Search results for: Discontinuous Galerkin method

Authors: Peerapong Uthansakul, Monthippa Uthansakul

Abstract:

The rapid growth of e-Commerce services is significantly observed in the past decade. However, the method to verify the authenticated users still widely depends on numeric approaches. A new search on other verification methods suitable for online e-Commerce is an interesting issue. In this paper, a new online signature-verification method using angular transformation is presented. Delay shifts existing in online signatures are estimated by the estimation method relying on angle representation. In the proposed signature-verification algorithm, all components of input signature are extracted by considering the discontinuous break points on the stream of angular values. Then the estimated delay shift is captured by comparing with the selected reference signature and the error matching can be computed as a main feature used for verifying process. The threshold offsets are calculated by two types of error characteristics of the signature verification problem, False Rejection Rate (FRR) and False Acceptance Rate (FAR). The level of these two error rates depends on the decision threshold chosen whose value is such as to realize the Equal Error Rate (EER; FAR = FRR). The experimental results show that through the simple programming, employed on Internet for demonstrating e-Commerce services, the proposed method can provide 95.39% correct verifications and 7% better than DP matching based signature-verification method. In addition, the signature verification with extracting components provides more reliable results than using a whole decision making.

Keywords: Online signature verification, e-Commerce services, Angular transformation.

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Authors: Foad Nazari, Seyed Mahmood Hosseini, Mohammad Hossein Abolbashari, Mohammad Hassan Abolbashari

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The present study is concerned with the optimal design of functionally graded plates using particle swarm optimization (PSO) algorithm. In this study, meshless local Petrov-Galerkin (MLPG) method is employed to obtain the functionally graded (FG) plate’s natural frequencies. Effects of two parameters including thickness to height ratio and volume fraction index on the natural frequencies and total mass of plate are studied by using the MLPG results. Then the first natural frequency of the plate, for different conditions where MLPG data are not available, is predicted by an artificial neural network (ANN) approach which is trained by back-error propagation (BEP) technique. The ANN results show that the predicted data are in good agreement with the actual one. To maximize the first natural frequency and minimize the mass of FG plate simultaneously, the weighted sum optimization approach and PSO algorithm are used. However, the proposed optimization process of this study can provide the designers of FG plates with useful data.

Keywords: Optimal design, natural frequency, FG plate, hybrid meshless method, MLPG method, ANN approach, particle swarm optimization.

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Authors: M. Amiri

Abstract:

In this work, functionally graded materials (FGMs), subjected to loading, which varies with time has been studied. The material properties of FGM are changing through the thickness of material as power law distribution. The conical shells have been chosen for this study so in the first step capability equations for FGM have been obtained. With Galerkin method, these equations have been replaced with time dependant differential equations with variable coefficient. These equations have solved for different initial conditions with variation methods. Important parameters in loading conditions are semi-vertex angle, external pressure and material properties. Results validation has been done by comparison between with those in previous studies of other researchers.

Keywords: Impulsive semi-vertex angle, loading, functionally graded materials, composite material.

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Authors: S. Ali Al-Mawsawi, Fadhel A. Albasri

Abstract:

The paper presents a simple and an accurate formula that has been developed for the conduction angle (δ) of a single phase half-wave or full-wave controlled rectifier with RL load. This formula can be also used for calculating the conduction angle (δ) in case of A.C. voltage regulator with inductive load under discontinuous current mode. The simulation results shows that the conduction angle calculated from the developed formula agree very well with that obtained from the exact solution arrived from the iterative method. Applying the developed formula can reduce the computational time and reduce the time for manual classroom calculation. In addition, the proposed formula is attractive for real time implementations.

Keywords: Conduction Angle, Firing Angle, Excitation Angle, Load Angle.

