## Fraunhofer (ITWM)

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#### Faculty / Organisational entity

- Fraunhofer (ITWM) (222)
- Fachbereich Mathematik (2)

A spectral theory for constituents of macroscopically homogeneous random microstructures modeled as homogeneous random closed sets is developed and provided with a sound mathematical basis, where the spectrum obtained by Fourier methods corresponds to the angular intensity distribution of x-rays scattered by this constituent. It is shown that the fast Fourier transform applied to three-dimensional images of microstructures obtained by micro-tomography is a powerful tool of image processing. The applicability of this technique is is demonstrated in the analysis of images of porous media.

Two approaches for determining the Euler-Poincaré characteristic of a set observed on lattice points are considered in the context of image analysis { the integral geometric and the polyhedral approach. Information about the set is assumed to be available on lattice points only. In order to retain properties of the Euler number and to provide a good approximation of the true Euler number of the original set in the Euclidean space, the appropriate choice of adjacency in the lattice for the set and its background is crucial. Adjacencies are defined using tessellations of the whole space into polyhedrons. In R 3 , two new 14 adjacencies are introduced additionally to the well known 6 and 26 adjacencies. For the Euler number of a set and its complement, a consistency relation holds. Each of the pairs of adjacencies (14:1; 14:1), (14:2; 14:2), (6; 26), and (26; 6) is shown to be a pair of complementary adjacencies with respect to this relation. That is, the approximations of the Euler numbers are consistent if the set and its background (complement) are equipped with this pair of adjacencies. Furthermore, sufficient conditions for the correctness of the approximations of the Euler number are given. The analysis of selected microstructures and a simulation study illustrate how the estimated Euler number depends on the chosen adjacency. It also shows that there is not a uniquely best pair of adjacencies with respect to the estimation of the Euler number of a set in Euclidean space.

Home Health Care (HHC) services are becoming increasingly important in Europe’s aging societies. Elderly people have varying degrees of need for assistance and medical treatment. It is advantageous to allow them to live in their own homes as long as possible, since a long-term stay in a nursing home can be much more costly for the social insurance system than a treatment at home providing assistance to the required level. Therefore, HHC services are a cost-effective and flexible instrument in the social system. In Germany, organizations providing HHC services are generally either larger charities with countrywide operations or small private companies offering services only in a city or a rural area. While the former have a hierarchical organizational structure and a large number of employees, the latter typically only have some ten to twenty nurses under contract. The relationship to the patients (“customers”) is often long-term and can last for several years. Therefore acquiring and keeping satisfied customers is crucial for HHC service providers and intensive competition among them is observed.

In this paper, a multi-period supply chain network design problem is addressed. Several aspects of practical relevance are considered such as those related with the financial decisions that must be accounted for by a company managing a supply chain. The decisions to be made comprise the location of the facilities, the flow of commodities and the investments to make in alternative activities to those directly related with the supply chain design. Uncertainty is assumed for demand and interest rates, which is described by a set of scenarios. Therefore, for the entire planning horizon, a tree of scenarios is built. A target is set for the return on investment and the risk of falling below it is measured and accounted for. The service level is also measured and included in the objective function. The problem is formulated as a multi-stage stochastic mixed-integer linear programming problem. The goal is to maximize the total financial benefit. An alternative formulation which is based upon the paths in the scenario tree is also proposed. A methodology for measuring the value of the stochastic solution in this problem is discussed. Computational tests using randomly generated data are presented showing that the stochastic approach is worth considering in these type of problems.

»Denn nichts ist für den Menschen als Menschen etwas wert, was er nicht mit Leidenschaft tun kann«
(2001)

Vortrag anlässlich der Verleihung des Akademiepreises des Landes Rheinland-Pfalz am 21.11.2001 Was macht einen guten Hochschullehrer aus? Auf diese Frage gibt es sicher viele verschiedene, fachbezogene Antworten, aber auch ein paar allgemeine Gesichtspunkte: es bedarf der »Leidenschaft« für die Forschung (Max Weber), aus der dann auch die Begeisterung für die Lehre erwächst. Forschung und Lehre gehören zusammen, um die Wissenschaft als lebendiges Tun vermitteln zu können. Der Vortrag gibt Beispiele dafür, wie in angewandter Mathematik Forschungsaufgaben aus praktischen Alltagsproblemstellungen erwachsen, die in die Lehre auf verschiedenen Stufen (Gymnasium bis Graduiertenkolleg) einfließen; er leitet damit auch zu einem aktuellen Forschungsgebiet, der Mehrskalenanalyse mit ihren vielfältigen Anwendungen in Bildverarbeitung, Materialentwicklung und Strömungsmechanik über, was aber nur kurz gestreift wird. Mathematik erscheint hier als eine moderne Schlüsseltechnologie, die aber auch enge Beziehungen zu den Geistes- und Sozialwissenschaften hat.

