Analysis and development of stochastic multigrid methods in lattice field theory
International Nuclear Information System (INIS)
Grabenstein, M.
1994-01-01
We study the relation between the dynamical critical behavior and the kinematics of stochastic multigrid algorithms. The scale dependence of acceptance rates for nonlocal Metropolis updates is analyzed with the help of an approximation formula. A quantitative study of the kinematics of multigrid algorithms in several interacting models is performed. We find that for a critical model with Hamiltonian H(Φ) absence of critical slowing down can only be expected if the expansion of (H(Φ+ψ)) in terms of the shift ψ contains no relevant term (mass term). The predictions of this rule was verified in a multigrid Monte Carlo simulation of the Sine Gordon model in two dimensions. Our analysis can serve as a guideline for the development of new algorithms: We propose a new multigrid method for nonabelian lattice gauge theory, the time slice blocking. For SU(2) gauge fields in two dimensions, critical slowing down is almost completely eliminated by this method, in accordance with the theoretical prediction. The generalization of the time slice blocking to SU(2) in four dimensions is investigated analytically and by numerical simulations. Compared to two dimensions, the local disorder in the four dimensional gauge field leads to kinematical problems. (orig.)
Trottenberg, U; Third European Conference on Multigrid Methods
1991-01-01
These proceedings contain a selection of papers presented at the Third European Conference on Multigrid Methods which was held in Bonn on October 1-4, 1990. Following conferences in 1981 and 1985, a platform for the presentation of new Multigrid results was provided for a third time. Multigrid methods no longer have problems being accepted by numerical analysts and users of numerical methods; on the contrary, they have been further developed in such a successful way that they have penetrated a variety of new fields of application. The high number of 154 participants from 18 countries and 76 presented papers show the need to continue the series of the European Multigrid Conferences. The papers of this volume give a survey on the current Multigrid situation; in particular, they correspond to those fields where new developments can be observed. For example, se veral papers study the appropriate treatment of time dependent problems. Improvements can also be noticed in the Multigrid approach for semiconductor eq...
Trottenberg, Ulrich; Schuller, Anton
2000-01-01
Multigrid presents both an elementary introduction to multigrid methods for solving partial differential equations and a contemporary survey of advanced multigrid techniques and real-life applications.Multigrid methods are invaluable to researchers in scientific disciplines including physics, chemistry, meteorology, fluid and continuum mechanics, geology, biology, and all engineering disciplines. They are also becoming increasingly important in economics and financial mathematics.Readers are presented with an invaluable summary covering 25 years of practical experience acquired by the multigrid research group at the Germany National Research Center for Information Technology. The book presents both practical and theoretical points of view.* Covers the whole field of multigrid methods from its elements up to the most advanced applications* Style is essentially elementary but mathematically rigorous* No other book is so comprehensive and written for both practitioners and students
Multigrid methods in structural mechanics
Raju, I. S.; Bigelow, C. A.; Taasan, S.; Hussaini, M. Y.
1986-01-01
Although the application of multigrid methods to the equations of elasticity has been suggested, few such applications have been reported in the literature. In the present work, multigrid techniques are applied to the finite element analysis of a simply supported Bernoulli-Euler beam, and various aspects of the multigrid algorithm are studied and explained in detail. In this study, six grid levels were used to model half the beam. With linear prolongation and sequential ordering, the multigrid algorithm yielded results which were of machine accuracy with work equivalent to 200 standard Gauss-Seidel iterations on the fine grid. Also with linear prolongation and sequential ordering, the V(1,n) cycle with n greater than 2 yielded better convergence rates than the V(n,1) cycle. The restriction and prolongation operators were derived based on energy principles. Conserving energy during the inter-grid transfers required that the prolongation operator be the transpose of the restriction operator, and led to improved convergence rates. With energy-conserving prolongation and sequential ordering, the multigrid algorithm yielded results of machine accuracy with a work equivalent to 45 Gauss-Seidel iterations on the fine grid. The red-black ordering of relaxations yielded solutions of machine accuracy in a single V(1,1) cycle, which required work equivalent to about 4 iterations on the finest grid level.
The multigrid preconditioned conjugate gradient method
Tatebe, Osamu
1993-01-01
A multigrid preconditioned conjugate gradient method (MGCG method), which uses the multigrid method as a preconditioner of the PCG method, is proposed. The multigrid method has inherent high parallelism and improves convergence of long wavelength components, which is important in iterative methods. By using this method as a preconditioner of the PCG method, an efficient method with high parallelism and fast convergence is obtained. First, it is considered a necessary condition of the multigrid preconditioner in order to satisfy requirements of a preconditioner of the PCG method. Next numerical experiments show a behavior of the MGCG method and that the MGCG method is superior to both the ICCG method and the multigrid method in point of fast convergence and high parallelism. This fast convergence is understood in terms of the eigenvalue analysis of the preconditioned matrix. From this observation of the multigrid preconditioner, it is realized that the MGCG method converges in very few iterations and the multigrid preconditioner is a desirable preconditioner of the conjugate gradient method.
Extending the applicability of multigrid methods
International Nuclear Information System (INIS)
Brannick, J; Brezina, M; Falgout, R; Manteuffel, T; McCormick, S; Ruge, J; Sheehan, B; Xu, J; Zikatanov, L
2006-01-01
Multigrid methods are ideal for solving the increasingly large-scale problems that arise in numerical simulations of physical phenomena because of their potential for computational costs and memory requirements that scale linearly with the degrees of freedom. Unfortunately, they have been historically limited by their applicability to elliptic-type problems and the need for special handling in their implementation. In this paper, we present an overview of several recent theoretical and algorithmic advances made by the TOPS multigrid partners and their collaborators in extending applicability of multigrid methods. specific examples that are presented include quantum chromodynamics, radiation transport, and electromagnetics
Multigrid Methods for EHL Problems
Nurgat, Elyas; Berzins, Martin
1996-01-01
In many bearings and contacts, forces are transmitted through thin continuous fluid films which separate two contacting elements. Objects in contact are normally subjected to friction and wear which can be reduced effectively by using lubricants. If the lubricant film is sufficiently thin to prevent the opposing solids from coming into contact and carries the entire load, then we have hydrodynamic lubrication, where the lubricant film is determined by the motion and geometry of the solids. However, for loaded contacts of low geometrical conformity, such as gears, rolling contact bearings and cams, this is not the case due to high pressures and this is referred to as Elasto-Hydrodynamic Lubrication (EHL) In EHL, elastic deformation of the contacting elements and the increase in fluid viscosity with pressure are very significant and cannot be ignored. Since the deformation results in changing the geometry of the lubricating film, which in turn determines the pressure distribution, an EHL mathematical model must simultaneously satisfy the complex elasticity (integral) and the Reynolds lubrication (differential) equations. The nonlinear and coupled nature of the two equations makes numerical calculations computationally intensive. This is especially true for highly loaded problems found in practice. One novel feature of these problems is that the solution may exhibit sharp pressure spikes in the outlet region. To this date both finite element and finite difference methods have been used to solve EHL problems with perhaps greater emphasis on the use of the finite difference approach. In both cases, a major computational difficulty is ensuring convergence of the nonlinear equations solver to a steady state solution. Two successful methods for achieving this are direct iteration and multigrid methods. Direct iteration methods (e.g Gauss Seidel) have long been used in conjunction with finite difference discretizations on regular meshes. Perhaps one of the best examples of
A multigrid method for variational inequalities
Energy Technology Data Exchange (ETDEWEB)
Oliveira, S.; Stewart, D.E.; Wu, W.
1996-12-31
Multigrid methods have been used with great success for solving elliptic partial differential equations. Penalty methods have been successful in solving finite-dimensional quadratic programs. In this paper these two techniques are combined to give a fast method for solving obstacle problems. A nonlinear penalized problem is solved using Newton`s method for large values of a penalty parameter. Multigrid methods are used to solve the linear systems in Newton`s method. The overall numerical method developed is based on an exterior penalty function, and numerical results showing the performance of the method have been obtained.
Multigrid methods for partial differential equations - a short introduction
International Nuclear Information System (INIS)
Linden, J.; Stueben, K.
1993-01-01
These notes summarize the multigrid methods and emphasis is laid on the algorithmic concepts of multigrid for solving linear and non-linear partial differential equations. In this paper there is brief description of the basic structure of multigrid methods. Detailed introduction is also contained with applications to VLSI process simulation. (A.B.)
The multigrid method for reactor calculations
International Nuclear Information System (INIS)
Douglas, S.R.
1991-07-01
Iterative solutions to linear systems of equations are discussed. The emphasis is on the concepts that affect convergence rates of these solution methods. The multigrid method is described, including the smoothing property, restriction, and prolongation. A simple example is used to illustrate the ideas
Semi-coarsening multigrid methods for parallel computing
Energy Technology Data Exchange (ETDEWEB)
Jones, J.E.
1996-12-31
Standard multigrid methods are not well suited for problems with anisotropic coefficients which can occur, for example, on grids that are stretched to resolve a boundary layer. There are several different modifications of the standard multigrid algorithm that yield efficient methods for anisotropic problems. In the paper, we investigate the parallel performance of these multigrid algorithms. Multigrid algorithms which work well for anisotropic problems are based on line relaxation and/or semi-coarsening. In semi-coarsening multigrid algorithms a grid is coarsened in only one of the coordinate directions unlike standard or full-coarsening multigrid algorithms where a grid is coarsened in each of the coordinate directions. When both semi-coarsening and line relaxation are used, the resulting multigrid algorithm is robust and automatic in that it requires no knowledge of the nature of the anisotropy. This is the basic multigrid algorithm whose parallel performance we investigate in the paper. The algorithm is currently being implemented on an IBM SP2 and its performance is being analyzed. In addition to looking at the parallel performance of the basic semi-coarsening algorithm, we present algorithmic modifications with potentially better parallel efficiency. One modification reduces the amount of computational work done in relaxation at the expense of using multiple coarse grids. This modification is also being implemented with the aim of comparing its performance to that of the basic semi-coarsening algorithm.
Layout optimization with algebraic multigrid methods
Regler, Hans; Ruede, Ulrich
1993-01-01
Finding the optimal position for the individual cells (also called functional modules) on the chip surface is an important and difficult step in the design of integrated circuits. This paper deals with the problem of relative placement, that is the minimization of a quadratic functional with a large, sparse, positive definite system matrix. The basic optimization problem must be augmented by constraints to inhibit solutions where cells overlap. Besides classical iterative methods, based on conjugate gradients (CG), we show that algebraic multigrid methods (AMG) provide an interesting alternative. For moderately sized examples with about 10000 cells, AMG is already competitive with CG and is expected to be superior for larger problems. Besides the classical 'multiplicative' AMG algorithm where the levels are visited sequentially, we propose an 'additive' variant of AMG where levels may be treated in parallel and that is suitable as a preconditioner in the CG algorithm.
Multigrid methods for the computation of propagators in gauge fields
International Nuclear Information System (INIS)
Kalkreuter, T.
1992-11-01
In the present work generalizations of multigrid methods for propagators in gauge fields are investigated. We discuss proper averaging operations for bosons and for staggered fermions. An efficient algorithm for computing C numerically is presented. The averaging kernels C can be used not only in deterministic multigrid computations, but also in multigrid Monte Carlo simulations, and for the definition of block spins and blocked gauge fields in Monte Carlo renormalization group studies of gauge theories. Actual numerical computations of kernels and propagators are performed in compact four-dimensional SU(2) gauge fields. (orig./HSI)
The Mixed Finite Element Multigrid Method for Stokes Equations
Muzhinji, K.; Shateyi, S.; Motsa, S. S.
2015-01-01
The stable finite element discretization of the Stokes problem produces a symmetric indefinite system of linear algebraic equations. A variety of iterative solvers have been proposed for such systems in an attempt to construct efficient, fast, and robust solution techniques. This paper investigates one of such iterative solvers, the geometric multigrid solver, to find the approximate solution of the indefinite systems. The main ingredient of the multigrid method is the choice of an appropriate smoothing strategy. This study considers the application of different smoothers and compares their effects in the overall performance of the multigrid solver. We study the multigrid method with the following smoothers: distributed Gauss Seidel, inexact Uzawa, preconditioned MINRES, and Braess-Sarazin type smoothers. A comparative study of the smoothers shows that the Braess-Sarazin smoothers enhance good performance of the multigrid method. We study the problem in a two-dimensional domain using stable Hood-Taylor Q 2-Q 1 pair of finite rectangular elements. We also give the main theoretical convergence results. We present the numerical results to demonstrate the efficiency and robustness of the multigrid method and confirm the theoretical results. PMID:25945361
A Critical Study of Agglomerated Multigrid Methods for Diffusion
Nishikawa, Hiroaki; Diskin, Boris; Thomas, James L.
2011-01-01
Agglomerated multigrid techniques used in unstructured-grid methods are studied critically for a model problem representative of laminar diffusion in the incompressible limit. The studied target-grid discretizations and discretizations used on agglomerated grids are typical of current node-centered formulations. Agglomerated multigrid convergence rates are presented using a range of two- and three-dimensional randomly perturbed unstructured grids for simple geometries with isotropic and stretched grids. Two agglomeration techniques are used within an overall topology-preserving agglomeration framework. The results show that multigrid with an inconsistent coarse-grid scheme using only the edge terms (also referred to in the literature as a thin-layer formulation) provides considerable speedup over single-grid methods but its convergence deteriorates on finer grids. Multigrid with a Galerkin coarse-grid discretization using piecewise-constant prolongation and a heuristic correction factor is slower and also grid-dependent. In contrast, grid-independent convergence rates are demonstrated for multigrid with consistent coarse-grid discretizations. Convergence rates of multigrid cycles are verified with quantitative analysis methods in which parts of the two-grid cycle are replaced by their idealized counterparts.
Multigrid Methods for Fully Implicit Oil Reservoir Simulation
Molenaar, J.
1996-01-01
In this paper we consider the simultaneous flow of oil and water in reservoir rock. This displacement process is modeled by two basic equations: the material balance or continuity equations and the equation of motion (Darcy's law). For the numerical solution of this system of nonlinear partial differential equations there are two approaches: the fully implicit or simultaneous solution method and the sequential solution method. In the sequential solution method the system of partial differential equations is manipulated to give an elliptic pressure equation and a hyperbolic (or parabolic) saturation equation. In the IMPES approach the pressure equation is first solved, using values for the saturation from the previous time level. Next the saturations are updated by some explicit time stepping method; this implies that the method is only conditionally stable. For the numerical solution of the linear, elliptic pressure equation multigrid methods have become an accepted technique. On the other hand, the fully implicit method is unconditionally stable, but it has the disadvantage that in every time step a large system of nonlinear algebraic equations has to be solved. The most time-consuming part of any fully implicit reservoir simulator is the solution of this large system of equations. Usually this is done by Newton's method. The resulting systems of linear equations are then either solved by a direct method or by some conjugate gradient type method. In this paper we consider the possibility of applying multigrid methods for the iterative solution of the systems of nonlinear equations. There are two ways of using multigrid for this job: either we use a nonlinear multigrid method or we use a linear multigrid method to deal with the linear systems that arise in Newton's method. So far only a few authors have reported on the use of multigrid methods for fully implicit simulations. Two-level FAS algorithm is presented for the black-oil equations, and linear multigrid for
Investigations on application of multigrid method to MHD equilibrium analysis
International Nuclear Information System (INIS)
Ikuno, Soichiro
2000-01-01
The potentiality of application for Multi-grid method to MHD equilibrium analysis is investigated. The nonlinear eigenvalue problem often appears when the MHD equilibria are determined by solving the Grad-Shafranov equation numerically. After linearization of the equation, the problem is solved by use of the iterative method. Although the Red-Black SOR method or Gauss-Seidel method is often used for the solution of the linearized equation, it takes much CPU time to solve the problem. The Multi-grid method is compared with the SOR method for the Poisson Problem. The results of computations show that the CPU time required for the Multi-grid method is about 1000 times as small as that for the SOR method. (author)
Final report on the Copper Mountain conference on multigrid methods
Energy Technology Data Exchange (ETDEWEB)
NONE
1997-10-01
The Copper Mountain Conference on Multigrid Methods was held on April 6-11, 1997. It took the same format used in the previous Copper Mountain Conferences on Multigrid Method conferences. Over 87 mathematicians from all over the world attended the meeting. 56 half-hour talks on current research topics were presented. Talks with similar content were organized into sessions. Session topics included: fluids; domain decomposition; iterative methods; basics; adaptive methods; non-linear filtering; CFD; applications; transport; algebraic solvers; supercomputing; and student paper winners.
A multigrid solution method for mixed hybrid finite elements
Energy Technology Data Exchange (ETDEWEB)
Schmid, W. [Universitaet Augsburg (Germany)
1996-12-31
We consider the multigrid solution of linear equations arising within the discretization of elliptic second order boundary value problems of the form by mixed hybrid finite elements. Using the equivalence of mixed hybrid finite elements and non-conforming nodal finite elements, we construct a multigrid scheme for the corresponding non-conforming finite elements, and, by this equivalence, for the mixed hybrid finite elements, following guidelines from Arbogast/Chen. For a rectangular triangulation of the computational domain, this non-conforming schemes are the so-called nodal finite elements. We explicitly construct prolongation and restriction operators for this type of non-conforming finite elements. We discuss the use of plain multigrid and the multilevel-preconditioned cg-method and compare their efficiency in numerical tests.
Primal-Dual Interior Point Multigrid Method for Topology Optimization
Czech Academy of Sciences Publication Activity Database
Kočvara, Michal; Mohammed, S.
2016-01-01
Roč. 38, č. 5 (2016), B685-B709 ISSN 1064-8275 Grant - others:European Commission - EC(XE) 313781 Institutional support: RVO:67985556 Keywords : topology optimization * multigrid method s * interior point method Subject RIV: BA - General Mathematics Impact factor: 2.195, year: 2016 http://library.utia.cas.cz/separaty/2016/MTR/kocvara-0462418.pdf
Dinar, N.
1978-01-01
Several aspects of multigrid methods are briefly described. The main subjects include the development of very efficient multigrid algorithms for systems of elliptic equations (Cauchy-Riemann, Stokes, Navier-Stokes), as well as the development of control and prediction tools (based on local mode Fourier analysis), used to analyze, check and improve these algorithms. Preliminary research on multigrid algorithms for time dependent parabolic equations is also described. Improvements in existing multigrid processes and algorithms for elliptic equations were studied.
Multigrid Methods for the Computation of Propagators in Gauge Fields
Kalkreuter, Thomas
Multigrid methods were invented for the solution of discretized partial differential equations in order to overcome the slowness of traditional algorithms by updates on various length scales. In the present work generalizations of multigrid methods for propagators in gauge fields are investigated. Gauge fields are incorporated in algorithms in a covariant way. The kernel C of the restriction operator which averages from one grid to the next coarser grid is defined by projection on the ground-state of a local Hamiltonian. The idea behind this definition is that the appropriate notion of smoothness depends on the dynamics. The ground-state projection choice of C can be used in arbitrary dimension and for arbitrary gauge group. We discuss proper averaging operations for bosons and for staggered fermions. The kernels C can also be used in multigrid Monte Carlo simulations, and for the definition of block spins and blocked gauge fields in Monte Carlo renormalization group studies. Actual numerical computations are performed in four-dimensional SU(2) gauge fields. We prove that our proposals for block spins are “good”, using renormalization group arguments. A central result is that the multigrid method works in arbitrarily disordered gauge fields, in principle. It is proved that computations of propagators in gauge fields without critical slowing down are possible when one uses an ideal interpolation kernel. Unfortunately, the idealized algorithm is not practical, but it was important to answer questions of principle. Practical methods are able to outperform the conjugate gradient algorithm in case of bosons. The case of staggered fermions is harder. Multigrid methods give considerable speed-ups compared to conventional relaxation algorithms, but on lattices up to 184 conjugate gradient is superior.
Multigrid methods for fully implicit oil reservoir simulation
Energy Technology Data Exchange (ETDEWEB)
Molenaar, J.
1995-12-31
In this paper, the authors consider the simultaneous flow of oil and water in reservoir rock. This displacement process is modeled by two basic equations the material balance or continuity equations, and the equation of motion (Darcy`s law). For the numerical solution of this system of nonlinear partial differential equations, there are two approaches: the fully implicit or simultaneous solution method, and the sequential solution method. In this paper, the authors consider the possibility of applying multigrid methods for the iterative solution of the systems of nonlinear equations.
Annual Copper Mountain Conferences on Multigrid and Iterative Methods, Copper Mountain, Colorado
International Nuclear Information System (INIS)
McCormick, Stephen F.
2016-01-01
This project supported the Copper Mountain Conference on Multigrid and Iterative Methods, held from 2007 to 2015, at Copper Mountain, Colorado. The subject of the Copper Mountain Conference Series alternated between Multigrid Methods in odd-numbered years and Iterative Methods in even-numbered years. Begun in 1983, the Series represents an important forum for the exchange of ideas in these two closely related fields. This report describes the Copper Mountain Conference on Multigrid and Iterative Methods, 2007-2015. Information on the conference series is available at http://grandmaster.colorado.edu/~copper/
Annual Copper Mountain Conferences on Multigrid and Iterative Methods, Copper Mountain, Colorado
Energy Technology Data Exchange (ETDEWEB)
McCormick, Stephen F. [Front Range Scientific, Inc., Lake City, CO (United States)
2016-03-25
This project supported the Copper Mountain Conference on Multigrid and Iterative Methods, held from 2007 to 2015, at Copper Mountain, Colorado. The subject of the Copper Mountain Conference Series alternated between Multigrid Methods in odd-numbered years and Iterative Methods in even-numbered years. Begun in 1983, the Series represents an important forum for the exchange of ideas in these two closely related fields. This report describes the Copper Mountain Conference on Multigrid and Iterative Methods, 2007-2015. Information on the conference series is available at http://grandmaster.colorado.edu/~copper/.
International Nuclear Information System (INIS)
Solchenbach, K.; Thole, C.A.; Trottenberg, U.
1987-01-01
For a wide class of problems in scientific computing, in particular for partial differential equations, the multigrid principle has proved to yield highly efficient numerical methods. However, the principle has to be applied carefully: if the multigrid components are not chosen adequately with respect to the given problem, the efficiency may be much smaller than possible. This has been demonstrated for many practical problems. Unfortunately, the general theories on multigrid convergence do not give much help in constructing really efficient multigrid algorithms. Although some progress has been made in bridging the gap between theory and practice during the last few years, there are still several theoretical approaches which are misleading rather than helpful with respect to the objective of real efficiency. The research in finding highly efficient algorithms for non-model applications therefore is still a sophisticated mixture of theoretical considerations, a transfer of experiences from model to real life problems and systematical experimental work. The emphasis of the practical research activity today lies - among others - in the following fields: - finding efficient multigrid components for really complex problems, - combining the multigrid approach with advanced discretizative techniques: - constructing highly parallel multigrid algorithms. In this paper, we want to deal mainly with the last topic
Chen, Zhangxin; Ewing, Richard E.
1996-01-01
Multigrid algorithms for nonconforming and mixed finite element methods for second order elliptic problems on triangular and rectangular finite elements are considered. The construction of several coarse-to-fine intergrid transfer operators for nonconforming multigrid algorithms is discussed. The equivalence between the nonconforming and mixed finite element methods with and without projection of the coefficient of the differential problems into finite element spaces is described.
Multigrid methods for S/sub N/ problems
International Nuclear Information System (INIS)
Nowak, P.F.; Larsen, E.W.; Martin, W.R.
1987-01-01
It has long been known that the standard source iteration (SI) method for obtaining iterative solutions of S/sub N/ problems is very slowly converging in optically thick regions with low absorption. The rebalance and diffusion synthetic acceleration (DSA) methods are generalizations of SI that have been developed to accelerate convergence, but neither of these methods has been completely successful. In particular, the rebalance method tends to become unstable in problems where it is needed most (problems with high scattering ratios c = 1), while the DSA method, to be implemented in a stable fashion, requires the solution of a particular system of acceleration equations, and this has been done efficiently in two-dimensional geometries only for the diamond difference S/sub N/ equations. This paper discusses another extension of the SI method, namely, SI combined with the spatial multigrid algorithm (SIMG). This appears to be a viable way to accelerate many S/sub N/ problems in multidimensional geometries, provided the finest mesh consists of cells that are not optically thick
Copper Mountain conference on multigrid methods. Preliminary proceedings -- List of abstracts
Energy Technology Data Exchange (ETDEWEB)
NONE
1995-12-31
This report contains abstracts of the papers presented at the conference. Papers cover multigrid algorithms and applications of multigrid methods. Applications include the following: solution of elliptical problems; electric power grids; fluid mechanics; atmospheric data assimilation; thermocapillary effects on weld pool shape; boundary-value problems; prediction of hurricane tracks; modeling multi-dimensional combustion and detailed chemistry; black-oil reservoir simulation; image processing; and others.
Conservative multigrid methods for Cahn-Hilliard fluids
International Nuclear Information System (INIS)
Kim, Junseok; Kang, Kyungkeun; Lowengrub, John
2004-01-01
We develop a conservative, second-order accurate fully implicit discretization of the Navier-Stokes (NS) and Cahn-Hilliard (CH) system that has an associated discrete energy functional. This system provides a diffuse-interface description of binary fluid flows with compressible or incompressible flow components [R. Soc. Lond. Proc. Ser. A Math. Phys. Eng. Sci. 454 (1998) 2617]. In this work, we focus on the case of flows containing two immiscible, incompressible and density-matched components. The scheme, however, has a straightforward extension to multi-component systems. To efficiently solve the discrete system at the implicit time-level, we develop a nonlinear multigrid method to solve the CH equation which is then coupled to a projection method that is used to solve the NS equation. We demonstrate convergence of our scheme numerically in both the presence and absence of flow and perform simulations of phase separation via spinodal decomposition. We examine the separate effects of surface tension and external flow on the decomposition. We find surface tension driven flow alone increases coalescence rates through the retraction of interfaces. When there is an applied external shear, the evolution of the flow is nontrivial and the flow morphology repeats itself in time as multiple pinchoff and reconnection events occur. Eventually, the periodic motion ceases and the system relaxes to a global equilibrium. The equilibria we observe appears has a similar structure in all cases although the dynamics of the evolution is quite different. We view the work presented in this paper as preparatory for a detailed investigation of liquid-liquid interfaces with surface tension where the interfaces separate two immiscible fluids [On the pinchoff of liquid-liquid jets with surface tension, in preparation]. To this end, we also include a simulation of the pinchoff of a liquid thread under the Rayleigh instability at finite Reynolds number
Stochastic optimization methods
Marti, Kurt
2005-01-01
Optimization problems arising in practice involve random parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, deterministic substitute problems are needed. Based on the distribution of the random data, and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into deterministic substitute problems. Due to the occurring probabilities and expectations, approximative solution techniques must be applied. Deterministic and stochastic approximation methods and their analytical properties are provided: Taylor expansion, regression and response surface methods, probability inequalities, First Order Reliability Methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation methods, differentiation of probability and mean value functions. Convergence results of the resulting iterative solution procedures are given.
Multigrid for the Galerkin least squares method in linear elasticity: The pure displacement problem
Energy Technology Data Exchange (ETDEWEB)
Yoo, Jaechil [Univ. of Wisconsin, Madison, WI (United States)
1996-12-31
Franca and Stenberg developed several Galerkin least squares methods for the solution of the problem of linear elasticity. That work concerned itself only with the error estimates of the method. It did not address the related problem of finding effective methods for the solution of the associated linear systems. In this work, we prove the convergence of a multigrid (W-cycle) method. This multigrid is robust in that the convergence is uniform as the parameter, v, goes to 1/2 Computational experiments are included.
DEFF Research Database (Denmark)
Kolmogorov, Dmitry; Sørensen, Niels N.; Shen, Wen Zhong
2013-01-01
An Optimized Schwarz method using Robin boundary conditions for relaxation scheme is presented in the frame of Multigrid method on discontinuous grids. At each iteration the relaxation scheme is performed in two steps: one step with Dirichlet and another step with Robin boundary conditions at inn...
Hano, Mitsuo; Hotta, Masashi
A new multigrid method based on high-order vector finite elements is proposed in this paper. Low level discretizations in this method are obtained by using low-order vector finite elements for the same mesh. Gauss-Seidel method is used as a smoother, and a linear equation of lowest level is solved by ICCG method. But it is often found that multigrid solutions do not converge into ICCG solutions. An elimination algolithm of constant term using a null space of the coefficient matrix is also described. In three dimensional magnetostatic field analysis, convergence time and number of iteration of this multigrid method are discussed with the convectional ICCG method.
Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system
P. Luo (Peiyao); C. Rodrigo (Carmen); F.J. Gaspar Lorenz (Franscisco); C.W. Oosterlee (Cornelis)
2018-01-01
textabstractThe interaction between fluid flow and a deformable porous medium is a complicated multi-physics problem, which can be described by a coupled model based on the Stokes and poroelastic equations. A monolithic multigrid method together with either a coupled Vanka smoother or a decoupled
A multigrid Newton-Krylov method for flux-limited radiation diffusion
International Nuclear Information System (INIS)
Rider, W.J.; Knoll, D.A.; Olson, G.L.
1998-01-01
The authors focus on the integration of radiation diffusion including flux-limited diffusion coefficients. The nonlinear integration is accomplished with a Newton-Krylov method preconditioned with a multigrid Picard linearization of the governing equations. They investigate the efficiency of the linear and nonlinear iterative techniques
s-Step Krylov Subspace Methods as Bottom Solvers for Geometric Multigrid
Energy Technology Data Exchange (ETDEWEB)
Williams, Samuel [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Lijewski, Mike [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Almgren, Ann [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Straalen, Brian Van [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Carson, Erin [Univ. of California, Berkeley, CA (United States); Knight, Nicholas [Univ. of California, Berkeley, CA (United States); Demmel, James [Univ. of California, Berkeley, CA (United States)
2014-08-14
Geometric multigrid solvers within adaptive mesh refinement (AMR) applications often reach a point where further coarsening of the grid becomes impractical as individual sub domain sizes approach unity. At this point the most common solution is to use a bottom solver, such as BiCGStab, to reduce the residual by a fixed factor at the coarsest level. Each iteration of BiCGStab requires multiple global reductions (MPI collectives). As the number of BiCGStab iterations required for convergence grows with problem size, and the time for each collective operation increases with machine scale, bottom solves in large-scale applications can constitute a significant fraction of the overall multigrid solve time. In this paper, we implement, evaluate, and optimize a communication-avoiding s-step formulation of BiCGStab (CABiCGStab for short) as a high-performance, distributed-memory bottom solver for geometric multigrid solvers. This is the first time s-step Krylov subspace methods have been leveraged to improve multigrid bottom solver performance. We use a synthetic benchmark for detailed analysis and integrate the best implementation into BoxLib in order to evaluate the benefit of a s-step Krylov subspace method on the multigrid solves found in the applications LMC and Nyx on up to 32,768 cores on the Cray XE6 at NERSC. Overall, we see bottom solver improvements of up to 4.2x on synthetic problems and up to 2.7x in real applications. This results in as much as a 1.5x improvement in solver performance in real applications.
Lavery, N.; Taylor, C.
1999-07-01
Multigrid and iterative methods are used to reduce the solution time of the matrix equations which arise from the finite element (FE) discretisation of the time-independent equations of motion of the incompressible fluid in turbulent motion. Incompressible flow is solved by using the method of reduce interpolation for the pressure to satisfy the Brezzi-Babuska condition. The k-l model is used to complete the turbulence closure problem. The non-symmetric iterative matrix methods examined are the methods of least squares conjugate gradient (LSCG), biconjugate gradient (BCG), conjugate gradient squared (CGS), and the biconjugate gradient squared stabilised (BCGSTAB). The multigrid algorithm applied is based on the FAS algorithm of Brandt, and uses two and three levels of grids with a V-cycling schedule. These methods are all compared to the non-symmetric frontal solver. Copyright
Multilevel local refinement and multigrid methods for 3-D turbulent flow
Energy Technology Data Exchange (ETDEWEB)
Liao, C.; Liu, C. [UCD, Denver, CO (United States); Sung, C.H.; Huang, T.T. [David Taylor Model Basin, Bethesda, MD (United States)
1996-12-31
A numerical approach based on multigrid, multilevel local refinement, and preconditioning methods for solving incompressible Reynolds-averaged Navier-Stokes equations is presented. 3-D turbulent flow around an underwater vehicle is computed. 3 multigrid levels and 2 local refinement grid levels are used. The global grid is 24 x 8 x 12. The first patch is 40 x 16 x 20 and the second patch is 72 x 32 x 36. 4th order artificial dissipation are used for numerical stability. The conservative artificial compressibility method are used for further improvement of convergence. To improve the accuracy of coarse/fine grid interface of local refinement, flux interpolation method for refined grid boundary is used. The numerical results are in good agreement with experimental data. The local refinement can improve the prediction accuracy significantly. The flux interpolation method for local refinement can keep conservation for a composite grid, therefore further modify the prediction accuracy.
Multidimensional radiative transfer with multilevel atoms. II. The non-linear multigrid method.
Fabiani Bendicho, P.; Trujillo Bueno, J.; Auer, L.
1997-08-01
A new iterative method for solving non-LTE multilevel radiative transfer (RT) problems in 1D, 2D or 3D geometries is presented. The scheme obtains the self-consistent solution of the kinetic and RT equations at the cost of only a few (iteration (Brandt, 1977, Math. Comp. 31, 333; Hackbush, 1985, Multi-Grid Methods and Applications, springer-Verlag, Berlin), an efficient multilevel RT scheme based on Gauss-Seidel iterations (cf. Trujillo Bueno & Fabiani Bendicho, 1995ApJ...455..646T), and accurate short-characteristics formal solution techniques. By combining a valid stopping criterion with a nested-grid strategy a converged solution with the desired true error is automatically guaranteed. Contrary to the current operator splitting methods the very high convergence speed of the new RT method does not deteriorate when the grid spatial resolution is increased. With this non-linear multigrid method non-LTE problems discretized on N grid points are solved in O(N) operations. The nested multigrid RT method presented here is, thus, particularly attractive in complicated multilevel transfer problems where small grid-sizes are required. The properties of the method are analyzed both analytically and with illustrative multilevel calculations for Ca II in 1D and 2D schematic model atmospheres.
Energy Technology Data Exchange (ETDEWEB)
Gjesdal, Thor
1997-12-31
This thesis discusses the development and application of efficient numerical methods for the simulation of fluid flows, in particular the flow of incompressible fluids. The emphasis is on practical aspects of algorithm development and on application of the methods either to linear scalar model equations or to the non-linear incompressible Navier-Stokes equations. The first part deals with cell centred multigrid methods and linear correction scheme and presents papers on (1) generalization of the method to arbitrary sized grids for diffusion problems, (2) low order method for advection-diffusion problems, (3) attempt to extend the basic method to advection-diffusion problems, (4) Fourier smoothing analysis of multicolour relaxation schemes, and (5) analysis of high-order discretizations for advection terms. The second part discusses a multigrid based on pressure correction methods, non-linear full approximation scheme, and papers on (1) systematic comparison of the performance of different pressure correction smoothers and some other algorithmic variants, low to moderate Reynolds numbers, and (2) systematic study of implementation strategies for high order advection schemes, high-Re flow. An appendix contains Fortran 90 data structures for multigrid development. 160 refs., 26 figs., 22 tabs.
The Closest Point Method and Multigrid Solvers for Elliptic Equations on Surfaces
Chen, Yujia
2015-01-01
© 2015 Society for Industrial and Applied Mathematics. Elliptic partial differential equations are important from both application and analysis points of view. In this paper we apply the closest point method to solve elliptic equations on general curved surfaces. Based on the closest point representation of the underlying surface, we formulate an embedding equation for the surface elliptic problem, then discretize it using standard finite differences and interpolation schemes on banded but uniform Cartesian grids. We prove the convergence of the difference scheme for the Poisson\\'s equation on a smooth closed curve. In order to solve the resulting large sparse linear systems, we propose a specific geometric multigrid method in the setting of the closest point method. Convergence studies in both the accuracy of the difference scheme and the speed of the multigrid algorithm show that our approaches are effective.
Multigrid Finite Element Method in Calculation of 3D Homogeneous and Composite Solids
Directory of Open Access Journals (Sweden)
A.D. Matveev
2016-12-01
Full Text Available In the present paper, a method of multigrid finite elements to calculate elastic three-dimensional homogeneous and composite solids under static loading has been suggested. The method has been developed based on the finite element method algorithms using homogeneous and composite three-dimensional multigrid finite elements (MFE. The procedures for construction of MFE of both rectangular parallelepiped and complex shapes have been shown. The advantages of MFE are that they take into account, following the rules of the microapproach, heterogeneous and microhomogeneous structures of the bodies, describe the three-dimensional stress-strain state (without any simplifying hypotheses in homogeneous and composite solids, as well as generate small dimensional discrete models and numerical solutions with a high accuracy.
Analysis of multigrid methods on massively parallel computers: Architectural implications
Matheson, Lesley R.; Tarjan, Robert E.
1993-01-01
We study the potential performance of multigrid algorithms running on massively parallel computers with the intent of discovering whether presently envisioned machines will provide an efficient platform for such algorithms. We consider the domain parallel version of the standard V cycle algorithm on model problems, discretized using finite difference techniques in two and three dimensions on block structured grids of size 10(exp 6) and 10(exp 9), respectively. Our models of parallel computation were developed to reflect the computing characteristics of the current generation of massively parallel multicomputers. These models are based on an interconnection network of 256 to 16,384 message passing, 'workstation size' processors executing in an SPMD mode. The first model accomplishes interprocessor communications through a multistage permutation network. The communication cost is a logarithmic function which is similar to the costs in a variety of different topologies. The second model allows single stage communication costs only. Both models were designed with information provided by machine developers and utilize implementation derived parameters. With the medium grain parallelism of the current generation and the high fixed cost of an interprocessor communication, our analysis suggests an efficient implementation requires the machine to support the efficient transmission of long messages, (up to 1000 words) or the high initiation cost of a communication must be significantly reduced through an alternative optimization technique. Furthermore, with variable length message capability, our analysis suggests the low diameter multistage networks provide little or no advantage over a simple single stage communications network.
Multigrid techniques with non-standard coarsening and group relaxation methods
International Nuclear Information System (INIS)
Danaee, A.
1989-06-01
In the usual (standard) multigrid methods, doubling of grid sizes with different smoothing iterations (pointwise, or blockwise) has been considered by different authors. Some have indicated that a large coarsening can also be used, but is not beneficial (cf. H3, p.59). In this paper, it is shown that with a suitable blockwise smoothing scheme, some advantages could be achieved even with a factor of H l-1 /h l = 3. (author). 10 refs, 2 figs, 6 tabs
A first-order multigrid method for bound-constrained convex optimization
Czech Academy of Sciences Publication Activity Database
Kočvara, Michal; Mohammed, S.
2016-01-01
Roč. 31, č. 3 (2016), s. 622-644 ISSN 1055-6788 R&D Projects: GA ČR(CZ) GAP201/12/0671 Grant - others:European Commission - EC(XE) 313781 Institutional support: RVO:67985556 Keywords : bound-constrained optimization * multigrid methods * linear complementarity problems Subject RIV: BA - General Mathematics Impact factor: 1.023, year: 2016 http://library.utia.cas.cz/separaty/2016/MTR/kocvara-0460326.pdf
Kallianpur, Gopinath; Hida, Takeyuki
1987-01-01
The use of probabilistic methods in the biological sciences has been so well established by now that mathematical biology is regarded by many as a distinct dis cipline with its own repertoire of techniques. The purpose of the Workshop on sto chastic methods in biology held at Nagoya University during the week of July 8-12, 1985, was to enable biologists and probabilists from Japan and the U. S. to discuss the latest developments in their respective fields and to exchange ideas on the ap plicability of the more recent developments in stochastic process theory to problems in biology. Eighteen papers were presented at the Workshop and have been grouped under the following headings: I. Population genetics (five papers) II. Measure valued diffusion processes related to population genetics (three papers) III. Neurophysiology (two papers) IV. Fluctuation in living cells (two papers) V. Mathematical methods related to other problems in biology, epidemiology, population dynamics, etc. (six papers) An important f...
Chen, Hui; Deng, Ju-Zhi; Yin, Min; Yin, Chang-Chun; Tang, Wen-Wu
2017-03-01
To speed up three-dimensional (3D) DC resistivity modeling, we present a new multigrid method, the aggregation-based algebraic multigrid method (AGMG). We first discretize the differential equation of the secondary potential field with mixed boundary conditions by using a seven-point finite-difference method to obtain a large sparse system of linear equations. Then, we introduce the theory behind the pairwise aggregation algorithms for AGMG and use the conjugate-gradient method with the V-cycle AGMG preconditioner (AGMG-CG) to solve the linear equations. We use typical geoelectrical models to test the proposed AGMG-CG method and compare the results with analytical solutions and the 3DDCXH algorithm for 3D DC modeling (3DDCXH). In addition, we apply the AGMG-CG method to different grid sizes and geoelectrical models and compare it to different iterative methods, such as ILU-BICGSTAB, ILU-GCR, and SSOR-CG. The AGMG-CG method yields nearly linearly decreasing errors, whereas the number of iterations increases slowly with increasing grid size. The AGMG-CG method is precise and converges fast, and thus can improve the computational efficiency in forward modeling of three-dimensional DC resistivity.
Multigrid preconditioned conjugate-gradient method for large-scale wave-front reconstruction.
Gilles, Luc; Vogel, Curtis R; Ellerbroek, Brent L
2002-09-01
We introduce a multigrid preconditioned conjugate-gradient (MGCG) iterative scheme for computing open-loop wave-front reconstructors for extreme adaptive optics systems. We present numerical simulations for a 17-m class telescope with n = 48756 sensor measurement grid points within the aperture, which indicate that our MGCG method has a rapid convergence rate for a wide range of subaperture average slope measurement signal-to-noise ratios. The total computational cost is of order n log n. Hence our scheme provides for fast wave-front simulation and control in large-scale adaptive optics systems.
Is the Multigrid Method Fault Tolerant? The Two-Grid Case
Energy Technology Data Exchange (ETDEWEB)
Ainsworth, Mark [Brown Univ., Providence, RI (United States). Division of Applied Mathematics; Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States). Computer Science and Mathematics Division; Glusa, Christian [Brown Univ., Providence, RI (United States). Division of Applied Mathematics
2016-06-30
The predicted reduced resiliency of next-generation high performance computers means that it will become necessary to take into account the effects of randomly occurring faults on numerical methods. Further, in the event of a hard fault occurring, a decision has to be made as to what remedial action should be taken in order to resume the execution of the algorithm. The action that is chosen can have a dramatic effect on the performance and characteristics of the scheme. Ideally, the resulting algorithm should be subjected to the same kind of mathematical analysis that was applied to the original, deterministic variant. The purpose of this work is to provide an analysis of the behaviour of the multigrid algorithm in the presence of faults. Multigrid is arguably the method of choice for the solution of large-scale linear algebra problems arising from discretization of partial differential equations and it is of considerable importance to anticipate its behaviour on an exascale machine. The analysis of resilience of algorithms is in its infancy and the current work is perhaps the first to provide a mathematical model for faults and analyse the behaviour of a state-of-the-art algorithm under the model. It is shown that the Two Grid Method fails to be resilient to faults. Attention is then turned to identifying the minimal necessary remedial action required to restore the rate of convergence to that enjoyed by the ideal fault-free method.
Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system
Luo, P.; Rodrigo, C.; Gaspar, F. J.; Oosterlee, C. W.
2018-01-01
The interaction between fluid flow and a deformable porous medium is a complicated multi-physics problem, which can be described by a coupled model based on the Stokes and poroelastic equations. A monolithic multigrid method together with either a coupled Vanka smoother or a decoupled Uzawa smoother is employed as an efficient numerical technique for the linear discrete system obtained by finite volumes on staggered grids. A specialty in our modeling approach is that at the interface of the fluid and poroelastic medium, two unknowns from the different subsystems are defined at the same grid point. We propose a special discretization at and near the points on the interface, which combines the approximation of the governing equations and the considered interface conditions. In the decoupled Uzawa smoother, Local Fourier Analysis (LFA) helps us to select optimal values of the relaxation parameter appearing. To implement the monolithic multigrid method, grid partitioning is used to deal with the interface updates when communication is required between two subdomains. Numerical experiments show that the proposed numerical method has an excellent convergence rate. The efficiency and robustness of the method are confirmed in numerical experiments with typically small realistic values of the physical coefficients.
Scalable smoothing strategies for a geometric multigrid method for the immersed boundary equations
Energy Technology Data Exchange (ETDEWEB)
Bhalla, Amneet Pal Singh [Univ. of North Carolina, Chapel Hill, NC (United States); Knepley, Matthew G. [Rice Univ., Houston, TX (United States); Adams, Mark F. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Guy, Robert D. [Univ. of California, Davis, CA (United States); Griffith, Boyce E. [Univ. of North Carolina, Chapel Hill, NC (United States)
2016-12-20
The immersed boundary (IB) method is a widely used approach to simulating fluid-structure interaction (FSI). Although explicit versions of the IB method can suffer from severe time step size restrictions, these methods remain popular because of their simplicity and generality. In prior work (Guy et al., Adv Comput Math, 2015), some of us developed a geometric multigrid preconditioner for a stable semi-implicit IB method under Stokes flow conditions; however, this solver methodology used a Vanka-type smoother that presented limited opportunities for parallelization. This work extends this Stokes-IB solver methodology by developing smoothing techniques that are suitable for parallel implementation. Specifically, we demonstrate that an additive version of the Vanka smoother can yield an effective multigrid preconditioner for the Stokes-IB equations, and we introduce an efficient Schur complement-based smoother that is also shown to be effective for the Stokes-IB equations. We investigate the performance of these solvers for a broad range of material stiffnesses, both for Stokes flows and flows at nonzero Reynolds numbers, and for thick and thin structural models. We show here that linear solver performance degrades with increasing Reynolds number and material stiffness, especially for thin interface cases. Nonetheless, the proposed approaches promise to yield effective solution algorithms, especially at lower Reynolds numbers and at modest-to-high elastic stiffnesses.
On the fixed-stress split scheme as smoother in multigrid methods for coupling flow and geomechanics
F.J. Gaspar Lorenz (Franscisco); C. Rodrigo (Carmen)
2017-01-01
textabstractThe fixed-stress split method has been widely used as solution method in the coupling of flow and geomechanics. In this work, we analyze the behavior of an inexact version of this algorithm as smoother within a geometric multigrid method, in order to obtain an efficient monolithic solver
STOCHASTIC METHODS IN RISK ANALYSIS
Directory of Open Access Journals (Sweden)
Vladimíra OSADSKÁ
2017-06-01
Full Text Available In this paper, we review basic stochastic methods which can be used to extend state-of-the-art deterministic analytical methods for risk analysis. We can conclude that the standard deterministic analytical methods highly depend on the practical experience and knowledge of the evaluator and therefore, the stochastic methods should be introduced. The new risk analysis methods should consider the uncertainties in input values. We present how large is the impact on the results of the analysis solving practical example of FMECA with uncertainties modelled using Monte Carlo sampling.
Cellular Automaton Modeling of Dendritic Growth Using a Multi-grid Method
International Nuclear Information System (INIS)
Natsume, Y; Ohsasa, K
2015-01-01
A two-dimensional cellular automaton model with a multi-grid method was developed to simulate dendritic growth. In the present model, we used a triple-grid system for temperature, solute concentration and solid fraction fields as a new approach of the multi-grid method. In order to evaluate the validity of the present model, we carried out simulations of single dendritic growth, secondary dendrite arm growth, multi-columnar dendritic growth and multi-equiaxed dendritic growth. From the results of the grid dependency from the simulation of single dendritic growth, we confirmed that the larger grid can be used in the simulation and that the computational time can be reduced dramatically. In the simulation of secondary dendrite arm growth, the results from the present model were in good agreement with the experimental data and the simulated results from a phase-field model. Thus, the present model can quantitatively simulate dendritic growth. From the simulated results of multi-columnar and multi-equiaxed dendrites, we confirmed that the present model can perform simulations under practical solidification conditions. (paper)
Stochastic methods in quantum mechanics
Gudder, Stanley P
2005-01-01
Practical developments in such fields as optical coherence, communication engineering, and laser technology have developed from the applications of stochastic methods. This introductory survey offers a broad view of some of the most useful stochastic methods and techniques in quantum physics, functional analysis, probability theory, communications, and electrical engineering. Starting with a history of quantum mechanics, it examines both the quantum logic approach and the operational approach, with explorations of random fields and quantum field theory.The text assumes a basic knowledge of fun
Atkins, H. L.; Helenbrook, B. T.
2005-01-01
This paper describes numerical experiments with P-multigrid to corroborate analysis, validate the present implementation, and to examine issues that arise in the implementations of the various combinations of relaxation schemes, discretizations and P-multigrid methods. The two approaches to implement P-multigrid presented here are equivalent for most high-order discretization methods such as spectral element, SUPG, and discontinuous Galerkin applied to advection; however it is discovered that the approach that mimics the common geometric multigrid implementation is less robust, and frequently unstable when applied to discontinuous Galerkin discretizations of di usion. Gauss-Seidel relaxation converges 40% faster than block Jacobi, as predicted by analysis; however, the implementation of Gauss-Seidel is considerably more expensive that one would expect because gradients in most neighboring elements must be updated. A compromise quasi Gauss-Seidel relaxation method that evaluates the gradient in each element twice per iteration converges at rates similar to those predicted for true Gauss-Seidel.
The finite volume element (FVE) and multigrid method for the incompressible Navier-Stokes equations
International Nuclear Information System (INIS)
Gu Lizhen; Bao Weizhu
1992-01-01
The authors apply FVE method to discrete INS equations with the original variable, in which the bilinear square finite element and the square finite volume are chosen. The discrete schemes of INS equations are presented. The FMV multigrid algorithm is applied to solve that discrete system, where DGS iteration is used as smoother, DGS distributive mode for the INS discrete system is also presented. The sample problems for the square cavity flow with Reynolds number Re≤100 are successfully calculated. The numerical solutions show that the results with 1 FMV is satisfactory and when Re is not large, The FVE discrete scheme of the conservative INS equations and that of non-conservative INS equations with linearization both can provide almost same accuracy
Stochastic Generalized Method of Moments
Yin, Guosheng; Ma, Yanyuan; Liang, Faming; Yuan, Ying
2011-01-01
The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to the special structure of the GMM, we propose a new sampling-based algorithm, the stochastic GMM sampler, which replaces the multivariate minimization problem by a series of conditional sampling procedures. We develop the theoretical properties of the proposed iterative Monte Carlo method, and demonstrate its superior performance over other GMM estimation procedures in simulation studies. As an illustration, we apply the stochastic GMM sampler to a Medfly life longevity study. Supplemental materials for the article are available online. © 2011 American Statistical Association.
Stochastic Generalized Method of Moments
Yin, Guosheng
2011-08-16
The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to the special structure of the GMM, we propose a new sampling-based algorithm, the stochastic GMM sampler, which replaces the multivariate minimization problem by a series of conditional sampling procedures. We develop the theoretical properties of the proposed iterative Monte Carlo method, and demonstrate its superior performance over other GMM estimation procedures in simulation studies. As an illustration, we apply the stochastic GMM sampler to a Medfly life longevity study. Supplemental materials for the article are available online. © 2011 American Statistical Association.
Toward robust scalable algebraic multigrid solvers
International Nuclear Information System (INIS)
Waisman, Haim; Schroder, Jacob; Olson, Luke; Hiriyur, Badri; Gaidamour, Jeremie; Siefert, Christopher; Hu, Jonathan Joseph; Tuminaro, Raymond Stephen
2010-01-01
This talk highlights some multigrid challenges that arise from several application areas including structural dynamics, fluid flow, and electromagnetics. A general framework is presented to help introduce and understand algebraic multigrid methods based on energy minimization concepts. Connections between algebraic multigrid prolongators and finite element basis functions are made to explored. It is shown how the general algebraic multigrid framework allows one to adapt multigrid ideas to a number of different situations. Examples are given corresponding to linear elasticity and specifically in the solution of linear systems associated with extended finite elements for fracture problems.
On a multigrid method for the coupled Stokes and porous media flow problem
Luo, P.; Rodrigo, C.; Gaspar, F. J.; Oosterlee, C. W.
2017-07-01
The multigrid solution of coupled porous media and Stokes flow problems is considered. The Darcy equation as the saturated porous medium model is coupled to the Stokes equations by means of appropriate interface conditions. We focus on an efficient multigrid solution technique for the coupled problem, which is discretized by finite volumes on staggered grids, giving rise to a saddle point linear system. Special treatment is required regarding the discretization at the interface. An Uzawa smoother is employed in multigrid, which is a decoupled procedure based on symmetric Gauss-Seidel smoothing for velocity components and a simple Richardson iteration for the pressure field. Since a relaxation parameter is part of a Richardson iteration, Local Fourier Analysis (LFA) is applied to determine the optimal parameters. Highly satisfactory multigrid convergence is reported, and, moreover, the algorithm performs well for small values of the hydraulic conductivity and fluid viscosity, that are relevant for applications.
Lv, X.; Zhao, Y.; Huang, X. Y.; Xia, G. H.; Su, X. H.
2007-07-01
A new three-dimensional (3D) matrix-free implicit unstructured multigrid finite volume (FV) solver for structural dynamics is presented in this paper. The solver is first validated using classical 2D and 3D cantilever problems. It is shown that very accurate predictions of the fundamental natural frequencies of the problems can be obtained by the solver with fast convergence rates. This method has been integrated into our existing FV compressible solver [X. Lv, Y. Zhao, et al., An efficient parallel/unstructured-multigrid preconditioned implicit method for simulating 3d unsteady compressible flows with moving objects, Journal of Computational Physics 215(2) (2006) 661-690] based on the immersed membrane method (IMM) [X. Lv, Y. Zhao, et al., as mentioned above]. Results for the interaction between the fluid and an immersed fixed-free cantilever are also presented to demonstrate the potential of this integrated fluid-structure interaction approach.
An application of multigrid methods for a discrete elastic model for epitaxial systems
International Nuclear Information System (INIS)
Caflisch, R.E.; Lee, Y.-J.; Shu, S.; Xiao, Y.-X.; Xu, J.
2006-01-01
We apply an efficient and fast algorithm to simulate the atomistic strain model for epitaxial systems, recently introduced by Schindler et al. [Phys. Rev. B 67, 075316 (2003)]. The discrete effects in this lattice statics model are crucial for proper simulation of the influence of strain for thin film epitaxial growth, but the size of the atomistic systems of interest is in general quite large and hence the solution of the discrete elastic equations is a considerable numerical challenge. In this paper, we construct an algebraic multigrid method suitable for efficient solution of the large scale discrete strain model. Using this method, simulations are performed for several representative physical problems, including an infinite periodic step train, a layered nanocrystal, and a system of quantum dots. The results demonstrate the effectiveness and robustness of the method and show that the method attains optimal convergence properties, regardless of the problem size, the geometry and the physical parameters. The effects of substrate depth and of invariance due to traction-free boundary conditions are assessed. For a system of quantum dots, the simulated strain energy density supports the observations that trench formation near the dots provides strain relief
Finite volume multigrid method of the planar contraction flow of a viscoelastic fluid
Moatssime, H. Al; Esselaoui, D.; Hakim, A.; Raghay, S.
2001-08-01
This paper reports on a numerical algorithm for the steady flow of viscoelastic fluid. The conservative and constitutive equations are solved using the finite volume method (FVM) with a hybrid scheme for the velocities and first-order upwind approximation for the viscoelastic stress. A non-uniform staggered grid system is used. The iterative SIMPLE algorithm is employed to relax the coupled momentum and continuity equations. The non-linear algebraic equations over the flow domain are solved iteratively by the symmetrical coupled Gauss-Seidel (SCGS) method. In both, the full approximation storage (FAS) multigrid algorithm is used. An Oldroyd-B fluid model was selected for the calculation. Results are reported for planar 4:1 abrupt contraction at various Weissenberg numbers. The solutions are found to be stable and smooth. The solutions show that at high Weissenberg number the domain must be long enough. The convergence of the method has been verified with grid refinement. All the calculations have been performed on a PC equipped with a Pentium III processor at 550 MHz. Copyright
Summary Report: Multigrid for Systems of Elliptic PDEs
Energy Technology Data Exchange (ETDEWEB)
Lee, Barry [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
2016-11-17
We are interested in determining if multigrid can be effectively applied to the system. The conclusion that I seem to be drawn to is that it is impossible to develop a blackbox multigrid solver for these general systems. Analysis of the system of PDEs must be conducted first to determine pre-processing procedures on the continuous problem before applying a multigrid method. Determining this pre-processing is currently not incorporated in black-box multigrid strategies. Nevertheless, we characterize some system features that will make the system more amenable to multigrid approaches, techniques that may lead to more amenable systems, and multigrid procedures that are generally more appropriate for these systems.
