<p> This study focuses on developing a new online recursive numerical algorithm for a coupled nonlinear inverse heat conduction-microstructure problem. This algorithm is essential in identifying, designing and controlling many industrial applications such as the quenching process for heat treating of materials, chemical vapor deposition and industrial baking. In order to develop the above algorithm, a systematic four stage research plan has been conducted. </P> <p> The first and second stages were devoted to thoroughly reviewing the existing inverse heat conduction techniques. Unlike most inverse heat conduction solution methods that are batch form techniques, the online input estimation algorithm can be used for controlling the process in real time. Therefore, in the first stage, the effect of different parameters of the online input estimation algorithm on the estimate bias has been investigated. These parameters are the stabilizing parameter, the measurement errors standard deviation, the temporal step size, the spatial step size, the location of the thermocouple as well as the initial assumption of the state error covariance and error covariance of the input estimate. Furthermore, three different discretization schemes; namely: explicit, implicit and Crank-Nicholson have been employed in the input estimation algorithm to evaluate their effect on the algorithm performance. </p> <p> The effect of changing the stabilizing parameter has been investigated using three different forms of boundary conditions covering most practical boundary heat flux conditions. These cases are: square, triangular and mixed function heat fluxes. The most important finding of this investigation is that a robust range of the stabilizing parameter has been found which achieves the desired trade-off between the filter tracking ability and its sensitivity to measurement errors. For the three considered cases, it has been found that there is a common optimal value of the stabilizing parameter at which the estimate bias is minimal. This finding is important for practical applications since this parameter is usually unknown. Therefore, this study provides a needed guidance for assuming this parameter. </p> <p> In stage three of this study, a new, more efficient direct numerical algorithm has been developed to predict the thermal and microstructure fields during quenching of steel rods. The present algorithm solves the full nonlinear heat conduction equation using a central finite-difference scheme coupled with a fourth-order Runge-Kutta nonlinear solver. Numerical results obtained using the present algorithm have been validated using experimental data and numerical results available in the literature. In addition to its accurate predictions, the present algorithm does not require iterations; hence, it is computationally more efficient than previous numerical algorithms. </p> <p> The work performed in stage four of this research focused on developing and applying an inverse algorithm to estimate the surface temperatures and surface heat flux of a steel cylinder during the quenching process. The conventional online input estimation algorithm has been modified and used for the first time to handle this coupled nonlinear problem. The nonlinearity of the problem has been treated explicitly which resulted in a non-iterative algorithm suitable for real-time control of the quenching process. The obtained results have been validated using experimental data and numerical results obtained by solving the direct problem using the direct solver developed in stage three of this work. These results showed that the algorithm is efficiently reconstructing the shape of the convective surface heat flux. </p> / Thesis / Doctor of Philosophy (PhD)

This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. Additionally, standard Monte Carlo and variance reduction techniques were implemented. European and Asian option prices were estimated and compared with a benchmark value regarding accuracy, effectiveness, and computational complexity. Findings showed that the SRKL Euler–Maruyama schemes exhibited promise in enhancing the price for simple and path-dependent options. Consequently, integrating SRKL numerical methods into option valuation provides notable advantages by addressing challenges posed by the Heston model’s SDEs. Given the limited scope of this research topic, it is imperative to conduct further studies to understand the use of SRKL schemes within other models.

This work addresses the question of the efficient numerical solution of time-domain boundary integral equations with retarded potentials arising in the problems of acoustic and electromagnetic scattering. The convolutional form of the time-domain boundary operators allows to discretize them with the help of Runge-Kutta convolution quadrature. This method combines Laplace-transform and time-stepping approaches and requires the explicit form of the fundamental solution only in the Laplace domain to be known. Recent numerical and analytical studies revealed excellent properties of Runge-Kutta convolution quadrature, e.g. high convergence order, stability, low dissipation and dispersion. As a model problem, we consider the wave scattering in three dimensions. The convolution quadrature discretization of the indirect formulation for the three-dimensional wave equation leads to the lower triangular Toeplitz system of equations. Each entry of this system is a boundary integral operator with a kernel defined by convolution quadrature. In this work we develop an efficient method of almost linear complexity for the solution of this system based on the existing recursive algorithm. The latter requires the construction of many discretizations of the Helmholtz boundary single layer operator for a wide range of complex wavenumbers. This leads to two main problems: the need to construct many dense matrices and to evaluate many singular and near-singular integrals. The first problem is overcome by the use of data-sparse techniques, namely, the high-frequency fast multipole method (HF FMM) and H-matrices. The applicability of both techniques for the discretization of the Helmholtz boundary single-layer operators with complex wavenumbers is analyzed. It is shown that the presence of decay can favorably affect the length of the fast multipole expansions and thus reduce the matrix-vector multiplication times. The performance of H-matrices and the HF FMM is compared for a range of complex wavenumbers, and the strategy to choose between two techniques is suggested. The second problem, namely, the assembly of many singular and nearly-singular integrals, is solved by the use of the Huygens principle. In this work we prove that kernels of the boundary integral operators $w_n^h(d)$ ($h$ is the time step and $t_n=nh$ is the time) exhibit exponential decay outside of the neighborhood of $d=nh$ (this is the consequence of the Huygens principle). The size of the support of these kernels for fixed $h$ increases with $n$ as $n^a,a<1$, where $a$ depends on the order of the Runge-Kutta method and is (typically) smaller for Runge-Kutta methods of higher order. Numerical experiments demonstrate that theoretically predicted values of $a$ are quite close to optimal. In the work it is shown how this property can be used in the recursive algorithm to construct only a few matrices with the near-field, while for the rest of the matrices the far-field only is assembled. The resulting method allows to solve the three-dimensional wave scattering problem with asymptotically almost linear complexity. The efficiency of the approach is confirmed by extensive numerical experiments.

