Entropic Wasserstein Gradient Flows

This article details a novel numerical scheme to approximate gradient flows for optimal transport (i.e. Wasserstein) metrics. These flows have proved useful to tackle theoretically and numerically non-linear diffusion equations that model for instance porous media or crowd evolutions. These gradient flows define a suitable notion of weak solutions for these evolutions and they can be approximated in a stable way using discrete flows. These discrete flows are implicit Euler time stepping according to the Wasserstein metric. A bottleneck of these approaches is the high computational load induced by the resolution of each step. Indeed, this corresponds to the resolution of a convex optimization problem involving a Wasserstein distance to the previous iterate. Following several recent works on the approximation of Wasserstein distances, we consider a discrete flow induced by an entropic regularization of the transportation coupling. This entropic regularization allows one to trade the initial Wasserstein fidelity term for a Kulback-Leibler divergence, which is easier to deal with numerically. We show how KL proximal schemes, and in particular Dykstra's algorithm, can be used to compute each step of the regularized flow. The resulting algorithm is both fast, parallelizable and versatile, because it only requires multiplications by a Gibbs kernel. On Euclidean domains discretized on an uniform grid, this corresponds to a linear filtering (for instance a Gaussian filtering when $c$ is the squared Euclidean distance) which can be computed in nearly linear time. On more general domains, such as (possibly non-convex) shapes or on manifolds discretized by a triangular mesh, following a recently proposed numerical scheme for optimal transport, this Gibbs kernel multiplication is approximated by a short-time heat diffusion

Volume 2: Explicit, multistage upwind schemes for Euler and Navier-Stokes equations

The objective of this study was to develop a high-resolution-explicit-multi-block numerical algorithm, suitable for efficient computation of the three-dimensional, time-dependent Euler and Navier-Stokes equations. The resulting algorithm has employed a finite volume approach, using monotonic upstream schemes for conservation laws (MUSCL)-type differencing to obtain state variables at cell interface. Variable interpolations were written in the k-scheme formulation. Inviscid fluxes were calculated via Roe's flux-difference splitting, and van Leer's flux-vector splitting techniques, which are considered state of the art. The viscous terms were discretized using a second-order, central-difference operator. Two classes of explicit time integration has been investigated for solving the compressible inviscid/viscous flow problems--two-state predictor-corrector schemes, and multistage time-stepping schemes. The coefficients of the multistage time-stepping schemes have been modified successfully to achieve better performance with upwind differencing. A technique was developed to optimize the coefficients for good high-frequency damping at relatively high CFL numbers. Local time-stepping, implicit residual smoothing, and multigrid procedure were added to the explicit time stepping scheme to accelerate convergence to steady-state. The developed algorithm was implemented successfully in a multi-block code, which provides complete topological and geometric flexibility. The only requirement is C degree continuity of the grid across the block interface. The algorithm has been validated on a diverse set of three-dimensional test cases of increasing complexity. The cases studied were: (1) supersonic corner flow; (2) supersonic plume flow; (3) laminar and turbulent flow over a flat plate; (4) transonic flow over an ONERA M6 wing; and (5) unsteady flow of a compressible jet impinging on a ground plane (with and without cross flow). The emphasis of the test cases was validation of code, and assessment of performance, as well as demonstration of flexibility

Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching processes based algorithm of [8]. Our numerical experiments show that approximating the discontinu-ous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results

Locally adaptive image denoising by a statistical multiresolution criterion

We demonstrate how one can choose the smoothing parameter in image denoising by a statistical multiresolution criterion, both globally and locally. Using inhomogeneous diffusion and total variation regularization as examples for localized regularization schemes, we present an efficient method for locally adaptive image denoising. As expected, the smoothing parameter serves as an edge detector in this framework. Numerical examples illustrate the usefulness of our approach. We also present an application in confocal microscopy