Analysis of a parallel multigrid algorithm
Chan, Tony F.; Tuminaro, Ray S.
1989-01-01
The parallel multigrid algorithm of Frederickson and McBryan (1987) is considered. This algorithm uses multiple coarse-grid problems (instead of one problem) in the hope of accelerating convergence and is found to have a close relationship to traditional multigrid methods. Specifically, the parallel coarse-grid correction operator is identical to a traditional multigrid coarse-grid correction operator, except that the mixing of high and low frequencies caused by aliasing error is removed. Appropriate relaxation operators can be chosen to take advantage of this property. Comparisons between the standard multigrid and the new method are made.
Development of new multigrid schemes for the method of characteristics in neutron transport theory
International Nuclear Information System (INIS)
Grassi, G.
2006-01-01
This dissertation is based upon our doctoral research that dealt with the conception and development of new non-linear multigrid techniques for the Method of the Characteristics (MOC) within the TDT code. Here we focus upon a two-level scheme consisting of a fine level on which the neutron transport equation is iteratively solved using the MOC algorithm, and a coarse level defined by a more coarsely discretized phase space on which a low-order problem is considered. The solution of this problem is then used in order to correct the angular flux moments resulting from the previous transport iteration. A flux-volume homogenization procedure is employed to evaluate the coarse-level material properties after each transport iteration. This entails the non-linearity of the methods. According to the Generalised Equivalence Theory (GET), additional degrees of freedom are introduced for the low-order problem so that the convergence of the acceleration scheme can be ensured. We present two classes of non-linear methods: transport-like methods and discussion-like methods. Transport-like methods consider a homogenized low-order transport problem on the coarse level. This problem is iteratively solved using the same MOC algorithm as for the transport problem on the fine level. Discontinuity factors are then employed, per region or per surface, in order to reconstruct the currents evaluated by the low-order operator, which ensure the convergence of the acceleration scheme. On the other hand, discussion-like methods consider a low-order problem inspired by diffusion. We studied the non-linear Coarse Mesh Finite Difference (CMFD) method, already present in literature, in the perspective of integrating it into TDT code. Then, we developed a new non-linear method on the model of CMFD. From the latter, we borrowed the idea to establish a simple relation between currents and fluxes in order to obtain a problem involving only coarse fluxes. Finally, those non-linear methods have been
An Optimal Order Nonnested Mixed Multigrid Method for Generalized Stokes Problems
Deng, Qingping
1996-01-01
A multigrid algorithm is developed and analyzed for generalized Stokes problems discretized by various nonnested mixed finite elements within a unified framework. It is abstractly proved by an element-independent analysis that the multigrid algorithm converges with an optimal order if there exists a 'good' prolongation operator. A technique to construct a 'good' prolongation operator for nonnested multilevel finite element spaces is proposed. Its basic idea is to introduce a sequence of auxiliary nested multilevel finite element spaces and define a prolongation operator as a composite operator of two single grid level operators. This makes not only the construction of a prolongation operator much easier (the final explicit forms of such prolongation operators are fairly simple), but the verification of the approximate properties for prolongation operators is also simplified. Finally, as an application, the framework and technique is applied to seven typical nonnested mixed finite elements.
STOCHASTIC GRADIENT METHODS FOR UNCONSTRAINED OPTIMIZATION
Directory of Open Access Journals (Sweden)
Nataša Krejić
2014-12-01
Full Text Available This papers presents an overview of gradient based methods for minimization of noisy functions. It is assumed that the objective functions is either given with error terms of stochastic nature or given as the mathematical expectation. Such problems arise in the context of simulation based optimization. The focus of this presentation is on the gradient based Stochastic Approximation and Sample Average Approximation methods. The concept of stochastic gradient approximation of the true gradient can be successfully extended to deterministic problems. Methods of this kind are presented for the data fitting and machine learning problems.
Discrete Fourier analysis of multigrid algorithms
van der Vegt, Jacobus J.W.; Rhebergen, Sander
2011-01-01
The main topic of this report is a detailed discussion of the discrete Fourier multilevel analysis of multigrid algorithms. First, a brief overview of multigrid methods is given for discretizations of both linear and nonlinear partial differential equations. Special attention is given to the
Statistical Methods for Stochastic Differential Equations
Kessler, Mathieu; Sorensen, Michael
2012-01-01
The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research. The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a sp
Self-correcting Multigrid Solver
International Nuclear Information System (INIS)
Lewandowski, Jerome L.V.
2004-01-01
A new multigrid algorithm based on the method of self-correction for the solution of elliptic problems is described. The method exploits information contained in the residual to dynamically modify the source term (right-hand side) of the elliptic problem. It is shown that the self-correcting solver is more efficient at damping the short wavelength modes of the algebraic error than its standard equivalent. When used in conjunction with a multigrid method, the resulting solver displays an improved convergence rate with no additional computational work
Fastest Rates for Stochastic Mirror Descent Methods
Hanzely, Filip
2018-03-20
Relative smoothness - a notion introduced by Birnbaum et al. (2011) and rediscovered by Bauschke et al. (2016) and Lu et al. (2016) - generalizes the standard notion of smoothness typically used in the analysis of gradient type methods. In this work we are taking ideas from well studied field of stochastic convex optimization and using them in order to obtain faster algorithms for minimizing relatively smooth functions. We propose and analyze two new algorithms: Relative Randomized Coordinate Descent (relRCD) and Relative Stochastic Gradient Descent (relSGD), both generalizing famous algorithms in the standard smooth setting. The methods we propose can be in fact seen as a particular instances of stochastic mirror descent algorithms. One of them, relRCD corresponds to the first stochastic variant of mirror descent algorithm with linear convergence rate.
Fastest Rates for Stochastic Mirror Descent Methods
Hanzely, Filip; Richtarik, Peter
2018-01-01
Relative smoothness - a notion introduced by Birnbaum et al. (2011) and rediscovered by Bauschke et al. (2016) and Lu et al. (2016) - generalizes the standard notion of smoothness typically used in the analysis of gradient type methods. In this work we are taking ideas from well studied field of stochastic convex optimization and using them in order to obtain faster algorithms for minimizing relatively smooth functions. We propose and analyze two new algorithms: Relative Randomized Coordinate Descent (relRCD) and Relative Stochastic Gradient Descent (relSGD), both generalizing famous algorithms in the standard smooth setting. The methods we propose can be in fact seen as a particular instances of stochastic mirror descent algorithms. One of them, relRCD corresponds to the first stochastic variant of mirror descent algorithm with linear convergence rate.
Coco, Armando; Russo, Giovanni
2018-05-01
In this paper we propose a second-order accurate numerical method to solve elliptic problems with discontinuous coefficients (with general non-homogeneous jumps in the solution and its gradient) in 2D and 3D. The method consists of a finite-difference method on a Cartesian grid in which complex geometries (boundaries and interfaces) are embedded, and is second order accurate in the solution and the gradient itself. In order to avoid the drop in accuracy caused by the discontinuity of the coefficients across the interface, two numerical values are assigned on grid points that are close to the interface: a real value, that represents the numerical solution on that grid point, and a ghost value, that represents the numerical solution extrapolated from the other side of the interface, obtained by enforcing the assigned non-homogeneous jump conditions on the solution and its flux. The method is also extended to the case of matrix coefficient. The linear system arising from the discretization is solved by an efficient multigrid approach. Unlike the 1D case, grid points are not necessarily aligned with the normal derivative and therefore suitable stencils must be chosen to discretize interface conditions in order to achieve second order accuracy in the solution and its gradient. A proper treatment of the interface conditions will allow the multigrid to attain the optimal convergence factor, comparable with the one obtained by Local Fourier Analysis for rectangular domains. The method is robust enough to handle large jump in the coefficients: order of accuracy, monotonicity of the errors and good convergence factor are maintained by the scheme.
Stochastic development regression using method of moments
DEFF Research Database (Denmark)
Kühnel, Line; Sommer, Stefan Horst
2017-01-01
This paper considers the estimation problem arising when inferring parameters in the stochastic development regression model for manifold valued non-linear data. Stochastic development regression captures the relation between manifold-valued response and Euclidean covariate variables using...... the stochastic development construction. It is thereby able to incorporate several covariate variables and random effects. The model is intrinsically defined using the connection of the manifold, and the use of stochastic development avoids linearizing the geometry. We propose to infer parameters using...... the Method of Moments procedure that matches known constraints on moments of the observations conditional on the latent variables. The performance of the model is investigated in a simulation example using data on finite dimensional landmark manifolds....
Doubly stochastic radial basis function methods
Yang, Fenglian; Yan, Liang; Ling, Leevan
2018-06-01
We propose a doubly stochastic radial basis function (DSRBF) method for function recoveries. Instead of a constant, we treat the RBF shape parameters as stochastic variables whose distribution were determined by a stochastic leave-one-out cross validation (LOOCV) estimation. A careful operation count is provided in order to determine the ranges of all the parameters in our methods. The overhead cost for setting up the proposed DSRBF method is O (n2) for function recovery problems with n basis. Numerical experiments confirm that the proposed method not only outperforms constant shape parameter formulation (in terms of accuracy with comparable computational cost) but also the optimal LOOCV formulation (in terms of both accuracy and computational cost).
Compressible cavitation with stochastic field method
Class, Andreas; Dumond, Julien
2012-11-01
Non-linear phenomena can often be well described using probability density functions (pdf) and pdf transport models. Traditionally the simulation of pdf transport requires Monte-Carlo codes based on Lagrange particles or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic field method solving pdf transport based on Euler fields has been proposed which eliminates the necessity to mix Euler and Lagrange techniques or prescribed pdf assumptions. In the present work, part of the PhD Design and analysis of a Passive Outflow Reducer relying on cavitation, a first application of the stochastic field method to multi-phase flow and in particular to cavitating flow is presented. The application considered is a nozzle subjected to high velocity flow so that sheet cavitation is observed near the nozzle surface in the divergent section. It is demonstrated that the stochastic field formulation captures the wide range of pdf shapes present at different locations. The method is compatible with finite-volume codes where all existing physical models available for Lagrange techniques, presumed pdf or binning methods can be easily extended to the stochastic field formulation.
International Nuclear Information System (INIS)
Kanki, Takashi; Uyama, Tadao; Tokuda, Shinji.
1995-07-01
In the numerical method to compute the matching data which are necessary for resistive MHD stability analyses, it is required to solve the eigenvalue problem and the associated singular equation. An iterative method is developed to solve the eigenvalue problem and the singular equation. In this method, the eigenvalue problem is replaced with an equivalent nonlinear equation and a singular equation is derived from Newton's method for the nonlinear equation. The multi-grid method (MGM), a high speed iterative method, can be applied to this method. The convergence of the eigenvalue and the eigenvector, and the CPU time in this method are investigated for a model equation. It is confirmed from the numerical results that this method is effective for solving the eigenvalue problem and the singular equation with numerical stability and high accuracy. It is shown by improving the MGM that the CPU time for this method is 50 times shorter than that of the direct method. (author)
Application Of Multi-grid Method On China Seas' Temperature Forecast
Li, W.; Xie, Y.; He, Z.; Liu, K.; Han, G.; Ma, J.; Li, D.
2006-12-01
Correlation scales have been used in traditional scheme of 3-dimensional variational (3D-Var) data assimilation to estimate the background error covariance for the numerical forecast and reanalysis of atmosphere and ocean for decades. However there are still some drawbacks of this scheme. First, the correlation scales are difficult to be determined accurately. Second, the positive definition of the first-guess error covariance matrix cannot be guaranteed unless the correlation scales are sufficiently small. Xie et al. (2005) indicated that a traditional 3D-Var only corrects some certain wavelength errors and its accuracy depends on the accuracy of the first-guess covariance. And in general, short wavelength error can not be well corrected until long one is corrected and then inaccurate first-guess covariance may mistakenly take long wave error as short wave ones and result in erroneous analysis. For the purpose of quickly minimizing the errors of long and short waves successively, a new 3D-Var data assimilation scheme, called multi-grid data assimilation scheme, is proposed in this paper. By assimilating the shipboard SST and temperature profiles data into a numerical model of China Seas, we applied this scheme in two-month data assimilation and forecast experiment which ended in a favorable result. Comparing with the traditional scheme of 3D-Var, the new scheme has higher forecast accuracy and a lower forecast Root-Mean-Square (RMS) error. Furthermore, this scheme was applied to assimilate the SST of shipboard, AVHRR Pathfinder Version 5.0 SST and temperature profiles at the same time, and a ten-month forecast experiment on sea temperature of China Seas was carried out, in which a successful forecast result was obtained. Particularly, the new scheme is demonstrated a great numerical efficiency in these analyses.
International Nuclear Information System (INIS)
Liu, Hao
2016-01-01
This Ph.D. work takes place within the framework of studies on Pellet-Cladding mechanical Interaction (PCI) which occurs in the fuel rods of pressurized water reactor. This manuscript focuses on automatic mesh refinement to simulate more accurately this phenomena while maintaining acceptable computational time and memory space for industrial calculations. An automatic mesh refinement strategy based on the combination of the Local Defect Correction multigrid method (LDC) with the Zienkiewicz and Zhu a posteriori error estimator is proposed. The estimated error is used to detect the zones to be refined, where the local sub-grids of the LDC method are generated. Several stopping criteria are studied to end the refinement process when the solution is accurate enough or when the refinement does not improve the global solution accuracy anymore. Numerical results for elastic 2D test cases with pressure discontinuity show the efficiency of the proposed strategy. The automatic mesh refinement in case of unilateral contact problems is then considered. The strategy previously introduced can be easily adapted to the multi-body refinement by estimating solution error on each body separately. Post-processing is often necessary to ensure the conformity of the refined areas regarding the contact boundaries. A variety of numerical experiments with elastic contact (with or without friction, with or without an initial gap) confirms the efficiency and adaptability of the proposed strategy. (author) [fr
Loizou, Nicolas
2017-12-27
In this paper we study several classes of stochastic optimization algorithms enriched with heavy ball momentum. Among the methods studied are: stochastic gradient descent, stochastic Newton, stochastic proximal point and stochastic dual subspace ascent. This is the first time momentum variants of several of these methods are studied. We choose to perform our analysis in a setting in which all of the above methods are equivalent. We prove global nonassymptotic linear convergence rates for all methods and various measures of success, including primal function values, primal iterates (in L2 sense), and dual function values. We also show that the primal iterates converge at an accelerated linear rate in the L1 sense. This is the first time a linear rate is shown for the stochastic heavy ball method (i.e., stochastic gradient descent method with momentum). Under somewhat weaker conditions, we establish a sublinear convergence rate for Cesaro averages of primal iterates. Moreover, we propose a novel concept, which we call stochastic momentum, aimed at decreasing the cost of performing the momentum step. We prove linear convergence of several stochastic methods with stochastic momentum, and show that in some sparse data regimes and for sufficiently small momentum parameters, these methods enjoy better overall complexity than methods with deterministic momentum. Finally, we perform extensive numerical testing on artificial and real datasets, including data coming from average consensus problems.
Loizou, Nicolas; Richtarik, Peter
2017-01-01
In this paper we study several classes of stochastic optimization algorithms enriched with heavy ball momentum. Among the methods studied are: stochastic gradient descent, stochastic Newton, stochastic proximal point and stochastic dual subspace ascent. This is the first time momentum variants of several of these methods are studied. We choose to perform our analysis in a setting in which all of the above methods are equivalent. We prove global nonassymptotic linear convergence rates for all methods and various measures of success, including primal function values, primal iterates (in L2 sense), and dual function values. We also show that the primal iterates converge at an accelerated linear rate in the L1 sense. This is the first time a linear rate is shown for the stochastic heavy ball method (i.e., stochastic gradient descent method with momentum). Under somewhat weaker conditions, we establish a sublinear convergence rate for Cesaro averages of primal iterates. Moreover, we propose a novel concept, which we call stochastic momentum, aimed at decreasing the cost of performing the momentum step. We prove linear convergence of several stochastic methods with stochastic momentum, and show that in some sparse data regimes and for sufficiently small momentum parameters, these methods enjoy better overall complexity than methods with deterministic momentum. Finally, we perform extensive numerical testing on artificial and real datasets, including data coming from average consensus problems.
Computational Methods in Stochastic Dynamics Volume 2
Stefanou, George; Papadopoulos, Vissarion
2013-01-01
The considerable influence of inherent uncertainties on structural behavior has led the engineering community to recognize the importance of a stochastic approach to structural problems. Issues related to uncertainty quantification and its influence on the reliability of the computational models are continuously gaining in significance. In particular, the problems of dynamic response analysis and reliability assessment of structures with uncertain system and excitation parameters have been the subject of continuous research over the last two decades as a result of the increasing availability of powerful computing resources and technology. This book is a follow up of a previous book with the same subject (ISBN 978-90-481-9986-0) and focuses on advanced computational methods and software tools which can highly assist in tackling complex problems in stochastic dynamic/seismic analysis and design of structures. The selected chapters are authored by some of the most active scholars in their respective areas and...
Multigrid for Staggered Lattice Fermions
Energy Technology Data Exchange (ETDEWEB)
Brower, Richard C. [Boston U.; Clark, M. A. [Unlisted, US; Strelchenko, Alexei [Fermilab; Weinberg, Evan [Boston U.
2018-01-23
Critical slowing down in Krylov methods for the Dirac operator presents a major obstacle to further advances in lattice field theory as it approaches the continuum solution. Here we formulate a multi-grid algorithm for the Kogut-Susskind (or staggered) fermion discretization which has proven difficult relative to Wilson multigrid due to its first-order anti-Hermitian structure. The solution is to introduce a novel spectral transformation by the K\\"ahler-Dirac spin structure prior to the Galerkin projection. We present numerical results for the two-dimensional, two-flavor Schwinger model, however, the general formalism is agnostic to dimension and is directly applicable to four-dimensional lattice QCD.
The stochastic energy-Casimir method
Arnaudon, Alexis; Ganaba, Nader; Holm, Darryl D.
2018-04-01
In this paper, we extend the energy-Casimir stability method for deterministic Lie-Poisson Hamiltonian systems to provide sufficient conditions for stability in probability of stochastic dynamical systems with symmetries. We illustrate this theory with classical examples of coadjoint motion, including the rigid body, the heavy top, and the compressible Euler equation in two dimensions. The main result is that stable deterministic equilibria remain stable in probability up to a certain stopping time that depends on the amplitude of the noise for finite-dimensional systems and on the amplitude of the spatial derivative of the noise for infinite-dimensional systems. xml:lang="fr"
Toward textbook multigrid efficiency for fully implicit resistive magnetohydrodynamics
International Nuclear Information System (INIS)
Adams, Mark F.; Samtaney, Ravi; Brandt, Achi
2013-01-01
Multigrid methods can solve some classes of elliptic and parabolic equations to accuracy below the truncation error with a work-cost equivalent to a few residual calculations so-called textbook multigrid efficiency. We investigate methods to solve the system of equations that arise in time dependent magnetohydrodynamics (MHD) simulations with textbook multigrid efficiency. We apply multigrid techniques such as geometric interpolation, full approximate storage, Gauss-Seidel smoothers, and defect correction for fully implicit, nonlinear, second-order finite volume discretizations of MHD. We apply these methods to a standard resistive MHD benchmark problem, the GEM reconnection problem, and add a strong magnetic guide field, which is a critical characteristic of magnetically confined fusion plasmas. We show that our multigrid methods can achieve near textbook efficiency on fully implicit resistive MHD simulations.
Toward textbook multigrid efficiency for fully implicit resistive magnetohydrodynamics
Adams, Mark F.; Samtaney, Ravi; Brandt, Achi
2010-01-01
Multigrid methods can solve some classes of elliptic and parabolic equations to accuracy below the truncation error with a work-cost equivalent to a few residual calculations so-called "textbook" multigrid efficiency. We investigate methods to solve the system of equations that arise in time dependent magnetohydrodynamics (MHD) simulations with textbook multigrid efficiency. We apply multigrid techniques such as geometric interpolation, full approximate storage, Gauss-Seidel smoothers, and defect correction for fully implicit, nonlinear, second-order finite volume discretizations of MHD. We apply these methods to a standard resistive MHD benchmark problem, the GEM reconnection problem, and add a strong magnetic guide field, which is a critical characteristic of magnetically confined fusion plasmas. We show that our multigrid methods can achieve near textbook efficiency on fully implicit resistive MHD simulations. (C) 2010 Elsevier Inc. All rights reserved.
Toward textbook multigrid efficiency for fully implicit resistive magnetohydrodynamics
Adams, Mark F.
2010-09-01
Multigrid methods can solve some classes of elliptic and parabolic equations to accuracy below the truncation error with a work-cost equivalent to a few residual calculations so-called "textbook" multigrid efficiency. We investigate methods to solve the system of equations that arise in time dependent magnetohydrodynamics (MHD) simulations with textbook multigrid efficiency. We apply multigrid techniques such as geometric interpolation, full approximate storage, Gauss-Seidel smoothers, and defect correction for fully implicit, nonlinear, second-order finite volume discretizations of MHD. We apply these methods to a standard resistive MHD benchmark problem, the GEM reconnection problem, and add a strong magnetic guide field, which is a critical characteristic of magnetically confined fusion plasmas. We show that our multigrid methods can achieve near textbook efficiency on fully implicit resistive MHD simulations. (C) 2010 Elsevier Inc. All rights reserved.
Toward textbook multigrid efficiency for fully implicit resistive magnetohydrodynamics
International Nuclear Information System (INIS)
Adams, Mark F.; Samtaney, Ravi; Brandt, Achi
2010-01-01
Multigrid methods can solve some classes of elliptic and parabolic equations to accuracy below the truncation error with a work-cost equivalent to a few residual calculations - so-called 'textbook' multigrid efficiency. We investigate methods to solve the system of equations that arise in time dependent magnetohydrodynamics (MHD) simulations with textbook multigrid efficiency. We apply multigrid techniques such as geometric interpolation, full approximate storage, Gauss-Seidel smoothers, and defect correction for fully implicit, nonlinear, second-order finite volume discretizations of MHD. We apply these methods to a standard resistive MHD benchmark problem, the GEM reconnection problem, and add a strong magnetic guide field, which is a critical characteristic of magnetically confined fusion plasmas. We show that our multigrid methods can achieve near textbook efficiency on fully implicit resistive MHD simulations.
A stochastic method for computing hadronic matrix elements
Energy Technology Data Exchange (ETDEWEB)
Alexandrou, Constantia [Cyprus Univ., Nicosia (Cyprus). Dept. of Physics; The Cyprus Institute, Nicosia (Cyprus). Computational-based Science and Technology Research Center; Dinter, Simon; Drach, Vincent [Deutsches Elektronen-Synchrotron (DESY), Zeuthen (Germany). John von Neumann-Inst. fuer Computing NIC; Jansen, Karl [Cyprus Univ., Nicosia (Cyprus). Dept. of Physics; Deutsches Elektronen-Synchrotron (DESY), Zeuthen (Germany). John von Neumann-Inst. fuer Computing NIC; Hadjiyiannakou, Kyriakos [Cyprus Univ., Nicosia (Cyprus). Dept. of Physics; Renner, Dru B. [Thomas Jefferson National Accelerator Facility, Newport News, VA (United States); Collaboration: European Twisted Mass Collaboration
2013-02-15
We present a stochastic method for the calculation of baryon three-point functions that is more versatile compared to the typically used sequential method. We analyze the scaling of the error of the stochastically evaluated three-point function with the lattice volume and find a favorable signal-to-noise ratio suggesting that our stochastic method can be used efficiently at large volumes to compute hadronic matrix elements.
Numerical methods for stochastic partial differential equations with white noise
Zhang, Zhongqiang
2017-01-01
This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. The book begins with some motivational and background material in the introductory chapters and is divided into three parts. Part I covers numerical stochastic ordinary differential equations. Here the authors start with numerical methods for SDEs with delay using the Wong-Zakai approximation and finite difference in time. Part II covers temporal white noise. Here the authors consider SPDEs as PDEs driven by white noise, where discretization of white noise (Brownian motion) leads to PDEs with smooth noise, which can then be treated by numerical methods for PDEs. In this part, recursive algorithms based on Wiener chaos expansion and stochastic collocation methods are presented for linear stochastic advection-diffusion-reaction equations. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical compa...
International Nuclear Information System (INIS)
Tsujita, K.; Endo, T.; Yamamoto, A.
2013-01-01
An efficient numerical method for time-dependent transport equation, the mutigrid amplitude function (MAF) method, is proposed. The method of characteristics (MOC) is being widely used for reactor analysis thanks to the advances of numerical algorithms and computer hardware. However, efficient kinetic calculation method for MOC is still desirable since it requires significant computation time. Various efficient numerical methods for solving the space-dependent kinetic equation, e.g., the improved quasi-static (IQS) and the frequency transform methods, have been developed so far mainly for diffusion calculation. These calculation methods are known as effective numerical methods and they offer a way for faster computation. However, they have not been applied to the kinetic calculation method using MOC as the authors' knowledge. Thus, the MAF method is applied to the kinetic calculation using MOC aiming to reduce computation time. The MAF method is a unified numerical framework of conventional kinetic calculation methods, e.g., the IQS, the frequency transform, and the theta methods. Although the MAF method is originally developed for the space-dependent kinetic calculation based on the diffusion theory, it is extended to transport theory in the present study. The accuracy and computational time are evaluated though the TWIGL benchmark problem. The calculation results show the effectiveness of the MAF method. (authors)
New multigrid solver advances in TOPS
International Nuclear Information System (INIS)
Falgout, R D; Brannick, J; Brezina, M; Manteuffel, T; McCormick, S
2005-01-01
In this paper, we highlight new multigrid solver advances in the Terascale Optimal PDE Simulations (TOPS) project in the Scientific Discovery Through Advanced Computing (SciDAC) program. We discuss two new algebraic multigrid (AMG) developments in TOPS: the adaptive smoothed aggregation method (αSA) and a coarse-grid selection algorithm based on compatible relaxation (CR). The αSA method is showing promising results in initial studies for Quantum Chromodynamics (QCD) applications. The CR method has the potential to greatly improve the applicability of AMG
Some multigrid algorithms for SIMD machines
Energy Technology Data Exchange (ETDEWEB)
Dendy, J.E. Jr. [Los Alamos National Lab., NM (United States)
1996-12-31
Previously a semicoarsening multigrid algorithm suitable for use on SIMD architectures was investigated. Through the use of new software tools, the performance of this algorithm has been considerably improved. The method has also been extended to three space dimensions. The method performs well for strongly anisotropic problems and for problems with coefficients jumping by orders of magnitude across internal interfaces. The parallel efficiency of this method is analyzed, and its actual performance on the CM-5 is compared with its performance on the CRAY-YMP. A standard coarsening multigrid algorithm is also considered, and we compare its performance on these two platforms as well.
The interpolation method of stochastic functions and the stochastic variational principle
International Nuclear Information System (INIS)
Liu Xianbin; Chen Qiu
1993-01-01
Uncertainties have been attaching more importance to increasingly in modern engineering structural design. Viewed on an appropriate scale, the inherent physical attributes (material properties) of many structural systems always exhibit some patterns of random variation in space and time, generally the random variation shows a small parameter fluctuation. For a linear mechanical system, the random variation is modeled as a random one of a linear partial differential operator and, in stochastic finite element method, a random variation of a stiffness matrix. Besides the stochasticity of the structural physical properties, the influences of random loads which always represent themselves as the random boundary conditions bring about much more complexities in structural analysis. Now the stochastic finite element method or the probabilistic finite element method is used to study the structural systems with random physical parameters, whether or not the loads are random. Differing from the general finite element theory, the main difficulty which the stochastic finite element method faces is the inverse operation of stochastic operators and stochastic matrices, since the inverse operators and the inverse matrices are statistically correlated to the random parameters and random loads. So far, many efforts have been made to obtain the reasonably approximate expressions of the inverse operators and inverse matrices, such as Perturbation Method, Neumann Expansion Method, Galerkin Method (in appropriate Hilbert Spaces defined for random functions), Orthogonal Expansion Method. Among these methods, Perturbation Method appear to be the most available. The advantage of these methods is that the fairly accurate response statistics can be obtained under the condition of the finite information of the input. However, the second-order statistics obtained by use of Perturbation Method and Neumann Expansion Method are not always the appropriate ones, because the relevant second
Multigrid method applied to the solution of an elliptic, generalized eigenvalue problem
Energy Technology Data Exchange (ETDEWEB)
Alchalabi, R.M. [BOC Group, Murray Hill, NJ (United States); Turinsky, P.J. [North Carolina State Univ., Raleigh, NC (United States)
1996-12-31
The work presented in this paper is concerned with the development of an efficient MG algorithm for the solution of an elliptic, generalized eigenvalue problem. The application is specifically applied to the multigroup neutron diffusion equation which is discretized by utilizing the Nodal Expansion Method (NEM). The underlying relaxation method is the Power Method, also known as the (Outer-Inner Method). The inner iterations are completed using Multi-color Line SOR, and the outer iterations are accelerated using Chebyshev Semi-iterative Method. Furthermore, the MG algorithm utilizes the consistent homogenization concept to construct the restriction operator, and a form function as a prolongation operator. The MG algorithm was integrated into the reactor neutronic analysis code NESTLE, and numerical results were obtained from solving production type benchmark problems.
The Closest Point Method and Multigrid Solvers for Elliptic Equations on Surfaces
Chen, Yujia; Macdonald, Colin B.
2015-01-01
© 2015 Society for Industrial and Applied Mathematics. Elliptic partial differential equations are important from both application and analysis points of view. In this paper we apply the closest point method to solve elliptic equations on general
Problems of Mathematical Finance by Stochastic Control Methods
Stettner, Łukasz
The purpose of this paper is to present main ideas of mathematics of finance using the stochastic control methods. There is an interplay between stochastic control and mathematics of finance. On the one hand stochastic control is a powerful tool to study financial problems. On the other hand financial applications have stimulated development in several research subareas of stochastic control in the last two decades. We start with pricing of financial derivatives and modeling of asset prices, studying the conditions for the absence of arbitrage. Then we consider pricing of defaultable contingent claims. Investments in bonds lead us to the term structure modeling problems. Special attention is devoted to historical static portfolio analysis called Markowitz theory. We also briefly sketch dynamic portfolio problems using viscosity solutions to Hamilton-Jacobi-Bellman equation, martingale-convex analysis method or stochastic maximum principle together with backward stochastic differential equation. Finally, long time portfolio analysis for both risk neutral and risk sensitive functionals is introduced.
3D magnetospheric parallel hybrid multi-grid method applied to planet–plasma interactions
Energy Technology Data Exchange (ETDEWEB)
Leclercq, L., E-mail: ludivine.leclercq@latmos.ipsl.fr [LATMOS/IPSL, UVSQ Université Paris-Saclay, UPMC Univ. Paris 06, CNRS, Guyancourt (France); Modolo, R., E-mail: ronan.modolo@latmos.ipsl.fr [LATMOS/IPSL, UVSQ Université Paris-Saclay, UPMC Univ. Paris 06, CNRS, Guyancourt (France); Leblanc, F. [LATMOS/IPSL, UPMC Univ. Paris 06 Sorbonne Universités, UVSQ, CNRS, Paris (France); Hess, S. [ONERA, Toulouse (France); Mancini, M. [LUTH, Observatoire Paris-Meudon (France)
2016-03-15
We present a new method to exploit multiple refinement levels within a 3D parallel hybrid model, developed to study planet–plasma interactions. This model is based on the hybrid formalism: ions are kinetically treated whereas electrons are considered as a inertia-less fluid. Generally, ions are represented by numerical particles whose size equals the volume of the cells. Particles that leave a coarse grid subsequently entering a refined region are split into particles whose volume corresponds to the volume of the refined cells. The number of refined particles created from a coarse particle depends on the grid refinement rate. In order to conserve velocity distribution functions and to avoid calculations of average velocities, particles are not coalesced. Moreover, to ensure the constancy of particles' shape function sizes, the hybrid method is adapted to allow refined particles to move within a coarse region. Another innovation of this approach is the method developed to compute grid moments at interfaces between two refinement levels. Indeed, the hybrid method is adapted to accurately account for the special grid structure at the interfaces, avoiding any overlapping grid considerations. Some fundamental test runs were performed to validate our approach (e.g. quiet plasma flow, Alfven wave propagation). Lastly, we also show a planetary application of the model, simulating the interaction between Jupiter's moon Ganymede and the Jovian plasma.
Numerical Methods for Stochastic Computations A Spectral Method Approach
Xiu, Dongbin
2010-01-01
The first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering. The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC meth
Rasthofer, U.; Wall, W. A.; Gravemeier, V.
2018-04-01
A novel and comprehensive computational method, referred to as the eXtended Algebraic Variational Multiscale-Multigrid-Multifractal Method (XAVM4), is proposed for large-eddy simulation of the particularly challenging problem of turbulent two-phase flow. The XAVM4 involves multifractal subgrid-scale modeling as well as a Nitsche-type extended finite element method as an approach for two-phase flow. The application of an advanced structural subgrid-scale modeling approach in conjunction with a sharp representation of the discontinuities at the interface between two bulk fluids promise high-fidelity large-eddy simulation of turbulent two-phase flow. The high potential of the XAVM4 is demonstrated for large-eddy simulation of turbulent two-phase bubbly channel flow, that is, turbulent channel flow carrying a single large bubble of the size of the channel half-width in this particular application.
Segmental Refinement: A Multigrid Technique for Data Locality
Adams, Mark F.; Brown, Jed; Knepley, Matt; Samtaney, Ravi
2016-01-01
We investigate a domain decomposed multigrid technique, termed segmental refinement, for solving general nonlinear elliptic boundary value problems. We extend the method first proposed in 1994 by analytically and experimentally investigating its complexity. We confirm that communication of traditional parallel multigrid is eliminated on fine grids, with modest amounts of extra work and storage, while maintaining the asymptotic exactness of full multigrid. We observe an accuracy dependence on the segmental refinement subdomain size, which was not considered in the original analysis. We present a communication complexity analysis that quantifies the communication costs ameliorated by segmental refinement and report performance results with up to 64K cores on a Cray XC30.
Segmental Refinement: A Multigrid Technique for Data Locality
Adams, Mark F.
2016-08-04
We investigate a domain decomposed multigrid technique, termed segmental refinement, for solving general nonlinear elliptic boundary value problems. We extend the method first proposed in 1994 by analytically and experimentally investigating its complexity. We confirm that communication of traditional parallel multigrid is eliminated on fine grids, with modest amounts of extra work and storage, while maintaining the asymptotic exactness of full multigrid. We observe an accuracy dependence on the segmental refinement subdomain size, which was not considered in the original analysis. We present a communication complexity analysis that quantifies the communication costs ameliorated by segmental refinement and report performance results with up to 64K cores on a Cray XC30.
Segmental Refinement: A Multigrid Technique for Data Locality
Energy Technology Data Exchange (ETDEWEB)
Adams, Mark [Columbia Univ., New York, NY (United States). Applied Physics and Applied Mathematics Dept.; Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)
2014-10-27
We investigate a technique - segmental refinement (SR) - proposed by Brandt in the 1970s as a low memory multigrid method. The technique is attractive for modern computer architectures because it provides high data locality, minimizes network communication, is amenable to loop fusion, and is naturally highly parallel and asynchronous. The network communication minimization property was recognized by Brandt and Diskin in 1994; we continue this work by developing a segmental refinement method for a finite volume discretization of the 3D Laplacian on massively parallel computers. An understanding of the asymptotic complexities, required to maintain textbook multigrid efficiency, are explored experimentally with a simple SR method. A two-level memory model is developed to compare the asymptotic communication complexity of a proposed SR method with traditional parallel multigrid. Performance and scalability are evaluated with a Cray XC30 with up to 64K cores. We achieve modest improvement in scalability from traditional parallel multigrid with a simple SR implementation.
Advanced Algebraic Multigrid Solvers for Subsurface Flow Simulation
Chen, Meng-Huo; Sun, Shuyu; Salama, Amgad
2015-01-01
and issues will be addressed and the corresponding remedies will be studied. As the multigrid methods are used as the linear solver, the simulator can be parallelized (although not trivial) and the high-resolution simulation become feasible, the ultimately
Matrix-dependent multigrid-homogenization for diffusion problems
Energy Technology Data Exchange (ETDEWEB)
Knapek, S. [Institut fuer Informatik tu Muenchen (Germany)
1996-12-31
We present a method to approximately determine the effective diffusion coefficient on the coarse scale level of problems with strongly varying or discontinuous diffusion coefficients. It is based on techniques used also in multigrid, like Dendy`s matrix-dependent prolongations and the construction of coarse grid operators by means of the Galerkin approximation. In numerical experiments, we compare our multigrid-homogenization method with homogenization, renormalization and averaging approaches.
Neural multigrid for gauge theories and other disordered systems
International Nuclear Information System (INIS)
Baeker, M.; Kalkreuter, T.; Mack, G.; Speh, M.
1992-09-01
We present evidence that multigrid works for wave equations in disordered systems, e.g. in the presence of gauge fields, no matter how strong the disorder, but one needs to introduce a 'neural computations' point of view into large scale simulations: First, the system must learn how to do the simulations efficiently, then do the simulation (fast). The method can also be used to provide smooth interpolation kernels which are needed in multigrid Monte Carlo updates. (orig.)
Unweighted least squares phase unwrapping by means of multigrid techniques
Pritt, Mark D.
1995-11-01
We present a multigrid algorithm for unweighted least squares phase unwrapping. This algorithm applies Gauss-Seidel relaxation schemes to solve the Poisson equation on smaller, coarser grids and transfers the intermediate results to the finer grids. This approach forms the basis of our multigrid algorithm for weighted least squares phase unwrapping, which is described in a separate paper. The key idea of our multigrid approach is to maintain the partial derivatives of the phase data in separate arrays and to correct these derivatives at the boundaries of the coarser grids. This maintains the boundary conditions necessary for rapid convergence to the correct solution. Although the multigrid algorithm is an iterative algorithm, we demonstrate that it is nearly as fast as the direct Fourier-based method. We also describe how to parallelize the algorithm for execution on a distributed-memory parallel processor computer or a network-cluster of workstations.
Progress with multigrid schemes for hypersonic flow problems
International Nuclear Information System (INIS)
Radespiel, R.; Swanson, R.C.
1995-01-01
Several multigrid schemes are considered for the numerical computation of viscous hypersonic flows. For each scheme, the basic solution algorithm employs upwind spatial discretization with explicit multistage time stepping. Two-level versions of the various multigrid algorithms are applied to the two-dimensional advection equation, and Fourier analysis is used to determine their damping properties. The capabilities of the multigrid methods are assessed by solving three different hypersonic flow problems. Some new multigrid schemes based on semicoarsening strategies are shown to be quite effective in relieving the stiffness caused by the high-aspect-ratio cells required to resolve high Reynolds number flows. These schemes exhibit good convergence rates for Reynolds numbers up to 200 X 10 6 and Mach numbers up to 25. 32 refs., 31 figs., 1 tab
Directory of Open Access Journals (Sweden)
Shaolin Ji
2013-01-01
Full Text Available This paper is devoted to a stochastic differential game (SDG of decoupled functional forward-backward stochastic differential equation (FBSDE. For our SDG, the associated upper and lower value functions of the SDG are defined through the solution of controlled functional backward stochastic differential equations (BSDEs. Applying the Girsanov transformation method introduced by Buckdahn and Li (2008, the upper and the lower value functions are shown to be deterministic. We also generalize the Hamilton-Jacobi-Bellman-Isaacs (HJBI equations to the path-dependent ones. By establishing the dynamic programming principal (DPP, we derive that the upper and the lower value functions are the viscosity solutions of the corresponding upper and the lower path-dependent HJBI equations, respectively.
Ground-state projection multigrid for propagators in 4-dimensional SU(2) gauge fields
International Nuclear Information System (INIS)
Kalkreuter, T.
1991-09-01
The ground-state projection multigrid method is studied for computations of slowly decaying bosonic propagators in 4-dimensional SU(2) lattice gauge theory. The defining eigenvalue equation for the restriction operator is solved exactly. Although the critical exponent z is not reduced in nontrivial gauge fields, multigrid still yields considerable speedup compared with conventional relaxation. Multigrid is also able to outperform the conjugate gradient algorithm. (orig.)
Application of Stochastic Sensitivity Analysis to Integrated Force Method
Directory of Open Access Journals (Sweden)
X. F. Wei
2012-01-01
Full Text Available As a new formulation in structural analysis, Integrated Force Method has been successfully applied to many structures for civil, mechanical, and aerospace engineering due to the accurate estimate of forces in computation. Right now, it is being further extended to the probabilistic domain. For the assessment of uncertainty effect in system optimization and identification, the probabilistic sensitivity analysis of IFM was further investigated in this study. A set of stochastic sensitivity analysis formulation of Integrated Force Method was developed using the perturbation method. Numerical examples are presented to illustrate its application. Its efficiency and accuracy were also substantiated with direct Monte Carlo simulations and the reliability-based sensitivity method. The numerical algorithm was shown to be readily adaptable to the existing program since the models of stochastic finite element and stochastic design sensitivity are almost identical.
Efficient Numerical Methods for Stochastic Differential Equations in Computational Finance
Happola, Juho
2017-09-19
Stochastic Differential Equations (SDE) offer a rich framework to model the probabilistic evolution of the state of a system. Numerical approximation methods are typically needed in evaluating relevant Quantities of Interest arising from such models. In this dissertation, we present novel effective methods for evaluating Quantities of Interest relevant to computational finance when the state of the system is described by an SDE.
Linearly convergent stochastic heavy ball method for minimizing generalization error
Loizou, Nicolas; Richtarik, Peter
2017-01-01
In this work we establish the first linear convergence result for the stochastic heavy ball method. The method performs SGD steps with a fixed stepsize, amended by a heavy ball momentum term. In the analysis, we focus on minimizing the expected loss
Efficient Numerical Methods for Stochastic Differential Equations in Computational Finance
Happola, Juho
2017-01-01
Stochastic Differential Equations (SDE) offer a rich framework to model the probabilistic evolution of the state of a system. Numerical approximation methods are typically needed in evaluating relevant Quantities of Interest arising from such models. In this dissertation, we present novel effective methods for evaluating Quantities of Interest relevant to computational finance when the state of the system is described by an SDE.
International Nuclear Information System (INIS)
Tzanos, C.P.
1992-01-01
A higher-order differencing method was recently proposed for the convection-diffusion equation, which even with a coarse mesh gives oscillation-free solutions that are far more accurate than those of the upwind scheme. In this paper, the performance of this method is investigated in conjunction with the performance of different iterative solvers for the solution of the Navier-Stokes equations in the vorticity-streamfunction formulation for incompressible flow at high Reynolds numbers. Flow in a square cavity with a moving lid was chosen as a model problem. Solvers that performed well at low Re numbers either failed to converge or had a computationally prohibitive convergence rate at high Re numbers. The additive correction method of Settari and Aziz and an iterative incomplete lower and upper (ILU) solver were used in a multigrid approach that performed well in the whole range of Re numbers considered (from 1000 to 10,000) and for uniform as well as nonuniform grids. At high Re numbers, point or line Gauss-Seidel solvers converged with uniform grids, but failed to converge with nonuniform grids
Methods and models in mathematical biology deterministic and stochastic approaches
Müller, Johannes
2015-01-01
This book developed from classes in mathematical biology taught by the authors over several years at the Technische Universität München. The main themes are modeling principles, mathematical principles for the analysis of these models, and model-based analysis of data. The key topics of modern biomathematics are covered: ecology, epidemiology, biochemistry, regulatory networks, neuronal networks, and population genetics. A variety of mathematical methods are introduced, ranging from ordinary and partial differential equations to stochastic graph theory and branching processes. A special emphasis is placed on the interplay between stochastic and deterministic models.
Stochastic seismic floor response analysis method for various damping systems
International Nuclear Information System (INIS)
Kitada, Y.; Hattori, K.; Ogata, M.; Kanda, J.
1991-01-01
A study using the stochastic seismic response analysis method which is applicable for the estimation of floor response spectra is carried out. It is pointed out as a shortcoming in this stochastic seismic response analysis method, that the method tends to overestimate floor response spectra for low damping systems, e.g. 1% of the critical damping ratio. An investigation on the cause of the shortcoming is carried out and a number of improvements in this method were also made to the original method by taking correlation of successive peaks in a response time history into account. The application of the improved method to a typical BWR reactor building is carried out. The resultant floor response spectra are compared with those obtained by deterministic time history analysis. Floor response spectra estimated by the improved method consistently cover the response spectra obtained by the time history analysis for various damping ratios. (orig.)
Molecular dynamics with deterministic and stochastic numerical methods
Leimkuhler, Ben
2015-01-01
This book describes the mathematical underpinnings of algorithms used for molecular dynamics simulation, including both deterministic and stochastic numerical methods. Molecular dynamics is one of the most versatile and powerful methods of modern computational science and engineering and is used widely in chemistry, physics, materials science and biology. Understanding the foundations of numerical methods means knowing how to select the best one for a given problem (from the wide range of techniques on offer) and how to create new, efficient methods to address particular challenges as they arise in complex applications. Aimed at a broad audience, this book presents the basic theory of Hamiltonian mechanics and stochastic differential equations, as well as topics including symplectic numerical methods, the handling of constraints and rigid bodies, the efficient treatment of Langevin dynamics, thermostats to control the molecular ensemble, multiple time-stepping, and the dissipative particle dynamics method...
Energy Technology Data Exchange (ETDEWEB)
Webster, Clayton G [ORNL; Zhang, Guannan [ORNL; Gunzburger, Max D [ORNL
2012-10-01
Accurate predictive simulations of complex real world applications require numerical approximations to first, oppose the curse of dimensionality and second, converge quickly in the presence of steep gradients, sharp transitions, bifurcations or finite discontinuities in high-dimensional parameter spaces. In this paper we present a novel multi-dimensional multi-resolution adaptive (MdMrA) sparse grid stochastic collocation method, that utilizes hierarchical multiscale piecewise Riesz basis functions constructed from interpolating wavelets. The basis for our non-intrusive method forms a stable multiscale splitting and thus, optimal adaptation is achieved. Error estimates and numerical examples will used to compare the efficiency of the method with several other techniques.
Multigrid treatment of implicit continuum diffusion
Francisquez, Manaure; Zhu, Ben; Rogers, Barrett
2017-10-01
Implicit treatment of diffusive terms of various differential orders common in continuum mechanics modeling, such as computational fluid dynamics, is investigated with spectral and multigrid algorithms in non-periodic 2D domains. In doubly periodic time dependent problems these terms can be efficiently and implicitly handled by spectral methods, but in non-periodic systems solved with distributed memory parallel computing and 2D domain decomposition, this efficiency is lost for large numbers of processors. We built and present here a multigrid algorithm for these types of problems which outperforms a spectral solution that employs the highly optimized FFTW library. This multigrid algorithm is not only suitable for high performance computing but may also be able to efficiently treat implicit diffusion of arbitrary order by introducing auxiliary equations of lower order. We test these solvers for fourth and sixth order diffusion with idealized harmonic test functions as well as a turbulent 2D magnetohydrodynamic simulation. It is also shown that an anisotropic operator without cross-terms can improve model accuracy and speed, and we examine the impact that the various diffusion operators have on the energy, the enstrophy, and the qualitative aspect of a simulation. This work was supported by DOE-SC-0010508. This research used resources of the National Energy Research Scientific Computing Center (NERSC).
Multigrid solution of the convection-diffusion equation with high-Reynolds number
Energy Technology Data Exchange (ETDEWEB)
Zhang, Jun [George Washington Univ., Washington, DC (United States)
1996-12-31
A fourth-order compact finite difference scheme is employed with the multigrid technique to solve the variable coefficient convection-diffusion equation with high-Reynolds number. Scaled inter-grid transfer operators and potential on vectorization and parallelization are discussed. The high-order multigrid method is unconditionally stable and produces solution of 4th-order accuracy. Numerical experiments are included.
Linearly convergent stochastic heavy ball method for minimizing generalization error
Loizou, Nicolas
2017-10-30
In this work we establish the first linear convergence result for the stochastic heavy ball method. The method performs SGD steps with a fixed stepsize, amended by a heavy ball momentum term. In the analysis, we focus on minimizing the expected loss and not on finite-sum minimization, which is typically a much harder problem. While in the analysis we constrain ourselves to quadratic loss, the overall objective is not necessarily strongly convex.
Stochastic Spectral and Conjugate Descent Methods
Kovalev, Dmitry
2018-02-11
The state-of-the-art methods for solving optimization problems in big dimensions are variants of randomized coordinate descent (RCD). In this paper we introduce a fundamentally new type of acceleration strategy for RCD based on the augmentation of the set of coordinate directions by a few spectral or conjugate directions. As we increase the number of extra directions to be sampled from, the rate of the method improves, and interpolates between the linear rate of RCD and a linear rate independent of the condition number. We develop and analyze also inexact variants of these methods where the spectral and conjugate directions are allowed to be approximate only. We motivate the above development by proving several negative results which highlight the limitations of RCD with importance sampling.
Stochastic Spectral and Conjugate Descent Methods
Kovalev, Dmitry; Gorbunov, Eduard; Gasanov, Elnur; Richtarik, Peter
2018-01-01
The state-of-the-art methods for solving optimization problems in big dimensions are variants of randomized coordinate descent (RCD). In this paper we introduce a fundamentally new type of acceleration strategy for RCD based on the augmentation of the set of coordinate directions by a few spectral or conjugate directions. As we increase the number of extra directions to be sampled from, the rate of the method improves, and interpolates between the linear rate of RCD and a linear rate independent of the condition number. We develop and analyze also inexact variants of these methods where the spectral and conjugate directions are allowed to be approximate only. We motivate the above development by proving several negative results which highlight the limitations of RCD with importance sampling.
Bä ck, Joakim; Nobile, Fabio; Tamellini, Lorenzo; Tempone, Raul
2010-01-01
Much attention has recently been devoted to the development of Stochastic Galerkin (SG) and Stochastic Collocation (SC) methods for uncertainty quantification. An open and relevant research topic is the comparison of these two methods
Quantitative Sociodynamics Stochastic Methods and Models of Social Interaction Processes
Helbing, Dirk
2010-01-01
This new edition of Quantitative Sociodynamics presents a general strategy for interdisciplinary model building and its application to a quantitative description of behavioral changes based on social interaction processes. Originally, the crucial methods for the modeling of complex systems (stochastic methods and nonlinear dynamics) were developed in physics and mathematics, but they have very often proven their explanatory power in chemistry, biology, economics and the social sciences as well. Quantitative Sociodynamics provides a unified and comprehensive overview of the different stochastic methods, their interrelations and properties. In addition, it introduces important concepts from nonlinear dynamics (e.g. synergetics, chaos theory). The applicability of these fascinating concepts to social phenomena is carefully discussed. By incorporating decision-theoretical approaches, a fundamental dynamic model is obtained, which opens new perspectives in the social sciences. It includes many established models a...
Stochastic numerical methods an introduction for students and scientists
Toral, Raul
2014-01-01
Stochastic Numerical Methods introduces at Master level the numerical methods that use probability or stochastic concepts to analyze random processes. The book aims at being rather general and is addressed at students of natural sciences (Physics, Chemistry, Mathematics, Biology, etc.) and Engineering, but also social sciences (Economy, Sociology, etc.) where some of the techniques have been used recently to numerically simulate different agent-based models. Examples included in the book range from phase-transitions and critical phenomena, including details of data analysis (extraction of critical exponents, finite-size effects, etc.), to population dynamics, interfacial growth, chemical reactions, etc. Program listings are integrated in the discussion of numerical algorithms to facilitate their understanding. From the contents: Review of Probability ConceptsMonte Carlo IntegrationGeneration of Uniform and Non-uniformRandom Numbers: Non-correlated ValuesDynamical MethodsApplications to Statistical MechanicsIn...
Improved stochastic approximation methods for discretized parabolic partial differential equations
Guiaş, Flavius
2016-12-01
We present improvements of the stochastic direct simulation method, a known numerical scheme based on Markov jump processes which is used for approximating solutions of ordinary differential equations. This scheme is suited especially for spatial discretizations of evolution partial differential equations (PDEs). By exploiting the full path simulation of the stochastic method, we use this first approximation as a predictor and construct improved approximations by Picard iterations, Runge-Kutta steps, or a combination. This has as consequence an increased order of convergence. We illustrate the features of the improved method at a standard benchmark problem, a reaction-diffusion equation modeling a combustion process in one space dimension (1D) and two space dimensions (2D).
Quantitative sociodynamics stochastic methods and models of social interaction processes
Helbing, Dirk
1995-01-01
Quantitative Sociodynamics presents a general strategy for interdisciplinary model building and its application to a quantitative description of behavioural changes based on social interaction processes. Originally, the crucial methods for the modeling of complex systems (stochastic methods and nonlinear dynamics) were developed in physics but they have very often proved their explanatory power in chemistry, biology, economics and the social sciences. Quantitative Sociodynamics provides a unified and comprehensive overview of the different stochastic methods, their interrelations and properties. In addition, it introduces the most important concepts from nonlinear dynamics (synergetics, chaos theory). The applicability of these fascinating concepts to social phenomena is carefully discussed. By incorporating decision-theoretical approaches a very fundamental dynamic model is obtained which seems to open new perspectives in the social sciences. It includes many established models as special cases, e.g. the log...
Efficient decomposition and linearization methods for the stochastic transportation problem
International Nuclear Information System (INIS)
Holmberg, K.
1993-01-01
The stochastic transportation problem can be formulated as a convex transportation problem with nonlinear objective function and linear constraints. We compare several different methods based on decomposition techniques and linearization techniques for this problem, trying to find the most efficient method or combination of methods. We discuss and test a separable programming approach, the Frank-Wolfe method with and without modifications, the new technique of mean value cross decomposition and the more well known Lagrangian relaxation with subgradient optimization, as well as combinations of these approaches. Computational tests are presented, indicating that some new combination methods are quite efficient for large scale problems. (authors) (27 refs.)
Advanced Algebraic Multigrid Solvers for Subsurface Flow Simulation
Chen, Meng-Huo
2015-09-13
In this research we are particularly interested in extending the robustness of multigrid solvers to encounter complex systems related to subsurface reservoir applications for flow problems in porous media. In many cases, the step for solving the pressure filed in subsurface flow simulation becomes a bottleneck for the performance of the simulator. For solving large sparse linear system arising from MPFA discretization, we choose multigrid methods as the linear solver. The possible difficulties and issues will be addressed and the corresponding remedies will be studied. As the multigrid methods are used as the linear solver, the simulator can be parallelized (although not trivial) and the high-resolution simulation become feasible, the ultimately goal which we desire to achieve.
Parallel multigrid smoothing: polynomial versus Gauss-Seidel
International Nuclear Information System (INIS)
Adams, Mark; Brezina, Marian; Hu, Jonathan; Tuminaro, Ray
2003-01-01
Gauss-Seidel is often the smoother of choice within multigrid applications. In the context of unstructured meshes, however, maintaining good parallel efficiency is difficult with multiplicative iterative methods such as Gauss-Seidel. This leads us to consider alternative smoothers. We discuss the computational advantages of polynomial smoothers within parallel multigrid algorithms for positive definite symmetric systems. Two particular polynomials are considered: Chebyshev and a multilevel specific polynomial. The advantages of polynomial smoothing over traditional smoothers such as Gauss-Seidel are illustrated on several applications: Poisson's equation, thin-body elasticity, and eddy current approximations to Maxwell's equations. While parallelizing the Gauss-Seidel method typically involves a compromise between a scalable convergence rate and maintaining high flop rates, polynomial smoothers achieve parallel scalable multigrid convergence rates without sacrificing flop rates. We show that, although parallel computers are the main motivation, polynomial smoothers are often surprisingly competitive with Gauss-Seidel smoothers on serial machines
Parallel multigrid smoothing: polynomial versus Gauss-Seidel
Adams, Mark; Brezina, Marian; Hu, Jonathan; Tuminaro, Ray
2003-07-01
Gauss-Seidel is often the smoother of choice within multigrid applications. In the context of unstructured meshes, however, maintaining good parallel efficiency is difficult with multiplicative iterative methods such as Gauss-Seidel. This leads us to consider alternative smoothers. We discuss the computational advantages of polynomial smoothers within parallel multigrid algorithms for positive definite symmetric systems. Two particular polynomials are considered: Chebyshev and a multilevel specific polynomial. The advantages of polynomial smoothing over traditional smoothers such as Gauss-Seidel are illustrated on several applications: Poisson's equation, thin-body elasticity, and eddy current approximations to Maxwell's equations. While parallelizing the Gauss-Seidel method typically involves a compromise between a scalable convergence rate and maintaining high flop rates, polynomial smoothers achieve parallel scalable multigrid convergence rates without sacrificing flop rates. We show that, although parallel computers are the main motivation, polynomial smoothers are often surprisingly competitive with Gauss-Seidel smoothers on serial machines.
