Numerical methods for strong solutions of stochastic differential equations : an overview

This paper gives a review of recent progress in the design of numerical methods for computing the trajectories (sample paths) of solutions to stochastic differential equations. We give a brief survey of the area focusing on a number of application areas where approximations to strong solutions are important, with a particular focus on computational biology applications, and give the necessary analytical tools for understanding some of the important concepts associated with stochastic processes. We present the stochastic Taylor series expansion as the fundamental mechanism for constructing effective numerical methods, give general results that relate local and global order of convergence and mention the Magnus expansion as a mechanism for designing methods that preserve the underlying structure of the problem. We also present various classes of explicit and implicit methods for strong solutions, based on the underlying structure of the problem. Finally, we discuss implementation issues relating to maintaining the Brownian path, efficient simulation of stochastic integrals and variable-step-size implementations based on various types of control.

Wavelet based approaches and high resolution methods for complex process models

Many industrial processes and systems can be modelled mathematically by a set of Partial Differential Equations (PDEs). Finding a solution to such a PDF model is essential for system design, simulation, and process control purpose. However, major difficulties appear when solving PDEs with singularity. Traditional numerical methods, such as finite difference, finite element, and polynomial based orthogonal collocation, not only have limitations to fully capture the process dynamics but also demand enormous computation power due to the large number of elements or mesh points for accommodation of sharp variations. To tackle this challenging problem, wavelet based approaches and high resolution methods have been recently developed with successful applications to a fixedbed adsorption column model. Our investigation has shown that recent advances in wavelet based approaches and high resolution methods have the potential to be adopted for solving more complicated dynamic system models. This chapter will highlight the successful applications of these new methods in solving complex models of simulated-moving-bed (SMB) chromatographic processes. A SMB process is a distributed parameter system and can be mathematically described by a set of partial/ordinary differential equations and algebraic equations. These equations are highly coupled; experience wave propagations with steep front, and require significant numerical effort to solve. To demonstrate the numerical computing power of the wavelet based approaches and high resolution methods, a single column chromatographic process modelled by a Transport-Dispersive-Equilibrium linear model is investigated first. Numerical solutions from the upwind-1 finite difference, wavelet-collocation, and high resolution methods are evaluated by quantitative comparisons with the analytical solution for a range of Peclet numbers. After that, the advantages of the wavelet based approaches and high resolution methods are further demonstrated through applications to a dynamic SMB model for an enantiomers separation process. This research has revealed that for a PDE system with a low Peclet number, all existing numerical methods work well, but the upwind finite difference method consumes the most time for the same degree of accuracy of the numerical solution. The high resolution method provides an accurate numerical solution for a PDE system with a medium Peclet number. The wavelet collocation method is capable of catching up steep changes in the solution, and thus can be used for solving PDE models with high singularity. For the complex SMB system models under consideration, both the wavelet based approaches and high resolution methods are good candidates in terms of computation demand and prediction accuracy on the steep front. The high resolution methods have shown better stability in achieving steady state in the specific case studied in this Chapter.

General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems

In many modeling situations in which parameter values can only be estimated or are subject to noise, the appropriate mathematical representation is a stochastic ordinary differential equation (SODE). However, unlike the deterministic case in which there are suites of sophisticated numerical methods, numerical methods for SODEs are much less sophisticated. Until a recent paper by K. Burrage and P.M. Burrage (1996), the highest strong order of a stochastic Runge-Kutta method was one. But K. Burrage and P.M. Burrage (1996) showed that by including additional random variable terms representing approximations to the higher order Stratonovich (or Ito) integrals, higher order methods could be constructed. However, this analysis applied only to the one Wiener process case. In this paper, it will be shown that in the multiple Wiener process case all known stochastic Runge-Kutta methods can suffer a severe order reduction if there is non-commutativity between the functions associated with the Wiener processes. Importantly, however, it is also suggested how this order can be repaired if certain commutator operators are included in the Runge-Kutta formulation. (C) 1998 Elsevier Science B.V. and IMACS. All rights reserved.

