sources. We rederive, in analogy with electromagnetism, the quantization condition from the quantization of the angular momentum. We also observe that the Taub-NUT metric is asymptotically flat at spatial infinity in the sense of Regge and Teitelboim (including their parity conditions). It follows, in particular, that one can consistently consider in the variational principle configurations with different electric and magnetic masses. © 2006 The American Physical Society.

Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability.

Confidence intervals for half-life deviations from purchasing power parity

Existing point estimates of half-life deviations from purchasing power parity (PPP), around 3-5 years, suggest that the speed of convergence is extremely slow. This article assesses the degree of uncertainty around these point estimates by using local-to-unity asymptotic theory to construct confidence intervals that are robust to high persistence in small samples. The empirical evidence suggests that the lower bound of the confidence interval is between four and eight quarters for most currencies, which is not inconsistent with traditional price-stickiness explanations. However, the upper bounds are infinity for all currencies, so we cannot provide conclusive evidence in favor of PPP either. © 2005 American Statistical Association.

Prediction in dynamic models with time-dependent conditional variances

This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional heteroskedasticity as represented by a linear GARCH process. Expressions for the minimum MSE predictor and the conditional MSE are presented. We also derive the formula for all the theoretical moments of the prediction error distribution from a general dynamic model with GARCH(1, 1) innovations. These results are then used in the construction of ex ante prediction confidence intervals by means of the Cornish-Fisher asymptotic expansion. An empirical example relating to the uncertainty of the expected depreciation of foreign exchange rates illustrates the usefulness of the results. © 1992.

Weighted and two-stage least squares estimation of semiparametric truncated regression models

This paper provides a root-n consistent, asymptotically normal weighted least squares estimator of the coefficients in a truncated regression model. The distribution of the errors is unknown and permits general forms of unknown heteroskedasticity. Also provided is an instrumental variables based two-stage least squares estimator for this model, which can be used when some regressors are endogenous, mismeasured, or otherwise correlated with the errors. A simulation study indicates that the new estimators perform well in finite samples. Our limiting distribution theory includes a new asymptotic trimming result addressing the boundary bias in first-stage density estimation without knowledge of the support boundary. © 2007 Cambridge University Press.

A mathematical theory of stochastic microlensing. II. Random images, shear, and the Kac-Rice formula

Continuing our development of a mathematical theory of stochastic microlensing, we study the random shear and expected number of random lensed images of different types. In particular, we characterize the first three leading terms in the asymptotic expression of the joint probability density function (pdf) of the random shear tensor due to point masses in the limit of an infinite number of stars. Up to this order, the pdf depends on the magnitude of the shear tensor, the optical depth, and the mean number of stars through a combination of radial position and the star's mass. As a consequence, the pdf's of the shear components are seen to converge, in the limit of an infinite number of stars, to shifted Cauchy distributions, which shows that the shear components have heavy tails in that limit. The asymptotic pdf of the shear magnitude in the limit of an infinite number of stars is also presented. All the results on the random microlensing shear are given for a general point in the lens plane. Extending to the general random distributions (not necessarily uniform) of the lenses, we employ the Kac-Rice formula and Morse theory to deduce general formulas for the expected total number of images and the expected number of saddle images. We further generalize these results by considering random sources defined on a countable compact covering of the light source plane. This is done to introduce the notion of global expected number of positive parity images due to a general lensing map. Applying the result to microlensing, we calculate the asymptotic global expected number of minimum images in the limit of an infinite number of stars, where the stars are uniformly distributed. This global expectation is bounded, while the global expected number of images and the global expected number of saddle images diverge as the order of the number of stars. © 2009 American Institute of Physics.

Resonant transmission near nonrobust periodic slab modes.

We present a precise theoretical explanation and prediction of certain resonant peaks and dips in the electromagnetic transmission coefficient of periodically structured slabs in the presence of nonrobust guided slab modes. We also derive the leading asymptotic behavior of the related phenomenon of resonant enhancement near the guided mode. The theory applies to structures in which losses are negligible and to very general geometries of the unit cell. It is based on boundary-integral representations of the electromagnetic fields. These depend on the frequency and on the Bloch wave vector and provide a complex-analytic connection in these parameters between generalized scattering states and guided slab modes. The perturbation of three coincident zeros-those of the dispersion relation for slab modes, the reflection constant, and the transmission constant-is central to calculating transmission anomalies both for lossless dielectric materials and for perfect metals.

