A prestudy indicated superior accuracy and convergence properties of apseudo-spectral method compared to a spline-based method implemented byCòrdoba et al. in 2005 when solving the α-patches problem. In this thesis wefurther investigate the numerical properties of the pseudo-spectral method and makeit more robust by implementing the Nonequispaced Fast Fourier Transform. Wepresent a more detailed overview and analysis of the pseudo-spectral method and theα-patches problem in general and conclude that the pseudo-spectral method issuperior in regards to accuracy in periodic settings.

Orientador: Marco Lucio Bittencourt / Tese (doutorado) - Universidade Estadual de Campinas, Faculdade de Engenharia Mecanica / Made available in DSpace on 2018-08-10T12:57:32Z (GMT). No. of bitstreams: 1 Vazquez_ThaisGodoy_D.pdf: 11719751 bytes, checksum: c6d385d6a6414705c9f468358b8d3bea (MD5) Previous issue date: 2008 / Resumo: Este trabalho tem por objetivo principal o desenvolvimento de funções de interpolaçao e regras de integraçao tensorizaveis para o Metodo dos Elementos Finitos (MEF) de alta ordem hp, considerando os sistemas de referencias locais dos elementos. Para isso, primeiramente, determinam-se ponderaçoes especficas para as bases de funçoes de triangulos e tetraedros, formada pelo produto tensorial de polinomios de Jacobi, de forma a se obter melhor esparsidade e condicionamento das matrizes de massa e rigidez dos elementos. Alem disso, procuram-se novas funçoes de base para tornar as matrizes de massa e rigidez mais esparsas possiveis. Em seguida, escolhe-se os pontos de integraçao que otimizam o custo do calculo dos coeficientes das matrizes de massa e rigidez usando as regras de quadratura de Gauss-Jacobi, Gauss-Radau-Jacobi e Gauss-Lobatto-Jacobi. Por fim, mostra-se a construçao de uma base unidimensional nodal que permite obter uma matriz de rigidez praticamente diagonal para problemas de Poisson unidimensionais. Discute-se ainda extensoes para elementos bi e tridimensionais / Abstract: The main purpose of this work is the development of tensor-based interpolation functions and integration rules for the hp High-order Finite Element Method (FEM), considering the local reference systems of the elements. We first determine specific weights for the shape functions of triangles and tetrahedra, constructed by the tensorial product of Jacobi polynomials, aiming to obtain better sparsity and numerical conditioning for the mass and stiffness matrices of the elements. Moreover, new shape functions are proposed to obtain more sparse mass and stiffness matrices. After that, integration points are chosen that optimize the cost for the calculation of the coefficients of the mass and stiffness matrices using the rules of quadrature of Gauss-Jacobi, Gauss-Radau-Jacobi and Gauss-Lobatto-Jacobi. Finally, we construct an one-dimensional nodal shape function that obtains an almost diagonal stiffness matrix for the 1D Poisson problem. Extensions to two and three-dimensional elements are discussed. / Doutorado / Mecanica dos Sólidos e Projeto Mecanico / Doutor em Engenharia Mecânica

Spectral methods have become increasingly popular in designing fast algorithms for modern highdimensional datasets. This thesis looks at several problems in which spectral methods play a central role. In some cases, we also show that such procedures have essentially the best performance among all randomised polynomial time algorithms by exhibiting statistical and computational trade-offs in those problems. In the first chapter, we prove a useful variant of the well-known Davis{Kahan theorem, which is a spectral perturbation result that allows us to bound of the distance between population eigenspaces and their sample versions. We then propose a semi-definite programming algorithm for the sparse principal component analysis (PCA) problem, and analyse its theoretical performance using the perturbation bounds we derived earlier. It turns out that the parameter regime in which our estimator is consistent is strictly smaller than the consistency regime of a minimax optimal (yet computationally intractable) estimator. We show through reduction from a well-known hard problem in computational complexity theory that the difference in consistency regimes is unavoidable for any randomised polynomial time estimator, hence revealing subtle statistical and computational trade-offs in this problem. Such computational trade-offs also exist in the problem of restricted isometry certification. Certifiers for restricted isometry properties can be used to construct design matrices for sparse linear regression problems. Similar to the sparse PCA problem, we show that there is also an intrinsic gap between the class of matrices certifiable using unrestricted algorithms and using polynomial time algorithms. Finally, we consider the problem of high-dimensional changepoint estimation, where we estimate the time of change in the mean of a high-dimensional time series with piecewise constant mean structure. Motivated by real world applications, we assume that changes only occur in a sparse subset of all coordinates. We apply a variant of the semi-definite programming algorithm in sparse PCA to aggregate the signals across different coordinates in a near optimal way so as to estimate the changepoint location as accurately as possible. Our statistical procedure shows superior performance compared to existing methods in this problem.

