On a parallel time-domain method for the nonlinear Black-Scholes equation

A parallel time-domain algorithm is described for the time-dependent nonlinear Black-Scholes equation, which may be used to build financial analysis tools to help traders making rapid and systematic evaluation of buy/sell contracts. The algorithm is particularly suitable for problems that do not require fine details at each intermediate time step, and hence the method applies well for the present problem.

A Spherical Array Approach for Simulation of Binaural Impulse Responses using the Finite Difference Time Domain Method

The finite difference time domain (FDTD) method has direct applications in musical instrument modeling, simulation of environmental acoustics, room acoustics and sound reproduction paradigms, all of which benefit from auralization. However, rendering binaural impulse responses from simulated
data is not straightforward to accomplish as the calculated pressure at FDTD grid nodes does not contain any directional information. This paper addresses this issue by introducing a spherical array to capture sound pressure on a finite difference grid, and decomposing it into a plane-wave density
function. Binaural impulse responses are then constructed in the spherical harmonics domain by combining the decomposed grid data with free field head-related transfer functions. The effects of designing a spherical array in a Cartesian grid are studied, and emphasis is given to the relationships
between array sampling and the spatial and spectral design parameters of several finite-difference
schemes.

A discontinuous-Galerkin-based immersed boundary method

A numerical method to approximate partial differential equations on meshes that do not conform to the domain boundaries is introduced. The proposed method is conceptually simple and free of user-defined parameters. Starting with a conforming finite element mesh, the key ingredient is to switch those elements intersected by the Dirichlet boundary to a discontinuous-Galerkin approximation and impose the Dirichlet boundary conditions strongly. By virtue of relaxing the continuity constraint at those elements. boundary locking is avoided and optimal-order convergence is achieved. This is shown through numerical experiments in reaction-diffusion problems. Copyright (c) 2008 John Wiley & Sons, Ltd.

Characterization and modeling of multi-conductor transmission line using Finite-difference Time-Domain method

A two-dimensional, 2D, finite-difference time-domain (FDTD) method is used to analyze two different models of multi-conductor transmission lines (MTL). The first model is a two-conductor MTL and the second is a threeconductor MTL. Apart from the MTL's, a three-dimensional, 3D, FDTD method is used to analyze a three-patch microstrip parasitic array. While the MTL analysis is entirely in time-domain, the microstrip parasitic array is a study of scattering parameter Sn in the frequency-domain. The results clearly indicate that FDTD is an efficient and accurate tool to model and analyze multiconductor transmission line as well as microstrip antennas and arrays.

Modélisation d'éléments finis pour les interactions fluide-structure

Cette thèse concerne la modélisation des interactions fluide-structure et les méthodes numériques qui s’y rattachent. De ce fait, la thèse est divisée en deux parties. La première partie concerne l’étude des interactions fluide-structure par la méthode des domaines fictifs. Dans cette contribution, le fluide est incompressible et laminaire et la structure est considérée rigide, qu’elle soit immobile ou en mouvement. Les outils que nous avons développés comportent la mise en oeuvre d’un algorithme fiable de résolution qui intégrera les deux domaines (fluide et solide) dans une formulation mixte. L’algorithme est basé sur des techniques de raffinement local adaptatif des maillages utilisés permettant de mieux séparer les éléments du milieu fluide de ceux du solide que ce soit en 2D ou en 3D. La seconde partie est l’étude des interactions mécaniques entre une structure flexible et un fluide incompressible. Dans cette contribution, nous proposons et analysons des méthodes numériques partitionnées pour la simulation de phénomènes d’interaction fluide-structure (IFS). Nous avons adopté à cet effet, la méthode dite «arbitrary Lagrangian-Eulerian» (ALE). La résolution fluide est effectuée itérativement à l’aide d’un schéma de type projection et la structure est modélisée par des modèles hyper élastiques en grandes déformations. Nous avons développé de nouvelles méthodes de mouvement de maillages pour aboutir à de grandes déformations de la structure. Enfin, une stratégie de complexification du problème d’IFS a été définie. La modélisation de la turbulence et des écoulements à surfaces libres ont été introduites et couplées à la résolution des équations de Navier-Stokes. Différentes simulations numériques sont présentées pour illustrer l’efficacité et la robustesse de l’algorithme. Les résultats numériques présentés attestent de la validité et l’efficacité des méthodes numériques développées.

