Computational Schemes for Initial-Boundary Value Problems. Many physical phenomena can be modelled as initial-boundary value problems described by partial differential equations. Simulations of such models require efficient and robust computational algorithms. The main aim of this project is to propose numerical algorithms for two dimensional spatial problems and three dimensional time-space models. A major focus of the project is to investigate methods that require about half the computation ....Computational Schemes for Initial-Boundary Value Problems. Many physical phenomena can be modelled as initial-boundary value problems described by partial differential equations. Simulations of such models require efficient and robust computational algorithms. The main aim of this project is to propose numerical algorithms for two dimensional spatial problems and three dimensional time-space models. A major focus of the project is to investigate methods that require about half the computational resources over celebrated schemes for solving boundary value problems.Read moreRead less
GEOMETRIC NUMERICAL INTEGRATION. Many scientific phenomena in physics, astronomy, and chemistry, are modelled by ordinary differential equations (ODEs). Often these equations have no solution in closed form, and one relies on numerical integration. Traditionally this is done using Runge-Kutta methods or linear multistep methods. In the last decade, however, we (and others) have discovered novel classes of so-called "geometric" numerical integration methods that preserve qualititative featur ....GEOMETRIC NUMERICAL INTEGRATION. Many scientific phenomena in physics, astronomy, and chemistry, are modelled by ordinary differential equations (ODEs). Often these equations have no solution in closed form, and one relies on numerical integration. Traditionally this is done using Runge-Kutta methods or linear multistep methods. In the last decade, however, we (and others) have discovered novel classes of so-called "geometric" numerical integration methods that preserve qualititative features of certain ODE's exactly (in contrast to traditional methods), leading to crucial stability improvements. Extending concepts from dynamical systems theory and traditional numerical ODEs, this project will improve, extend and systematize this new field of geometric integration.Read moreRead less
Geometric Integration. This project gives an important boost to Australia's strength in the niche area of geometric numerical integration,in the face of strong international competition. It gathers 7 world experts from 5 countries to create new computer programs to improve calculations in dynamics, with applications ranging from astronomy, physics, chemistry, biology, and meteorology to finance. It strengthens Australia's links with the mathematical software industry, and will lead to world-clas ....Geometric Integration. This project gives an important boost to Australia's strength in the niche area of geometric numerical integration,in the face of strong international competition. It gathers 7 world experts from 5 countries to create new computer programs to improve calculations in dynamics, with applications ranging from astronomy, physics, chemistry, biology, and meteorology to finance. It strengthens Australia's links with the mathematical software industry, and will lead to world-class graduates and research training.Read moreRead less
Geometric numerical integration of differential equations. Differential equations (DEs) play a central role in modelling scientific phenomena in physics, biology, chemistry, astronomy, meteorology, and geoscience. We have developed new ways of solving DEs, using geometric integration, which have significant advantages over traditional methods because of the crucial nonlinear stability they provide.
This project, combining 7 world experts from 6 countries and 1 early career researcher, will pl ....Geometric numerical integration of differential equations. Differential equations (DEs) play a central role in modelling scientific phenomena in physics, biology, chemistry, astronomy, meteorology, and geoscience. We have developed new ways of solving DEs, using geometric integration, which have significant advantages over traditional methods because of the crucial nonlinear stability they provide.
This project, combining 7 world experts from 6 countries and 1 early career researcher, will place Australia at the forefront of this intensive international activity.
It will significantly strengthen Australia's links with the mathematical software industry (e.g. Wolfram Research, Inc), and will lead to world class graduates and research training.