Application of meshfree methods to numerically simulate microscale deformations of different plant food materials during drying

Plant food materials have a very high demand in the consumer market and therefore, improved food products and efficient processing techniques are concurrently being researched in food engineering. In this context, numerical modelling and simulation techniques have a very high potential to reveal fundamentals of the underlying mechanisms involved. However, numerical modelling of plant food materials during drying becomes quite challenging, mainly due to the complexity of the multiphase microstructure of the material, which undergoes excessive deformations during drying. In this regard, conventional grid-based modelling techniques have limited applicability due to their inflexible grid-based fundamental limitations. As a result, meshfree methods have recently been developed which offer a more adaptable approach to problem domains of this nature, due to their fundamental grid-free advantages. In this work, a recently developed meshfree based two-dimensional plant tissue model is used for a comparative study of microscale morphological changes of several food materials during drying. The model involves Smoothed Particle Hydrodynamics (SPH) and Discrete Element Method (DEM) to represent fluid and solid phases of the cellular structure. Simulation are conducted on apple, potato, carrot and grape tissues and the results are qualitatively and quantitatively compared and related with experimental findings obtained from the literature. The study revealed that cellular deformations are highly sensitive to cell dimensions, cell wall physical and mechanical properties, middle lamella properties and turgor pressure. In particular, the meshfree model is well capable of simulating critically dried tissues at lower moisture content and turgor pressure, which lead to cell wall wrinkling. The findings further highlighted the potential applicability of the meshfree approach to model large deformations of the plant tissue microstructure during drying, providing a distinct advantage over the state of the art grid-based approaches.

Numerical investigation of motion and deformation of a single red blood cell in a stenosed capillary

It is generally assumed that influence of the red blood cells (RBCs) is predominant in blood rheology. The healthy RBCs are highly deformable and can thus easily squeeze through the smallest capillaries having internal diameter less than their characteristic size. On the other hand, RBCs infected by malaria or other diseases are stiffer and so less deformable. Thus it is harder for them to flow through the smallest capillaries. Therefore, it is very important to critically and realistically investigate the mechanical behavior of both healthy and infected RBCs which is a current gap in knowledge. The motion and the steady state deformed shape of the RBCs depend on many factors, such as the geometrical parameters of the capillary through which blood flows, the membrane bending stiffness and the mean velocity of the blood flow. In this study, motion and deformation of a single two-dimensional RBC in a stenosed capillary is explored by using smoothed particle hydrodynamics (SPH) method. An elastic spring network is used to model the RBC membrane, while the RBC's inside fluid and outside fluid are treated as SPH particles. The effect of RBC's membrane stiffness (kb), inlet pressure (P) and geometrical parameters of the capillary on the motion and deformation of the RBC is studied. The deformation index, RBC's mean velocity and the cell membrane energy are analyzed when the cell passes through the stenosed capillary. The simulation results demonstrate that the kb, P and the geometrical parameters of the capillary have a significant impact on the RBCs' motion and deformation in the stenosed section.

A posteriori error estimates of discontinuous Galerkin methods for the Signorini problem

A reliable and efficient a posteriori error estimator is derived for a class of discontinuous Galerkin (DG) methods for the Signorini problem. A common property shared by many DG methods leads to a unified error analysis with the help of a constraint preserving enriching map. The error estimator of DG methods is comparable with the error estimator of the conforming methods. Numerical experiments illustrate the performance of the error estimator. (C) 2015 Elsevier B.V. All rights reserved.