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Authors: Salah Alrabeei, Mohammad Yousuf

Abstract:

The goal of option pricing theory is to help the investors to manage their money, enhance returns and control their financial future by theoretically valuing their options. However, most of the option pricing models have no analytical solution. Furthermore, not all the numerical methods are efficient to solve these models because they have nonsmoothing payoffs or discontinuous derivatives at the exercise price. In this paper, we solve the American option under jump diffusion models by using efficient time-dependent numerical methods. several techniques are integrated to reduced the overcome the computational complexity. Fast Fourier Transform (FFT) algorithm is used as a matrix-vector multiplication solver, which reduces the complexity from O(M2) into O(M logM). Partial fraction decomposition technique is applied to rational approximation schemes to overcome the complexity of inverting polynomial of matrices. The proposed method is easy to implement on serial or parallel versions. Numerical results are presented to prove the accuracy and efficiency of the proposed method.

Keywords: Integral differential equations, American options, jump–diffusion model, rational approximation.

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Authors: Izzati K. Khalid, Nor Fadzillah M. Mokhtar, Norihan Md. Arifin

Abstract:

The effect of internal heat generation is applied to the Rayleigh-Benard convection in a horizontal micropolar fluid layer. The bounding surfaces of the liquids are considered to be rigid-free, rigid-rigid and free-free with the combination of isothermal on the spin-vanishing boundaries. A linear stability analysis is used and the Galerkin method is employed to find the critical stability parameters numerically. It is shown that the critical Rayleigh number decreases as the value of internal heat generation increase and hence destabilize the system.

Keywords: Internal heat generation, micropolar fluid, rayleighbenard convection.

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Authors: Masamitsu Chikaraishi, Mutsuto Kawahara

Abstract:

This paper focuses on a technique for identifying the geological boundary of the ground strata in front of a tunnel excavation site using the first order adjoint method based on the optimal control theory. The geological boundary is defined as the boundary which is different layers of elastic modulus. At tunnel excavations, it is important to presume the ground situation ahead of the cutting face beforehand. Excavating into weak strata or fault fracture zones may cause extension of the construction work and human suffering. A theory for determining the geological boundary of the ground in a numerical manner is investigated, employing excavating blasts and its vibration waves as the observation references. According to the optimal control theory, the performance function described by the square sum of the residuals between computed and observed velocities is minimized. The boundary layer is determined by minimizing the performance function. The elastic analysis governed by the Navier equation is carried out, assuming the ground as an elastic body with linear viscous damping. To identify the boundary, the gradient of the performance function with respect to the geological boundary can be calculated using the adjoint equation. The weighed gradient method is effectively applied to the minimization algorithm. To solve the governing and adjoint equations, the Galerkin finite element method and the average acceleration method are employed for the spatial and temporal discretizations, respectively. Based on the method presented in this paper, the different boundary of three strata can be identified. For the numerical studies, the Suemune tunnel excavation site is employed. At first, the blasting force is identified in order to perform the accuracy improvement of analysis. We identify the geological boundary after the estimation of blasting force. With this identification procedure, the numerical analysis results which almost correspond with the observation data were provided.

Keywords: Parameter identification, finite element method, average acceleration method, first order adjoint equation method, weighted gradient method, geological boundary, navier equation, optimal control theory.

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Authors: Behrang Tavousi Tehrani, Mohammad-Zaman Kabir

Abstract:

Shape memory alloys (SMA) are often implemented in smart structures as the active components. Their ability to recover large displacements has been used in many applications, including structural stability/response enhancement and active structural acoustic control. SMA wires or fibers can be embedded with composite cylinders to increase their critical buckling load, improve their load-deflection behavior, and reduce the radial deflections under various thermo-mechanical loadings. This paper presents a semi-analytical investigation on the non-linear load-deflection response of SMA-reinforced composite circular cylindrical shells. The cylinder shells are under uniform external pressure load. Based on first-order shear deformation shell theory (FSDT), the equilibrium equations of the structure are derived. One-dimensional simplified Brinson’s model is used for determining the SMA recovery force due to its simplicity and accuracy. Airy stress function and Galerkin technique are used to obtain non-linear load-deflection curves. The results are verified by comparing them with those in the literature. Several parametric studies are conducted in order to investigate the effect of SMA volume fraction, SMA pre-strain value, and SMA activation temperature on the response of the structure. It is shown that suitable usage of SMA wires results in a considerable enhancement in the load-deflection response of the shell due to the generation of the SMA tensile recovery force.

