Search results for: fractional Black-Scholes equations

Authors: Arun Goel

Abstract:

The present paper attempts to investigate the prediction of air entrainment rate and aeration efficiency of a free over-fall jets issuing from a triangular sharp crested weir by using regression based modelling. The empirical equations, support vector machine (polynomial and radial basis function) models and the linear regression techniques were applied on the triangular sharp crested weirs relating the air entrainment rate and the aeration efficiency to the input parameters namely drop height, discharge, and vertex angle. It was observed that there exists a good agreement between the measured values and the values obtained using empirical equations, support vector machine (Polynomial and rbf) models, and the linear regression techniques. The test results demonstrated that the SVM based (Poly & rbf) model also provided acceptable prediction of the measured values with reasonable accuracy along with empirical equations and linear regression techniques in modelling the air entrainment rate and the aeration efficiency of a free over-fall jets issuing from triangular sharp crested weir. Further sensitivity analysis has also been performed to study the impact of input parameter on the output in terms of air entrainment rate and aeration efficiency.

Keywords: air entrainment rate, dissolved oxygen, weir, SVM, regression

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Authors: Anyeres N. Atehortua Jimenez, J. David Lambraño, Juan Carlos Muñoz

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Navier-Stokes equations (NSE), which describe the dynamics of a fluid, have an important application on modeling waves used for data inversion techniques as full waveform inversion (FWI). In this work a linearized version of NSE and its variables, neglecting deviatoric terms of stress tensor, is presented. In order to get a theoretical modeling of pressure p(x,t) and wave velocity profile c(x,t), a wave equation of visco-acoustic medium (VAE) is written. A change of variables p(x,t)=q(x,t)h(ρ), is made on the equation for the VAE leading to a well known Klein-Gordon equation (KGE) describing waves propagating in variable density medium (ρ) with dispersive term α^2(x). KGE is reduced to a Poisson equation and solved by proposing a specific function for α^2(x) accounting for the energy dissipation and dispersion. Finally, an integral form solution is derived for p(x,t), c(x,t) and kinematics variables like particle velocity v(x,t), displacement u(x,t) and bulk modulus function k_b(x,t). Further, it is compared this visco-acoustic formulation with another form broadly used in the geophysics; it is argued that this formalism is more general and, given its integral form, it may offer several advantages from the modern parallel computing point of view. Applications to minimize the errors in modeling for FWI applied to oils resources in geophysics are discussed.

Keywords: Navier-Stokes equations, modeling, visco-acoustic, inversion FWI

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Authors: Getachew T. Sedebo, Stephan V. Joubert, Michael Y. Shatalov

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Conventional configuration of the vibratory disc gyroscope is based on in-plane non-axisymmetric vibrations of the disc with a prescribed circumferential wave number. Due to the Bryan's effect, the vibrating pattern of the disc becomes sensitive to the axial component of inertial rotation of the disc. Rotation of the vibrating pattern relative to the disc is proportional to the inertial angular rate and is measured by sensors. In the present paper, the authors investigate a possibility of making a 3D sensor on the basis of both in-plane and bending vibrations of the disc resonator. We derive equations of motion for the disc vibratory gyroscope, where both in-plane and bending vibrations are considered. Hamiltonian variational principle is used in setting up equations of motion and the corresponding boundary conditions. The theory of thin shells with the linear elasticity principles is used in formulating the problem and also the disc is assumed to be isotropic and obeys Hooke's Law. The governing equation for a specific mode is converted to an ODE to determine the eigenfunction. The resulting ODE has exact solution as a linear combination of Bessel and Neumann functions. We demonstrate how to obtain an explicit solution and hence the eigenvalues and corresponding eigenfunctions for annular disc with fixed inner boundary and free outer boundary. Finally, the characteristics equations are obtained and the corresponding eigenvalues are calculated. The eigenvalues are used for the calculation of tuning conditions of the 3D disc vibratory gyroscope.