Doctor Scientiae - DSc / Robust Spectral Methods for Solving Option Pricing Problems by Edson Pindza PhD thesis, Department of Mathematics and Applied Mathematics, Faculty of Natural Sciences, University of the Western Cape Ever since the invention of the classical Black-Scholes formula to price the financial derivatives, a number of mathematical models have been proposed by numerous researchers in this direction. Many of these models are in general very complex, thus closed form analytical solutions are rarely obtainable. In view of this, we present a class of efficient spectral methods to numerically solve several mathematical models of pricing options. We begin with solving European options. Then we move to solve their American counterparts which involve a free boundary and therefore normally difficult to price by other conventional numerical methods. We obtain very promising results for the above two types of options and therefore we extend this approach to solve some more difficult problems for pricing options, viz., jump-diffusion models and local volatility models. The numerical methods involve solving partial differential equations, partial integro-differential equations and associated complementary problems which are used to model the financial derivatives. In order to retain their exponential accuracy, we discuss the necessary modification of the spectral methods. Finally, we present several comparative numerical results showing the superiority of our spectral methods.

In the present work, we study the topic of stochastic differential equations, their numerical solution and solution of models for pricing of options which follow from stochastic differential equations using the Itô calculus. We present several numerical methods for solving stochastic differential equations. These methods are then implemented in MATLAB and we investigate their properties, especially their convergence characteristics. Furthermore, we formulate two models for pricing of European call options. We solve these models using a variant of the spectral collocation method, again in MATLAB.

Orientadores: Alberto Vazquez Saa, Orlando Luis Goulart Peres / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Física Gleb Wataghin / Made available in DSpace on 2018-08-24T13:09:57Z (GMT). No. of bitstreams: 1 Oliveira_ClaitonPimentelde_D.pdf: 6246469 bytes, checksum: 74e9bd5e915848a1681572fd38bcf297 (MD5) Previous issue date: 2014 / Resumo: Matéria, ao se acumular ao redor de um objeto compacto (e.g., um buraco negro), se configura naturalmente na forma de um disco grosso (toro) em rotação. A matéria do disco pode ser considerada como um fluido, e suas estruturas de equilíbrio hidrodinâmico podem ser obtidas a partir das equações básicas da hidrodinâmica. Nesse trabalho apresento uma extensa revisão da teoria básica de discos grossos de acreção, no âmbito das teorias clássica e relativística, incluindo uma análise da chamada órbita circular marginalmente estável. Formulo o problema incluindo a autointeração gravitacional do toro, caso em que o problema das estruturas de equilíbrio se torna um problema de fronteira livre, o que dificulta a obtenção das soluções. Reviso os métodos e técnicas numéricas já utilizadas ao se atacar esse problema e desenvolvo um código numérico próprio, chamado BLATOS, que gera soluções autogravitantes de toros ao redor de buracos negros. Desenvolvo ainda uma metodologia para se aplicar o método nodal dos elementos espectrais a domínios não limitados. O desenvolvimento desse novo tipo de elemento, os chamados elementos infinitos, gera uma extensão natural a elementos não limitados com bordas curvas assintóticas. Aplico as soluções numéricas obtidas no estudo da instabilidade runaway, mostrando como a identificação da situação de instabilidade pode ser feita a partir dessas soluções. A partir do código numérico é possível alterar o perfil de rotação e a razão das massas toro/buraco negro, de forma a se realizar um estudo do espaço de soluções / Abstract: Matter, accumulating around a compact object (e.g., a black hole), appears naturally in the form of a thick disk (torus) in rotation. The material of the disk can be considered as a fluid, and its hydrodynamic equilibrium structures can be obtained from the basic equations of hydrodynamics. In this work I present an extensive review of the basic theory of thick accretion disks, in the framework of the classical and relativistic theories, including an analysis of the so called marginally stable circular orbit. I formulate the problem including the torus self gravitational interaction, in which case the equilibrium structures problem becomes a free boundary problem, making it difficult getting the solutions. I revise the methods and numerical techniques used to attack this problem and I develop a numeric code, named BLATOS, that generates autogravitating tori solutions around black holes. Further, I develop a methodology for applying the nodal spectral element method to unbounded domains. The development of this new type of element, the so called infinite element, generates a natural extension to unbounded elements with asymptotic curved edges. I apply the resulting numerical solutions in the study of runaway instability, showing how the identification of the instability can be done from these solutions. The rotation law and the torus/black hole mass ratio can be changed from the numerical code in order to conduct a study of the solution space / Doutorado / Física / Doutor em Ciências

