arXiv subjects

Martin Frank

Publications and source records attributed to Martin Frank.

At least 55 records · Page 3Linked to original sources

arXiv2019

A Structured Approach to the Construction of Stable Linear Lattice-Boltzmann Collision Operators

We introduce a structured approach to the construction of linear BGK-type collision operators ensuring that the resulting Lattice-Boltzmann methods are stable with respect to a weighted $L^2$-norm. The results hold for particular boundary conditions including periodic, bounce-back, and bounce-back with flipping of sign. This construction uses the equivalent moment-space definition of BGK-type collision operators and the notion of stability structures as guiding principle for the choice of the equilibrium moments for those moments influencing the error term only but not the order of consistency. The presented structured approach is then applied to the 3D isothermal linearized Euler equations with non-vanishing background velocity. Finally, convergence results in the strong discrete $L^\infty$-norm highlight the suitability of the structured approach introduced in this manuscript.

math.NA↗

arXiv2019

A low-rank method for time-dependent transport calculations

Low-rank approximation is a technique to approximate a tensor or a matrix with a reduced rank to reduce the memory required and computational cost for simulation. Its broad applications include dimension reduction, signal processing, compression, and regression. In this work, a dynamical low-rank approximation method is developed for the time-dependent radiation transport equation in slab geometry. Using a finite volume discretization in space and Legendre polynomials in angle we construct a system that evolves on a low-rank manifold via an operator splitting approach. We demonstrate that the lowrank solution gives better accuracy than solving the full rank equations given the same amount of memory.

physics.comp-ph↗

arXiv2019

Portfolio Optimization and Model Predictive Control: A Kinetic Approach

In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The investment decision of investors, derived through an optimization, drives the stock price. The model has been inspired by the econophysical Levy-Levy-Solomon model (Economics Letters, 45). The goal of this work is to gain insights into the stock price and wealth distribution. We especially want to discover the causes for the appearance of power-laws in financial data. We follow a kinetic approach similar to (D. Maldarella, L. Pareschi, Physica A, 391) and derive the mean field limit of our microscopic agent dynamics. The novelty in our approach is that the financial agents apply model predictive control (MPC) to approximate and solve the optimization of their utility function. Interestingly, the MPC approach gives a mathematical connection between the two opponent economic concepts of modeling financial agents to be rational or boundedly rational. Furthermore, this is to our knowledge the first kinetic portfolio model which considers a wealth and stock price distribution simultaneously. Due to our kinetic approach, we can study the wealth and price distribution on a mesoscopic level. The wealth distribution is characterized by a lognormal law. For the stock price distribution, we can either observe a lognormal behavior in the case of long-term investors or a power-law in the case of high-frequency trader. Furthermore, the stock return data exhibits a fat-tail, which is a well known characteristic of real financial data.

q-fin.PM↗

arXiv2018

SABCEMM-A Simulator for Agent-Based Computational Economic Market Models

We introduce the simulation tool SABCEMM (Simulator for Agent-Based Computational Economic Market Models) for agent-based computational economic market (ABCEM) models. Our simulation tool is implemented in C++ and we can easily run ABCEM models with several million agents. The object-oriented software design enables the isolated implementation of building blocks for ABCEM models, such as agent types and market mechanisms. The user can design and compare ABCEM models in a unified environment by recombining existing building blocks using the XML-based SABCEMM configuration file. We introduce an abstract ABCEM model class which our simulation tool is built upon. Furthermore, we present the software architecture as well as computational aspects of SABCEMM. Here, we focus on the efficiency of SABCEMM with respect to the run time of our simulations. We show the great impact of different random number generators on the run time of ABCEM models. The code and documentation is published on GitHub at https://github.com/SABCEMM/SABCEMM, such that all results can be reproduced by the reader.

q-fin.CP↗

arXiv2018

Maximum-principle-satisfying second-order Intrusive Polynomial Moment scheme

Using standard intrusive techniques when solving hyperbolic conservation laws with uncertainties can lead to oscillatory solutions as well as nonhyperbolic moment systems. The Intrusive Polynomial Moment (IPM) method ensures hyperbolicity of the moment system while restricting oscillatory over- and undershoots of specified bounds. In this contribution, we derive a second-order discretization of the IPM moment system which fulfills the maximum principle. This task is carried out by investigating violations of the specified bounds due to the errors from the numerical optimization required by the scheme. This analysis gives weaker conditions on the entropy that is used, allowing the choice of an entropy which enables choosing the exact minimal and maximal value of the initial condition as bounds. Solutions calculated with the derived scheme are nonoscillatory while fulfilling the maximum principle. The second-order accuracy of our scheme leads to significantly reduced numerical costs.