Keywords: Bryan’s effect, bending vibrations, disc gyroscope, eigenfunctions, eigenvalues, tuning conditions

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Authors: Bahatti̇n Ki̇mençe, Uğur Ki̇mençe

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In this study, the purpose of obtaining the influence functions of the displacement discontinuity in an anisotropic elastic medium is to produce the boundary element equations. A Displacement Discontinuous Method formulation (DDM) is presented with the aim of modeling two-dimensional elastic fracture problems. This formulation is found by analytical integration of the fundamental solution along a straight-line crack. With this purpose, Kelvin's fundamental solutions for anisotropic media on an infinite plane are used to form dipoles from singular loads, and the various combinations of the said dipoles are used to obtain the influence functions of displacement discontinuity. This study introduces a technique for coupling Fictitious Stress Method (FSM) and DDM; the reason for applying this technique to some examples is to demonstrate the effectiveness of the proposed coupling method. In this study, displacement discontinuity equations are obtained by using dipole solutions calculated with known singular force solutions in an anisotropic medium. The displacement discontinuities method obtained from the solutions of these equations and the fictitious stress methods is combined and compared with various examples. In this study, one or more crack problems with various geometries in rectangular plates in finite and infinite regions, under the effect of tensile stress with coupled FSM and DDM in the anisotropic environment, were examined, and the effectiveness of the coupled method was demonstrated. Since crack problems can be modeled more easily with DDM, it has been observed that the use of DDM has increased recently. In obtaining the displacement discontinuity equations, Papkovitch functions were used in Crouch, and harmonic functions were chosen to satisfy various boundary conditions. A comparison is made between two indirect boundary element formulations, DDM, and an extension of FSM, for solving problems involving cracks. Several numerical examples are presented, and the outcomes are contrasted to existing analytical or reference outs.

Keywords: displacement discontinuity method, fictitious stress method, crack problems, anisotropic material

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Authors: Serdal Pamuk, Irem Cay

Abstract:

Our model is based on the theory of reinforced random walks coupled with Michealis-Menten mechanisms which view endothelial cell receptors as the catalysts for transforming both tumor and macrophage derived tumor angiogenesis factor (TAF) into proteolytic enzyme which in turn degrade the basal lamina. The model consists of two main parts. First part has seven differential equations (DE’s) in one space dimension over the capillary, whereas the second part has the same number of DE’s in two space dimensions in the extra cellular matrix (ECM). We connect these two parts via some boundary conditions to move the cells into the ECM in order to initiate capillary formation. But, when does this movement begin? To address this question we estimate the thresholds that activate the transport equations in the capillary. We do this by using steady-state analysis of TAF equation under some assumptions. Once these equations are activated endothelial, pericyte and macrophage cells begin to move into the ECM for the initiation of angiogenesis. We do believe that our results play an important role for the mechanisms of cell migration which are crucial for tumor angiogenesis. Furthermore, we estimate the long time tendency of these three cells, and find that they tend to the transition probability functions as time evolves. We provide our numerical solutions which are in good agreement with our theoretical results.

Keywords: angiogenesis, capillary formation, mathematical analysis, steady-state, transition probability function

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Authors: Sidrah Ahmed

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The river and lakes flows are modeled mathematically by shallow water equations that are depth-averaged Reynolds Averaged Navier-Stokes equations under Boussinesq approximation. The temperature stratification dynamics influence the water quality and mixing characteristics. It is mainly due to the atmospheric conditions including air temperature, wind velocity, and radiative forcing. The experimental observations are commonly taken along vertical scales and are not sufficient to estimate small turbulence effects of temperature variations induced characteristics of shallow flows. Wind shear stress over the water surface influence flow patterns, heat fluxes and thermodynamics of water bodies as well. Hence it is crucial to couple temperature gradients with shallow water model to estimate the atmospheric effects on flow patterns. The Ripa system has been introduced to study ocean currents as a variant of shallow water equations with addition of temperature variations within the flow. Ripa model is a hyperbolic system of partial differential equations because all the eigenvalues of the system’s Jacobian matrix are real and distinct. The time steps of a numerical scheme are estimated with the eigenvalues of the system. The solution to Riemann problem of the Ripa model is composed of shocks, contact and rarefaction waves. Solving Ripa model with Riemann initial data with the central schemes is difficult due to the eigen structure of the system.This works presents the comparison of four different finite difference schemes for the numerical solution of Riemann problem for Ripa model. These schemes include Lax-Friedrichs, Lax-Wendroff, MacCormack scheme and a higher order finite difference scheme with WENO method. The numerical flux functions in both dimensions are approximated according to these methods. The temporal accuracy is achieved by employing TVD Runge Kutta method. The numerical tests are presented to examine the accuracy and robustness of the applied methods. It is revealed that Lax-Freidrichs scheme produces results with oscillations while Lax-Wendroff and higher order difference scheme produce quite better results.

