Hybrid computer Monte-Carlo techniques

Hybrid analog-digital computer systems for Monte Carlo method application

Analog, hybrid, and digital simulation

Analog, hybrid, and digital computerized simulation technique

Scalable Approach to Uncertainty Quantification and Robust Design of Interconnected Dynamical Systems

Development of robust dynamical systems and networks such as autonomous aircraft systems capable of accomplishing complex missions faces challenges due to the dynamically evolving uncertainties coming from model uncertainties, necessity to operate in a hostile cluttered urban environment, and the distributed and dynamic nature of the communication and computation resources. Model-based robust design is difficult because of the complexity of the hybrid dynamic models including continuous vehicle dynamics, the discrete models of computations and communications, and the size of the problem. We will overview recent advances in methodology and tools to model, analyze, and design robust autonomous aerospace systems operating in uncertain environment, with stress on efficient uncertainty quantification and robust design using the case studies of the mission including model-based target tracking and search, and trajectory planning in uncertain urban environment. To show that the methodology is generally applicable to uncertain dynamical systems, we will also show examples of application of the new methods to efficient uncertainty quantification of energy usage in buildings, and stability assessment of interconnected power networks

The pseudo-compartment method for coupling PDE and compartment-based models of diffusion

Spatial reaction-diffusion models have been employed to describe many emergent phenomena in biological systems. The modelling technique most commonly adopted in the literature implements systems of partial differential equations (PDEs), which assumes there are sufficient densities of particles that a continuum approximation is valid. However, due to recent advances in computational power, the simulation, and therefore postulation, of computationally intensive individual-based models has become a popular way to investigate the effects of noise in reaction-diffusion systems in which regions of low copy numbers exist. The stochastic models with which we shall be concerned in this manuscript are referred to as `compartment-based'. These models are characterised by a discretisation of the computational domain into a grid/lattice of `compartments'. Within each compartment particles are assumed to be well-mixed and are permitted to react with other particles within their compartment or to transfer between neighbouring compartments. We develop two hybrid algorithms in which a PDE is coupled to a compartment-based model. Rather than attempting to balance average fluxes, our algorithms answer a more fundamental question: `how are individual particles transported between the vastly different model descriptions?' First, we present an algorithm derived by carefully re-defining the continuous PDE concentration as a probability distribution. Whilst this first algorithm shows strong convergence to analytic solutions of test problems, it can be cumbersome to simulate. Our second algorithm is a simplified and more efficient implementation of the first, it is derived in the continuum limit over the PDE region alone. We test our hybrid methods for functionality and accuracy in a variety of different scenarios by comparing the averaged simulations to analytic solutions of PDEs for mean concentrations.Comment: MAIN - 24 pages, 10 figures, 1 supplementary file - 3 pages, 2 figure

Evaluating of path-dependent securities with low discrepancy methods

The objective of this thesis is the implementation of Monte Carlo and quasi-Monte Carlo methods for the valuation of financial derivatives. Advantages and disadvantages of each method are stated based on both the literature and on independent computational experiments by the author. Various methods to generate pseudo-random and quasi-random sequences are implemented in a computationally uniform way to enable objective comparisons. Code is developed in VBA and C++, with the C++ code converted to a COM object to make it callable from Microsoft Excel and Matlab. From the simulated random sequences Brownian motion paths are built using various constructions and variance-reduction techniques including Brownian Bridge and Latin hypercube. The power and efficiency of the methods is compared on four financial securities pricing problems: European options, Asian options, barrier options and mortgage-backed securities. In this paper a detailed step-by-step algorithm is given for each method (construction of pseudo- and quasi-random sequences, Brownian motion paths for some stochastic processes, variance- and dimension- reduction techniques, evaluation of some financial securities using different variance-reduction techniques etc)

Modeling and Simulation in Engineering

The Special Issue Modeling and Simulation in Engineering, belonging to the section Engineering Mathematics of the Journal Mathematics, publishes original research papers dealing with advanced simulation and modeling techniques. The present book, “Modeling and Simulation in Engineering I, 2022”, contains 14 papers accepted after peer review by recognized specialists in the field. The papers address different topics occurring in engineering, such as ferrofluid transport in magnetic fields, non-fractal signal analysis, fractional derivatives, applications of swarm algorithms and evolutionary algorithms (genetic algorithms), inverse methods for inverse problems, numerical analysis of heat and mass transfer, numerical solutions for fractional differential equations, Kriging modelling, theory of the modelling methodology, and artificial neural networks for fault diagnosis in electric circuits. It is hoped that the papers selected for this issue will attract a significant audience in the scientific community and will further stimulate research involving modelling and simulation in mathematical physics and in engineering