42,723 research outputs found
A stochastic approximation for fully nonlinear free boundary parabolic problems
Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/106675/1/num21841.pd
Hybrid PDE solver for data-driven problems and modern branching
The numerical solution of large-scale PDEs, such as those occurring in
data-driven applications, unavoidably require powerful parallel computers and
tailored parallel algorithms to make the best possible use of them. In fact,
considerations about the parallelization and scalability of realistic problems
are often critical enough to warrant acknowledgement in the modelling phase.
The purpose of this paper is to spread awareness of the Probabilistic Domain
Decomposition (PDD) method, a fresh approach to the parallelization of PDEs
with excellent scalability properties. The idea exploits the stochastic
representation of the PDE and its approximation via Monte Carlo in combination
with deterministic high-performance PDE solvers. We describe the ingredients of
PDD and its applicability in the scope of data science. In particular, we
highlight recent advances in stochastic representations for nonlinear PDEs
using branching diffusions, which have significantly broadened the scope of
PDD.
We envision this work as a dictionary giving large-scale PDE practitioners
references on the very latest algorithms and techniques of a non-standard, yet
highly parallelizable, methodology at the interface of deterministic and
probabilistic numerical methods. We close this work with an invitation to the
fully nonlinear case and open research questions.Comment: 23 pages, 7 figures; Final SMUR version; To appear in the European
Journal of Applied Mathematics (EJAM
Cumulant expansions for atmospheric flows
The equations governing atmospheric flows are nonlinear. Consequently, the
hierarchy of cumulant equations is not closed. But because atmospheric flows
are inhomogeneous and anisotropic, the nonlinearity may manifest itself only
weakly through interactions of mean fields with disturbances such as thermals
or eddies. In such situations, truncations of the hierarchy of cumulant
equations hold promise as a closure strategy.
We review how truncations at second order can be used to model and elucidate
the dynamics of atmospheric flows. Two examples are considered. First, we study
the growth of a dry convective boundary layer, which is heated from below,
leading to turbulent upward energy transport and growth of the boundary layer.
We demonstrate that a quasilinear truncation of the equations of motion, in
which interactions of disturbances among each other are neglected but
interactions with mean fields are taken into account, can capture the growth of
the convective boundary layer even if it does not capture important turbulent
transport terms. Second, we study the evolution of two-dimensional large-scale
waves representing waves in Earth's upper atmosphere. We demonstrate that a
cumulant expansion truncated at second order (CE2) can capture the evolution of
such waves and their nonlinear interaction with the mean flow in some
circumstances, for example, when the wave amplitude is small enough or the
planetary rotation rate is large enough. However, CE2 fails to capture the flow
evolution when nonlinear eddy--eddy interactions in surf zones become
important. Higher-order closures can capture these missing interactions.
The results point to new ways in which the dynamics of turbulent boundary
layers may be represented in climate models, and they illustrate different
classes of nonlinear processes that can control wave dissipation and momentum
fluxes in the troposphere.Comment: 43 pages, 10 figures, accepted for publication in the New Journal of
Physic
Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem
In this paper we propose and analyze a method based on the Riccati
transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation
arising from the stochastic dynamic optimal allocation problem. We show how the
fully nonlinear Hamilton-Jacobi-Bellman equation can be transformed into a
quasi-linear parabolic equation whose diffusion function is obtained as the
value function of certain parametric convex optimization problem. Although the
diffusion function need not be sufficiently smooth, we are able to prove
existence, uniqueness and derive useful bounds of classical H\"older smooth
solutions. We furthermore construct a fully implicit iterative numerical scheme
based on finite volume approximation of the governing equation. A numerical
solution is compared to a semi-explicit traveling wave solution by means of the
convergence ratio of the method. We compute optimal strategies for a portfolio
investment problem motivated by the German DAX 30 Index as an example of
application of the method
Numerical approximation of poroelasticity with random coefficients using Polynomial Chaos and Hybrid High-Order methods
In this work, we consider the Biot problem with uncertain poroelastic
coefficients. The uncertainty is modelled using a finite set of parameters with
prescribed probability distribution. We present the variational formulation of
the stochastic partial differential system and establish its well-posedness. We
then discuss the approximation of the parameter-dependent problem by
non-intrusive techniques based on Polynomial Chaos decompositions. We
specifically focus on sparse spectral projection methods, which essentially
amount to performing an ensemble of deterministic model simulations to estimate
the expansion coefficients. The deterministic solver is based on a Hybrid
High-Order discretization supporting general polyhedral meshes and arbitrary
approximation orders. We numerically investigate the convergence of the
probability error of the Polynomial Chaos approximation with respect to the
level of the sparse grid. Finally, we assess the propagation of the input
uncertainty onto the solution considering an injection-extraction problem.Comment: 30 pages, 15 Figure
Nonlinear Parabolic Equations arising in Mathematical Finance
This survey paper is focused on qualitative and numerical analyses of fully
nonlinear partial differential equations of parabolic type arising in financial
mathematics. The main purpose is to review various non-linear extensions of the
classical Black-Scholes theory for pricing financial instruments, as well as
models of stochastic dynamic portfolio optimization leading to the
Hamilton-Jacobi-Bellman (HJB) equation. After suitable transformations, both
problems can be represented by solutions to nonlinear parabolic equations.
Qualitative analysis will be focused on issues concerning the existence and
uniqueness of solutions. In the numerical part we discuss a stable
finite-volume and finite difference schemes for solving fully nonlinear
parabolic equations.Comment: arXiv admin note: substantial text overlap with arXiv:1603.0387
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