Keywords: finite difference schemes, Riemann problem, shallow water equations, temperature gradients

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Authors: Adel Mohsen

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A direct method based on the good Broyden's updates for evaluating the inverse of a nonsingular square matrix of full rank and solving related system of linear algebraic equations is studied. For a matrix A of order n whose LU-decomposition is A = LU, the multiplication count is O (n3). This includes the evaluation of the LU-decompositions of the inverse, the lower triangular decomposition of A as well as a “reduced matrix inverse”. If an explicit value of the inverse is not needed the order reduces to O (n3/2) to compute to compute inv(U) and the reduced inverse. For a symmetric matrix only O (n3/3) operations are required to compute inv(L) and the reduced inverse. An example is presented to demonstrate the capability of using the reduced matrix inverse in treating ill-conditioned systems. Besides the simplicity of Broyden's update, the method provides a mean to exploit the possible sparsity in the matrix and to derive a suitable preconditioner.

Keywords: Broyden's updates, matrix inverse, inverse factorization, solution of linear algebraic equations, ill-conditioned matrices, preconditioning

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Authors: Ramandeep Behl, S. S. Motsa

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The main focus of this manuscript is to provide a highly efficient two-point sixth-order family of super-Halley type methods that do not require any second-order derivative evaluation for obtaining simple roots of nonlinear equations, numerically. Each member of the proposed family requires two evaluations of the given function and two evaluations of the first-order derivative per iteration. By using Mathematica-9 with its high precision compatibility, a variety of concrete numerical experiments and relevant results are extensively treated to confirm t he t heoretical d evelopment. From their basins of attraction, it has been observed that the proposed methods have better stability and robustness as compared to the other sixth-order methods available in the literature.

Keywords: basins of attraction, nonlinear equations, simple roots, super-Halley

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Authors: Beata Jackowska-Zduniak

Abstract:

We formulate and analyze a mathematical model describing dynamics of cancer growth under the influence of radiation therapy. The effect of this type of therapy is considered as an additional equation of discussed model. Numerical simulations show that delay, which is added to ordinary differential equations and represent time needed for transformation from one type of cells to the other one, affects the behavior of the system. The validation and verification of proposed model is based on medical data. Analytical results are illustrated by numerical examples of the model dynamics. The model is able to reconstruct dynamics of treatment of cancer and may be used to determine the most effective treatment regimen based on the study of the behavior of individual treatment protocols.

Keywords: mathematical modeling, numerical simulation, ordinary differential equations, radiation therapy

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Authors: Merouane Salhi, Mohamed Roudane, Abdelkader Kirad

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In this work, we present a new form of characteristics method, which is a technique for solving partial differential equations. Typically, it applies to first-order equations; the aim of this method is to reduce a partial differential equation to a family of ordinary differential equations along which the solution can be integrated from some initial data. This latter developed under the real gas theory, because when the thermal and the caloric imperfections of a gas increases, the specific heat and their ratio do not remain constant anymore and start to vary with the gas parameters. The gas doesn’t stay perfect. Its state equation change and it becomes for a real gas. The presented equations of the characteristics remain valid whatever area or field of study. Here we need have inserted the developed Prandtl Meyer function in the mathematical system to find a new model when the effect of stagnation pressure is taken into account. In this case, the effects of molecular size and intermolecular attraction forces intervene to correct the state equation, the thermodynamic parameters and the value of Prandtl Meyer function. However, with the assumptions that Berthelot’s state equation accounts for molecular size and intermolecular force effects, expressions are developed for analyzing the supersonic flow for thermally and calorically imperfect gas. The supersonic parameters depend directly on the stagnation parameters of the combustion chamber. The resolution has been made by the finite differences method using the corrector predictor algorithm. As results, the developed mathematical model used to design 2D minimum length nozzles under effect of the stagnation parameters of fluid flow. A comparison for air with the perfect gas PG and high temperature models on the one hand and our results by the real gas theory on the other of nozzles shapes and characteristics are made.