Keywords: Airy stress function, cylindrical shell, Galerkin technique, load-deflection curve, recovery stress, shape memory alloy.

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Authors: Zachariah Sinkala

Abstract:

A systems approach model for prostate cancer in prostate duct, as a sub-system of the organism is developed. It is accomplished in two steps. First this research work starts with a nonlinear system of coupled Fokker-Plank equations which models continuous process of the system like motion of cells. Then extended to PDEs that include discontinuous processes like cell mutations, proliferation and deaths. The discontinuous processes is modeled by using intensity poisson processes. The model incorporates the features of the prostate duct. The system of PDEs spatial coordinate is along the proximal distal axis. Its parameters depend on features of the prostate duct. The movement of cells is biased towards distal region and mutations of prostate cancer cells is localized in the proximal region. Numerical solutions of the full system of equations are provided, and are exhibit traveling wave fronts phenomena. This motivates the use of the standard transformation to derive a canonically related system of ODEs for traveling wave solutions. The results obtained show persistence of prostate cancer by showing that the non-negative cone for the traveling wave system is time invariant. The traveling waves have a unique global attractor is proved also. Biologically, the global attractor verifies that evolution of prostate cancer stem cells exhibit the avascular tumor growth. These numerical solutions show that altering prostate stem cell movement or mutation of prostate cancer cells lead to avascular tumor. Conclusion with comments on clinical implications of the model is discussed.

Keywords: Fokker-Plank equations, global attractor, stem cell.

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Authors: Y. Galerkin, K. Soldatova, A. Drozdov

Abstract:

The 6th version of Universal modeling method for centrifugal compressor stage calculation is described. Identification of the new mathematical model was made. As a result of identification the uniform set of empirical coefficients is received. The efficiency definition error is 0,86 % at a design point. The efficiency definition error at five flow rate points (except a point of the maximum flow rate) is 1,22 %. Several variants of the stage with 3D impellers designed by 6th version program and quasi threedimensional calculation programs were compared by their gas dynamic performances CFD (NUMECA FINE TURBO). Performance comparison demonstrated general principles of design validity and leads to some design recommendations.

Keywords: Compressor design, loss model, performance prediction, test data, model stages, flow rate coefficient, work coefficient.

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Authors: Y. Galerkin, A. Rekstin, K. Soldatova

Abstract:

Universal modeling method well proven for industrial compressors was applied for design of the high flow rate supersonic stage. Results were checked by ANSYS CFX and NUMECA Fine Turbo calculations. The impeller appeared to be very effective at transonic flow velocities. Stator elements efficiency is acceptable at design Mach numbers too. Their loss coefficient versus inlet flow angle performances correlates well with Universal modeling prediction. The impeller demonstrates ability of satisfactory operation at design flow rate. Supersonic flow behavior in the impeller inducer at the shroud blade to blade surface Φ des deserves additional study.

Keywords: Centrifugal compressor stage, supersonic impeller, inlet flow angle, loss coefficient, return channel, shock wave, vane diffuser.

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Authors: T. H. Young, S. J. Huang, Y. S. Chiu

Abstract:

This paper investigates the parametric stability of an axially moving web subjected to non-uniform in-plane edge excitations on two opposite, simply-supported edges. The web is modeled as a viscoelastic plate whose constitutive relation obeys the Kelvin-Voigt model, and the in-plane edge excitations are expressed as the sum of a static tension and a periodical perturbation. Due to the in-plane edge excitations, the moving plate may bring about parametric instability under certain situations. First, the in-plane stresses of the plate due to the non-uniform edge excitations are determined by solving the in-plane forced vibration problem. Then, the dependence on the spatial coordinates in the equation of transverse motion is eliminated by the generalized Galerkin method, which results in a set of discretized system equations in time. Finally, the method of multiple scales is utilized to solve the set of system equations analytically if the periodical perturbation of the in-plane edge excitations is much smaller as compared with the static tension of the plate, from which the stability boundaries of the moving plate are obtained. Numerical results reveal that only combination resonances of the summed-type appear under the in-plane edge excitations considered in this work.