Design Considerations for a Flexible Multigrid Preconditioning Library
Directory of Open Access Journals (Sweden)
Jérémie Gaidamour
2012-01-01
Full Text Available MueLu is a library within the Trilinos software project [An overview of Trilinos, Technical Report SAND2003-2927, Sandia National Laboratories, 2003] and provides a framework for parallel multigrid preconditioning methods for large sparse linear systems. While providing efficient implementations of modern multigrid methods based on smoothed aggregation and energy minimization concepts, MueLu is designed to be customized and extended. This article gives an overview of design considerations for the MueLu package: user interfaces, internal design, data management, usage of modern software constructs, leveraging Trilinos capabilities, linear algebra operations and advanced application.
Stochastic Recursive Algorithms for Optimization Simultaneous Perturbation Methods
Bhatnagar, S; Prashanth, L A
2013-01-01
Stochastic Recursive Algorithms for Optimization presents algorithms for constrained and unconstrained optimization and for reinforcement learning. Efficient perturbation approaches form a thread unifying all the algorithms considered. Simultaneous perturbation stochastic approximation and smooth fractional estimators for gradient- and Hessian-based methods are presented. These algorithms: • are easily implemented; • do not require an explicit system model; and • work with real or simulated data. Chapters on their application in service systems, vehicular traffic control and communications networks illustrate this point. The book is self-contained with necessary mathematical results placed in an appendix. The text provides easy-to-use, off-the-shelf algorithms that are given detailed mathematical treatment so the material presented will be of significant interest to practitioners, academic researchers and graduate students alike. The breadth of applications makes the book appropriate for reader from sim...
Multigrid and multilevel domain decomposition for unstructured grids
Energy Technology Data Exchange (ETDEWEB)
Chan, T.; Smith, B.
1994-12-31
Multigrid has proven itself to be a very versatile method for the iterative solution of linear and nonlinear systems of equations arising from the discretization of PDES. In some applications, however, no natural multilevel structure of grids is available, and these must be generated as part of the solution procedure. In this presentation the authors will consider the problem of generating a multigrid algorithm when only a fine, unstructured grid is given. Their techniques generate a sequence of coarser grids by first forming an approximate maximal independent set of the vertices and then applying a Cavendish type algorithm to form the coarser triangulation. Numerical tests indicate that convergence using this approach can be as fast as standard multigrid on a structured mesh, at least in two dimensions.
Stochastic methods for the fermion determinant in lattice quantum chromodynamics
Energy Technology Data Exchange (ETDEWEB)
Finkenrath, Jacob Friedrich
2015-02-17
In this thesis, algorithms in lattice quantum chromodynamics are presented by developing and using stochastic methods for fermion determinant ratios. For that an integral representation is proved which can be used also for non hermitian matrices. The stochastic estimation or the Monte Carlo integration of this integral representation introduces stochastic fluctuations which are controlled by using Domain Decomposition of the Dirac operator and introducing interpolation techniques. Determinant ratios of the lattice fermion operator, here the Wilson Dirac operator, are needed for corrections of the Boltzmann weight. These corrections have interesting applications e.g. in the mass by using mass reweighting. It will be shown that mass reweighting can be used e.g. to improve extrapolation in the light quark mass towards the chiral or physical point or to introduce an isospin breaking by splitting up the mass of the light quark. Furthermore the extraction of the light quark masses will be shown by using dynamical 2 flavor CLS ensembles. Stochastic estimation of determinant ratios can be used in Monte Carlo algorithms, e.g. in the Partial Stochastic Multi Step algorithm which can sample two mass-degenerate quarks. The idea is to propose a new configuration weighted by the pure gauge weight and including afterwards the fermion weight by using Metropolis accept-reject steps. It is shown by using an adequate interpolation with relative gauge fixing and a hierarchical filter structure that it is possible to simulate moderate lattices up to (2.1 fm){sup 4}. Furthermore the iteration of the pure gauge update can be increased which can decouple long autocorrelation times from the weighting with the fermions. Moreover a novel Hybrid Monte Carlo algorithm based on Domain Decomposition and combined with mass reweighting is presented. By using Domain Decomposition it is possible to split up the mass term in the Schur complement and the block operators. By introducing a higher mass
An h-adaptive stochastic collocation method for stochastic EMC/EMI analysis
Yücel, Abdulkadir C.
2010-07-01
The analysis of electromagnetic compatibility and interference (EMC/EMI) phenomena is often fraught by randomness in a system\\'s excitation (e.g., the amplitude, phase, and location of internal noise sources) or configuration (e.g., the routing of cables, the placement of electronic systems, component specifications, etc.). To bound the probability of system malfunction, fast and accurate techniques to quantify the uncertainty in system observables (e.g., voltages across mission-critical circuit elements) are called for. Recently proposed stochastic frameworks [1-2] combine deterministic electromagnetic (EM) simulators with stochastic collocation (SC) methods that approximate system observables using generalized polynomial chaos expansion (gPC) [3] (viz. orthogonal polynomials spanning the entire random domain) to estimate their statistical moments and probability density functions (pdfs). When constructing gPC expansions, the EM simulator is used solely to evaluate system observables at collocation points prescribed by the SC-gPC scheme. The frameworks in [1-2] therefore are non-intrusive and straightforward to implement. That said, they become inefficient and inaccurate for system observables that vary rapidly or are discontinuous in the random variables (as their representations may require very high-order polynomials). © 2010 IEEE.
Symplectic Integrators to Stochastic Hamiltonian Dynamical Systems Derived from Composition Methods
Directory of Open Access Journals (Sweden)
Tetsuya Misawa
2010-01-01
Full Text Available “Symplectic” schemes for stochastic Hamiltonian dynamical systems are formulated through “composition methods (or operator splitting methods” proposed by Misawa (2001. In the proposed methods, a symplectic map, which is given by the solution of a stochastic Hamiltonian system, is approximated by composition of the stochastic flows derived from simpler Hamiltonian vector fields. The global error orders of the numerical schemes derived from the stochastic composition methods are provided. To examine the superiority of the new schemes, some illustrative numerical simulations on the basis of the proposed schemes are carried out for a stochastic harmonic oscillator system.
A comparative study of two stochastic mode reduction methods
Energy Technology Data Exchange (ETDEWEB)
Stinis, Panagiotis
2005-09-01
We present a comparative study of two methods for thereduction of the dimensionality of a system of ordinary differentialequations that exhibits time-scale separation. Both methods lead to areduced system of stochastic differential equations. The novel feature ofthese methods is that they allow the use, in the reduced system, ofhigher order terms in the resolved variables. The first method, proposedby Majda, Timofeyev and Vanden-Eijnden, is based on an asymptoticstrategy developed by Kurtz. The second method is a short-memoryapproximation of the Mori-Zwanzig projection formalism of irreversiblestatistical mechanics, as proposed by Chorin, Hald and Kupferman. Wepresent conditions under which the reduced models arising from the twomethods should have similar predictive ability. We apply the two methodsto test cases that satisfy these conditions. The form of the reducedmodels and the numerical simulations show that the two methods havesimilar predictive ability as expected.
Natural tracer test simulation by stochastic particle tracking method
International Nuclear Information System (INIS)
Ackerer, P.; Mose, R.; Semra, K.
1990-01-01
Stochastic particle tracking methods are well adapted to 3D transport simulations where discretization requirements of other methods usually cannot be satisfied. They do need a very accurate approximation of the velocity field. The described code is based on the mixed hybrid finite element method (MHFEM) to calculated the piezometric and velocity field. The random-walk method is used to simulate mass transport. The main advantages of the MHFEM over FD or FE are the simultaneous calculation of pressure and velocity, which are considered as unknowns; the possibility of interpolating velocities everywhere; and the continuity of the normal component of the velocity vector from one element to another. For these reasons, the MHFEM is well adapted for particle tracking methods. After a general description of the numerical methods, the model is used to simulate the observations made during the Twin Lake Tracer Test in 1983. A good match is found between observed and simulated heads and concentrations. (Author) (12 refs., 4 figs.)
International Nuclear Information System (INIS)
Leclerc, Willy
2010-10-01
In order to use a better approach to understand fuel behaviour by numerical simulation, Adaptive Mesh Refinement methods could become very useful. Today, the use of classical Finite Element methods do not enable a easy study of the different phenomenon undergone by the fuel. Important nodes number and calculus time are the two first reasons making the simulation hard to use and visualize. Moreover results reliability is difficult to ensure with a such kind of method. Adaptive Mesh Refinement methods advantages are important particularly if we need a quick convergence and a better mesh structure. The purpose of our study will be to push the method forward by explaining his qualities and putting into place 2D and 3D pellet/sheath interaction problem. (author) [fr
Methods for solving the stochastic point reactor kinetic equations
International Nuclear Information System (INIS)
Quabili, E.R.; Karasulu, M.
1979-01-01
Two new methods are presented for analysis of the statistical properties of nonlinear outputs of a point reactor to stochastic non-white reactivity inputs. They are Bourret's approximation and logarithmic linearization. The results have been compared with the exact results, previously obtained in the case of Gaussian white reactivity input. It was found that when the reactivity noise has short correlation time, Bourret's approximation should be recommended because it yields results superior to those yielded by logarithmic linearization. When the correlation time is long, Bourret's approximation is not valid, but in that case, if one can assume the reactivity noise to be Gaussian, one may use the logarithmic linearization. (author)
Analytic continuation of quantum Monte Carlo data. Stochastic sampling method
Energy Technology Data Exchange (ETDEWEB)
Ghanem, Khaldoon; Koch, Erik [Institute for Advanced Simulation, Forschungszentrum Juelich, 52425 Juelich (Germany)
2016-07-01
We apply Bayesian inference to the analytic continuation of quantum Monte Carlo (QMC) data from the imaginary axis to the real axis. Demanding a proper functional Bayesian formulation of any analytic continuation method leads naturally to the stochastic sampling method (StochS) as the Bayesian method with the simplest prior, while it excludes the maximum entropy method and Tikhonov regularization. We present a new efficient algorithm for performing StochS that reduces computational times by orders of magnitude in comparison to earlier StochS methods. We apply the new algorithm to a wide variety of typical test cases: spectral functions and susceptibilities from DMFT and lattice QMC calculations. Results show that StochS performs well and is able to resolve sharp features in the spectrum.
Experiences using DAKOTA stochastic expansion methods in computational simulations.
Energy Technology Data Exchange (ETDEWEB)
Templeton, Jeremy Alan; Ruthruff, Joseph R.
2012-01-01
Uncertainty quantification (UQ) methods bring rigorous statistical connections to the analysis of computational and experiment data, and provide a basis for probabilistically assessing margins associated with safety and reliability. The DAKOTA toolkit developed at Sandia National Laboratories implements a number of UQ methods, which are being increasingly adopted by modeling and simulation teams to facilitate these analyses. This report disseminates results as to the performance of DAKOTA's stochastic expansion methods for UQ on a representative application. Our results provide a number of insights that may be of interest to future users of these methods, including the behavior of the methods in estimating responses at varying probability levels, and the expansion levels for the methodologies that may be needed to achieve convergence.
Dimension Reduction and Discretization in Stochastic Problems by Regression Method
DEFF Research Database (Denmark)
Ditlevsen, Ove Dalager
1996-01-01
The chapter mainly deals with dimension reduction and field discretizations based directly on the concept of linear regression. Several examples of interesting applications in stochastic mechanics are also given.Keywords: Random fields discretization, Linear regression, Stochastic interpolation, ...
An evaluation of parallel multigrid as a solver and a preconditioner for singular perturbed problems
Energy Technology Data Exchange (ETDEWEB)
Oosterlee, C.W. [Inst. for Algorithms and Scientific Computing, Sankt Augustin (Germany); Washio, T. [C& C Research Lab., Sankt Augustin (Germany)
1996-12-31
In this paper we try to achieve h-independent convergence with preconditioned GMRES and BiCGSTAB for 2D singular perturbed equations. Three recently developed multigrid methods are adopted as a preconditioner. They are also used as solution methods in order to compare the performance of the methods as solvers and as preconditioners. Two of the multigrid methods differ only in the transfer operators. One uses standard matrix- dependent prolongation operators from. The second uses {open_quotes}upwind{close_quotes} prolongation operators, developed. Both employ the Galerkin coarse grid approximation and an alternating zebra line Gauss-Seidel smoother. The third method is based on the block LU decomposition of a matrix and on an approximate Schur complement. This multigrid variant is presented in. All three multigrid algorithms are algebraic methods.
International Nuclear Information System (INIS)
Ge, Gen; Li, ZePeng
2016-01-01
A modified stochastic averaging method on single-degree-of-freedom (SDOF) oscillators under white noise excitations with strongly nonlinearity was proposed. Considering the existing approach dealing with strongly nonlinear SDOFs derived by Zhu and Huang [14, 15] is quite time consuming in calculating the drift coefficient and diffusion coefficients and the expressions of them are considerable long, the so-called He's energy balance method was applied to overcome the minor defect of the Zhu and Huang's method. The modified method can offer more concise approximate expressions of the drift and diffusion coefficients without weakening the accuracy of predicting the responses of the systems too much by giving an averaged frequency beforehand. Three examples, a cubic and quadratic nonlinearity coexisting oscillator, a quadratic nonlinear oscillator under external white noise excitations and an externally excited Duffing–Rayleigh oscillator, were given to illustrate the approach we proposed. The three examples were excited by the Gaussian white noise and the Gaussian colored noise separately. The stationary responses of probability density of amplitudes and energy, together with joint probability density of displacement and velocity are studied to verify the presented approach. The reliability of the systems were also investigated to offer further support. Digital simulations were carried out and the output of that are coincide with the theoretical approximations well.
Simple method to generate and fabricate stochastic porous scaffolds
Energy Technology Data Exchange (ETDEWEB)
Yang, Nan, E-mail: y79nzw@163.com; Gao, Lilan; Zhou, Kuntao
2015-11-01
Considerable effort has been made to generate regular porous structures (RPSs) using function-based methods, although little effort has been made for constructing stochastic porous structures (SPSs) using the same methods. In this short communication, we propose a straightforward method for SPS construction that is simple in terms of methodology and the operations used. Using our method, we can obtain a SPS with functionally graded, heterogeneous and interconnected pores, target pore size and porosity distributions, which are useful for applications in tissue engineering. The resulting SPS models can be directly fabricated using additive manufacturing (AM) techniques. - Highlights: • Random porous structures are constructed based on their regular counterparts. • Functionally graded random pores can be constructed easily. • The scaffolds can be directly fabricated using additive manufacturing techniques.
Stochastic rainfall synthesis for urban applications using different regionalization methods
Callau Poduje, A. C.; Leimbach, S.; Haberlandt, U.
2017-12-01
The proper design and efficient operation of urban drainage systems require long and continuous rainfall series in a high temporal resolution. Unfortunately, these time series are usually available in a few locations and it is therefore suitable to develop a stochastic precipitation model to generate rainfall in locations without observations. The model presented is based on an alternating renewal process and involves an external and an internal structure. The members of these structures are described by probability distributions which are site specific. Different regionalization methods based on site descriptors are presented which are used for estimating the distributions for locations without observations. Regional frequency analysis, multiple linear regressions and a vine-copula method are applied for this purpose. An area located in the north-west of Germany is used to compare the different methods and involves a total of 81 stations with 5 min rainfall records. The site descriptors include information available for the whole region: position, topography and hydrometeorologic characteristics which are estimated from long term observations. The methods are compared directly by cross validation of different rainfall statistics. Given that the model is stochastic the evaluation is performed based on ensembles of many long synthetic time series which are compared with observed ones. The performance is as well indirectly evaluated by setting up a fictional urban hydrological system to test the capability of the different methods regarding flooding and overflow characteristics. The results show a good representation of the seasonal variability and good performance in reproducing the sample statistics of the rainfall characteristics. The copula based method shows to be the most robust of the three methods. Advantages and disadvantages of the different methods are presented and discussed.
Approaching complexity by stochastic methods: From biological systems to turbulence
Energy Technology Data Exchange (ETDEWEB)
Friedrich, Rudolf [Institute for Theoretical Physics, University of Muenster, D-48149 Muenster (Germany); Peinke, Joachim [Institute of Physics, Carl von Ossietzky University, D-26111 Oldenburg (Germany); Sahimi, Muhammad [Mork Family Department of Chemical Engineering and Materials Science, University of Southern California, Los Angeles, CA 90089-1211 (United States); Reza Rahimi Tabar, M., E-mail: mohammed.r.rahimi.tabar@uni-oldenburg.de [Department of Physics, Sharif University of Technology, Tehran 11155-9161 (Iran, Islamic Republic of); Institute of Physics, Carl von Ossietzky University, D-26111 Oldenburg (Germany); Fachbereich Physik, Universitaet Osnabrueck, Barbarastrasse 7, 49076 Osnabrueck (Germany)
2011-09-15
This review addresses a central question in the field of complex systems: given a fluctuating (in time or space), sequentially measured set of experimental data, how should one analyze the data, assess their underlying trends, and discover the characteristics of the fluctuations that generate the experimental traces? In recent years, significant progress has been made in addressing this question for a class of stochastic processes that can be modeled by Langevin equations, including additive as well as multiplicative fluctuations or noise. Important results have emerged from the analysis of temporal data for such diverse fields as neuroscience, cardiology, finance, economy, surface science, turbulence, seismic time series and epileptic brain dynamics, to name but a few. Furthermore, it has been recognized that a similar approach can be applied to the data that depend on a length scale, such as velocity increments in fully developed turbulent flow, or height increments that characterize rough surfaces. A basic ingredient of the approach to the analysis of fluctuating data is the presence of a Markovian property, which can be detected in real systems above a certain time or length scale. This scale is referred to as the Markov-Einstein (ME) scale, and has turned out to be a useful characteristic of complex systems. We provide a review of the operational methods that have been developed for analyzing stochastic data in time and scale. We address in detail the following issues: (i) reconstruction of stochastic evolution equations from data in terms of the Langevin equations or the corresponding Fokker-Planck equations and (ii) intermittency, cascades, and multiscale correlation functions.
Approaching complexity by stochastic methods: From biological systems to turbulence
International Nuclear Information System (INIS)
Friedrich, Rudolf; Peinke, Joachim; Sahimi, Muhammad; Reza Rahimi Tabar, M.
2011-01-01
This review addresses a central question in the field of complex systems: given a fluctuating (in time or space), sequentially measured set of experimental data, how should one analyze the data, assess their underlying trends, and discover the characteristics of the fluctuations that generate the experimental traces? In recent years, significant progress has been made in addressing this question for a class of stochastic processes that can be modeled by Langevin equations, including additive as well as multiplicative fluctuations or noise. Important results have emerged from the analysis of temporal data for such diverse fields as neuroscience, cardiology, finance, economy, surface science, turbulence, seismic time series and epileptic brain dynamics, to name but a few. Furthermore, it has been recognized that a similar approach can be applied to the data that depend on a length scale, such as velocity increments in fully developed turbulent flow, or height increments that characterize rough surfaces. A basic ingredient of the approach to the analysis of fluctuating data is the presence of a Markovian property, which can be detected in real systems above a certain time or length scale. This scale is referred to as the Markov-Einstein (ME) scale, and has turned out to be a useful characteristic of complex systems. We provide a review of the operational methods that have been developed for analyzing stochastic data in time and scale. We address in detail the following issues: (i) reconstruction of stochastic evolution equations from data in terms of the Langevin equations or the corresponding Fokker-Planck equations and (ii) intermittency, cascades, and multiscale correlation functions.
Local Approximation and Hierarchical Methods for Stochastic Optimization
Cheng, Bolong
In this thesis, we present local and hierarchical approximation methods for two classes of stochastic optimization problems: optimal learning and Markov decision processes. For the optimal learning problem class, we introduce a locally linear model with radial basis function for estimating the posterior mean of the unknown objective function. The method uses a compact representation of the function which avoids storing the entire history, as is typically required by nonparametric methods. We derive a knowledge gradient policy with the locally parametric model, which maximizes the expected value of information. We show the policy is asymptotically optimal in theory, and experimental works suggests that the method can reliably find the optimal solution on a range of test functions. For the Markov decision processes problem class, we are motivated by an application where we want to co-optimize a battery for multiple revenue, in particular energy arbitrage and frequency regulation. The nature of this problem requires the battery to make charging and discharging decisions at different time scales while accounting for the stochastic information such as load demand, electricity prices, and regulation signals. Computing the exact optimal policy becomes intractable due to the large state space and the number of time steps. We propose two methods to circumvent the computation bottleneck. First, we propose a nested MDP model that structure the co-optimization problem into smaller sub-problems with reduced state space. This new model allows us to understand how the battery behaves down to the two-second dynamics (that of the frequency regulation market). Second, we introduce a low-rank value function approximation for backward dynamic programming. This new method only requires computing the exact value function for a small subset of the state space and approximate the entire value function via low-rank matrix completion. We test these methods on historical price data from the
Stochastic Galerkin methods for the steady-state Navier–Stokes equations
Energy Technology Data Exchange (ETDEWEB)
Sousedík, Bedřich, E-mail: sousedik@umbc.edu [Department of Mathematics and Statistics, University of Maryland, Baltimore County, 1000 Hilltop Circle, Baltimore, MD 21250 (United States); Elman, Howard C., E-mail: elman@cs.umd.edu [Department of Computer Science and Institute for Advanced Computer Studies, University of Maryland, College Park, MD 20742 (United States)
2016-07-01
We study the steady-state Navier–Stokes equations in the context of stochastic finite element discretizations. Specifically, we assume that the viscosity is a random field given in the form of a generalized polynomial chaos expansion. For the resulting stochastic problem, we formulate the model and linearization schemes using Picard and Newton iterations in the framework of the stochastic Galerkin method, and we explore properties of the resulting stochastic solutions. We also propose a preconditioner for solving the linear systems of equations arising at each step of the stochastic (Galerkin) nonlinear iteration and demonstrate its effectiveness for solving a set of benchmark problems.
A survey of parallel multigrid algorithms
Chan, Tony F.; Tuminaro, Ray S.
1987-01-01
A typical multigrid algorithm applied to well-behaved linear-elliptic partial-differential equations (PDEs) is described. Criteria for designing and evaluating parallel algorithms are presented. Before evaluating the performance of some parallel multigrid algorithms, consideration is given to some theoretical complexity results for solving PDEs in parallel and for executing the multigrid algorithm. The effect of mapping and load imbalance on the partial efficiency of the algorithm is studied.
Puthen Veettil, Binesh; König, Dirk; Huang, Shujuan; Patterson, Robert; Conibeer, Gavin
2017-02-01
Silicon nanocrystals embedded in a dielectric matrix have been considered a potential candidate for many optoelectronic and photovoltaic applications and have been under vigorous study in recent years. One of the main properties of interest in this application is the absorption bandgap, which is determined by the quantum confinement of silicon nanocrystals. The ability to predict the absorption bandgap is a key step in designing an optimum solar cell using this material. Although several higher level algorithms are available to predict the electronic confinement in these nanocrystals, most of them make regular-shape assumptions for the ease of computation. In this work, we present a model for the accurate prediction of the quantum confinement in silicon nanocrystals of non-regular shape by employing an efficient, self-consistent Full-Multi-Grid method. Confined energies in spherical, elongated, and arbitrarily shaped nanocrystals are calculated. The excited level calculations quantify the wavefunction coupling and energy level splitting arising due to the proximity of dots. The splitting magnitude was found to be as high as 0.1 eV for the 2 nm size silicon quantum dots. The decrease in confinement energy due to the elongation of dots was found to be more than 0.2 eV, and the trend was similar for different dielectric materials. Theoretical predictions were compared to the results from optical and structural characterisation and found to be in agreement. The loss of degeneracy in highly asymmetric quantum dots, such as a "horse-shoe" shaped quantum dot, significantly affects the excited state energies.
Stochastic weighted particle methods for population balance equations
International Nuclear Information System (INIS)
Patterson, Robert I.A.; Wagner, Wolfgang; Kraft, Markus
2011-01-01
Highlights: → Weight transfer functions for Monte Carlo simulation of coagulation. → Efficient support for single-particle growth processes. → Comparisons to analytic solutions and soot formation problems. → Better numerical accuracy for less common particles. - Abstract: A class of coagulation weight transfer functions is constructed, each member of which leads to a stochastic particle algorithm for the numerical treatment of population balance equations. These algorithms are based on systems of weighted computational particles and the weight transfer functions are constructed such that the number of computational particles does not change during coagulation events. The algorithms also facilitate the simulation of physical processes that change single particles, such as growth, or other surface reactions. Four members of the algorithm family have been numerically validated by comparison to analytic solutions to simple problems. Numerical experiments have been performed for complex laminar premixed flame systems in which members of the class of stochastic weighted particle methods were compared to each other and to a direct simulation algorithm. Two of the weighted algorithms have been shown to offer performance advantages over the direct simulation algorithm in situations where interest is focused on the larger particles in a system. The extent of this advantage depends on the particular system and on the quantities of interest.
A multi-stage stochastic transmission expansion planning method
International Nuclear Information System (INIS)
Akbari, Tohid; Rahimikian, Ashkan; Kazemi, Ahad
2011-01-01
Highlights: → We model a multi-stage stochastic transmission expansion planning problem. → We include available transfer capability (ATC) in our model. → Involving this criterion will increase the ATC between source and sink points. → Power system reliability will be increased and more money can be saved. - Abstract: This paper presents a multi-stage stochastic model for short-term transmission expansion planning considering the available transfer capability (ATC). The ATC can have a huge impact on the power market outcomes and the power system reliability. The transmission expansion planning (TEP) studies deal with many uncertainties, such as system load uncertainties that are considered in this paper. The Monte Carlo simulation method has been applied for generating different scenarios. A scenario reduction technique is used for reducing the number of scenarios. The objective is to minimize the sum of investment costs (IC) and the expected operation costs (OC). The solution technique is based on the benders decomposition algorithm. The N-1 contingency analysis is also done for the TEP problem. The proposed model is applied to the IEEE 24 bus reliability test system and the results are efficient and promising.
Fields Institute International Symposium on Asymptotic Methods in Stochastics
Kulik, Rafal; Haye, Mohamedou; Szyszkowicz, Barbara; Zhao, Yiqiang
2015-01-01
This book contains articles arising from a conference in honour of mathematician-statistician Miklόs Csörgő on the occasion of his 80th birthday, held in Ottawa in July 2012. It comprises research papers and overview articles, which provide a substantial glimpse of the history and state-of-the-art of the field of asymptotic methods in probability and statistics, written by leading experts. The volume consists of twenty articles on topics on limit theorems for self-normalized processes, planar processes, the central limit theorem and laws of large numbers, change-point problems, short and long range dependent time series, applied probability and stochastic processes, and the theory and methods of statistics. It also includes Csörgő’s list of publications during more than 50 years, since 1962.
Uniform convergence of multigrid V-cycle iterations for indefinite and nonsymmetric problems
Bramble, James H.; Kwak, Do Y.; Pasciak, Joseph E.
1993-01-01
In this paper, we present an analysis of a multigrid method for nonsymmetric and/or indefinite elliptic problems. In this multigrid method various types of smoothers may be used. One type of smoother which we consider is defined in terms of an associated symmetric problem and includes point and line, Jacobi, and Gauss-Seidel iterations. We also study smoothers based entirely on the original operator. One is based on the normal form, that is, the product of the operator and its transpose. Other smoothers studied include point and line, Jacobi, and Gauss-Seidel. We show that the uniform estimates for symmetric positive definite problems carry over to these algorithms. More precisely, the multigrid iteration for the nonsymmetric and/or indefinite problem is shown to converge at a uniform rate provided that the coarsest grid in the multilevel iteration is sufficiently fine (but not depending on the number of multigrid levels).
Reliability-Based Shape Optimization using Stochastic Finite Element Methods
DEFF Research Database (Denmark)
Enevoldsen, Ib; Sørensen, John Dalsgaard; Sigurdsson, G.
1991-01-01
stochastic fields (e.g. loads and material parameters such as Young's modulus and the Poisson ratio). In this case stochastic finite element techniques combined with FORM analysis can be used to obtain measures of the reliability of the structural systems, see Der Kiureghian & Ke (6) and Liu & Der Kiureghian...
Directory of Open Access Journals (Sweden)
Xiaolin Zhu
2014-01-01
Full Text Available This paper studies the T-stability of the Heun method and balanced method for solving stochastic differential delay equations (SDDEs. Two T-stable conditions of the Heun method are obtained for two kinds of linear SDDEs. Moreover, two conditions under which the balanced method is T-stable are obtained for two kinds of linear SDDEs. Some numerical examples verify the theoretical results proposed.
International Nuclear Information System (INIS)
Kucukboyaci, Vefa; Haghighat, Alireza
2001-01-01
We have developed new angular multigrid formulations, including the Simplified Angular Multigrid (SAM), Nested Iteration (NI), and V-Cycle schemes, that are compatible with the parallel environment and the adaptive differencing strategy of the PENTRAN three-dimensional parallel S N code. Using the Fourier analysis method for an infinite, homogenous medium, we have investigated the effectiveness of the V-Cycle scheme for different problem parameters including scattering ratio, spatial differencing weights, quadrature order, and mesh size. We have further investigated the effectiveness of the new schemes for practical shielding applications such as the Kobayashi benchmark problem and the boiling water reactor core shroud problem. In this paper, we summarize the angular V-Cycle scheme implemented in the PENTRAN code, the Fourier Analysis of the V-Cycle scheme, and results of convergence analysis of the V-Cycle scheme using different problem parameters. The theoretical analysis reveals that the V-Cycle scheme is effective for a large range of scattering ratios and is insensitive to mesh size. Besides the theoretical analysis, we have applied the new angular multigrid schemes to shielding problems. In comparison to the standard PCR formulation, combinations of the new angular multigrid schemes and PCR (e.g., SAM+V-Cycle+PCR) have proved to be very effective for scattering ratios in a range of 0.6 to 0.9. (authors)
Stochastic Industrial Source Detection Using Lower Cost Methods
Thoma, E.; George, I. J.; Brantley, H.; Deshmukh, P.; Cansler, J.; Tang, W.
2017-12-01
Hazardous air pollutants (HAPs) can be emitted from a variety of sources in industrial facilities, energy production, and commercial operations. Stochastic industrial sources (SISs) represent a subcategory of emissions from fugitive leaks, variable area sources, malfunctioning processes, and improperly controlled operations. From the shared perspective of industries and communities, cost-effective detection of mitigable SIS emissions can yield benefits such as safer working environments, cost saving through reduced product loss, lower air shed pollutant impacts, and improved transparency and community relations. Methods for SIS detection can be categorized by their spatial regime of operation, ranging from component-level inspection to high-sensitivity kilometer scale surveys. Methods can be temporally intensive (providing snap-shot measures) or sustained in both time-integrated and continuous forms. Each method category has demonstrated utility, however, broad adoption (or routine use) has thus far been limited by cost and implementation viability. Described here are a subset of SIS methods explored by the U.S EPA's next generation emission measurement (NGEM) program that focus on lower cost methods and models. An emerging systems approach that combines multiple forms to help compensate for reduced performance factors of lower cost systems is discussed. A case study of a multi-day HAP emission event observed by a combination of low cost sensors, open-path spectroscopy, and passive samplers is detailed. Early field results of a novel field gas chromatograph coupled with a fast HAP concentration sensor is described. Progress toward near real-time inverse source triangulation assisted by pre-modeled facility profiles using the Los Alamos Quick Urban & Industrial Complex (QUIC) model is discussed.
Achieving Textbook Multigrid Efficiency for Hydrostatic Ice Sheet Flow
Brown, Jed
2013-03-12
The hydrostatic equations for ice sheet flow offer improved fidelity compared with the shallow ice approximation and shallow stream approximation popular in today\\'s ice sheet models. Nevertheless, they present a serious bottleneck because they require the solution of a three-dimensional (3D) nonlinear system, as opposed to the two-dimensional system present in the shallow stream approximation. This 3D system is posed on high-aspect domains with strong anisotropy and variation in coefficients, making it expensive to solve with current methods. This paper presents a Newton--Krylov multigrid solver for the hydrostatic equations that demonstrates textbook multigrid efficiency (an order of magnitude reduction in residual per iteration and solution of the fine-level system at a small multiple of the cost of a residual evaluation). Scalability on Blue Gene/P is demonstrated, and the method is compared to various algebraic methods that are in use or have been proposed as viable approaches.
Achieving Textbook Multigrid Efficiency for Hydrostatic Ice Sheet Flow
Brown, Jed; Smith, Barry; Ahmadia, Aron
2013-01-01
The hydrostatic equations for ice sheet flow offer improved fidelity compared with the shallow ice approximation and shallow stream approximation popular in today's ice sheet models. Nevertheless, they present a serious bottleneck because they require the solution of a three-dimensional (3D) nonlinear system, as opposed to the two-dimensional system present in the shallow stream approximation. This 3D system is posed on high-aspect domains with strong anisotropy and variation in coefficients, making it expensive to solve with current methods. This paper presents a Newton--Krylov multigrid solver for the hydrostatic equations that demonstrates textbook multigrid efficiency (an order of magnitude reduction in residual per iteration and solution of the fine-level system at a small multiple of the cost of a residual evaluation). Scalability on Blue Gene/P is demonstrated, and the method is compared to various algebraic methods that are in use or have been proposed as viable approaches.
Vibrations And Deformations Of Moderately Thick Plates In Stochastic Finite Element Method
Directory of Open Access Journals (Sweden)
Grzywiński Maksym
2015-12-01
Full Text Available The paper deals with some chosen aspects of stochastic dynamical analysis of moderately thick plates. The discretization of the governing equations is described by the finite element method. The main aim of the study is to provide the generalized stochastic perturbation technique based on classical Taylor expansion with a single random variable.
Stochastic Unit Commitment via Progressive Hedging - Extensive Analysis of Solution Methods
DEFF Research Database (Denmark)
Ordoudis, Christos; Pinson, Pierre; Zugno, Marco
2015-01-01
Owing to the massive deployment of renewable power production units over the last couple of decades, the use of stochastic optimization methods to solve the unit commitment problem has gained increasing attention. Solving stochastic unit commitment problems in large-scale power systems requires h...
Efficient relaxed-Jacobi smoothers for multigrid on parallel computers
Yang, Xiang; Mittal, Rajat
2017-03-01
In this Technical Note, we present a family of Jacobi-based multigrid smoothers suitable for the solution of discretized elliptic equations. These smoothers are based on the idea of scheduled-relaxation Jacobi proposed recently by Yang & Mittal (2014) [18] and employ two or three successive relaxed Jacobi iterations with relaxation factors derived so as to maximize the smoothing property of these iterations. The performance of these new smoothers measured in terms of convergence acceleration and computational workload, is assessed for multi-domain implementations typical of parallelized solvers, and compared to the lexicographic point Gauss-Seidel smoother. The tests include the geometric multigrid method on structured grids as well as the algebraic grid method on unstructured grids. The tests demonstrate that unlike Gauss-Seidel, the convergence of these Jacobi-based smoothers is unaffected by domain decomposition, and furthermore, they outperform the lexicographic Gauss-Seidel by factors that increase with domain partition count.
Nonlinear Multigrid solver exploiting AMGe Coarse Spaces with Approximation Properties
DEFF Research Database (Denmark)
Christensen, Max la Cour; Villa, Umberto; Engsig-Karup, Allan Peter
The paper introduces a nonlinear multigrid solver for mixed finite element discretizations based on the Full Approximation Scheme (FAS) and element-based Algebraic Multigrid (AMGe). The main motivation to use FAS for unstructured problems is the guaranteed approximation property of the AMGe coarse...... properties of the coarse spaces. With coarse spaces with approximation properties, our FAS approach on unstructured meshes has the ability to be as powerful/successful as FAS on geometrically refined meshes. For comparison, Newton’s method and Picard iterations with an inner state-of-the-art linear solver...... are compared to FAS on a nonlinear saddle point problem with applications to porous media flow. It is demonstrated that FAS is faster than Newton’s method and Picard iterations for the experiments considered here. Due to the guaranteed approximation properties of our AMGe, the coarse spaces are very accurate...
Nonperturbative stochastic method for driven spin-boson model
Orth, Peter P.; Imambekov, Adilet; Le Hur, Karyn
2013-01-01
We introduce and apply a numerically exact method for investigating the real-time dissipative dynamics of quantum impurities embedded in a macroscopic environment beyond the weak-coupling limit. We focus on the spin-boson Hamiltonian that describes a two-level system interacting with a bosonic bath of harmonic oscillators. This model is archetypal for investigating dissipation in quantum systems, and tunable experimental realizations exist in mesoscopic and cold-atom systems. It finds abundant applications in physics ranging from the study of decoherence in quantum computing and quantum optics to extended dynamical mean-field theory. Starting from the real-time Feynman-Vernon path integral, we derive an exact stochastic Schrödinger equation that allows us to compute the full spin density matrix and spin-spin correlation functions beyond weak coupling. We greatly extend our earlier work [P. P. Orth, A. Imambekov, and K. Le Hur, Phys. Rev. APLRAAN1050-294710.1103/PhysRevA.82.032118 82, 032118 (2010)] by fleshing out the core concepts of the method and by presenting a number of interesting applications. Methodologically, we present an analogy between the dissipative dynamics of a quantum spin and that of a classical spin in a random magnetic field. This analogy is used to recover the well-known noninteracting-blip approximation in the weak-coupling limit. We explain in detail how to compute spin-spin autocorrelation functions. As interesting applications of our method, we explore the non-Markovian effects of the initial spin-bath preparation on the dynamics of the coherence σx(t) and of σz(t) under a Landau-Zener sweep of the bias field. We also compute to a high precision the asymptotic long-time dynamics of σz(t) without bias and demonstrate the wide applicability of our approach by calculating the spin dynamics at nonzero bias and different temperatures.
A Resampling-Based Stochastic Approximation Method for Analysis of Large Geostatistical Data
Liang, Faming; Cheng, Yichen; Song, Qifan; Park, Jincheol; Yang, Ping
2013-01-01
large number of observations. This article proposes a resampling-based stochastic approximation method to address this challenge. At each iteration of the proposed method, a small subsample is drawn from the full dataset, and then the current estimate
Stochastic fractional differential equations: Modeling, method and analysis
International Nuclear Information System (INIS)
Pedjeu, Jean-C.; Ladde, Gangaram S.
2012-01-01
By introducing a concept of dynamic process operating under multi-time scales in sciences and engineering, a mathematical model described by a system of multi-time scale stochastic differential equations is formulated. The classical Picard–Lindelöf successive approximations scheme is applied to the model validation problem, namely, existence and uniqueness of solution process. Naturally, this leads to the problem of finding closed form solutions of both linear and nonlinear multi-time scale stochastic differential equations of Itô–Doob type. Finally, to illustrate the scope of ideas and presented results, multi-time scale stochastic models for ecological and epidemiological processes in population dynamic are outlined.
CISM course on stochastic methods in fluid mechanics
Chibbaro, Sergio
2013-01-01
Since their first introduction in natural sciences through the work of Einstein on Brownian motion in 1905 and further works, in particular by Langevin, Smoluchowski and others, stochastic processes have been used in several areas of science and technology. For example, they have been applied in chemical studies, or in fluid turbulence and for combustion and reactive flows. The articles in this book provide a general and unified framework in which stochastic processes are presented as modeling tools for various issues in engineering, physics and chemistry, with particular focus on fluid mechan
International Nuclear Information System (INIS)
Song Lina; Zhang Hongqing
2007-01-01
In this work, by means of a generalized method and symbolic computation, we extend the Jacobi elliptic function rational expansion method to uniformly construct a series of stochastic wave solutions for stochastic evolution equations. To illustrate the effectiveness of our method, we take the (2+1)-dimensional stochastic dispersive long wave system as an example. We not only have obtained some known solutions, but also have constructed some new rational formal stochastic Jacobi elliptic function solutions.
Research on stochastic power-flow study methods. Final report
Energy Technology Data Exchange (ETDEWEB)
Heydt, G. T. [ed.
1981-01-01
A general algorithm to determine the effects of uncertainty in bus load and generation on the output of conventional power flow analysis is presented. The use of statistical moments is presented and developed as a means for representing the stochastic process. Statistical moments are used to describe the uncertainties, and facilitate the calculations of single and multivarlate probability density functions of input and output variables. The transformation of the uncertainty through the power flow equations is made by the expansion of the node equations in a multivariate Taylor series about an expected operating point. The series is truncated after the second order terms. Since the power flow equations are nonlinear, the expected values of output quantities is in general not the solution to the conventional load flow problem using expected values of input quantities. The second order transformation offers a correction vector and allows the consideration of larger uncertainties which have caused significant error in the current linear transformation algorithms. Voltage controlled busses are included with consideration of upper and lower limits. The finite reactive power available at generation sites, and fixed ranges of transformer tap movement may have a significant effect on voltage and line power flow statistics. A method is given which considers limitation constraints in the evaluation of all output quantities. The bus voltages, line power flows, transformer taps, and generator reactive power requirements are described by their statistical moments. Their values are expressed in terms of the probability that they are above or below specified limits, and their expected values given that they do fall outside the limits. Thus the algorithm supplies information about severity of overload as well as probability of occurrence. An example is given for an eleven bus system, evaluating each quantity separately. The results are compared with Monte Carlo simulation.
Ground state of the electron gas by a stochastic method
International Nuclear Information System (INIS)
Ceperley, D.M.; Alder, B.J.
1980-05-01
An exact stochastic simulation of the Schroedinger equation for charged Bosons and Fermions was used to calculate the correlation energies, to locate the transitions to their respective crystal phases at zero temperature within 10%, and to establish the stability at intermediate densities of a ferromagnetic fluid of electrons
A stochastic collocation method for the second order wave equation with a discontinuous random speed
Motamed, Mohammad; Nobile, Fabio; Tempone, Raul
2012-01-01
In this paper we propose and analyze a stochastic collocation method for solving the second order wave equation with a random wave speed and subjected to deterministic boundary and initial conditions. The speed is piecewise smooth in the physical
Multigrid Computation of Stratified Flow over Two-Dimensional Obstacles
Paisley, M. F.
1997-09-01
A robust multigrid method for the incompressible Navier-Stokes equations is presented and applied to the computation of viscous flow over obstacles in a bounded domain under conditions of neutral stability and stable density stratification. Two obstacle shapes have been used, namely a vertical barrier, for which the grid is Cartesian, and a smooth cosine-shaped obstacle, for which a boundary-conforming transformation is incorporated. Results are given for laminar flows at low Reynolds numbers and turbulent flows at a high Reynolds number, when a simple mixing length turbulence model is included. The multigrid algorithm is used to compute steady flows for each obstacle at low and high Reynolds numbers in conditions of weak static stability, defined byK=ND/πU≤ 1, whereU,N, andDare the upstream velocity, bouyancy frequency, and domain height respectively. Results are also presented for the vertical barrier at low and high Reynolds number in conditions of strong static stability,K> 1, when lee wave motions ensure that the flow is unsteady, and the multigrid algorithm is used to compute the flow at each timestep.
Some variance reduction methods for numerical stochastic homogenization.
Blanc, X; Le Bris, C; Legoll, F
2016-04-28
We give an overview of a series of recent studies devoted to variance reduction techniques for numerical stochastic homogenization. Numerical homogenization requires that a set of problems is solved at the microscale, the so-called corrector problems. In a random environment, these problems are stochastic and therefore need to be repeatedly solved, for several configurations of the medium considered. An empirical average over all configurations is then performed using the Monte Carlo approach, so as to approximate the effective coefficients necessary to determine the macroscopic behaviour. Variance severely affects the accuracy and the cost of such computations. Variance reduction approaches, borrowed from other contexts in the engineering sciences, can be useful. Some of these variance reduction techniques are presented, studied and tested here. © 2016 The Author(s).
Stochastic methods for the description of multiparticle production
International Nuclear Information System (INIS)
Carruthers, P.
1984-01-01
Dynamical questions in the evolution of excited hadronic matter are reviewed, with emphasis on KNO scaling and its possible violation. It is suggested that the KNO distributions is described by a stochastic evolution of the Fokker-Planck type related to underlying field theory by coupled rate equations approximated by Langevin equations with noise. Refined correlation analysis of data, especially the use of intensity interferometry techniques, is recommended for data analysis. 26 references
High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations
Abdulle, Assyr
2012-01-01
© 2012 Society for Industrial and Applied Mathematics. Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrated with the constructions of new methods of weak order two, in particular, semi-implicit integrators well suited for stiff (meansquare stable) stochastic problems, and implicit integrators that exactly conserve all quadratic first integrals of a stochastic dynamical system. Numerical examples confirm the theoretical results and show the versatility of our methodology.
International Nuclear Information System (INIS)
Yokose, Yoshio; Noguchi, So; Yamashita, Hideo
2002-01-01
Stochastic methods and deterministic methods are used for the problem of optimization of electromagnetic devices. The Genetic Algorithms (GAs) are used for one stochastic method in multivariable designs, and the deterministic method uses the gradient method, which is applied sensitivity of the objective function. These two techniques have benefits and faults. In this paper, the characteristics of those techniques are described. Then, research evaluates the technique by which two methods are used together. Next, the results of the comparison are described by applying each method to electromagnetic devices. (Author)
Analysis of future nuclear power plants competitiveness with stochastic methods
International Nuclear Information System (INIS)
Feretic, D.; Tomsic, Z.
2004-01-01
To satisfy the increased demand it is necessary to build new electrical power plants, which could in an optimal way meet, the imposed acceptability criteria. The main criteria are potential to supply the required energy, to supply this energy with minimal (or at least acceptable) costs, to satisfy licensing requirements and be acceptable to public. The main competitors for unlimited electricity production in next few decades are fossil power plants (coal and gas) and nuclear power plants. New renewable power plants (solar, wind, biomass) are also important but due to limited energy supply potential and high costs can be only supplement to the main generating units. Large hydropower plans would be competitive under condition of existence of suitable sites for construction of such plants. The paper describes the application of a stochastic method for comparing economic parameters of future electrical power generating systems including conventional and nuclear power plants. The method is applied to establish competitive specific investment costs of future nuclear power plants when compared with combined cycle gas fired units combined with wind electricity generators using best estimated and optimistic input data. The bases for economic comparison of potential options are plant life time levelized electricity generating costs. The purpose is to assess the uncertainty of several key performance and cost of electricity produced in coal fired power plant, gas fired power plant and nuclear power plant developing probability distribution of levelized price of electricity from different Power Plants, cumulative probability of levelized price of electricity for each technology and probability distribution of cost difference between the technologies. The key parameters evaluated include: levelized electrical energy cost USD/kWh,, discount rate, interest rate for credit repayment, rate of expected increase of fuel cost, plant investment cost , fuel cost , constant annual
Stability of numerical method for semi-linear stochastic pantograph differential equations
Directory of Open Access Journals (Sweden)
Yu Zhang
2016-01-01
Full Text Available Abstract As a particular expression of stochastic delay differential equations, stochastic pantograph differential equations have been widely used in nonlinear dynamics, quantum mechanics, and electrodynamics. In this paper, we mainly study the stability of analytical solutions and numerical solutions of semi-linear stochastic pantograph differential equations. Some suitable conditions for the mean-square stability of an analytical solution are obtained. Then we proved the general mean-square stability of the exponential Euler method for a numerical solution of semi-linear stochastic pantograph differential equations, that is, if an analytical solution is stable, then the exponential Euler method applied to the system is mean-square stable for arbitrary step-size h > 0 $h>0$ . Numerical examples further illustrate the obtained theoretical results.
A Cost-Effective Smoothed Multigrid with Modified Neighborhood-Based Aggregation for Markov Chains
Directory of Open Access Journals (Sweden)
Zhao-Li Shen
2015-01-01
Full Text Available Smoothed aggregation multigrid method is considered for computing stationary distributions of Markov chains. A judgement which determines whether to implement the whole aggregation procedure is proposed. Through this strategy, a large amount of time in the aggregation procedure is saved without affecting the convergence behavior. Besides this, we explain the shortage and irrationality of the Neighborhood-Based aggregation which is commonly used in multigrid methods. Then a modified version is presented to remedy and improve it. Numerical experiments on some typical Markov chain problems are reported to illustrate the performance of these methods.
Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
Abdulle, Assyr
2013-01-01
We introduce a new family of explicit integrators for stiff Itô stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of one-step stabilized methods with extended stability domains and do not suffer from the step size reduction faced by standard explicit methods. The family is based on the standard second order orthogonal Runge-Kutta-Chebyshev (ROCK2) methods for deterministic problems. The convergence, meansquare, and asymptotic stability properties of the methods are analyzed. Numerical experiments, including applications to nonlinear SDEs and parabolic stochastic partial differential equations are presented and confirm the theoretical results. © 2013 Society for Industrial and Applied Mathematics.
Stochastic Eulerian Lagrangian methods for fluid-structure interactions with thermal fluctuations
International Nuclear Information System (INIS)
Atzberger, Paul J.
2011-01-01
We present approaches for the study of fluid-structure interactions subject to thermal fluctuations. A mixed mechanical description is utilized combining Eulerian and Lagrangian reference frames. We establish general conditions for operators coupling these descriptions. Stochastic driving fields for the formalism are derived using principles from statistical mechanics. The stochastic differential equations of the formalism are found to exhibit significant stiffness in some physical regimes. To cope with this issue, we derive reduced stochastic differential equations for several physical regimes. We also present stochastic numerical methods for each regime to approximate the fluid-structure dynamics and to generate efficiently the required stochastic driving fields. To validate the methodology in each regime, we perform analysis of the invariant probability distribution of the stochastic dynamics of the fluid-structure formalism. We compare this analysis with results from statistical mechanics. To further demonstrate the applicability of the methodology, we perform computational studies for spherical particles having translational and rotational degrees of freedom. We compare these studies with results from fluid mechanics. The presented approach provides for fluid-structure systems a set of rather general computational methods for treating consistently structure mechanics, hydrodynamic coupling, and thermal fluctuations.
Directory of Open Access Journals (Sweden)
Chen Shi
2014-01-01
Full Text Available Subsynchronous oscillation (SSO usually caused by series compensation, power system stabilizer (PSS, high voltage direct current transmission (HVDC and other power electronic equipment, which will affect the safe operation of generator shafting even the system. It is very important to identify the modal parameters of SSO to take effective control strategies as well. Since the identification accuracy of traditional methods are not high enough, the stochastic subspace identification (SSI method is proposed to improve the identification accuracy of subsynchronous oscillation modal. The stochastic subspace identification method was compared with the other two methods on subsynchronous oscillation IEEE benchmark model and Xiang-Shang HVDC system model, the simulation results show that the stochastic subspace identification method has the advantages of high identification precision, high operation efficiency and strong ability of anti-noise.
Multigrid on unstructured grids using an auxiliary set of structured grids
Energy Technology Data Exchange (ETDEWEB)
Douglas, C.C.; Malhotra, S.; Schultz, M.H. [Yale Univ., New Haven, CT (United States)
1996-12-31
Unstructured grids do not have a convenient and natural multigrid framework for actually computing and maintaining a high floating point rate on standard computers. In fact, just the coarsening process is expensive for many applications. Since unstructured grids play a vital role in many scientific computing applications, many modifications have been proposed to solve this problem. One suggested solution is to map the original unstructured grid onto a structured grid. This can be used as a fine grid in a standard multigrid algorithm to precondition the original problem on the unstructured grid. We show that unless extreme care is taken, this mapping can lead to a system with a high condition number which eliminates the usefulness of the multigrid method. Theorems with lower and upper bounds are provided. Simple examples show that the upper bounds are sharp.
Multicloud: Multigrid convergence with a meshless operator
International Nuclear Information System (INIS)
Katz, Aaron; Jameson, Antony
2009-01-01
The primary objective of this work is to develop and test a new convergence acceleration technique we call multicloud. Multicloud is well-founded in the mathematical basis of multigrid, but relies on a meshless operator on coarse levels. The meshless operator enables extremely simple and automatic coarsening procedures for arbitrary meshes using arbitrary fine level discretization schemes. The performance of multicloud is compared with established multigrid techniques for structured and unstructured meshes for the Euler equations on two-dimensional test cases. Results indicate comparable convergence rates per unit work for multicloud and multigrid. However, because of its mesh and scheme transparency, multicloud may be applied to a wide array of problems with no modification of fine level schemes as is often required with agglomeration techniques. The implication is that multicloud can be implemented in a completely modular fashion, allowing researchers to develop fine level algorithms independent of the convergence accelerator for complex three-dimensional problems.
Conjugate gradient coupled with multigrid for an indefinite problem
Gozani, J.; Nachshon, A.; Turkel, E.
1984-01-01
An iterative algorithm for the Helmholtz equation is presented. This scheme was based on the preconditioned conjugate gradient method for the normal equations. The preconditioning is one cycle of a multigrid method for the discrete Laplacian. The smoothing algorithm is red-black Gauss-Seidel and is constructed so it is a symmetric operator. The total number of iterations needed by the algorithm is independent of h. By varying the number of grids, the number of iterations depends only weakly on k when k(3)h(2) is constant. Comparisons with a SSOR preconditioner are presented.
Microscopic description of nuclear few-body systems with the stochastic variational method
International Nuclear Information System (INIS)
Suzuki, Yasuyuki
2000-01-01
A simple gambling procedure called the stochastic variational method can be applied, together with appropriate variational trial functions, to solve a few-body system where the correlation between the constituents plays an important role in determining its structure. The usefulness of the method is tested by comparing to other accurate solutions for Coulombic systems. Examples of application shown here include few-nucleon systems interacting with realistic forces and few-cluster systems with the Pauli principle being taken into account properly. These examples confirm the power of the stochastic variational method. There still remain many problems for extending to a system consisting of more particles. (author)
Approximation and inference methods for stochastic biochemical kinetics—a tutorial review
International Nuclear Information System (INIS)
Schnoerr, David; Grima, Ramon; Sanguinetti, Guido
2017-01-01
Stochastic fluctuations of molecule numbers are ubiquitous in biological systems. Important examples include gene expression and enzymatic processes in living cells. Such systems are typically modelled as chemical reaction networks whose dynamics are governed by the chemical master equation. Despite its simple structure, no analytic solutions to the chemical master equation are known for most systems. Moreover, stochastic simulations are computationally expensive, making systematic analysis and statistical inference a challenging task. Consequently, significant effort has been spent in recent decades on the development of efficient approximation and inference methods. This article gives an introduction to basic modelling concepts as well as an overview of state of the art methods. First, we motivate and introduce deterministic and stochastic methods for modelling chemical networks, and give an overview of simulation and exact solution methods. Next, we discuss several approximation methods, including the chemical Langevin equation, the system size expansion, moment closure approximations, time-scale separation approximations and hybrid methods. We discuss their various properties and review recent advances and remaining challenges for these methods. We present a comparison of several of these methods by means of a numerical case study and highlight some of their respective advantages and disadvantages. Finally, we discuss the problem of inference from experimental data in the Bayesian framework and review recent methods developed the literature. In summary, this review gives a self-contained introduction to modelling, approximations and inference methods for stochastic chemical kinetics. (topical review)
Experiences using multigrid for geothermal simulation
Energy Technology Data Exchange (ETDEWEB)
Bullivant, D.P.; O`Sullivan, M.J. [Univ. of Auckland (New Zealand); Yang, Z. [Univ. of New South Wales (Australia)
1995-03-01
Experiences of applying multigrid to the calculation of natural states for geothermal simulations are discussed. The modelling of natural states was chosen for this study because they can take a long time to compute and the computation is often dominated by the development of phase change boundaries that take up a small region in the simulation. For the first part of this work a modified version of TOUGH was used for 2-D vertical problems. A {open_quotes}test-bed{close_quotes} program is now being used to investigate some of the problems encountered with implementing multigrid. This is ongoing work. To date, there have been some encouraging but not startling results.
Highly indefinite multigrid for eigenvalue problems
Energy Technology Data Exchange (ETDEWEB)
Borges, L.; Oliveira, S.