math.NA↗

arXiv2018

Filtered Stochastic Galerkin Methods For Hyperbolic Equations

Uncertainty Quantification for nonlinear hyperbolic problems becomes a challenging task in the vicinity of shocks. Standard intrusive methods lead to oscillatory solutions and can result in non-hyperbolic moment systems. The intrusive polynomial moment (IPM) method guarantees hyperbolicity but comes at higher numerical costs. In this paper, we filter the gPC coefficients of the Stochastic Galerkin (SG) approximation, which allows a numerically cheap reduction of oscillations. The derived filter is based on Lasso regression which sets small gPC coefficients of high order to zero. We adaptively choose the filter strength to obtain a zero-valued highest order moment, which allows optimality of the corresponding optimization problem. The filtered SG method is tested for Burgers' and the Euler equations. Results show a reduction of oscillations at shocks, which leads to an improved approximation of expectation values and the variance compared to SG and IPM.

math.NA↗

arXiv2018

Ray Effect Mitigation for the Discrete Ordinates Method through Quadrature Rotation

Solving the radiation transport equation is a challenging task, due to the high dimensionality of the solution's phase space. The commonly used discrete ordinates (S$_N$) method suffers from ray effects which result from a break in rotational symmetry from the finite set of directions chosen by S$_N$. The spherical harmonics (P$_N$) equations, on the other hand, preserve rotational symmetry, but can produce negative particle densities. The discrete ordinates (S$_N$) method, in turn, by construction ensures non-negative particle densities. In this paper we present a modified version of the S$_N$ method, the rotated S$_N$ (rS$_N$) method. Compared to S$_N$, we add a rotation and interpolation step for the angular quadrature points and the respective function values after every time step. Thereby, the number of directions on which the solution evolves is effectively increased and ray effects are mitigated. Solution values on rotated ordinates are computed by an interpolation step. Implementation details are provided and in our experiments the rotation/interpolation step only adds 5% to 10% to the runtime of the S$_N$ method. We apply the rS$_N$ method to the line-source and a lattice test case, both being prone to ray-effects. Ray effects are reduced significantly, even for small numbers of quadrature points. The rS$_N$ method yields qualitatively similar solutions to the S$_N$ method with less than a third of the number of quadrature points, both for the line-source and the lattice problem. The code used to produce our results is freely available and can be downloaded.

math.NA↗

arXiv2018

A Positive Asymptotic Preserving Scheme for Linear Kinetic Transport Equations

We present a positive and asymptotic preserving numerical scheme for solving linear kinetic, transport equations that relax to a diffusive equation in the limit of infinite scattering. The proposed scheme is developed using a standard spectral angular discretization and a classical micro-macro decomposition. The three main ingredients are a semi-implicit temporal discretization, a dedicated finite difference spatial discretization, and realizability limiters in the angular discretization. Under mild assumptions on the initial condition and time step, the scheme becomes a consistent numerical discretization for the limiting diffusion equation when the scattering cross-section tends to infinity. The scheme also preserves positivity of the particle concentration on the space-time mesh and therefore fixes a common defect of spectral angular discretizations. The scheme is tested on the well-known line source benchmark problem with the usual uniform material medium as well as a medium composed from different materials that are arranged in a checkerboard pattern. We also report the observed order of space-time accuracy of the proposed scheme.

math.NA↗

arXiv2018

A short proof that sweeping is always possible for a spatial discretization with regular triangles and no hanging nodes

Sweeping is a commonly used procedure to explicitly solve the discrete ordinates equation, which itself is a common approximation of the neutron transport equation. To sweep through the computational domain, an ordering of the spatial cells is required that obeys the flow of information. We show that this ordering can always be found, assuming a discretization of the spatial domain with regular triangles with no hanging nodes.

math.NA↗

arXiv2018

A regularized entropy-based moment method for kinetic equations

We present a new entropy-based moment method for the velocity discretization of kinetic equations. This method is based on a regularization of the optimization problem defining the original entropy-based moment method, and this gives the new method the advantage that the moment vectors of the solution do not have to take on realizable values. We show that this equation still retains many of the properties of the original equations, including hyperbolicity, an entropy-dissipation law, and rotational invariance. The cost of the regularization is mismatch between the moment vector of the solution and that of the ansatz returned by the regularized optimization problem. However, we show how to control this error using the parameter defining the regularization. This suggests that with proper choice of the regularization parameter, the new method can be used to generate accurate solutions of the original entropy-based moment method, and we confirm this with numerical simulations.

math.NA↗

arXiv2017

Mean Field Limit of a Behavioral Financial Market Model

In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We derive the mean field limit of the econophysical model by Cross, Grinfeld, Lamba and Seaman (Physica A, 354) and show that the kinetic limit is a good approximation of the original model. Our kinetic model is able to replicate some of the most prominent stylized facts, namely fat-tails of asset returns, uncorrelated stock price returns and volatility clustering. Interestingly, psychological misperceptions of investors can be accounted to be the origin of the appearance of stylized facts. The mesoscopic model allows us to study the model analytically. We derive steady state solutions and entropy bounds of the deterministic skeleton. These first analytical results already guide us to explanations for the complex dynamics of the model.