Inverse airfoil design procedure using a multigrid Navier-Stokes method

The Modified Garabedian McFadden (MGM) design procedure was incorporated into an existing 2-D multigrid Navier-Stokes airfoil analysis method. The resulting design method is an iterative procedure based on a residual correction algorithm and permits the automated design of airfoil sections with prescribed surface pressure distributions. The new design method, Multigrid Modified Garabedian McFadden (MG-MGM), is demonstrated for several different transonic pressure distributions obtained from both symmetric and cambered airfoil shapes. The airfoil profiles generated with the MG-MGM code are compared to the original configurations to assess the capabilities of the inverse design method

Variational Downscaling, Fusion and Assimilation of Hydrometeorological States via Regularized Estimation

Improved estimation of hydrometeorological states from down-sampled observations and background model forecasts in a noisy environment, has been a subject of growing research in the past decades. Here, we introduce a unified framework that ties together the problems of downscaling, data fusion and data assimilation as ill-posed inverse problems. This framework seeks solutions beyond the classic least squares estimation paradigms by imposing proper regularization, which are constraints consistent with the degree of smoothness and probabilistic structure of the underlying state. We review relevant regularization methods in derivative space and extend classic formulations of the aforementioned problems with particular emphasis on hydrologic and atmospheric applications. Informed by the statistical characteristics of the state variable of interest, the central results of the paper suggest that proper regularization can lead to a more accurate and stable recovery of the true state and hence more skillful forecasts. In particular, using the Tikhonov and Huber regularization in the derivative space, the promise of the proposed framework is demonstrated in static downscaling and fusion of synthetic multi-sensor precipitation data, while a data assimilation numerical experiment is presented using the heat equation in a variational setting

Consistent thermodynamic derivative estimates for tabular equations of state

Numerical simulations of compressible fluid flows require an equation of state (EOS) to relate the thermodynamic variables of density, internal energy, temperature, and pressure. A valid EOS must satisfy the thermodynamic conditions of consistency (derivation from a free energy) and stability (positive sound speed squared). When phase transitions are significant, the EOS is complicated and can only be specified in a table. For tabular EOS's such as SESAME from Los Alamos National Laboratory, the consistency and stability conditions take the form of a differential equation relating the derivatives of pressure and energy as functions of temperature and density, along with positivity constraints. Typical software interfaces to such tables based on polynomial or rational interpolants compute derivatives of pressure and energy and may enforce the stability conditions, but do not enforce the consistency condition and its derivatives. We describe a new type of table interface based on a constrained local least squares regression technique. It is applied to several SESAME EOS's showing how the consistency condition can be satisfied to round-off while computing first and second derivatives with demonstrated second-order convergence. An improvement of 14 orders of magnitude over conventional derivatives is demonstrated, although the new method is apparently two orders of magnitude slower, due to the fact that every evaluation requires solving an 11-dimensional nonlinear system.Comment: 29 pages, 9 figures, 16 references, submitted to Phys Rev

Impact of different time series aggregation methods on optimal energy system design

Modelling renewable energy systems is a computationally-demanding task due to the high fluctuation of supply and demand time series. To reduce the scale of these, this paper discusses different methods for their aggregation into typical periods. Each aggregation method is applied to a different type of energy system model, making the methods fairly incomparable. To overcome this, the different aggregation methods are first extended so that they can be applied to all types of multidimensional time series and then compared by applying them to different energy system configurations and analyzing their impact on the cost optimal design. It was found that regardless of the method, time series aggregation allows for significantly reduced computational resources. Nevertheless, averaged values lead to underestimation of the real system cost in comparison to the use of representative periods from the original time series. The aggregation method itself, e.g. k means clustering, plays a minor role. More significant is the system considered: Energy systems utilizing centralized resources require fewer typical periods for a feasible system design in comparison to systems with a higher share of renewable feed-in. Furthermore, for energy systems based on seasonal storage, currently existing models integration of typical periods is not suitable