京都大学 / 0048 / 新制・課程博士 / 博士(情報学) / 甲第22861号 / 情博第740号 / 新制||情||127(附属図書館) / 京都大学大学院情報学研究科先端数理科学専攻 / (主査)教授 青柳 富誌生, 教授 磯 祐介, 教授 田口 智清 / 学位規則第4条第1項該当 / Doctor of Informatics / Kyoto University / DFAM

This paper familiarizes the reader with contingent convertibles and their role in the current financial landscape. A contingent convertible is a security behaving like a bond in normal times, but that converts into equity or is written down in times of turbulence. The paper presents a few existing pricing approaches and introduces an extension to one of these, the equity derivatives approach, by letting the underlying asset follow a jump-diffusion process instead of a standard Geometrical Brownian Motion. The extension requires sophisticated computational techniques in order for the pricing to stay within reasonable time frames. Since market data is sparse and incomplete in this area, the validation of the model is not performed quantitatively, but instead supported by qualitative arguments.

NR 20140805

Computational time to model radiative heat transfer in a cylindrical Pressurized Oxy-Coal (POC) combustor was reduced by incorporating the multi-dimensional characteristics of the combustion field. The Discrete Transfer Method (DTM) and the Discrete Ordinates Method (DOM) were modified to work with a computational mesh that transitions from 3D cells to axisymmetric and then 1D cells, also known as a dimensionally adaptive mesh. For the DTM, three methods were developed for selecting so-called transdimensional rays, the Single Unweighted Ray (SUR) technique, the Multiple Unweighted Ray (MUR) technique, and the Single Weighted Ray (SWR) technique. For the DOM, averaging methods for handling radiative intensity at dimensional boundaries were developed. Limitations of both solvers with adaptive meshes were identified by comparison with fully 3D results. For the DTM, the primary limit was numerical error associated with view factor calculations. For the DOM, treatment of dimensional boundaries led to step changes that created numerical oscillations, the severity of which was lessened by both increased angular resolution and increased optical thickness. Performance of dimensionally adaptive radiation calculations, uncoupled to any other physical calculation, was evaluated with a series of sensitivity studies including sensitivity to spatial and angular resolution, dimensional boundary placement, and reactor scaling. Runtime was most impacted by boundary layer placement. For the upstream case which had 3D cells over 40% of the reactor length, the speedup versus the fully 3D calculations were 743%, 18%, 220%, and 76% for the SUR, MUR, SWR, and DOM calculations, respectively. The downstream case which had 3D cells over the first 60% of the reactor length, had speedups of 209%, 3%, 109%, and 37%, respectively. For the DTM, accuracy was most sensitive to optical thickness, with the average percent difference in incident heat flux for SUR, MUR, and SWR calculations versus fully 3D calculations being 0.93%, 0.86%, and 1.18%, respectively, for a reactor half the size of the baseline case. The case with four times the reactor size had average percent differences of 0.28%, 0.41%, and 0.39% for the SUR, MUR, and SWR, respectively. Accuracy of the DOM was comparatively insensitive to the different changes studied. Performance of dimensionally adaptive radiation calculations coupled with thermochemistry was also investigated for both pilot and industrial scale systems. For pilot scale systems, flux and temperature differences from either solver were less than 5% and 6%, respectively, with speedups being between 200% - 600%. For industrial systems, temperature differences as high as 15% - 20% and flux differences as high as 50% - 75% were seen. In the case of the DTM, these differences between fully 3D and adaptive results come from a combination of high property gradients and comparatively few rays being drawn and could therefore be improved, at the cost of additional computation time, by using a more sophisticated ray selection method. For the DOM, these issues stem from poor performance of the 1D portion of the solver and could therefore be improved by using a more sophisticated equation to model the radiative transfer in the 1D region.

Modelling multiphase flow, more specifically particle-laden flow, poses multiple challenges. These difficulties are heightened when the particles are differentiated by a set of “internal” variables, such as size or temperature. Traditional treatments of such flows can be classified in two main categories, Lagrangian and Eulerian methods. The former approaches are highly accurate but can also lead to extremely expensive computations and challenges to load balancing on parallel machines. In contrast, the Eulerian models offer the promise of less expensive computations but often introduce modelling artifacts and can become more complicated and expensive when a large number of internal variables are treated. Recently, a new model was proposed to treat such situations. It extends the ten-moment Gaussian model for viscous gases to the treatment of a dilute particle phase with an arbitrary number of internal variables. In its initial application, the only internal variable chosen for the particle phase was the particle diameter. This new polydisperse Gaussian model (PGM) comprises 15 equations, has an eigensystem that can be expressed in closed form and also possesses a convex entropy. Previously, this model has been tested in one dimension. The PGM was developed with the detonation of radiological dispersal devices (RDD) as an immediate application. The detonation of RDDs poses many numerical challenges, namely the wide range of spatial and temporal scales as well as the high computational costs to accurately resolve solutions. In order to address these issues, the goal of this current project is to develop a block-based adaptive mesh refinement (AMR) implementation that can be used in conjunction with a parallel computer. Another goal of this project is to obtain the first three-dimensional results for the PGM. In this thesis, the kinetic theory of gases underlying the development of the PGM is studied. Different numerical schemes and adaptive mesh refinement methods are described. The new block-based adaptive mesh refinement algorithm is presented. Finally, results for different flow problems using the new AMR algorithm are shown, as well as the first three-dimensional results for the PGM.