A theory of hypoellipticity and unique ergodicity for semilinear stochastic PDEs

We present a theory of hypoellipticity and unique ergodicity for semilinear parabolic stochastic PDEs with "polynomial" nonlinearities and additive noise, considered as abstract evolution equations in some Hilbert space. It is shown that if Hörmander's bracket condition holds at every point of this Hilbert space, then a lower bound on the Malliavin covariance operatorμt can be obtained. Informally, this bound can be read as "Fix any finite-dimensional projection on a subspace of sufficiently regular functions. Then the eigenfunctions of μt with small eigenvalues have only a very small component in the image of Π." We also show how to use a priori bounds on the solutions to the equation to obtain good control on the dependency of the bounds on the Malliavin matrix on the initial condition. These bounds are sufficient in many cases to obtain the asymptotic strong Feller property introduced in [HM06]. One of the main novel technical tools is an almost sure bound from below on the size of "Wiener polynomials," where the coefficients are possibly non-adapted stochastic processes satisfying a Lips chitz condition. By exploiting the polynomial structure of the equations, this result can be used to replace Norris' lemma, which is unavailable in the present context. We conclude by showing that the two-dimensional stochastic Navier-Stokes equations and a large class of reaction-diffusion equations fit the framework of our theory.

Cyclic Pursuit: Symmetry, Reduction and Nonlinear Dynamics

In this dissertation, we explore the use of pursuit interactions as a building block for collective behavior, primarily in the context of constant bearing (CB) cyclic pursuit. Pursuit phenomena are observed throughout the natural environment and also play an important role in technological contexts, such as missile-aircraft encounters and interactions between unmanned vehicles. While pursuit is typically regarded as adversarial, we demonstrate that pursuit interactions within a cyclic pursuit framework give rise to seemingly coordinated group maneuvers. We model a system of agents (e.g. birds, vehicles) as particles tracing out curves in the plane, and illustrate reduction to the shape space of relative positions and velocities. Introducing the CB pursuit strategy and associated pursuit law, we consider the case for which agent i pursues agent i+1 (modulo n) with the CB pursuit law. After deriving closed-loop cyclic pursuit dynamics, we demonstrate asymptotic convergence to an invariant submanifold (corresponding to each agent attaining the CB pursuit strategy), and proceed by analysis of the reduced dynamics restricted to the submanifold. For the general setting, we derive existence conditions for relative equilibria (circling and rectilinear) as well as for system trajectories which preserve the shape of the collective (up to similarity), which we refer to as pure shape equilibria. For two illustrative low-dimensional cases, we provide a more comprehensive analysis, deriving explicit trajectory solutions for the two-particle "mutual pursuit" case, and detailing the stability properties of three-particle relative equilibria and pure shape equilibria. For the three-particle case, we show that a particular choice of CB pursuit parameters gives rise to remarkable almost-periodic trajectories in the physical space. We also extend our study to consider CB pursuit in three dimensions, deriving a feedback law for executing the CB pursuit strategy, and providing a detailed analysis of the two-particle mutual pursuit case. We complete the work by considering evasive strategies to counter the motion camouflage (MC) pursuit law. After demonstrating that a stochastically steering evader is unable to thwart the MC pursuit strategy, we propose a (deterministic) feedback law for the evader and demonstrate the existence of circling equilibria for the closed-loop pursuer-evader dynamics.

PenPC: A two-step approach to estimate the skeletons of high-dimensional directed acyclic graphs.

Estimation of the skeleton of a directed acyclic graph (DAG) is of great importance for understanding the underlying DAG and causal effects can be assessed from the skeleton when the DAG is not identifiable. We propose a novel method named PenPC to estimate the skeleton of a high-dimensional DAG by a two-step approach. We first estimate the nonzero entries of a concentration matrix using penalized regression, and then fix the difference between the concentration matrix and the skeleton by evaluating a set of conditional independence hypotheses. For high-dimensional problems where the number of vertices p is in polynomial or exponential scale of sample size n, we study the asymptotic property of PenPC on two types of graphs: traditional random graphs where all the vertices have the same expected number of neighbors, and scale-free graphs where a few vertices may have a large number of neighbors. As illustrated by extensive simulations and applications on gene expression data of cancer patients, PenPC has higher sensitivity and specificity than the state-of-the-art method, the PC-stable algorithm.