THREE-DIMENSIONAL NUMERICAL SIMULATIONS OF MAGNETIZED WINDS OF SOLAR-LIKE STARS

By means of self-consistent three-dimensional magnetohydrodynamics (MHD) numerical simulations, we analyze magnetized solar-like stellar winds and their dependence on the plasma-beta parameter (the ratio between thermal and magnetic energy densities). This is the first study to perform such analysis solving the fully ideal three-dimensional MHD equations. We adopt in our simulations a heating parameter described by gamma, which is responsible for the thermal acceleration of the wind. We analyze winds with polar magnetic field intensities ranging from 1 to 20 G. We show that the wind structure presents characteristics that are similar to the solar coronal wind. The steady-state magnetic field topology for all cases is similar, presenting a configuration of helmet streamer-type, with zones of closed field lines and open field lines coexisting. Higher magnetic field intensities lead to faster and hotter winds. For the maximum magnetic intensity simulated of 20 G and solar coronal base density, the wind velocity reaches values of similar to 1000 km s(-1) at r similar to 20r(0) and a maximum temperature of similar to 6 x 10(6) K at r similar to 6r(0). The increase of the field intensity generates a larger ""dead zone"" in the wind, i.e., the closed loops that inhibit matter to escape from latitudes lower than similar to 45 degrees extend farther away from the star. The Lorentz force leads naturally to a latitude-dependent wind. We show that by increasing the density and maintaining B(0) = 20 G the system recover back to slower and cooler winds. For a fixed gamma, we show that the key parameter in determining the wind velocity profile is the beta-parameter at the coronal base. Therefore, there is a group of magnetized flows that would present the same terminal velocity despite its thermal and magnetic energy densities, as long as the plasma-beta parameter is the same. This degeneracy, however, can be removed if we compare other physical parameters of the wind, such as the mass-loss rate. We analyze the influence of gamma in our results and we show that it is also important in determining the wind structure.

Numerical exploration of resonant dynamics in the system of Saturnian major satellites

We numerically investigate the long-term dynamics of the Saturnian system by analyzing the Fourier spectra of ensembles of orbits taken around the current orbits of Mimas, Enceladus, Tethys, Rhea and Hyperion. We construct dynamical maps around the current position of these satellites in their respective phase spaces. The maps are the result of a great deal of numerical simulations where we adopt dense sets of initial conditions and different satellite configurations. Several structures associated to the current two-body mean-motion resonances, unstable regions associated to close approaches between the satellites, and three-body mean-motion resonances in the system, are identified in the map. (C) 2010 Elsevier Ltd. All rights reserved.

Numerical correction for the diffuse solar irradiance by the melo-escobedo shadowring measuring method

The present paper deals with numerical corrections factors proposed as a function of the clearness index in order to correct the diffuse solar irradiance measured with the Melo-Escobedo Shadowring Measuring Method (ME shadowring). The global irradiance was measured by an Eppley - PSP pyranometer ; direct normal irradiance by an Eppley-NIP pyrheliometer fitted to a ST-3 sun tracking device and the diffuse irradiance by an Eppley-PSP pyranometer fitted to a ME shadowring. The validations were performed by the MBE and RMSE statistical indicators. The results showed that the numerical correction factors were appropriate to correct the shadowring diffuse irradiance.

Numerical assessment of mass conservation on a MAC-type method for viscoelastic free surface flows

A numerical study of mass conservation of MAC-type methods is presented, for viscoelastic free-surface flows. We use an implicit formulation which allows for greater time steps, and therefore time marching schemes for advecting the free surface marker particles have to be accurate in order to preserve the good mass conservation properties of this methodology. We then present an improvement by using a Runge-Kutta scheme coupled with a local linear extrapolation on the free surface. A thorough study of the viscoelastic impacting drop problem, for both Oldroyd-B and XPP fluid models, is presented, investigating the influence of timestep, grid spacing and other model parameters to the overall mass conservation of the method. Furthermore, an unsteady fountain flow is also simulated to illustrate the low mass conservation error obtained.