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Constrained and Stable Solutions of Nonlinear and Semismooth Equations. In this project, comprehensive models for designing safe power system parameters will be proposed, efficient algorthms for solving these models will be constructed. The new models and algorithms in this project will provide efficient tools to prevent catastrophic events in power systems, which is related with national security. This project will also strengthen collaboration of Australian applied
mathematians with inter ....Constrained and Stable Solutions of Nonlinear and Semismooth Equations. In this project, comprehensive models for designing safe power system parameters will be proposed, efficient algorthms for solving these models will be constructed. The new models and algorithms in this project will provide efficient tools to prevent catastrophic events in power systems, which is related with national security. This project will also strengthen collaboration of Australian applied
mathematians with international researchers and engineering scientists. This is important for the advance of science and technology in
Australia.Read moreRead less
Developing a robust model for pricing inter-related volatility-based financial derivative contracts. Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient pr ....Developing a robust model for pricing inter-related volatility-based financial derivative contracts. Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient products for trading and risk management if they are priced correctly. This project will benefit investors by providing empirically viable models that will be able to be easily implemented to provide accurate and fast pricing solutions.Read moreRead less
Option pricing via path integrals: a new perspective. The risk management of derivative securities is a very exciting challenge for financial market researchers. The knowledge base resulting from this proposal will benefit both large financial institutions and Australia's financial system by creating a more competitive and efficient economic environment, which will inevitably lead to more gross domestic product (GDP) gains.Furthermore a large amount of software and numerical analysis work to be ....Option pricing via path integrals: a new perspective. The risk management of derivative securities is a very exciting challenge for financial market researchers. The knowledge base resulting from this proposal will benefit both large financial institutions and Australia's financial system by creating a more competitive and efficient economic environment, which will inevitably lead to more gross domestic product (GDP) gains.Furthermore a large amount of software and numerical analysis work to be developed during the project can be turned into IP for Australia. This will contribute to catalysing development of internationally competitive financial risk management software industry.Read moreRead less
Physics of Risk: new tools to survey the Australian market and beyond. The lives of most Australians depend on the dynamics of financial markets that affects investments, savings, business, employment, growth, wealth and -ultimately- the daily functioning of our society. Understanding, monitoring and managing the dynamics of financial markets is of crucial importance to policy-makers, financial institutions and businesses that are increasingly faced with managing risk, planning strategies and ta ....Physics of Risk: new tools to survey the Australian market and beyond. The lives of most Australians depend on the dynamics of financial markets that affects investments, savings, business, employment, growth, wealth and -ultimately- the daily functioning of our society. Understanding, monitoring and managing the dynamics of financial markets is of crucial importance to policy-makers, financial institutions and businesses that are increasingly faced with managing risk, planning strategies and taking decisions in an increasingly complex market-place. The project is also of importance to the continued evolution of physics in this country contributing to the emergence of a strong new area of statistical physics concerned with the ?real world? in a manner hitherto unknown.Read moreRead less
Dynamics of eigenvalue/eigenspace algorithms with applications to signal processing. Many problems in signal and systems lead naturally to an eigenvalue/eigenspace determination and tracking problem; for example (acoustic) echo-cancellation, crosstalk suppression in ADSL modems, direction of arrival determination with an array of sensors, linear system identification etc. Exploiting methods from global analysis and dynamical systems theory we will study the available algorithms for eigenspace de ....Dynamics of eigenvalue/eigenspace algorithms with applications to signal processing. Many problems in signal and systems lead naturally to an eigenvalue/eigenspace determination and tracking problem; for example (acoustic) echo-cancellation, crosstalk suppression in ADSL modems, direction of arrival determination with an array of sensors, linear system identification etc. Exploiting methods from global analysis and dynamical systems theory we will study the available algorithms for eigenspace determination to characterise their computational efficiency, accuracy and effectiveness in various data scenarios. The analysis will lead to improved designs for eigenvalue/eigenspace algorithms, as well as design tools to engineer algorithms to specific situations.Read moreRead less
High dimensional problems of integration and approximation. In many applications, notably financial mathematics, problems of
integration and approximation of functions in very high dimensions
are of great interest. By finding modern mathematical solutions to
these problems, we will therefore contribute to Australia's future
success in developing innovative technologies for industrial and
economic applications. By researching at an internationally
competitive level and by cooperating with i ....High dimensional problems of integration and approximation. In many applications, notably financial mathematics, problems of
integration and approximation of functions in very high dimensions
are of great interest. By finding modern mathematical solutions to
these problems, we will therefore contribute to Australia's future
success in developing innovative technologies for industrial and
economic applications. By researching at an internationally
competitive level and by cooperating with international experts, we
will have a share in further strengthening the excellent role of
Australian research institutions within the international scientific
community in mathematics and scientific computing.Read moreRead less