1996-12-31
Eigenvalue problems are extremely important in understanding dynamic processes such as vibrations and control systems. Large scale eigenvalue problems can be very difficult to solve, especially if a large number of eigenvalues and the corresponding eigenvectors need to be computed. For solving this problem a multigrid preconditioned algorithm is presented in {open_quotes}The Davidson Algorithm, preconditioning and misconvergence{close_quotes}. Another approach for solving eigenvalue problems is by developing efficient solutions for highly indefinite problems. In this paper we concentrate on the use of new highly indefinite multigrid algorithms for the eigenvalue problem.
The response analysis of fractional-order stochastic system via generalized cell mapping method.
Wang, Liang; Xue, Lili; Sun, Chunyan; Yue, Xiaole; Xu, Wei
2018-01-01
This paper is concerned with the response of a fractional-order stochastic system. The short memory principle is introduced to ensure that the response of the system is a Markov process. The generalized cell mapping method is applied to display the global dynamics of the noise-free system, such as attractors, basins of attraction, basin boundary, saddle, and invariant manifolds. The stochastic generalized cell mapping method is employed to obtain the evolutionary process of probability density functions of the response. The fractional-order ϕ 6 oscillator and the fractional-order smooth and discontinuous oscillator are taken as examples to give the implementations of our strategies. Studies have shown that the evolutionary direction of the probability density function of the fractional-order stochastic system is consistent with the unstable manifold. The effectiveness of the method is confirmed using Monte Carlo results.
A stochastic Galerkin method for the Euler equations with Roe variable transformation
Pettersson, Per; Iaccarino, Gianluca; Nordströ m, Jan
2014-01-01
The Euler equations subject to uncertainty in the initial and boundary conditions are investigated via the stochastic Galerkin approach. We present a new fully intrusive method based on a variable transformation of the continuous equations. Roe variables are employed to get quadratic dependence in the flux function and a well-defined Roe average matrix that can be determined without matrix inversion.In previous formulations based on generalized polynomial chaos expansion of the physical variables, the need to introduce stochastic expansions of inverse quantities, or square roots of stochastic quantities of interest, adds to the number of possible different ways to approximate the original stochastic problem. We present a method where the square roots occur in the choice of variables, resulting in an unambiguous problem formulation.The Roe formulation saves computational cost compared to the formulation based on expansion of conservative variables. Moreover, the Roe formulation is more robust and can handle cases of supersonic flow, for which the conservative variable formulation fails to produce a bounded solution. For certain stochastic basis functions, the proposed method can be made more effective and well-conditioned. This leads to increased robustness for both choices of variables. We use a multi-wavelet basis that can be chosen to include a large number of resolution levels to handle more extreme cases (e.g. strong discontinuities) in a robust way. For smooth cases, the order of the polynomial representation can be increased for increased accuracy. © 2013 Elsevier Inc.
Two-level Fourier analysis of a multigrid approach for discontinuous Galerkin discretisation
P.W. Hemker (Piet); W. Hoffmann; M.H. van Raalte (Marc)
2002-01-01
textabstractIn this paper we study a multigrid method for the solution of a linear second order elliptic equation, discretized by discontinuous Galerkin (DG) methods, andwe give a detailed analysis of the convergence for different block-relaxation strategies.We find that point-wise
Optimal management strategies in variable environments: Stochastic optimal control methods
Williams, B.K.
1985-01-01
Dynamic optimization was used to investigate the optimal defoliation of salt desert shrubs in north-western Utah. Management was formulated in the context of optimal stochastic control theory, with objective functions composed of discounted or time-averaged biomass yields. Climatic variability and community patterns of salt desert shrublands make the application of stochastic optimal control both feasible and necessary. A primary production model was used to simulate shrub responses and harvest yields under a variety of climatic regimes and defoliation patterns. The simulation results then were used in an optimization model to determine optimal defoliation strategies. The latter model encodes an algorithm for finite state, finite action, infinite discrete time horizon Markov decision processes. Three questions were addressed: (i) What effect do changes in weather patterns have on optimal management strategies? (ii) What effect does the discounting of future returns have? (iii) How do the optimal strategies perform relative to certain fixed defoliation strategies? An analysis was performed for the three shrub species, winterfat (Ceratoides lanata), shadscale (Atriplex confertifolia) and big sagebrush (Artemisia tridentata). In general, the results indicate substantial differences among species in optimal control strategies, which are associated with differences in physiological and morphological characteristics. Optimal policies for big sagebrush varied less with variation in climate, reserve levels and discount rates than did either shadscale or winterfat. This was attributed primarily to the overwintering of photosynthetically active tissue and to metabolic activity early in the growing season. Optimal defoliation of shadscale and winterfat generally was more responsive to differences in plant vigor and climate, reflecting the sensitivity of these species to utilization and replenishment of carbohydrate reserves. Similarities could be seen in the influence of both
Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
Abdulle, Assyr; Vilmart, Gilles; Zygalakis, Konstantinos C.
2013-01-01
We introduce a new family of explicit integrators for stiff Itô stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of one-step stabilized methods with extended stability domains and do not suffer
Stochastic Perron's method and elementary strategies for zero-sum differential games
Sîrbu, Mihai
2013-01-01
We develop here the Stochastic Perron Method in the framework of two-player zero-sum differential games. We consider the formulation of the game where both players play, symmetrically, feed-back strategies (as in [CR09] or [PZ12]) as opposed to the Elliott-Kalton formulation prevalent in the literature. The class of feed-back strategies we use is carefully chosen so that the state equation admits strong solutions and the technicalities involved in the Stochastic Perron Method carry through in...
Multigrid solution of diffusion equations on distributed memory multiprocessor systems
International Nuclear Information System (INIS)
Finnemann, H.
1988-01-01
The subject is the solution of partial differential equations for simulation of the reactor core on high-performance computers. The parallelization and implementation of nodal multigrid diffusion algorithms on array and ring configurations of the DIRMU multiprocessor system is outlined. The particular iteration scheme employed in the nodal expansion method appears similarly efficient in serial and parallel environments. The combination of modern multi-level techniques with innovative hardware (vector-multiprocessor systems) provides powerful tools needed for real time simulation of physical systems. The parallel efficiencies range from 70 to 90%. The same performance is estimated for large problems on large multiprocessor systems being designed at present. (orig.) [de
Kernel methods and flexible inference for complex stochastic dynamics
Capobianco, Enrico
2008-07-01
Approximation theory suggests that series expansions and projections represent standard tools for random process applications from both numerical and statistical standpoints. Such instruments emphasize the role of both sparsity and smoothness for compression purposes, the decorrelation power achieved in the expansion coefficients space compared to the signal space, and the reproducing kernel property when some special conditions are met. We consider these three aspects central to the discussion in this paper, and attempt to analyze the characteristics of some known approximation instruments employed in a complex application domain such as financial market time series. Volatility models are often built ad hoc, parametrically and through very sophisticated methodologies. But they can hardly deal with stochastic processes with regard to non-Gaussianity, covariance non-stationarity or complex dependence without paying a big price in terms of either model mis-specification or computational efficiency. It is thus a good idea to look at other more flexible inference tools; hence the strategy of combining greedy approximation and space dimensionality reduction techniques, which are less dependent on distributional assumptions and more targeted to achieve computationally efficient performances. Advantages and limitations of their use will be evaluated by looking at algorithmic and model building strategies, and by reporting statistical diagnostics.
Bayesian inference method for stochastic damage accumulation modeling
International Nuclear Information System (INIS)
Jiang, Xiaomo; Yuan, Yong; Liu, Xian
2013-01-01
Damage accumulation based reliability model plays an increasingly important role in successful realization of condition based maintenance for complicated engineering systems. This paper developed a Bayesian framework to establish stochastic damage accumulation model from historical inspection data, considering data uncertainty. Proportional hazards modeling technique is developed to model the nonlinear effect of multiple influencing factors on system reliability. Different from other hazard modeling techniques such as normal linear regression model, the approach does not require any distribution assumption for the hazard model, and can be applied for a wide variety of distribution models. A Bayesian network is created to represent the nonlinear proportional hazards models and to estimate model parameters by Bayesian inference with Markov Chain Monte Carlo simulation. Both qualitative and quantitative approaches are developed to assess the validity of the established damage accumulation model. Anderson–Darling goodness-of-fit test is employed to perform the normality test, and Box–Cox transformation approach is utilized to convert the non-normality data into normal distribution for hypothesis testing in quantitative model validation. The methodology is illustrated with the seepage data collected from real-world subway tunnels.
International Nuclear Information System (INIS)
Sankaran, Sethuraman; Audet, Charles; Marsden, Alison L.
2010-01-01
Recent advances in coupling novel optimization methods to large-scale computing problems have opened the door to tackling a diverse set of physically realistic engineering design problems. A large computational overhead is associated with computing the cost function for most practical problems involving complex physical phenomena. Such problems are also plagued with uncertainties in a diverse set of parameters. We present a novel stochastic derivative-free optimization approach for tackling such problems. Our method extends the previously developed surrogate management framework (SMF) to allow for uncertainties in both simulation parameters and design variables. The stochastic collocation scheme is employed for stochastic variables whereas Kriging based surrogate functions are employed for the cost function. This approach is tested on four numerical optimization problems and is shown to have significant improvement in efficiency over traditional Monte-Carlo schemes. Problems with multiple probabilistic constraints are also discussed.
Han, Qun; Xu, Wei; Sun, Jian-Qiao
2016-09-01
The stochastic response of nonlinear oscillators under periodic and Gaussian white noise excitations is studied with the generalized cell mapping based on short-time Gaussian approximation (GCM/STGA) method. The solutions of the transition probability density functions over a small fraction of the period are constructed by the STGA scheme in order to construct the GCM over one complete period. Both the transient and steady-state probability density functions (PDFs) of a smooth and discontinuous (SD) oscillator are computed to illustrate the application of the method. The accuracy of the results is verified by direct Monte Carlo simulations. The transient responses show the evolution of the PDFs from being Gaussian to non-Gaussian. The effect of a chaotic saddle on the stochastic response is also studied. The stochastic P-bifurcation in terms of the steady-state PDFs occurs with the decrease of the smoothness parameter, which corresponds to the deterministic pitchfork bifurcation.
Adaptive Finite Element Method Assisted by Stochastic Simulation of Chemical Systems
Cotter, Simon L.; Vejchodský , Tomá š; Erban, Radek
2013-01-01
Stochastic models of chemical systems are often analyzed by solving the corresponding Fokker-Planck equation, which is a drift-diffusion partial differential equation for the probability distribution function. Efficient numerical solution of the Fokker-Planck equation requires adaptive mesh refinements. In this paper, we present a mesh refinement approach which makes use of a stochastic simulation of the underlying chemical system. By observing the stochastic trajectory for a relatively short amount of time, the areas of the state space with nonnegligible probability density are identified. By refining the finite element mesh in these areas, and coarsening elsewhere, a suitable mesh is constructed and used for the computation of the stationary probability density. Numerical examples demonstrate that the presented method is competitive with existing a posteriori methods. © 2013 Society for Industrial and Applied Mathematics.
Data-driven remaining useful life prognosis techniques stochastic models, methods and applications
Si, Xiao-Sheng; Hu, Chang-Hua
2017-01-01
This book introduces data-driven remaining useful life prognosis techniques, and shows how to utilize the condition monitoring data to predict the remaining useful life of stochastic degrading systems and to schedule maintenance and logistics plans. It is also the first book that describes the basic data-driven remaining useful life prognosis theory systematically and in detail. The emphasis of the book is on the stochastic models, methods and applications employed in remaining useful life prognosis. It includes a wealth of degradation monitoring experiment data, practical prognosis methods for remaining useful life in various cases, and a series of applications incorporated into prognostic information in decision-making, such as maintenance-related decisions and ordering spare parts. It also highlights the latest advances in data-driven remaining useful life prognosis techniques, especially in the contexts of adaptive prognosis for linear stochastic degrading systems, nonlinear degradation modeling based pro...
Efficient multigrid computation of steady hypersonic flows
Koren, B.; Hemker, P.W.; Murthy, T.K.S.
1991-01-01
In steady hypersonic flow computations, Newton iteration as a local relaxation procedure and nonlinear multigrid iteration as an acceleration procedure may both easily fail. In the present chapter, same remedies are presented for overcoming these problems. The equations considered are the steady,
Kemper, A; Nishino, T; Schadschneider, A; Zittartz, J
2003-01-01
We develop a new variant of the recently introduced stochastic transfer matrix DMRG which we call stochastic light-cone corner-transfer-matrix DMRG (LCTMRG). It is a numerical method to compute dynamic properties of one-dimensional stochastic processes. As suggested by its name, the LCTMRG is a modification of the corner-transfer-matrix DMRG, adjusted by an additional causality argument. As an example, two reaction-diffusion models, the diffusion-annihilation process and the branch-fusion process are studied and compared with exact data and Monte Carlo simulations to estimate the capability and accuracy of the new method. The number of possible Trotter steps of more than 10 sup 5 shows a considerable improvement on the old stochastic TMRG algorithm.
Multigrid Reduction in Time for Nonlinear Parabolic Problems
Energy Technology Data Exchange (ETDEWEB)
Falgout, R. D. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States); Manteuffel, T. A. [Univ. of Colorado, Boulder, CO (United States); O' Neill, B. [Univ. of Colorado, Boulder, CO (United States); Schroder, J. B. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
2016-01-04
The need for parallel-in-time is being driven by changes in computer architectures, where future speed-ups will be available through greater concurrency, but not faster clock speeds, which are stagnant.This leads to a bottleneck for sequential time marching schemes, because they lack parallelism in the time dimension. Multigrid Reduction in Time (MGRIT) is an iterative procedure that allows for temporal parallelism by utilizing multigrid reduction techniques and a multilevel hierarchy of coarse time grids. MGRIT has been shown to be effective for linear problems, with speedups of up to 50 times. The goal of this work is the efficient solution of nonlinear problems with MGRIT, where efficient is defined as achieving similar performance when compared to a corresponding linear problem. As our benchmark, we use the p-Laplacian, where p = 4 corresponds to a well-known nonlinear diffusion equation and p = 2 corresponds to our benchmark linear diffusion problem. When considering linear problems and implicit methods, the use of optimal spatial solvers such as spatial multigrid imply that the cost of one time step evaluation is fixed across temporal levels, which have a large variation in time step sizes. This is not the case for nonlinear problems, where the work required increases dramatically on coarser time grids, where relatively large time steps lead to worse conditioned nonlinear solves and increased nonlinear iteration counts per time step evaluation. This is the key difficulty explored by this paper. We show that by using a variety of strategies, most importantly, spatial coarsening and an alternate initial guess to the nonlinear time-step solver, we can reduce the work per time step evaluation over all temporal levels to a range similar with the corresponding linear problem. This allows for parallel scaling behavior comparable to the corresponding linear problem.
Stochastic processes, multiscale modeling, and numerical methods for computational cellular biology
2017-01-01
This book focuses on the modeling and mathematical analysis of stochastic dynamical systems along with their simulations. The collected chapters will review fundamental and current topics and approaches to dynamical systems in cellular biology. This text aims to develop improved mathematical and computational methods with which to study biological processes. At the scale of a single cell, stochasticity becomes important due to low copy numbers of biological molecules, such as mRNA and proteins that take part in biochemical reactions driving cellular processes. When trying to describe such biological processes, the traditional deterministic models are often inadequate, precisely because of these low copy numbers. This book presents stochastic models, which are necessary to account for small particle numbers and extrinsic noise sources. The complexity of these models depend upon whether the biochemical reactions are diffusion-limited or reaction-limited. In the former case, one needs to adopt the framework of s...
Treatment of constraints in the stochastic quantization method and covariantized Langevin equation
International Nuclear Information System (INIS)
Ikegami, Kenji; Kimura, Tadahiko; Mochizuki, Riuji
1993-01-01
We study the treatment of the constraints in the stochastic quantization method. We improve the treatment of the stochastic consistency condition proposed by Namiki et al. by suitably taking into account the Ito calculus. Then we obtain an improved Langevin equation and the Fokker-Planck equation which naturally leads to the correct path integral quantization of the constrained system as the stochastic equilibrium state. This treatment is applied to an O(N) non-linear σ model and it is shown that singular terms appearing in the improved Langevin equation cancel out the δ n (0) divergences in one loop order. We also ascertain that the above Langevin equation, rewritten in terms of independent variables, is actually equivalent to the one in the general-coordinate transformation covariant and vielbein-rotation invariant formalism. (orig.)
Multi-grid Beam and Warming scheme for the simulation of unsteady ...
African Journals Online (AJOL)
In this paper, a multi-grid algorithm is applied to a large-scale block matrix that is produced from a Beam and Warming scheme. The Beam and Warming scheme is used in the simulation of unsteady flow in an open channel. The Gauss-Seidel block-wise iteration method is used for a smoothing process with a few iterations.
International Nuclear Information System (INIS)
Barry, J.M.; Pollard, J.P.
1986-11-01
A FORTRAN subroutine MLTGRD is provided to solve efficiently the large systems of linear equations arising from a five-point finite difference discretisation of some elliptic partial differential equations. MLTGRD is a multigrid algorithm which provides multiplicative correction to iterative solution estimates from successively reduced systems of linear equations. It uses the method of implicit non-stationary iteration for all grid levels
1980-10-01
solving (1.3); PFAS combines the concepts of multigrid algorithms with those of projected SOR. In Section 3, we discuss the implementation of PFAS, and...numerique de la torsion elasto- plastique d’une barre cylindrique. In Approximation et Methodes Iteratives de Resolution d’Inequations Variationelles et
Research on neutron noise analysis stochastic simulation method for α calculation
International Nuclear Information System (INIS)
Zhong Bin; Shen Huayun; She Ruogu; Zhu Shengdong; Xiao Gang
2014-01-01
The prompt decay constant α has significant application on the physical design and safety analysis in nuclear facilities. To overcome the difficulty of a value calculation with Monte-Carlo method, and improve the precision, a new method based on the neutron noise analysis technology was presented. This method employs the stochastic simulation and the theory of neutron noise analysis technology. Firstly, the evolution of stochastic neutron was simulated by discrete-events Monte-Carlo method based on the theory of generalized Semi-Markov process, then the neutron noise in detectors was solved from neutron signal. Secondly, the neutron noise analysis methods such as Rossia method, Feynman-α method, zero-probability method, and cross-correlation method were used to calculate a value. All of the parameters used in neutron noise analysis method were calculated based on auto-adaptive arithmetic. The a value from these methods accords with each other, the largest relative deviation is 7.9%, which proves the feasibility of a calculation method based on neutron noise analysis stochastic simulation. (authors)
DEFF Research Database (Denmark)
Debrabant, Kristian; Samaey, Giovanni; Zieliński, Przemysław
2017-01-01
We present and analyse a micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations with separation between the (fast) time-scale of individual trajectories and the (slow) time-scale of the macroscopic function of interest. The algorithm combines short...
The Stochastic Galerkin Method for Darcy Flow Problem with Log-Normal Random
Czech Academy of Sciences Publication Activity Database
Beres, Michal; Domesová, Simona
2017-01-01
Roč. 15, č. 2 (2017), s. 267-279 ISSN 1336-1376 R&D Projects: GA MŠk LQ1602 Institutional support: RVO:68145535 Keywords : Darcy flow * Gaussian random field * Karhunen-Loeve decomposition * polynomial chaos * Stochastic Galerkin method Subject RIV: BA - General Mathematics OBOR OECD: Applied mathematics http://advances.utc.sk/index.php/AEEE/article/view/2280
NONLINEAR MULTIGRID SOLVER EXPLOITING AMGe COARSE SPACES WITH APPROXIMATION PROPERTIES
Energy Technology Data Exchange (ETDEWEB)
Christensen, Max La Cour [Technical Univ. of Denmark, Lyngby (Denmark); Villa, Umberto E. [Univ. of Texas, Austin, TX (United States); Engsig-Karup, Allan P. [Technical Univ. of Denmark, Lyngby (Denmark); Vassilevski, Panayot S. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
2016-01-22
The paper introduces a nonlinear multigrid solver for mixed nite element discretizations based on the Full Approximation Scheme (FAS) and element-based Algebraic Multigrid (AMGe). The main motivation to use FAS for unstruc- tured problems is the guaranteed approximation property of the AMGe coarse spaces that were developed recently at Lawrence Livermore National Laboratory. These give the ability to derive stable and accurate coarse nonlinear discretization problems. The previous attempts (including ones with the original AMGe method, [5, 11]), were less successful due to lack of such good approximation properties of the coarse spaces. With coarse spaces with approximation properties, our FAS approach on un- structured meshes should be as powerful/successful as FAS on geometrically re ned meshes. For comparison, Newton's method and Picard iterations with an inner state-of-the-art linear solver is compared to FAS on a nonlinear saddle point problem with applications to porous media ow. It is demonstrated that FAS is faster than Newton's method and Picard iterations for the experiments considered here. Due to the guaranteed approximation properties of our AMGe, the coarse spaces are very accurate, providing a solver with the potential for mesh-independent convergence on general unstructured meshes.
Domain decomposition method of stochastic PDEs: a two-level scalable preconditioner
International Nuclear Information System (INIS)
Subber, Waad; Sarkar, Abhijit
2012-01-01
For uncertainty quantification in many practical engineering problems, the stochastic finite element method (SFEM) may be computationally challenging. In SFEM, the size of the algebraic linear system grows rapidly with the spatial mesh resolution and the order of the stochastic dimension. In this paper, we describe a non-overlapping domain decomposition method, namely the iterative substructuring method to tackle the large-scale linear system arising in the SFEM. The SFEM is based on domain decomposition in the geometric space and a polynomial chaos expansion in the probabilistic space. In particular, a two-level scalable preconditioner is proposed for the iterative solver of the interface problem for the stochastic systems. The preconditioner is equipped with a coarse problem which globally connects the subdomains both in the geometric and probabilistic spaces via their corner nodes. This coarse problem propagates the information quickly across the subdomains leading to a scalable preconditioner. For numerical illustrations, a two-dimensional stochastic elliptic partial differential equation (SPDE) with spatially varying non-Gaussian random coefficients is considered. The numerical scalability of the the preconditioner is investigated with respect to the mesh size, subdomain size, fixed problem size per subdomain and order of polynomial chaos expansion. The numerical experiments are performed on a Linux cluster using MPI and PETSc parallel libraries.
Constant Jacobian Matrix-Based Stochastic Galerkin Method for Probabilistic Load Flow
Directory of Open Access Journals (Sweden)
Yingyun Sun
2016-03-01
Full Text Available An intrusive spectral method of probabilistic load flow (PLF is proposed in the paper, which can handle the uncertainties arising from renewable energy integration. Generalized polynomial chaos (gPC expansions of dependent random variables are utilized to build a spectral stochastic representation of PLF model. Instead of solving the coupled PLF model with a traditional, cumbersome method, a modified stochastic Galerkin (SG method is proposed based on the P-Q decoupling properties of load flow in power system. By introducing two pre-calculated constant sparse Jacobian matrices, the computational burden of the SG method is significantly reduced. Two cases, IEEE 14-bus and IEEE 118-bus systems, are used to verify the computation speed and efficiency of the proposed method.
A Multigrid NLS-4DVar Data Assimilation Scheme with Advanced Research WRF (ARW)
Zhang, H.; Tian, X.
2017-12-01
The motions of the atmosphere have multiscale properties in space and/or time, and the background error covariance matrix (Β) should thus contain error information at different correlation scales. To obtain an optimal analysis, the multigrid three-dimensional variational data assimilation scheme is used widely when sequentially correcting errors from large to small scales. However, introduction of the multigrid technique into four-dimensional variational data assimilation is not easy, due to its strong dependence on the adjoint model, which has extremely high computational costs in data coding, maintenance, and updating. In this study, the multigrid technique was introduced into the nonlinear least-squares four-dimensional variational assimilation (NLS-4DVar) method, which is an advanced four-dimensional ensemble-variational method that can be applied without invoking the adjoint models. The multigrid NLS-4DVar (MG-NLS-4DVar) scheme uses the number of grid points to control the scale, with doubling of this number when moving from a coarse to a finer grid. Furthermore, the MG-NLS-4DVar scheme not only retains the advantages of NLS-4DVar, but also sufficiently corrects multiscale errors to achieve a highly accurate analysis. The effectiveness and efficiency of the proposed MG-NLS-4DVar scheme were evaluated by several groups of observing system simulation experiments using the Advanced Research Weather Research and Forecasting Model. MG-NLS-4DVar outperformed NLS-4DVar, with a lower computational cost.
Drift-Implicit Multi-Level Monte Carlo Tau-Leap Methods for Stochastic Reaction Networks
Ben Hammouda, Chiheb
2015-05-12
In biochemical systems, stochastic e↵ects can be caused by the presence of small numbers of certain reactant molecules. In this setting, discrete state-space and stochastic simulation approaches were proved to be more relevant than continuous state-space and deterministic ones. These stochastic models constitute the theory of stochastic reaction networks (SRNs). Furthermore, in some cases, the dynamics of fast and slow time scales can be well separated and this is characterized by what is called sti↵ness. For such problems, the existing discrete space-state stochastic path simulation methods, such as the stochastic simulation algorithm (SSA) and the explicit tau-leap method, can be very slow. Therefore, implicit tau-leap approxima- tions were developed to improve the numerical stability and provide more e cient simulation algorithms for these systems. One of the interesting tasks for SRNs is to approximate the expected values of some observables of the process at a certain fixed time T. This is can be achieved using Monte Carlo (MC) techniques. However, in a recent work, Anderson and Higham in 2013, proposed a more computationally e cient method which combines multi-level Monte Carlo (MLMC) technique with explicit tau-leap schemes. In this MSc thesis, we propose new fast stochastic algorithm, particularly designed 5 to address sti↵ systems, for approximating the expected values of some observables of SRNs. In fact, we take advantage of the idea of MLMC techniques and drift-implicit tau-leap approximation to construct a drift-implicit MLMC tau-leap estimator. In addition to accurately estimating the expected values of a given observable of SRNs at a final time T , our proposed estimator ensures the numerical stability with a lower cost than the MLMC explicit tau-leap algorithm, for systems including simultane- ously fast and slow species. The key contribution of our work is the coupling of two drift-implicit tau-leap paths, which is the basic brick for
International Nuclear Information System (INIS)
Lee, Kok Foong; Patterson, Robert I.A.; Wagner, Wolfgang; Kraft, Markus
2015-01-01
Graphical abstract: -- Highlights: •Problems concerning multi-compartment population balance equations are studied. •A class of fragmentation weight transfer functions is presented. •Three stochastic weighted algorithms are compared against the direct simulation algorithm. •The numerical errors of the stochastic solutions are assessed as a function of fragmentation rate. •The algorithms are applied to a multi-dimensional granulation model. -- Abstract: This paper introduces stochastic weighted particle algorithms for the solution of multi-compartment population balance equations. In particular, it presents a class of fragmentation weight transfer functions which are constructed such that the number of computational particles stays constant during fragmentation events. The weight transfer functions are constructed based on systems of weighted computational particles and each of it leads to a stochastic particle algorithm for the numerical treatment of population balance equations. Besides fragmentation, the algorithms also consider physical processes such as coagulation and the exchange of mass with the surroundings. The numerical properties of the algorithms are compared to the direct simulation algorithm and an existing method for the fragmentation of weighted particles. It is found that the new algorithms show better numerical performance over the two existing methods especially for systems with significant amount of large particles and high fragmentation rates.
Energy Technology Data Exchange (ETDEWEB)
Lee, Kok Foong [Department of Chemical Engineering and Biotechnology, University of Cambridge, New Museums Site, Pembroke Street, Cambridge CB2 3RA (United Kingdom); Patterson, Robert I.A.; Wagner, Wolfgang [Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstraße 39, 10117 Berlin (Germany); Kraft, Markus, E-mail: mk306@cam.ac.uk [Department of Chemical Engineering and Biotechnology, University of Cambridge, New Museums Site, Pembroke Street, Cambridge CB2 3RA (United Kingdom); School of Chemical and Biomedical Engineering, Nanyang Technological University, 62 Nanyang Drive, Singapore, 637459 (Singapore)
2015-12-15
Graphical abstract: -- Highlights: •Problems concerning multi-compartment population balance equations are studied. •A class of fragmentation weight transfer functions is presented. •Three stochastic weighted algorithms are compared against the direct simulation algorithm. •The numerical errors of the stochastic solutions are assessed as a function of fragmentation rate. •The algorithms are applied to a multi-dimensional granulation model. -- Abstract: This paper introduces stochastic weighted particle algorithms for the solution of multi-compartment population balance equations. In particular, it presents a class of fragmentation weight transfer functions which are constructed such that the number of computational particles stays constant during fragmentation events. The weight transfer functions are constructed based on systems of weighted computational particles and each of it leads to a stochastic particle algorithm for the numerical treatment of population balance equations. Besides fragmentation, the algorithms also consider physical processes such as coagulation and the exchange of mass with the surroundings. The numerical properties of the algorithms are compared to the direct simulation algorithm and an existing method for the fragmentation of weighted particles. It is found that the new algorithms show better numerical performance over the two existing methods especially for systems with significant amount of large particles and high fragmentation rates.
High Performance Parallel Multigrid Algorithms for Unstructured Grids
Frederickson, Paul O.
1996-01-01
We describe a high performance parallel multigrid algorithm for a rather general class of unstructured grid problems in two and three dimensions. The algorithm PUMG, for parallel unstructured multigrid, is related in structure to the parallel multigrid algorithm PSMG introduced by McBryan and Frederickson, for they both obtain a higher convergence rate through the use of multiple coarse grids. Another reason for the high convergence rate of PUMG is its smoother, an approximate inverse developed by Baumgardner and Frederickson.
Bäck, Joakim
2010-09-17
Much attention has recently been devoted to the development of Stochastic Galerkin (SG) and Stochastic Collocation (SC) methods for uncertainty quantification. An open and relevant research topic is the comparison of these two methods. By introducing a suitable generalization of the classical sparse grid SC method, we are able to compare SG and SC on the same underlying multivariate polynomial space in terms of accuracy vs. computational work. The approximation spaces considered here include isotropic and anisotropic versions of Tensor Product (TP), Total Degree (TD), Hyperbolic Cross (HC) and Smolyak (SM) polynomials. Numerical results for linear elliptic SPDEs indicate a slight computational work advantage of isotropic SC over SG, with SC-SM and SG-TD being the best choices of approximation spaces for each method. Finally, numerical results corroborate the optimality of the theoretical estimate of anisotropy ratios introduced by the authors in a previous work for the construction of anisotropic approximation spaces. © 2011 Springer.
Rackauckas, Christopher; Nie, Qing
2017-01-01
Adaptive time-stepping with high-order embedded Runge-Kutta pairs and rejection sampling provides efficient approaches for solving differential equations. While many such methods exist for solving deterministic systems, little progress has been made for stochastic variants. One challenge in developing adaptive methods for stochastic differential equations (SDEs) is the construction of embedded schemes with direct error estimates. We present a new class of embedded stochastic Runge-Kutta (SRK) methods with strong order 1.5 which have a natural embedding of strong order 1.0 methods. This allows for the derivation of an error estimate which requires no additional function evaluations. Next we derive a general method to reject the time steps without losing information about the future Brownian path termed Rejection Sampling with Memory (RSwM). This method utilizes a stack data structure to do rejection sampling, costing only a few floating point calculations. We show numerically that the methods generate statistically-correct and tolerance-controlled solutions. Lastly, we show that this form of adaptivity can be applied to systems of equations, and demonstrate that it solves a stiff biological model 12.28x faster than common fixed timestep algorithms. Our approach only requires the solution to a bridging problem and thus lends itself to natural generalizations beyond SDEs.
Fast Numerical Methods for Stochastic Partial Differential Equations
2016-04-15
Particle Swarm Optimization (PSO) method. Inspired by the social behavior of the bird flocking or fish schooling, the particle swarm optimization (PSO...Weerasinghe, Hongmei Chi and Yanzhao Cao, Particle Swarm Optimization Simulation via Optimal Halton Sequences, accepted by Procedia Computer Science (2016...Optimization Simulation via Optimal Halton Sequences, accepted by Procedia Computer Science (2016). 2. Haiyan Tian, Hongmei Chi and Yanzhao Cao
The future of stochastic and upscaling methods in hydrogeology
Nœtinger, Benoît; Artus, Vincent; Zargar, Ghassem
2005-03-01
Geological formations are complex features resulting from geological, mechanical, and physico-chemical processes occurring over a very wide range of length scales and time scales. Transport phenomena ranging from the molecular scale to several hundreds of kilometers may influence the overall behavior of fluid flow in these formations. Heterogeneities that cover a large range of spatial scales play an essential role to channel fluid-flows, especially when they are coupled with non-linearities inherent to transport processes in porous media. These issues have considerable practical importance in groundwater management, and in the oil industry, particularly in solving new problems posed by projects concerned with the trapping of CO2 in the subsurface. In order to manage this complexity, one must be able to prioritize the respective influences of various relevant geological and physico-chemical phenomena occurring at several ranges of length and time scales as well as understand and use the increasingly rich and complex geostatistical models to provide realistic simulations of subsurface conditions. Multiscale simulation of fluid transport in these formations should help engineers to focus on the crucial phenomena that control the flow. This provides a natural framework to integrate data, to solve inverse problems involving large amounts of data, resulting in a reduction of the uncertainties of the subsurface description that must be evaluated. This allows in turn the making of more relevant practical decisions. In this paper, some perspectives on the development of upscaling approaches are presented, highlighting some recent multiscale concepts, discarding the fractured media case. Upscaling can be used as a useful framework to simultaneously manage scale-dependant problems, stochastic approaches and inverse problems. Actual and potential applications of upscaling to the elaboration of subsurface models constrained to observed data, and the management of uncertainties
A Newton-Based Extremum Seeking MPPT Method for Photovoltaic Systems with Stochastic Perturbations
Directory of Open Access Journals (Sweden)
Heng Li
2014-01-01
Full Text Available Microcontroller based maximum power point tracking (MPPT has been the most popular MPPT approach in photovoltaic systems due to its high flexibility and efficiency in different photovoltaic systems. It is well known that PV systems typically operate under a range of uncertain environmental parameters and disturbances, which implies that MPPT controllers generally suffer from some unknown stochastic perturbations. To address this issue, a novel Newton-based stochastic extremum seeking MPPT method is proposed. Treating stochastic perturbations as excitation signals, the proposed MPPT controller has a good tolerance of stochastic perturbations in nature. Different from conventional gradient-based extremum seeking MPPT algorithm, the convergence rate of the proposed controller can be totally user-assignable rather than determined by unknown power map. The stability and convergence of the proposed controller are rigorously proved. We further discuss the effects of partial shading and PV module ageing on the proposed controller. Numerical simulations and experiments are conducted to show the effectiveness of the proposed MPPT algorithm.
Kucza, Witold
2013-07-25
Stochastic and deterministic simulations of dispersion in cylindrical channels on the Poiseuille flow have been presented. The random walk (stochastic) and the uniform dispersion (deterministic) models have been used for computations of flow injection analysis responses. These methods coupled with the genetic algorithm and the Levenberg-Marquardt optimization methods, respectively, have been applied for determination of diffusion coefficients. The diffusion coefficients of fluorescein sodium, potassium hexacyanoferrate and potassium dichromate have been determined by means of the presented methods and FIA responses that are available in literature. The best-fit results agree with each other and with experimental data thus validating both presented approaches. Copyright © 2013 The Author. Published by Elsevier B.V. All rights reserved.
Stochastic interpretation of magnetotelluric data, comparison of methods
Czech Academy of Sciences Publication Activity Database
Červ, Václav; Menvielle, M.; Pek, Josef
2007-01-01
Roč. 50, č. 1 (2007), s. 7-19 ISSN 1593-5213 R&D Projects: GA ČR GA205/04/0740; GA ČR GA205/04/0746; GA MŠk ME 677 Institutional research plan: CEZ:AV0Z30120515 Keywords : magnetotelluric method * inverse problem * controlled random search Subject RIV: DE - Earth Magnetism, Geodesy, Geography Impact factor: 0.298, year: 2007
Deviation-based spam-filtering method via stochastic approach
Lee, Daekyung; Lee, Mi Jin; Kim, Beom Jun
2018-03-01
In the presence of a huge number of possible purchase choices, ranks or ratings of items by others often play very important roles for a buyer to make a final purchase decision. Perfectly objective rating is an impossible task to achieve, and we often use an average rating built on how previous buyers estimated the quality of the product. The problem of using a simple average rating is that it can easily be polluted by careless users whose evaluation of products cannot be trusted, and by malicious spammers who try to bias the rating result on purpose. In this letter we suggest how trustworthiness of individual users can be systematically and quantitatively reflected to build a more reliable rating system. We compute the suitably defined reliability of each user based on the user's rating pattern for all products she evaluated. We call our proposed method as the deviation-based ranking, since the statistical significance of each user's rating pattern with respect to the average rating pattern is the key ingredient. We find that our deviation-based ranking method outperforms existing methods in filtering out careless random evaluators as well as malicious spammers.
Different seeds to solve the equations of stochastic point kinetics using the Euler-Maruyama method
International Nuclear Information System (INIS)
Suescun D, D.; Oviedo T, M.
2017-09-01
In this paper, a numerical study of stochastic differential equations that describe the kinetics in a nuclear reactor is presented. These equations, known as the stochastic equations of punctual kinetics they model temporal variations in neutron population density and concentrations of deferred neutron precursors. Because these equations are probabilistic in nature (since random oscillations in the neutrons and population of precursors were considered to be approximately normally distributed, and these equations also possess strong coupling and stiffness properties) the proposed method for the numerical simulations is the Euler-Maruyama scheme that provides very good approximations for calculating the neutron population and concentrations of deferred neutron precursors. The method proposed for this work was computationally tested for different seeds, initial conditions, experimental data and forms of reactivity for a group of precursors and then for six groups of deferred neutron precursors at each time step with 5000 Brownian movements per seed. In a paper reported in the literature, the Euler-Maruyama method was proposed, but there are many doubts about the reported values, in addition to not reporting the seed used, so in this work is expected to rectify the reported values. After taking the average of the different seeds used to generate the pseudo-random numbers the results provided by the Euler-Maruyama scheme will be compared in mean and standard deviation with other methods reported in the literature and results of the deterministic model of the equations of the punctual kinetics. This comparison confirms in particular that the Euler-Maruyama scheme is an efficient method to solve the equations of stochastic point kinetics but different from the values found and reported by another author. The Euler-Maruyama method is simple and easy to implement, provides acceptable results for neutron population density and concentration of deferred neutron precursors and
A stochastic physical-mathematical method for reactor kinetics analysis
International Nuclear Information System (INIS)
Velickovic, Lj.
1966-01-01
The developed theoretical model is concerned with BF 3 counter placed in the core of a low power reactor (a few MW) where statistical neutron effects are most evident. Our experiments were somewhat different. The detector used was and ionization chamber with double sampling, in ADC and in the time analyzer. The objective of this model was not to obtain precise numerical calculations, but to explain the method and the essentials of the correlation. Introducing all the six groups of delayed neutrons and possibly photoneutrons the model could be improved to obtained more realistic results
Population control methods in stochastic extinction and outbreak scenarios.
Directory of Open Access Journals (Sweden)
Juan Segura
Full Text Available Adaptive limiter control (ALC and adaptive threshold harvesting (ATH are two related control methods that have been shown to stabilize fluctuating populations. Large variations in population abundance can threaten the constancy and the persistence stability of ecological populations, which may impede the success and efficiency of managing natural resources. Here, we consider population models that include biological mechanisms characteristic for causing extinctions on the one hand and pest outbreaks on the other hand. These models include Allee effects and the impact of natural enemies (as is typical of forest defoliating insects. We study the impacts of noise and different levels of biological parameters in three extinction and two outbreak scenarios. Our results show that ALC and ATH have an effect on extinction and outbreak risks only for sufficiently large control intensities. Moreover, there is a clear disparity between the two control methods: in the extinction scenarios, ALC can be effective and ATH can be counterproductive, whereas in the outbreak scenarios the situation is reversed, with ATH being effective and ALC being potentially counterproductive.
Population control methods in stochastic extinction and outbreak scenarios.
Segura, Juan; Hilker, Frank M; Franco, Daniel
2017-01-01
Adaptive limiter control (ALC) and adaptive threshold harvesting (ATH) are two related control methods that have been shown to stabilize fluctuating populations. Large variations in population abundance can threaten the constancy and the persistence stability of ecological populations, which may impede the success and efficiency of managing natural resources. Here, we consider population models that include biological mechanisms characteristic for causing extinctions on the one hand and pest outbreaks on the other hand. These models include Allee effects and the impact of natural enemies (as is typical of forest defoliating insects). We study the impacts of noise and different levels of biological parameters in three extinction and two outbreak scenarios. Our results show that ALC and ATH have an effect on extinction and outbreak risks only for sufficiently large control intensities. Moreover, there is a clear disparity between the two control methods: in the extinction scenarios, ALC can be effective and ATH can be counterproductive, whereas in the outbreak scenarios the situation is reversed, with ATH being effective and ALC being potentially counterproductive.
Haji Ali, Abdul Lateef
2016-01-01
I discuss using single level and multilevel Monte Carlo methods to compute quantities of interests of a stochastic particle system in the mean-field. In this context, the stochastic particles follow a coupled system of Ito stochastic differential equations (SDEs). Moreover, this stochastic particle system converges to a stochastic mean-field limit as the number of particles tends to infinity. I start by recalling the results of applying different versions of Multilevel Monte Carlo (MLMC) for particle systems, both with respect to time steps and the number of particles and using a partitioning estimator. Next, I expand on these results by proposing the use of our recent Multi-index Monte Carlo method to obtain improved convergence rates.
Haji Ali, Abdul Lateef
2016-01-08
I discuss using single level and multilevel Monte Carlo methods to compute quantities of interests of a stochastic particle system in the mean-field. In this context, the stochastic particles follow a coupled system of Ito stochastic differential equations (SDEs). Moreover, this stochastic particle system converges to a stochastic mean-field limit as the number of particles tends to infinity. I start by recalling the results of applying different versions of Multilevel Monte Carlo (MLMC) for particle systems, both with respect to time steps and the number of particles and using a partitioning estimator. Next, I expand on these results by proposing the use of our recent Multi-index Monte Carlo method to obtain improved convergence rates.
Energy Technology Data Exchange (ETDEWEB)
Kalchev, D. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States); Ketelsen, C. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States); Vassilevski, P. S. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
2013-11-07
Our paper proposes an adaptive strategy for reusing a previously constructed coarse space by algebraic multigrid to construct a two-level solver for a problem with nearby characteristics. Furthermore, a main target application is the solution of the linear problems that appear throughout a sequence of Markov chain Monte Carlo simulations of subsurface flow with uncertain permeability field. We demonstrate the efficacy of the method with extensive set of numerical experiments.
A method for generating stochastic 3D tree models with Python in Autodesk Maya
Directory of Open Access Journals (Sweden)
Nemanja Stojanović
2016-12-01
Full Text Available This paper introduces a method for generating 3D tree models using stochastic L-systems with stochastic parameters and Perlin noise. L-system is the most popular method for plant modeling and Perlin noise is extensively used for generating high detailed textures. Our approach is probabilistic. L-systems with a random choice of parameters can represent observed objects quite well and they are used for modeling and generating realistic plants. Textures and normal maps are generated with combinations of Perlin noises what make these trees completely unique. Script for generating these trees, textures and normal maps is written with Python/PyMEL/NumPy in Autodesk Maya.
Validation of internal dosimetry protocols based on stochastic method
International Nuclear Information System (INIS)
Mendes, Bruno M.; Fonseca, Telma C.F.; Almeida, Iassudara G.; Trindade, Bruno M.; Campos, Tarcisio P.R.
2015-01-01
Computational phantoms adapted to Monte Carlo codes have been applied successfully in radiation dosimetry fields. NRI research group has been developing Internal Dosimetry Protocols - IDPs, addressing distinct methodologies, software and computational human-simulators, to perform internal dosimetry, especially for new radiopharmaceuticals. Validation of the IDPs is critical to ensure the reliability of the simulations results. Inter comparisons of data from literature with those produced by our IDPs is a suitable method for validation. The aim of this study was to validate the IDPs following such inter comparison procedure. The Golem phantom has been reconfigured to run on MCNP5. The specific absorbed fractions (SAF) for photon at 30, 100 and 1000 keV energies were simulated based on the IDPs and compared with reference values (RV) published by Zankl and Petoussi-Henss, 1998. The SAF average differences from RV and those obtained in IDP simulations was 2.3 %. The SAF largest differences were found in situations involving low energy photons at 30 keV. The Adrenals and thyroid, i.e. the lowest mass organs, had the highest SAF discrepancies towards RV as 7.2 % and 3.8 %, respectively. The statistic differences of SAF applying our IDPs from reference values were considered acceptable at the 30, 100 and 1000 keV spectra. We believe that the main reason for the discrepancies in IDPs run, found in lower masses organs, was due to our source definition methodology. Improvements of source spatial distribution in the voxels may provide outputs more consistent with reference values for lower masses organs. (author)
Validation of internal dosimetry protocols based on stochastic method
Energy Technology Data Exchange (ETDEWEB)
Mendes, Bruno M.; Fonseca, Telma C.F., E-mail: bmm@cdtn.br [Centro de Desenvolvimento da Tecnologia Nuclear (CDTN/CNEN-MG), Belo Horizonte, MG (Brazil); Almeida, Iassudara G.; Trindade, Bruno M.; Campos, Tarcisio P.R., E-mail: tprcampos@yahoo.com.br [Universidade Federal de Minas Gerais (DEN/UFMG), Belo Horizonte, MG (Brazil). Departamento de Engenharia Nuclear
2015-07-01
Computational phantoms adapted to Monte Carlo codes have been applied successfully in radiation dosimetry fields. NRI research group has been developing Internal Dosimetry Protocols - IDPs, addressing distinct methodologies, software and computational human-simulators, to perform internal dosimetry, especially for new radiopharmaceuticals. Validation of the IDPs is critical to ensure the reliability of the simulations results. Inter comparisons of data from literature with those produced by our IDPs is a suitable method for validation. The aim of this study was to validate the IDPs following such inter comparison procedure. The Golem phantom has been reconfigured to run on MCNP5. The specific absorbed fractions (SAF) for photon at 30, 100 and 1000 keV energies were simulated based on the IDPs and compared with reference values (RV) published by Zankl and Petoussi-Henss, 1998. The SAF average differences from RV and those obtained in IDP simulations was 2.3 %. The SAF largest differences were found in situations involving low energy photons at 30 keV. The Adrenals and thyroid, i.e. the lowest mass organs, had the highest SAF discrepancies towards RV as 7.2 % and 3.8 %, respectively. The statistic differences of SAF applying our IDPs from reference values were considered acceptable at the 30, 100 and 1000 keV spectra. We believe that the main reason for the discrepancies in IDPs run, found in lower masses organs, was due to our source definition methodology. Improvements of source spatial distribution in the voxels may provide outputs more consistent with reference values for lower masses organs. (author)
Background field method for nonlinear σ-model in stochastic quantization
International Nuclear Information System (INIS)
Nakazawa, Naohito; Ennyu, Daiji
1988-01-01
We formulate the background field method for the nonlinear σ-model in stochastic quantization. We demonstrate a one-loop calculation for a two-dimensional non-linear σ-model on a general riemannian manifold based on our formulation. The formulation is consistent with the known results in ordinary quantization. As a simple application, we also analyse the multiplicative renormalization of the O(N) nonlinear σ-model. (orig.)
Moreno, Pablo; García, Marcelo
2016-01-01
The increase in energy consumption, especially in residential consumers, means that the electrical system should grow at pair, in infrastructure and installed capacity, the energy prices vary to meet these needs, so this paper uses the methodology of demand response using stochastic methods such as Markov, to optimize energy consumption of residential users. It is necessary to involve customers in the electrical system because in this way it can be verified the actual amount of electric charg...
DETECTION OF CHANGES OF THE SYSTEM TECHNICAL STATE USING STOCHASTIC SUBSPACE OBSERVATION METHOD
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Andrzej Puchalski
2014-03-01
Full Text Available System diagnostics based on vibroacoustics signals, carried out by means of stochastic subspace methods was undertaken in the hereby paper. Subspace methods are the ones based on numerical linear algebra tools. The considered solutions belong to diagnostic methods according to data, leading to the generation of residuals allowing failure recognition of elements and assemblies in machines and devices. The algorithm of diagnostics according to the subspace observation method was applied – in the paper – for the estimation of the valve system of the spark ignition engine.
Multi-fidelity stochastic collocation method for computation of statistical moments
Energy Technology Data Exchange (ETDEWEB)
Zhu, Xueyu, E-mail: xueyu-zhu@uiowa.edu [Department of Mathematics, University of Iowa, Iowa City, IA 52242 (United States); Linebarger, Erin M., E-mail: aerinline@sci.utah.edu [Department of Mathematics, University of Utah, Salt Lake City, UT 84112 (United States); Xiu, Dongbin, E-mail: xiu.16@osu.edu [Department of Mathematics, The Ohio State University, Columbus, OH 43210 (United States)
2017-07-15
We present an efficient numerical algorithm to approximate the statistical moments of stochastic problems, in the presence of models with different fidelities. The method extends the multi-fidelity approximation method developed in . By combining the efficiency of low-fidelity models and the accuracy of high-fidelity models, our method exhibits fast convergence with a limited number of high-fidelity simulations. We establish an error bound of the method and present several numerical examples to demonstrate the efficiency and applicability of the multi-fidelity algorithm.
Solution verification, goal-oriented adaptive methods for stochastic advection–diffusion problems
Almeida, Regina C.
2010-08-01
A goal-oriented analysis of linear, stochastic advection-diffusion models is presented which provides both a method for solution verification as well as a basis for improving results through adaptation of both the mesh and the way random variables are approximated. A class of model problems with random coefficients and source terms is cast in a variational setting. Specific quantities of interest are specified which are also random variables. A stochastic adjoint problem associated with the quantities of interest is formulated and a posteriori error estimates are derived. These are used to guide an adaptive algorithm which adjusts the sparse probabilistic grid so as to control the approximation error. Numerical examples are given to demonstrate the methodology for a specific model problem. © 2010 Elsevier B.V.
Beck, Joakim; Nobile, Fabio; Tamellini, Lorenzo; Tempone, Raul
2014-01-01
In this work we consider quasi-optimal versions of the Stochastic Galerkin method for solving linear elliptic PDEs with stochastic coefficients. In particular, we consider the case of a finite number N of random inputs and an analytic dependence of the solution of the PDE with respect to the parameters in a polydisc of the complex plane CN. We show that a quasi-optimal approximation is given by a Galerkin projection on a weighted (anisotropic) total degree space and prove a (sub)exponential convergence rate. As a specific application we consider a thermal conduction problem with non-overlapping inclusions of random conductivity. Numerical results show the sharpness of our estimates. © 2013 Elsevier Ltd. All rights reserved.
Empirical method to measure stochasticity and multifractality in nonlinear time series
Lin, Chih-Hao; Chang, Chia-Seng; Li, Sai-Ping
2013-12-01
An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the stochasticity of different time series can be compared. The local volatility of the time series under study can be constructed using this algorithm, and the multifractal structure of the time series can be analyzed by using this local volatility. As an example, we employ this method to analyze financial time series from different stock markets. The result shows that while developed markets evolve very much like an Ito process, the emergent markets are far from efficient. Differences about the multifractal structures and leverage effects between developed and emergent markets are discussed. The algorithm used here can be applied in a similar fashion to study time series of other complex systems.
Hozman, J.; Tichý, T.
2016-12-01
The paper is based on the results from our recent research on multidimensional option pricing problems. We focus on European option valuation when the price movement of the underlying asset is driven by a stochastic volatility following a square root process proposed by Heston. The stochastic approach incorporates a new additional spatial variable into this model and makes it very robust, i.e. it provides a framework to price a variety of options that is closer to reality. The main topic is to present the numerical scheme arising from the concept of discontinuous Galerkin methods and applicable to the Heston option pricing model. The numerical results are presented on artificial benchmarks as well as on reference market data.
Beck, Joakim
2014-03-01
In this work we consider quasi-optimal versions of the Stochastic Galerkin method for solving linear elliptic PDEs with stochastic coefficients. In particular, we consider the case of a finite number N of random inputs and an analytic dependence of the solution of the PDE with respect to the parameters in a polydisc of the complex plane CN. We show that a quasi-optimal approximation is given by a Galerkin projection on a weighted (anisotropic) total degree space and prove a (sub)exponential convergence rate. As a specific application we consider a thermal conduction problem with non-overlapping inclusions of random conductivity. Numerical results show the sharpness of our estimates. © 2013 Elsevier Ltd. All rights reserved.
Solution verification, goal-oriented adaptive methods for stochastic advection–diffusion problems
Almeida, Regina C.; Oden, J. Tinsley
2010-01-01
A goal-oriented analysis of linear, stochastic advection-diffusion models is presented which provides both a method for solution verification as well as a basis for improving results through adaptation of both the mesh and the way random variables are approximated. A class of model problems with random coefficients and source terms is cast in a variational setting. Specific quantities of interest are specified which are also random variables. A stochastic adjoint problem associated with the quantities of interest is formulated and a posteriori error estimates are derived. These are used to guide an adaptive algorithm which adjusts the sparse probabilistic grid so as to control the approximation error. Numerical examples are given to demonstrate the methodology for a specific model problem. © 2010 Elsevier B.V.
On the optimal polynomial approximation of stochastic PDEs by galerkin and collocation methods
Beck, Joakim; Tempone, Raul; Nobile, Fabio; Tamellini, Lorenzo
2012-01-01
In this work we focus on the numerical approximation of the solution u of a linear elliptic PDE with stochastic coefficients. The problem is rewritten as a parametric PDE and the functional dependence of the solution on the parameters is approximated by multivariate polynomials. We first consider the stochastic Galerkin method, and rely on sharp estimates for the decay of the Fourier coefficients of the spectral expansion of u on an orthogonal polynomial basis to build a sequence of polynomial subspaces that features better convergence properties, in terms of error versus number of degrees of freedom, than standard choices such as Total Degree or Tensor Product subspaces. We consider then the Stochastic Collocation method, and use the previous estimates to introduce a new class of Sparse Grids, based on the idea of selecting a priori the most profitable hierarchical surpluses, that, again, features better convergence properties compared to standard Smolyak or tensor product grids. Numerical results show the effectiveness of the newly introduced polynomial spaces and sparse grids. © 2012 World Scientific Publishing Company.
Sokołowski, Damian; Kamiński, Marcin
2018-01-01
This study proposes a framework for determination of basic probabilistic characteristics of the orthotropic homogenized elastic properties of the periodic composite reinforced with ellipsoidal particles and a high stiffness contrast between the reinforcement and the matrix. Homogenization problem, solved by the Iterative Stochastic Finite Element Method (ISFEM) is implemented according to the stochastic perturbation, Monte Carlo simulation and semi-analytical techniques with the use of cubic Representative Volume Element (RVE) of this composite containing single particle. The given input Gaussian random variable is Young modulus of the matrix, while 3D homogenization scheme is based on numerical determination of the strain energy of the RVE under uniform unit stretches carried out in the FEM system ABAQUS. The entire series of several deterministic solutions with varying Young modulus of the matrix serves for the Weighted Least Squares Method (WLSM) recovery of polynomial response functions finally used in stochastic Taylor expansions inherent for the ISFEM. A numerical example consists of the High Density Polyurethane (HDPU) reinforced with the Carbon Black particle. It is numerically investigated (1) if the resulting homogenized characteristics are also Gaussian and (2) how the uncertainty in matrix Young modulus affects the effective stiffness tensor components and their PDF (Probability Density Function).
Wang, Ting; Plecháč, Petr
2017-12-01
Stochastic reaction networks that exhibit bistable behavior are common in systems biology, materials science, and catalysis. Sampling of stationary distributions is crucial for understanding and characterizing the long-time dynamics of bistable stochastic dynamical systems. However, simulations are often hindered by the insufficient sampling of rare transitions between the two metastable regions. In this paper, we apply the parallel replica method for a continuous time Markov chain in order to improve sampling of the stationary distribution in bistable stochastic reaction networks. The proposed method uses parallel computing to accelerate the sampling of rare transitions. Furthermore, it can be combined with the path-space information bounds for parametric sensitivity analysis. With the proposed methodology, we study three bistable biological networks: the Schlögl model, the genetic switch network, and the enzymatic futile cycle network. We demonstrate the algorithmic speedup achieved in these numerical benchmarks. More significant acceleration is expected when multi-core or graphics processing unit computer architectures and programming tools such as CUDA are employed.