Keywords: Axially moving viscoelastic plate, in-plane periodic excitation, non-uniformly distributed edge tension, dynamic stability.

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Authors: V. Tawiwat, T. Amornthep, P. Pnop

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Both the minimum energy consumption and smoothness, which is quantified as a function of jerk, are generally needed in many dynamic systems such as the automobile and the pick-and-place robot manipulator that handles fragile equipments. Nevertheless, many researchers come up with either solely concerning on the minimum energy consumption or minimum jerk trajectory. This research paper considers the indirect minimum Jerk method for higher order differential equation in dynamics optimization proposes a simple yet very interesting indirect jerks approaches in designing the time-dependent system yielding an alternative optimal solution. Extremal solutions for the cost functions of indirect jerks are found using the dynamic optimization methods together with the numerical approximation. This case considers the linear equation of a simple system, for instance, mass, spring and damping. The simple system uses two mass connected together by springs. The boundary initial is defined the fix end time and end point. The higher differential order is solved by Galerkin-s methods weight residual. As the result, the 6th higher differential order shows the faster solving time.

Keywords: Optimization, Dynamic, Linear Systems, Jerks.

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Authors: Kuan-Liang Liu, Eric Lee, Jung-Jyh Lee, Jyh-Ping Hsu

Abstract:

The electrical interaction between two axisymmetric spheroidal particles in an electrolyte solution is examined numerically. A Galerkin finite element method combined with a Newton-Raphson iteration scheme is proposed to evaluate the spatial variation in the electrical potential, and the result obtained used to estimate the interaction energy between two particles. We show that if the surface charge density is fixed, the potential gradient is larger at a point, which has a larger curvature, and if surface potential is fixed, surface charge density is proportional to the curvature. Also, if the total interaction energy against closest surface-to-surface curve exhibits a primary maximum, the maximum follows the order (oblate-oblate) > (sphere-sphere)>(oblate-prolate)>(prolate-prolate), and if the curve has a secondary minimum, the absolute value of the minimum follows the same order.

Keywords: interaction energy, interaction force, Poisson-Boltzmann equation, spheroid.

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Authors: Yu-Kai Ting, Jia-Ying Tu, Chung-Chun Hsiao

Abstract:

New physical insights into the nonlinear Lorenz equations related to flow resistance is discussed in this work. The chaotic dynamics related to Lorenz equations has been studied in many papers, which is due to the sensitivity of Lorenz equations to initial conditions and parameter uncertainties. However, the physical implication arising from Lorenz equations about convectional motion attracts little attention in the relevant literature. Therefore, as a first step to understand the related fluid mechanics of convectional motion, this paper derives the Lorenz equations again with different forced conditions in the model. Simulation work of the modified Lorenz equations without the viscosity or buoyancy force is discussed. The time-domain simulation results may imply that the states of the Lorenz equations are related to certain flow speed and flow resistance. The flow speed of the underlying fluid system increases as the flow resistance reduces. This observation would be helpful to analyze the coupling effects of different fluid parameters in a convectional model in future work.

Keywords: Galerkin method, Lorenz equations, Navier-Stokes equations.

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Authors: Mohd Nasir Mahmud, Ruwaidiah Idris, Ishak Hashim

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With the presence of a uniform vertical magnetic field and suspended particles, thermocapillary instability in a horizontal liquid layer is investigated. The resulting eigenvalue is solved by the Galerkin technique for various basic temperature gradients. It is found that the presence of magnetic field always has a stability effect of increasing the critical Marangoni number.

Keywords: Marangoni convection, Magnetic field, Micropolar fluid, Non-uniform thermal gradient, Thermocapillary.

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Authors: S. H. Teh, S. Malawaraarachci, W. P. Chan, A. Nassirharand

Abstract:

The purpose of this paper is to present the design and instrumentation of a new benchmark multivariable nonlinear control laboratory. The mathematical model of this system may be used to test the applicability and performance of various nonlinear control procedures. The system is a two degree-of-freedom robotic arm with soft and hard (discontinuous) nonlinear terms. Two novel mechanisms are designed to allow the implementation of adjustable Coulomb friction and backlash.