A Numerical Study of the FENE-CR Model Applied to a Jet Flow Problem

The FENE-CR model is investigated through a numerical algorithm to simulate the time-dependent moving free surface flow produced by a jet impinging on a flat surface. The objective is to demonstrate that by increasing the extensibility parameter L, the numerical solutions converge to the solutions obtained with the Oldroyd-B model. The governing equations are solved by an established free surface flow solver based on the finite difference and marker-and-cell methods. Numerical predictions of the extensional viscosity obtained with several values of the parameter L are presented. The results show that if the extensibility parameter L is sufficiently large then the extensional viscosities obtained with the FENE-CR model approximate the corresponding Oldroyd-B viscosity. Moreover, the flow from a jet impinging on a flat surface is simulated with various values of the extensibility parameter L and the fluid flow visualizations display convergence to the Oldroyd-B jet flow results.

MHD numerical simulations of colliding winds in massive binary systems - I. Thermal versus non-thermal radio emission

In the past few decades detailed observations of radio and X-ray emission from massive binary systems revealed a whole new physics present in such systems. Both thermal and non-thermal components of this emission indicate that most of the radiation at these bands originates in shocks. O and B-type stars and WolfRayet (WR) stars present supersonic and massive winds that, when colliding, emit largely due to the freefree radiation. The non-thermal radio and X-ray emissions are due to synchrotron and inverse Compton processes, respectively. In this case, magnetic fields are expected to play an important role in the emission distribution. In the past few years the modelling of the freefree and synchrotron emissions from massive binary systems have been based on purely hydrodynamical simulations, and ad hoc assumptions regarding the distribution of magnetic energy and the field geometry. In this work we provide the first full magnetohydrodynamic numerical simulations of windwind collision in massive binary systems. We study the freefree emission characterizing its dependence on the stellar and orbital parameters. We also study self-consistently the evolution of the magnetic field at the shock region, obtaining also the synchrotron energy distribution integrated along different lines of sight. We show that the magnetic field in the shocks is larger than that obtained when the proportionality between B and the plasma density is assumed. Also, we show that the role of the synchrotron emission relative to the total radio emission has been underestimated.

Weighted geometric mean of large-scale matrices: numerical analysis and algorithms

Computing the weighted geometric mean of large sparse matrices is an operation that tends to become rapidly intractable, when the size of the matrices involved grows. However, if we are not interested in the computation of the matrix function itself, but just in that of its product times a vector, the problem turns simpler and there is a chance to solve it even when the matrix mean would actually be impossible to compute. Our interest is motivated by the fact that this calculation has some practical applications, related to the preconditioning of some operators arising in domain decomposition of elliptic problems. In this thesis, we explore how such a computation can be efficiently performed. First, we exploit the properties of the weighted geometric mean and find several equivalent ways to express it through real powers of a matrix. Hence, we focus our attention on matrix powers and examine how well-known techniques can be adapted to the solution of the problem at hand. In particular, we consider two broad families of approaches for the computation of f(A) v, namely quadrature formulae and Krylov subspace methods, and generalize them to the pencil case f(A\B) v. Finally, we provide an extensive experimental evaluation of the proposed algorithms and also try to assess how convergence speed and execution time are influenced by some characteristics of the input matrices. Our results suggest that a few elements have some bearing on the performance and that, although there is no best choice in general, knowing the conditioning and the sparsity of the arguments beforehand can considerably help in choosing the best strategy to tackle the problem.

Experimental and numerical analysis of reinforced concrete elements subjected to blast loading