Wang, Ting; Plecháč, Petr
2017-12-21
Stochastic reaction networks that exhibit bistable behavior are common in systems biology, materials science, and catalysis. Sampling of stationary distributions is crucial for understanding and characterizing the long-time dynamics of bistable stochastic dynamical systems. However, simulations are often hindered by the insufficient sampling of rare transitions between the two metastable regions. In this paper, we apply the parallel replica method for a continuous time Markov chain in order to improve sampling of the stationary distribution in bistable stochastic reaction networks. The proposed method uses parallel computing to accelerate the sampling of rare transitions. Furthermore, it can be combined with the path-space information bounds for parametric sensitivity analysis. With the proposed methodology, we study three bistable biological networks: the Schlögl model, the genetic switch network, and the enzymatic futile cycle network. We demonstrate the algorithmic speedup achieved in these numerical benchmarks. More significant acceleration is expected when multi-core or graphics processing unit computer architectures and programming tools such as CUDA are employed.
On the optimal polynomial approximation of stochastic PDEs by galerkin and collocation methods
Beck, Joakim
2012-09-01
In this work we focus on the numerical approximation of the solution u of a linear elliptic PDE with stochastic coefficients. The problem is rewritten as a parametric PDE and the functional dependence of the solution on the parameters is approximated by multivariate polynomials. We first consider the stochastic Galerkin method, and rely on sharp estimates for the decay of the Fourier coefficients of the spectral expansion of u on an orthogonal polynomial basis to build a sequence of polynomial subspaces that features better convergence properties, in terms of error versus number of degrees of freedom, than standard choices such as Total Degree or Tensor Product subspaces. We consider then the Stochastic Collocation method, and use the previous estimates to introduce a new class of Sparse Grids, based on the idea of selecting a priori the most profitable hierarchical surpluses, that, again, features better convergence properties compared to standard Smolyak or tensor product grids. Numerical results show the effectiveness of the newly introduced polynomial spaces and sparse grids. © 2012 World Scientific Publishing Company.
An efficient parallel stochastic simulation method for analysis of nonviral gene delivery systems
Kuwahara, Hiroyuki
2011-01-01
Gene therapy has a great potential to become an effective treatment for a wide variety of diseases. One of the main challenges to make gene therapy practical in clinical settings is the development of efficient and safe mechanisms to deliver foreign DNA molecules into the nucleus of target cells. Several computational and experimental studies have shown that the design process of synthetic gene transfer vectors can be greatly enhanced by computational modeling and simulation. This paper proposes a novel, effective parallelization of the stochastic simulation algorithm (SSA) for pharmacokinetic models that characterize the rate-limiting, multi-step processes of intracellular gene delivery. While efficient parallelizations of the SSA are still an open problem in a general setting, the proposed parallel simulation method is able to substantially accelerate the next reaction selection scheme and the reaction update scheme in the SSA by exploiting and decomposing the structures of stochastic gene delivery models. This, thus, makes computationally intensive analysis such as parameter optimizations and gene dosage control for specific cell types, gene vectors, and transgene expression stability substantially more practical than that could otherwise be with the standard SSA. Here, we translated the nonviral gene delivery model based on mass-action kinetics by Varga et al. [Molecular Therapy, 4(5), 2001] into a more realistic model that captures intracellular fluctuations based on stochastic chemical kinetics, and as a case study we applied our parallel simulation to this stochastic model. Our results show that our simulation method is able to increase the efficiency of statistical analysis by at least 50% in various settings. © 2011 ACM.
International Nuclear Information System (INIS)
Wu, Fuke; Tian, Tianhai; Rawlings, James B.; Yin, George
2016-01-01
The frequently used reduction technique is based on the chemical master equation for stochastic chemical kinetics with two-time scales, which yields the modified stochastic simulation algorithm (SSA). For the chemical reaction processes involving a large number of molecular species and reactions, the collection of slow reactions may still include a large number of molecular species and reactions. Consequently, the SSA is still computationally expensive. Because the chemical Langevin equations (CLEs) can effectively work for a large number of molecular species and reactions, this paper develops a reduction method based on the CLE by the stochastic averaging principle developed in the work of Khasminskii and Yin [SIAM J. Appl. Math. 56, 1766–1793 (1996); ibid. 56, 1794–1819 (1996)] to average out the fast-reacting variables. This reduction method leads to a limit averaging system, which is an approximation of the slow reactions. Because in the stochastic chemical kinetics, the CLE is seen as the approximation of the SSA, the limit averaging system can be treated as the approximation of the slow reactions. As an application, we examine the reduction of computation complexity for the gene regulatory networks with two-time scales driven by intrinsic noise. For linear and nonlinear protein production functions, the simulations show that the sample average (expectation) of the limit averaging system is close to that of the slow-reaction process based on the SSA. It demonstrates that the limit averaging system is an efficient approximation of the slow-reaction process in the sense of the weak convergence.
Stochastic Methods Applied to Power System Operations with Renewable Energy: A Review
Energy Technology Data Exchange (ETDEWEB)
Zhou, Z. [Argonne National Lab. (ANL), Argonne, IL (United States); Liu, C. [Argonne National Lab. (ANL), Argonne, IL (United States); Electric Reliability Council of Texas (ERCOT), Austin, TX (United States); Botterud, A. [Argonne National Lab. (ANL), Argonne, IL (United States)
2016-08-01
Renewable energy resources have been rapidly integrated into power systems in many parts of the world, contributing to a cleaner and more sustainable supply of electricity. Wind and solar resources also introduce new challenges for system operations and planning in terms of economics and reliability because of their variability and uncertainty. Operational strategies based on stochastic optimization have been developed recently to address these challenges. In general terms, these stochastic strategies either embed uncertainties into the scheduling formulations (e.g., the unit commitment [UC] problem) in probabilistic forms or develop more appropriate operating reserve strategies to take advantage of advanced forecasting techniques. Other approaches to address uncertainty are also proposed, where operational feasibility is ensured within an uncertainty set of forecasting intervals. In this report, a comprehensive review is conducted to present the state of the art through Spring 2015 in the area of stochastic methods applied to power system operations with high penetration of renewable energy. Chapters 1 and 2 give a brief introduction and overview of power system and electricity market operations, as well as the impact of renewable energy and how this impact is typically considered in modeling tools. Chapter 3 reviews relevant literature on operating reserves and specifically probabilistic methods to estimate the need for system reserve requirements. Chapter 4 looks at stochastic programming formulations of the UC and economic dispatch (ED) problems, highlighting benefits reported in the literature as well as recent industry developments. Chapter 5 briefly introduces alternative formulations of UC under uncertainty, such as robust, chance-constrained, and interval programming. Finally, in Chapter 6, we conclude with the main observations from our review and important directions for future work.
Analysis methods of stochastic transient electro–magnetic processes in electric traction system
Directory of Open Access Journals (Sweden)
T. M. Mishchenko
2013-04-01
Full Text Available Purpose. The essence and basic characteristics of calculation methods of transient electromagnetic processes in the elements and devices of non–linear dynamic electric traction systems taking into account the stochastic changes of voltages and currents in traction networks of power supply subsystem and power circuits of electric rolling stock are developed. Methodology. Classical methods and the methods of non–linear electric engineering, as well as probability theory method, especially the methods of stationary ergodic and non–stationary stochastic processes application are used in the research. Findings. Using the above-mentioned methods an equivalent circuit and the system of nonlinear integra–differential equations for electromagnetic condition of the double–track inter-substation zone of alternating current electric traction system are drawn up. Calculations allow obtaining electric traction current distribution in the areas of feeder zones. Originality. First of all the paper is interesting and important from scientific point of view due to the methods, which allow taking into account probabilistic character of change for traction voltages and electric traction system currents. On the second hand the researches develop the most efficient methods of nonlinear circuits’ analysis. Practical value. The practical value of the research is presented in application of the methods to the analysis of electromagnetic and electric energy processes in the traction power supply system in the case of high-speed train traffic.
Patnaik, Surya N.; Pai, Shantaram S.; Coroneos, Rula M.
2010-01-01
Structural design generated by traditional method, optimization method and the stochastic design concept are compared. In the traditional method, the constraints are manipulated to obtain the design and weight is back calculated. In design optimization, the weight of a structure becomes the merit function with constraints imposed on failure modes and an optimization algorithm is used to generate the solution. Stochastic design concept accounts for uncertainties in loads, material properties, and other parameters and solution is obtained by solving a design optimization problem for a specified reliability. Acceptable solutions were produced by all the three methods. The variation in the weight calculated by the methods was modest. Some variation was noticed in designs calculated by the methods. The variation may be attributed to structural indeterminacy. It is prudent to develop design by all three methods prior to its fabrication. The traditional design method can be improved when the simplified sensitivities of the behavior constraint is used. Such sensitivity can reduce design calculations and may have a potential to unify the traditional and optimization methods. Weight versus reliabilitytraced out an inverted-S-shaped graph. The center of the graph corresponded to mean valued design. A heavy design with weight approaching infinity could be produced for a near-zero rate of failure. Weight can be reduced to a small value for a most failure-prone design. Probabilistic modeling of load and material properties remained a challenge.
Parzen, Emanuel
1962-01-01
Well-written and accessible, this classic introduction to stochastic processes and related mathematics is appropriate for advanced undergraduate students of mathematics with a knowledge of calculus and continuous probability theory. The treatment offers examples of the wide variety of empirical phenomena for which stochastic processes provide mathematical models, and it develops the methods of probability model-building.Chapter 1 presents precise definitions of the notions of a random variable and a stochastic process and introduces the Wiener and Poisson processes. Subsequent chapters examine
Digital Repository Service at National Institute of Oceanography (India)
Murty, T.V.R.; Rao, M.M.M.; Sadhuram, Y.
. The data are revisited for objective mapping of the temperature fields using Stochastic Inverse Method. Hourly reciprocal transmissions were carried with time lag of 30 minutes between each direction. From the multipath arrival patterns, significant peaks...
Multigrid solution of the Navier-Stokes equations at low speeds with large temperature variations
International Nuclear Information System (INIS)
Sockol, Peter M.
2003-01-01
Multigrid methods for the Navier-Stokes equations at low speeds and large temperature variations are investigated. The compressible equations with time-derivative preconditioning and preconditioned flux-difference splitting of the inviscid terms are used. Three implicit smoothers have been incorporated into a common multigrid procedure. Both full coarsening and semi-coarsening with directional fine-grid defect correction have been studied. The resulting methods have been tested on four 2D laminar problems over a range of Reynolds numbers on both uniform and highly stretched grids. Two of the three methods show efficient and robust performance over the entire range of conditions. In addition, none of the methods has any difficulty with the large temperature variations
A Pseudo-Temporal Multi-Grid Relaxation Scheme for Solving the Parabolized Navier-Stokes Equations
White, J. A.; Morrison, J. H.
1999-01-01
A multi-grid, flux-difference-split, finite-volume code, VULCAN, is presented for solving the elliptic and parabolized form of the equations governing three-dimensional, turbulent, calorically perfect and non-equilibrium chemically reacting flows. The space marching algorithms developed to improve convergence rate and or reduce computational cost are emphasized. The algorithms presented are extensions to the class of implicit pseudo-time iterative, upwind space-marching schemes. A full approximate storage, full multi-grid scheme is also described which is used to accelerate the convergence of a Gauss-Seidel relaxation method. The multi-grid algorithm is shown to significantly improve convergence on high aspect ratio grids.
A Multilevel Adaptive Reaction-splitting Simulation Method for Stochastic Reaction Networks
Moraes, Alvaro; Tempone, Raul; Vilanova, Pedro
2016-01-01
In this work, we present a novel multilevel Monte Carlo method for kinetic simulation of stochastic reaction networks characterized by having simultaneously fast and slow reaction channels. To produce efficient simulations, our method adaptively classifies the reactions channels into fast and slow channels. To this end, we first introduce a state-dependent quantity named level of activity of a reaction channel. Then, we propose a low-cost heuristic that allows us to adaptively split the set of reaction channels into two subsets characterized by either a high or a low level of activity. Based on a time-splitting technique, the increments associated with high-activity channels are simulated using the tau-leap method, while those associated with low-activity channels are simulated using an exact method. This path simulation technique is amenable for coupled path generation and a corresponding multilevel Monte Carlo algorithm. To estimate expected values of observables of the system at a prescribed final time, our method bounds the global computational error to be below a prescribed tolerance, TOL, within a given confidence level. This goal is achieved with a computational complexity of order O(TOL-2), the same as with a pathwise-exact method, but with a smaller constant. We also present a novel low-cost control variate technique based on the stochastic time change representation by Kurtz, showing its performance on a numerical example. We present two numerical examples extracted from the literature that show how the reaction-splitting method obtains substantial gains with respect to the standard stochastic simulation algorithm and the multilevel Monte Carlo approach by Anderson and Higham. © 2016 Society for Industrial and Applied Mathematics.
A Multilevel Adaptive Reaction-splitting Simulation Method for Stochastic Reaction Networks
Moraes, Alvaro
2016-07-07
In this work, we present a novel multilevel Monte Carlo method for kinetic simulation of stochastic reaction networks characterized by having simultaneously fast and slow reaction channels. To produce efficient simulations, our method adaptively classifies the reactions channels into fast and slow channels. To this end, we first introduce a state-dependent quantity named level of activity of a reaction channel. Then, we propose a low-cost heuristic that allows us to adaptively split the set of reaction channels into two subsets characterized by either a high or a low level of activity. Based on a time-splitting technique, the increments associated with high-activity channels are simulated using the tau-leap method, while those associated with low-activity channels are simulated using an exact method. This path simulation technique is amenable for coupled path generation and a corresponding multilevel Monte Carlo algorithm. To estimate expected values of observables of the system at a prescribed final time, our method bounds the global computational error to be below a prescribed tolerance, TOL, within a given confidence level. This goal is achieved with a computational complexity of order O(TOL-2), the same as with a pathwise-exact method, but with a smaller constant. We also present a novel low-cost control variate technique based on the stochastic time change representation by Kurtz, showing its performance on a numerical example. We present two numerical examples extracted from the literature that show how the reaction-splitting method obtains substantial gains with respect to the standard stochastic simulation algorithm and the multilevel Monte Carlo approach by Anderson and Higham. © 2016 Society for Industrial and Applied Mathematics.
Model reduction method using variable-separation for stochastic saddle point problems
Jiang, Lijian; Li, Qiuqi
2018-02-01
In this paper, we consider a variable-separation (VS) method to solve the stochastic saddle point (SSP) problems. The VS method is applied to obtain the solution in tensor product structure for stochastic partial differential equations (SPDEs) in a mixed formulation. The aim of such a technique is to construct a reduced basis approximation of the solution of the SSP problems. The VS method attempts to get a low rank separated representation of the solution for SSP in a systematic enrichment manner. No iteration is performed at each enrichment step. In order to satisfy the inf-sup condition in the mixed formulation, we enrich the separated terms for the primal system variable at each enrichment step. For the SSP problems by regularization or penalty, we propose a more efficient variable-separation (VS) method, i.e., the variable-separation by penalty method. This can avoid further enrichment of the separated terms in the original mixed formulation. The computation of the variable-separation method decomposes into offline phase and online phase. Sparse low rank tensor approximation method is used to significantly improve the online computation efficiency when the number of separated terms is large. For the applications of SSP problems, we present three numerical examples to illustrate the performance of the proposed methods.
Energy Technology Data Exchange (ETDEWEB)
Cui, Jianbo, E-mail: jianbocui@lsec.cc.ac.cn [Institute of Computational Mathematics and Scientific/Engineering Computing, Chinese Academy of Sciences, Beijing, 100190 (China); Hong, Jialin, E-mail: hjl@lsec.cc.ac.cn [Institute of Computational Mathematics and Scientific/Engineering Computing, Chinese Academy of Sciences, Beijing, 100190 (China); Liu, Zhihui, E-mail: liuzhihui@lsec.cc.ac.cn [Institute of Computational Mathematics and Scientific/Engineering Computing, Chinese Academy of Sciences, Beijing, 100190 (China); Zhou, Weien, E-mail: weienzhou@nudt.edu.cn [College of Science, National University of Defense Technology, Changsha 410073 (China)
2017-08-01
We indicate that the nonlinear Schrödinger equation with white noise dispersion possesses stochastic symplectic and multi-symplectic structures. Based on these structures, we propose the stochastic symplectic and multi-symplectic methods, which preserve the continuous and discrete charge conservation laws, respectively. Moreover, we show that the proposed methods are convergent with temporal order one in probability. Numerical experiments are presented to verify our theoretical results.
International Nuclear Information System (INIS)
Cui, Jianbo; Hong, Jialin; Liu, Zhihui; Zhou, Weien
2017-01-01
We indicate that the nonlinear Schrödinger equation with white noise dispersion possesses stochastic symplectic and multi-symplectic structures. Based on these structures, we propose the stochastic symplectic and multi-symplectic methods, which preserve the continuous and discrete charge conservation laws, respectively. Moreover, we show that the proposed methods are convergent with temporal order one in probability. Numerical experiments are presented to verify our theoretical results.
A Resampling-Based Stochastic Approximation Method for Analysis of Large Geostatistical Data
Liang, Faming
2013-03-01
The Gaussian geostatistical model has been widely used in modeling of spatial data. However, it is challenging to computationally implement this method because it requires the inversion of a large covariance matrix, particularly when there is a large number of observations. This article proposes a resampling-based stochastic approximation method to address this challenge. At each iteration of the proposed method, a small subsample is drawn from the full dataset, and then the current estimate of the parameters is updated accordingly under the framework of stochastic approximation. Since the proposed method makes use of only a small proportion of the data at each iteration, it avoids inverting large covariance matrices and thus is scalable to large datasets. The proposed method also leads to a general parameter estimation approach, maximum mean log-likelihood estimation, which includes the popular maximum (log)-likelihood estimation (MLE) approach as a special case and is expected to play an important role in analyzing large datasets. Under mild conditions, it is shown that the estimator resulting from the proposed method converges in probability to a set of parameter values of equivalent Gaussian probability measures, and that the estimator is asymptotically normally distributed. To the best of the authors\\' knowledge, the present study is the first one on asymptotic normality under infill asymptotics for general covariance functions. The proposed method is illustrated with large datasets, both simulated and real. Supplementary materials for this article are available online. © 2013 American Statistical Association.
Strelkov, S. A.; Sushkevich, T. A.; Maksakova, S. V.
2017-11-01
We are talking about russian achievements of the world level in the theory of radiation transfer, taking into account its polarization in natural media and the current scientific potential developing in Russia, which adequately provides the methodological basis for theoretically-calculated research of radiation processes and radiation fields in natural media using supercomputers and mass parallelism. A new version of the matrix transfer operator is proposed for solving problems of polarized radiation transfer in heterogeneous media by the method of influence functions, when deterministic and stochastic methods can be combined.
Multi-grid and ICCG for problems with interfaces
International Nuclear Information System (INIS)
Dendy, J.E.; Hyman, J.M.
1980-01-01
Computation times for the multi-grid (MG) algorithm, the incomplete Cholesky conjugate gradient (ICCG) algorithm [J. Comp. Phys. 26, 43-65 (1978); Math. Comp. 31, 148-162 (1977)], and the modified ICCG (MICCG) algorithm [BIT 18, 142-156 (1978)] to solve elliptic partial differential equations are compared. The MICCG and ICCG algorithms are more robust than the MG for general positive definite systems. A major advantage of the MG algorithm is that the structure of the problem can be exploited to reduce the solution time significantly. Five example problems are discussed. For problems with little structure and for one-shot calculations ICCG is recommended over MG, and MICCG, over ICCG. For problems that are done many times, it is worth investing the effort to study methods like MG. 1 table
International Nuclear Information System (INIS)
Vidal-Codina, F.; Nguyen, N.C.; Giles, M.B.; Peraire, J.
2015-01-01
We present a model and variance reduction method for the fast and reliable computation of statistical outputs of stochastic elliptic partial differential equations. Our method consists of three main ingredients: (1) the hybridizable discontinuous Galerkin (HDG) discretization of elliptic partial differential equations (PDEs), which allows us to obtain high-order accurate solutions of the governing PDE; (2) the reduced basis method for a new HDG discretization of the underlying PDE to enable real-time solution of the parameterized PDE in the presence of stochastic parameters; and (3) a multilevel variance reduction method that exploits the statistical correlation among the different reduced basis approximations and the high-fidelity HDG discretization to accelerate the convergence of the Monte Carlo simulations. The multilevel variance reduction method provides efficient computation of the statistical outputs by shifting most of the computational burden from the high-fidelity HDG approximation to the reduced basis approximations. Furthermore, we develop a posteriori error estimates for our approximations of the statistical outputs. Based on these error estimates, we propose an algorithm for optimally choosing both the dimensions of the reduced basis approximations and the sizes of Monte Carlo samples to achieve a given error tolerance. We provide numerical examples to demonstrate the performance of the proposed method
Directory of Open Access Journals (Sweden)
Jinhong Noh
2016-04-01
Full Text Available Obstacle avoidance methods require knowledge of the distance between a mobile robot and obstacles in the environment. However, in stochastic environments, distance determination is difficult because objects have position uncertainty. The purpose of this paper is to determine the distance between a robot and obstacles represented by probability distributions. Distance determination for obstacle avoidance should consider position uncertainty, computational cost and collision probability. The proposed method considers all of these conditions, unlike conventional methods. It determines the obstacle region using the collision probability density threshold. Furthermore, it defines a minimum distance function to the boundary of the obstacle region with a Lagrange multiplier method. Finally, it computes the distance numerically. Simulations were executed in order to compare the performance of the distance determination methods. Our method demonstrated a faster and more accurate performance than conventional methods. It may help overcome position uncertainty issues pertaining to obstacle avoidance, such as low accuracy sensors, environments with poor visibility or unpredictable obstacle motion.
Pang, Kar Mun; Jangi, Mehdi; Bai, X.-S.; Schramm, Jesper; Walther, Jens Honore
2016-01-01
The use of transported Probability Density Function(PDF) methods allows a single model to compute the autoignition, premixed mode and diffusion flame of diesel combustion under engine-like conditions [1,2]. The Lagrangian particle based transported PDF models have been validated across a wide range of conditions [2,3]. Alternatively, the transported PDF model can also be formulated in the Eulerian framework[4]. The Eulerian PDF is commonly known as the Eulerian Stochastic Fields (ESF) model. ...
A moment-convergence method for stochastic analysis of biochemical reaction networks.
Zhang, Jiajun; Nie, Qing; Zhou, Tianshou
2016-05-21
Traditional moment-closure methods need to assume that high-order cumulants of a probability distribution approximate to zero. However, this strong assumption is not satisfied for many biochemical reaction networks. Here, we introduce convergent moments (defined in mathematics as the coefficients in the Taylor expansion of the probability-generating function at some point) to overcome this drawback of the moment-closure methods. As such, we develop a new analysis method for stochastic chemical kinetics. This method provides an accurate approximation for the master probability equation (MPE). In particular, the connection between low-order convergent moments and rate constants can be more easily derived in terms of explicit and analytical forms, allowing insights that would be difficult to obtain through direct simulation or manipulation of the MPE. In addition, it provides an accurate and efficient way to compute steady-state or transient probability distribution, avoiding the algorithmic difficulty associated with stiffness of the MPE due to large differences in sizes of rate constants. Applications of the method to several systems reveal nontrivial stochastic mechanisms of gene expression dynamics, e.g., intrinsic fluctuations can induce transient bimodality and amplify transient signals, and slow switching between promoter states can increase fluctuations in spatially heterogeneous signals. The overall approach has broad applications in modeling, analysis, and computation of complex biochemical networks with intrinsic noise.
International Nuclear Information System (INIS)
Abedinia, O.; Amjady, N.; Shafie-khah, M.; Catalão, J.P.S.
2015-01-01
Highlights: • Presenting a Combinatorial Neural Network. • Suggesting a new stochastic search method. • Adapting the suggested method as a training mechanism. • Proposing a new forecast strategy. • Testing the proposed strategy on real-world electricity markets. - Abstract: Electricity price forecast is key information for successful operation of electricity market participants. However, the time series of electricity price has nonlinear, non-stationary and volatile behaviour and so its forecast method should have high learning capability to extract the complex input/output mapping function of electricity price. In this paper, a Combinatorial Neural Network (CNN) based forecasting engine is proposed to predict the future values of price data. The CNN-based forecasting engine is equipped with a new training mechanism for optimizing the weights of the CNN. This training mechanism is based on an efficient stochastic search method, which is a modified version of chemical reaction optimization algorithm, giving high learning ability to the CNN. The proposed price forecast strategy is tested on the real-world electricity markets of Pennsylvania–New Jersey–Maryland (PJM) and mainland Spain and its obtained results are extensively compared with the results obtained from several other forecast methods. These comparisons illustrate effectiveness of the proposed strategy.
Liu, Zhangjun; Liu, Zenghui; Peng, Yongbo
2018-03-01
In view of the Fourier-Stieltjes integral formula of multivariate stationary stochastic processes, a unified formulation accommodating spectral representation method (SRM) and proper orthogonal decomposition (POD) is deduced. By introducing random functions as constraints correlating the orthogonal random variables involved in the unified formulation, the dimension-reduction spectral representation method (DR-SRM) and the dimension-reduction proper orthogonal decomposition (DR-POD) are addressed. The proposed schemes are capable of representing the multivariate stationary stochastic process with a few elementary random variables, bypassing the challenges of high-dimensional random variables inherent in the conventional Monte Carlo methods. In order to accelerate the numerical simulation, the technique of Fast Fourier Transform (FFT) is integrated with the proposed schemes. For illustrative purposes, the simulation of horizontal wind velocity field along the deck of a large-span bridge is proceeded using the proposed methods containing 2 and 3 elementary random variables. Numerical simulation reveals the usefulness of the dimension-reduction representation methods.
A moment-convergence method for stochastic analysis of biochemical reaction networks
Energy Technology Data Exchange (ETDEWEB)
Zhang, Jiajun [School of Mathematics and Computational Science, Sun Yat-Sen University, Guangzhou 510275 (China); Nie, Qing [Department of Mathematics, University of California at Irvine, Irvine, California 92697 (United States); Zhou, Tianshou, E-mail: mcszhtsh@mail.sysu.edu.cn [School of Mathematics and Computational Science, Sun Yat-Sen University, Guangzhou 510275 (China); Guangdong Province Key Laboratory of Computational Science and School of Mathematics and Computational Science, Sun Yat-Sen University, Guangzhou 510275 (China)
2016-05-21
Traditional moment-closure methods need to assume that high-order cumulants of a probability distribution approximate to zero. However, this strong assumption is not satisfied for many biochemical reaction networks. Here, we introduce convergent moments (defined in mathematics as the coefficients in the Taylor expansion of the probability-generating function at some point) to overcome this drawback of the moment-closure methods. As such, we develop a new analysis method for stochastic chemical kinetics. This method provides an accurate approximation for the master probability equation (MPE). In particular, the connection between low-order convergent moments and rate constants can be more easily derived in terms of explicit and analytical forms, allowing insights that would be difficult to obtain through direct simulation or manipulation of the MPE. In addition, it provides an accurate and efficient way to compute steady-state or transient probability distribution, avoiding the algorithmic difficulty associated with stiffness of the MPE due to large differences in sizes of rate constants. Applications of the method to several systems reveal nontrivial stochastic mechanisms of gene expression dynamics, e.g., intrinsic fluctuations can induce transient bimodality and amplify transient signals, and slow switching between promoter states can increase fluctuations in spatially heterogeneous signals. The overall approach has broad applications in modeling, analysis, and computation of complex biochemical networks with intrinsic noise.
An equilibrium for frustrated quantum spin systems in the stochastic state selection method
International Nuclear Information System (INIS)
Munehisa, Tomo; Munehisa, Yasuko
2007-01-01
We develop a new method to calculate eigenvalues in frustrated quantum spin models. It is based on the stochastic state selection (SSS) method, which is an unconventional Monte Carlo technique that we have investigated in recent years. We observe that a kind of equilibrium is realized under some conditions when we repeatedly operate a Hamiltonian and a random choice operator, which is defined by stochastic variables in the SSS method, to a trial state. In this equilibrium, which we call the SSS equilibrium, we can evaluate the lowest eigenvalue of the Hamiltonian using the statistical average of the normalization factor of the generated state. The SSS equilibrium itself has already been observed in unfrustrated models. Our study in this paper shows that we can also see the equilibrium in frustrated models, with some restriction on values of a parameter introduced in the SSS method. As a concrete example, we employ the spin-1/2 frustrated J 1 -J 2 Heisenberg model on the square lattice. We present numerical results on the 20-, 32-, and 36-site systems, which demonstrate that statistical averages of the normalization factors reproduce the known exact eigenvalue to good precision. Finally, we apply the method to the 40-site system. Then we obtain the value of the lowest energy eigenvalue with an error of less than 0.2%
Directory of Open Access Journals (Sweden)
Marino Luiz Eyerkaufer
2014-12-01
Full Text Available Traditionally, the process of estimating the quantitative predictions of the strategic plan through the budget happens as from the deterministic data, together with analysis of factors of internal and external environments. As from the budget data decisions are made, often before the fact, which creates uncertainty as to the assertiveness of forecasts. Combined with the traditional preparation methods of corporate budget forecasts, this study presents an application of stochastic methods where the probabilism is presented as an alternative for the minimization of uncertainties related to the assertiveness of the estimates. It also demonstrates itself, as from a practical application, the use of the Monte Carlo method in the sales forecasting; at the same time it is tested the probability of these sales forecasting be materialized within certain intervals that meet the investors’ expectations, by using the limit central theorem and, finally, by using the absorbing Markov chain, it is demonstrated the overall performance of the system as from the funds input and output. The study was limited to a basic application of stochastic methods as from a hypothetical case which, however, allowed to conclude that both methods, together or separately, can minimize the effects of uncertainty in budget forecasts.
Khan, Sami Ullah; Ali, Ishtiaq
2018-03-01
Explicit solutions to delay differential equation (DDE) and stochastic delay differential equation (SDDE) can rarely be obtained, therefore numerical methods are adopted to solve these DDE and SDDE. While on the other hand due to unstable nature of both DDE and SDDE numerical solutions are also not straight forward and required more attention. In this study, we derive an efficient numerical scheme for DDE and SDDE based on Legendre spectral-collocation method, which proved to be numerical methods that can significantly speed up the computation. The method transforms the given differential equation into a matrix equation by means of Legendre collocation points which correspond to a system of algebraic equations with unknown Legendre coefficients. The efficiency of the proposed method is confirmed by some numerical examples. We found that our numerical technique has a very good agreement with other methods with less computational effort.
Moghaderi, Hamid; Dehghan, Mehdi; Donatelli, Marco; Mazza, Mariarosa
2017-12-01
Fractional diffusion equations (FDEs) are a mathematical tool used for describing some special diffusion phenomena arising in many different applications like porous media and computational finance. In this paper, we focus on a two-dimensional space-FDE problem discretized by means of a second order finite difference scheme obtained as combination of the Crank-Nicolson scheme and the so-called weighted and shifted Grünwald formula. By fully exploiting the Toeplitz-like structure of the resulting linear system, we provide a detailed spectral analysis of the coefficient matrix at each time step, both in the case of constant and variable diffusion coefficients. Such a spectral analysis has a very crucial role, since it can be used for designing fast and robust iterative solvers. In particular, we employ the obtained spectral information to define a Galerkin multigrid method based on the classical linear interpolation as grid transfer operator and damped-Jacobi as smoother, and to prove the linear convergence rate of the corresponding two-grid method. The theoretical analysis suggests that the proposed grid transfer operator is strong enough for working also with the V-cycle method and the geometric multigrid. On this basis, we introduce two computationally favourable variants of the proposed multigrid method and we use them as preconditioners for Krylov methods. Several numerical results confirm that the resulting preconditioning strategies still keep a linear convergence rate.
Block-accelerated aggregation multigrid for Markov chains with application to PageRank problems
Shen, Zhao-Li; Huang, Ting-Zhu; Carpentieri, Bruno; Wen, Chun; Gu, Xian-Ming
2018-06-01
Recently, the adaptive algebraic aggregation multigrid method has been proposed for computing stationary distributions of Markov chains. This method updates aggregates on every iterative cycle to keep high accuracies of coarse-level corrections. Accordingly, its fast convergence rate is well guaranteed, but often a large proportion of time is cost by aggregation processes. In this paper, we show that the aggregates on each level in this method can be utilized to transfer the probability equation of that level into a block linear system. Then we propose a Block-Jacobi relaxation that deals with the block system on each level to smooth error. Some theoretical analysis of this technique is presented, meanwhile it is also adapted to solve PageRank problems. The purpose of this technique is to accelerate the adaptive aggregation multigrid method and its variants for solving Markov chains and PageRank problems. It also attempts to shed some light on new solutions for making aggregation processes more cost-effective for aggregation multigrid methods. Numerical experiments are presented to illustrate the effectiveness of this technique.
International Nuclear Information System (INIS)
Kotiluoto, P.
2007-05-01
A new deterministic three-dimensional neutral and charged particle transport code, MultiTrans, has been developed. In the novel approach, the adaptive tree multigrid technique is used in conjunction with simplified spherical harmonics approximation of the Boltzmann transport equation. The development of the new radiation transport code started in the framework of the Finnish boron neutron capture therapy (BNCT) project. Since the application of the MultiTrans code to BNCT dose planning problems, the testing and development of the MultiTrans code has continued in conventional radiotherapy and reactor physics applications. In this thesis, an overview of different numerical radiation transport methods is first given. Special features of the simplified spherical harmonics method and the adaptive tree multigrid technique are then reviewed. The usefulness of the new MultiTrans code has been indicated by verifying and validating the code performance for different types of neutral and charged particle transport problems, reported in separate publications. (orig.)
Energy Technology Data Exchange (ETDEWEB)
Velickovic, Lj; Petrovic, M [Boris Kidric Institute of nuclear sciences Vinca, Belgrade (Yugoslavia)
1968-12-15
Stochastic reactor oscillator and cross correlation method were used for determining reactor dynamics characteristics. Experimental equipment, fast reactor oscillator (BOR-1) was activated by random pulses from the GBS-16 generator. Tape recorder AMPEX-SF-300 and data acquisition tool registered reactor response to perturbations having different frequencies. Reactor response and activation signals were cross correlated by digital computer for different positions of stochastic oscillator and ionization chamber.
An iterative stochastic ensemble method for parameter estimation of subsurface flow models
International Nuclear Information System (INIS)
Elsheikh, Ahmed H.; Wheeler, Mary F.; Hoteit, Ibrahim
2013-01-01
Parameter estimation for subsurface flow models is an essential step for maximizing the value of numerical simulations for future prediction and the development of effective control strategies. We propose the iterative stochastic ensemble method (ISEM) as a general method for parameter estimation based on stochastic estimation of gradients using an ensemble of directional derivatives. ISEM eliminates the need for adjoint coding and deals with the numerical simulator as a blackbox. The proposed method employs directional derivatives within a Gauss–Newton iteration. The update equation in ISEM resembles the update step in ensemble Kalman filter, however the inverse of the output covariance matrix in ISEM is regularized using standard truncated singular value decomposition or Tikhonov regularization. We also investigate the performance of a set of shrinkage based covariance estimators within ISEM. The proposed method is successfully applied on several nonlinear parameter estimation problems for subsurface flow models. The efficiency of the proposed algorithm is demonstrated by the small size of utilized ensembles and in terms of error convergence rates
A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
Babuška, Ivo; Nobile, Fabio; Tempone, Raul
2010-01-01
This work proposes and analyzes a stochastic collocation method for solving elliptic partial differential equations with random coefficients and forcing terms. These input data are assumed to depend on a finite number of random variables. The method consists of a Galerkin approximation in space and a collocation in the zeros of suitable tensor product orthogonal polynomials (Gauss points) in the probability space, and naturally leads to the solution of uncoupled deterministic problems as in the Monte Carlo approach. It treats easily a wide range of situations, such as input data that depend nonlinearly on the random variables, diffusivity coefficients with unbounded second moments, and random variables that are correlated or even unbounded. We provide a rigorous convergence analysis and demonstrate exponential convergence of the “probability error” with respect to the number of Gauss points in each direction of the probability space, under some regularity assumptions on the random input data. Numerical examples show the effectiveness of the method. Finally, we include a section with developments posterior to the original publication of this work. There we review sparse grid stochastic collocation methods, which are effective collocation strategies for problems that depend on a moderately large number of random variables.
An iterative stochastic ensemble method for parameter estimation of subsurface flow models
Elsheikh, Ahmed H.
2013-06-01
Parameter estimation for subsurface flow models is an essential step for maximizing the value of numerical simulations for future prediction and the development of effective control strategies. We propose the iterative stochastic ensemble method (ISEM) as a general method for parameter estimation based on stochastic estimation of gradients using an ensemble of directional derivatives. ISEM eliminates the need for adjoint coding and deals with the numerical simulator as a blackbox. The proposed method employs directional derivatives within a Gauss-Newton iteration. The update equation in ISEM resembles the update step in ensemble Kalman filter, however the inverse of the output covariance matrix in ISEM is regularized using standard truncated singular value decomposition or Tikhonov regularization. We also investigate the performance of a set of shrinkage based covariance estimators within ISEM. The proposed method is successfully applied on several nonlinear parameter estimation problems for subsurface flow models. The efficiency of the proposed algorithm is demonstrated by the small size of utilized ensembles and in terms of error convergence rates. © 2013 Elsevier Inc.
Dai, Kaoshan; Wang, Ying; Lu, Wensheng; Ren, Xiaosong; Huang, Zhenhua
2017-04-01
Structural health monitoring (SHM) of wind turbines has been applied in the wind energy industry to obtain their real-time vibration parameters and to ensure their optimum performance. For SHM, the accuracy of its results and the efficiency of its measurement methodology and data processing algorithm are the two major concerns. Selection of proper measurement parameters could improve such accuracy and efficiency. The Stochastic Subspace Identification (SSI) is a widely used data processing algorithm for SHM. This research discussed the accuracy and efficiency of SHM using SSI method to identify vibration parameters of on-line wind turbine towers. Proper measurement parameters, such as optimum measurement duration, are recommended.
Approximate Dual Averaging Method for Multiagent Saddle-Point Problems with Stochastic Subgradients
Directory of Open Access Journals (Sweden)
Deming Yuan
2014-01-01
Full Text Available This paper considers the problem of solving the saddle-point problem over a network, which consists of multiple interacting agents. The global objective function of the problem is a combination of local convex-concave functions, each of which is only available to one agent. Our main focus is on the case where the projection steps are calculated approximately and the subgradients are corrupted by some stochastic noises. We propose an approximate version of the standard dual averaging method and show that the standard convergence rate is preserved, provided that the projection errors decrease at some appropriate rate and the noises are zero-mean and have bounded variance.
Directory of Open Access Journals (Sweden)
Driss Sarsri
2014-05-01
Full Text Available In this paper, we propose a method to calculate the first two moments (mean and variance of the structural dynamics response of a structure with uncertain variables and subjected to random excitation. For this, Newmark method is used to transform the equation of motion of the structure into a quasistatic equilibrium equation in the time domain. The Neumann development method was coupled with Monte Carlo simulations to calculate the statistical values of the random response. The use of modal synthesis methods can reduce the dimensions of the model before integration of the equation of motion. Numerical applications have been developed to highlight effectiveness of the method developed to analyze the stochastic response of large structures.
A parallel version of a multigrid algorithm for isotropic transport equations
International Nuclear Information System (INIS)
Manteuffel, T.; McCormick, S.; Yang, G.; Morel, J.; Oliveira, S.
1994-01-01
The focus of this paper is on a parallel algorithm for solving the transport equations in a slab geometry using multigrid. The spatial discretization scheme used is a finite element method called the modified linear discontinuous (MLD) scheme. The MLD scheme represents a lumped version of the standard linear discontinuous (LD) scheme. The parallel algorithm was implemented on the Connection Machine 2 (CM2). Convergence rates and timings for this algorithm on the CM2 and Cray-YMP are shown
Drift-Implicit Multi-Level Monte Carlo Tau-Leap Methods for Stochastic Reaction Networks
Ben Hammouda, Chiheb
2015-01-01
-space and deterministic ones. These stochastic models constitute the theory of stochastic reaction networks (SRNs). Furthermore, in some cases, the dynamics of fast and slow time scales can be well separated and this is characterized by what is called sti
International Nuclear Information System (INIS)
Langrene, Nicolas
2014-01-01
This thesis deals with the numerical solution of general stochastic control problems, with notable applications for electricity markets. We first propose a structural model for the price of electricity, allowing for price spikes well above the marginal fuel price under strained market conditions. This model allows to price and partially hedge electricity derivatives, using fuel forwards as hedging instruments. Then, we propose an algorithm, which combines Monte-Carlo simulations with local basis regressions, to solve general optimal switching problems. A comprehensive rate of convergence of the method is provided. Moreover, we manage to make the algorithm parsimonious in memory (and hence suitable for high dimensional problems) by generalizing to this framework a memory reduction method that avoids the storage of the sample paths. We illustrate this on the problem of investments in new power plants (our structural power price model allowing the new plants to impact the price of electricity). Finally, we study more general stochastic control problems (the control can be continuous and impact the drift and volatility of the state process), the solutions of which belong to the class of fully nonlinear Hamilton-Jacobi-Bellman equations, and can be handled via constrained Backward Stochastic Differential Equations, for which we develop a backward algorithm based on control randomization and parametric optimizations. A rate of convergence between the constraPned BSDE and its discrete version is provided, as well as an estimate of the optimal control. This algorithm is then applied to the problem of super replication of options under uncertain volatilities (and correlations). (author)
An evaluation method for tornado missile strike probability with stochastic correction
International Nuclear Information System (INIS)
Eguchi, Yuzuru; Murakami, Takahiro; Hirakuchi, Hiromaru; Sugimoto, Soichiro; Hattori, Yasuo
2017-01-01
An efficient evaluation method for the probability of a tornado missile strike without using the Monte Carlo method is proposed in this paper. A major part of the proposed probability evaluation is based on numerical results computed using an in-house code, Tornado-borne missile analysis code, which enables us to evaluate the liftoff and flight behaviors of unconstrained objects on the ground driven by a tornado. Using the Tornado-borne missile analysis code, we can obtain a stochastic correlation between local wind speed and flight distance of each object, and this stochastic correlation is used to evaluate the conditional strike probability, QV(r), of a missile located at position r, where the local wind speed is V. In contrast, the annual exceedance probability of local wind speed, which can be computed using a tornado hazard analysis code, is used to derive the probability density function, p(V). Then, we finally obtain the annual probability of tornado missile strike on a structure with the convolutional integration of product of QV(r) and p(V) over V. The evaluation method is applied to a simple problem to qualitatively confirm the validity, and to quantitatively verify the results for two extreme cases in which an object is located just in the vicinity of or far away from the structure
An evaluation method for tornado missile strike probability with stochastic correction
Energy Technology Data Exchange (ETDEWEB)
Eguchi, Yuzuru; Murakami, Takahiro; Hirakuchi, Hiromaru; Sugimoto, Soichiro; Hattori, Yasuo [Nuclear Risk Research Center (External Natural Event Research Team), Central Research Institute of Electric Power Industry, Abiko (Japan)
2017-03-15
An efficient evaluation method for the probability of a tornado missile strike without using the Monte Carlo method is proposed in this paper. A major part of the proposed probability evaluation is based on numerical results computed using an in-house code, Tornado-borne missile analysis code, which enables us to evaluate the liftoff and flight behaviors of unconstrained objects on the ground driven by a tornado. Using the Tornado-borne missile analysis code, we can obtain a stochastic correlation between local wind speed and flight distance of each object, and this stochastic correlation is used to evaluate the conditional strike probability, QV(r), of a missile located at position r, where the local wind speed is V. In contrast, the annual exceedance probability of local wind speed, which can be computed using a tornado hazard analysis code, is used to derive the probability density function, p(V). Then, we finally obtain the annual probability of tornado missile strike on a structure with the convolutional integration of product of QV(r) and p(V) over V. The evaluation method is applied to a simple problem to qualitatively confirm the validity, and to quantitatively verify the results for two extreme cases in which an object is located just in the vicinity of or far away from the structure.
Phase stability analysis of liquid-liquid equilibrium with stochastic methods
Directory of Open Access Journals (Sweden)
G. Nagatani
2008-09-01
Full Text Available Minimization of Gibbs free energy using activity coefficient models and nonlinear equation solution techniques is commonly applied to phase stability problems. However, when conventional techniques, such as the Newton-Raphson method, are employed, serious convergence problems may arise. Due to the existence of multiple solutions, several problems can be found in modeling liquid-liquid equilibrium of multicomponent systems, which are highly dependent on the initial guess. In this work phase stability analysis of liquid-liquid equilibrium is investigated using the NRTL model. For this purpose, two distinct stochastic numerical algorithms are employed to minimize the tangent plane distance of Gibbs free energy: a subdivision algorithm that can find all roots of nonlinear equations for liquid-liquid stability analysis and the Simulated Annealing method. Results obtained in this work for the two stochastic algorithms are compared with those of the Interval Newton method from the literature. Several different binary and multicomponent systems from the literature were successfully investigated.
Nonparametric Inference of Doubly Stochastic Poisson Process Data via the Kernel Method.
Zhang, Tingting; Kou, S C
2010-01-01
Doubly stochastic Poisson processes, also known as the Cox processes, frequently occur in various scientific fields. In this article, motivated primarily by analyzing Cox process data in biophysics, we propose a nonparametric kernel-based inference method. We conduct a detailed study, including an asymptotic analysis, of the proposed method, and provide guidelines for its practical use, introducing a fast and stable regression method for bandwidth selection. We apply our method to real photon arrival data from recent single-molecule biophysical experiments, investigating proteins' conformational dynamics. Our result shows that conformational fluctuation is widely present in protein systems, and that the fluctuation covers a broad range of time scales, highlighting the dynamic and complex nature of proteins' structure.
A NetCDF version of the two-dimensional energy balance model based on the full multigrid algorithm
Zhuang, Kelin; North, Gerald R.; Stevens, Mark J.
A NetCDF version of the two-dimensional energy balance model based on the full multigrid method in Fortran is introduced for both pedagogical and research purposes. Based on the land-sea-ice distribution, orbital elements, greenhouse gases concentration, and albedo, the code calculates the global seasonal surface temperature. A step-by-step guide with examples is provided for practice.
Multigrid for refined triangle meshes
Energy Technology Data Exchange (ETDEWEB)
Shapira, Yair
1997-02-01
A two-level preconditioning method for the solution of (locally) refined finite element schemes using triangle meshes is introduced. In the isotropic SPD case, it is shown that the condition number of the preconditioned stiffness matrix is bounded uniformly for all sufficiently regular triangulations. This is also verified numerically for an isotropic diffusion problem with highly discontinuous coefficients.
Nonlinear Multigrid for Reservoir Simulation
DEFF Research Database (Denmark)
Christensen, Max la Cour; Eskildsen, Klaus Langgren; Engsig-Karup, Allan Peter
2016-01-01
efficiency for a black-oil model. Furthermore, the use of the FAS method enables a significant reduction in memory usage compared with conventional techniques, which suggests new possibilities for improved large-scale reservoir simulation and numerical efficiency. Last, nonlinear multilevel preconditioning...
Determination of kinetics parameters using stochastic methods in a 252Cf system
International Nuclear Information System (INIS)
Difilippo, F.C.
1988-01-01
Safety analysis and control system design of nuclear systems require the knowledge of neutron kinetics related parameters like effective delayed neutron fraction, neutron lifetime, time between neutron generations and subcriticality margins. Many methods, deterministic and stochastic, are being used, some since the beginning of nuclear power, to measure these important parameters. The method based on the use of the 252 Cf neutron source has been under intense study at the Oak Ridge National Laboratory, both experimentally and theoretically, during the last years. The increasing demand for this isotope in industrial and medical applications and new designs of advanced high flux reactors to produce it make the isotope available as neutron source (only few micrograms are necessary). A thin layer of 252 Cf is deposited in one of the electrodes of a fission chamber which produces pulses each time the 252 Cf disintegrates via α or spontaneous fission decay; the smaller pulses associated with the α decay can be easily discriminated with the important result that we known the time when v/sub c/ neutrons are injected into the system (number of neutrons per fission of 252 Cf). Thus, a small (few cm 3 ) and nonintrusive device can be used as a random pulsed neutron source with known natural properties that do no depend on biases associated with more complex interrogating devices like accelerators. This paper presents a general formalism that relates the kinetics parameters with stochastic descriptors that naturally appear because of the random nature of the production and transport of neutrons
Method for measuring the stochastic properties of corona and partial-discharge pulses
International Nuclear Information System (INIS)
Van Brunt, R.J.; Kulkarni, S.V.
1989-01-01
A new method is described for measuring the stochastic behavior of corona and partial-discharge pulses which utilizes a pulse selection and sorting circuit in conjunction with a computer-controlled multichannel analyzer to directly measure various conditional and unconditional pulse-height and pulse-time-separation distributions. From these measured distributions it is possible to determine the degree of correlation between successive discharge pulses. Examples are given of results obtained from measurements on negative, point-to-plane (Trichel-type) corona pulses in a N 2 /O 2 gas mixture which clearly demonstrate that the phenomenon is inherently stochastic in the sense that development of a discharge pulse is significantly affected by the amplitude of and time separation from the preceding pulse. It is found, for example, that corona discharge pulse amplitude and time separation from an earlier pulse are not independent random variables. Discussions are given about the limitations of the method, sources of error, and data analysis procedures required to determine self-consistency of the various measured distributions
International Nuclear Information System (INIS)
Liu, Shichang; Wang, Guanbo; Wu, Gaochen; Wang, Kan
2015-01-01
Highlights: • DRAGON and DONJON are applied and verified in calculations of research reactors. • Continuous-energy Monte Carlo calculations by RMC are chosen as the references. • “ECCO” option of DRAGON is suitable for the calculations of research reactors. • Manual modifications of cross-sections are not necessary with DRAGON and DONJON. • DRAGON and DONJON agree well with RMC if appropriate treatments are applied. - Abstract: Simulation of the behavior of the plate-type research reactors such as JRR-3M and CARR poses a challenge for traditional neutronics calculation tools and schemes for power reactors, due to the characteristics of complex geometry, highly heterogeneity and large leakage of the research reactors. Two different theoretical approaches, the deterministic and the stochastic methods, are used for the neutronics analysis of the JRR-3M plate-type research reactor in this paper. For the deterministic method the neutronics codes DRAGON and DONJON are used, while the continuous-energy Monte Carlo code RMC (Reactor Monte Carlo code) is employed for the stochastic approach. The goal of this research is to examine the capability of the deterministic code system DRAGON and DONJON to reliably simulate the research reactors. The results indicate that the DRAGON and DONJON code system agrees well with the continuous-energy Monte Carlo simulation on both k eff and flux distributions if the appropriate treatments (such as the ECCO option) are applied
Extinction time of a stochastic predator-prey model by the generalized cell mapping method
Han, Qun; Xu, Wei; Hu, Bing; Huang, Dongmei; Sun, Jian-Qiao
2018-03-01
The stochastic response and extinction time of a predator-prey model with Gaussian white noise excitations are studied by the generalized cell mapping (GCM) method based on the short-time Gaussian approximation (STGA). The methods for stochastic response probability density functions (PDFs) and extinction time statistics are developed. The Taylor expansion is used to deal with non-polynomial nonlinear terms of the model for deriving the moment equations with Gaussian closure, which are needed for the STGA in order to compute the one-step transition probabilities. The work is validated with direct Monte Carlo simulations. We have presented the transient responses showing the evolution from a Gaussian initial distribution to a non-Gaussian steady-state one. The effects of the model parameter and noise intensities on the steady-state PDFs are discussed. It is also found that the effects of noise intensities on the extinction time statistics are opposite to the effects on the limit probability distributions of the survival species.
Mellin Transform Method for European Option Pricing with Hull-White Stochastic Interest Rate
Directory of Open Access Journals (Sweden)
Ji-Hun Yoon
2014-01-01
Full Text Available Even though interest rates fluctuate randomly in the marketplace, many option-pricing models do not fully consider their stochastic nature owing to their generally limited impact on option prices. However, stochastic dynamics in stochastic interest rates may have a significant impact on option prices as we take account of issues of maturity, hedging, or stochastic volatility. In this paper, we derive a closed form solution for European options in Black-Scholes model with stochastic interest rate using Mellin transform techniques.
International Nuclear Information System (INIS)
Cruz, Roberto de la; Guerrero, Pilar; Calvo, Juan; Alarcón, Tomás
2017-01-01
The development of hybrid methodologies is of current interest in both multi-scale modelling and stochastic reaction–diffusion systems regarding their applications to biology. We formulate a hybrid method for stochastic multi-scale models of cells populations that extends the remit of existing hybrid methods for reaction–diffusion systems. Such method is developed for a stochastic multi-scale model of tumour growth, i.e. population-dynamical models which account for the effects of intrinsic noise affecting both the number of cells and the intracellular dynamics. In order to formulate this method, we develop a coarse-grained approximation for both the full stochastic model and its mean-field limit. Such approximation involves averaging out the age-structure (which accounts for the multi-scale nature of the model) by assuming that the age distribution of the population settles onto equilibrium very fast. We then couple the coarse-grained mean-field model to the full stochastic multi-scale model. By doing so, within the mean-field region, we are neglecting noise in both cell numbers (population) and their birth rates (structure). This implies that, in addition to the issues that arise in stochastic-reaction diffusion systems, we need to account for the age-structure of the population when attempting to couple both descriptions. We exploit our coarse-graining model so that, within the mean-field region, the age-distribution is in equilibrium and we know its explicit form. This allows us to couple both domains consistently, as upon transference of cells from the mean-field to the stochastic region, we sample the equilibrium age distribution. Furthermore, our method allows us to investigate the effects of intracellular noise, i.e. fluctuations of the birth rate, on collective properties such as travelling wave velocity. We show that the combination of population and birth-rate noise gives rise to large fluctuations of the birth rate in the region at the leading edge
International Nuclear Information System (INIS)
Belliard, M.; Grandotto, M.
2003-01-01
In the framework of the two-phase fluid simulations of the steam generators of pressurized water nuclear reactors, we present in this paper a geometric version of a pseudo-Full MultiGrid (pseudo- FMG) Full Approximation Storage (FAS) preconditioning of balance equations in the GENEPI code. In our application, the 3D steady state flow is reached by a transient computation using a semi-implicit fractional step algorithm for the averaged two-phase mixture balance equations (mass, momentum and energy for the secondary flow). Our application, running on workstation clusters, is based on a CEA code-linker and the PVM package. The difficulties to apply the geometric FAS multigrid method to the momentum and mass balance equations are addressed. The use of a sequential pseudo-FMG FAS twogrid method for both energy and mass/momentum balance equations, using dynamic multigrid cycles, leads to perceptibly improvements in the computation convergences. An original parallel red-black pseudo-FMG FAS three-grid algorithm is presented too. The numerical tests (steam generator mockup simulations) underline the sizable increase in speed of convergence of the computations, essentially for the ones involving a large number of freedom degrees (about 100 thousand cells). The two-phase mixture balance equation residuals are quickly reduced: the reached speed-up stands between 2 and 3 following the number of grids. The effects on the convergence behavior of the numerical parameters are investigated
Algebraic multigrid preconditioners for two-phase flow in porous media with phase transitions
Bui, Quan M.; Wang, Lu; Osei-Kuffuor, Daniel
2018-04-01
Multiphase flow is a critical process in a wide range of applications, including oil and gas recovery, carbon sequestration, and contaminant remediation. Numerical simulation of multiphase flow requires solving of a large, sparse linear system resulting from the discretization of the partial differential equations modeling the flow. In the case of multiphase multicomponent flow with miscible effect, this is a very challenging task. The problem becomes even more difficult if phase transitions are taken into account. A new approach to handle phase transitions is to formulate the system as a nonlinear complementarity problem (NCP). Unlike in the primary variable switching technique, the set of primary variables in this approach is fixed even when there is phase transition. Not only does this improve the robustness of the nonlinear solver, it opens up the possibility to use multigrid methods to solve the resulting linear system. The disadvantage of the complementarity approach, however, is that when a phase disappears, the linear system has the structure of a saddle point problem and becomes indefinite, and current algebraic multigrid (AMG) algorithms cannot be applied directly. In this study, we explore the effectiveness of a new multilevel strategy, based on the multigrid reduction technique, to deal with problems of this type. We demonstrate the effectiveness of the method through numerical results for the case of two-phase, two-component flow with phase appearance/disappearance. We also show that the strategy is efficient and scales optimally with problem size.
