We review and extend a hierarchy of relaxation models for two-phase flow. The models are derived from the non-equilibrium Baer–Nunziato model, which is endowed with relaxation source terms to drive it towards equilibrium. The source terms cause transfer of volume, heat, mass and momentum due to differences between the phases in pressure, temperature, chemical potential and velocity, respectively. In the context of two-phase flow models, the subcharacteristic condition implies that the sound speed of an equilibrium system can never exceed that of the relaxation system. Here, previous work by Flåtten and Lund [Math. Models Methods Appl. Sci., 21 (12), 2011, 2379–2407] and Lund [SIAM J. Appl. Math. 72, 2012, 1713–1741] is extended to encompass two-fluid models, i.e. models with separately governed velocities for the two phases. Each remaining model in the hierarchy is derived, and analytical expressions for the sound speeds are presented. Given only physically fundamental assumptions, the subcharacteristic condition is shown to be satisfied in the entire hierarchy, either in a weak or in a strong sense.
{"title":"A hierarchy of non-equilibrium two-phase flow models","authors":"G. Linga","doi":"10.1051/proc/201966006","DOIUrl":"https://doi.org/10.1051/proc/201966006","url":null,"abstract":"We review and extend a hierarchy of relaxation models for two-phase flow. The models are derived from the non-equilibrium Baer–Nunziato model, which is endowed with relaxation source terms to drive it towards equilibrium. The source terms cause transfer of volume, heat, mass and momentum due to differences between the phases in pressure, temperature, chemical potential and velocity, respectively. In the context of two-phase flow models, the subcharacteristic condition implies that the sound speed of an equilibrium system can never exceed that of the relaxation system. Here, previous work by Flåtten and Lund [Math. Models Methods Appl. Sci., 21 (12), 2011, 2379–2407] and Lund [SIAM J. Appl. Math. 72, 2012, 1713–1741] is extended to encompass two-fluid models, i.e. models with separately governed velocities for the two phases. Each remaining model in the hierarchy is derived, and analytical expressions for the sound speeds are presented. Given only physically fundamental assumptions, the subcharacteristic condition is shown to be satisfied in the entire hierarchy, either in a weak or in a strong sense.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"36 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87312009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Nous considerons des structures fines a metrique imposee, dependant des variables planaires, non necessairement realisable. Nous donnons une presentation synthetique des trois principaux modeles limites. Nous etablissons un modele de membrane generalise et montrons que son energie interne s'annule pour les deformations non expansives de la metrique restreinte au plan. Nous rappelons qu'un modele de flexion generalise ne peut apparaitre que si cette metrique reduite admet des immersions isometriques suffisamment regulieres, et que, des lors que les composantes du tenseur de courbure dont trois indices au moins sont egaux a 1 ou 2 sont nulles, l'energie de flexion peut s'annuler. Le modele suivant est alors necessairement un modele de von Karman generalise dont le minimum est nul si et seulement si le tenseur de courbure est nul, c'est-a-dire si la metrique de depart est plate.
{"title":"Thin Structures With Imposed Metric","authors":"M. Lewicka, A. Raoult","doi":"10.1051/PROC/201862079","DOIUrl":"https://doi.org/10.1051/PROC/201862079","url":null,"abstract":"Nous considerons des structures fines a metrique imposee, dependant des variables planaires, non necessairement realisable. Nous donnons une presentation synthetique des trois principaux modeles limites. Nous etablissons un modele de membrane generalise et montrons que son energie interne s'annule pour les deformations non expansives de la metrique restreinte au plan. Nous rappelons qu'un modele de flexion generalise ne peut apparaitre que si cette metrique reduite admet des immersions isometriques suffisamment regulieres, et que, des lors que les composantes du tenseur de courbure dont trois indices au moins sont egaux a 1 ou 2 sont nulles, l'energie de flexion peut s'annuler. Le modele suivant est alors necessairement un modele de von Karman generalise dont le minimum est nul si et seulement si le tenseur de courbure est nul, c'est-a-dire si la metrique de depart est plate.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"5 1","pages":"79-90"},"PeriodicalIF":0.0,"publicationDate":"2018-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82031467","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
R. Chakir, C. Dapogny, C. Japhet, Y. Maday, Jean-Baptiste Montavon, O. Pantz, A. Patera
The aim of this paper is to develop some techniques for automation of the mappings (between working and reference domains) required by reduced basis methods: the development of geometry mappings is indeed often a substantial impediment to the implementation of reduced basis techniques, especially in the context of the reduced basis element method (RBEM) and the reduced basis component method (RBCM). In the RBCM context, the geometry mappings are applied at the level of components. The methods have been tested on various cases to understand the limits of the approach and try to foresee and overcome the possible failures.