No doubt: Mathematics has become a technology in its own right, maybe even a key technology. Technology may be defined as the application of science to the problems of commerce and industry. And science? Science maybe defined as developing, testing and improving models for the prediction of system behavior; the language used to describe these models is mathematics and mathematics provides methods to evaluate these models. Here we are! Why has mathematics become a technology only recently? Since it got a tool, a tool to evaluate complex, "near to reality" models: Computer! The model may be quite old - Navier-Stokes equations describe flow behavior rather well, but to solve these equations for realistic geometry and higher Reynolds numbers with sufficient precision is even for powerful parallel computing a real challenge. Make the models as simple as possible, as complex as necessary - and then evaluate them with the help of efficient and reliable algorithms: These are genuine mathematical tasks.

On a multigrid solver for the threedimensional Biot poroelasticity system in multilayered domains
(2006)

In this paper, we present problem–dependent prolongation and problem–dependent restriction for a multigrid solver for the three-dimensional Biot poroelasticity system, which is solved in a multilayered domain. The system is discretized on a staggered grid using the finite volume method. During the discretization, special care is taken of the discontinuous coefficients. For the efficient multigrid solver, a need in operator-dependent restriction and/or prolongation arises. We derive these operators so that they are consistent with the discretization. They account for the discontinuities of the coefficients, as well as for the coupling of the unknowns within the Biot system. A set of numerical experiments shows necessity of use of the operator-dependent restriction and prolongation in the multigrid solver for the considered class of problems.

In this paper we propose a finite volume discretization for the threedimensional Biot poroelasticity system in multilayered domains. For the stability reasons, staggered grids are used. The discretization accounts for discontinuity of the coefficients across the interfaces between layers with different physical properties. Numerical experiments, based on the proposed discretization showed second order convergence in the maximum norm for the primary as well as flux unknowns of the system. A certain application example is presented as well.

Background and purpose Inherently, IMRT treatment planning involves compromising between different planning goals. Multi-criteria IMRT planning directly addresses this compromising and thus makes it more systematic. Usually, several plans are computed from which the planner selects the most promising following a certain procedure. Applying Pareto navigation for this selection step simultaneously increases the variety of planning options and eases the identification of the most promising plan. Material and methods Pareto navigation is an interactive multi-criteria optimization method that consists of the two navigation mechanisms “selection” and “restriction”. The former allows the formulation of wishes whereas the latter allows the exclusion of unwanted plans. They are realized as optimization problems on the so-called plan bundle – a set constructed from precomputed plans. They can be approximately reformulated so that their solution time is a small fraction of a second. Thus, the user can be provided with immediate feedback regarding his or her decisions.

The lowest resonant frequency of a cavity resonator is usually approximated by the classical Helmholtz formula. However, if the opening is rather large and the front wall is narrow this formula is no longer valid. Here we present a correction which is of third order in the ratio of the diameters of aperture and cavity. In addition to the high accuracy it allows to estimate the damping due to radiation. The result is found by applying the method of matched asymptotic expansions. The correction contains form factors describing the shapes of opening and cavity. They are com- puted for a number of standard geometries. Results are compared with numerical computations.

Asymptotic homogenisation technique and two-scale convergence is used for analysis of macro-strength and fatigue durability of composites with a periodic structure under cyclic loading. The linear damage accumulation rule is employed in the phenomenological micro-durability conditions (for each component of the composite) under varying cyclic loading. Both local and non-local strength and durability conditions are analysed. The strong convergence of the strength and fatigue damage measure as the structure period tends to zero is proved and their limiting values are estimated.