Ein bedeutender Satz von L. Bungart und H. Grauert besagt, dass, für eine Gruppe G von invertierbaren Elementen einer Banachalgebra, je zwei G-wertige holomorphe Kozyklen über einer beliebigen Steinschen Mannigfaltigkeit holomorph äquivalent sind, wenn sie dort stetig äquivalent sind. Eine einfachere Form dieses Satzes wurde erstmals von K. Oka bewiesen. Aussagen dieser Art werden deshalb auch Okasche Prinzipe oder Oka-Grauert-Prinzipe genannt. Der Bungert-Grauert-Satz ist auch in dem Fall von Bedeutung, in dem die Steinsche Mannigfaltigkeit ein Gebiet in der komplexen Ebene ist. Man kann deshalb in der Literatur auch direkte Beweise für den Spezialfall finden, in dem ein G-wertiger holomorpher, stetig trivialer Kozyklus betrachtet wird. Dieser ist, nach dem oben erwähnten Satz, dann auch holomorph trivial. Ziel dieser Dissertation ist es, den Bungart-Grauert-Satz für Gebiete in der komplexen Ebene auch im allgemeinen Fall direkt zu beweisen. Dieser direkte Beweis ist wesentlich einfacher als der bisherige und muss nicht, wie bei L. Bungart und H. Grauert, auf eine Theorie von mehreren Veränderlichen zurückgreifen. Wie in den Arbeiten von L. Bungart und H. Grauert gezeigt, kann dies durch das sogenannte Verdrillen, einer Methode aus einer allgemeinen Theorie von holomorphen Kozyklen mit Werten in Bündeln von Gruppen, erzielt werden. Der größte Teil der Dissertation besteht deshalb darin, eine solche Theorie im Fall von Gebieten in der komplexen Ebene direkt aufzubauen. / An important theorem of L. Bungart and H. Grauert says that for the group G of invertible elements of a banachalgebra, two holomorphic, G-valued cocycles over a Stein manifold, which are continiously equivalent, are holomorphically equivalent there. A simpler form of that theorem was first proven by K. Oka. That''s why theorems like this are known as Oka-Grauert-priciples as well. The Bungart-Grauert theorem is also significant if the Stein manifold is a domain in the complex plane. That''s why direct proofs of the special case, in which a continiously trivial, holomorphic cocycle is considered, can also be found in literature. Following the Bungart-Grauert theorem mentioned above, such a cocycle is also holomorphically trivial. The goal of this thesis is to prove the general case of the Bungart-Grauert theorem for a domain in the complex plane directly. That direct proof is much more simple than the old one. Furthermore this direct proof doesn''t have to resort to a theory of multiple variables, unlike the proof from L. Bungart and H. Grauert does. As shown in the original works, such a proof can be archieved by using the so called twisting. Twisting is a method from a theory of holomorphic cocycles with values in bundles of groups. In the main part of this thesis such a theory is build directly for domains in the complex plane.