Keywords: Nonlinear control, describing functions, AdjustableCoulomb friction, Adjustable backlash.

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Authors: Neslihan Genckal, Reha Gursoy, Vedat Z. Dogan

Abstract:

In this study, dynamic responses of composite plates on elastic foundations subjected to impact and moving loads are investigated. The first order shear deformation (FSDT) theory is used for moderately thick plates. Pasternak-type (two-parameter) elastic foundation is assumed. Elastic foundation effects are integrated into the governing equations. It is assumed that plate is first hit by a mass as an impact type loading then the mass continues to move on the composite plate as a distributed moving loading, which resembles the aircraft landing on airport pavements. Impact and moving loadings are modeled by a mass-spring-damper system with a wheel. The wheel is assumed to be continuously in contact with the plate after impact. The governing partial differential equations of motion for displacements are converted into the ordinary differential equations in the time domain by using Galerkin’s method. Then, these sets of equations are solved by using the Runge-Kutta method. Several parameters such as vertical and horizontal velocities of the aircraft, volume fractions of the steel rebar in the reinforced concrete layer, and the different touchdown locations of the aircraft tire on the runway are considered in the numerical simulation. The results are compared with those of the ABAQUS, which is a commercial finite element code.

Keywords: Elastic foundation, impact, moving load, thick plate.

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Authors: Tran Trong Thang, Nguyen Phan Kien, Trinh Quang Duc

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The phased-array ultrasound transducer types are utilities for medical ultrasonography as well as optical imaging. However, their discontinuity characteristic limits the applications due to the artifacts contaminated into the reconstructed images. Because of the effects of the ultrasound pressure field pattern to the echo ultrasonic waves as well as the optical modulated signal, the side lobes of the focused ultrasound beam induced by discontinuity of the phased-array ultrasound transducer might the reason of the artifacts. In this paper, a simple method in approach of numerical simulation was used to investigate the limitation of discontinuity of the elements in phased-array ultrasound transducer and their effects to the ultrasound pressure field. Take into account the change of ultrasound pressure field patterns in the conditions of variation of the pitches between elements of the phased-array ultrasound transducer, the appropriated parameters for phased-array ultrasound transducer design were asserted quantitatively.

Keywords: Phased-array ultrasound transducer, sound pressure pattern, discontinuous sound field, numerical visualization.

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Authors: Win Ko Ko, A. N. Temnov

Abstract:

The problem of nonlinear oscillations of a two-layer liquid completely filling a limited volume is considered. Using two basic asymmetric harmonics excited in two mutually perpendicular planes, ordinary differential equations of nonlinear oscillations of the interface of a two-layer liquid are investigated. In this paper, hydrodynamic coefficients of linear and nonlinear problems in integral relations were determined. As a result, the instability regions of forced oscillations of a two-layered liquid in a cylindrical tank occurring in the plane of action of the disturbing force are constructed, as well as the dynamic instability regions of the parametric resonance for different ratios of densities of the upper and lower liquids depending on the amplitudes of liquids from the excitations frequencies. Steady-state regimes of fluid motion were found in the regions of dynamic instability of the initial oscillation form. The Bubnov-Galerkin method is used to construct instability regions for approximate solution of nonlinear differential equations.

Keywords: Hydrodynamic coefficients, instability region, nonlinear oscillations, resonance frequency, two-layered liquid.

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Authors: A. Hung, K. Mithraratne, M. Sagar, P. Hunter

Abstract:

A biophysically based multilayer continuum model of the facial soft tissue composite has been developed for simulating wrinkle formation. The deformed state of the soft tissue block was determined by solving large deformation mechanics equations using the Galerkin finite element method. The proposed soft tissue model is composed of four layers with distinct mechanical properties. These include stratum corneum, epidermal-dermal layer (living epidermis and dermis), subcutaneous tissue and the underlying muscle. All the layers were treated as non-linear, isotropic Mooney Rivlin materials. Contraction of muscle fibres was approximated using a steady-state relationship between the fibre extension ratio, intracellular calcium concentration and active stress in the fibre direction. Several variations of the model parameters (stiffness and thickness of epidermal-dermal layer, thickness of subcutaneous tissue layer) have been considered.

