A class of deformational flow test cases for linear transport problems on the sphere

A class of new benchmark deformational flow test cases for the two-dimensional horizontal linear transport problems on the sphere is proposed. The scalar field follows complex trajectories and undergoes severe deformation during the simulation; however, the flow reverses its course at half-time and the scalar field returns to its initial position and shape. This process makes the exact solution available at the end of the simulation, and facilitates assessment of the accuracy of the underlying transport scheme. A procedure to eliminate possible cancellations of errors when the flow reverses is proposed.     

Valuation and risk assessment of participating life insurance in the presence of credit risk

In participating life insurance, management decisions regarding the asset composition can substantially impact the value of a policy from the policyholders’ perspective as well as the insurer’s risk situation. Due to the long-term guarantees often embedded in these contracts, life insurers typically invest a considerable portion of their capital in long-term assets such as corporate and government bonds. Besides interest rate risk, the value of these bond investments is thus particularly influenced by credit risk. Thus, the aim of this paper is to examine the impact of market risk associated with the asset composition on fair valuation and risk assessment with focus on credit risk and its interaction with equity risk and interest rate risk. Our analysis emphasizes that the consideration of credit risk associated with bonds has a strong impact on the fair valuation and risk measurement in the context of participating life insurance contracts, even in case of higher grade bond exposures.     

Comparison of laser Doppler and laser speckle contrast imaging using a concurrent processing system

Full field laser Doppler imaging (LDI) and single exposure laser speckle contrast imaging (LSCI) are directly compared using a novel instrument which can concurrently image blood flow using both LDI and LSCI signal processing. Incorporating a commercial CMOS camera chip and a field programmable gate array (FPGA) the flow images of LDI and the contrast maps of LSCI are simultaneously processed by utilizing the same detected optical signals. The comparison was carried out by imaging a rotating diffuser. LDI has a linear response to the velocity. In contrast, LSCI is exposure time dependent and does not provide a linear response in the presence of static speckle. It is also demonstrated that the relationship between LDI and LSCI can be related through a power law which depends on the exposure time of LSCI.     

Issue Information ‐ TOC

Numerical modeling of multiphase flow generally requires a special procedure at the solid wall in order to be consistent with Young's law for static contact angles. The standard approach in the lattice Boltzmann method, which consists of imposing fictive densities at the solid lattice sites, is shown to be deficient for this task. Indeed, fictive mass transfer along the boundary could happen and potentially spoil the numerical results. In particular, when the contact angle is less than 90 degrees, the deficiencies of the standard model are major. Various videos that demonstrate this behavior are provided (Supporting Information). A new approach is proposed and consists of directly imposing the contact angle at the boundaries in much the same way as Dirichlet boundary conditions are generally imposed. The proposed method is able to retrieve analytical solutions for static contact angles in the case of straight and curved boundaries even when variable density and viscosity ratios between the phases are considered. Although the proposed wetting boundary condition is shown to significantly improve the numerical results for one particular class of lattice Boltzmann model, it is believed that other lattice Boltzmann multiphase schemes could also benefit from the underlying ideas of the proposed method. The proposed algorithm is two‐dimensional, and the D2Q9 lattice is used. Copyright © 2016 John Wiley & Sons, Ltd.     

Optimal flow conditions of a tracheobronchial model to reengineer lung structures

The high demand for lung transplants cannot be matched by an adequate number of lungs from donors. Since fully ex-novo lungs are far from being feasible, tissue engi-neering is actively considering implantation of engineered lungs where the devitalized structure of a donor is used as scaffold to be repopulated by stem cells of the receiv-ing patient. A decellularized donated lung is treated inside a bioreactor where transport through the tracheobronchial tree (TBT) will allow for both deposition of stem cells and nour-ishment for their subsequent growth, thus developing new lung tissue. The key concern is to set optimally the boundary conditions to utilize in the bioreactor. We propose a pre-dictive model of slow liquid ventilation, which combines a one-dimensional (1-D) mathematical model of the TBT and a solute deposition model strongly dependent on fluid velocity across the tree. With it, we were able to track and drive the concentration of a generic solute across the airways, look-ing for its optimal distribution. This was given by properly adjusting the pumps' regime serving the bioreactor. A feed-back system, created by coupling the two models, allowed us to derive the optimal pattern. The TBT model can be easily invertible, thus yielding a straightforward flow/pressure law at the inlet to optimize the efficiency of the bioreactor.     