El hormigón es uno de los materiales de construcción más empleados en la actualidad debido a sus buenas prestaciones mecánicas, moldeabilidad y economía de obtención, entre otras ventajas. Es bien sabido que tiene una buena resistencia a compresión y una baja resistencia a tracción, por lo que se arma con barras de acero para formar el hormigón armado, material que se ha convertido por méritos propios en la solución constructiva más importante de nuestra época. A pesar de ser un material profusamente utilizado, hay aspectos del comportamiento del hormigón que todavía no son completamente conocidos, como es el caso de su respuesta ante los efectos de una explosión. Este es un campo de especial relevancia, debido a que los eventos, tanto intencionados como accidentales, en los que una estructura se ve sometida a una explosión son, por desgracia, relativamente frecuentes. La solicitación de una estructura ante una explosión se produce por el impacto sobre la misma de la onda de presión generada en la detonación. La aplicación de esta carga sobre la estructura es muy rápida y de muy corta duración. Este tipo de acciones se denominan cargas impulsivas, y pueden ser hasta cuatro órdenes de magnitud más rápidas que las cargas dinámicas impuestas por un terremoto. En consecuencia, no es de extrañar que sus efectos sobre las estructuras y sus materiales sean muy distintos que las que producen las cargas habitualmente consideradas en ingeniería. En la presente tesis doctoral se profundiza en el conocimiento del comportamiento material del hormigón sometido a explosiones. Para ello, es crucial contar con resultados experimentales de estructuras de hormigón sometidas a explosiones. Este tipo de resultados es difícil de encontrar en la literatura científica, ya que estos ensayos han sido tradicionalmente llevados a cabo en el ámbito militar y los resultados obtenidos no son de dominio público. Por otra parte, en las campañas experimentales con explosiones llevadas a cabo por instituciones civiles el elevado coste de acceso a explosivos y a campos de prueba adecuados no permite la realización de ensayos con un elevado número de muestras. Por este motivo, la dispersión experimental no es habitualmente controlada. Sin embargo, en elementos de hormigón armado sometidos a explosiones, la dispersión experimental es muy acusada, en primer lugar, por la propia heterogeneidad del hormigón, y en segundo, por la dificultad inherente a la realización de ensayos con explosiones, por motivos tales como dificultades en las condiciones de contorno, variabilidad del explosivo, o incluso cambios en las condiciones atmosféricas. Para paliar estos inconvenientes, en esta tesis doctoral se ha diseñado un novedoso dispositivo que permite ensayar hasta cuatro losas de hormigón bajo la misma detonación, lo que además de proporcionar un número de muestras estadísticamente representativo, supone un importante ahorro de costes. Con este dispositivo se han ensayado 28 losas de hormigón, tanto armadas como en masa, de dos dosificaciones distintas. Pero además de contar con datos experimentales, también es importante disponer de herramientas de cálculo para el análisis y diseño de estructuras sometidas a explosiones. Aunque existen diversos métodos analíticos, hoy por hoy las técnicas de simulación numérica suponen la alternativa más avanzada y versátil para el cálculo de elementos estructurales sometidos a cargas impulsivas. Sin embargo, para obtener resultados fiables es crucial contar con modelos constitutivos de material que tengan en cuenta los parámetros que gobiernan el comportamiento para el caso de carga en estudio. En este sentido, cabe destacar que la mayoría de los modelos constitutivos desarrollados para el hormigón a altas velocidades de deformación proceden del ámbito balístico, donde dominan las grandes tensiones de compresión en el entorno local de la zona afectada por el impacto. En el caso de los elementos de hormigón sometidos a explosiones, las tensiones de compresión son mucho más moderadas, siendo las tensiones de tracción generalmente las causantes de la rotura del material. En esta tesis doctoral se analiza la validez de algunos de los modelos disponibles, confirmando que los parámetros que gobiernan el fallo de las losas de hormigón armado ante explosiones son la resistencia a tracción y su ablandamiento tras rotura. En base a los resultados anteriores se ha desarrollado un modelo constitutivo para el hormigón ante altas velocidades de deformación, que sólo tiene en cuenta la rotura por tracción. Este modelo parte del de fisura cohesiva embebida con discontinuidad fuerte, desarrollado por Planas y Sancho, que ha demostrado su capacidad en la predicción de la rotura a tracción de elementos de hormigón en masa. El modelo ha sido modificado para su implementación en el programa comercial de integración explícita LS-DYNA, utilizando elementos finitos hexaédricos e incorporando la dependencia de la velocidad de deformación para permitir su utilización en el ámbito dinámico. El modelo es estrictamente local y no requiere de remallado ni conocer previamente la trayectoria de la fisura. Este modelo constitutivo