Keywords: Bio-physically based, soft tissue mechanics, facialtissue composite, wrinkling.

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Authors: M. A. Ghorbani, M. Pasbani Khiavi

Abstract:

In this paper, the dam-reservoir interaction is analyzed using a finite element approach. The fluid is assumed to be incompressible, irrotational and inviscid. The assumed boundary conditions are that the interface of the dam and reservoir is vertical and the bottom of reservoir is rigid and horizontal. The governing equation for these boundary conditions is implemented in the developed finite element code considering the horizontal and vertical earthquake components. The weighted residual standard Galerkin finite element technique with 8-node elements is used to discretize the equation that produces a symmetric matrix equation for the damreservoir system. A new boundary condition is proposed for truncating surface of unbounded fluid domain to show the energy dissipation in the reservoir, through radiation in the infinite upstream direction. The Sommerfeld-s and perfect damping boundary conditions are also implemented for a truncated boundary to compare with the proposed far end boundary. The results are compared with an analytical solution to demonstrate the accuracy of the proposed formulation and other truncated boundary conditions in modeling the hydrodynamic response of an infinite reservoir.

Keywords: Reservoir, finite element, truncated boundary, hydrodynamic pressure

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Authors: V.Sivaraman, S. Sankaran, L. Vijayaraghavan

Abstract:

Machining through turning was carried out in a lathe to study the chip formation of Multiphase Ferrite (F-B-M) microalloyed steel. Taguchi orthogonal array was employed to perform the machining. Continuous and discontinuous chips were formed for different cutting parameters like speed, feed and depth of cut. Optical and scanning electron microscope was employed to identify the chip morphology.

Keywords: Multiphase microalloyed steel, chip formation, Taguchi technique, turning, cutting parameters

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Authors: Salma Parvin, M. A. Alim

Abstract:

The convective and radiative heat transfer performance and entropy generation on forced convection through a direct absorption solar collector (DASC) is investigated numerically. Four different fluids, including Cu-water nanofluid, Al₂O₃-waternanofluid, TiO₂-waternanofluid, and pure water are used as the working fluid. Entropy production has been taken into account in addition to the collector efficiency and heat transfer enhancement. Penalty finite element method with Galerkin’s weighted residual technique is used to solve the governing non-linear partial differential equations. Numerical simulations are performed for the variation of mass flow rate. The outcomes are presented in the form of isotherms, average output temperature, the average Nusselt number, collector efficiency, average entropy generation, and Bejan number. The results present that the rate of heat transfer and collector efficiency enhance significantly for raising the values of m up to a certain range.

Keywords: DASC, forced convection, mass flow rate, nanofluid.

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Authors: M. A. Ghorbani, M. Pasbani Khiavi, F. Rezaie Moghaddam

Abstract:

In the analysis of structures, the nonlinear effects due to large displacement, large rotation and materially-nonlinear are very important and must be considered for the reliable analysis. The non-linear fmite element analysis has potential as usable and reliable means for analyzing of civil structures with the availability of computer technology. In this research the large displacements and materially nonlinear behavior of shear wall is presented with developing of fmite element code using the standard Galerkin weighted residual formulation. Two-dimensional plane stress model was carried out to present the shear wall response. Total Lagangian formulation, which is computationally more effective, is used in the formulation of stiffness matrices and the Newton-Raphson method is applied for the solution of nonlinear transient equations. The details of the program formulation are highlighted and the results of the analyses are presented, along with a comparison of the response of the structure with Ansys software results. The presented model in this paper can be developed for nonlinear analysis of civil engineering structures with different material behavior and complicated geometry.

Keywords: Finite element, large displacements, materially nonlinear, shear wall.

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Authors: Y. Galerkin, O. Solovieva

Abstract:

Parameters of flow are calculated in vaneless diffusers with relative width 0,014–0,10. Inlet angles of flow and similarity criteria were varied. There is information on flow separation, boundary layer development, configuration of streamlines. Polytrophic efficiency, loss coefficient and recovery coefficient are used to compare effectiveness of diffusers. The sample of optimization of narrow diffuser with conical walls is presented. Three wide diffusers with narrowing walls are compared. The work is made in the R&D laboratory “Gas dynamics of turbo machines” of the TU SPb.