Keywords: numerical methods, nozzles design, real gas, stagnation parameters, supersonic expansion, the characteristics method

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Authors: Gebreegziabher Hailu

Abstract:

This paper presents the development of residual power series methods aimed at efficiently solving stiff differential equations, which pose significant challenges in numerical analysis due to their rapid changes in solution behavior. The RPSM is a numerical approach that generates polynomial-based approximate solutions without the need for linearization, discretization, or perturbation techniques, making it straightforward to implement and less prone to computational errors. We introduce an approach that utilizes power series expansions combined with residual minimization techniques to enhance convergence and stability. By analyzing the theoretical foundations of stiffness, we delve into the formulation of the residual power series method, detailing how it effectively captures the dynamics of stiff systems while maintaining computational efficiency. Numerical experiments demonstrate the method's superiority in terms of accuracy and computational cost when compared to traditional methods like implicit Runge-Kutta or multistep techniques. We also explore adaptive strategies within our framework to automatically adjust parameters based on the stiffness characteristics of the problem at hand. Ultimately, our findings contribute to the broader toolkit for tackling stiff differential equations, offering a robust alternative that promises to streamline computational workflows in various applied mathematics and engineering contexts.

Keywords: residual power series methods, stiff differential equoations, numerical approach, Runge Kutta methods

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Authors: Djemai Bara, Mohamed Faouzi Mahboub, Djamila Bennaceur-Doumaz

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In this work, the role of the preformed plasma created on the front face of a target, irradiated by a high intensity short pulse laser, in the framework of ion acceleration process, modeled by Target Normal Sheath Acceleration (TNSA) mechanism, is studied. This plasma is composed of cold ions governed by fluid equations and non-thermal & trapped with densities represented by a "Cairns-Gurevich" equation. The self-similar solution of the equations shows that electronic trapping and the presence of non-thermal electrons in the pre-plasma are both responsible in ion acceleration as long as the proportion of energetic electrons is not too high. In the case where the majority of electrons are energetic, the electrons are accelerated directly by the ponderomotive force of the laser without the intermediate of an accelerating plasma wave.

Keywords: Cairns-Gurevich Equation, ion acceleration, plasma expansion, pre-plasma

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Authors: Feng Yang

Abstract:

Machine learning (ML), especially deep learning (DL), has been extensively applied to many applications in recently years and gained great success in solving different problems, including scientific problems. However, conventional ML/DL methodologies are purely data-driven which have the limitations, such as need of ample amount of labelled training data, lack of consistency to physical principles, and lack of generalizability to new problems/domains. Recently, there is a growing consensus that ML models need to further take advantage of prior knowledge to deal with these limitations. Physics-informed machine learning, aiming at integration of physics/domain knowledge into ML, has been recognized as an emerging area of research, especially in the recent 2 to 3 years. In this work, physics-informed ML, specifically physics-informed neural network (NN), is employed and implemented to estimate the displacements at x, y, z directions in a solid mechanics problem that is controlled by equilibrium equations with boundary conditions. By incorporating the physics (i.e. the equilibrium equations) into the learning process of NN, it is showed that the NN can be trained very efficiently with a small set of labelled training data. Experiments with different settings of the NN model and the amount of labelled training data were conducted, and the results show that very high accuracy can be achieved in fulfilling the equilibrium equations as well as in predicting the displacements, e.g. in setting the overall displacement of 0.1, a root mean square error (RMSE) of 2.09 × 10−4 was achieved.