ha sido utilizado para simular dos campañas experimentales, probando la hipótesis de que el fallo de elementos de hormigón ante explosiones está gobernado por el comportamiento a tracción, siendo de especial relevancia el ablandamiento del hormigón. Concrete is nowadays one of the most widely used building materials because of its good mechanical properties, moldability and production economy, among other advantages. As it is known, it has high compressive and low tensile strengths and for this reason it is reinforced with steel bars to form reinforced concrete, a material that has become the most important constructive solution of our time. Despite being such a widely used material, there are some aspects of concrete performance that are not yet fully understood, as it is the case of its response to the effects of an explosion. This is a topic of particular relevance because the events, both intentional and accidental, in which a structure is subjected to an explosion are, unfortunately, relatively common. The loading of a structure due to an explosive event occurs due to the impact of the pressure shock wave generated in the detonation. The application of this load on the structure is very fast and of very short duration. Such actions are called impulsive loads, and can be up to four orders of magnitude faster than the dynamic loads imposed by an earthquake. Consequently, it is not surprising that their effects on structures and materials are very different than those that cause the loads usually considered in engineering. This thesis broadens the knowledge about the material behavior of concrete subjected to explosions. To that end, it is crucial to have experimental results of concrete structures subjected to explosions. These types of results are difficult to find in the scientific literature, as these tests have traditionally been carried out by armies of different countries and the results obtained are classified. Moreover, in experimental campaigns with explosives conducted by civil institutions the high cost of accessing explosives and the lack of proper test fields does not allow for the testing of a large number of samples. For this reason, the experimental scatter is usually not controlled. However, in reinforced concrete elements subjected to explosions the experimental dispersion is very pronounced. First, due to the heterogeneity of concrete, and secondly, because of the difficulty inherent to testing with explosions, for reasons such as difficulties in the boundary conditions, variability of the explosive, or even atmospheric changes. To overcome these drawbacks, in this thesis we have designed a novel device that allows for testing up to four concrete slabs under the same detonation, which apart from providing a statistically representative number of samples, represents a significant saving in costs. A number of 28 slabs were tested using this device. The slabs were both reinforced and plain concrete, and two different concrete mixes were used. Besides having experimental data, it is also important to have computational tools for the analysis and design of structures subjected to explosions. Despite the existence of several analytical methods, numerical simulation techniques nowadays represent the most advanced and versatile alternative for the assessment of structural elements subjected to impulsive loading. However, to obtain reliable results it is crucial to have material constitutive models that take into account the parameters that govern the behavior for the load case under study. In this regard it is noteworthy that most of the developed constitutive models for concrete at high strain rates arise from the ballistic field, dominated by large compressive stresses in the local environment of the area affected by the impact. In the case of concrete elements subjected to an explosion, the compressive stresses are much more moderate, while tensile stresses usually cause material failure. This thesis discusses the validity of some of the available models, confirming that the parameters governing the failure of reinforced concrete slabs subjected to blast are the tensile strength and softening behaviour after failure. Based on these results we have developed a constitutive model for concrete at high strain rates, which only takes into account the ultimate tensile strength. This model is based on the embedded Cohesive Crack Model with Strong Discontinuity Approach developed by Planas and Sancho, which has proved its ability in predicting the tensile fracture of plain concrete elements. The model has been modified for its implementation in the commercial explicit integration program LS-DYNA, using hexahedral finite elements and incorporating the dependence of the strain rate, to allow for its use in dynamic domain. The model is strictly local and does not require remeshing nor prior knowledge of the crack path. This constitutive model has been used to simulate two experimental campaigns, confirming the hypothesis that the failure of concrete elements subjected to explosions is governed by their tensile response, being of particular relevance the softening behavior of concrete.