Keywords: Vaneless diffuser, relative width, flow angle, flow separation, loss coefficient, similarity criteria.

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Authors: Tooraj Hakim Elahi, Abdolamir Nekoubin

Abstract:

In many applications, magnetic suspension systems are required to operate over large variations in air gap. As a result, the nonlinearities inherent in most types of suspensions have a significant impact on performance. Specifically, it may be difficult to design a linear controller which gives satisfactory performance, stability, and disturbance rejection over a wide range of operating points. in this paper an optimal controller based on discontinuous mathematical model of the system for an electromagnetic suspension system which is applied in magnetic trains has been designed . Simulations show that the new controller can adapt well to the variance of suspension mass and gap, and keep its dynamic performance, thus it is superior to the classic controller.

Keywords: Magnetic Levitation, optimal controller, mass and gap

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Authors: Salah Alrabeei, Mohammad Yousuf

Abstract:

The goal of option pricing theory is to help the investors to manage their money, enhance returns and control their financial future by theoretically valuing their options. Modeling option pricing by Black-School models with jumps guarantees to consider the market movement. However, only numerical methods can solve this model. Furthermore, not all the numerical methods are efficient to solve these models because they have nonsmoothing payoffs or discontinuous derivatives at the exercise price. In this paper, the exponential time differencing (ETD) method is applied for solving partial integrodifferential equations arising in pricing European options under Merton’s and Kou’s jump-diffusion models. Fast Fourier Transform (FFT) algorithm is used as a matrix-vector multiplication solver, which reduces the complexity from O(M2) into O(M logM). A partial fraction form of Pad`e schemes is used to overcome the complexity of inverting polynomial of matrices. These two tools guarantee to get efficient and accurate numerical solutions. We construct a parallel and easy to implement a version of the numerical scheme. Numerical experiments are given to show how fast and accurate is our scheme.

Keywords: Integral differential equations, L-stable methods, pricing European options, Jump–diffusion model.

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Authors: R. Bhargava, Sonam Singh

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In the present study, a numerical analysis is carried out to investigate unsteady MHD (magneto-hydrodynamic) flow and heat transfer of a non-Newtonian second grade viscoelastic fluid over an oscillatory stretching sheet. The flow is induced due to an infinite elastic sheet which is stretched oscillatory (back and forth) in its own plane. Effect of viscous dissipation and joule heating are taken into account. The non-linear differential equations governing the problem are transformed into system of non-dimensional differential equations using similarity transformations. A newly developed meshfree numerical technique Element free Galerkin method (EFGM) is employed to solve the coupled non linear differential equations. The results illustrating the effect of various parameters like viscoelastic parameter, Hartman number, relative frequency amplitude of the oscillatory sheet to the stretching rate and Eckert number on velocity and temperature field are reported in terms of graphs and tables. The present model finds its application in polymer extrusion, drawing of plastic films and wires, glass, fiber and paper production etc.

Keywords: EFGM, MHD, Oscillatory stretching sheet, Unsteady, Viscoelastic

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Authors: Phang Chang, Phang Piau

Abstract:

Wavelet transform or wavelet analysis is a recently developed mathematical tool in applied mathematics. In numerical analysis, wavelets also serve as a Galerkin basis to solve partial differential equations. Haar transform or Haar wavelet transform has been used as a simplest and earliest example for orthonormal wavelet transform. Since its popularity in wavelet analysis, there are several definitions and various generalizations or algorithms for calculating Haar transform. Fast Haar transform, FHT, is one of the algorithms which can reduce the tedious calculation works in Haar transform. In this paper, we present a modified fast and exact algorithm for FHT, namely Modified Fast Haar Transform, MFHT. The algorithm or procedure proposed allows certain calculation in the process decomposition be ignored without affecting the results.

Keywords: Fast Haar Transform, Haar transform, Wavelet analysis.

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