A general multi-period network redesign problem arising in the context of strategic supply chain planning (SCP) is studied. Several aspects of practical relevance in SCP are captured namely, multiple facility layers with different types of facilities, flows between facilities in the same layer, direct shipments to customers, and facility relocation. An efficient two-phase heuristic approach is proposed for obtaining feasible solutions to the problem, which is initially modeled as a large-scale mixed-integer linear program. In the first stage of the heuristic, a linear programming rounding strategy is applied to second initial values for the binary location variables in the model. The second phase of the heuristic uses local search to correct the initial solution when feasibility is not reached or to improve the solution when its quality does not meet given criteria. The results of an extensive computational study performed on randomly generated instances are reported.

Structuring global supply chain networks is a complex decision-making process. The typical inputs to such a process consist of a set of customer zones to serve, a set of products to be manufactured and distributed, demand projections for the different customer zones, and information about future conditions, costs (e.g. for production and transportation) and resources (e.g. capacities, available raw materials). Given the above inputs, companies have to decide where to locate new service facilities (e.g. plants, warehouses), how to allocate procurement and production activities to the variousmanufacturing facilities, and how to manage the transportation of products through the supply chain network in order to satisfy customer demands. We propose a mathematical modelling framework capturing many practical aspects of network design problems simultaneously. For problems of reasonable size we report on computational experience with standard mathematical programming software. The discussion is extended with other decisions required by many real-life applications in strategic supply chain planning. In particular, the multi-period nature of some decisions is addressed by a more comprehensivemodel, which is solved by a specially tailored heuristic approach. The numerical results suggest that the solution procedure can identify high quality solutions within reasonable computational time.

Facility location decisions play a critical role in the strategic design of supply chain networks. In this paper, an extensive literature review of facility location models in the context of supply chain management is given. Following a brief review of core models in facility location, we identify basic features that such models must capture to support decision-making involved in strategic supply chain planning. In particular, the integration of location decisions with other decisions relevant to the design of a supply chain network is discussed. Furthermore, aspects related to the structure of the supply chain network, including those specific to reverse logistics, are also addressed. Significant contributions to the current state-of-the-art are surveyed taking into account numerous factors. Supply chain performance measures and optimization techniques are also reviewed. Applications of facility location models to supply chain network design ranging across various industries are discussed. Finally, a list of issues requiring further research are highlighted.

In this paper we focus on the strategic design of supply chain networks. We propose a mathematical modeling framework that captures many practical aspects of network design problems simultaneously but which have not received adequate attention in the literature. The aspects considered include: dynamic planning horizon, generic supply chain network structure, external supply of materials, inventory opportunities for goods, distribution of commodities, facility configuration, availability of capital for investments, and storage limitations. Moreover, network configuration decisions concerning the gradual relocation of facilities over the planning horizon are considered. To cope with fluctuating demands, capacity expansion and reduction scenarios are also analyzed as well as modular capacity shifts. The relation of the proposed modeling framework with existing models is discussed. For problems of reasonable size we report on our computational experience with standard mathematical programming software. In particular, useful insights on the impact of various factors on network design decisions are provided.

The understanding of the motion of long slender elastic fibers in turbulent flows is of great interest to research, development and production in technical textiles manufacturing. The fiber dynamics depend on the drag forces that are imposed on the fiber by the fluid. Their computation requires in principle a coupling of fiber and flow with no-slip interface conditions. However, theneeded high resolution and adaptive grid refinement make the direct numerical simulation of the three-dimensional fluid-solid-problem for slender fibers and turbulent flows not only extremely costly and complex, but also still impossible for practically relevant applications. Embedded in a slender body theory, an aerodynamic force concept for a general drag model was therefore derived on basis of a stochastic k-o; description for a turbulent flow field in [23]. The turbulence effects on the fiber dynamics were modeled by a correlated random Gaussian force and its asymptotic limit on a macroscopic fiber scale by Gaussian white noise with flow-dependent amplitude. The concept was numerically studied under the conditions of a melt-spinning process for nonwoven materials in [24] – for the specific choice of a non-linear Taylor drag model. Taylor [35] suggested the heuristic model for high Reynolds number flows, Re in [20, 3 · 105], around inclined slender objects under an angle of attack of alpha in (pi/36, pi/2] between flow and object tangent. Since the Reynolds number is considered with respect to the relative velocity between flow and fiber, the numerical results lackaccuracy evidently for small Re that occur in cases of flexible light fibers moving occasionally with the flow velocity. In such a regime (Re << 1), linear Stokes drag forces were successfully applied for the prediction of small particles immersed in turbulent flows, see e.g. [25, 26, 32, 39], a modifiedStokes force taking also into account the particle oscillations was presented in [14]. The linear drag relation was also conferred to longer filaments by imposing free-draining assumptions [29, 8]. Apart from this, the Taylor drag suffers from its non-applicability to tangential incident flow situations (alpha = 0) that often occur in fiber and nonwoven production processes.