Keywords: deep learning, neural network, physics-informed machine learning, solid mechanics

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Authors: Guillermo Manuel Flores Figueroa, Juan Alejandro Vazquez Feijoo, Jose Navarro Antonio

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A continuous nonlinear system response may be obtained by an infinite sum of the so-called Volterra operators. Each operator is obtained from multidimensional convolution of nth-order between the nth-order Volterra kernel and the system input. These operators can also be obtained from the Associated Linear Equations (ALEs) that are linear models of subsystems which inputs and outputs are of the same nth-order. Each ALEs produces a particular nth-Volterra operator. As linear models a unitary impulse response can be obtained from them. This work shows the relationship between this unitary impulse responses and the corresponding order Volterra kernel.

Keywords: Volterra series, frequency response functions FRF, associated linear equations ALEs, unitary response function, Voterra kernel

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Authors: Motahar Reza, Rajni Chahal, Neha Sharma

Abstract:

This article addresses the boundary layer flow and heat transfer of Casson fluid over a nonlinearly permeable stretching surface with chemical reaction in the presence of variable magnetic field. The effect of thermal radiation is considered to control the rate of heat transfer at the surface. Using similarity transformations, the governing partial differential equations of this problem are reduced into a set of non-linear ordinary differential equations which are solved by finite difference method. It is observed that the velocity at fixed point decreases with increasing the nonlinear stretching parameter but the temperature increases with nonlinear stretching parameter.

Keywords: boundary layer flow, nonlinear stretching, Casson fluid, heat transfer, radiation

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Authors: Abdi Ammar, Ouazir Youcef, Laissaoui Abdelmalek

Abstract:

In this work, an approach based on transmission lines theory is presented. It is exploited for the calculation of overvoltage created by direct impacts of lightning waves on a guard cable of an overhead high-voltage line. First, we show the theoretical developments leading to the propagation equation, its discretization by finite difference time domain method (FDTD), and the resulting linear algebraic equations, followed by the calculation of the linear parameters of the line. The second step consists of solving the transmission lines system of equations by the FDTD method. This enabled us to determine the spatio-temporal evolution of the induced overvoltage.

Keywords: lightning surge, transient overvoltage, eddy current, FDTD, electromagnetic compatibility, ground wire

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Authors: M. M. Atashi, P. Malekzadeh

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A first known formulation for the out-of-plane free vibration analysis of functionally graded (FG) circular curved beams in thermal environment and with temperature dependent material properties is presented. The formulation is based on the first order shear deformation theory (FSDT), which includes the effects of shear deformation and rotary inertia due to both torsional and flexural vibrations. The material properties are assumed to be temperature dependent and graded in the direction normal to the plane of the beam curvature. The equations of motion and the related boundary conditions, which include the effects of initial thermal stresses, are derived using the Hamilton’s principle. Differential quadrature method (DQM), as an efficient and accurate numerical method, is adopted to solve the thermoelastic equilibrium equations and the equations of motion. The fast rate of convergence of the method is investigated and the formulations are validated by comparing the results in the limit cases with the available solutions in the literature for isotropic circular curved beams. In addition, for FG circular curved beams with soft simply supported edges, the results are compared with the obtained exact solutions. Then, the effects of temperature rise, boundary conditions, material and geometrical parameters on the natural frequencies are investigated.

Keywords: out of plane, free vibration, curved beams, functionally graded, thermal environment

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Authors: Edward J. Kansa, Pavel Holoborodko

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Continuously differentiable radial basis functions (RBFs) are meshfree, converge faster as the dimensionality increases, and is theoretically spectrally convergent. When implemented on current single and double precision computers, such RBFs can suffer from ill-conditioning because the systems of equations needed to be solved to find the expansion coefficients are full. However, the Advanpix extended precision software package allows computer mathematics to resemble asymptotically ideal Platonic mathematics. Additionally, full systems with extended precision execute faster graphical processors units and field-programmable gate arrays because no branching is needed. Sparse equation systems are fast for iterative solvers in a very limited number of cases.