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The goal of this project was to evaluate the viability of a mass-spring-damper based model for modeling of biological tissue. A method for automatically generating such a model from data taken from 3D medical imaging equipment including both the generation of point masses and an algorithm for generating the spring-damper links between these points is presented. Furthermore, an implementation of a simulation of this model running in real-time by utilizing the parallel computational power of modern GPU hardware through OpenCL is described. This implementation uses the fourth order Runge-Kutta method to improve stability over similar implementations. The difficulty of maintaining stability while still providing rigidness to the simulated tissue is thoroughly discussed. Several observations on the influence of the structure of the model on the consistency of the simulated tissue are also presented. This implementation also includes two manipulation tools, a move tool and a cut tool for interaction with the simulation. From the results, it is clear that the mass-springdamper model is a viable model that is possible to simulate in real-time on modern but commoditized hardware. With further development, this can be of great benefit to areas such as medical visualization and surgical simulation. / Målet med detta projekt var att utvärdera huruvida en modell baserad på massa-fjäderdämpare är meningsfull för att modellera biologisk vävnad. En metod för att automatiskt generera en sådan modell utifrån data tagen från medicinsk 3D-skanningsutrustning presenteras. Denna metod inkluderar både generering av punktmassor samt en algoritm för generering av länkar mellan dessa. Vidare beskrivs en implementation av en simulering av denna modell som körs i realtid genom att utnyttja den parallella beräkningskraften hos modern GPU-hårdvara via OpenCL. Denna implementation använder sig av fjärde ordningens Runge-Kutta-metod för förbättrad stabilitet jämfört med liknande implementationer. Svårigheten att bibehålla stabiliteten samtidigt som den simulerade vävnaden ges tillräcklig styvhet diskuteras genomgående. Flera observationer om modellstrukturens inverkan på den simulerade vävnadens konsistens presenteras också. Denna implementation inkluderar två manipuleringsverktyg, ett flytta-verktyg och ett skärverktyg för att interagera med simuleringen. Resultaten visar tydligt att en modell baserad på massa-fjäder-dämpare är en rimlig modell som är möjlig att simulera i realtid på modern men lättillgänglig hårdvara. Med vidareutveckling kan detta bli betydelsefullt för områden så som medicinsk bildvetenskap och kirurgisk simulering.

Ce document traite premièrement des diverses tentatives de modélisation et de simulation de la nage anguilliforme puis élabore une nouvelle technique, basée sur la méthode de la frontière immergée généralisée et la théorie des poutres de Reissner-Simo. Cette dernière, comme les équations des fluides polaires, est dérivée de la mécanique des milieux continus puis les équations obtenues sont discrétisées afin de les amener à une résolution numérique. Pour la première fois, la théorie des schémas de Runge-Kutta additifs est combinée à celle des schémas de Runge-Kutta-Munthe-Kaas pour engendrer une méthode d’ordre de convergence formel arbitraire. De plus, les opérations d’interpolation et d’étalement sont traitées d’un nouveau point de vue qui suggère l’usage des splines interpolatoires nodales en lieu et place des fonctions d’étalement traditionnelles. Enfin, de nombreuses vérifications numériques sont faites avant de considérer les simulations de la nage. / This paper first discusses various attempts at modeling and simulating anguilliform swimming, then we develop a new technique, based on a method of generalized immersed boundary and the beam theory of Reissner-Simo. Subsequent to the derivation of the equations of polar fluids, the beam theory is derived from continuum mechanics and the resulting equations are then discretized, allowing a numerical solution. For the first time, the theory of additive Runge-Kutta schemes are combined with the Runge-Kutta-Munthe-Kaas method to generate schemes of arbitrarily high formal order of convergence. Moreover, the interpolation and spreading operations are handled from a new point of view that suggests the use of interpolatory nodal splines instead of spreading traditional functions. Finally, many numerical verifications are done before considering simulations of swimming.

Tato disertační práce se zabývá analýzou stability a konvergence klasických numerických metod pro řešení obyčejných diferenciálních rovnic. Jsou představeny klasické jednokrokové metody, jako je Eulerova metoda, Runge-Kuttovy metody a nepříliš známá, ale rychlá a přesná metoda Taylorovy řady. V práci uvažujeme zobecnění jednokrokových metod do vícekrokových metod, jako jsou Adamsovy metody, a jejich implementaci ve dvojicích prediktor-korektor. Dále uvádíme generalizaci do vícekrokových metod vyšších derivací, jako jsou např. Obreshkovovy metody. Dvojice prediktor-korektor jsou často implementovány v kombinacích modů, v práci uvažujeme tzv. módy PEC a PECE. Hlavním cílem a přínosem této práce je nová metoda čtvrtého řádu, která se skládá z dvoukrokového prediktoru a jednokrokového korektoru, jejichž formule využívají druhých derivací. V práci je diskutována Nordsieckova reprezentace, algoritmus pro výběr proměnlivého integračního kroku nebo odhad lokálních a globálních chyb. Navržený přístup je vhodně upraven pro použití proměnlivého integračního kroku s přístupe vyšších derivací. Uvádíme srovnání s klasickými metodami a provedené experimenty pro lineární a nelineární problémy.