京都大学 / 新制・課程博士 / 博士(工学) / 甲第24226号 / 工博第5054号 / 新制||工||1789(附属図書館) / 京都大学大学院工学研究科機械理工学専攻 / (主査)教授 平山 朋子, 教授 岩井 裕, 教授 松原 厚 / 学位規則第4条第1項該当 / Doctor of Philosophy (Engineering) / Kyoto University / DFAM

No description available.

No presente trabalho, utilizou-se o Método da Fronteira Imersa, o qual utiliza dois tipos de malhas computacionais: euleriana (utilizada para o fluido) e lagrangiana (utilizada para representar a interface de separação de dois fluidos). O software livre GMSH foi utilizado para representar um sólido por meio da sua superfície externa e também para gerar uma malha triangular, bidimensional e não estruturada para discretizar essa superfície. Essa superfície foi utilizada como condição inicial para a malha lagrangiana (fronteira imersa). Os dados da malha lagrangiana são armazenados em uma estrutura de dados chamada Halfedge, a qual é largamente utilizada em Computação Gráfica para armazenar superfícies fechadas e orientáveis. Uma vez que a malha lagrangiana esteja armazenada nesta estrutura de dados, passa-se a estudar uma hipotética interação dinâmica entre a fronteira imersa e o escoamento do fluido. Esta interação é estudada apenas em um sentido, considera-se apenas a condição de não deslizamento, isto é, a fronteira imersa acompanhará passivamente um campo de velocidades pré-estabelecido (imposto), sem exercer qualquer força ou influência sobre ele. Foi utilizado um campo de distância local com sinal (função indicadora de fluidos) para identificar o interior e o exterior da superfície que representa a interface entre os fluidos. Este campo de distância é atualizado a cada passo no tempo utilizando idéias de Geometria Computacional, o que tornou o custo computacional para calcular esse campo otimal independente da complexidade geométrica da interface. Esta metodologia mostrou-se robusta e produz uma definição nítida das distintas fases dos fluidos em todos os passos no tempo. Para acompanhar e visualizar de forma mais precisa o comportamento dos fluidos na vizinhança da superfície que representa a interface de separação dos fluido, foi utilizado um algoritmo chamado de Refinamento Adaptativo de Malhas para fazer um refinamento dinâmico da malha euleriana na vizinhança da malha lagrangiana. / The scientific motivation of the present work is the mathematical modeling and the computational simulation of multiphase flows. Specifically, the equations of a two-phase flow are written by combining the Immersed Boundary Method with a suitable fluid indicator function. It is assumed that the fluid equations are discretized on an Eulerian mesh covering completely the flow domain and that the interface between the fluid phases is discretized by a non-structured Lagrangian mesh formed by triangles. In this context, employing tools commonly found in Computational Geometry, the computation of the fluid indicator function is efficiently performed on a block-structured Eulerian mesh bearing dynamical refinement patches. Formed by a set of triangles, the Lagrangian mesh, which is initally generated employing the free software GMSH, is stored in a Halfedge data structure, a data structure which is widely used in Computer Graphics to represent bounded, orientable closed surfaces. Once the Lagrangian mesh has been generated, next, one deals with the hipothetical situation of dealing with the one-way dynamical interaction between the immersed boundary and the fluid flow, that is, considering the non-slip condition, only the action of the flow on the interface is studied. No forces arising on the interface affects the flow, the interface passively being advect with the flow under a prescribed, imposed velocity field. In particular, the Navier-Stokes equations are not solved. The fluid indicator function is given by a signed distance function in a vicinity of the immersed boundary. It is employed to identify interior/exterior points with respect to the bounded, closed region which is assumed to contain one of the fluid phases in its interior. The signed distance is update every time step employing Computational Geometry methods with optimal cost. Several examples in three dimensions, showing the efficiency and efficacy in the computation of the fluid indicator function, are given which employ the dynamical adaptive properties of the Eurlerian mesh for a moving interface.