Keywords: partial differential equations, Meshfree radial basis functions, , no restrictions on spatial dimensions, Extended arithmetic precision.

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Authors: Elena M. Kopteva, Pavlina Jaluvkova, Zdenek Stuchlik

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In spite of the numerous attempts to close the discussion about the influence of cosmological expansion on local gravitationally bounded systems, this question arises in literature again and again and remains still far from its final resolution. Here one of the main problems is the problem of obtaining a physically adequate model of strongly gravitating object immersed in non-static cosmological background. Such objects are usually called ‘cosmological’ black holes and are of great interest in wide set of cosmological and astrophysical areas. In this work the set of new exact solutions of the Einstein equations is derived for the flat space that generalizes the known Lemaitre-Tolman-Bondi solution for the case of nonzero pressure. The solutions obtained are pretending to describe the black hole immersed in nonstatic cosmological background and give a possibility to investigate the hot problems concerning the effects of the cosmological expansion in gravitationally bounded systems, the structure formation in the early universe, black hole thermodynamics and other related problems. It is shown that each of the solutions obtained contains either the Reissner-Nordstrom or the Schwarzschild black hole in the central region of the space. It is demonstrated that the approach of the mass function use in solving of the Einstein equations allows clear physical interpretation of the resulting solutions, that is of much benefit to any their concrete application.

Keywords: exact solutions of the Einstein equations, cosmological black holes, generalized Lemaitre-Tolman-Bondi solutions, nonzero pressure

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Authors: Weihua Ruan, Kuan-Chou Chen

Abstract:

This paper is concerned with a system of Hamilton-Jacobi-Bellman equations coupled with an autonomous dynamical system. The mathematical system arises in the differential game formulation of political economy models as an infinite-horizon continuous-time differential game with discounted instantaneous payoff rates and continuously and discretely varying state variables. The existence of a weak solution of the PDE system is proven and a computational scheme of approximate solution is developed for a class of such systems. A model of democratization is mathematically analyzed as an illustration of application.

Keywords: Hamilton-Jacobi-Bellman equations, infinite-horizon differential games, continuous and discrete state variables, political-economy models

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Authors: M. S. H. Chowdhury, Ishak Hashim

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In this paper, linear and non-linear stiff systems of ordinary differential equations are solved by the classical Adomian decomposition method (ADM) and the multi-stage Adomian decomposition method (MADM). The MADM is a technique adapted from the standard Adomian decomposition method (ADM) where standard ADM is converted into a hybrid numeric-analytic method called the multistage ADM (MADM). The MADM is tested for several examples. Comparisons with an explicit Runge-Kutta-type method (RK) and the classical ADM demonstrate the limitations of ADM and promising capability of the MADM for solving stiff initial value problems (IVPs).

Keywords: stiff system of ODEs, Runge-Kutta Type Method, Adomian decomposition method, Multistage ADM

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Authors: Hesham A. Elkaranshawy, Amr M. Abdelrazek, Hosam M. Ezzat

Abstract:

The system of ordinary nonlinear differential equations describing sliding velocity during impact with friction for a three-dimensional rigid-multibody system is developed. No analytical solutions have been obtained before for this highly nonlinear system. Hence, a power series solution is proposed. Since the validity of this solution is limited to its convergence zone, a suitable time step is chosen and at the end of it a new series solution is constructed. For a case study, the trajectory of the sliding velocity using the proposed method is built using 6 time steps, which coincides with a Runge-Kutta solution using 38 time steps.

Keywords: impact with friction, nonlinear ordinary differential equations, power series solutions, rough collision

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Authors: E. Keramaris, V. Kanakoudis

Abstract:

In this study the water flow in an open channel over a sharp-crested weir is investigated experimentally. For this reason a series of laboratory experiments were performed in an open channel with a sharp-crested weir. The maximum head expected over the weir, the total upstream water height and the downstream water height of the impact in the constant bed of the open channel were measured. The discharge was measured using a tank put right after the open channel. In addition, the discharge and the upstream velocity were also calculated using already known equations. The main finding is that the relative error percentage for the majority of the experimental measurements is ± 4%, meaning that the calculation of the discharge with a sharp-crested weir gives very good results compared to the numerical results from known equations.

