Nonlinear input/output analysis: application to boundary layer transition

We extend linear input/output (resolvent) analysis to take into account nonlinear triadic interactions by considering a finite number of harmonics in the frequency domain using the harmonic balance method. Forcing mechanisms that maximise the drag are calculated using a gradient-based ascent algorithm. By including nonlinearity in the analysis, the proposed frequency-domain framework identifies the worst-case disturbances for laminar-turbulent transition. We demonstrate the framework on a flat-plate boundary layer by considering three-dimensional spanwise-periodic perturbations triggered by a few optimal forcing modes of finite amplitude. Two types of volumetric forcing are considered, one corresponding to a single frequency/spanwise wavenumber pair, and a multi-harmonic where a harmonic frequency and wavenumber are also added. Depending on the forcing strategy, we recover a range of transition scenarios associated with K-type and H-type mechanisms, including oblique and planar Tollmien–Schlichting waves, streaks and their breakdown. We show that nonlinearity plays a critical role in optimising growth by combining and redistributing energy between the linear mechanisms and the higher perturbation harmonics. With a very limited range of frequencies and wavenumbers, the calculations appear to reach the early stages of the turbulent regime through the generation and breakdown of hairpin and quasi-streamwise staggered vortices

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