No presente trabalho, utilizou-se o Método da Fronteira Imersa, o qual utiliza dois tipos de malhas computacionais: euleriana (utilizada para o fluido) e lagrangiana (utilizada para representar a interface de separação de dois fluidos). O software livre GMSH foi utilizado para representar um sólido por meio da sua superfície externa e também para gerar uma malha triangular, bidimensional e não estruturada para discretizar essa superfície. Essa superfície foi utilizada como condição inicial para a malha lagrangiana (fronteira imersa). Os dados da malha lagrangiana são armazenados em uma estrutura de dados chamada Halfedge, a qual é largamente utilizada em Computação Gráfica para armazenar superfícies fechadas e orientáveis. Uma vez que a malha lagrangiana esteja armazenada nesta estrutura de dados, passa-se a estudar uma hipotética interação dinâmica entre a fronteira imersa e o escoamento do fluido. Esta interação é estudada apenas em um sentido, considera-se apenas a condição de não deslizamento, isto é, a fronteira imersa acompanhará passivamente um campo de velocidades pré-estabelecido (imposto), sem exercer qualquer força ou influência sobre ele. Foi utilizado um campo de distância local com sinal (função indicadora de fluidos) para identificar o interior e o exterior da superfície que representa a interface entre os fluidos. Este campo de distância é atualizado a cada passo no tempo utilizando idéias de Geometria Computacional, o que tornou o custo computacional para calcular esse campo otimal independente da complexidade geométrica da interface. Esta metodologia mostrou-se robusta e produz uma definição nítida das distintas fases dos fluidos em todos os passos no tempo. Para acompanhar e visualizar de forma mais precisa o comportamento dos fluidos na vizinhança da superfície que representa a interface de separação dos fluido, foi utilizado um algoritmo chamado de Refinamento Adaptativo de Malhas para fazer um refinamento dinâmico da malha euleriana na vizinhança da malha lagrangiana. / The scientific motivation of the present work is the mathematical modeling and the computational simulation of multiphase flows. Specifically, the equations of a two-phase flow are written by combining the Immersed Boundary Method with a suitable fluid indicator function. It is assumed that the fluid equations are discretized on an Eulerian mesh covering completely the flow domain and that the interface between the fluid phases is discretized by a non-structured Lagrangian mesh formed by triangles. In this context, employing tools commonly found in Computational Geometry, the computation of the fluid indicator function is efficiently performed on a block-structured Eulerian mesh bearing dynamical refinement patches. Formed by a set of triangles, the Lagrangian mesh, which is initally generated employing the free software GMSH, is stored in a Halfedge data structure, a data structure which is widely used in Computer Graphics to represent bounded, orientable closed surfaces. Once the Lagrangian mesh has been generated, next, one deals with the hipothetical situation of dealing with the one-way dynamical interaction between the immersed boundary and the fluid flow, that is, considering the non-slip condition, only the action of the flow on the interface is studied. No forces arising on the interface affects the flow, the interface passively being advect with the flow under a prescribed, imposed velocity field. In particular, the Navier-Stokes equations are not solved. The fluid indicator function is given by a signed distance function in a vicinity of the immersed boundary. It is employed to identify interior/exterior points with respect to the bounded, closed region which is assumed to contain one of the fluid phases in its interior. The signed distance is update every time step employing Computational Geometry methods with optimal cost. Several examples in three dimensions, showing the efficiency and efficacy in the computation of the fluid indicator function, are given which employ the dynamical adaptive properties of the Eurlerian mesh for a moving interface.

Este trabalho apresenta o desenvolvimento de um gerador de malha de elementos finitos baseado no Algoritmo de Refinamento de Delaunay. O pacote é versátil e pode ser aplicado às malhas seriais e adaptativas ou à decomposição de uma malha inicial grossa ou pré-refinada usando processamento paralelo. O algoritmo desenvolvido trabalha com uma entrada de dados na forma de um gráfico de linhas retas planas. A construção do algoritmo de Delaunay foi baseada na técnica de Watson para a triangulação fronteiriça e nos métodos seqüenciais de Ruppert e Shewchuk para o refinamento com paralelismo. A técnica elaborada produz malhas que mantêm as propriedades de uma triangulação de Delaunay. A metodologia apresentada foi implementada utilizando os conceitos de Programação Orientada a Objetos com o auxílio de bibliotecas de código livre. Aproveitando a flexibilidade de algumas dessas bibliotecas acopladas foi possível parametrizar a dimensão do problema, permitindo gerar malhas seqüenciais bidimensionais e tridimensionais. Os resultados das aplicações em malhas seriais, adaptativas e com programação paralela mostram a eficácia desta ferramenta. Uma versão acadêmica do algoritmo de refinamento de Delaunay bidimensional para o Ambiente Mathematica também foi desenvolvido. / This work presents the development of a finite elements mesh generation based on Delaunay Triangulation Algorithm. The package is versatile and applicable to the serial and adaptable meshes or to either the coarse or pre-refined initial mesh decomposition using parallel computing. The developed algorithm works with data input in the form of Planar Straight Line Graphics. The building of the Delaunay Algorithm was based on the Watson\'s technique for the boundary triangulation and in both Ruppert and Shewchuk sequential methods for the parallel refinement. The proposed technique produces meshes maintaining the properties of the Delaunay triangulation. The presented methodology was implemented using the Programming Object-Oriented concepts, which is supported by open source libraries. Taking advantage of the flexibility of some of those coupled libraries the parametrization of the problem dimension was possible, allowing to generate both two and three-dimensional sequential meshes. The results obtained with the applications in serial, adaptive and in parallel meshes have shown the effectiveness of this tool. An academic version of the twodimensional Delaunay refinement algorithm for the Mathematica Environment was also developed.