In this paper we extend the slender body theory for the dynamics of a curved inertial viscous Newtonian fiber [23] by the inclusion of surface tension in the systematic asymptotic framework and the deduction of boundary conditions for the free fiber end, as it occurs in rotational spinning processes of glass fibers. The fiber ow is described by a three-dimensional free boundary value problem in terms of instationary incompressible Navier-Stokes equations under the neglect of temperature dependence. From standard regular expansion techniques in powers of the slenderness parameter we derive asymptotically leading-order balance laws for mass and momentum combining the inner viscous transport with unrestricted motion and shape of the fiber center-line which becomes important in the practical application. For the numerical investigation of the effects due to surface tension, viscosity, gravity and rotation on the fiber behavior we apply a fnite volume method with implicit flux discretization.

Fiber Dynamics in Turbulent Flows -Part I: General Modeling Framework -Part II: Specific Taylor Drag
(2005)

Part I: General Modeling Framework The paper at hand deals with the modeling of turbulence effects on the dynamics of a long slender elastic fiber. Independent of the choice of the drag model, a general aerodynamic force concept is derived on the basis of the velocity field for the randomly fluctuating component of the flow. Its construction as centered differentiable Gaussian field complies thereby with the requirements of the stochastic k-turbulence model and Kolmogorov’s universal equilibrium theory on local isotropy. Part II: Specific Taylor Drag In [12], an aerodynamic force concept for a general air drag model is derived on top of a stochastic k-epsilon description for a turbulent flow field. The turbulence effects on the dynamics of a long slender elastic fiber are particularly modeled by a correlated random Gaussian force and in its asymptotic limit on a macroscopic fiber scale by Gaussian white noise with flow - dependent amplitude. The paper at hand now presents quantitative similarity estimates and numerical comparisons for the concrete choice of a Taylor drag model in a given application.

An easy numerical handling of time-dependent problems with complicated geometries, free moving boundaries and interfaces, or oscillating solutions is of great importance for many applications, e.g., in fluid dynamics (free surface and multiphase flows, fluid-structure interactions [22, 18, 24]), failure mechanics (crack growth and propagation [4]), magnetohydrodynamics (accretion disks, jets and cloud simulation [6]), biophysics and -chemistry. Appropriate discretizations, so-called mesh-less methods, have been developed during the last decades to meet these challenging demands and to relieve the burden of remeshing and successive mesh generation being faced by the conventional mesh-based methods, [16, 10, 3]. The prearranged mesh is an artificial constraint to ensure compatibility of the mesh-based interpolant schemes, that often conflicts with the real physical conditions of the continuum model. Then, remeshing becomes inevitable, which is not only extremely time- and storage consuming but also the source for numerical errors and hence the gradual loss of computational accuracy. Apart from this advantage, mesh-less methods also lead to fundamentally better approximations regarding aspects, such as smoothness, nonlocal interpolation character, flexible connectivity, refinement and enrichment procedures, [16]. The common idea of mesh-less methods is the discretization of the domain of interest by a finite set of independent, randomly distributed particles moving with a characteristic velocity of the problem. Location and distribution of the particles then account for the time-dependent description of the geometry, data and solution. Thereby, the global solution is linearly superposed from the local information carried by the particles. In classical particle methods [20, 21], the respective weight functions are Dirac distributions which yield solutions in a distributional sense.

This paper disscuses the minimal area rectangular packing problem of how to pack a set of specified, non-overlapping rectangels into a rectangular container of minimal area. We investigate different mathematical programming approaches of this and introduce a novel approach based on non-linear optimization and the \\\"tunneling effect\\\" achieved by a relaxation of the non-overlapping constraints.