Keywords: sharp-crested weir, weir height, flow measurement, open channel flow

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Authors: Dmitry V. Fomichev, Vladimir V. Solonin

Abstract:

This paper presents the findings from a numerical simulation of the flow in 37-rod fuel assembly models spaced by a double-wire trapezoidal wrapping as applied to the BREST-OD-300 experimental nuclear reactor. Data on a high static pressure distribution within the models, and equations for determining the fuel bundle flow friction factors have been obtained. Recommendations are provided on using the closing turbulence models available in the ANSYS Fluent. A comparative analysis has been performed against the existing empirical equations for determining the flow friction factors. The calculated and experimental data fit has been shown. An analysis into the experimental data and results of the numerical simulation of the BREST-OD-300 fuel rod assembly hydrodynamic performance are presented.

Keywords: BREST-OD-300, ware-spaces, fuel assembly, computation fluid dynamics

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Authors: Sandeep Singh

Abstract:

In this article, two classes of iterative schemes are proposed for approximating solutions of nonlinear systems of equations whose orders of convergence are six and eight respectively. Sixth order scheme requires the evaluation of two vector-functions, two first Fr'echet derivatives and three matrices inversion per iteration. This three-step sixth-order method is further extended to eighth-order method which requires one more step and the evaluation of one extra vector-function. Moreover, computational efficiency is compared with some other recently published methods in which we found, our methods are more efficient than existing numerical methods for higher and medium size nonlinear system of equations. Numerical tests are performed to validate the proposed schemes.

Keywords: Nonlinear systems, Computational complexity, order of convergence, Jarratt-type scheme

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Authors: Aigul Manapova

Abstract:

We consider an optimal control problem in the higher coefficient of nonlinear equations with a divergent elliptic operator and unbounded nonlinearity, and the Dirichlet boundary condition. The conditions imposed on the coefficients of the state equation are assumed to hold only in a small neighborhood of the exact solution to the original problem. This assumption suggests that the state equation involves nonlinearities of unlimited growth and considerably expands the class of admissible functions as solutions of the state equation. We obtain formulas for the first partial derivatives of the objective functional with respect to the control functions. To calculate the gradients the numerical solutions of the state and adjoint problems are used. We also prove that the gradient of the cost function is Lipchitz continuous.

Keywords: cost functional, differentiability, divergent elliptic operator, optimal control, unbounded nonlinearity

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Authors: Radoslaw Pytlak, Damian Suski

Abstract:

The aim of the paper is to provide a computational tool for planning a haemodialysis process. It is shown that optimization methods can be used to obtain the most effective treatment focused on removing both urea and phosphorus during the process. In order to achieve that, the IV–compartment model of phosphorus kinetics is applied. This kinetics model takes into account a rebound phenomenon that can occur during haemodialysis and results in a hybrid model of the process. Furthermore, vector fields associated with the model equations are such that it is very likely that using the most intuitive objective functions in the planning problem could lead to solutions which include sliding motions. Therefore, building computational tools for solving the problem of planning a haemodialysis process has required constructing numerical algorithms for solving optimal control problems with hybrid systems. The paper concentrates on minimum time control of hybrid systems since this control objective is the most suitable for the haemodialysis process considered in the paper. The presented approach to optimal control problems with hybrid systems is different from the others in several aspects. First of all, it is assumed that a hybrid system can exhibit sliding modes. Secondly, the system’s motion on the switching surface is described by index 2 differential–algebraic equations, and that guarantees accurate tracking of the sliding motion surface. Thirdly, the gradients of the problem’s functionals are evaluated with the help of adjoint equations. The adjoint equations presented in the paper take into account sliding motion and exhibit jump conditions at transition times. The optimality conditions in the form of the weak maximum principle for optimal control problems with hybrid systems exhibiting sliding modes and with piecewise constant controls are stated. The presented sensitivity analysis can be used to construct globally convergent algorithms for solving considered problems. The paper presents numerical results of solving the haemodialysis planning problem.