The aim of this thesis is to investigate a selected set of fatigue life calculation methods and evaluate if they are suitable for fatigue life estimation of truck components at Scania. Failure due to fatigue can be cause by road induced vibrations, which is an inevitable phenomenon trucks are exposed to. By estimating when and where these components will fail, they can be designed to reduce the amount of failure per vehicle. Three types of fatigue life calculation methods, namely equivalent stress methods, critical plane methods and spectral methods, have been evaluated. These are methods for calculating fatigue life in both the time domain and the frequency domain. The chosen calculation methods have been evaluated based on their sensitivity to input parameters, their accuracy on predicting fatigue life and their ability to find the critical areas where the components are most likely to fail. The methods have also been compared to a method already implemented at Scania. To evaluate the methods, two different components were used. The first component was designed to give a multiaxial stress state and the other was a real truck component where fatigue data had been collected from a shake rig test at Scania. It was found that all investigated methods were successful in finding critical areas where failure will occur. However, the resulting estimated fatigue life had a very low accuracy. To draw any conclusions about the accuracy of the fatigue life estimations, a model that better reflects the dynamics of the real truck component is needed. Therefore, the conclusion is that the chosen methods can be used for finding critical areas in a component but not to determine the absolute time to failure for the model used. However, the method already implemented at Scania was equally successful in finding the critical areas and it has a much shorter computational time than the methods in the time domain. Since it is already implemented and used, the Scania method is recommended for the purpose of finding the critical areas of a component. A sensitivity study was conducted in order to investigate the influence of a variation of material parameters on the fatigue life calculated with the different methods. This study showed that the SN-curve parameters are important for the resulting fatigue life of methods that consider the endurance limit, and, therefore, that the choice of SN-curve is important. Since the road induced vibrations in this study caused load signals where the majority of the cycles were found below the endurance limit, methods that account for the endurance limit have to be used for calculations on components experiencing similar conditions. Furthermore, it was found that the resulting stress signal from the FE-analysis using input data from the shake rig test was non-Gaussian, this makes the results from all the chosen frequency domain methods invalid. To use these methods, they need to be extended to consider non-Gaussian signals. / Syftet med detta examensarbete är att undersöka ett antal utvalda metoder för utmattningsberäkning och utvärdera om dessa är lämpliga för att uppskatta livslängden på lastbilskomponenter hos Scania. Haveri på grund av utmattning kan orsakas av vibrationer från vägen, ett fenomen som påverkar komponenter på lastbilar. Genom att uppskatta när och var dessa komponenter går sönder kan de konstrueras för att minska antalet haverier. Olika typer av metoder för utmattningsberäkning i både tidsdomänen och frekvensdomänen har utvärderats. Dessa inkluderade ekvivalenta spännings-metoder, kritiska plan-metoder samt spektrala metoder. Metoderna har utvärderats med avseende på deras känslighet för variation i materialparametrar, hur den beräknade livslängden skiljer sig mot verkliga tester och hur bra de är på att hitta de kritiska områdena på en lastbilskomponent. Detta har även jämförts mot en beräkningsmetod som redan används på Scania. Två olika komponenter användes för att utvärdera metoderna. En av komponenterna var designad för att ge ett multiaxiellt spänningstillstånd och en var en riktig lastbilskomponent med data uppmätt från ett skaktest på Scania. Alla studerade metoder fann de kritiska områdena där utmattningsbrott riskerar att uppstå. Däremot visade det sig att beräkningsmetoderna inte lyckades estimera livslängder som låg i närheten av de som uppmättes under testet i skakriggen. En mer verklighetsnära modell vilken bättre motsvarar de dynamiska egenskaperna av systemet behövs för att kunna dra en slutsats om modellernas träffsäkerhet gällande estimeringen av livslängden. För ändamålet att hitta kritiska områden rekommenderas metoden som redan används hos Scania, eftersom denna var lika framgångsrik att hitta dessa, men gjorde det på en avsevärt kortare tid. Därutöver identifierades att spänningssignalen från FE-analysen, där indata från skakriggen användes, inte var gaussisk. Detta innebär att signalen inte uppfyller kraven för de spektrala metoderna och därmed att resultaten från beräkningarna på lastbilskomponenten inte går att använda för att dra några slutsatser. Känslighetsanalysen visade att de metoder som tar hänsyn till utmattningsgränsen är känsliga för ändringar i SN-parametrar. Detta beror på att många cykler, för det studerade lastfallet, låg nära utmattningsgränsen och att antalet cykler som ingick i beräkningarna därför påverkades stort av SN-parametrarna. Eftersom de vibrationer som uppstår då lastbilar framförs på vägar kan ge upphov till många cykler med amplituder nära utmattningsgränsen bör endast metoder som kan ta hänsyn till utmattningsgränsen användas vid dessa fall.

