Quadratic optimal functional quantization of stochastic processes and numerical applications

In this paper, we present an overview of the recent developments of functional quantization of stochastic processes, with an emphasis on the quadratic case. Functional quantization is a way to approximate a process, viewed as a Hilbert-valued random variable, using a nearest neighbour projection on a finite codebook. A special emphasis is made on the computational aspects and the numerical applications, in particular the pricing of some path-dependent European options.Comment: 41 page

A Multi-Step Richardson-Romberg Extrapolation Method For Stochastic Approximation

We obtain an expansion of the implicit weak discretization error for the target of stochastic approximation algorithms introduced and studied in [Frikha2013]. This allows us to extend and develop the Richardson-Romberg extrapolation method for Monte Carlo linear estimator (introduced in [Talay & Tubaro 1990] and deeply studied in [Pag{\`e}s 2007]) to the framework of stochastic optimization by means of stochastic approximation algorithm. We notably apply the method to the estimation of the quantile of diffusion processes. Numerical results confirm the theoretical analysis and show a significant reduction in the initial computational cost.Comment: 31 pages, 1 figur

Atmospheric effects on remote sensing of non-uniform temperature sources

The effects are considered of an absorbing, emitting, and scattering atmosphere upon the remote sensing of surface areas having non-uniform intensity. These atmospheric effects may be significant in determination, by remote sensing, of non-uniform surface temperature distributions, and the results of the investigation are applicable in such cases. Analytical methods and a digital computational program are presented, expressing the results in terms of contrast and contrast transmittance between two adjacent emitting areas having unequal intensities, in the presence of a additional disturbing emitters. In the computational procedure, emitting areas are replaced by point-source emitters, each assigned and effective intensity based upon the intensity of the area it replaces. Absorbing, emitting, and scattering behavior of the atmosphere may be specified in the computational procedure either by means of analytical atmospheric models or by means of calibrating ground level emitters

Numerical, analytical, experimental study of fluid dynamic forces in seals

NASA/Lewis Research Center is sponsoring a program for providing computer codes for analyzing and designing turbomachinery seals for future aerospace and engine systems. The program is made up of three principal components: (1) the development of advanced three dimensional (3-D) computational fluid dynamics codes, (2) the production of simpler two dimensional (2-D) industrial codes, and (3) the development of a knowledge based system (KBS) that contains an expert system to assist in seal selection and design. The first task has been to concentrate on cylindrical geometries with straight, tapered, and stepped bores. Improvements have been made by adoption of a colocated grid formulation, incorporation of higher order, time accurate schemes for transient analysis and high order discretization schemes for spatial derivatives. This report describes the mathematical formulations and presents a variety of 2-D results, including labyrinth and brush seal flows. Extensions of 3-D are presently in progress

2D well-balanced augmented ADER schemes for the Shallow Water Equations with bed elevation and extension to the rotating frame

In this work, an arbitrary order augmented WENO-ADER scheme for the resolution of the 2D Shallow Water Equations (SWE) with geometric source term is presented and its application to other shallow water models involving non-geometric sources is explored. This scheme is based in the 1D Augmented Roe Linearized-ADER (ARL-ADER) scheme, presented by the authors in a previous work and motivated by a suitable compromise between accuracy and computational cost. It can be regarded as an arbitrary order version of the Augmented Roe solver, which accounts for the contribution of continuous and discontinuous geometric source terms at cell interfaces in the resolution of the Derivative Riemann Problem (DRP). The main novelty of this work is the extension of the ARL-ADER scheme to 2 dimensions, which involves the design of a particular procedure for the integration of the source term with arbitrary order that ensures an exact balance between flux fluctuations and sources. This procedure makes the scheme preserve equilibrium solutions with machine precision and capture the transient waves accurately. The scheme is applied to the SWE with bed variation and is extended to handle non-geometric source terms such as the Coriolis source term. When considering the SWE with bed variation and Coriolis, the most relevant equilibrium states are the still water at rest and the geostrophic equilibrium. The traditional well-balanced property is extended to satisfy the geostrophic equilibrium. This is achieved by means of a geometric reinterpretation of the Coriolis source term. By doing this, the formulation of the source terms is unified leading to a single geometric source regarded as an apparent topography. The numerical scheme is tested for a broad variety of situations, including some cases where the first order scheme ruins the solution

Series approximations for Rayleigh distributions of arbitrary dimensions and covariance matrices

The multivariate Rayleigh distribution is of crucial importance to many applied problems of engineering, such as in the analysis of multi-antenna wireless systems. Due to the lack of a generalised closed form of the distribution, the dependence on effective approximation methods for evaluation has created numerous numerical approaches with considerable restrictions in both dimensionality, as well as the structure of covariance matrices. In this paper we extend a previously introduced method [1] without either of these limitations. We then compare the performance of the new algorithms to recent integration methods of fixed dimension, presented by Beaulie and Zhang [2] and highlight the advantages of the new method

Accurate difference methods for linear ordinary differential systems subject to linear constraints

We consider the general system of n first order linear ordinary differential equations y'(t)=A(t)y(t)+g(t), a<t< b, subject to "boundary" conditions, or rather linear constraints, of the form Σ^(N)_(ν=1) B_(ν)y(τ_ν)=β Here y(t), g(t) and II are n-vectors and A(t), Bx,..., BN are n × n matrices. The N distinct points {τ_ν} lie in [a,b] and we only require N ≧ 1. Thus as special cases initial value problems, N=1, are included as well as the general 2-point boundary value problem, N=2, with τ_1=a, τ_2=b. (More general linear constraints are also studied, see (5.1) and (5.17).