{"title":"Component Mapping Automation for Parametric Component Reduced Basis Techniques (RB-COMPONENT)","authors":"R. Chakir, C. Dapogny, C. Japhet, Y. Maday, Jean-Baptiste Montavon, O. Pantz, A. Patera","doi":"10.1051/PROC/201863208","DOIUrl":"https://doi.org/10.1051/PROC/201863208","url":null,"abstract":"The aim of this paper is to develop some techniques for automation of the mappings (between working and reference domains) required by reduced basis methods: the development of geometry mappings is indeed often a substantial impediment to the implementation of reduced basis techniques, especially in the context of the reduced basis element method (RBEM) and the reduced basis component method (RBCM). In the RBCM context, the geometry mappings are applied at the level of components. The methods have been tested on various cases to understand the limits of the approach and try to foresee and overcome the possible failures.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"45 1","pages":"208-227"},"PeriodicalIF":0.0,"publicationDate":"2018-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88689185","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Alessandro Balata, Come Hur'e, M. Laurière, H. Pham, Isaque Pimentel
We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV control problems. We show how this polynomial class can be reduced by suitable Markov embedding to finite-dimensional stochastic control problems, and provide a discussion and comparison of three probabilistic numerical methods for solving the reduced control problem: quantization, regression by control randomization, and regress-later methods. Our numerical results are illustrated on various examples from portfolio selection and liquidation under drift uncertainty, and a model of interbank systemic risk with partial observation.
{"title":"A class of finite-dimensional numerically solvable McKean-Vlasov control problems","authors":"Alessandro Balata, Come Hur'e, M. Laurière, H. Pham, Isaque Pimentel","doi":"10.1051/PROC/201965114","DOIUrl":"https://doi.org/10.1051/PROC/201965114","url":null,"abstract":"We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV control problems. We show how this polynomial class can be reduced by suitable Markov embedding to finite-dimensional stochastic control problems, and provide a discussion and comparison of three probabilistic numerical methods for solving the reduced control problem: quantization, regression by control randomization, and regress-later methods. Our numerical results are illustrated on various examples from portfolio selection and liquidation under drift uncertainty, and a model of interbank systemic risk with partial observation.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"99 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80906181","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
C. Alasseur, Alessandro Balata, Sahar Ben Aziza, Aditya Maheshwari, P. Tankov, X. Warin
We study an islanded microgrid system designed to supply a small village with the power produced by photovoltaic panels, wind turbines and a diesel generator. A battery storage system device is used to shift power from times of high renewable production to times of high demand. We build on the mathematical model introduced in [14] and optimize the diesel consumption under a “no-blackout” constraint. We introduce a methodology to solve microgrid management problem using different variants of Regression Monte Carlo algorithms and use numerical simulations to infer results about the optimal design of the grid.
{"title":"Regression Monte Carlo for microgrid management","authors":"C. Alasseur, Alessandro Balata, Sahar Ben Aziza, Aditya Maheshwari, P. Tankov, X. Warin","doi":"10.1051/PROC/201965046","DOIUrl":"https://doi.org/10.1051/PROC/201965046","url":null,"abstract":"We study an islanded microgrid system designed to supply a small village with the power produced by photovoltaic panels, wind turbines and a diesel generator. A battery storage system device is used to shift power from times of high renewable production to times of high demand. We build on the mathematical model introduced in [14] and optimize the diesel consumption under a “no-blackout” constraint. We introduce a methodology to solve microgrid management problem using different variants of Regression Monte Carlo algorithms and use numerical simulations to infer results about the optimal design of the grid.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"102 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74263518","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
L. Briceño-Arias, D. Kalise, Z. Kobeissi, M. Laurière, '. Gonz'alez, Francisco J. Silva
We study a numerical approximation of a time-dependent Mean Field Game (MFG) system with local couplings. The discretization we consider stems from a variational approach described in [14] for the stationary problem and leads to the finite difference scheme introduced by Achdou and Capuzzo-Dolcetta in [3]. In order to solve the finite dimensional variational problems, in [14] the authors implement the primal-dual algorithm introduced by Chambolle and Pock in [20], whose core consists in iteratively solving linear systems and applying a proximity operator. We apply that method to time-dependent MFG and, for large viscosity parameters, we improve the linear system solution by replacing the direct approach used in [14] by suitable preconditioned iterative algorithms.