This thesis develops the methodology for solving initial boundary value problems with the use of summation-by-parts discretizations. The combination of high orders of accuracy and a systematic approach to construct provably stable boundary and interface procedures makes this methodology especially suitable for scientific computations with high demands on efficiency and robustness. Most classes of high order methods can be applied in a way that satisfies a summation-by-parts rule. These include, but are not limited to, finite difference, spectral and nodal discontinuous Galerkin methods. In the first part of this thesis, the summation-by-parts methodology is extended to the time domain, enabling fully discrete formulations with superior stability properties. The resulting time discretization technique is closely related to fully implicit Runge-Kutta methods, and may alternatively be formulated as either a global method or as a family of multi-stage methods. Both first and second order derivatives in time are considered. In the latter case also including mixed initial and boundary conditions (i.e. conditions involving derivatives in both space and time). The second part of the thesis deals with summation-by-parts discretizations on multi-block and hybrid meshes. A new formulation of general multi-block couplings in several dimensions is presented and analyzed. It collects all multi-block, multi-element and  hybrid summation-by-parts schemes into a single compact framework. The new framework includes a generalized description of non-conforming interfaces based on so called summation-by-parts preserving interpolation operators, for which a new theoretical accuracy result is presented.

We study the convergence of a nonlinear approximation method introduced in the engineering literature for the numerical solution of a high-dimensional Fokker--Planck equation featuring in Navier--Stokes--Fokker--Planck systems that arise in kinetic models of dilute polymers. To do so, we build on the analysis carried out recently by Le~Bris, Leli\`evre and Maday (Const. Approx. 30: 621--651, 2009) in the case of Poisson's equation on a rectangular domain in $\mathbb{R}^2$, subject to a homogeneous Dirichlet boundary condition, where they exploited the connection of the approximation method with the greedy algorithms from nonlinear approximation theory explored, for example, by DeVore and Temlyakov (Adv. Comput. Math. 5:173--187, 1996). We extend the convergence analysis of the pure greedy and orthogonal greedy algorithms considered by Le~Bris, Leli\`evre and Maday to the technically more complicated situation of the elliptic Fokker--Planck equation, where the role of the Laplace operator is played out by a high-dimensional Ornstein--Uhlenbeck operator with unbounded drift, of the kind that appears in Fokker--Planck equations that arise in bead-spring chain type kinetic polymer models with finitely extensible nonlinear elastic potentials, posed on a high-dimensional Cartesian product configuration space $\mathsf{D} = D_1 \times \dotsm \times D_N$ contained in $\mathbb{R}^{N d}$, where each set $D_i$, $i=1, \dotsc, N$, is a bounded open ball in $\mathbb{R}^d$, $d = 2, 3$. We exploit detailed information on the spectral properties and elliptic regularity of the Ornstein--Uhlenbeck operator to give conditions on the true solution of the Fokker--Planck equation which guarantee certain rates of convergence of the greedy algorithms. We extend the analysis to discretized versions of the greedy algorithms.