Keywords: haemodialysis planning process, hybrid systems, optimal control, sliding motion

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Authors: Massimiliano Frezza, Sergio Bianchi, Augusto Pianese

Abstract:

The relation between stock price volatility and trading volume represents a controversial issue which has received a remarkable attention over the past decades. In fact, an extensive literature shows a positive relation between price volatility and trading volume in the financial markets, but the causal relationship which originates such association is an open question, from both a theoretical and empirical point of view. In this regard, various models, which can be considered as complementary rather than competitive, have been introduced to explain this relationship. They include the long debated Mixture of Distributions Hypothesis (MDH); the Sequential Arrival of Information Hypothesis (SAIH); the Dispersion of Beliefs Hypothesis (DBH); the Noise Trader Hypothesis (NTH). In this work, we analyze whether stock market efficiency can explain the diversity of results achieved during the years. For this purpose, we propose an alternative measure of market efficiency, based on the pointwise regularity of a stochastic process, which is the Hurst–H¨older dynamic exponent. In particular, we model the stock market by means of the multifractional Brownian motion (mBm) that displays the property of a time-changing regularity. Mostly, such models have in common the fact that they locally behave as a fractional Brownian motion, in the sense that their local regularity at time t0 (measured by the local Hurst–H¨older exponent in a neighborhood of t0 equals the exponent of a fractional Brownian motion of parameter H(t0)). Assuming that the stock price follows an mBm, we introduce and theoretically justify the Hurst–H¨older dynamical exponent as a measure of market efficiency. This allows to measure, at any time t, markets’ departures from the martingale property, i.e. from efficiency as stated by the Efficient Market Hypothesis. This approach is applied to financial markets; using data for the SP500 index from 1978 to 2017, on the one hand we find that when efficiency is not accounted for, a positive contemporaneous relationship emerges and is stable over time. Conversely, it disappears as soon as efficiency is taken into account. In particular, this association is more pronounced during time frames of high volatility and tends to disappear when market becomes fully efficient.

Keywords: volume–volatility relationship, efficient market hypothesis, martingale model, Hurst–Hölder exponent

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Authors: Raphael Zanella, Todd A. Oliver, Karl W. Schulz

Abstract:

This work deals with the finite element approximation of axisymmetric compressible flows with swirl velocity. We are interested in problems where the flow, while weakly dependent on the azimuthal coordinate, may have a strong azimuthal velocity component. We describe the approximation of the compressible Navier-Stokes equations with H1-conformal spaces of axisymmetric functions. The weak formulation is implemented in a C++ solver with explicit time marching. The code is first verified with a convergence test on a manufactured solution. The verification is completed by comparing the numerical and analytical solutions in a Poiseuille flow case and a Taylor-Couette flow case. The code is finally applied to the problem of a swirling subsonic air flow in a plasma torch geometry.

Keywords: axisymmetric problem, compressible Navier-Stokes equations, continuous finite elements, swirling flow

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Authors: D. Pradeep Mitra, Prafulla

Abstract:

Looking to the word propellant-less system it makes us to believe that it is an impossible one, but this paper demonstrates the use of microwaves to create a system which makes impossible to be possible, it means a propellant-less propulsion system using microwaves. In these thrusters, microwaves are radiated into a sealed parabolic cavity through a waveguide, which act on the surface of the cavity and follow the axis of the thrusters to produce thrust. The advantages of these thrusters are: (1) Producing thrust without propellant; without erosion, wear, and thermal stress from the hot exhaust gas; and at the same time increasing quality. (2) If the microwave output power is stable, the performance of thrusters is not affected by its working environment. This paper is demonstrated from general maxwell equations. These equations are used to create the mathematical model of the thrusters. These mathematical model helps us to calculate the Q factor and calculate the approximate thrust which would be generated in the system.

Keywords: propellant less, microwaves, parabolic wave guide, propulsion system

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