Zhang, Ling
2017-01-01
The main purpose of this paper is to investigate the strong convergence and exponential stability in mean square of the exponential Euler method to semi-linear stochastic delay differential equations (SLSDDEs). It is proved that the exponential Euler approximation solution converges to the analytic solution with the strong order [Formula: see text] to SLSDDEs. On the one hand, the classical stability theorem to SLSDDEs is given by the Lyapunov functions. However, in this paper we study the exponential stability in mean square of the exact solution to SLSDDEs by using the definition of logarithmic norm. On the other hand, the implicit Euler scheme to SLSDDEs is known to be exponentially stable in mean square for any step size. However, in this article we propose an explicit method to show that the exponential Euler method to SLSDDEs is proved to share the same stability for any step size by the property of logarithmic norm.
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Ling Zhang
2017-10-01
Full Text Available Abstract The main purpose of this paper is to investigate the strong convergence and exponential stability in mean square of the exponential Euler method to semi-linear stochastic delay differential equations (SLSDDEs. It is proved that the exponential Euler approximation solution converges to the analytic solution with the strong order 1 2 $\\frac{1}{2}$ to SLSDDEs. On the one hand, the classical stability theorem to SLSDDEs is given by the Lyapunov functions. However, in this paper we study the exponential stability in mean square of the exact solution to SLSDDEs by using the definition of logarithmic norm. On the other hand, the implicit Euler scheme to SLSDDEs is known to be exponentially stable in mean square for any step size. However, in this article we propose an explicit method to show that the exponential Euler method to SLSDDEs is proved to share the same stability for any step size by the property of logarithmic norm.
The stochastic finite element methods with applications in geotechnics and rupture mechanics
International Nuclear Information System (INIS)
Baldeweck, Herve
1999-01-01
After having presented and classified the various stochastic finite elements methods, notably by distinguishing reliability methods (first order and second order reliability methods, response surfaces, Monte Carlo) and sensitivity methods (Monte Carlo, spectral development, perturbation, weighted integrals), the author of this research thesis presents basic tools needed for different theoretical developments: hazard representation and method of moments. He also presents the problem which is used all along this work to compare and assess the different sensitivity methods. Then, he reports the theoretical development of these sensitivity methods: the Monte Carlo method, the spectral development method, the perturbation method, and the quadrature method. This last one is a new one aimed at the assessment of statistical moments. The author highlights the relationships between reliability and sensitivity methods. In the third part, several applications and calculations are reported. Applications are in geotechnics (soil-structure interaction, calculation of soil stiffness, application in the field of geo-materials with the calculation of an underground gallery), and in rupture mechanics (international benchmark on the reliability of a nuclear reactor, non linear calculation of a cracked straight pipe, reliability calculation of a cracked plate with a Young modulus being a random field) [fr
Kifonidis, K.; Müller, E.
2012-08-01
Aims: We describe and study a family of new multigrid iterative solvers for the multidimensional, implicitly discretized equations of hydrodynamics. Schemes of this class are free of the Courant-Friedrichs-Lewy condition. They are intended for simulations in which widely differing wave propagation timescales are present. A preferred solver in this class is identified. Applications to some simple stiff test problems that are governed by the compressible Euler equations, are presented to evaluate the convergence behavior, and the stability properties of this solver. Algorithmic areas are determined where further work is required to make the method sufficiently efficient and robust for future application to difficult astrophysical flow problems. Methods: The basic equations are formulated and discretized on non-orthogonal, structured curvilinear meshes. Roe's approximate Riemann solver and a second-order accurate reconstruction scheme are used for spatial discretization. Implicit Runge-Kutta (ESDIRK) schemes are employed for temporal discretization. The resulting discrete equations are solved with a full-coarsening, non-linear multigrid method. Smoothing is performed with multistage-implicit smoothers. These are applied here to the time-dependent equations by means of dual time stepping. Results: For steady-state problems, our results show that the efficiency of the present approach is comparable to the best implicit solvers for conservative discretizations of the compressible Euler equations that can be found in the literature. The use of red-black as opposed to symmetric Gauss-Seidel iteration in the multistage-smoother is found to have only a minor impact on multigrid convergence. This should enable scalable parallelization without having to seriously compromise the method's algorithmic efficiency. For time-dependent test problems, our results reveal that the multigrid convergence rate degrades with increasing Courant numbers (i.e. time step sizes). Beyond a
Schilde, M; Doerner, K F; Hartl, R F
2014-10-01
In urban areas, logistic transportation operations often run into problems because travel speeds change, depending on the current traffic situation. If not accounted for, time-dependent and stochastic travel speeds frequently lead to missed time windows and thus poorer service. Especially in the case of passenger transportation, it often leads to excessive passenger ride times as well. Therefore, time-dependent and stochastic influences on travel speeds are relevant for finding feasible and reliable solutions. This study considers the effect of exploiting statistical information available about historical accidents, using stochastic solution approaches for the dynamic dial-a-ride problem (dynamic DARP). The authors propose two pairs of metaheuristic solution approaches, each consisting of a deterministic method (average time-dependent travel speeds for planning) and its corresponding stochastic version (exploiting stochastic information while planning). The results, using test instances with up to 762 requests based on a real-world road network, show that in certain conditions, exploiting stochastic information about travel speeds leads to significant improvements over deterministic approaches.
Efficient Multilevel and Multi-index Sampling Methods in Stochastic Differential Equations
Haji-Ali, Abdul Lateef
2016-05-22
of this thesis is the novel Multi-index Monte Carlo (MIMC) method which is an extension of MLMC in high dimensional problems with significant computational savings. Under reasonable assumptions on the weak and variance convergence, which are related to the mixed regularity of the underlying problem and the discretization method, the order of the computational complexity of MIMC is, at worst up to a logarithmic factor, independent of the dimensionality of the underlying parametric equation. We also apply the same multi-index methodology to another sampling method, namely the Stochastic Collocation method. Hence, the novel Multi-index Stochastic Collocation method is proposed and is shown to be more efficient in problems with sufficient mixed regularity than our novel MIMC method and other standard methods. Finally, MIMC is applied to approximate quantities of interest of stochastic particle systems in the mean-field when the number of particles tends to infinity. To approximate these quantities of interest up to an error tolerance, TOL, MIMC has a computational complexity of O(TOL-2log(TOL)2). This complexity is achieved by building a hierarchy based on two discretization parameters: the number of time steps in an Milstein scheme and the number of particles in the particle system. Moreover, we use a partitioning estimator to increase the correlation between two stochastic particle systems with different sizes. In comparison, the optimal computational complexity of MLMC in this case is O(TOL-3) and the computational complexity of Monte Carlo is O(TOL-4).
Stochastic Unit Commitment Based on Multi-Scenario Tree Method Considering Uncertainty
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Kyu-Hyung Jo
2018-03-01
Full Text Available With the increasing penetration of renewable energy, it is difficult to schedule unit commitment (UC in a power system because of the uncertainty associated with various factors. In this paper, a new solution procedure based on a multi-scenario tree method (MSTM is presented and applied to the proposed stochastic UC problem. In this process, the initial input data of load and wind power are modeled as different levels using the mean absolute percentage error (MAPE. The load and wind scenarios are generated using Monte Carlo simulation (MCS that considers forecasting errors. These multiple scenarios are applied in the MSTM for solving the stochastic UC problem, including not only the load and wind power uncertainties, but also sudden outages of the thermal unit. When the UC problem has been formulated, the simulation is conducted for 24-h period by using the short-term UC model, and the operating costs and additional reserve requirements are thus obtained. The effectiveness of the proposed solution approach is demonstrated through a case study based on a modified IEEE-118 bus test system.
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Beljić Željko
2017-01-01
Full Text Available In this paper a special case of digital stochastic measurement of the third power of definite integral of sinusoidal signal’s absolute value, using 2-bit AD converters is presented. This case of digital stochastic method had emerged from the need to measure power and energy of the wind. Power and energy are proportional to the third power of wind speed. Anemometer output signal is sinusoidal. Therefore an integral of the third power of sinusoidal signal is zero. Two approaches are proposed for the third power calculation of the wind speed signal. One approach is to use absolute value of sinusoidal signal (before AD conversion for which there is no need of multiplier hardware change. The second approach requires small multiplier hardware change, but input signal remains unchanged. For the second approach proposed minimal hardware change was made to calculate absolute value of the result after AD conversion. Simulations have confirmed theoretical analysis. Expected precision of wind energy measurement of proposed device is better than 0,00051% of full scale. [Project of the Serbian Ministry of Education, Science and Technological Development, Grant no. TR32019
The two-regime method for optimizing stochastic reaction-diffusion simulations
Flegg, M. B.
2011-10-19
Spatial organization and noise play an important role in molecular systems biology. In recent years, a number of software packages have been developed for stochastic spatio-temporal simulation, ranging from detailed molecular-based approaches to less detailed compartment-based simulations. Compartment-based approaches yield quick and accurate mesoscopic results, but lack the level of detail that is characteristic of the computationally intensive molecular-based models. Often microscopic detail is only required in a small region (e.g. close to the cell membrane). Currently, the best way to achieve microscopic detail is to use a resource-intensive simulation over the whole domain. We develop the two-regime method (TRM) in which a molecular-based algorithm is used where desired and a compartment-based approach is used elsewhere. We present easy-to-implement coupling conditions which ensure that the TRM results have the same accuracy as a detailed molecular-based model in the whole simulation domain. Therefore, the TRM combines strengths of previously developed stochastic reaction-diffusion software to efficiently explore the behaviour of biological models. Illustrative examples and the mathematical justification of the TRM are also presented.
Rezaei, Satar; Zandian, Hamed; Baniasadi, Akram; Moghadam, Telma Zahirian; Delavari, Somayeh; Delavari, Sajad
2016-02-01
Hospitals are the most expensive health services provider in the world. Therefore, the evaluation of their performance can be used to reduce costs. The aim of this study was to determine the efficiency of the hospitals at the Kurdistan University of Medical Sciences using stochastic frontier analysis (SFA). This was a cross-sectional and retrospective study that assessed the performance of Kurdistan teaching hospitals (n = 12) between 2007 and 2013. The Stochastic Frontier Analysis method was used to achieve this aim. The numbers of active beds, nurses, physicians, and other staff members were considered as input variables, while the inpatient admission was considered as the output. The data were analyzed using Frontier 4.1 software. The mean technical efficiency of the hospitals we studied was 0.67. The results of the Cobb-Douglas production function showed that the maximum elasticity was related to the active beds and the elasticity of nurses was negative. Also, the return to scale was increasing. The results of this study indicated that the performances of the hospitals were not appropriate in terms of technical efficiency. In addition, there was a capacity enhancement of the output of the hospitals, compared with the most efficient hospitals studied, of about33%. It is suggested that the effect of various factors, such as the quality of health care and the patients' satisfaction, be considered in the future studies to assess hospitals' performances.
A stochastic multiscale method for the elastodynamic wave equation arising from fiber composites
Babuška, Ivo; Motamed, Mohammad; Tempone, Raul
2014-01-01
We present a stochastic multilevel global–local algorithm for computing elastic waves propagating in fiber-reinforced composite materials. Here, the materials properties and the size and location of fibers may be random. The method aims at approximating statistical moments of some given quantities of interest, such as stresses, in regions of relatively small size, e.g. hot spots or zones that are deemed vulnerable to failure. For a fiber-reinforced cross-plied laminate, we introduce three problems (macro, meso, micro) corresponding to the three natural scales, namely the sizes of laminate, ply, and fiber. The algorithm uses the homogenized global solution to construct a good local approximation that captures the microscale features of the real solution. We perform numerical experiments to show the applicability and efficiency of the method.
A stochastic multiscale method for the elastodynamic wave equation arising from fiber composites
Babuška, Ivo
2014-03-21
We present a stochastic multilevel global–local algorithm for computing elastic waves propagating in fiber-reinforced composite materials. Here, the materials properties and the size and location of fibers may be random. The method aims at approximating statistical moments of some given quantities of interest, such as stresses, in regions of relatively small size, e.g. hot spots or zones that are deemed vulnerable to failure. For a fiber-reinforced cross-plied laminate, we introduce three problems (macro, meso, micro) corresponding to the three natural scales, namely the sizes of laminate, ply, and fiber. The algorithm uses the homogenized global solution to construct a good local approximation that captures the microscale features of the real solution. We perform numerical experiments to show the applicability and efficiency of the method.
A Stochastic Multiscale Method for the Elastic Wave Equations Arising from Fiber Composites
Babuska, Ivo
2016-01-06
We present a stochastic multilevel global-local algorithm [1] for computing elastic waves propagating in fiber-reinforced polymer composites, where the material properties and the size and distribution of fibers in the polymer matrix may be random. The method aims at approximating statistical moments of some given quantities of interest, such as stresses, in regions of relatively small size, e.g. hot spots or zones that are deemed vulnerable to failure. For a fiber-reinforced cross-plied laminate, we introduce three problems: 1) macro; 2) meso; and 3) micro problems, corresponding to the three natural length scales: 1) the sizes of plate; 2) the tickles of plies; and 3) and the diameter of fibers. The algorithm uses a homogenized global solution to construct a local approximation that captures the microscale features of the problem. We perform numerical experiments to show the applicability and efficiency of the method.
International Nuclear Information System (INIS)
Liu, L.; Fuller, G.A.; Huang, G.H.
1999-01-01
Contamination of soil and water and the resulting threat to public health and the environment are the frequent results of oil spills, leaks and other releases of gasoline, diesel fuel, heating oil and other petroleum products. Integrating an analytical groundwater solute transport model within its general framework, this paper proposes an integrated stochastic risk assessment method and ways to apply it to petroleum-contaminated sites. Both the analytical solute transport model and the general risk assessment framework are solved by the Monte Carlo simulation technique for approaching the theoretical output distribution. Results of this study show that the total cancer risk has approximately log-normal distribution, irrespective of the fact that a variety of distributions were used to define the related parameters. It is claimed that the method can improve the effectiveness of the risk assessment for subsurface, and provide useful result for site remediation decisions. 23 refs., 3 tabs., 4 figs
Stochastic Averaging and Stochastic Extremum Seeking
Liu, Shu-Jun
2012-01-01
Stochastic Averaging and Stochastic Extremum Seeking develops methods of mathematical analysis inspired by the interest in reverse engineering and analysis of bacterial convergence by chemotaxis and to apply similar stochastic optimization techniques in other environments. The first half of the text presents significant advances in stochastic averaging theory, necessitated by the fact that existing theorems are restricted to systems with linear growth, globally exponentially stable average models, vanishing stochastic perturbations, and prevent analysis over infinite time horizon. The second half of the text introduces stochastic extremum seeking algorithms for model-free optimization of systems in real time using stochastic perturbations for estimation of their gradients. Both gradient- and Newton-based algorithms are presented, offering the user the choice between the simplicity of implementation (gradient) and the ability to achieve a known, arbitrary convergence rate (Newton). The design of algorithms...
DEFF Research Database (Denmark)
Simonsen, Maria; Schiøler, Henrik; Leth, John-Josef
2014-01-01
The Euler-Maruyama method is applied to a simple stochastic differential equation (SDE) with discontinuous drift. Convergence aspects are investigated in the case, where the Euler-Maruyama method is simulated in dyadic points. A strong rate of convergence is presented for the numerical simulations...
Asselineau, Charles-Alexis; Zapata, Jose; Pye, John
2015-06-01
A stochastic optimisation method adapted to illumination and radiative heat transfer problems involving Monte-Carlo ray-tracing is presented. A solar receiver shape optimisation case study illustrates the advantages of the method and its potential: efficient receivers are identified using a moderate computational cost.
Tejos, Nicolas; Rodríguez-Puebla, Aldo; Primack, Joel R.
2018-01-01
We present a simple, efficient and robust approach to improve cosmological redshift measurements. The method is based on the presence of a reference sample for which a precise redshift number distribution (dN/dz) can be obtained for different pencil-beam-like sub-volumes within the original survey. For each sub-volume we then impose that: (i) the redshift number distribution of the uncertain redshift measurements matches the reference dN/dz corrected by their selection functions and (ii) the rank order in redshift of the original ensemble of uncertain measurements is preserved. The latter step is motivated by the fact that random variables drawn from Gaussian probability density functions (PDFs) of different means and arbitrarily large standard deviations satisfy stochastic ordering. We then repeat this simple algorithm for multiple arbitrary pencil-beam-like overlapping sub-volumes; in this manner, each uncertain measurement has multiple (non-independent) 'recovered' redshifts which can be used to estimate a new redshift PDF. We refer to this method as the Stochastic Order Redshift Technique (SORT). We have used a state-of-the-art N-body simulation to test the performance of SORT under simple assumptions and found that it can improve the quality of cosmological redshifts in a robust and efficient manner. Particularly, SORT redshifts (zsort) are able to recover the distinctive features of the so-called 'cosmic web' and can provide unbiased measurement of the two-point correlation function on scales ≳4 h-1Mpc. Given its simplicity, we envision that a method like SORT can be incorporated into more sophisticated algorithms aimed to exploit the full potential of large extragalactic photometric surveys.
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Huiru Zhao
2016-01-01
Full Text Available As an efficient way to deal with the global climate change and energy shortage problems, a strong, self-healing, compatible, economic and integrative smart gird is under construction in China, which is supported by large amounts of investments and advanced technologies. To promote the construction, operation and sustainable development of Strong Smart Grid (SSG, a novel hybrid framework for evaluating the performance of SSG is proposed from the perspective of sustainability. Based on a literature review, experts’ opinions and the technical characteristics of SSG, the evaluation model involves four sustainability criteria defined as economy, society, environment and technology aspects associated with 12 sub-criteria. Considering the ambiguity and vagueness of the subjective judgments on sub-criteria, fuzzy TOPSIS method is employed to evaluate the performance of SSG. In addition, different from previous research, this paper adopts the stochastic Analytical Hierarchy Process (AHP method to upgrade the traditional Technique for Order Preference by Similarity to Ideal Solution (TOPSIS by addressing the fuzzy and stochastic factors within weights calculation. Finally, four regional smart grids in China are ranked by employing the proposed framework. The results show that the sub-criteria affiliated with environment obtain much more attention than that of economy from experts group. Moreover, the sensitivity analysis indicates the ranking list remains stable no matter how sub-criteria weights are changed, which verifies the robustness and effectiveness of the proposed model and evaluation results. This study provides a comprehensive and effective method for performance evaluation of SSG and also innovates the weights calculation for traditional TOPSIS.
Zhang, D.; Liao, Q.
2016-12-01
The Bayesian inference provides a convenient framework to solve statistical inverse problems. In this method, the parameters to be identified are treated as random variables. The prior knowledge, the system nonlinearity, and the measurement errors can be directly incorporated in the posterior probability density function (PDF) of the parameters. The Markov chain Monte Carlo (MCMC) method is a powerful tool to generate samples from the posterior PDF. However, since the MCMC usually requires thousands or even millions of forward simulations, it can be a computationally intensive endeavor, particularly when faced with large-scale flow and transport models. To address this issue, we construct a surrogate system for the model responses in the form of polynomials by the stochastic collocation method. In addition, we employ interpolation based on the nested sparse grids and takes into account the different importance of the parameters, under the condition of high random dimensions in the stochastic space. Furthermore, in case of low regularity such as discontinuous or unsmooth relation between the input parameters and the output responses, we introduce an additional transform process to improve the accuracy of the surrogate model. Once we build the surrogate system, we may evaluate the likelihood with very little computational cost. We analyzed the convergence rate of the forward solution and the surrogate posterior by Kullback-Leibler divergence, which quantifies the difference between probability distributions. The fast convergence of the forward solution implies fast convergence of the surrogate posterior to the true posterior. We also tested the proposed algorithm on water-flooding two-phase flow reservoir examples. The posterior PDF calculated from a very long chain with direct forward simulation is assumed to be accurate. The posterior PDF calculated using the surrogate model is in reasonable agreement with the reference, revealing a great improvement in terms of
Stochastic Least-Squares Petrov--Galerkin Method for Parameterized Linear Systems
Energy Technology Data Exchange (ETDEWEB)
Lee, Kookjin [Univ. of Maryland, College Park, MD (United States). Dept. of Computer Science; Carlberg, Kevin [Sandia National Lab. (SNL-CA), Livermore, CA (United States); Elman, Howard C. [Univ. of Maryland, College Park, MD (United States). Dept. of Computer Science and Inst. for Advanced Computer Studies
2018-03-29
Here, we consider the numerical solution of parameterized linear systems where the system matrix, the solution, and the right-hand side are parameterized by a set of uncertain input parameters. We explore spectral methods in which the solutions are approximated in a chosen finite-dimensional subspace. It has been shown that the stochastic Galerkin projection technique fails to minimize any measure of the solution error. As a remedy for this, we propose a novel stochatic least-squares Petrov--Galerkin (LSPG) method. The proposed method is optimal in the sense that it produces the solution that minimizes a weighted $\\ell^2$-norm of the residual over all solutions in a given finite-dimensional subspace. Moreover, the method can be adapted to minimize the solution error in different weighted $\\ell^2$-norms by simply applying a weighting function within the least-squares formulation. In addition, a goal-oriented seminorm induced by an output quantity of interest can be minimized by defining a weighting function as a linear functional of the solution. We establish optimality and error bounds for the proposed method, and extensive numerical experiments show that the weighted LSPG method outperforms other spectral methods in minimizing corresponding target weighted norms.
International Nuclear Information System (INIS)
Labadi, Karim; Saggadi, Samira; Amodeo, Lionel
2009-01-01
The dynamic behavior of a discrete event dynamic system can be significantly affected for some uncertain changes in its decision parameters. So, parameter sensitivity analysis would be a useful way in studying the effects of these changes on the system performance. In the past, the sensitivity analysis approaches are frequently based on simulation models. In recent years, formal methods based on stochastic process including Markov process are proposed in the literature. In this paper, we are interested in the parameter sensitivity analysis of discrete event dynamic systems by using stochastic Petri nets models as a tool for modelling and performance evaluation. A sensitivity analysis approach based on stochastic Petri nets, called PSA-SPN method, will be proposed with an application to a production line system.
Directory of Open Access Journals (Sweden)
Hoi Ying Wong
2013-01-01
Full Text Available Turbo warrants are liquidly traded financial derivative securities in over-the-counter and exchange markets in Asia and Europe. The structure of turbo warrants is similar to barrier options, but a lookback rebate will be paid if the barrier is crossed by the underlying asset price. Therefore, the turbo warrant price satisfies a partial differential equation (PDE with a boundary condition that depends on another boundary-value problem (BVP of PDE. Due to the highly complicated structure of turbo warrants, their valuation presents a challenging problem in the field of financial mathematics. This paper applies the homotopy analysis method to construct an analytic pricing formula for turbo warrants under stochastic volatility in a PDE framework.
Robust Topology Optimization Based on Stochastic Collocation Methods under Loading Uncertainties
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Qinghai Zhao
2015-01-01
Full Text Available A robust topology optimization (RTO approach with consideration of loading uncertainties is developed in this paper. The stochastic collocation method combined with full tensor product grid and Smolyak sparse grid transforms the robust formulation into a weighted multiple loading deterministic problem at the collocation points. The proposed approach is amenable to implementation in existing commercial topology optimization software package and thus feasible to practical engineering problems. Numerical examples of two- and three-dimensional topology optimization problems are provided to demonstrate the proposed RTO approach and its applications. The optimal topologies obtained from deterministic and robust topology optimization designs under tensor product grid and sparse grid with different levels are compared with one another to investigate the pros and cons of optimization algorithm on final topologies, and an extensive Monte Carlo simulation is also performed to verify the proposed approach.
A Modified Computational Scheme for the Stochastic Perturbation Finite Element Method
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Feng Wu
Full Text Available Abstract A modified computational scheme of the stochastic perturbation finite element method (SPFEM is developed for structures with low-level uncertainties. The proposed scheme can provide second-order estimates of the mean and variance without differentiating the system matrices with respect to the random variables. When the proposed scheme is used, it involves finite analyses of deterministic systems. In the case of one random variable with a symmetric probability density function, the proposed computational scheme can even provide a result with fifth-order accuracy. Compared with the traditional computational scheme of SPFEM, the proposed scheme is more convenient for numerical implementation. Four numerical examples demonstrate that the proposed scheme can be used in linear or nonlinear structures with correlated or uncorrelated random variables.
Solution of stochastic media transport problems using a numerical quadrature-based method
International Nuclear Information System (INIS)
Pautz, S. D.; Franke, B. C.; Prinja, A. K.; Olson, A. J.
2013-01-01
We present a new conceptual framework for analyzing transport problems in random media. We decompose such problems into stratified subproblems according to the number of material pseudo-interfaces within realizations. For a given subproblem we assign pseudo-interface locations in each realization according to product quadrature rules, which allows us to deterministically generate a fixed number of realizations. Quadrature integration of the solutions of these realizations thus approximately solves each subproblem; the weighted superposition of solutions of the subproblems approximately solves the general stochastic media transport problem. We revisit some benchmark problems to determine the accuracy and efficiency of this approach in comparison to randomly generated realizations. We find that this method is very accurate and fast when the number of pseudo-interfaces in a problem is generally low, but that these advantages quickly degrade as the number of pseudo-interfaces increases. (authors)
A Stochastic and Holistic Method to Support Decision-Making in Early Building Design
DEFF Research Database (Denmark)
Østergaard, Torben; Maagaard, Steffen; Jensen, Rasmus Lund
2015-01-01
preferable input domains for the most influential parameters. To enable computationally fast simulations, we combined calculations of energy demand and thermal comfort based on ISO 13790 (CEN 2008) with a regression model for daylight factor. We constructed scoring functions for the three outputs and applied...... to collect the 10 % best performing simulations. From this collection, histograms were used to identify favourable and adverse input spans for a selection of the most sensitive parameters. Subsequently, two runs of each 3000 simulations were performed – one using the favourable input spans and the other...... using the adverse spans. The results showed that the distribution related to favourable input spans was shifted significantly towards higher holistic scores. The authors conclude that the use of a stochastic, holistic method can guide decision-making by identifying favourable input regions, and thereby...
Application of Stochastic variational method with correlated Ground States to coulombic systems
Energy Technology Data Exchange (ETDEWEB)
Usukura, Junko; Suzuki, Yasuyuki [Niigata Univ. (Japan); Varga, K.
1998-07-01
Positronium molecule, Ps{sub 2} has not been found experimentally yet, and it has been believed theoretically that Ps{sub 2} has only one bound state with L = 0. We predicted the existence of new bound state of Ps{sub 2}, which is the excited state with L = 1 and comes from Pauli principle, by Stochastic variational method. There are two decay mode with respect to Ps{sub 2}(P); one is pair annihilation and another is electric dipole (E1) transition to the ground state. While it is difficult to tell {gamma}-ray caused by annihilation of Ps{sub 2} from that of Ps since both of them have same energy, Energy (4.94 eV) of the photon emitted in E1 transition is specific enough to distinguish from other spectra. Then the excited state is one of clues to observe Ps{sub 2}. (author)
Clustered iterative stochastic ensemble method for multi-modal calibration of subsurface flow models
Elsheikh, Ahmed H.
2013-05-01
A novel multi-modal parameter estimation algorithm is introduced. Parameter estimation is an ill-posed inverse problem that might admit many different solutions. This is attributed to the limited amount of measured data used to constrain the inverse problem. The proposed multi-modal model calibration algorithm uses an iterative stochastic ensemble method (ISEM) for parameter estimation. ISEM employs an ensemble of directional derivatives within a Gauss-Newton iteration for nonlinear parameter estimation. ISEM is augmented with a clustering step based on k-means algorithm to form sub-ensembles. These sub-ensembles are used to explore different parts of the search space. Clusters are updated at regular intervals of the algorithm to allow merging of close clusters approaching the same local minima. Numerical testing demonstrates the potential of the proposed algorithm in dealing with multi-modal nonlinear parameter estimation for subsurface flow models. © 2013 Elsevier B.V.
Multi-Index Monte Carlo and stochastic collocation methods for random PDEs
Nobile, Fabio
2016-01-09
In this talk we consider the problem of computing statistics of the solution of a partial differential equation with random data, where the random coefficient is parametrized by means of a finite or countable sequence of terms in a suitable expansion. We describe and analyze a Multi-Index Monte Carlo (MIMC) and a Multi-Index Stochastic Collocation method (MISC). the former is both a stochastic version of the combination technique introduced by Zenger, Griebel and collaborators and an extension of the Multilevel Monte Carlo (MLMC) method first described by Heinrich and Giles. Instead of using firstorder differences as in MLMC, MIMC uses mixed differences to reduce the variance of the hierarchical differences dramatically. This in turn yields new and improved complexity results, which are natural generalizations of Giles s MLMC analysis, and which increase the domain of problem parameters for which we achieve the optimal convergence, O(TOL-2). On the same vein, MISC is a deterministic combination technique based on mixed differences of spatial approximations and quadratures over the space of random data. Provided enough mixed regularity, MISC can achieve better complexity than MIMC. Moreover, we show that in the optimal case the convergence rate of MISC is only dictated by the convergence of the deterministic solver applied to a one-dimensional spatial problem. We propose optimization procedures to select the most effective mixed differences to include in MIMC and MISC. Such optimization is a crucial step that allows us to make MIMC and MISC computationally effective. We finally show the effectiveness of MIMC and MISC with some computational tests, including tests with a infinite countable number of random parameters.
Multi-Index Monte Carlo and stochastic collocation methods for random PDEs
Nobile, Fabio; Haji Ali, Abdul Lateef; Tamellini, Lorenzo; Tempone, Raul
2016-01-01
In this talk we consider the problem of computing statistics of the solution of a partial differential equation with random data, where the random coefficient is parametrized by means of a finite or countable sequence of terms in a suitable expansion. We describe and analyze a Multi-Index Monte Carlo (MIMC) and a Multi-Index Stochastic Collocation method (MISC). the former is both a stochastic version of the combination technique introduced by Zenger, Griebel and collaborators and an extension of the Multilevel Monte Carlo (MLMC) method first described by Heinrich and Giles. Instead of using firstorder differences as in MLMC, MIMC uses mixed differences to reduce the variance of the hierarchical differences dramatically. This in turn yields new and improved complexity results, which are natural generalizations of Giles s MLMC analysis, and which increase the domain of problem parameters for which we achieve the optimal convergence, O(TOL-2). On the same vein, MISC is a deterministic combination technique based on mixed differences of spatial approximations and quadratures over the space of random data. Provided enough mixed regularity, MISC can achieve better complexity than MIMC. Moreover, we show that in the optimal case the convergence rate of MISC is only dictated by the convergence of the deterministic solver applied to a one-dimensional spatial problem. We propose optimization procedures to select the most effective mixed differences to include in MIMC and MISC. Such optimization is a crucial step that allows us to make MIMC and MISC computationally effective. We finally show the effectiveness of MIMC and MISC with some computational tests, including tests with a infinite countable number of random parameters.
A novel method for unsteady flow field segmentation based on stochastic similarity of direction
Omata, Noriyasu; Shirayama, Susumu
2018-04-01
Recent developments in fluid dynamics research have opened up the possibility for the detailed quantitative understanding of unsteady flow fields. However, the visualization techniques currently in use generally provide only qualitative insights. A method for dividing the flow field into physically relevant regions of interest can help researchers quantify unsteady fluid behaviors. Most methods at present compare the trajectories of virtual Lagrangian particles. The time-invariant features of an unsteady flow are also frequently of interest, but the Lagrangian specification only reveals time-variant features. To address these challenges, we propose a novel method for the time-invariant spatial segmentation of an unsteady flow field. This segmentation method does not require Lagrangian particle tracking but instead quantitatively compares the stochastic models of the direction of the flow at each observed point. The proposed method is validated with several clustering tests for 3D flows past a sphere. Results show that the proposed method reveals the time-invariant, physically relevant structures of an unsteady flow.
Rouz, Omid Farkhondeh; Ahmadian, Davood; Milev, Mariyan
2017-12-01
This paper establishes exponential mean square stability of two classes of theta Milstein methods, namely split-step theta Milstein (SSTM) method and stochastic theta Milstein (STM) method, for stochastic differential delay equations (SDDEs). We consider the SDDEs problem under a coupled monotone condition on drift and diffusion coefficients, as well as a necessary linear growth condition on the last term of theta Milstein method. It is proved that the SSTM method with θ ∈ [0, ½] can recover the exponential mean square stability of the exact solution with some restrictive conditions on stepsize, but for θ ∈ (½, 1], we proved that the stability results hold for any stepsize. Then, based on the stability results of SSTM method, we examine the exponential mean square stability of the STM method and obtain the similar stability results to that of the SSTM method. In the numerical section the figures show thevalidity of our claims.
Adaptive Algebraic Multigrid for Finite Element Elliptic Equations with Random Coefficients
Energy Technology Data Exchange (ETDEWEB)
Kalchev, D
2012-04-02
This thesis presents a two-grid algorithm based on Smoothed Aggregation Spectral Element Agglomeration Algebraic Multigrid (SA-{rho}AMGe) combined with adaptation. The aim is to build an efficient solver for the linear systems arising from discretization of second-order elliptic partial differential equations (PDEs) with stochastic coefficients. Examples include PDEs that model subsurface flow with random permeability field. During a Markov Chain Monte Carlo (MCMC) simulation process, that draws PDE coefficient samples from a certain distribution, the PDE coefficients change, hence the resulting linear systems to be solved change. At every such step the system (discretized PDE) needs to be solved and the computed solution used to evaluate some functional(s) of interest that then determine if the coefficient sample is acceptable or not. The MCMC process is hence computationally intensive and requires the solvers used to be efficient and fast. This fact that at every step of MCMC the resulting linear system changes, makes an already existing solver built for the old problem perhaps not as efficient for the problem corresponding to the new sampled coefficient. This motivates the main goal of our study, namely, to adapt an already existing solver to handle the problem (with changed coefficient) with the objective to achieve this goal to be faster and more efficient than building a completely new solver from scratch. Our approach utilizes the local element matrices (for the problem with changed coefficients) to build local problems associated with constructed by the method agglomerated elements (a set of subdomains that cover the given computational domain). We solve a generalized eigenproblem for each set in a subspace spanned by the previous local coarse space (used for the old solver) and a vector, component of the error, that the old solver cannot handle. A portion of the spectrum of these local eigen-problems (corresponding to eigenvalues close to zero) form the
A stochastic collocation method for the second order wave equation with a discontinuous random speed
Motamed, Mohammad
2012-08-31
In this paper we propose and analyze a stochastic collocation method for solving the second order wave equation with a random wave speed and subjected to deterministic boundary and initial conditions. The speed is piecewise smooth in the physical space and depends on a finite number of random variables. The numerical scheme consists of a finite difference or finite element method in the physical space and a collocation in the zeros of suitable tensor product orthogonal polynomials (Gauss points) in the probability space. This approach leads to the solution of uncoupled deterministic problems as in the Monte Carlo method. We consider both full and sparse tensor product spaces of orthogonal polynomials. We provide a rigorous convergence analysis and demonstrate different types of convergence of the probability error with respect to the number of collocation points for full and sparse tensor product spaces and under some regularity assumptions on the data. In particular, we show that, unlike in elliptic and parabolic problems, the solution to hyperbolic problems is not in general analytic with respect to the random variables. Therefore, the rate of convergence may only be algebraic. An exponential/fast rate of convergence is still possible for some quantities of interest and for the wave solution with particular types of data. We present numerical examples, which confirm the analysis and show that the collocation method is a valid alternative to the more traditional Monte Carlo method for this class of problems. © 2012 Springer-Verlag.
Directory of Open Access Journals (Sweden)
Alan Delgado de Oliveira
Full Text Available ABSTRACT In this paper, we provide an empirical discussion of the differences among some scenario tree-generation approaches for stochastic programming. We consider the classical Monte Carlo sampling and Moment matching methods. Moreover, we test the Resampled average approximation, which is an adaptation of Monte Carlo sampling and Monte Carlo with naive allocation strategy as the benchmark. We test the empirical effects of each approach on the stability of the problem objective function and initial portfolio allocation, using a multistage stochastic chance-constrained asset-liability management (ALM model as the application. The Moment matching and Resampled average approximation are more stable than the other two strategies.
Directory of Open Access Journals (Sweden)
Jian Dang
2016-01-01
Full Text Available Due to the fact that the slight fault signals in early failure of mechanical system are usually submerged in heavy background noise, it is unfeasible to extract the weak fault feature via the traditional vibration analysis. Stochastic resonance (SR, as a method of utilizing noise to amplify weak signals in nonlinear dynamical systems, can detect weak signals overwhelmed in the noise. However, based on the analysis of the impact of noise intensity on SR effect, it is concluded that the detection results are dramatically limited by the noise intensity of measured signals, especially for incipient fault feature of mechanical system with poor working environment. Therefore, this paper proposes a partly Duffing oscillator SR method to extract the fault feature of mechanical system. In this method, to locate the appearance of weak fault feature and decrease noise intensity, the permutation entropy index is constructed to select the measured signals for the input of Duffing oscillator system. Then, according to the regulation of system parameters, a reasonable match between the selected signals and Duffing oscillator model is achieved to produce a SR phenomenon and realize the fault diagnosis of mechanical system. Experiment results demonstrate that the proposed method achieves a better effect on the fault diagnosis of mechanical system.
DEFF Research Database (Denmark)
Stentoft, Peter Alexander; Munk-Nielsen, Thomas; Mikkelsen, Peter Steen
2017-01-01
. The measurements may also be temporarily unavailable because of recalibration, communication faults or other errors. Here we present a method that handles such delay and missing observations. The model is based on zero order hold stochastic differential equations which use binary signals for influent flow...
Reddy, L Ram Gopal; Kuntamalla, Srinivas
2011-01-01
Heart rate variability analysis is fast gaining acceptance as a potential non-invasive means of autonomic nervous system assessment in research as well as clinical domains. In this study, a new nonlinear analysis method is used to detect the degree of nonlinearity and stochastic nature of heart rate variability signals during two forms of meditation (Chi and Kundalini). The data obtained from an online and widely used public database (i.e., MIT/BIH physionet database), is used in this study. The method used is the delay vector variance (DVV) method, which is a unified method for detecting the presence of determinism and nonlinearity in a time series and is based upon the examination of local predictability of a signal. From the results it is clear that there is a significant change in the nonlinearity and stochastic nature of the signal before and during the meditation (p value > 0.01). During Chi meditation there is a increase in stochastic nature and decrease in nonlinear nature of the signal. There is a significant decrease in the degree of nonlinearity and stochastic nature during Kundalini meditation.
Tarim, S.A.; Ozen, U.; Dogru, M.K.; Rossi, R.
2011-01-01
We provide an efficient computational approach to solve the mixed integer programming (MIP) model developed by Tarim and Kingsman [8] for solving a stochastic lot-sizing problem with service level constraints under the static–dynamic uncertainty strategy. The effectiveness of the proposed method
Mapping robust parallel multigrid algorithms to scalable memory architectures
Overman, Andrea; Vanrosendale, John
1993-01-01
The convergence rate of standard multigrid algorithms degenerates on problems with stretched grids or anisotropic operators. The usual cure for this is the use of line or plane relaxation. However, multigrid algorithms based on line and plane relaxation have limited and awkward parallelism and are quite difficult to map effectively to highly parallel architectures. Newer multigrid algorithms that overcome anisotropy through the use of multiple coarse grids rather than relaxation are better suited to massively parallel architectures because they require only simple point-relaxation smoothers. In this paper, we look at the parallel implementation of a V-cycle multiple semicoarsened grid (MSG) algorithm on distributed-memory architectures such as the Intel iPSC/860 and Paragon computers. The MSG algorithms provide two levels of parallelism: parallelism within the relaxation or interpolation on each grid and across the grids on each multigrid level. Both levels of parallelism must be exploited to map these algorithms effectively to parallel architectures. This paper describes a mapping of an MSG algorithm to distributed-memory architectures that demonstrates how both levels of parallelism can be exploited. The result is a robust and effective multigrid algorithm for distributed-memory machines.
van der Vegt, Jacobus J.W.; Rhebergen, Sander
2011-01-01
The hp-Multigrid as Smoother algorithm (hp-MGS) for the solution of higher order accurate space-(time) discontinuous Galerkin discretizations of advection dominated flows is presented. This algorithm combines p-multigrid with h-multigrid at all p-levels, where the h-multigrid acts as smoother in the
A Stochastic Geometry Method for Pylon Reconstruction from Airborne LiDAR Data
Directory of Open Access Journals (Sweden)
Bo Guo
2016-03-01
Full Text Available Object detection and reconstruction from remotely sensed data are active research topic in photogrammetric and remote sensing communities. Power engineering device monitoring by detecting key objects is important for power safety. In this paper, we introduce a novel method for the reconstruction of self-supporting pylons widely used in high voltage power-line systems from airborne LiDAR data. Our work constructs pylons from a library of 3D parametric models, which are represented using polyhedrons based on stochastic geometry. Firstly, laser points of pylons are extracted from the dataset using an automatic classification method. An energy function made up of two terms is then defined: the first term measures the adequacy of the objects with respect to the data, and the second term has the ability to favor or penalize certain configurations based on prior knowledge. Finally, estimation is undertaken by minimizing the energy using simulated annealing. We use a Markov Chain Monte Carlo sampler, leading to an optimal configuration of objects. Two main contributions of this paper are: (1 building a framework for automatic pylon reconstruction; and (2 efficient global optimization. The pylons can be precisely reconstructed through energy optimization. Experiments producing convincing results validated the proposed method using a dataset of complex structure.
de la Cruz, Roberto; Guerrero, Pilar; Calvo, Juan; Alarcón, Tomás
2017-12-01
The development of hybrid methodologies is of current interest in both multi-scale modelling and stochastic reaction-diffusion systems regarding their applications to biology. We formulate a hybrid method for stochastic multi-scale models of cells populations that extends the remit of existing hybrid methods for reaction-diffusion systems. Such method is developed for a stochastic multi-scale model of tumour growth, i.e. population-dynamical models which account for the effects of intrinsic noise affecting both the number of cells and the intracellular dynamics. In order to formulate this method, we develop a coarse-grained approximation for both the full stochastic model and its mean-field limit. Such approximation involves averaging out the age-structure (which accounts for the multi-scale nature of the model) by assuming that the age distribution of the population settles onto equilibrium very fast. We then couple the coarse-grained mean-field model to the full stochastic multi-scale model. By doing so, within the mean-field region, we are neglecting noise in both cell numbers (population) and their birth rates (structure). This implies that, in addition to the issues that arise in stochastic-reaction diffusion systems, we need to account for the age-structure of the population when attempting to couple both descriptions. We exploit our coarse-graining model so that, within the mean-field region, the age-distribution is in equilibrium and we know its explicit form. This allows us to couple both domains consistently, as upon transference of cells from the mean-field to the stochastic region, we sample the equilibrium age distribution. Furthermore, our method allows us to investigate the effects of intracellular noise, i.e. fluctuations of the birth rate, on collective properties such as travelling wave velocity. We show that the combination of population and birth-rate noise gives rise to large fluctuations of the birth rate in the region at the leading edge of
Risk-based transfer responses to climate change, simulated through autocorrelated stochastic methods
Kirsch, B.; Characklis, G. W.
2009-12-01
Maintaining municipal water supply reliability despite growing demands can be achieved through a variety of mechanisms, including supply strategies such as temporary transfers. However, much of the attention on transfers has been focused on market-based transfers in the western United States largely ignoring the potential for transfers in the eastern U.S. The different legal framework of the eastern and western U.S. leads to characteristic differences between their respective transfers. Western transfers tend to be agricultural-to-urban and involve raw, untreated water, with the transfer often involving a simple change in the location and/or timing of withdrawals. Eastern transfers tend to be contractually established urban-to-urban transfers of treated water, thereby requiring the infrastructure to transfer water between utilities. Utilities require the tools to be able to evaluate transfer decision rules and the resulting expected future transfer behavior. Given the long-term planning horizons of utilities, potential changes in hydrologic patterns due to climate change must be considered. In response, this research develops a method for generating a stochastic time series that reproduces the historic autocorrelation and can be adapted to accommodate future climate scenarios. While analogous in operation to an autoregressive model, this method reproduces the seasonal autocorrelation structure, as opposed to assuming the strict stationarity produced by an autoregressive model. Such urban-to-urban transfers are designed to be rare, transient events used primarily during times of severe drought, and incorporating Monte Carlo techniques allows for the development of probability distributions of likely outcomes. This research evaluates a system risk-based, urban-to-urban transfer agreement between three utilities in the Triangle region of North Carolina. Two utilities maintain their own surface water supplies in adjoining watersheds and look to obtain transfers via
Stochastic Drought Risk Analysis and Projection Methods For Thermoelectric Power Systems
Bekera, Behailu Belamo
Combined effects of socio-economic, environmental, technological and political factors impact fresh cooling water availability, which is among the most important elements of thermoelectric power plant site selection and evaluation criteria. With increased variability and changes in hydrologic statistical stationarity, one concern is the increased occurrence of extreme drought events that may be attributable to climatic changes. As hydrological systems are altered, operators of thermoelectric power plants need to ensure a reliable supply of water for cooling and generation requirements. The effects of climate change are expected to influence hydrological systems at multiple scales, possibly leading to reduced efficiency of thermoelectric power plants. This study models and analyzes drought characteristics from a thermoelectric systems operational and regulation perspective. A systematic approach to characterize a stream environment in relation to extreme drought occurrence, duration and deficit-volume is proposed and demonstrated. More specifically, the objective of this research is to propose a stochastic water supply risk analysis and projection methods from thermoelectric power systems operation and management perspectives. The study defines thermoelectric drought as a shortage of cooling water due to stressed supply or beyond operable water temperature limits for an extended period of time requiring power plants to reduce production or completely shut down. It presents a thermoelectric drought risk characterization framework that considers heat content and water quantity facets of adequate water availability for uninterrupted operation of such plants and safety of its surroundings. In addition, it outlines mechanisms to identify rate of occurrences of the said droughts and stochastically quantify subsequent potential losses to the sector. This mechanism is enabled through a model based on compound Nonhomogeneous Poisson Process. This study also demonstrates how
Turcksin, Bruno; Ragusa, Jean C.; Morel, Jim E.
2012-01-01
It is well known that the diffusion synthetic acceleration (DSA) methods for the Sn equations become ineffective in the Fokker-Planck forward-peaked scattering limit. In response to this deficiency, Morel and Manteuffel (1991) developed an angular multigrid method for the 1-D Sn equations. This method is very effective, costing roughly twice as much as DSA per source iteration, and yielding a maximum spectral radius of approximately 0.6 in the Fokker-Planck limit. Pautz, Adams, and Morel (PAM) (1999) later generalized the angular multigrid to 2-D, but it was found that the method was unstable with sufficiently forward-peaked mappings between the angular grids. The method was stabilized via a filtering technique based on diffusion operators, but this filtering also degraded the effectiveness of the overall scheme. The spectral radius was not bounded away from unity in the Fokker-Planck limit, although the method remained more effective than DSA. The purpose of this article is to recast the multidimensional PAM angular multigrid method without the filtering as an Sn preconditioner and use it in conjunction with the Generalized Minimal RESidual (GMRES) Krylov method. The approach ensures stability and our computational results demonstrate that it is also significantly more efficient than an analogous DSA-preconditioned Krylov method.
Diffusion approximation-based simulation of stochastic ion channels: which method to use?
Directory of Open Access Journals (Sweden)
Danilo ePezo
2014-11-01
Full Text Available To study the effects of stochastic ion channel fluctuations on neural dynamics, several numerical implementation methods have been proposed. Gillespie’s method for Markov Chains (MC simulation is highly accurate, yet it becomes computationally intensive in the regime of high channel numbers. Many recent works aim to speed simulation time using the Langevin-based Diffusion Approximation (DA. Under this common theoretical approach, each implementation differs in how it handles various numerical difficulties – such as bounding of state variables to [0,1]. Here we review and test a set of the most recently published DA implementations (Dangerfield et al., 2012; Linaro et al., 2011; Huang et al., 2013a; Orio and Soudry, 2012; Schmandt and Galán, 2012; Goldwyn et al., 2011; Güler, 2013, comparing all of them in a set of numerical simulations that asses numerical accuracy and computational efficiency on three different models: the original Hodgkin and Huxley model, a model with faster sodium channels, and a multi-compartmental model inspired in granular cells. We conclude that for low channel numbers (usually below 1000 per simulated compartment one should use MC – which is both the most accurate and fastest method. For higher channel numbers, we recommend using the method by Orio and Soudry (2012, possibly combined with the method by Schmandt and Galán (2012 for increased speed and slightly reduced accuracy. Consequently, MC modelling may be the best method for detailed multicompartment neuron models – in which a model neuron with many thousands of channels is segmented into many compartments with a few hundred channels.
Diffusion approximation-based simulation of stochastic ion channels: which method to use?
Pezo, Danilo; Soudry, Daniel; Orio, Patricio
2014-01-01
To study the effects of stochastic ion channel fluctuations on neural dynamics, several numerical implementation methods have been proposed. Gillespie's method for Markov Chains (MC) simulation is highly accurate, yet it becomes computationally intensive in the regime of a high number of channels. Many recent works aim to speed simulation time using the Langevin-based Diffusion Approximation (DA). Under this common theoretical approach, each implementation differs in how it handles various numerical difficulties—such as bounding of state variables to [0,1]. Here we review and test a set of the most recently published DA implementations (Goldwyn et al., 2011; Linaro et al., 2011; Dangerfield et al., 2012; Orio and Soudry, 2012; Schmandt and Galán, 2012; Güler, 2013; Huang et al., 2013a), comparing all of them in a set of numerical simulations that assess numerical accuracy and computational efficiency on three different models: (1) the original Hodgkin and Huxley model, (2) a model with faster sodium channels, and (3) a multi-compartmental model inspired in granular cells. We conclude that for a low number of channels (usually below 1000 per simulated compartment) one should use MC—which is the fastest and most accurate method. For a high number of channels, we recommend using the method by Orio and Soudry (2012), possibly combined with the method by Schmandt and Galán (2012) for increased speed and slightly reduced accuracy. Consequently, MC modeling may be the best method for detailed multicompartment neuron models—in which a model neuron with many thousands of channels is segmented into many compartments with a few hundred channels. PMID:25404914
Application of stochastic and artificial intelligence methods for nuclear material identification
International Nuclear Information System (INIS)
Pozzi, S.; Segovia, F.J.
1999-01-01
Nuclear materials safeguard efforts necessitate the use of non-destructive methods to determine the attributes of fissile samples enclosed in special, non-accessible containers. To this end, a large variety of methods has been developed at the Oak Ridge National Laboratory (ORNL) and elsewhere. Usually, a given set of statistics of the stochastic neutron-photon coupled field, such as source-detector, detector-detector cross correlation functions, and multiplicities are measured over a range of known samples to develop calibration algorithms. In this manner, the attributes of unknown samples can be inferred by the use of the calibration results. The organization of this paper is as follows: Section 2 describes the Monte Carlo simulations of source-detector cross correlation functions for a set of uranium metallic samples interrogated by the neutrons and photons from a 252 Cf source. From this database, a set of features is extracted in Section 3. The use of neural networks (NN) and genertic programming to provide sample mass and enrichment values from the input sets of features is illustrated in Sections 4 and 5, respectivelyl. Section 6 is a comparison of the results, while Section 7 is a brief summary of the work
A Stochastic Inversion Method for Potential Field Data: Ant Colony Optimization
Liu, Shuang; Hu, Xiangyun; Liu, Tianyou
2014-07-01
Simulating natural ants' foraging behavior, the ant colony optimization (ACO) algorithm performs excellently in combinational optimization problems, for example the traveling salesman problem and the quadratic assignment problem. However, the ACO is seldom used to inverted for gravitational and magnetic data. On the basis of the continuous and multi-dimensional objective function for potential field data optimization inversion, we present the node partition strategy ACO (NP-ACO) algorithm for inversion of model variables of fixed shape and recovery of physical property distributions of complicated shape models. We divide the continuous variables into discrete nodes and ants directionally tour the nodes by use of transition probabilities. We update the pheromone trails by use of Gaussian mapping between the objective function value and the quantity of pheromone. It can analyze the search results in real time and promote the rate of convergence and precision of inversion. Traditional mapping, including the ant-cycle system, weaken the differences between ant individuals and lead to premature convergence. We tested our method by use of synthetic data and real data from scenarios involving gravity and magnetic anomalies. The inverted model variables and recovered physical property distributions were in good agreement with the true values. The ACO algorithm for binary representation imaging and full imaging can recover sharper physical property distributions than traditional linear inversion methods. The ACO has good optimization capability and some excellent characteristics, for example robustness, parallel implementation, and portability, compared with other stochastic metaheuristics.
International Nuclear Information System (INIS)
Deco, Gustavo; Marti, Daniel
2007-01-01
The analysis of transitions in stochastic neurodynamical systems is essential to understand the computational principles that underlie those perceptual and cognitive processes involving multistable phenomena, like decision making and bistable perception. To investigate the role of noise in a multistable neurodynamical system described by coupled differential equations, one usually considers numerical simulations, which are time consuming because of the need for sufficiently many trials to capture the statistics of the influence of the fluctuations on that system. An alternative analytical approach involves the derivation of deterministic differential equations for the moments of the distribution of the activity of the neuronal populations. However, the application of the method of moments is restricted by the assumption that the distribution of the state variables of the system takes on a unimodal Gaussian shape. We extend in this paper the classical moments method to the case of bimodal distribution of the state variables, such that a reduced system of deterministic coupled differential equations can be derived for the desired regime of multistability
Deco, Gustavo; Martí, Daniel
2007-03-01
The analysis of transitions in stochastic neurodynamical systems is essential to understand the computational principles that underlie those perceptual and cognitive processes involving multistable phenomena, like decision making and bistable perception. To investigate the role of noise in a multistable neurodynamical system described by coupled differential equations, one usually considers numerical simulations, which are time consuming because of the need for sufficiently many trials to capture the statistics of the influence of the fluctuations on that system. An alternative analytical approach involves the derivation of deterministic differential equations for the moments of the distribution of the activity of the neuronal populations. However, the application of the method of moments is restricted by the assumption that the distribution of the state variables of the system takes on a unimodal Gaussian shape. We extend in this paper the classical moments method to the case of bimodal distribution of the state variables, such that a reduced system of deterministic coupled differential equations can be derived for the desired regime of multistability.
Fluctuating dynamics of nematic liquid crystals using the stochastic method of lines
Bhattacharjee, A. K.; Menon, Gautam I.; Adhikari, R.
2010-07-01
We construct Langevin equations describing the fluctuations of the tensor order parameter Qαβ in nematic liquid crystals by adding noise terms to time-dependent variational equations that follow from the Ginzburg-Landau-de Gennes free energy. The noise is required to preserve the symmetry and tracelessness of the tensor order parameter and must satisfy a fluctuation-dissipation relation at thermal equilibrium. We construct a noise with these properties in a basis of symmetric traceless matrices and show that the Langevin equations can be solved numerically in this basis using a stochastic version of the method of lines. The numerical method is validated by comparing equilibrium probability distributions, structure factors, and dynamic correlations obtained from these numerical solutions with analytic predictions. We demonstrate excellent agreement between numerics and theory. This methodology can be applied to the study of phenomena where fluctuations in both the magnitude and direction of nematic order are important, as for instance, in the nematic swarms which produce enhanced opalescence near the isotropic-nematic transition or the problem of nucleation of the nematic from the isotropic phase.
Boosting iterative stochastic ensemble method for nonlinear calibration of subsurface flow models
Elsheikh, Ahmed H.
2013-06-01
A novel parameter estimation algorithm is proposed. The inverse problem is formulated as a sequential data integration problem in which Gaussian process regression (GPR) is used to integrate the prior knowledge (static data). The search space is further parameterized using Karhunen-Loève expansion to build a set of basis functions that spans the search space. Optimal weights of the reduced basis functions are estimated by an iterative stochastic ensemble method (ISEM). ISEM employs directional derivatives within a Gauss-Newton iteration for efficient gradient estimation. The resulting update equation relies on the inverse of the output covariance matrix which is rank deficient.In the proposed algorithm we use an iterative regularization based on the ℓ2 Boosting algorithm. ℓ2 Boosting iteratively fits the residual and the amount of regularization is controlled by the number of iterations. A termination criteria based on Akaike information criterion (AIC) is utilized. This regularization method is very attractive in terms of performance and simplicity of implementation. The proposed algorithm combining ISEM and ℓ2 Boosting is evaluated on several nonlinear subsurface flow parameter estimation problems. The efficiency of the proposed algorithm is demonstrated by the small size of utilized ensembles and in terms of error convergence rates. © 2013 Elsevier B.V.