{"title":"On the implementation of a primal-dual algorithm for second order time-dependent Mean Field Games with local couplings","authors":"L. Briceño-Arias, D. Kalise, Z. Kobeissi, M. Laurière, '. Gonz'alez, Francisco J. Silva","doi":"10.1051/PROC/201965330","DOIUrl":"https://doi.org/10.1051/PROC/201965330","url":null,"abstract":"We study a numerical approximation of a time-dependent Mean Field Game (MFG) system with local couplings. The discretization we consider stems from a variational approach described in [14] for the stationary problem and leads to the finite difference scheme introduced by Achdou and Capuzzo-Dolcetta in [3]. In order to solve the finite dimensional variational problems, in [14] the authors implement the primal-dual algorithm introduced by Chambolle and Pock in [20], whose core consists in iteratively solving linear systems and applying a proximity operator. We apply that method to time-dependent MFG and, for large viscosity parameters, we improve the linear system solution by replacing the direct approach used in [14] by suitable preconditioned iterative algorithms.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"65 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86746415","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
N. Baradel, B. Bouchard, David Evangelista, Othmane Mounjid
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order book, similar to the one considered in the Queue-Reactive models [12, 18, 19], the MM and the HFT define their trading strategy by optimizing the expected utility of terminal wealth, while the IB has a prescheduled task to sell or buy many shares of the considered asset. We derive the variational partial differential equations that characterize the value functions of the MM and HFT and explain how almost optimal control can be deduced from them. We then provide a first illustration of the interactions that can take place between these different market participants by simulating the dynamic of an order book in which each of them plays his own (optimal) strategy.
{"title":"Optimal inventory management and order book modeling","authors":"N. Baradel, B. Bouchard, David Evangelista, Othmane Mounjid","doi":"10.1051/proc/201965145","DOIUrl":"https://doi.org/10.1051/proc/201965145","url":null,"abstract":"We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order book, similar to the one considered in the Queue-Reactive models [12, 18, 19], the MM and the HFT define their trading strategy by optimizing the expected utility of terminal wealth, while the IB has a prescheduled task to sell or buy many shares of the considered asset. We derive the variational partial differential equations that characterize the value functions of the MM and HFT and explain how almost optimal control can be deduced from them. We then provide a first illustration of the interactions that can take place between these different market participants by simulating the dynamic of an order book in which each of them plays his own (optimal) strategy.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"24 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1051/proc/201965145","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72497005","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
D. Barrera, S. Crépey, B. Diallo, B. Diallo, G. Fort, E. Gobet, Uladzislau Stazhynski
We consider the problem of the numerical computation of its economic capital by an insurance or a bank, in the form of a value-at-risk or expected shortfall of its loss over a given time horizon. This loss includes the appreciation of the mark-to-model of the liabilities of the firm, which we account for by nested Monte Carlo à la Gordy and Juneja [17] or by regression à la Broadie, Du, and Moallemi [10]. Using a stochastic approximation point of view on value-at-risk and expected shortfall, we establish the convergence of the resulting economic capital simulation schemes, under mild assumptions that only bear on the theoretical limiting problem at hand, as opposed to assumptions on the approximating problems in [17] and [10]. Our economic capital estimates can then be made conditional in a Markov framework and integrated in an outer Monte Carlo simulation to yield the risk margin of the firm, corresponding to a market value margin (MVM) in insurance or to a capital valuation adjustment (KVA) in banking parlance. This is illustrated numerically by a KVA case study implemented on GPUs.