A time domain computation method for dynamic behavior of mooring system

A quasi-steady time domain method is developed for the prediction of dynamic behavior of a mooring system under the environmental disturbances, such as regular or irregular waves, winds and currents. The mooring forces are obtained in a static sense at each instant. The dynamic feature of the mooring cables can be obtained by incorporating the extended 3-D lumped-mass method with the known ship motion history. Some nonlinear effects, such as the influence of the instantaneous change of the wetted hull surface on the hydrostatic restoring forces and Froude-Krylov forces, are included. The computational results show a satisfactory agreement with the experimental ones.

Application of partition method to vibration problems of plates

The “partition method” or “sub-domain method” consists of expressing the solution of a governing differential equation, partial or ordinary, in terms of functions which satisfy the boundary conditions and setting to zero the error in the differential equation integrated over each of the sub-domains into which the given domain is partitioned. In this paper, the use of this method in eigenvalue problems with particular reference to vibration of plates is investigated. The deflection of the plate is expressed in terms of polynomials satisfying the boundary conditions completely. Setting the integrated error in each of the subdomains to zero results in a set of simultaneous, linear, homogeneous, algebraic equations in the undetermined coefficients of the deflection series. The algebraic eigenvalue problem is then solved for eigenvalues and eigenvectors. Convergence is examined in a few typical cases and is found to be satisfactory. The results obtained are compared with existing results based on other methods and are found to be in very good agreement.

Application of partition method to vibration problems of plates

The “partition method” or “sub-domain method” consists of expressing the solution of a governing differential equation, partial or ordinary, in terms of functions which satisfy the boundary conditions and setting to zero the error in the differential equation integrated over each of the sub-domains into which the given domain is partitioned. In this paper, the use of this method in eigenvalue problems with particular reference to vibration of plates is investigated. The deflection of the plate is expressed in terms of polynomials satisfying the boundary conditions completely. Setting the integrated error in each of the subdomains to zero results in a set of simultaneous, linear, homogeneous, algebraic equations in the undetermined coefficients of the deflection series. The algebraic eigenvalue problem is then solved for eigenvalues and eigenvectors. Convergence is examined in a few typical cases and is found to be satisfactory. The results obtained are compared with existing results based on other methods and are found to be in very good agreement.

Speech Enhancement using Intra-frame Dependency in DCT Domain

In this paper, we present a new speech enhancement approach, that is based on exploiting the intra-frame dependency of discrete cosine transform (DCT) domain coefficients. It can be noted that the existing enhancement techniques treat the transformdomain coefficients independently. Instead of this traditional approach of independently processing the scalars, we split the DCT domain noisy speech vector into sub-vectors and each sub-vector is enhanced independently. Through this sub-vector based approach, the higher dimensional enhancement advantage, viz. non-linear dependency, is exploited. In the developed method, each clean speech sub-vector is modeled using a Gaussian mixture (GM) density. We show that the proposed Gaussian mixture model (GMM) based DCT domain method, using sub-vector processing approach, provides better performance than the conventional approach of enhancing the transform domain scalar components independently. Performance improvement over the recently proposed GMM based time domain approach is also shown.

Adjoint linearised Euler solver in the frequency domain for jet noise modelling

The paper is devoted to extending the new efficient frequency-domain method of adjoint Green's function calculation to curvilinear multi-block RANS domains for middle and farfield sound computations. Numerical details of the method such as grids, boundary conditions and convergence acceleration are discussed. Two acoustic source models are considered in conjunction with the method and acoustic modelling results are presented for a benchmark low-Reynolds-number jet case.

The Category-Theoretic Solution of Recursive Domain Equations

Recursive specifications of domains plays a crucial role in denotational semantics as developed by Scott and Strachey and their followers. The purpose of the present paper is to set up a categorical framework in which the known techniques for solving these equations find a natural place. The idea is to follow the well-known analogy between partial orders and categories, generalizing from least fixed-points of continuous functions over cpos to initial ones of continuous functors over $\omega $-categories. To apply these general ideas we introduce Wand's ${\bf O}$-categories where the morphism-sets have a partial order structure and which include almost all the categories occurring in semantics. The idea is to find solutions in a derived category of embeddings and we give order-theoretic conditions which are easy to verify and which imply the needed categorical ones. The main tool is a very general form of the limit-colimit coincidence remarked by Scott. In the concluding section we outline how compatibility considerations are to be included in the framework. A future paper will show how Scott's universal domain method can be included too.