Non-Galerkin Coarse Grids for Algebraic Multigrid
Energy Technology Data Exchange (ETDEWEB)
Falgout, Robert D. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States); Schroder, Jacob B. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
2014-06-26
Algebraic multigrid (AMG) is a popular and effective solver for systems of linear equations that arise from discretized partial differential equations. And while AMG has been effectively implemented on large scale parallel machines, challenges remain, especially when moving to exascale. Particularly, stencil sizes (the number of nonzeros in a row) tend to increase further down in the coarse grid hierarchy, and this growth leads to more communication. Therefore, as problem size increases and the number of levels in the hierarchy grows, the overall efficiency of the parallel AMG method decreases, sometimes dramatically. This growth in stencil size is due to the standard Galerkin coarse grid operator, $P^T A P$, where $P$ is the prolongation (i.e., interpolation) operator. For example, the coarse grid stencil size for a simple three-dimensional (3D) seven-point finite differencing approximation to diffusion can increase into the thousands on present day machines, causing an associated increase in communication costs. We therefore consider algebraically truncating coarse grid stencils to obtain a non-Galerkin coarse grid. First, the sparsity pattern of the non-Galerkin coarse grid is determined by employing a heuristic minimal “safe” pattern together with strength-of-connection ideas. Second, the nonzero entries are determined by collapsing the stencils in the Galerkin operator using traditional AMG techniques. The result is a reduction in coarse grid stencil size, overall operator complexity, and parallel AMG solve phase times.
The two-regime method for optimizing stochastic reaction-diffusion simulations
Flegg, M. B.; Chapman, S. J.; Erban, R.
2011-01-01
Spatial organization and noise play an important role in molecular systems biology. In recent years, a number of software packages have been developed for stochastic spatio-temporal simulation, ranging from detailed molecular-based approaches
DEFF Research Database (Denmark)
Pang, Kar Mun; Jangi, Mehdi; Bai, X.-S.
generated similar results. The principal motivation for ESF compared to Lagrangian particle based PDF is the relative ease of implementation of the former into Eulerian computational fluid dynamics(CFD) codes [5]. Several works have attempted to implement the ESF model for the simulations of diesel spray......The use of transported Probability Density Function(PDF) methods allows a single model to compute the autoignition, premixed mode and diffusion flame of diesel combustion under engine-like conditions [1,2]. The Lagrangian particle based transported PDF models have been validated across a wide range...... combustion under engine-like conditions.The current work aims to further evaluate the performance of the ESF model in this application, with an emphasis on examining the convergence of the number of stochastic fields, nsf. Five test conditions, covering both the conventional diesel combustion and low...
International Nuclear Information System (INIS)
Marhavilas, P.K.; Koulouriotis, D.E.
2012-01-01
An individual method cannot build either a realistic forecasting model or a risk assessment process in the worksites, and future perspectives should focus on the combined forecasting/estimation approach. The main purpose of this paper is to gain insight into a risk prediction and estimation methodological framework, using the combination of three different methods, including the proportional quantitative-risk-assessment technique (PRAT), the time-series stochastic process (TSP), and the method of estimating the societal-risk (SRE) by F–N curves. In order to prove the usefulness of the combined usage of stochastic and quantitative risk assessment methods, an application on an electric power provider industry is presented to, using empirical data.
A stochastic immersed boundary method for fluid-structure dynamics at microscopic length scales
International Nuclear Information System (INIS)
Atzberger, Paul J.; Kramer, Peter R.; Peskin, Charles S.
2007-01-01
In modeling many biological systems, it is important to take into account flexible structures which interact with a fluid. At the length scale of cells and cell organelles, thermal fluctuations of the aqueous environment become significant. In this work, it is shown how the immersed boundary method of [C.S. Peskin, The immersed boundary method, Acta Num. 11 (2002) 1-39.] for modeling flexible structures immersed in a fluid can be extended to include thermal fluctuations. A stochastic numerical method is proposed which deals with stiffness in the system of equations by handling systematically the statistical contributions of the fastest dynamics of the fluid and immersed structures over long time steps. An important feature of the numerical method is that time steps can be taken in which the degrees of freedom of the fluid are completely underresolved, partially resolved, or fully resolved while retaining a good level of accuracy. Error estimates in each of these regimes are given for the method. A number of theoretical and numerical checks are furthermore performed to assess its physical fidelity. For a conservative force, the method is found to simulate particles with the correct Boltzmann equilibrium statistics. It is shown in three dimensions that the diffusion of immersed particles simulated with the method has the correct scaling in the physical parameters. The method is also shown to reproduce a well-known hydrodynamic effect of a Brownian particle in which the velocity autocorrelation function exhibits an algebraic (τ -3/2 ) decay for long times [B.J. Alder, T.E. Wainwright, Decay of the Velocity Autocorrelation Function, Phys. Rev. A 1(1) (1970) 18-21]. A few preliminary results are presented for more complex systems which demonstrate some potential application areas of the method. Specifically, we present simulations of osmotic effects of molecular dimers, worm-like chain polymer knots, and a basic model of a molecular motor immersed in fluid subject to a
International Nuclear Information System (INIS)
Gutierrez, Rafael M.; Useche, Gina M.; Buitrago, Elias
2007-01-01
We present a procedure developed to detect stochastic and deterministic information contained in empirical time series, useful to characterize and make models of different aspects of complex phenomena represented by such data. This procedure is applied to a seismological time series to obtain new information to study and understand geological phenomena. We use concepts and methods from nonlinear dynamics and maximum entropy. The mentioned method allows an optimal analysis of the available information
A stochastic post-processing method for solar irradiance forecasts derived from NWPs models
Lara-Fanego, V.; Pozo-Vazquez, D.; Ruiz-Arias, J. A.; Santos-Alamillos, F. J.; Tovar-Pescador, J.
2010-09-01
Solar irradiance forecast is an important area of research for the future of the solar-based renewable energy systems. Numerical Weather Prediction models (NWPs) have proved to be a valuable tool for solar irradiance forecasting with lead time up to a few days. Nevertheless, these models show low skill in forecasting the solar irradiance under cloudy conditions. Additionally, climatic (averaged over seasons) aerosol loading are usually considered in these models, leading to considerable errors for the Direct Normal Irradiance (DNI) forecasts during high aerosols load conditions. In this work we propose a post-processing method for the Global Irradiance (GHI) and DNI forecasts derived from NWPs. Particularly, the methods is based on the use of Autoregressive Moving Average with External Explanatory Variables (ARMAX) stochastic models. These models are applied to the residuals of the NWPs forecasts and uses as external variables the measured cloud fraction and aerosol loading of the day previous to the forecast. The method is evaluated for a set one-moth length three-days-ahead forecast of the GHI and DNI, obtained based on the WRF mesoscale atmospheric model, for several locations in Andalusia (Southern Spain). The Cloud fraction is derived from MSG satellite estimates and the aerosol loading from the MODIS platform estimates. Both sources of information are readily available at the time of the forecast. Results showed a considerable improvement of the forecasting skill of the WRF model using the proposed post-processing method. Particularly, relative improvement (in terms of the RMSE) for the DNI during summer is about 20%. A similar value is obtained for the GHI during the winter.
International Nuclear Information System (INIS)
Matijevic, M.; Grgic, D.; Jecmenica, R.
2016-01-01
This paper presents comparison of the Krsko Power Plant simplified Spent Fuel Pool (SFP) dose rates using different computational shielding methodologies. The analysis was performed to estimate limiting gamma dose rates on wall mounted level instrumentation in case of significant loss of cooling water. The SFP was represented with simple homogenized cylinders (point kernel and Monte Carlo (MC)) or cuboids (MC) using uranium, iron, water, and dry-air as bulk region materials. The pool is divided on the old and new section where the old one has three additional subsections representing fuel assemblies (FAs) with different burnup/cooling time (60 days, 1 year and 5 years). The new section represents the FAs with the cooling time of 10 years. The time dependent fuel assembly isotopic composition was calculated using ORIGEN2 code applied to the depletion of one of the fuel assemblies present in the pool (AC-29). The source used in Microshield calculation is based on imported isotopic activities. The time dependent photon spectra with total source intensity from Microshield multigroup point kernel calculations was then prepared for two hybrid deterministic-stochastic sequences. One is based on SCALE/MAVRIC (Monaco and Denovo) methodology and another uses Monte Carlo code MCNP6.1.1b and ADVANTG3.0.1. code. Even though this model is a fairly simple one, the layers of shielding materials are thick enough to pose a significant shielding problem for MC method without the use of effective variance reduction (VR) technique. For that purpose the ADVANTG code was used to generate VR parameters (SB cards in SDEF and WWINP file) for MCNP fixed-source calculation using continuous energy transport. ADVATNG employs a deterministic forward-adjoint transport solver Denovo which implements CADIS/FW-CADIS methodology. Denovo implements a structured, Cartesian-grid SN solver based on the Koch-Baker-Alcouffe parallel transport sweep algorithm across x-y domain blocks. This was first
Deterministic flows of order-parameters in stochastic processes of quantum Monte Carlo method
International Nuclear Information System (INIS)
Inoue, Jun-ichi
2010-01-01
In terms of the stochastic process of quantum-mechanical version of Markov chain Monte Carlo method (the MCMC), we analytically derive macroscopically deterministic flow equations of order parameters such as spontaneous magnetization in infinite-range (d(= ∞)-dimensional) quantum spin systems. By means of the Trotter decomposition, we consider the transition probability of Glauber-type dynamics of microscopic states for the corresponding (d + 1)-dimensional classical system. Under the static approximation, differential equations with respect to macroscopic order parameters are explicitly obtained from the master equation that describes the microscopic-law. In the steady state, we show that the equations are identical to the saddle point equations for the equilibrium state of the same system. The equation for the dynamical Ising model is recovered in the classical limit. We also check the validity of the static approximation by making use of computer simulations for finite size systems and discuss several possible extensions of our approach to disordered spin systems for statistical-mechanical informatics. Especially, we shall use our procedure to evaluate the decoding process of Bayesian image restoration. With the assistance of the concept of dynamical replica theory (the DRT), we derive the zero-temperature flow equation of image restoration measure showing some 'non-monotonic' behaviour in its time evolution.
Energy Technology Data Exchange (ETDEWEB)
Guerrier, C. [Applied Mathematics and Computational Biology, IBENS, Ecole Normale Supérieure, 46 rue d' Ulm, 75005 Paris (France); Holcman, D., E-mail: david.holcman@ens.fr [Applied Mathematics and Computational Biology, IBENS, Ecole Normale Supérieure, 46 rue d' Ulm, 75005 Paris (France); Mathematical Institute, Oxford OX2 6GG, Newton Institute (United Kingdom)
2017-07-01
The main difficulty in simulating diffusion processes at a molecular level in cell microdomains is due to the multiple scales involving nano- to micrometers. Few to many particles have to be simulated and simultaneously tracked while there are exploring a large portion of the space for binding small targets, such as buffers or active sites. Bridging the small and large spatial scales is achieved by rare events representing Brownian particles finding small targets and characterized by long-time distribution. These rare events are the bottleneck of numerical simulations. A naive stochastic simulation requires running many Brownian particles together, which is computationally greedy and inefficient. Solving the associated partial differential equations is also difficult due to the time dependent boundary conditions, narrow passages and mixed boundary conditions at small windows. We present here two reduced modeling approaches for a fast computation of diffusing fluxes in microdomains. The first approach is based on a Markov mass-action law equations coupled to a Markov chain. The second is a Gillespie's method based on the narrow escape theory for coarse-graining the geometry of the domain into Poissonian rates. The main application concerns diffusion in cellular biology, where we compute as an example the distribution of arrival times of calcium ions to small hidden targets to trigger vesicular release.
Energy Technology Data Exchange (ETDEWEB)
Araujo, Leonardo Rodrigues de [Instituto Federal do Espirito Santo, Vitoria, ES (Brazil)], E-mail: leoaraujo@ifes.edu.br; Donatelli, Joao Luiz Marcon [Universidade Federal do Espirito Santo (UFES), Vitoria, ES (Brazil)], E-mail: joaoluiz@npd.ufes.br; Silva, Edmar Alino da Cruz [Instituto Tecnologico de Aeronautica (ITA/CTA), Sao Jose dos Campos, SP (Brazil); Azevedo, Joao Luiz F. [Instituto de Aeronautica e Espaco (CTA/IAE/ALA), Sao Jose dos Campos, SP (Brazil)
2010-07-01
Thermal systems are essential in facilities such as thermoelectric plants, cogeneration plants, refrigeration systems and air conditioning, among others, in which much of the energy consumed by humanity is processed. In a world with finite natural sources of fuels and growing energy demand, issues related with thermal system design, such as cost estimative, design complexity, environmental protection and optimization are becoming increasingly important. Therefore the need to understand the mechanisms that degrade energy, improve energy sources use, reduce environmental impacts and also reduce project, operation and maintenance costs. In recent years, a consistent development of procedures and techniques for computational design of thermal systems has occurred. In this context, the fundamental objective of this study is a performance comparative analysis of structural and parametric optimization of a cogeneration system using stochastic methods: genetic algorithm and simulated annealing. This research work uses a superstructure, modelled in a process simulator, IPSEpro of SimTech, in which the appropriate design case studied options are included. Accordingly, the cogeneration system optimal configuration is determined as a consequence of the optimization process, restricted within the configuration options included in the superstructure. The optimization routines are written in MsExcel Visual Basic, in order to work perfectly coupled to the simulator process. At the end of the optimization process, the system optimal configuration, given the characteristics of each specific problem, should be defined. (author)
An illustration of new methods in machine condition monitoring, Part I: stochastic resonance
International Nuclear Information System (INIS)
Worden, K.; Antoniadou, I.; Marchesiello, S.; Mba, C.; Garibaldi, L.
2017-01-01
There have been many recent developments in the application of data-based methods to machine condition monitoring. A powerful methodology based on machine learning has emerged, where diagnostics are based on a two-step procedure: extraction of damage-sensitive features, followed by unsupervised learning (novelty detection) or supervised learning (classification). The objective of the current pair of papers is simply to illustrate one state-of-the-art procedure for each step, using synthetic data representative of reality in terms of size and complexity. The first paper in the pair will deal with feature extraction. Although some papers have appeared in the recent past considering stochastic resonance as a means of amplifying damage information in signals, they have largely relied on ad hoc specifications of the resonator used. In contrast, the current paper will adopt a principled optimisation-based approach to the resonator design. The paper will also show that a discrete dynamical system can provide all the benefits of a continuous system, but also provide a considerable speed-up in terms of simulation time in order to facilitate the optimisation approach. (paper)
On stochastic error and computational efficiency of the Markov Chain Monte Carlo method
Li, Jun
2014-01-01
In Markov Chain Monte Carlo (MCMC) simulations, thermal equilibria quantities are estimated by ensemble average over a sample set containing a large number of correlated samples. These samples are selected in accordance with the probability distribution function, known from the partition function of equilibrium state. As the stochastic error of the simulation results is significant, it is desirable to understand the variance of the estimation by ensemble average, which depends on the sample size (i.e., the total number of samples in the set) and the sampling interval (i.e., cycle number between two consecutive samples). Although large sample sizes reduce the variance, they increase the computational cost of the simulation. For a given CPU time, the sample size can be reduced greatly by increasing the sampling interval, while having the corresponding increase in variance be negligible if the original sampling interval is very small. In this work, we report a few general rules that relate the variance with the sample size and the sampling interval. These results are observed and confirmed numerically. These variance rules are derived for theMCMCmethod but are also valid for the correlated samples obtained using other Monte Carlo methods. The main contribution of this work includes the theoretical proof of these numerical observations and the set of assumptions that lead to them. © 2014 Global-Science Press.
Use of stochastic methods for robust parameter extraction from impedance spectra
International Nuclear Information System (INIS)
Bueschel, Paul; Troeltzsch, Uwe; Kanoun, Olfa
2011-01-01
The fitting of impedance models to measured data is an essential step in impedance spectroscopy (IS). Due to often complicated, nonlinear models, big number of parameters, large search spaces and presence of noise, an automated determination of the unknown parameters is a challenging task. The stronger the nonlinear behavior of a model, the weaker is the convergence of the corresponding regression and the probability to trap into local minima increases during parameter extraction. For fast measurements or automatic measurement systems these problems became the limiting factors of use. We compared the usability of stochastic algorithms, evolution, simulated annealing and particle filter with the widely used tool LEVM for parameter extraction for IS. The comparison is based on one reference model by J.R. Macdonald and a battery model used with noisy measurement data. The results show different performances of the algorithms for these two problems depending on the search space and the model used for optimization. The obtained results by particle filter were the best for both models. This method delivers the most reliable result for both cases even for the ill posed battery model.
Negrea, M.; Petrisor, I.; Shalchi, A.
2017-11-01
We study the diffusion of magnetic field lines in turbulence with magnetic shear. In the first part of the series, we developed a quasi-linear theory for this type of scenario. In this article, we employ the so-called DeCorrelation Trajectory method in order to compute the diffusion coefficients of stochastic magnetic field lines. The magnetic field configuration used here contains fluctuating terms which are described by the dimensionless functions bi(X, Y, Z), i = (x, y) and they are assumed to be Gaussian processes and are perpendicular with respect to the main magnetic field B0. Furthermore, there is also a z-component of the magnetic field depending on radial coordinate x (representing the gradient of the magnetic field) and a poloidal average component. We calculate the diffusion coefficients for magnetic field lines for different values of the magnetic Kubo number K, the dimensionless inhomogeneous magnetic parallel and perpendicular Kubo numbers KB∥, KB⊥ , as well as Ka v=bya vKB∥/KB⊥ .
Directory of Open Access Journals (Sweden)
Qinghai Zhao
2015-01-01
Full Text Available A mathematical framework is developed which integrates the reliability concept into topology optimization to solve reliability-based topology optimization (RBTO problems under uncertainty. Two typical methodologies have been presented and implemented, including the performance measure approach (PMA and the sequential optimization and reliability assessment (SORA. To enhance the computational efficiency of reliability analysis, stochastic response surface method (SRSM is applied to approximate the true limit state function with respect to the normalized random variables, combined with the reasonable design of experiments generated by sparse grid design, which was proven to be an effective and special discretization technique. The uncertainties such as material property and external loads are considered on three numerical examples: a cantilever beam, a loaded knee structure, and a heat conduction problem. Monte-Carlo simulations are also performed to verify the accuracy of the failure probabilities computed by the proposed approach. Based on the results, it is demonstrated that application of SRSM with SGD can produce an efficient reliability analysis in RBTO which enables a more reliable design than that obtained by DTO. It is also found that, under identical accuracy, SORA is superior to PMA in view of computational efficiency.
International Nuclear Information System (INIS)
Guerrier, C.; Holcman, D.
2017-01-01
The main difficulty in simulating diffusion processes at a molecular level in cell microdomains is due to the multiple scales involving nano- to micrometers. Few to many particles have to be simulated and simultaneously tracked while there are exploring a large portion of the space for binding small targets, such as buffers or active sites. Bridging the small and large spatial scales is achieved by rare events representing Brownian particles finding small targets and characterized by long-time distribution. These rare events are the bottleneck of numerical simulations. A naive stochastic simulation requires running many Brownian particles together, which is computationally greedy and inefficient. Solving the associated partial differential equations is also difficult due to the time dependent boundary conditions, narrow passages and mixed boundary conditions at small windows. We present here two reduced modeling approaches for a fast computation of diffusing fluxes in microdomains. The first approach is based on a Markov mass-action law equations coupled to a Markov chain. The second is a Gillespie's method based on the narrow escape theory for coarse-graining the geometry of the domain into Poissonian rates. The main application concerns diffusion in cellular biology, where we compute as an example the distribution of arrival times of calcium ions to small hidden targets to trigger vesicular release.
Directory of Open Access Journals (Sweden)
Qian Guo
2013-01-01
Full Text Available A new splitting method designed for the numerical solutions of stochastic delay Hopfield neural networks is introduced and analysed. Under Lipschitz and linear growth conditions, this split-step θ-Milstein method is proved to have a strong convergence of order 1 in mean-square sense, which is higher than that of existing split-step θ-method. Further, mean-square stability of the proposed method is investigated. Numerical experiments and comparisons with existing methods illustrate the computational efficiency of our method.
The development of an algebraic multigrid algorithm for symmetric positive definite linear systems
Energy Technology Data Exchange (ETDEWEB)
Vanek, P.; Mandel, J.; Brezina, M. [Univ. of Colorado, Denver, CO (United States)
1996-12-31
An algebraic multigrid algorithm for symmetric, positive definite linear systems is developed based on the concept of prolongation by smoothed aggregation. Coarse levels are generated automatically. We present a set of requirements motivated heuristically by a convergence theory. The algorithm then attempts to satisfy the requirements. Input to the method are the coefficient matrix and zero energy modes, which are determined from nodal coordinates and knowledge of the differential equation. Efficiency of the resulting algorithm is demonstrated by computational results on real world problems from solid elasticity, plate blending, and shells.
Adaptive parallel multigrid for Euler and incompressible Navier-Stokes equations
Energy Technology Data Exchange (ETDEWEB)
Trottenberg, U.; Oosterlee, K.; Ritzdorf, H. [and others
1996-12-31
The combination of (1) very efficient solution methods (Multigrid), (2) adaptivity, and (3) parallelism (distributed memory) clearly is absolutely necessary for future oriented numerics but still regarded as extremely difficult or even unsolved. We show that very nice results can be obtained for real life problems. Our approach is straightforward (based on {open_quotes}MLAT{close_quotes}). But, of course, reasonable refinement and load-balancing strategies have to be used. Our examples are 2D, but 3D is on the way.
Papacharalampous, Georgia; Tyralis, Hristos; Koutsoyiannis, Demetris
2017-04-01
Machine learning (ML) is considered to be a promising approach to hydrological processes forecasting. We conduct a comparison between several stochastic and ML point estimation methods by performing large-scale computational experiments based on simulations. The purpose is to provide generalized results, while the respective comparisons in the literature are usually based on case studies. The stochastic methods used include simple methods, models from the frequently used families of Autoregressive Moving Average (ARMA), Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Exponential Smoothing models. The ML methods used are Random Forests (RF), Support Vector Machines (SVM) and Neural Networks (NN). The comparison refers to the multi-step ahead forecasting properties of the methods. A total of 20 methods are used, among which 9 are the ML methods. 12 simulation experiments are performed, while each of them uses 2 000 simulated time series of 310 observations. The time series are simulated using stochastic processes from the families of ARMA and ARFIMA models. Each time series is split into a fitting (first 300 observations) and a testing set (last 10 observations). The comparative assessment of the methods is based on 18 metrics, that quantify the methods' performance according to several criteria related to the accurate forecasting of the testing set, the capturing of its variation and the correlation between the testing and forecasted values. The most important outcome of this study is that there is not a uniformly better or worse method. However, there are methods that are regularly better or worse than others with respect to specific metrics. It appears that, although a general ranking of the methods is not possible, their classification based on their similar or contrasting performance in the various metrics is possible to some extent. Another important conclusion is that more sophisticated methods do not necessarily provide better forecasts
Energy Technology Data Exchange (ETDEWEB)
Angstmann, C.N.; Donnelly, I.C. [School of Mathematics and Statistics, UNSW Australia, Sydney NSW 2052 (Australia); Henry, B.I., E-mail: B.Henry@unsw.edu.au [School of Mathematics and Statistics, UNSW Australia, Sydney NSW 2052 (Australia); Jacobs, B.A. [School of Computer Science and Applied Mathematics, University of the Witwatersrand, Johannesburg, Private Bag 3, Wits 2050 (South Africa); DST–NRF Centre of Excellence in Mathematical and Statistical Sciences (CoE-MaSS) (South Africa); Langlands, T.A.M. [Department of Mathematics and Computing, University of Southern Queensland, Toowoomba QLD 4350 (Australia); Nichols, J.A. [School of Mathematics and Statistics, UNSW Australia, Sydney NSW 2052 (Australia)
2016-02-15
We have introduced a new explicit numerical method, based on a discrete stochastic process, for solving a class of fractional partial differential equations that model reaction subdiffusion. The scheme is derived from the master equations for the evolution of the probability density of a sum of discrete time random walks. We show that the diffusion limit of the master equations recovers the fractional partial differential equation of interest. This limiting procedure guarantees the consistency of the numerical scheme. The positivity of the solution and stability results are simply obtained, provided that the underlying process is well posed. We also show that the method can be applied to standard reaction–diffusion equations. This work highlights the broader applicability of using discrete stochastic processes to provide numerical schemes for partial differential equations, including fractional partial differential equations.
Energy Technology Data Exchange (ETDEWEB)
Jin, Shi, E-mail: sjin@wisc.edu [Department of Mathematics, University of Wisconsin-Madison, Madison, WI 53706 (United States); Institute of Natural Sciences, Department of Mathematics, MOE-LSEC and SHL-MAC, Shanghai Jiao Tong University, Shanghai 200240 (China); Lu, Hanqing, E-mail: hanqing@math.wisc.edu [Department of Mathematics, University of Wisconsin-Madison, Madison, WI 53706 (United States)
2017-04-01
In this paper, we develop an Asymptotic-Preserving (AP) stochastic Galerkin scheme for the radiative heat transfer equations with random inputs and diffusive scalings. In this problem the random inputs arise due to uncertainties in cross section, initial data or boundary data. We use the generalized polynomial chaos based stochastic Galerkin (gPC-SG) method, which is combined with the micro–macro decomposition based deterministic AP framework in order to handle efficiently the diffusive regime. For linearized problem we prove the regularity of the solution in the random space and consequently the spectral accuracy of the gPC-SG method. We also prove the uniform (in the mean free path) linear stability for the space-time discretizations. Several numerical tests are presented to show the efficiency and accuracy of proposed scheme, especially in the diffusive regime.
A NetCDF version of the two-dimensional energy balance model based on the full multigrid algorithm
Directory of Open Access Journals (Sweden)
Kelin Zhuang
2017-01-01
Full Text Available A NetCDF version of the two-dimensional energy balance model based on the full multigrid method in Fortran is introduced for both pedagogical and research purposes. Based on the land–sea–ice distribution, orbital elements, greenhouse gases concentration, and albedo, the code calculates the global seasonal surface temperature. A step-by-step guide with examples is provided for practice.
Fast multigrid-based computation of the induced electric field for transcranial magnetic stimulation
Laakso, Ilkka; Hirata, Akimasa
2012-12-01
In transcranial magnetic stimulation (TMS), the distribution of the induced electric field, and the affected brain areas, depends on the position of the stimulation coil and the individual geometry of the head and brain. The distribution of the induced electric field in realistic anatomies can be modelled using computational methods. However, existing computational methods for accurately determining the induced electric field in realistic anatomical models have suffered from long computation times, typically in the range of tens of minutes or longer. This paper presents a matrix-free implementation of the finite-element method with a geometric multigrid method that can potentially reduce the computation time to several seconds or less even when using an ordinary computer. The performance of the method is studied by computing the induced electric field in two anatomically realistic models. An idealized two-loop coil is used as the stimulating coil. Multiple computational grid resolutions ranging from 2 to 0.25 mm are used. The results show that, for macroscopic modelling of the electric field in an anatomically realistic model, computational grid resolutions of 1 mm or 2 mm appear to provide good numerical accuracy compared to higher resolutions. The multigrid iteration typically converges in less than ten iterations independent of the grid resolution. Even without parallelization, each iteration takes about 1.0 s or 0.1 s for the 1 and 2 mm resolutions, respectively. This suggests that calculating the electric field with sufficient accuracy in real time is feasible.
On multigrid-CG for efficient topology optimization
DEFF Research Database (Denmark)
Amir, Oded; Aage, Niels; Lazarov, Boyan Stefanov
2014-01-01
reduction is obtained by exploiting specific characteristics of a multigrid preconditioned conjugate gradients (MGCG) solver. In particular, the number of MGCG iterations is reduced by relating it to the geometric parameters of the problem. At the same time, accurate outcome of the optimization process...
International Nuclear Information System (INIS)
Trindade, Bruno Machado
2011-02-01
This work shows the remodeling of the Computer System for Dosimetry of Neutrons and Photons in Radiotherapy Based on Stochastic Methods . SISCODES. The initial description and status, the alterations and expansions (proposed and concluded), and the latest system development status are shown. The SISCODES is a system that allows the execution of a 3D computational planning in radiation therapy, based on MCNP5 nuclear particle transport code. The SISCODES provides tools to build a patient's voxels model, to define a treatment planning, to simulate this planning, and to view the results of the simulation. The SISCODES implements a database of tissues, sources and nuclear data and an interface to access then. The graphical SISCODES modules were rewritten or were implemented using C++ language and GTKmm library. Studies about dose deviations were performed simulating a homogeneous water phantom as analogue of the human body in radiotherapy planning and a heterogeneous voxel phantom, pointing out possible dose miscalculations. The Soft-RT and PROPLAN computer codes that do interface with SISCODES are described. A set of voxels models created on the SISCODES are presented with its respective sizes and resolutions. To demonstrate the use of SISCODES, examples of radiation therapy and dosimetry simulations for prostate and heart are shown. Three protocols were simulated on the heart voxel model: Sm-153 filled balloon and P-32 stent, to prevent angioplasty restenosis; and Tl-201 myocardial perfusion, to imaging. Teletherapy with 6MV and 15MV beams were simulated to the prostate, and brachytherapy with I-125 seeds. The results of these simulations are shown on isodose curves and on dose-volume histograms. The SISCODES shows to be a useful tool for research of new radiation therapy treatments and, in future, can also be useful in medical practice. At the end, future improvements are proposed. I hope this work can contribute to develop more effective radiation therapy
Scalable multi-grid preconditioning techniques for the even-parity S_N solver in UNIC
International Nuclear Information System (INIS)
Mahadevan, Vijay S.; Smith, Michael A.
2011-01-01
The Even-parity neutron transport equation with FE-S_N discretization is solved traditionally using SOR preconditioned CG method at the lowest level of iterations in order to compute the criticality in reactor analysis problems. The use of high order isoparametric finite elements prohibits the formation of the discrete operator explicitly due to memory constraints in peta scale architectures. Hence, a h-p multi-grid preconditioner based on linear tessellation of the higher order mesh is introduced here for the space-angle system and compared against SOR and Algebraic MG black-box solvers. The performance and scalability of the multi-grid scheme was determined for two test problems and found to be competitive in terms of both computational time and memory requirements. The implementation of this preconditioner in an even-parity solver like UNIC from ANL can further enable high fidelity calculations in a scalable manner on peta flop machines. (author)
Babaee, Hessam; Choi, Minseok; Sapsis, Themistoklis P.; Karniadakis, George Em
2017-09-01
We develop a new robust methodology for the stochastic Navier-Stokes equations based on the dynamically-orthogonal (DO) and bi-orthogonal (BO) methods [1-3]. Both approaches are variants of a generalized Karhunen-Loève (KL) expansion in which both the stochastic coefficients and the spatial basis evolve according to system dynamics, hence, capturing the low-dimensional structure of the solution. The DO and BO formulations are mathematically equivalent [3], but they exhibit computationally complimentary properties. Specifically, the BO formulation may fail due to crossing of the eigenvalues of the covariance matrix, while both BO and DO become unstable when there is a high condition number of the covariance matrix or zero eigenvalues. To this end, we combine the two methods into a robust hybrid framework and in addition we employ a pseudo-inverse technique to invert the covariance matrix. The robustness of the proposed method stems from addressing the following issues in the DO/BO formulation: (i) eigenvalue crossing: we resolve the issue of eigenvalue crossing in the BO formulation by switching to the DO near eigenvalue crossing using the equivalence theorem and switching back to BO when the distance between eigenvalues is larger than a threshold value; (ii) ill-conditioned covariance matrix: we utilize a pseudo-inverse strategy to invert the covariance matrix; (iii) adaptivity: we utilize an adaptive strategy to add/remove modes to resolve the covariance matrix up to a threshold value. In particular, we introduce a soft-threshold criterion to allow the system to adapt to the newly added/removed mode and therefore avoid repetitive and unnecessary mode addition/removal. When the total variance approaches zero, we show that the DO/BO formulation becomes equivalent to the evolution equation of the Optimally Time-Dependent modes [4]. We demonstrate the capability of the proposed methodology with several numerical examples, namely (i) stochastic Burgers equation: we
Energy Technology Data Exchange (ETDEWEB)
Kim, Song Hyun; Lee, Jae Yong; KIm, Do Hyun; Kim, Jong Kyung [Dept. of Nuclear Engineering, Hanyang University, Seoul (Korea, Republic of); Noh, Jae Man [Korea Atomic Energy Research Institute, Daejeon (Korea, Republic of)
2015-08-15
Chord length sampling method in Monte Carlo simulations is a method used to model spherical particles with random sampling technique in a stochastic media. It has received attention due to the high calculation efficiency as well as user convenience; however, a technical issue regarding boundary effect has been noted. In this study, after analyzing the distribution characteristics of spherical particles using an explicit method, an alternative chord length sampling method is proposed. In addition, for modeling in finite media, a correction method of the boundary effect is proposed. Using the proposed method, sample probability distributions and relative errors were estimated and compared with those calculated by the explicit method. The results show that the reconstruction ability and modeling accuracy of the particle probability distribution with the proposed method were considerably high. Also, from the local packing fraction results, the proposed method can successfully solve the boundary effect problem. It is expected that the proposed method can contribute to the increasing of the modeling accuracy in stochastic media.
International Nuclear Information System (INIS)
Kim, Song Hyun; Lee, Jae Yong; KIm, Do Hyun; Kim, Jong Kyung; Noh, Jae Man
2015-01-01
Chord length sampling method in Monte Carlo simulations is a method used to model spherical particles with random sampling technique in a stochastic media. It has received attention due to the high calculation efficiency as well as user convenience; however, a technical issue regarding boundary effect has been noted. In this study, after analyzing the distribution characteristics of spherical particles using an explicit method, an alternative chord length sampling method is proposed. In addition, for modeling in finite media, a correction method of the boundary effect is proposed. Using the proposed method, sample probability distributions and relative errors were estimated and compared with those calculated by the explicit method. The results show that the reconstruction ability and modeling accuracy of the particle probability distribution with the proposed method were considerably high. Also, from the local packing fraction results, the proposed method can successfully solve the boundary effect problem. It is expected that the proposed method can contribute to the increasing of the modeling accuracy in stochastic media
SLUG-STOCHASTICALLY LIGHTING UP GALAXIES. I. METHODS AND VALIDATING TESTS
Energy Technology Data Exchange (ETDEWEB)
Da Silva, Robert L.; Fumagalli, Michele; Krumholz, Mark [Department of Astronomy and Astrophysics, UCO/Lick Observatory, University of California, 1156 High Street, Santa Cruz, CA 95064 (United States)
2012-02-01
The effects of stochasticity on the luminosities of stellar populations are an often neglected but crucial element for understanding populations in the low-mass or the low star formation rate regime. To address this issue, we present SLUG, a new code to 'Stochastically Light Up Galaxies'. SLUG synthesizes stellar populations using a Monte Carlo technique that properly treats stochastic sampling including the effects of clustering, the stellar initial mass function, star formation history, stellar evolution, and cluster disruption. This code produces many useful outputs, including (1) catalogs of star clusters and their properties such as their stellar initial mass distributions and their photometric properties in a variety of filters, (2) two dimensional histograms of color-magnitude diagrams of every star in the simulation, and (3) the photometric properties of field stars and the integrated photometry of the entire simulated galaxy. After presenting the SLUG algorithm in detail, we validate the code through comparisons with STARBURST99 in the well-sampled regime, and with observed photometry of Milky Way clusters. Finally, we demonstrate SLUG's capabilities by presenting outputs in the stochastic regime. SLUG is publicly distributed through the Web site http://sites.google.com/site/runslug/.
Path integral methods for the dynamics of stochastic and disordered systems
DEFF Research Database (Denmark)
Hertz, John A.; Roudi, Yasser; Sollich, Peter
2017-01-01
We review some of the techniques used to study the dynamics of disordered systems subject to both quenched and fast (thermal) noise. Starting from the Martin–Siggia–Rose/Janssen–De Dominicis–Peliti path integral formalism for a single variable stochastic dynamics, we provide a pedagogical survey...
Tensor methods for parameter estimation and bifurcation analysis of stochastic reaction networks
Czech Academy of Sciences Publication Activity Database
Liao, S.; Vejchodský, Tomáš; Erban, R.
2015-01-01
Roč. 12, č. 108 (2015), s. 20150233 ISSN 1742-5689 EU Projects: European Commission(XE) 328008 - STOCHDETBIOMODEL Institutional support: RVO:67985840 Keywords : gene regulatory networks * stochastic modelling * parametric analysis Subject RIV: BA - General Mathematics Impact factor: 3.818, year: 2015 http://rsif.royalsocietypublishing.org/content/12/108/20150233
Jiang, George J.; Sluis, Pieter J. van der
1999-01-01
While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to first estimate a multivariate SV model using
Elsheikh, Ahmed H.
2013-06-01
We introduce a nonlinear orthogonal matching pursuit (NOMP) for sparse calibration of subsurface flow models. Sparse calibration is a challenging problem as the unknowns are both the non-zero components of the solution and their associated weights. NOMP is a greedy algorithm that discovers at each iteration the most correlated basis function with the residual from a large pool of basis functions. The discovered basis (aka support) is augmented across the nonlinear iterations. Once a set of basis functions are selected, the solution is obtained by applying Tikhonov regularization. The proposed algorithm relies on stochastically approximated gradient using an iterative stochastic ensemble method (ISEM). In the current study, the search space is parameterized using an overcomplete dictionary of basis functions built using the K-SVD algorithm. The proposed algorithm is the first ensemble based algorithm that tackels the sparse nonlinear parameter estimation problem. © 2013 Elsevier Ltd.
Stochastic volatility and stochastic leverage
DEFF Research Database (Denmark)
Veraart, Almut; Veraart, Luitgard A. M.
This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...
International Nuclear Information System (INIS)
Nanty, Simon
2015-01-01
explored. In this approach, the code is seen as a stochastic code, whose randomness is due to the functional variables, assumed uncontrollable. In this framework, several meta models have been developed and compared. All the methods proposed in this work have been applied to the two nuclear safety applications. (author) [fr
Quilty, J.; Adamowski, J. F.
2015-12-01
Urban water supply systems are often stressed during seasonal outdoor water use as water demands related to the climate are variable in nature making it difficult to optimize the operation of the water supply system. Urban water demand forecasts (UWD) failing to include meteorological conditions as inputs to the forecast model may produce poor forecasts as they cannot account for the increase/decrease in demand related to meteorological conditions. Meteorological records stochastically simulated into the future can be used as inputs to data-driven UWD forecasts generally resulting in improved forecast accuracy. This study aims to produce data-driven UWD forecasts for two different Canadian water utilities (Montreal and Victoria) using machine learning methods by first selecting historical UWD and meteorological records derived from a stochastic weather generator using nonlinear input variable selection. The nonlinear input variable selection methods considered in this work are derived from the concept of conditional mutual information, a nonlinear dependency measure based on (multivariate) probability density functions and accounts for relevancy, conditional relevancy, and redundancy from a potential set of input variables. The results of our study indicate that stochastic weather inputs can improve UWD forecast accuracy for the two sites considered in this work. Nonlinear input variable selection is suggested as a means to identify which meteorological conditions should be utilized in the forecast.
Dimitriadis, Panayiotis; Lazaros, Lappas; Daskalou, Olympia; Filippidou, Ariadni; Giannakou, Marianna; Gkova, Eleni; Ioannidis, Romanos; Polydera, Angeliki; Polymerou, Eleni; Psarrou, Eleftheria; Vyrini, Alexandra; Papalexiou, Simon; Koutsoyiannis, Demetris
2015-04-01
Several methods exist for estimating the statistical properties of wind speed, most of them being deterministic or probabilistic, disregarding though its long-term behaviour. Here, we focus on the stochastic nature of wind. After analyzing several historical timeseries at the area of interest (AoI) in Thessaly (Greece), we show that a Hurst-Kolmogorov (HK) behaviour is apparent. Thus, disregarding the latter could lead to unrealistic predictions and wind load situations, causing some impact on the energy production and management. Moreover, we construct a stochastic model capable of preserving the HK behaviour and we produce synthetic timeseries using a Monte-Carlo approach to estimate the future wind loads in the AoI. Finally, we identify the appropriate types of wind turbines for the AoI (based on the IEC 61400 standards) and propose several industrial solutions. Acknowledgement: This research is conducted within the frame of the undergraduate course "Stochastic Methods in Water Resources" of the National Technical University of Athens (NTUA). The School of Civil Engineering of NTUA provided moral support for the participation of the students in the Assembly.
DEFF Research Database (Denmark)
Wiuf, Carsten; Pallesen, Jonatan; Foldager, Leslie
2016-01-01
variables without assuming a priori defined groups. We provide different ways to evaluate the significance of the aggregated variables based on theoretical considerations and resampling techniques, and show that under certain assumptions the FWER is controlled in the strong sense. Validity of the method...... and the results might depend on the chosen criteria. Methods that summarize, or aggregate, test statistics or p-values, without relying on a priori criteria, are therefore desirable. We present a simple method to aggregate a sequence of stochastic variables, such as test statistics or p-values, into fewer...
Schillinger, Dominik; Stefanov, Dimitar; Stavrev, Atanas
2013-01-01
-variate geometric imperfection models from strongly narrow-band measurements in I-beams and cylindrical shells. Finally, the application of the method of separation based estimates for the stochastic buckling analysis of the example structures is briefly discussed
Arnst, M.; Abello Álvarez, B.; Ponthot, J.-P.; Boman, R.
2017-11-01
This paper is concerned with the characterization and the propagation of errors associated with data limitations in polynomial-chaos-based stochastic methods for uncertainty quantification. Such an issue can arise in uncertainty quantification when only a limited amount of data is available. When the available information does not suffice to accurately determine the probability distributions that must be assigned to the uncertain variables, the Bayesian method for assigning these probability distributions becomes attractive because it allows the stochastic model to account explicitly for insufficiency of the available information. In previous work, such applications of the Bayesian method had already been implemented by using the Metropolis-Hastings and Gibbs Markov Chain Monte Carlo (MCMC) methods. In this paper, we present an alternative implementation, which uses an alternative MCMC method built around an Itô stochastic differential equation (SDE) that is ergodic for the Bayesian posterior. We draw together from the mathematics literature a number of formal properties of this Itô SDE that lend support to its use in the implementation of the Bayesian method, and we describe its discretization, including the choice of the free parameters, by using the implicit Euler method. We demonstrate the proposed methodology on a problem of uncertainty quantification in a complex nonlinear engineering application relevant to metal forming.
Energy Technology Data Exchange (ETDEWEB)
Syben, Olaf; Dehery, Francois-Regis [ProCom GmbH, Aachen (Germany)
2012-07-01
Uncertainties must be considered for successful portfolio management in the energy markets. This is not only a structural aspect of the increasingly complex interdependences between raw materials, technical assets and economic considerations but also covers the distortion of degrees of freedom in time, which require ever faster decision processes. Stochastic methods make it possible to judge uncertainties even in complex planning problems. Integration of the mathematical methods in an efficient IT environment ensures that a verifiable decision basis is available at any time. (orig./AKB)
Cruzeiro, Ana; Holm, Darryl
2017-01-01
Collecting together contributed lectures and mini-courses, this book details the research presented in a special semester titled “Geometric mechanics – variational and stochastic methods” run in the first half of 2015 at the Centre Interfacultaire Bernoulli (CIB) of the Ecole Polytechnique Fédérale de Lausanne. The aim of the semester was to develop a common language needed to handle the wide variety of problems and phenomena occurring in stochastic geometric mechanics. It gathered mathematicians and scientists from several different areas of mathematics (from analysis, probability, numerical analysis and statistics, to algebra, geometry, topology, representation theory, and dynamical systems theory) and also areas of mathematical physics, control theory, robotics, and the life sciences, with the aim of developing the new research area in a concentrated joint effort, both from the theoretical and applied points of view. The lectures were given by leading specialists in different areas of mathematics a...
A game-theoretic method for cross-layer stochastic resilient control design in CPS
Shen, Jiajun; Feng, Dongqin
2018-03-01
In this paper, the cross-layer security problem of cyber-physical system (CPS) is investigated from the game-theoretic perspective. Physical dynamics of plant is captured by stochastic differential game with cyber-physical influence being considered. The sufficient and necessary condition for the existence of state-feedback equilibrium strategies is given. The attack-defence cyber interactions are formulated by a Stackelberg game intertwined with stochastic differential game in physical layer. The condition such that the Stackelberg equilibrium being unique and the corresponding analytical solutions are both provided. An algorithm is proposed for obtaining hierarchical security strategy by solving coupled games, which ensures the operational normalcy and cyber security of CPS subject to uncertain disturbance and unexpected cyberattacks. Simulation results are given to show the effectiveness and performance of the proposed algorithm.
Optimization of advanced gas-cooled reactor fuel performance by a stochastic method
International Nuclear Information System (INIS)
Parks, G.T.
1987-01-01
A brief description is presented of a model representing the in-core behaviour of a single advanced gas-cooled reactor fuel channel, developed specifically for optimization studies. The performances of the only suitable Numerical Algorithms Group (NAG) library package and a Metropolis algorithm routine on this problem are discussed and contrasted. It is concluded that, for the problem in question, the stochastic Metropolis algorithm has distinct advantages over the deterministic NAG routine. (author)
Gottwald, G.A.; Crommelin, D.T.; Franzke, C.L.E.; Franzke, C.L.E.; O'Kane, T.J.
2017-01-01
In this chapter we review stochastic modelling methods in climate science. First we provide a conceptual framework for stochastic modelling of deterministic dynamical systems based on the Mori-Zwanzig formalism. The Mori-Zwanzig equations contain a Markov term, a memory term and a term suggestive of
Energy Technology Data Exchange (ETDEWEB)
Wang, Yishen [Univ. of Washington, Seattle, WA (United States); Argonne National Lab. (ANL), Argonne, IL (United States); Zhou, Zhi [Argonne National Lab. (ANL), Argonne, IL (United States); Liu, Cong [Argonne National Lab. (ANL), Argonne, IL (United States); Electric Reliability Council of Texas (ERCOT), Austin, TX (United States); Botterud, Audun [Argonne National Lab. (ANL), Argonne, IL (United States)
2016-08-01
As more wind power and other renewable resources are being integrated into the electric power grid, the forecast uncertainty brings operational challenges for the power system operators. In this report, different operational strategies for uncertainty management are presented and evaluated. A comprehensive and consistent simulation framework is developed to analyze the performance of different reserve policies and scheduling techniques under uncertainty in wind power. Numerical simulations are conducted on a modified version of the IEEE 118-bus system with a 20% wind penetration level, comparing deterministic, interval, and stochastic unit commitment strategies. The results show that stochastic unit commitment provides a reliable schedule without large increases in operational costs. Moreover, decomposition techniques, such as load shift factor and Benders decomposition, can help in overcoming the computational obstacles to stochastic unit commitment and enable the use of a larger scenario set to represent forecast uncertainty. In contrast, deterministic and interval unit commitment tend to give higher system costs as more reserves are being scheduled to address forecast uncertainty. However, these approaches require a much lower computational effort Choosing a proper lower bound for the forecast uncertainty is important for balancing reliability and system operational cost in deterministic and interval unit commitment. Finally, we find that the introduction of zonal reserve requirements improves reliability, but at the expense of higher operational costs.
Compiler generation and autotuning of communication-avoiding operators for geometric multigrid
Energy Technology Data Exchange (ETDEWEB)
Basu, Protonu [Univ. of Utah, Salt Lake City, UT (United States); Venkat, Anand [Univ. of Utah, Salt Lake City, UT (United States); Hall, Mary [Univ. of Utah, Salt Lake City, UT (United States); Williams, Samuel [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Van Straalen, Brian [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Oliker, Leonid [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)
2014-04-17
This paper describes a compiler approach to introducing communication-avoiding optimizations in geometric multigrid (GMG), one of the most popular methods for solving partial differential equations. Communication-avoiding optimizations reduce vertical communication through the memory hierarchy and horizontal communication across processes or threads, usually at the expense of introducing redundant computation. We focus on applying these optimizations to the smooth operator, which successively reduces the error and accounts for the largest fraction of the GMG execution time. Our compiler technology applies both novel and known transformations to derive an implementation comparable to manually-tuned code. To make the approach portable, an underlying autotuning system explores the tradeoff between reduced communication and increased computation, as well as tradeoffs in threading schemes, to automatically identify the best implementation for a particular architecture and at each computation phase. Results show that we are able to quadruple the performance of the smooth operation on the finest grids while attaining performance within 94% of manually-tuned code. Overall we improve the overall multigrid solve time by 2.5× without sacrificing programer productivity.
Botti, L.; Colombo, A.; Bassi, F.
2017-10-01
In this work we exploit agglomeration based h-multigrid preconditioners to speed-up the iterative solution of discontinuous Galerkin discretizations of the Stokes and Navier-Stokes equations. As a distinctive feature h-coarsened mesh sequences are generated by recursive agglomeration of a fine grid, admitting arbitrarily unstructured grids of complex domains, and agglomeration based discontinuous Galerkin discretizations are employed to deal with agglomerated elements of coarse levels. Both the expense of building coarse grid operators and the performance of the resulting multigrid iteration are investigated. For the sake of efficiency coarse grid operators are inherited through element-by-element L2 projections, avoiding the cost of numerical integration over agglomerated elements. Specific care is devoted to the projection of viscous terms discretized by means of the BR2 dG method. We demonstrate that enforcing the correct amount of stabilization on coarse grids levels is mandatory for achieving uniform convergence with respect to the number of levels. The numerical solution of steady and unsteady, linear and non-linear problems is considered tackling challenging 2D test cases and 3D real life computations on parallel architectures. Significant execution time gains are documented.
Higher-order ice-sheet modelling accelerated by multigrid on graphics cards
Brædstrup, Christian; Egholm, David
2013-04-01
Higher-order ice flow modelling is a very computer intensive process owing primarily to the nonlinear influence of the horizontal stress coupling. When applied for simulating long-term glacial landscape evolution, the ice-sheet models must consider very long time series, while both high temporal and spatial resolution is needed to resolve small effects. The use of higher-order and full stokes models have therefore seen very limited usage in this field. However, recent advances in graphics card (GPU) technology for high performance computing have proven extremely efficient in accelerating many large-scale scientific computations. The general purpose GPU (GPGPU) technology is cheap, has a low power consumption and fits into a normal desktop computer. It could therefore provide a powerful tool for many glaciologists working on ice flow models. Our current research focuses on utilising the GPU as a tool in ice-sheet and glacier modelling. To this extent we have implemented the Integrated Second-Order Shallow Ice Approximation (iSOSIA) equations on the device using the finite difference method. To accelerate the computations, the GPU solver uses a non-linear Red-Black Gauss-Seidel iterator coupled with a Full Approximation Scheme (FAS) multigrid setup to further aid convergence. The GPU finite difference implementation provides the inherent parallelization that scales from hundreds to several thousands of cores on newer cards. We demonstrate the efficiency of the GPU multigrid solver using benchmark experiments.
International Nuclear Information System (INIS)
Chou, Jui-Sheng; Ongkowijoyo, Citra Satria
2015-01-01
Corporate competitiveness is heavily influenced by the information acquired, processed, utilized and transferred by professional staff involved in the supply chain. This paper develops a decision aid for selecting on-site ready-mix concrete (RMC) unloading type in decision making situations involving multiple stakeholders and evaluation criteria. The uncertainty of criteria weights set by expert judgment can be transformed in random ways based on the probabilistic virtual-scale method within a prioritization matrix. The ranking is performed by grey relational grade systems considering stochastic criteria weight based on individual preference. Application of the decision aiding model in actual RMC case confirms that the method provides a robust and effective tool for facilitating decision making under uncertainty. - Highlights: • This study models decision aiding method to assess ready-mix concrete unloading type. • Applying Monte Carlo simulation to virtual-scale method achieves a reliable process. • Individual preference ranking method enhances the quality of global decision making. • Robust stochastic superiority and inferiority ranking obtains reasonable results
Valent, Peter; Paquet, Emmanuel
2017-09-01
A reliable estimate of extreme flood characteristics has always been an active topic in hydrological research. Over the decades a large number of approaches and their modifications have been proposed and used, with various methods utilizing continuous simulation of catchment runoff, being the subject of the most intensive research in the last decade. In this paper a new and promising stochastic semi-continuous method is used to estimate extreme discharges in two mountainous Slovak catchments of the rivers Váh and Hron, in which snow-melt processes need to be taken into account. The SCHADEX method used, couples a precipitation probabilistic model with a rainfall-runoff model used to both continuously simulate catchment hydrological conditions and to transform generated synthetic rainfall events into corresponding discharges. The stochastic nature of the method means that a wide range of synthetic rainfall events were simulated on various historical catchment conditions, taking into account not only the saturation of soil, but also the amount of snow accumulated in the catchment. The results showed that the SCHADEX extreme discharge estimates with return periods of up to 100 years were comparable to those estimated by statistical approaches. In addition, two reconstructed historical floods with corresponding return periods of 100 and 1000 years were compared to the SCHADEX estimates. The results confirmed the usability of the method for estimating design discharges with a recurrence interval of more than 100 years and its applicability in Slovak conditions.
International Nuclear Information System (INIS)
Yin, George; Wang, Le Yi; Zhang, Hongwei
2014-01-01
Stochastic approximation methods have found extensive and diversified applications. Recent emergence of networked systems and cyber-physical systems has generated renewed interest in advancing stochastic approximation into a general framework to support algorithm development for information processing and decisions in such systems. This paper presents a survey on some recent developments in stochastic approximation methods and their applications. Using connected vehicles in platoon formation and coordination as a platform, we highlight some traditional and new methodologies of stochastic approximation algorithms and explain how they can be used to capture essential features in networked systems. Distinct features of networked systems with randomly switching topologies, dynamically evolving parameters, and unknown delays are presented, and control strategies are provided
Towards a multigrid scheme in SU(2) lattice gauge theory
International Nuclear Information System (INIS)
Gutbrod, F.
1992-12-01
The task of constructing a viable updating multigrid scheme for SU(2) lattice gauge theory is discussed in connection with the classical eigenvalue problem. For a nonlocal overrelaxation Monte Carlo update step, the central numerical problem is the search for the minimum of a quadratic approximation to the action under nonlocal constraints. Here approximate eigenfunctions are essential to reduce the numerical work, and these eigenfunctions are to be constructed with multigrid techniques. A simple implementation on asymmetric lattices is described, where the grids are restricted to 3-dimensional hyperplanes. The scheme is shown to be moderately successful in the early stages of the updating history (starting from a cold configuration). The main results of another, less asymmetric scheme are presented briefly. (orig.)
Stochastic Estimation via Polynomial Chaos
2015-10-01
AFRL-RW-EG-TR-2015-108 Stochastic Estimation via Polynomial Chaos Douglas V. Nance Air Force Research...COVERED (From - To) 20-04-2015 – 07-08-2015 4. TITLE AND SUBTITLE 5a. CONTRACT NUMBER Stochastic Estimation via Polynomial Chaos ...This expository report discusses fundamental aspects of the polynomial chaos method for representing the properties of second order stochastic
Parallel Element Agglomeration Algebraic Multigrid and Upscaling Library
Energy Technology Data Exchange (ETDEWEB)
2017-10-24
ParELAG is a parallel C++ library for numerical upscaling of finite element discretizations and element-based algebraic multigrid solvers. It provides optimal complexity algorithms to build multilevel hierarchies and solvers that can be used for solving a wide class of partial differential equations (elliptic, hyperbolic, saddle point problems) on general unstructured meshes. Additionally, a novel multilevel solver for saddle point problems with divergence constraint is implemented.
Multigrid time-accurate integration of Navier-Stokes equations
Arnone, Andrea; Liou, Meng-Sing; Povinelli, Louis A.
1993-01-01
Efficient acceleration techniques typical of explicit steady-state solvers are extended to time-accurate calculations. Stability restrictions are greatly reduced by means of a fully implicit time discretization. A four-stage Runge-Kutta scheme with local time stepping, residual smoothing, and multigridding is used instead of traditional time-expensive factorizations. Some applications to natural and forced unsteady viscous flows show the capability of the procedure.
Application of the stochastic variational method to the calculation of 3α- and 4α-systems
International Nuclear Information System (INIS)
Kukulin, V.I.; Krasnopol'skii, V.M.
1975-01-01
The results of calculations of the properties of 3α- and 4α-systems carried out within the framework of the recently suggested stochastic variational method are presented. As the α-α potentials, two different types of potentials are used: the Ali-Bodmer repulsive core potential and the deep attractive α-α potential with forbidden states. In the latter case the pseudopotential approach we have earlier suggested is used. The energies of levels, (r 2 ) and form-factors of the ground state F(q 2 ) are calculated
International Nuclear Information System (INIS)
Bliokh, Yu.P.; Fajnberg, Ya.B.; Lyubarskij, M.G.; Podobinskij, V.O.