Selbstorganisierte Projektgruppen von Studierenden. Neue Wege bei der Kompetenzentwicklung an Hochschulen

In diesem Beitrag weisen wir auf die Bedeutung hin, die selbstorganisierte Projektgruppen von Studierenden für das (Aus-)Bildungsziel der überfachlichen Kompetenzentwicklung haben können. Nach einem kurzen Überblick über den aktuellen Stand der Förderung überfachlicher Kompetenzen an Hochschulen stellen wir am Beispiel des Augsburger „Begleitstudiums Problemlösekompetenz“ einen Ansatz zur Kompetenzentwicklung vor, der auf der Partizipation in studentischen Praxisgemeinschaften beruht. Wir erläutern vor diesem Hintergrund, wie sich selbstorganisierte Projektgruppen von Studierenden von anderen Gruppenformen im Rahmen von Lehrveranstaltungen unterscheiden, und machen anhand eines Beispiels deutlich, welchen Mehrwert diese Praxisgemeinschaften gegenüber anderen Ansätzen zur überfachlichen Kompetenzförderung an Hochschulen haben. (DIPF/ Orig.)

"Dann bin ich ja überflüssig, richtig?" Vorstellungen von Lehrpersonen über Lernerautonomie im Musikunterricht

Das im Folgenden skizzierte Projekt befasst sich mit Lernerautonomie als Konzept in der Musikdidaktik aus der Perspektive von Lehrenden. Es ist eingebettet in ein Forschungsprojekt an der Carl von Ossietzky Universität Oldenburg mit dem Titel „Lernerautonomie in der Musikdidaktik – eine empirische Studie“ unter der Leitung von Anja Rosenbrock. Etwa 20 Studierende haben im Jahr 2011 die Fähigkeit zum bzw. die Selbstevaluation des autonomen Lernens von Schülern im Musikunterricht an Gymnasien untersucht. [Das] Forschungsvorhaben stützt sich zwar auf die Untersuchung Rosenbrocks, fügt sich jedoch nicht vollkommen darin ein. Nicht Schüler, sondern Lehrer bilden hier die Untersuchungsgruppe. Sie fanden in der Autonomieforschung bisher nur wenig Beachtung. Dabei weisen jüngere Untersuchungen auf die große Bedeutung der Lehrer für die Entfaltung autonomen Handelns seitens der Schüler hin. In einem leitfadengestützten Interview wurden die theoretischen Kenntnisse von Lehrern über Lernerautonomie, ihre unterrichtspraktischen Erfahrungen mit dessen Förderung im eigenen Musikunterricht sowie die persönliche Einstellung gegenüber dem Ansatz erhoben. Zwei zentrale Fragestellungen bestimmten die Auseinandersetzung: 1. „Über welche Vorstellungen von Lernerautonomie verfügen die Lehrer?“ 2. „Wie positionieren sich die Lehrer gegenüber Lernerautonomie und womit begründen sie die jeweiligen Haltungen?“ Damit werden einerseits die Lehrpersonen, die in ihrem Unterricht Lernerautonomie anbahnen, in den Fokus der Betrachtung gerückt, andererseits aber auch die Lernenden, als innerhalb einer solchen Unterrichts‐ bzw. Lernform Agierende, erfasst. (DIPF/Orig.)

Tree species-area and species-diameter relationships at three lowland rain forest sites in Sumatra

Data from three forest sites in Sumatra (Batang Ule, Pasirmayang and Tebopandak) have been analysed and compared for the effects of sample area cut-off, and tree diameter cut-off. An 'extended inverted exponential model' is shown to be well suited to fitting tree-species-area curves. The model yields species carrying capacities of 680 for Batang Ule, 380 species for Pasirmayang, and 35 for Tebopandak (tree diameter >10cm). It would seem that in terms of species carrying capacity, Tebopandak and Pasirmayang are rather similar, and both less diverse than the hilly Batang Ule site. In terms of conservation policy, this would mean that rather more emphasis should be put on conserving hilly sites on a granite substratum. For Pasirmayang with tree diameter >3cm, the asymptotic species number estimate is 567, considerably higher than the estimate of 387 species for trees with diameter >10cm. It is clear that the diameter cut-off has a major impact on the estimate of the species carrying capacity. A conservative estimate of the total number of tree species in the Pasirmayang region is 632 species! In sampling exercises, the diameter cut-off should not be chosen lightly, and it may be worth adopting field sampling procedures which involve some subsampling of the primary sample area, where the diameter cut-off is set much lower than in the primary plots.