Search results for "Partial derivative"
showing 10 items of 22 documents
Efficient numerical methods for pricing American options under stochastic volatility
2007
Five numerical methods for pricing American put options under Heston's stochastic volatility model are described and compared. The option prices are obtained as the solution of a two-dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M-matrices is proposed. The projected SOR, a projected multigrid method, an operator splitting method, a penalty method, and a componentwise splitting method are considered. The last one is a direct method while all other methods are iterative. The resulting systems of linear equations in the operator splitting method and in the penalty method are solved u…
Numerical Study of Two Sparse AMG-methods
2003
A sparse algebraic multigrid method is studied as a cheap and accurate way to compute approximations of Schur complements of matrices arising from the discretization of some symmetric and positive definite partial differential operators. The construction of such a multigrid is discussed and numerical experiments are used to verify the properties of the method.
Implicit analytic solutions for a nonlinear fractional partial differential beam equation
2020
Abstract Analytic solutions in implicit form are derived for a nonlinear partial differential equation (PDE) with fractional derivative elements, which can model the dynamics of a deterministically excited Euler-Bernoulli beam resting on a viscoelastic foundation. Specifically, the initial-boundary value problem for the corresponding PDE is reduced to an initial value problem for a nonlinear ordinary differential equation in a Hilbert space. Next, by employing the cosine and sine families of operators, a variation of parameters representation of the solution map is introduced. Due to the presence of a nonlinear term, a local fixed point theorem is employed to prove the local existence and u…
An Automatic Differentiation Based Approach to the Level Set Method
2015
This paper discusses an implementation of the parametric level set method. Adjoint approach is used to perform the sensitivity analysis, but contrary to standard implementations, the state problem is differentiated in its discretized form. The required partial derivatives are computed using tools of automatic differentiation, which avoids the need to derive the adjoint problem from the governing partial differential equation. The augmented Lagrangian approach is used to enforce volume constraints, and a gradient based optimization method is used to solve the subproblems. Applicability of the method is demonstrated by repeating well known compliance minimization studies of a cantilever beam …
Connecting Berry's phase and the pumped charge in a Cooper pair pump
2003
The properties of the tunnelling-charging Hamiltonian of a Cooper pair pump are well understood in the regime of weak and intermediate Josephson coupling, i.e. when $E_{\mathrm{J}}\lesssim E_{\mathrm{C}}$. It is also known that Berry's phase is related to the pumped charge induced by the adiabatical variation of the eigenstates. We show explicitly that pumped charge in Cooper pair pump can be understood as a partial derivative of Berry's phase with respect to the phase difference $\phi$ across the array. The phase fluctuations always present in real experiments can also be taken into account, although only approximately. Thus the measurement of the pumped current gives reliable, yet indirec…
Nonlinear Evolution Equations, Quasi-Solitons and their Experimental Manifestation
1990
We review the typical experimental facts which characterize quasisolitons in one-dimensional real systems, in connection with their modeling by nonlinear partial differential equations.We consider these nonlinear waves or excitations in two different domains of the real world : the macroworld and the microworld. In the macroworld we examine typical one-dimensional devices : the electrical networks, the Josephson transmission lines and the optical fibers, where the localized waves or pulses can be simply and coherently created, easily observed and manipulated on a macroscopic scale. In the microworld, we consider the magnetic chains and polymers, where the indirect experimental signatures of…
Continuous numerical solutions of coupled mixed partial differential systems using Fer's factorization
1999
In this paper continuous numerical solutions expressed in terms of matrix exponentials are constructed to approximate time-dependent systems of the type ut A(t)uxx B(t)u=0; 0 0, u(0;t)=u(p;t)=0; u(x;0)=f(x);06 x6p. After truncation of an exact series solution, the numerical solution is constructed using Fer’s factorization. Given >0 and t0;t1; with 0<t0<t1 and D(t0;t1)=f(x;t); 06x6p; t06t6t1g the error of the approximated solution with respect to the exact series solution is less than uniformly in D(t0;t1). An algorithm is also included. c 1999 Elsevier Science B.V. All rights reserved. AMS classication: 65M15, 34A50, 35C10, 35A50
Instruction-based clinical eye-tracking study on the visual interpretation of divergence : how do students look at vector field plots?
2018
Relating mathematical concepts to graphical representations is a challenging task for students. In this paper, we introduce two visual strategies to qualitatively interpret the divergence of graphical vector field representations. One strategy is based on the graphical interpretation of partial derivatives, while the other is based on the flux concept. We test the effectiveness of both strategies in an instruction-based eye-tracking study with N = 41 physics majors. We found that students’ performance improved when both strategies were introduced (74% correct) instead of only one strategy (64% correct), and students performed best when they were free to choose between the two strategies (88…
Adaptive backstepping based consensus tracking of uncertain nonlinear systems with event-triggered communication
2021
Abstract This paper investigates the consensus tracking problem for a class of uncertain high-order nonlinear systems with parametric uncertainties and event-triggered communication. Under a directed communication condition, a totally distributed adaptive backstepping based control scheme is presented. Specifically, a decentralized triggering condition is adopted in this paper such that continuous monitoring of neighboring states, as required in some existing results, can be avoided. Besides, to handle the non-differentiability problem of virtual controllers, which arises from the utilization of neighboring states collected only at the triggering instants, the virtual controllers in each re…
Space‐time dynamical models
2008
Purpose – The purpose is to present a new formal approach based on a partial integro‐differential equation, the space‐time state transition equation (STSTE), and on a set of general equations with which space‐time dynamical models of complex systems, such as social systems and ecosystems, can be built.Design/methodology/approach – The STSTE provides the partial derivative of the density of a state‐variable with regard to time as a sum of time rates and space‐time rates. Time rates describe the dynamics of the system for each space‐point irrespectively of the other points, whilst space‐time rates describe this evolution as a consequence of the relation of each space‐point with a given set of…