A stochastic time-domain model for burst data aggregation in IEEE 802.15.4 wireless sensor networks

In many network applications, the nature of traffic is of burst type. Often, the transient response of network to such traffics is the result of a series of interdependant events whose occurrence prediction is not a trivial task. The previous efforts in IEEE 802.15.4 networks often followed top-down approaches to model those sequences of events, i.e., through making top-view models of the whole network, they tried to track the transient response of network to burst packet arrivals. The problem with such approaches was that they were unable to give station-level views of network response and were usually complex. In this paper, we propose a non-stationary analytical model for the IEEE 802.15.4 slotted CSMA/CA medium access control (MAC) protocol under burst traffic arrival assumption and without the optional acknowledgements. We develop a station-level stochastic time-domain method from which the network-level metrics are extracted. Our bottom-up approach makes finding station-level details such as delay, collision and failure distributions possible. Moreover, network-level metrics like the average packet loss or transmission success rate can be extracted from the model. Compared to the previous models, our model is proven to be of lower memory and computational complexity order and also supports contention window sizes of greater than one. We have carried out extensive and comparative simulations to show the high accuracy of our model.

Formalizing a Conceptual Framework of Work Domain Knowledge

Background: The failure rate of health information systems is high, partially due to fragmented, incomplete, or incorrect identification and description of specific and critical domain requirements. In order to systematically transform the requirements of work into real information system, an explicit conceptual framework is essential to summarize the work requirements and guide system design. Recently, Butler, Zhang, and colleagues proposed a conceptual framework called Work Domain Ontology (WDO) to formally represent users’ work. This WDO approach has been successfully demonstrated in a real world design project on aircraft scheduling. However, as a top level conceptual framework, this WDO has not defined an explicit and well specified schema (WDOS) , and it does not have a generalizable and operationalized procedure that can be easily applied to develop WDO. Moreover, WDO has not been developed for any concrete healthcare domain. These limitations hinder the utility of WDO in real world information system in general and in health information system in particular. Objective: The objective of this research is to formalize the WDOS, operationalize a procedure to develop WDO, and evaluate WDO approach using Self-Nutrition Management (SNM) work domain. Method: Concept analysis was implemented to formalize WDOS. Focus group interview was conducted to capture concepts in SNM work domain. Ontology engineering methods were adopted to model SNM WDO. Part of the concepts under the primary goal “staying healthy” for SNM were selected and transformed into a semi-structured survey to evaluate the acceptance, explicitness, completeness, consistency, experience dependency of SNM WDO. Result: Four concepts, “goal, operation, object and constraint”, were identified and formally modeled in WDOS with definitions and attributes. 72 SNM WDO concepts under primary goal were selected and transformed into semi-structured survey questions. The evaluation indicated that the major concepts of SNM WDO were accepted by 41 overweight subjects. SNM WDO is generally independent of user domain experience but partially dependent on SNM application experience. 23 of 41 paired concepts had significant correlations. Two concepts were identified as ambiguous concepts. 8 extra concepts were recommended towards the completeness of SNM WDO. Conclusion: The preliminary WDOS is ready with an operationalized procedure. SNM WDO has been developed to guide future SNM application design. This research is an essential step towards Work-Centered Design (WCD).

A distributed equivalent magnetic current based FDTD method for the calculation of E-fields induced by gradient coils

This paper evaluates a new, low-frequency finite-difference time-domain method applied to the problem of induced E-fields/eddy currents in the human body resulting from the pulsed magnetic field gradients in MRI. In this algorithm, a distributed equivalent magnetic current is proposed as the electromagnetic source and is obtained by quasistatic calculation of the empty coil's vector potential or measurements therein. This technique circumvents the discretization of complicated gradient coil geometries into a mesh of Yee cells, and thereby enables any type of gradient coil modelling or other complex low frequency sources. The proposed method has been verified against an example with an analytical solution. Results are presented showing the spatial distribution of gradient-induced electric fields in a multi-layered spherical phantom model and a complete body model. (C) 2004 Elsevier Inc. All rights reserved.

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.