A filter‐based,mass‐conserving lattice Boltzmann method for immiscible multiphase flows

Some issues of He–Chen–Zhang lattice Boltzmann equation (LBE) method (referred as HCZ model) (J. Comput. Physics 1999; 152 :642–663) for immiscible multiphase flows with large density ratio are assessed in this paper. An extended HCZ model with a filter technique and mass correction procedure is proposed based on HCZ's LBE multiphase model. The original HCZ model is capable of maintaining a thin interface but is prone to generating unphysical oscillations in surface tension and index function at moderate values of density ratio. With a filtering technique, the monotonic variation of the index function across the interface is maintained with larger density ratio. Kim's surface tension formulation for diffuse–interface method (J. Comput. Physics 2005; 204 :784–804) is then used to remove unphysical oscillation in the surface tension. Furthermore, as the density ratio increases, the effect of velocity divergence term neglected in the original HCZ model causes significant unphysical mass sources near the interface. By keeping the velocity divergence term, the unphysical mass sources near the interface can be removed with large density ratio. The long‐time accumulation of the modeling and/or numerical errors in the HCZ model also results in the error of mass conservation of each dispersed phase. A mass correction procedure is devised to improve the performance of the method in this regard. For flows over a stationary and a rising bubble, and capillary waves with density ratio up to 100, the present approach yields solutions with interface thickness of about five to six lattices and no long‐time diffusion, significantly advancing the performance of the LBE method for multiphase flow simulations. Copyright © 2010 John Wiley & Sons, Ltd.     

The effect of a market factor on information flow between stocks using the minimal spanning tree

We empirically investigated the effects of market factors on the information flow created from N(N−1)/2 linkage relationships among stocks. We also examined the possibility of employing the minimal spanning tree (MST) method, which is capable of reducing the number of links to N−1. We determined that market factors carry important information value regarding information flow among stocks. Moreover, the information flow among stocks showed time-varying properties according to the changes in market status. In particular, we noted that the information flow increased dramatically during periods of market crises. Finally, we confirmed, via the MST method, that the information flow among stocks could be assessed effectively with the reduced linkage relationships among all links among stocks from the perspective of the overall market.     

Constrained moving least‐squares immersed boundary method for fluid‐structure interaction analysis

A numerical method is presented for the analysis of interactions of inviscid and compressible flows with arbitrarily shaped stationary or moving rigid solids. The fluid equations are solved on a fixed rectangular Cartesian grid by using a higher‐order finite difference method based on the fifth‐order WENO scheme. A constrained moving least‐squares sharp interface method is proposed to enforce the Neumann‐type boundary conditions on the fluid‐solid interface by using a penalty term, while the Dirichlet boundary conditions are directly enforced. The solution of the fluid flow and the solid motion equations is advanced in time by staggerly using, respectively, the third‐order Runge‐Kutta and the implicit Newmark integration schemes. The stability and the robustness of the proposed method have been demonstrated by analyzing 5 challenging problems. For these problems, the numerical results have been found to agree well with their analytical and numerical solutions available in the literature. Effects of the support domain size and values assigned to the penalty parameter on the stability and the accuracy of the present method are also discussed.     

Consistency of regularized spectral clustering

Clustering is a widely used technique in machine learning, however, relatively little research in consistency of clustering algorithms has been done so far. In this paper we investigate the consistency of the regularized spectral clustering algorithm, which has been proposed recently. It provides a natural out-of-sample extension for spectral clustering. The presence of the regularization term makes our situation different from that in previous work. Our approach is mainly an elaborate analysis of a functional named the clustering objective. Moreover, we establish a convergence rate. The rate depends on the approximation property and the capacity of the reproducing kernel Hilbert space measured by covering numbers. Some new methods are exploited for the analysis since the underlying setting is much more complicated than usual. Some new methods are exploited for the analysis since the underlying setting is much more complicated than usual.     

A study of gridless method with dynamic clouds of points for solving unsteady CFD problems in aerodynamics

When solving unsteady computational fluid dynamics problems in aerodynamics with a gridless method, a cloud of points is usually required to be regenerated due to its accommodation to moving boundaries. In order to handle this problem conveniently, a fast dynamic cloud method based on Delaunay graph mapping strategy is proposed in this paper. A dynamic cloud method makes use of algebraic mapping principles and therefore points can be accurately redistributed in the flow field without any iteration. In this way, the structure of the gridless clouds is not necessarily changed so that the clouds regeneration can be avoided successfully. The spatial derivatives of the mathematical modeling of the flow are directly determined by using weighted least‐squares method in each cloud of points, and then numerical fluxes can be obtained. A dual time‐stepping method is further implemented to advance the two‐dimensional Euler equations in arbitrary Lagarangian–Eulerian formulation in time. Finally, unsteady transonic flows over two different oscillating airfoils are simulated with the above method and results obtained are in good agreement with the experimental data. Copyright © 2009 John Wiley & Sons, Ltd.