This work addresses the question of the efficient numerical solution of time-domain boundary integral equations with retarded potentials arising in the problems of acoustic and electromagnetic scattering. The convolutional form of the time-domain boundary operators allows to discretize them with the help of Runge-Kutta convolution quadrature. This method combines Laplace-transform and time-stepping approaches and requires the explicit form of the fundamental solution only in the Laplace domain to be known. Recent numerical and analytical studies revealed excellent properties of Runge-Kutta convolution quadrature, e.g. high convergence order, stability, low dissipation and dispersion. As a model problem, we consider the wave scattering in three dimensions. The convolution quadrature discretization of the indirect formulation for the three-dimensional wave equation leads to the lower triangular Toeplitz system of equations. Each entry of this system is a boundary integral operator with a kernel defined by convolution quadrature. In this work we develop an efficient method of almost linear complexity for the solution of this system based on the existing recursive algorithm. The latter requires the construction of many discretizations of the Helmholtz boundary single layer operator for a wide range of complex wavenumbers. This leads to two main problems: the need to construct many dense matrices and to evaluate many singular and near-singular integrals. The first problem is overcome by the use of data-sparse techniques, namely, the high-frequency fast multipole method (HF FMM) and H-matrices. The applicability of both techniques for the discretization of the Helmholtz boundary single-layer operators with complex wavenumbers is analyzed. It is shown that the presence of decay can favorably affect the length of the fast multipole expansions and thus reduce the matrix-vector multiplication times. The performance of H-matrices and the HF FMM is compared for a range of complex wavenumbers, and the strategy to choose between two techniques is suggested. The second problem, namely, the assembly of many singular and nearly-singular integrals, is solved by the use of the Huygens principle. In this work we prove that kernels of the boundary integral operators $w_n^h(d)$ ($h$ is the time step and $t_n=nh$ is the time) exhibit exponential decay outside of the neighborhood of $d=nh$ (this is the consequence of the Huygens principle). The size of the support of these kernels for fixed $h$ increases with $n$ as $n^a,a<1$, where $a$ depends on the order of the Runge-Kutta method and is (typically) smaller for Runge-Kutta methods of higher order. Numerical experiments demonstrate that theoretically predicted values of $a$ are quite close to optimal. In the work it is shown how this property can be used in the recursive algorithm to construct only a few matrices with the near-field, while for the rest of the matrices the far-field only is assembled. The resulting method allows to solve the three-dimensional wave scattering problem with asymptotically almost linear complexity. The efficiency of the approach is confirmed by extensive numerical experiments.

La simulation numérique de systèmes d’équations différentielles raides ordinaires ou algébriques est devenue partie intégrante dans le processus de conception des systèmes mécaniques à dynamiques complexes. L’objet de ce travail est de développer des méthodes numériques pour réduire les temps de calcul par le parallélisme en suivant deux axes : interne à l’intégrateur numérique, et au niveau de la décomposition de l’intervalle de temps. Nous montrons l’efficacité limitée au nombre d’étapes de la parallélisation à travers les méthodes de Runge-Kutta et DIMSIM. Nous développons alors une méthodologie pour appliquer le complément de Schur sur le système linéarisé intervenant dans les intégrateurs par l’introduction d’un masque de dépendance construit automatiquement lors de la mise en équations du modèle. Finalement, nous étendons le complément de Schur aux méthodes de type "Krylov Matrix Free". La décomposition en temps est d’abord vue par la résolution globale des pas de temps dont nous traitons la parallélisation du solveur non-linéaire (point fixe, Newton-Krylov et accélération de Steffensen). Nous introduisons les méthodes de tirs à deux niveaux, comme Parareal et Pita dont nous redéfinissons les finesses de grilles pour résoudre les problèmes raides pour lesquels leur efficacité parallèle est limitée. Les estimateurs de l’erreur globale, nous permettent de construire une extension parallèle de l’extrapolation de Richardson pour remplacer le premier niveau de calcul. Et nous proposons une parallélisation de la méthode de correction du résidu. / This PhD Thesis deals with the development of parallel numerical methods for solving Ordinary and Algebraic Differential Equations. ODE and DAE are commonly arising when modeling complex dynamical phenomena. We first show that the parallelization across the method is limited by the number of stages of the RK method or DIMSIM. We introduce the Schur complement into the linearised linear system of time integrators. An automatic framework is given to build a mask defining the relationships between the variables. Then the Schur complement is coupled with Jacobian Free Newton-Krylov methods. As time decomposition, global time steps resolutions can be solved by parallel nonlinear solvers (such as fixed point, Newton and Steffensen acceleration). Two steps time decomposition (Parareal, Pita,...) are developed with a new definition of their grids to solved stiff problems. Global error estimates, especially the Richardson extrapolation, are used to compute a good approximation for the second grid. Finally we propose a parallel deferred correction