q-fin.TR↗

arXiv2017

Quasi-steady state reduction for the Michaelis-Menten reaction-diffusion system

The Michaelis-Menten mechanism is probably the best known model for an enzyme-catalyzed reaction. For spatially homogeneous concentrations, QSS reductions are well known, but this is not the case when chemical species are allowed to diffuse. We will discuss QSS reductions for both the irreversible and reversible Michaelis-Menten reaction in the latter case, given small initial enzyme concentration and slow diffusion. Our work is based on a heuristic method to obtain an ordinary differential equation which admits reduction by Tikhonov-Fenichel theory. We will not give convergence proofs but we provide numerical results that support the accuracy of the reductions.

math.AP↗

arXiv2017

A Comparative Study of Limiting Strategies in Discontinuous Galerkin Schemes for the $M_1$ Model of Radiation Transport

The $M_1$ minimum entropy moment system is a system of hyperbolic balance laws that approximates the radiation transport equation, and has many desirable properties. Among them are symmetric hyperbolicity, entropy decay, moment realizability, and correct behavior in the diffusion and free-streaming limits. However, numerical difficulties arise when approximating the solution of the $M_1$ model by high order numerical schemes; namely maintaining the realizability of the numerical solution and controlling spurious oscillations. In this paper, we extend a previously constructed one-dimensional realizability limiting strategy to 2D. In addition, we perform a numerical study of various combinations of the realizability limiter and the TVBM local slope limiter on a third order Discontinuous Galerkin (DG) scheme on both triangular and rectangular meshes. In several test cases, we demonstrate that in general, a combination of the realizability limiter and a TVBM limiter is necessary to obtain a robust and accurate numerical scheme. Our code is published so that all results can be reproduced by the reader.

math.NA↗

arXiv2016

Fractional Diffusion Limits of Non-Classical Transport Equations

We establish asymptotic diffusion limits of the non-classical transport equation derived in [E. W. Larsen, A generalized Boltzmann equation for non-classical particle transport, Joint international topical meeting on mathematics & computation and supercomputing in nuclear applications, 2007]. By introducing appropriate scaling parameters, the limits will be either regular or fractional diffusion equations depending on the tail behaviour of the path-length distribution. Our analysis uses the Fourier transform combined with a moment method. We conclude with remarks on the diffusion limit of the periodic Lorentz gas equation.

math.AP↗

arXiv2016

An Asymptotic Preserving Two-Dimensional Staggered Grid Method for multiscale transport equations

We propose a two-dimensional asymptotic preserving scheme for linear transport equations with diffusive scalings. It is an extension of the time splitting developed by Jin, Pareschi and Toscani [SINUM,2000], but uses spatial discretizations on staggered grids, which preserves the discrete diffusion limit with a more compact stencil. The first novelty of this paper is that we propose a staggering in two dimensions that requires fewer unknowns than one could have naively expected. The second contribution of this paper is that we rigorously analyze the scheme of Jin, Pareschi, and Toscani [SINUM,2000] We show that the scheme is AP and obtain an explicit CFL condition, which couples a hyperbolic and a parabolic condition. This type of condition is common for asymptotic preserving schemes and guarantees uniform stability with respect to the mean free path. In addition, we obtain an upper bound on the relaxation parameter, which is the crucial parameter of the used time discretization. Several numerical examples are provided to verify the accuracy and asymptotic property of the scheme.

math.NA↗

arXiv2016

Derivation and Analysis of Lattice Boltzmann Schemes for the Linearized Euler Equations

We derive Lattice Boltzmann (LBM) schemes to solve the Linearized Euler Equations in 1D, 2D, and 3D with the future goal of coupling them to an LBM scheme for Navier Stokes Equations and an Finite Volume scheme for Linearized Euler Equations. The derivation uses the analytical Maxwellian in a BGK model. In this way, we are able to obtain second-order schemes. In addition, we perform an $L^2$-stability analysis. Numerical results validate the approach.

math.NA↗

arXiv2014

The Non-Classical Boltzmann Equation, and Diffusion-Based Approximations to the Boltzmann Equation

We show that several diffusion-based approximations (classical diffusion or SP1, SP2, SP3) to the linear Boltzmann equation can (for an infinite, homogeneous medium) be represented exactly by a non-classical transport equation. As a consequence, we indicate a method to solve diffusion-based approximations to the Boltzmann equation via Monte Carlo, with only statistical errors - no truncation errors.

math-ph↗

arXiv2014

Sensitivity analysis for dose deposition in radiotherapy via a Fokker-Planck model

In this paper we study the sensitivities of electron dose calculations with respect to the stopping power and the transport coefficients. We focus on the application to radiotherapy simulations. We use a Fokker-Planck approximation to the Boltzmann transport equation. Equations for the sensitivities are derived by the adjoint method. The Fokker-Planck equation and its adjoint are solved numerically in slab geometry using the spherical harmonics expansion ($P_N$) and an HLL finite volume method. Our method is verified by comparison to finite difference approximations of the sensitivities. Finally, we present numerical results of the sensitivities for the normalized average dose deposition depth with respect to the stopping power and transport coefficients, demonstrating the increasing relative sensitivities as beam energy decreases.

math.NA↗