1994-01-01
Certain distributed dynamical systems describing the well-known beam generators of UHF oscillations are organized very simple: the nonlinear functional, which determines the current state of the system with respect to its behaviour in the past, is represented as a composition of the linear functional and the nonlinear finite-dimensional map. This property made it possible to find the mechanisms of auto modulation and stochastization of the signals from beam generators and to define corresponding range of parameters values. 12 refs., 6 figs
Directory of Open Access Journals (Sweden)
Lin Hu
2011-01-01
Full Text Available A class of drift-implicit one-step schemes are proposed for the neutral stochastic delay differential equations (NSDDEs driven by Poisson processes. A general framework for mean-square convergence of the methods is provided. It is shown that under certain conditions global error estimates for a method can be inferred from estimates on its local error. The applicability of the mean-square convergence theory is illustrated by the stochastic θ-methods and the balanced implicit methods. It is derived from Theorem 3.1 that the order of the mean-square convergence of both of them for NSDDEs with jumps is 1/2. Numerical experiments illustrate the theoretical results. It is worth noting that the results of mean-square convergence of the stochastic θ-methods and the balanced implicit methods are also new.
Directory of Open Access Journals (Sweden)
Peng Li
2017-01-01
Full Text Available According to the case-based reasoning method and prospect theory, this paper mainly focuses on finding a way to obtain decision-makers’ preferences and the criterion weights for stochastic multicriteria decision-making problems and classify alternatives. Firstly, we construct a new score function for an intuitionistic fuzzy number (IFN considering the decision-making environment. Then, we aggregate the decision-making information in different natural states according to the prospect theory and test decision-making matrices. A mathematical programming model based on a case-based reasoning method is presented to obtain the criterion weights. Moreover, in the original decision-making problem, we integrate all the intuitionistic fuzzy decision-making matrices into an expectation matrix using the expected utility theory and classify or rank the alternatives by the case-based reasoning method. Finally, two illustrative examples are provided to illustrate the implementation process and applicability of the developed method.
Greenwood, Priscilla E
2016-01-01
This book describes a large number of open problems in the theory of stochastic neural systems, with the aim of enticing probabilists to work on them. This includes problems arising from stochastic models of individual neurons as well as those arising from stochastic models of the activities of small and large networks of interconnected neurons. The necessary neuroscience background to these problems is outlined within the text, so readers can grasp the context in which they arise. This book will be useful for graduate students and instructors providing material and references for applying probability to stochastic neuron modeling. Methods and results are presented, but the emphasis is on questions where additional stochastic analysis may contribute neuroscience insight. An extensive bibliography is included. Dr. Priscilla E. Greenwood is a Professor Emerita in the Department of Mathematics at the University of British Columbia. Dr. Lawrence M. Ward is a Professor in the Department of Psychology and the Brain...
Uzawa smoother in multigrid for the coupleD porous medium and stokes flow system
P. Luo (Peiyao); C. Rodrigo (Carmen); F.J. Gaspar Lorenz (Franscisco); C.W. Oosterlee (Kees)
2017-01-01
textabstractThe multigrid solution of coupled porous media and Stokes flow problems is considered. The Darcy equation as the saturated porous medium model is coupled to the Stokes equations by means of appropriate interface conditions. We focus on an efficient multigrid solution technique for the
Multigrid for high dimensional elliptic partial differential equations on non-equidistant grids
bin Zubair, H.; Oosterlee, C.E.; Wienands, R.
2006-01-01
This work presents techniques, theory and numbers for multigrid in a general d-dimensional setting. The main focus is the multigrid convergence for high-dimensional partial differential equations (PDEs). As a model problem we have chosen the anisotropic diffusion equation, on a unit hypercube. We
Large-Scale Parallel Viscous Flow Computations using an Unstructured Multigrid Algorithm
Mavriplis, Dimitri J.
1999-01-01
The development and testing of a parallel unstructured agglomeration multigrid algorithm for steady-state aerodynamic flows is discussed. The agglomeration multigrid strategy uses a graph algorithm to construct the coarse multigrid levels from the given fine grid, similar to an algebraic multigrid approach, but operates directly on the non-linear system using the FAS (Full Approximation Scheme) approach. The scalability and convergence rate of the multigrid algorithm are examined on the SGI Origin 2000 and the Cray T3E. An argument is given which indicates that the asymptotic scalability of the multigrid algorithm should be similar to that of its underlying single grid smoothing scheme. For medium size problems involving several million grid points, near perfect scalability is obtained for the single grid algorithm, while only a slight drop-off in parallel efficiency is observed for the multigrid V- and W-cycles, using up to 128 processors on the SGI Origin 2000, and up to 512 processors on the Cray T3E. For a large problem using 25 million grid points, good scalability is observed for the multigrid algorithm using up to 1450 processors on a Cray T3E, even when the coarsest grid level contains fewer points than the total number of processors.
Path integral methods for the dynamics of stochastic and disordered systems
International Nuclear Information System (INIS)
Hertz, John A; Roudi, Yasser; Sollich, Peter
2017-01-01
We review some of the techniques used to study the dynamics of disordered systems subject to both quenched and fast (thermal) noise. Starting from the Martin–Siggia–Rose/Janssen–De Dominicis–Peliti path integral formalism for a single variable stochastic dynamics, we provide a pedagogical survey of the perturbative, i.e. diagrammatic, approach to dynamics and how this formalism can be used for studying soft spin models. We review the supersymmetric formulation of the Langevin dynamics of these models and discuss the physical implications of the supersymmetry. We also describe the key steps involved in studying the disorder-averaged dynamics. Finally, we discuss the path integral approach for the case of hard Ising spins and review some recent developments in the dynamics of such kinetic Ising models. (topical review)
Layer-oriented multigrid wavefront reconstruction algorithms for multi-conjugate adaptive optics
Gilles, Luc; Ellerbroek, Brent L.; Vogel, Curtis R.
2003-02-01
Multi-conjugate adaptive optics (MCAO) systems with 104-105 degrees of freedom have been proposed for future giant telescopes. Using standard matrix methods to compute, optimize, and implement wavefront control algorithms for these systems is impractical, since the number of calculations required to compute and apply the reconstruction matrix scales respectively with the cube and the square of the number of AO degrees of freedom. In this paper, we develop an iterative sparse matrix implementation of minimum variance wavefront reconstruction for telescope diameters up to 32m with more than 104 actuators. The basic approach is the preconditioned conjugate gradient method, using a multigrid preconditioner incorporating a layer-oriented (block) symmetric Gauss-Seidel iterative smoothing operator. We present open-loop numerical simulation results to illustrate algorithm convergence.
Functional Abstraction of Stochastic Hybrid Systems
Bujorianu, L.M.; Blom, Henk A.P.; Hermanns, H.
2006-01-01
The verification problem for stochastic hybrid systems is quite difficult. One method to verify these systems is stochastic reachability analysis. Concepts of abstractions for stochastic hybrid systems are needed to ease the stochastic reachability analysis. In this paper, we set up different ways
International Nuclear Information System (INIS)
Xie, Y.L.; Li, Y.P.; Huang, G.H.; Li, Y.F.
2010-01-01
In this study, an interval fixed-mix stochastic programming (IFSP) model is developed for greenhouse gas (GHG) emissions reduction management under uncertainties. In the IFSP model, methods of interval-parameter programming (IPP) and fixed-mix stochastic programming (FSP) are introduced into an integer programming framework, such that the developed model can tackle uncertainties described in terms of interval values and probability distributions over a multi-stage context. Moreover, it can reflect dynamic decisions for facility-capacity expansion during the planning horizon. The developed model is applied to a case of planning GHG-emission mitigation, demonstrating that IFSP is applicable to reflecting complexities of multi-uncertainty, dynamic and interactive energy management systems, and capable of addressing the problem of GHG-emission reduction. A number of scenarios corresponding to different GHG-emission mitigation levels are examined; the results suggest that reasonable solutions have been generated. They can be used for generating plans for energy resource/electricity allocation and capacity expansion and help decision makers identify desired GHG mitigation policies under various economic costs and environmental requirements.
Stochastic processes in cell biology
Bressloff, Paul C
2014-01-01
This book develops the theory of continuous and discrete stochastic processes within the context of cell biology. A wide range of biological topics are covered including normal and anomalous diffusion in complex cellular environments, stochastic ion channels and excitable systems, stochastic calcium signaling, molecular motors, intracellular transport, signal transduction, bacterial chemotaxis, robustness in gene networks, genetic switches and oscillators, cell polarization, polymerization, cellular length control, and branching processes. The book also provides a pedagogical introduction to the theory of stochastic process – Fokker Planck equations, stochastic differential equations, master equations and jump Markov processes, diffusion approximations and the system size expansion, first passage time problems, stochastic hybrid systems, reaction-diffusion equations, exclusion processes, WKB methods, martingales and branching processes, stochastic calculus, and numerical methods. This text is primarily...
MAPCUMBA: A fast iterative multi-grid map-making algorithm for CMB experiments
Doré, O.; Teyssier, R.; Bouchet, F. R.; Vibert, D.; Prunet, S.
2001-07-01
The data analysis of current Cosmic Microwave Background (CMB) experiments like BOOMERanG or MAXIMA poses severe challenges which already stretch the limits of current (super-) computer capabilities, if brute force methods are used. In this paper we present a practical solution for the optimal map making problem which can be used directly for next generation CMB experiments like ARCHEOPS and TopHat, and can probably be extended relatively easily to the full PLANCK case. This solution is based on an iterative multi-grid Jacobi algorithm which is both fast and memory sparing. Indeed, if there are Ntod data points along the one dimensional timeline to analyse, the number of operations is of O (Ntod \\ln Ntod) and the memory requirement is O (Ntod). Timing and accuracy issues have been analysed on simulated ARCHEOPS and TopHat data, and we discuss as well the issue of the joint evaluation of the signal and noise statistical properties.
Accelerating Lattice QCD Multigrid on GPUs Using Fine-Grained Parallelization
Energy Technology Data Exchange (ETDEWEB)
Clark, M. A. [NVIDIA Corp., Santa Clara; Joó, Bálint [Jefferson Lab; Strelchenko, Alexei [Fermilab; Cheng, Michael [Boston U., Ctr. Comp. Sci.; Gambhir, Arjun [William-Mary Coll.; Brower, Richard [Boston U.
2016-12-22
The past decade has witnessed a dramatic acceleration of lattice quantum chromodynamics calculations in nuclear and particle physics. This has been due to both significant progress in accelerating the iterative linear solvers using multi-grid algorithms, and due to the throughput improvements brought by GPUs. Deploying hierarchical algorithms optimally on GPUs is non-trivial owing to the lack of parallelism on the coarse grids, and as such, these advances have not proved multiplicative. Using the QUDA library, we demonstrate that by exposing all sources of parallelism that the underlying stencil problem possesses, and through appropriate mapping of this parallelism to the GPU architecture, we can achieve high efficiency even for the coarsest of grids. Results are presented for the Wilson-Clover discretization, where we demonstrate up to 10x speedup over present state-of-the-art GPU-accelerated methods on Titan. Finally, we look to the future, and consider the software implications of our findings.
Faster PET reconstruction with a stochastic primal-dual hybrid gradient method
Ehrhardt, Matthias J.
2017-08-24
Image reconstruction in positron emission tomography (PET) is computationally challenging due to Poisson noise, constraints and potentially non-smooth priors-let alone the sheer size of the problem. An algorithm that can cope well with the first three of the aforementioned challenges is the primal-dual hybrid gradient algorithm (PDHG) studied by Chambolle and Pock in 2011. However, PDHG updates all variables in parallel and is therefore computationally demanding on the large problem sizes encountered with modern PET scanners where the number of dual variables easily exceeds 100 million. In this work, we numerically study the usage of SPDHG-a stochastic extension of PDHG-but is still guaranteed to converge to a solution of the deterministic optimization problem with similar rates as PDHG. Numerical results on a clinical data set show that by introducing randomization into PDHG, similar results as the deterministic algorithm can be achieved using only around 10 % of operator evaluations. Thus, making significant progress towards the feasibility of sophisticated mathematical models in a clinical setting.
Faster PET reconstruction with a stochastic primal-dual hybrid gradient method
Ehrhardt, Matthias J.; Markiewicz, Pawel; Chambolle, Antonin; Richtárik, Peter; Schott, Jonathan; Schönlieb, Carola-Bibiane
2017-08-01
Image reconstruction in positron emission tomography (PET) is computationally challenging due to Poisson noise, constraints and potentially non-smooth priors-let alone the sheer size of the problem. An algorithm that can cope well with the first three of the aforementioned challenges is the primal-dual hybrid gradient algorithm (PDHG) studied by Chambolle and Pock in 2011. However, PDHG updates all variables in parallel and is therefore computationally demanding on the large problem sizes encountered with modern PET scanners where the number of dual variables easily exceeds 100 million. In this work, we numerically study the usage of SPDHG-a stochastic extension of PDHG-but is still guaranteed to converge to a solution of the deterministic optimization problem with similar rates as PDHG. Numerical results on a clinical data set show that by introducing randomization into PDHG, similar results as the deterministic algorithm can be achieved using only around 10 % of operator evaluations. Thus, making significant progress towards the feasibility of sophisticated mathematical models in a clinical setting.
Adaptive Multigrid Algorithm for the Lattice Wilson-Dirac Operator
International Nuclear Information System (INIS)
Babich, R.; Brower, R. C.; Rebbi, C.; Brannick, J.; Clark, M. A.; Manteuffel, T. A.; McCormick, S. F.; Osborn, J. C.
2010-01-01
We present an adaptive multigrid solver for application to the non-Hermitian Wilson-Dirac system of QCD. The key components leading to the success of our proposed algorithm are the use of an adaptive projection onto coarse grids that preserves the near null space of the system matrix together with a simplified form of the correction based on the so-called γ 5 -Hermitian symmetry of the Dirac operator. We demonstrate that the algorithm nearly eliminates critical slowing down in the chiral limit and that it has weak dependence on the lattice volume.
A Parallel Algebraic Multigrid Solver on Graphics Processing Units
Haase, Gundolf
2010-01-01
The paper presents a multi-GPU implementation of the preconditioned conjugate gradient algorithm with an algebraic multigrid preconditioner (PCG-AMG) for an elliptic model problem on a 3D unstructured grid. An efficient parallel sparse matrix-vector multiplication scheme underlying the PCG-AMG algorithm is presented for the many-core GPU architecture. A performance comparison of the parallel solver shows that a singe Nvidia Tesla C1060 GPU board delivers the performance of a sixteen node Infiniband cluster and a multi-GPU configuration with eight GPUs is about 100 times faster than a typical server CPU core. © 2010 Springer-Verlag.
Fast multigrid solution of the advection problem with closed characteristics
Energy Technology Data Exchange (ETDEWEB)
Yavneh, I. [Israel Inst. of Technology, Haifa (Israel); Venner, C.H. [Univ. of Twente, Enschede (Netherlands); Brandt, A. [Weizmann Inst. of Science, Rehovot (Israel)
1996-12-31
The numerical solution of the advection-diffusion problem in the inviscid limit with closed characteristics is studied as a prelude to an efficient high Reynolds-number flow solver. It is demonstrated by a heuristic analysis and numerical calculations that using upstream discretization with downstream relaxation-ordering and appropriate residual weighting in a simple multigrid V cycle produces an efficient solution process. We also derive upstream finite-difference approximations to the advection operator, whose truncation terms approximate {open_quotes}physical{close_quotes} (Laplacian) viscosity, thus avoiding spurious solutions to the homogeneous problem when the artificial diffusivity dominates the physical viscosity.
Esmaily, M.; Jofre, L.; Mani, A.; Iaccarino, G.
2018-03-01
A geometric multigrid algorithm is introduced for solving nonsymmetric linear systems resulting from the discretization of the variable density Navier-Stokes equations on nonuniform structured rectilinear grids and high-Reynolds number flows. The restriction operation is defined such that the resulting system on the coarser grids is symmetric, thereby allowing for the use of efficient smoother algorithms. To achieve an optimal rate of convergence, the sequence of interpolation and restriction operations are determined through a dynamic procedure. A parallel partitioning strategy is introduced to minimize communication while maintaining the load balance between all processors. To test the proposed algorithm, we consider two cases: 1) homogeneous isotropic turbulence discretized on uniform grids and 2) turbulent duct flow discretized on stretched grids. Testing the algorithm on systems with up to a billion unknowns shows that the cost varies linearly with the number of unknowns. This O (N) behavior confirms the robustness of the proposed multigrid method regarding ill-conditioning of large systems characteristic of multiscale high-Reynolds number turbulent flows. The robustness of our method to density variations is established by considering cases where density varies sharply in space by a factor of up to 104, showing its applicability to two-phase flow problems. Strong and weak scalability studies are carried out, employing up to 30,000 processors, to examine the parallel performance of our implementation. Excellent scalability of our solver is shown for a granularity as low as 104 to 105 unknowns per processor. At its tested peak throughput, it solves approximately 4 billion unknowns per second employing over 16,000 processors with a parallel efficiency higher than 50%.
International Nuclear Information System (INIS)
Hueffel, H.
1990-01-01
After a brief review of the BRST formalism and of the Parisi-Wu stochastic quantization method we introduce the BRST stochastic quantization scheme. It allows the second quantization of constrained Hamiltonian systems in a manifestly gauge symmetry preserving way. The examples of the relativistic particle, the spinning particle and the bosonic string are worked out in detail. The paper is closed by a discussion on the interacting field theory associated to the relativistic point particle system. 58 refs. (Author)
International Nuclear Information System (INIS)
Liu, Shichang; Wang, Guanbo; Liang, Jingang; Wu, Gaochen; Wang, Kan
2015-01-01
Highlights: • DRAGON & DONJON were applied in burnup calculations of plate-type research reactors. • Continuous-energy Monte Carlo burnup calculations by RMC were chosen as references. • Comparisons of keff, isotopic densities and power distribution were performed. • Reasons leading to discrepancies between two different approaches were analyzed. • DRAGON & DONJON is capable of burnup calculations with appropriate treatments. - Abstract: The burnup-dependent core neutronics analysis of the plate-type research reactors such as JRR-3M poses a challenge for traditional neutronics calculational tools and schemes for power reactors, due to the characteristics of complex geometry, highly heterogeneity, large leakage and the particular neutron spectrum of the research reactors. Two different theoretical approaches, the deterministic and the stochastic methods, are used for the burnup-dependent core neutronics analysis of the JRR-3M plate-type research reactor in this paper. For the deterministic method the neutronics codes DRAGON & DONJON are used, while the continuous-energy Monte Carlo code RMC (Reactor Monte Carlo code) is employed for the stochastic one. In the first stage, the homogenizations of few-group cross sections by DRAGON and the full core diffusion calculations by DONJON have been verified by comparing with the detailed Monte Carlo simulations. In the second stage, the burnup-dependent calculations of both assembly level and the full core level were carried out, to examine the capability of the deterministic code system DRAGON & DONJON to reliably simulate the burnup-dependent behavior of research reactors. The results indicate that both RMC and DRAGON & DONJON code system are capable of burnup-dependent neutronics analysis of research reactors, provided that appropriate treatments are applied in both assembly and core levels for the deterministic codes
International Nuclear Information System (INIS)
Azad-Farsani, Ehsan; Agah, S.M.M.; Askarian-Abyaneh, Hossein; Abedi, Mehrdad; Hosseinian, S.H.
2016-01-01
LMP (Locational marginal price) calculation is a serious impediment in distribution operation when private DG (distributed generation) units are connected to the network. A novel policy is developed in this study to guide distribution company (DISCO) to exert its control over the private units when power loss and green-house gases emissions are minimized. LMP at each DG bus is calculated according to the contribution of the DG to the reduced amount of loss and emission. An iterative algorithm which is based on the Shapley value method is proposed to allocate loss and emission reduction. The proposed algorithm will provide a robust state estimation tool for DISCOs in the next step of operation. The state estimation tool provides the decision maker with the ability to exert its control over private DG units when loss and emission are minimized. Also, a stochastic approach based on the PEM (point estimate method) is employed to capture uncertainty in the market price and load demand. The proposed methodology is applied to a realistic distribution network, and efficiency and accuracy of the method are verified. - Highlights: • Reduction of the loss and emission at the same time. • Fair allocation of loss and emission reduction. • Estimation of the system state using an iterative algorithm. • Ability of DISCOs to control DG units via the proposed policy. • Modeling the uncertainties to calculate the stochastic LMP.
Stochastic methods of data modeling: application to the reconstruction of non-regular data
International Nuclear Information System (INIS)
Buslig, Leticia
2014-01-01
This research thesis addresses two issues or applications related to IRSN studies. The first one deals with the mapping of measurement data (the IRSN must regularly control the radioactivity level in France and, for this purpose, uses a network of sensors distributed among the French territory). The objective is then to predict, by means of reconstruction model which used observations, maps which will be used to inform the population. The second application deals with the taking of uncertainties into account in complex computation codes (the IRSN must perform safety studies to assess the risks of loss of integrity of a nuclear reactor in case of hypothetical accidents, and for this purpose, codes are used which simulate physical phenomena occurring within an installation). Some input parameters are not precisely known, and the author therefore tries to assess the impact of some uncertainties on simulated values. She notably aims at seeing whether variations of input parameters may push the system towards a behaviour which is very different from that obtained with parameters having a reference value, or even towards a state in which safety conditions are not met. The precise objective of this second part is then to a reconstruction model which is not costly (in terms of computation time) and to perform simulation in relevant areas (strong gradient areas, threshold overrun areas, so on). Two issues are then important: the choice of the approximation model and the construction of the experiment plan. The model is based on a kriging-type stochastic approach, and an important part of the work addresses the development of new numerical techniques of experiment planning. The first part proposes a generic criterion of adaptive planning, and reports its analysis and implementation. In the second part, an alternative to error variance addition is developed. Methodological developments are tested on analytic functions, and then applied to the cases of measurement mapping and
DEFF Research Database (Denmark)
Pang, Kar Mun; Jangi, Mehdi; Bai, Xue-Song
2018-01-01
This paper aims to simulate diesel spray flames across a wide range of engine-like conditions using the Eulerian Stochastic Field probability density function (ESF-PDF) model. The ESF model is coupled with the Chemistry Coordinate Mapping approach to expedite the calculation. A convergence study...... is carried out for a number of stochastic fields at five different conditions, covering both conventional diesel combustion and low-temperature combustion regimes. Ignition delay time, flame lift-off length as well as distributions of temperature and various combustion products are used to evaluate...... the performance of the model. The peak values of these properties generated using thirty-two stochastic fields are found to converge, with a maximum relative difference of 27% as compared to those from a greater number of stochastic fields. The ESF-PDF model with thirty-two stochastic fields performs reasonably...
Directory of Open Access Journals (Sweden)
Qinghui Du
2014-01-01
Full Text Available We consider semi-implicit Euler methods for stochastic age-dependent capital system with variable delays and random jump magnitudes, and investigate the convergence of the numerical approximation. It is proved that the numerical approximate solutions converge to the analytical solutions in the mean-square sense under given conditions.
International Nuclear Information System (INIS)
Kuosmanen, Timo
2012-01-01
Electricity distribution network is a prime example of a natural local monopoly. In many countries, electricity distribution is regulated by the government. Many regulators apply frontier estimation techniques such as data envelopment analysis (DEA) or stochastic frontier analysis (SFA) as an integral part of their regulatory framework. While more advanced methods that combine nonparametric frontier with stochastic error term are known in the literature, in practice, regulators continue to apply simplistic methods. This paper reports the main results of the project commissioned by the Finnish regulator for further development of the cost frontier estimation in their regulatory framework. The key objectives of the project were to integrate a stochastic SFA-style noise term to the nonparametric, axiomatic DEA-style cost frontier, and to take the heterogeneity of firms and their operating environments better into account. To achieve these objectives, a new method called stochastic nonparametric envelopment of data (StoNED) was examined. Based on the insights and experiences gained in the empirical analysis using the real data of the regulated networks, the Finnish regulator adopted the StoNED method in use from 2012 onwards.
International Nuclear Information System (INIS)
Klauder, J.R.
1983-01-01
The author provides an introductory survey to stochastic quantization in which he outlines this new approach for scalar fields, gauge fields, fermion fields, and condensed matter problems such as electrons in solids and the statistical mechanics of quantum spins. (Auth.)
Directory of Open Access Journals (Sweden)
Jimeng Li
2016-01-01
Full Text Available The structure of mechanical equipment becomes increasingly complex, and tough environments under which it works often make bearings and gears subject to failure. However, effective extraction of useful feature information submerged in strong noise that is indicative of structural defects has remained a major challenge. Therefore, an adaptive multiscale noise control enhanced stochastic resonance (SR method based on modified ensemble empirical mode decomposition (EEMD for mechanical fault diagnosis is proposed in the paper. According to the oscillation characteristics of signal itself, the algorithm of modified EEMD can adaptively decompose the fault signals into different scales and it reduces the decomposition levels to improve calculation efficiency of the proposed method. Through filter processing with the constructed filters, the orthogonality of adjacent intrinsic mode functions (IMFs can be improved, which is conducive to enhancing the extraction of weak features from strong noise. The constructed signal obtained by using IMFs is inputted into the SR system, and the noise control parameter of different scales is optimized and selected with the help of the genetic algorithm, thus achieving the enhancement extraction of weak features. Finally, simulation experiments and engineering application of bearing fault diagnosis demonstrate the effectiveness and feasibility of the proposed method.
A retrodictive stochastic simulation algorithm
International Nuclear Information System (INIS)
Vaughan, T.G.; Drummond, P.D.; Drummond, A.J.
2010-01-01
In this paper we describe a simple method for inferring the initial states of systems evolving stochastically according to master equations, given knowledge of the final states. This is achieved through the use of a retrodictive stochastic simulation algorithm which complements the usual predictive stochastic simulation approach. We demonstrate the utility of this new algorithm by applying it to example problems, including the derivation of likely ancestral states of a gene sequence given a Markovian model of genetic mutation.
International Nuclear Information System (INIS)
Cheng, Wen-Long; Huang, Yong-Hua; Liu, Na; Ma, Ran
2012-01-01
Thermal conductivity is a key parameter for evaluating wellbore heat losses which plays an important role in determining the efficiency of steam injection processes. In this study, an unsteady formation heat-transfer model was established and a cost-effective in situ method by using stochastic approximation method based on well-log temperature data was presented. The proposed method was able to estimate the thermal conductivity and the volumetric heat capacity of geological formation simultaneously under the in situ conditions. The feasibility of the present method was assessed by a sample test, the results of which shown that the thermal conductivity and the volumetric heat capacity could be obtained with the relative errors of −0.21% and −0.32%, respectively. In addition, three field tests were conducted based on the easily obtainable well-log temperature data from the steam injection wells. It was found that the relative errors of thermal conductivity for the three field tests were within ±0.6%, demonstrating the excellent performance of the proposed method for calculating thermal conductivity. The relative errors of volumetric heat capacity ranged from −6.1% to −14.2% for the three field tests. Sensitivity analysis indicated that this was due to the low correlation between the volumetric heat capacity and the wellbore temperature, which was used to generate the judgment criterion. -- Highlights: ► A cost-effective in situ method for estimating thermal properties of formation was presented. ► Thermal conductivity and volumetric heat capacity can be estimated simultaneously by the proposed method. ► The relative error of thermal conductivity estimated was within ±0.6%. ► Sensitivity analysis was conducted to study the estimated results of thermal properties.
Domain decomposition multigrid for unstructured grids
Energy Technology Data Exchange (ETDEWEB)
Shapira, Yair
1997-01-01
A two-level preconditioning method for the solution of elliptic boundary value problems using finite element schemes on possibly unstructured meshes is introduced. It is based on a domain decomposition and a Galerkin scheme for the coarse level vertex unknowns. For both the implementation and the analysis, it is not required that the curves of discontinuity in the coefficients of the PDE match the interfaces between subdomains. Generalizations to nonmatching or overlapping grids are made.
Multigrid and defect correction for the steady Navier-Stokes equations : application to aerodynamics
Koren, B.
1991-01-01
Theoretical and expcrimental convergence results are presented for nonlinear multigrid and iterative defect correction applied to finite volume discretizations of the full, steady, 2D, compressible NavierStokes equations. lterative defect correction is introduced for circumventing the difficulty in
Multigrid and defect correction for the steady Navier-Stokes equations
Koren, B.
1990-01-01
Theoretical and experimental convergence results are presented for nonlinear multigrid and iterative defect correction applied to finite volume discretizations of the full, steady, 2D, compressible Navier-Stokes equations. Iterative defect correction is introduced for circumventing the difficulty in
Gekeler, Simon
2016-01-01
The book provides suggestions on how to start using bionic optimization methods, including pseudo-code examples of each of the important approaches and outlines of how to improve them. The most efficient methods for accelerating the studies are discussed. These include the selection of size and generations of a study’s parameters, modification of these driving parameters, switching to gradient methods when approaching local maxima, and the use of parallel working hardware. Bionic Optimization means finding the best solution to a problem using methods found in nature. As Evolutionary Strategies and Particle Swarm Optimization seem to be the most important methods for structural optimization, we primarily focus on them. Other methods such as neural nets or ant colonies are more suited to control or process studies, so their basic ideas are outlined in order to motivate readers to start using them. A set of sample applications shows how Bionic Optimization works in practice. From academic studies on simple fra...
Schillinger, Dominik
2013-07-01
The method of separation can be used as a non-parametric estimation technique, especially suitable for evolutionary spectral density functions of uniformly modulated and strongly narrow-band stochastic processes. The paper at hand provides a consistent derivation of method of separation based spectrum estimation for the general multi-variate and multi-dimensional case. The validity of the method is demonstrated by benchmark tests with uniformly modulated spectra, for which convergence to the analytical solution is demonstrated. The key advantage of the method of separation is the minimization of spectral dispersion due to optimum time- or space-frequency localization. This is illustrated by the calibration of multi-dimensional and multi-variate geometric imperfection models from strongly narrow-band measurements in I-beams and cylindrical shells. Finally, the application of the method of separation based estimates for the stochastic buckling analysis of the example structures is briefly discussed. © 2013 Elsevier Ltd.
Methods for High-Order Multi-Scale and Stochastic Problems Analysis, Algorithms, and Applications
2016-10-17
the good performance of these schemes. In [4], we study spectral collocation methods for functions which are analytic in the open interval but have...the detailed detonation struc- ture. The efficient parallel AMR-WENO method provides a good tool for these detonation simulations. In [10], a...with his students a few years ago. This method has now found a wide usage in applications. In [11], we give a stability analysis, using both the GKS
STOCHASTIC ASSESSMENT OF NIGERIAN STOCHASTIC ...
African Journals Online (AJOL)
eobe
STOCHASTIC ASSESSMENT OF NIGERIAN WOOD FOR BRIDGE DECKS ... abandoned bridges with defects only in their decks in both rural and urban locations can be effectively .... which can be seen as the detection of rare physical.
Suppression of stochastic pulsation in laser-plasma interaction by smoothing methods
International Nuclear Information System (INIS)
Hora, H.; Aydin, M.
1992-01-01
The control of the very complex behavior of a plasma with laser interaction by smoothing with induced spatial incoherence or other methods was related to improving the lateral uniformity of the irradiation. While this is important, it is shown from numerical hydrodynamic studies that the very strong temporal pulsation (stuttering) will mostly be suppressed by these smoothing methods too
Comparison of deterministic and stochastic methods for time-dependent Wigner simulations
Energy Technology Data Exchange (ETDEWEB)
Shao, Sihong, E-mail: sihong@math.pku.edu.cn [LMAM and School of Mathematical Sciences, Peking University, Beijing 100871 (China); Sellier, Jean Michel, E-mail: jeanmichel.sellier@parallel.bas.bg [IICT, Bulgarian Academy of Sciences, Acad. G. Bonchev str. 25A, 1113 Sofia (Bulgaria)
2015-11-01
Recently a Monte Carlo method based on signed particles for time-dependent simulations of the Wigner equation has been proposed. While it has been thoroughly validated against physical benchmarks, no technical study about its numerical accuracy has been performed. To this end, this paper presents the first step towards the construction of firm mathematical foundations for the signed particle Wigner Monte Carlo method. An initial investigation is performed by means of comparisons with a cell average spectral element method, which is a highly accurate deterministic method and utilized to provide reference solutions. Several different numerical tests involving the time-dependent evolution of a quantum wave-packet are performed and discussed in deep details. In particular, this allows us to depict a set of crucial criteria for the signed particle Wigner Monte Carlo method to achieve a satisfactory accuracy.
Cao, Jian; Chen, Jing-Bo; Dai, Meng-Xue
2018-01-01
An efficient finite-difference frequency-domain modeling of seismic wave propagation relies on the discrete schemes and appropriate solving methods. The average-derivative optimal scheme for the scalar wave modeling is advantageous in terms of the storage saving for the system of linear equations and the flexibility for arbitrary directional sampling intervals. However, using a LU-decomposition-based direct solver to solve its resulting system of linear equations is very costly for both memory and computational requirements. To address this issue, we consider establishing a multigrid-preconditioned BI-CGSTAB iterative solver fit for the average-derivative optimal scheme. The choice of preconditioning matrix and its corresponding multigrid components is made with the help of Fourier spectral analysis and local mode analysis, respectively, which is important for the convergence. Furthermore, we find that for the computation with unequal directional sampling interval, the anisotropic smoothing in the multigrid precondition may affect the convergence rate of this iterative solver. Successful numerical applications of this iterative solver for the homogenous and heterogeneous models in 2D and 3D are presented where the significant reduction of computer memory and the improvement of computational efficiency are demonstrated by comparison with the direct solver. In the numerical experiments, we also show that the unequal directional sampling interval will weaken the advantage of this multigrid-preconditioned iterative solver in the computing speed or, even worse, could reduce its accuracy in some cases, which implies the need for a reasonable control of directional sampling interval in the discretization.
International Nuclear Information System (INIS)
Kist, Tarso B.L.; Orszag, M.; Davidovich, L.
1997-01-01
The dynamics of open system is frequently modeled in terms of a small system S coupled to a reservoir R, the last having an infinitely larger number of degree of freedom than S. Usually the dynamics of the S variables may be of interest, which can be studied using either Langevin equations, or master equations, or yet the path integral formulation. Useful alternatives for the master equation method are the Monte Carlo Wave-function method (MCWF), and Stochastic Schroedinger Equations (SSE's). The methods MCWF and SSE's recently experienced a fast development both in their theoretical background and applications to the study of the dissipative quantum systems dynamics in quantum optics. Even though these alternatives can be shown to be formally equivalent to the master equation approach, they are often regarded as mathematical tricks, with no relation to a concrete physical evolution of the system. The advantage of using them is that one has to deal with state vectors, instead of density matrices, thus reducing the total amount of matrix elements to be calculated. In this work, we consider the possibility of giving a physical interpretation to these methods, in terms of continuous measurements made on the evolving system. We show that physical realizations of the two methods are indeed possible, for a mode of the electromagnetic field in a cavity interacting with a continuum of modes corresponding to the field outside the cavity. Two schemes are proposed, consisting of a mode of the electromagnetic field interacting with a beam of Rydberg two-level atoms. In these schemes, the field mode plays the role of a small system and the atomic beam plays the role of a reservoir (infinitely larger number of degrees of freedom at finite temperature, the interaction between them being given by the Jaynes-Cummings model
Developments based on stochastic and determinist methods for studying complex nuclear systems
International Nuclear Information System (INIS)
Giffard, F.X.
2000-01-01
In the field of reactor and fuel cycle physics, particle transport plays and important role. Neutronic design, operation and evaluation calculations of nuclear system make use of large and powerful computer codes. However, current limitations in terms of computer resources make it necessary to introduce simplifications and approximations in order to keep calculation time and cost within reasonable limits. Two different types of methods are available in these codes. The first one is the deterministic method, which is applicable in most practical cases but requires approximations. The other method is the Monte Carlo method, which does not make these approximations but which generally requires exceedingly long running times. The main motivation of this work is to investigate the possibility of a combined use of the two methods in such a way as to retain their advantages while avoiding their drawbacks. Our work has mainly focused on the speed-up of 3-D continuous energy Monte Carlo calculations (TRIPOLI-4 code) by means of an optimized biasing scheme derived from importance maps obtained from the deterministic code ERANOS. The application of this method to two different practical shielding-type problems has demonstrated its efficiency: speed-up factors of 100 have been reached. In addition, the method offers the advantage of being easily implemented as it is not very to the choice of the importance mesh grid. It has also been demonstrated that significant speed-ups can be achieved by this method in the case of coupled neutron-gamma transport problems, provided that the interdependence of the neutron and photon importance maps is taken into account. Complementary studies are necessary to tackle a problem brought out by this work, namely undesirable jumps in the Monte Carlo variance estimates. (author)
Solving the Fluid Pressure Poisson Equation Using Multigrid-Evaluation and Improvements.
Dick, Christian; Rogowsky, Marcus; Westermann, Rudiger
2016-11-01
In many numerical simulations of fluids governed by the incompressible Navier-Stokes equations, the pressure Poisson equation needs to be solved to enforce mass conservation. Multigrid solvers show excellent convergence in simple scenarios, yet they can converge slowly in domains where physically separated regions are combined at coarser scales. Moreover, existing multigrid solvers are tailored to specific discretizations of the pressure Poisson equation, and they cannot easily be adapted to other discretizations. In this paper we analyze the convergence properties of existing multigrid solvers for the pressure Poisson equation in different simulation domains, and we show how to further improve the multigrid convergence rate by using a graph-based extension to determine the coarse grid hierarchy. The proposed multigrid solver is generic in that it can be applied to different kinds of discretizations of the pressure Poisson equation, by using solely the specification of the simulation domain and pre-assembled computational stencils. We analyze the proposed solver in combination with finite difference and finite volume discretizations of the pressure Poisson equation. Our evaluations show that, despite the common assumption, multigrid schemes can exploit their potential even in the most complicated simulation scenarios, yet this behavior is obtained at the price of higher memory consumption.
Portfolio Optimization with Stochastic Dividends and Stochastic Volatility
Varga, Katherine Yvonne
2015-01-01
We consider an optimal investment-consumption portfolio optimization model in which an investor receives stochastic dividends. As a first problem, we allow the drift of stock price to be a bounded function. Next, we consider a stochastic volatility model. In each problem, we use the dynamic programming method to derive the Hamilton-Jacobi-Bellman…
Probability and Cumulative Density Function Methods for the Stochastic Advection-Reaction Equation
Energy Technology Data Exchange (ETDEWEB)
Barajas-Solano, David A.; Tartakovsky, Alexandre M.
2018-01-01
We present a cumulative density function (CDF) method for the probabilistic analysis of $d$-dimensional advection-dominated reactive transport in heterogeneous media. We employ a probabilistic approach in which epistemic uncertainty on the spatial heterogeneity of Darcy-scale transport coefficients is modeled in terms of random fields with given correlation structures. Our proposed CDF method employs a modified Large-Eddy-Diffusivity (LED) approach to close and localize the nonlocal equations governing the one-point PDF and CDF of the concentration field, resulting in a $(d + 1)$ dimensional PDE. Compared to the classsical LED localization, the proposed modified LED localization explicitly accounts for the mean-field advective dynamics over the phase space of the PDF and CDF. To illustrate the accuracy of the proposed closure, we apply our CDF method to one-dimensional single-species reactive transport with uncertain, heterogeneous advection velocities and reaction rates modeled as random fields.
Web Applications Vulnerability Management using a Quantitative Stochastic Risk Modeling Method
Directory of Open Access Journals (Sweden)
Sergiu SECHEL
2017-01-01
Full Text Available The aim of this research is to propose a quantitative risk modeling method that reduces the guess work and uncertainty from the vulnerability and risk assessment activities of web based applications while providing users the flexibility to assess risk according to their risk appetite and tolerance with a high degree of assurance. The research method is based on the research done by the OWASP Foundation on this subject but their risk rating methodology needed de-bugging and updates in different in key areas that are presented in this paper. The modified risk modeling method uses Monte Carlo simulations to model risk characteristics that can’t be determined without guess work and it was tested in vulnerability assessment activities on real production systems and in theory by assigning discrete uniform assumptions to all risk charac-teristics (risk attributes and evaluate the results after 1.5 million rounds of Monte Carlo simu-lations.
Directory of Open Access Journals (Sweden)
Oscar Eduardo Gualdron
2014-12-01
Full Text Available One of the principal inconveniences that analysis and information processing presents is that of the representation of dataset. Normally, one encounters a high number of samples, each one with thousands of variables, and in many cases with irrelevant information and noise. Therefore, in order to represent findings in a clearer way, it is necessary to reduce the amount of variables. In this paper, a novel variable selection technique for multivariable data analysis, inspired on stochastic methods and designed to work with support vector machines (SVM, is described. The approach is demonstrated in a food application involving the detection of adulteration of olive oil (more expensive with hazelnut oil (cheaper. Fingerprinting by H NMR spectroscopy was used to analyze the different samples. Results show that it is possible to reduce the number of variables without affecting classification results.
2016-05-11
REPORT NUMBER 9. SPONSORING/ MONITORING AGENCY NAME(S) AND ADDRESS(ES) AOARD UNIT 45002 APO AP 96338-5002 10. SPONSOR/MONITOR’S ACRONYM(S) AFRL/AFOSR IOA...orders of magnitude less memory than our competitors . We implemented our methods on MAPREDUCE with two widely-applicable optimization techniques...local disk caching and greedy row assignment. They speeded up our methods up to 98.2x and also the competitors up to 5.9x. 15. SUBJECT TERMS 16
The complexity of interior point methods for solving discounted turn-based stochastic games
DEFF Research Database (Denmark)
Hansen, Thomas Dueholm; Ibsen-Jensen, Rasmus
2013-01-01
for general 2TBSGs. This implies that a number of interior point methods can be used to solve 2TBSGs. We consider two such algorithms: the unified interior point method of Kojima, Megiddo, Noma, and Yoshise, and the interior point potential reduction algorithm of Kojima, Megiddo, and Ye. The algorithms run...... states and discount factor γ we get κ=Θ(n(1−γ)2) , −δ=Θ(n√1−γ) , and 1/θ=Θ(n(1−γ)2) in the worst case. The lower bounds for κ, − δ, and 1/θ are all obtained using the same family of deterministic games....
A Stochastic Multiscale Method for the Elastic Wave Equations Arising from Fiber Composites
Babuska, Ivo; Motamed, Mohammad; Tempone, Raul
2016-01-01
. The method aims at approximating statistical moments of some given quantities of interest, such as stresses, in regions of relatively small size, e.g. hot spots or zones that are deemed vulnerable to failure. For a fiber-reinforced cross-plied laminate, we
Markov stochasticity coordinates
International Nuclear Information System (INIS)
Eliazar, Iddo
2017-01-01
Markov dynamics constitute one of the most fundamental models of random motion between the states of a system of interest. Markov dynamics have diverse applications in many fields of science and engineering, and are particularly applicable in the context of random motion in networks. In this paper we present a two-dimensional gauging method of the randomness of Markov dynamics. The method–termed Markov Stochasticity Coordinates–is established, discussed, and exemplified. Also, the method is tweaked to quantify the stochasticity of the first-passage-times of Markov dynamics, and the socioeconomic equality and mobility in human societies.
Markov stochasticity coordinates
Energy Technology Data Exchange (ETDEWEB)
Eliazar, Iddo, E-mail: iddo.eliazar@intel.com
2017-01-15
Markov dynamics constitute one of the most fundamental models of random motion between the states of a system of interest. Markov dynamics have diverse applications in many fields of science and engineering, and are particularly applicable in the context of random motion in networks. In this paper we present a two-dimensional gauging method of the randomness of Markov dynamics. The method–termed Markov Stochasticity Coordinates–is established, discussed, and exemplified. Also, the method is tweaked to quantify the stochasticity of the first-passage-times of Markov dynamics, and the socioeconomic equality and mobility in human societies.
Dobramysl, U; Holcman, D
2018-02-15
Is it possible to recover the position of a source from the steady-state fluxes of Brownian particles to small absorbing windows located on the boundary of a domain? To address this question, we develop a numerical procedure to avoid tracking Brownian trajectories in the entire infinite space. Instead, we generate particles near the absorbing windows, computed from the analytical expression of the exit probability. When the Brownian particles are generated by a steady-state gradient at a single point, we compute asymptotically the fluxes to small absorbing holes distributed on the boundary of half-space and on a disk in two dimensions, which agree with stochastic simulations. We also derive an expression for the splitting probability between small windows using the matched asymptotic method. Finally, when there are more than two small absorbing windows, we show how to reconstruct the position of the source from the diffusion fluxes. The present approach provides a computational first principle for the mechanism of sensing a gradient of diffusing particles, a ubiquitous problem in cell biology.
Arcos-García, Álvaro; Álvarez-García, Juan A; Soria-Morillo, Luis M
2018-03-01
This paper presents a Deep Learning approach for traffic sign recognition systems. Several classification experiments are conducted over publicly available traffic sign datasets from Germany and Belgium using a Deep Neural Network which comprises Convolutional layers and Spatial Transformer Networks. Such trials are built to measure the impact of diverse factors with the end goal of designing a Convolutional Neural Network that can improve the state-of-the-art of traffic sign classification task. First, different adaptive and non-adaptive stochastic gradient descent optimisation algorithms such as SGD, SGD-Nesterov, RMSprop and Adam are evaluated. Subsequently, multiple combinations of Spatial Transformer Networks placed at distinct positions within the main neural network are analysed. The recognition rate of the proposed Convolutional Neural Network reports an accuracy of 99.71% in the German Traffic Sign Recognition Benchmark, outperforming previous state-of-the-art methods and also being more efficient in terms of memory requirements. Copyright © 2018 Elsevier Ltd. All rights reserved.
International Nuclear Information System (INIS)
Tan, Chee Wei; Green, Tim C.; Hernandez-Aramburo, Carlos A.
2010-01-01
This paper presents a stochastic simulation using Monte Carlo technique to size a battery to meet dual objectives of demand shift at peak electricity cost times and outage protection in BIPV (building integrated photovoltaic) systems. Both functions require battery storage and the sizing of battery using numerical optimization is popularly used. However, the weather conditions, outage events and demand peaks are not deterministic in nature. Therefore, the sizing of battery storage capacity should also be based on a probabilistic approach. The Monte Carlo simulation is a rigorous method to sizing BIPV system as it takes into account a real building load profiles, the weather information and the local historical outage distribution. The simulation is split into seasonal basis for the analysis of demand shifting and outage events in order to match the seasonal weather conditions and load profiles. Five configurations of PV (photovoltaic) are assessed that cover different areas and orientations. The simulation output includes the predicted PV energy yield, the amount of energy required for demand management and outage event. Therefore, consumers can base sizing decisions on the historical data and local risk of outage statistics and the success rate of meeting the demand shift required. Finally, the economic evaluations together with the sensitivity analysis and the assessment of customers' outage cost are discussed.
Energy Technology Data Exchange (ETDEWEB)
Zhang Guangjun [State Key Laboratory of Mechanical Structural Strength and Vibration, School of Architectural Engineering and Mechanics, Xi' an Jiaotong University, Xi' an, Shaanxi (China); Xu Jianxue [State Key Laboratory of Mechanical Structural Strength and Vibration, School of Architectural Engineering and Mechanics, Xi' an Jiaotong University, Xi' an, Shaanxi (China)] e-mail: jxxu@mail.xjtu.edu.cn
2006-02-01
This paper analyzes the stochastic resonance induced by a novel transition of one-dimensional bistable system in the neighborhood of bifurcation point with the method of moment, which refer to the transition of system motion among a potential well of stable fixed point before bifurcation of original system and double-well potential of two coexisting stable fixed points after original system bifurcation at the presence of internal noise. The results show: the semi-analytical result of stochastic resonance of one-dimensional bistable system in the neighborhood of bifurcation point may be obtained, and the semi-analytical result is in accord with the one of Monte Carlo simulation qualitatively, the occurrence of stochastic resonance is related to the bifurcation of noisy nonlinear dynamical system moment equations, which induce the transfer of energy of ensemble average (Ex) of system response in each frequency component and make the energy of ensemble average of system response concentrate on the frequency of input signal, stochastic resonance occurs.
International Nuclear Information System (INIS)
Zhang Guangjun; Xu Jianxue
2006-01-01
This paper analyzes the stochastic resonance induced by a novel transition of one-dimensional bistable system in the neighborhood of bifurcation point with the method of moment, which refer to the transition of system motion among a potential well of stable fixed point before bifurcation of original system and double-well potential of two coexisting stable fixed points after original system bifurcation at the presence of internal noise. The results show: the semi-analytical result of stochastic resonance of one-dimensional bistable system in the neighborhood of bifurcation point may be obtained, and the semi-analytical result is in accord with the one of Monte Carlo simulation qualitatively, the occurrence of stochastic resonance is related to the bifurcation of noisy nonlinear dynamical system moment equations, which induce the transfer of energy of ensemble average (Ex) of system response in each frequency component and make the energy of ensemble average of system response concentrate on the frequency of input signal, stochastic resonance occurs
Local multigrid mesh refinement in view of nuclear fuel 3D modelling in pressurised water reactors
International Nuclear Information System (INIS)
Barbie, L.
2013-01-01
The aim of this study is to improve the performances, in terms of memory space and computational time, of the current modelling of the Pellet-Cladding mechanical Interaction (PCI), complex phenomenon which may occurs during high power rises in pressurised water reactors. Among the mesh refinement methods - methods dedicated to efficiently treat local singularities - a local multi-grid approach was selected because it enables the use of a black-box solver while dealing few degrees of freedom at each level. The Local Defect Correction (LDC) method, well suited to a finite element discretization, was first analysed and checked in linear elasticity, on configurations resulting from the PCI, since its use in solid mechanics is little widespread. Various strategies concerning the implementation of the multilevel algorithm were also compared. Coupling the LDC method with the Zienkiewicz-Zhu a posteriori error estimator in order to automatically detect the zones to be refined, was then tested. Performances obtained on two-dimensional and three-dimensional cases are very satisfactory, since the algorithm proposed is more efficient than h-adaptive refinement methods. Lastly, the LDC algorithm was extended to nonlinear mechanics. Space/time refinement as well as transmission of the initial conditions during the re-meshing step were looked at. The first results obtained are encouraging and show the interest of using the LDC method for PCI modelling. (author) [fr
Chang, Mou-Hsiung
2015-01-01
The classical probability theory initiated by Kolmogorov and its quantum counterpart, pioneered by von Neumann, were created at about the same time in the 1930s, but development of the quantum theory has trailed far behind. Although highly appealing, the quantum theory has a steep learning curve, requiring tools from both probability and analysis and a facility for combining the two viewpoints. This book is a systematic, self-contained account of the core of quantum probability and quantum stochastic processes for graduate students and researchers. The only assumed background is knowledge of the basic theory of Hilbert spaces, bounded linear operators, and classical Markov processes. From there, the book introduces additional tools from analysis, and then builds the quantum probability framework needed to support applications to quantum control and quantum information and communication. These include quantum noise, quantum stochastic calculus, stochastic quantum differential equations, quantum Markov semigrou...
Directory of Open Access Journals (Sweden)
Mellah HACEN
2012-08-01
Full Text Available The induction machine, because of its robustness and low-cost, is commonly used in the industry. Nevertheless, as every type of electrical machine, this machine suffers of some limitations. The most important one is the working temperature which is the dimensioning parameter for the definition of the nominal working point and the machine lifetime. Due to a strong demand concerning thermal monitoring methods appeared in the industry sector. In this context, the adding of temperature sensors is not acceptable and the studied methods tend to use sensorless approaches such as observators or parameters estimators like the extended Kalman Filter (EKF. Then the important criteria are reliability, computational cost ad real time implementation.
Analysis of natural circulation BWR dynamics with stochastic and deterministic methods
International Nuclear Information System (INIS)
VanderHagen, T.H.; Van Dam, H.; Hoogenboom, J.E.; Kleiss, E.B.J.; Nissen, W.H.M.; Oosterkamp, W.J.
1986-01-01
Reactor kinetic, thermal hydraulic and total plant stability of a natural convection cooled BWR was studied using noise analysis and by evaluation of process responses to control rod steps and to steamflow control valve steps. An estimate of the fuel thermal time constant and an impression of the recirculation flow response to power variations was obtained. A sophisticated noise analysis method resulted in more insight into the fluctuations of the coolant velocity
Stochastic ferromagnetism analysis and numerics
Brzezniak, Zdzislaw; Neklyudov, Mikhail; Prohl, Andreas
2013-01-01
This monograph examines magnetization dynamics at elevated temperatures which can be described by the stochastic Landau-Lifshitz-Gilbert equation (SLLG). Comparative computational studies with the stochastic model are included. Constructive tools such as e.g. finite element methods are used to derive the theoretical results, which are then used for computational studies.
Tam, Vincent H; Kabbara, Samer
2006-10-01
Monte Carlo simulations (MCSs) are increasingly being used to predict the pharmacokinetic variability of antimicrobials in a population. However, various MCS approaches may differ in the accuracy of the predictions. We compared the performance of 3 different MCS approaches using a data set with known parameter values and dispersion. Ten concentration-time profiles were randomly generated and used to determine the best-fit parameter estimates. Three MCS methods were subsequently used to simulate the AUC(0-infinity) of the population, using the central tendency and dispersion of the following in the subject sample: 1) K and V; 2) clearance and V; 3) AUC(0-infinity). In each scenario, 10000 subject simulations were performed. Compared to true AUC(0-infinity) of the population, mean biases by various methods were 1) 58.4, 2) 380.7, and 3) 12.5 mg h L(-1), respectively. Our results suggest that the most realistic MCS approach appeared to be based on the variability of AUC(0-infinity) in the subject sample.
The cross-section dividing method and a stochastic interpretation of the moliere expansion
International Nuclear Information System (INIS)
Nakatsuka, T.; Okei, K.
2004-01-01
Properties of Moliere scattering process are investigated through the cross-section dividing method. We divide the single-scattering at an adequate angle into the moderate scattering and the large-angle scattering. We have found the expansion parameter or the shape parameter B of Moliere, which corresponds to the splitting angle of the single scattering at e B/2 times the screening angle, acts as the probability parameter to receive the large-angle scattering. A mathematical formulation to derive the angular distribution through the cross-section dividing method is proposed. Small distortions from the gaussian distribution were found in the central distribution produced by the moderate scattering of Moliere, due to the higher Fourier components. Smaller splitting angles than Moliere, e.g. the one-scattering angle χ C , will be effective for rapid sampling sequences of Moliere angular distribution, giving almost gaussian central distributions as the product of moderate scattering and low-frequent single-scatterings as the product of large-angle scatterings. (author)
TU-AB-BRB-02: Stochastic Programming Methods for Handling Uncertainty and Motion in IMRT Planning
Energy Technology Data Exchange (ETDEWEB)
Unkelbach, J. [Massachusetts General Hospital (United States)
2015-06-15
The accepted clinical method to accommodate targeting uncertainties inherent in fractionated external beam radiation therapy is to utilize GTV-to-CTV and CTV-to-PTV margins during the planning process to design a PTV-conformal static dose distribution on the planning image set. Ideally, margins are selected to ensure a high (e.g. >95%) target coverage probability (CP) in spite of inherent inter- and intra-fractional positional variations, tissue motions, and initial contouring uncertainties. Robust optimization techniques, also known as probabilistic treatment planning techniques, explicitly incorporate the dosimetric consequences of targeting uncertainties by including CP evaluation into the planning optimization process along with coverage-based planning objectives. The treatment planner no longer needs to use PTV and/or PRV margins; instead robust optimization utilizes probability distributions of the underlying uncertainties in conjunction with CP-evaluation for the underlying CTVs and OARs to design an optimal treated volume. This symposium will describe CP-evaluation methods as well as various robust planning techniques including use of probability-weighted dose distributions, probability-weighted objective functions, and coverage optimized planning. Methods to compute and display the effect of uncertainties on dose distributions will be presented. The use of robust planning to accommodate inter-fractional setup uncertainties, organ deformation, and contouring uncertainties will be examined as will its use to accommodate intra-fractional organ motion. Clinical examples will be used to inter-compare robust and margin-based planning, highlighting advantages of robust-plans in terms of target and normal tissue coverage. Robust-planning limitations as uncertainties approach zero and as the number of treatment fractions becomes small will be presented, as well as the factors limiting clinical implementation of robust planning. Learning Objectives: To understand