{"title":"Stochastic approximation schemes for economic capital and risk margin computations","authors":"D. Barrera, S. Crépey, B. Diallo, B. Diallo, G. Fort, E. Gobet, Uladzislau Stazhynski","doi":"10.1051/proc/201965182","DOIUrl":"https://doi.org/10.1051/proc/201965182","url":null,"abstract":"We consider the problem of the numerical computation of its economic capital by an insurance or a bank, in the form of a value-at-risk or expected shortfall of its loss over a given time horizon. This loss includes the appreciation of the mark-to-model of the liabilities of the firm, which we account for by nested Monte Carlo à la Gordy and Juneja [17] or by regression à la Broadie, Du, and Moallemi [10]. Using a stochastic approximation point of view on value-at-risk and expected shortfall, we establish the convergence of the resulting economic capital simulation schemes, under mild assumptions that only bear on the theoretical limiting problem at hand, as opposed to assumptions on the approximating problems in [17] and [10]. Our economic capital estimates can then be made conditional in a Markov framework and integrated in an outer Monte Carlo simulation to yield the risk margin of the firm, corresponding to a market value margin (MVM) in insurance or to a capital valuation adjustment (KVA) in banking parlance. This is illustrated numerically by a KVA case study implemented on GPUs.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88864071","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The price of anarchy, originally introduced to quantify the inefficiency of selfish behavior in routing games, is extended to mean field games. The price of anarchy is defined as the ratio of a worst case social cost computed for a mean field game equilibrium to the optimal social cost as computed by a central planner. We illustrate properties of such a price of anarchy on linear quadratic extended mean field games, for which explicit computations are possible. A sufficient and necessary condition to have no price of anarchy is presented. Various asymptotic behaviors of the price of anarchy are proved for limiting behaviors of the coefficients in the model and numerics are presented.
{"title":"Price of anarchy for Mean Field Games","authors":"R. Carmona, Christy V. Graves, Zongjun Tan","doi":"10.1051/PROC/201965349","DOIUrl":"https://doi.org/10.1051/PROC/201965349","url":null,"abstract":"The price of anarchy, originally introduced to quantify the inefficiency of selfish behavior in routing games, is extended to mean field games. The price of anarchy is defined as the ratio of a worst case social cost computed for a mean field game equilibrium to the optimal social cost as computed by a central planner. We illustrate properties of such a price of anarchy on linear quadratic extended mean field games, for which explicit computations are possible. A sufficient and necessary condition to have no price of anarchy is presented. Various asymptotic behaviors of the price of anarchy are proved for limiting behaviors of the coefficients in the model and numerics are presented.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89076777","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In global sensitivity analysis, the well-known Sobol’ sensitivity indices aim to quantify how the variance in the output of a mathematical model can be apportioned to the different variances of its input random variables. These indices are based on the functional variance decomposition and their interpretation becomes difficult in the presence of statistical dependence between the inputs. However, as there are dependencies in many application studies, this drawback enhances the development of interpretable sensitivity indices. Recently, the Shapley values that were developed in the field of cooperative games theory have been connected to global sensitivity analysis and present good properties in the presence of dependencies. Nevertheless, the available estimation methods do not always provide confidence intervals and require a large number of model evaluations. In this paper, a bootstrap resampling is implemented in existing algorithms to assess confidence intervals. We also propose to consider a metamodel in substitution of a costly numerical model. The estimation error from the Monte-Carlo sampling is combined with the metamodel error in order to have confidence intervals on the Shapley effects. Furthermore, we compare the Shapley effects with existing extensions of the Sobol’ indices in different examples of dependent random variables.
{"title":"Shapley effects for sensitivity analysis with dependent inputs: bootstrap and kriging-based algorithms","authors":"N. Benoumechiara, Kevin Elie-Dit-Cosaque","doi":"10.1051/PROC/201965266","DOIUrl":"https://doi.org/10.1051/PROC/201965266","url":null,"abstract":"In global sensitivity analysis, the well-known Sobol’ sensitivity indices aim to quantify how the variance in the output of a mathematical model can be apportioned to the different variances of its input random variables. These indices are based on the functional variance decomposition and their interpretation becomes difficult in the presence of statistical dependence between the inputs. However, as there are dependencies in many application studies, this drawback enhances the development of interpretable sensitivity indices. Recently, the Shapley values that were developed in the field of cooperative games theory have been connected to global sensitivity analysis and present good properties in the presence of dependencies. Nevertheless, the available estimation methods do not always provide confidence intervals and require a large number of model evaluations. In this paper, a bootstrap resampling is implemented in existing algorithms to assess confidence intervals. We also propose to consider a metamodel in substitution of a costly numerical model. The estimation error from the Monte-Carlo sampling is combined with the metamodel error in order to have confidence intervals on the Shapley effects. Furthermore, we compare the Shapley effects with existing extensions of the Sobol’ indices in different examples of dependent random variables.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"60 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91349989","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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