Ces travaux s'articulent autour du calcul des solutions périodiques dans les systèmes dynamiques non linéaires, au moyen de méthodes numériques de continuation. La recherche de solutions périodiques se traduit par un problème avec conditions aux limites périodiques, pour lequel nous avons implémenté deux méthodes d'approximation : - Une méthode spectrale dans le domaine fréquentiel, l'équilibrage harmonique d'ordre élevé, qui repose sur une formulation quadratique des équations. Nous proposons en outre une extension de cette méthode aux cas de non-linéarités non rationnelles. - Une méthode pseudo-spectrale dans le domaine temporel, la collocation à l'aide fonctions polynômiales par morceaux. Ces méthodes transforment le problème continu en un système d'équations algébriques non linéaires, dont les solutions sont calculées par continuation à l'aide de la méthode asymptotique numérique. L'ensemble de ces outils, complétés d'une analyse linéaire de stabilité, sont intégrés au code de calcul MANLAB. Applications : Un modèle physique non-régulier de clarinette est étudié en détail : à partir de la branche de solutions statiques et ses bifurcations, on calcule les différentes branches de solutions périodiques, ainsi que leur stabilité et leurs bifurcations. Ce modèle est ensuite adapté au cas du saxophone, pour lequel on intègre une caractérisation acoustique expérimentale, afin de mieux tenir compte de la géométrie complexe de l'instrument. Enfin, nous étudions un modèle physique simplifié de violon, avec une non-régularité liée frottement de Coulomb. / Periodic solutions of nonlinear dynamical systems are the focus of this work. We compute periodic solutions through a BVP formulation, solved with two numerical methods: - a spectral method, in the frequency domain: the hogh-order Harmonic Balance Method, using a quadratic formulation of the original equations. We also propose an extension to nonrational nonlinearities. - a pseudo-spectral method, in the time domain : the arthogonal collocation at Gauss point, with piece-wise polynomial interpolation. Both methods lead to a system of nonlinear algebraic equations, and its solutions are computed by a continuation algorithm : the Asymptotic Numerical Method. These methods are embeded in the numerical package MANLAB, together with a linear stability analysis. Application We then apply these methods to physical models of several instruments : a clarinet, a saxophone, and a violin. The clarinet model contains a non-smooth contact between the reed and the mouthpiece. The study focuses on the evolution of frequency, loudness, and spectrum along the branch of periodic solutions when varying the mouth pressure. The saxophone model is very similar, but an experimental characterization of the bore is used in that case. Finally, the violin model with a non-smooth Coulomb contact law and a simplified resonator is studied, showing the variety of models that can be treated using this method.