The Folgar-Tucker equation (FTE) is the model most frequently used for the prediction of fiber orientation (FO) in simulations of the injection molding process for short-fiber reinforced thermoplasts. In contrast to its widespread use in injection molding simulations, little is known about the mathematical properties of the FTE: an investigation of e.g. its phase spaceMFT has been presented only recently. The restriction of the dependent variable of the FTE to the setMFT turns the FTE into a differential algebraic system (DAS), a fact which is commonly neglected when devising numerical schemes for the integration of the FTE. In this article1 we present some recent results on the problem of trace stability as well as some introductory material which complements our recent paper.

Summary. We present a model of exible rods | based on Kirchhoff\\\'s geometrically exact theory | which is suitable for the fast simulation of quasistatic deformations within VR or functional DMU applications. Unlike simple models of \\\"mass & spring\\\" type typically used in VR applications, our model provides a proper coupling of bending and torsion. The computational approach comprises a variational formulation combined with a nite dierence discretization of the continuum model. Approximate solutions of the equilibrium equations for sequentially varying boundary conditions are obtained by means of energy minimization using a nonlinear CG method. The computational performance of our model proves to be sucient for the interactive manipulation of exible cables in assembly simulation.

Recently we developed a discrete model of elastic rods with symmetric cross section suitable for a fast simulation of quasistatic deformations [33]. The model is based on Kirchhoff’s geometrically exact theory of rods. Unlike simple models of “mass & spring” type typically used in VR applications, our model provides a proper coupling of bending and torsion. The computational approach comprises a variational formulation combined with a finite difference discretization of the continuum model. Approximate solutions of the equilibrium equations for sequentially varying boundary conditions are obtained by means of energy minimization using a nonlinear CG method. As the computational performance of our model yields solution times within the range of milliseconds, our approach proves to be sufficient to simulate an interactive manipulation of such flexible rods in virtual reality applications in real time.

We present the derivation of a simple viscous damping model of Kelvin–Voigt type for geometrically exact
Cosserat rods from three–dimensional continuum theory. Assuming a homogeneous and isotropic material,
we obtain explicit formulas for the damping parameters of the model in terms of the well known stiffness
parameters of the rod and the retardation time constants defined as the ratios of bulk and shear viscosities to
the respective elastic moduli. We briefly discuss the range of validity of our damping model and illustrate
its behaviour with a numerical example.

For the numerical simulation of 3D radiative heat transfer in glasses and glass melts, practically applicable mathematical methods are needed to handle such problems optimal using workstation class computers. Since the exact solution would require super-computer capabilities we concentrate on approximate solutions with a high degree of accuracy. The following approaches are studied: 3D diffusion approximations and 3D ray-tracing methods.

This paper introduces methods for the detection of anisotropies which are caused by compression of regular three-dimensional point patterns. Isotropy tests based on directional summary statistics and estimators for the compression factor are developed. These allow not only for the detection of anisotropies but also for the estimation of their strength. Using simulated data the power of the methods and the dependence of the power on the intensity, the degree of regularity, and the compression strength are studied. The motivation of this paper is the investigation of anisotropies in the structure of polar ice. Therefore, our methods are applied to the point patterns of centres of air pores extracted from tomographic images of ice cores. This way the presence of anisotropies in the ice caused by the compression of the ice sheet as well as an increase of their strength with increasing depth are shown.

Modeling of species and charge transport in Li-Ion Batteries based on non-equilibrium thermodynamics
(2010)

In order to improve the design of Li ion batteries the complex interplay of various physical phenomena in the active particles of the electrodes and in the electrolyte has to be balanced. The separate transport phenomena in the electrolyte and in the active particle as well as their coupling due to the electrochemical reactions at the interfaces between the electrode particles and the electrolyte will inuence the performance and the lifetime of a battery. Any modeling of the complex phenomena during the usage of a battery has therefore to be based on sound physical and chemical principles in order to allow for reliable predictions for the response of the battery to changing load conditions. We will present a modeling approach for the transport processes in the electrolyte and the electrodesbased on non-equilibrium thermodynamics and transport theory. The assumption of local charge neutrality, which is known to be valid in concentrated electrolytes, is explicitly used to identify the independent thermodynamic variables and uxes. The theory guarantees strictly positive entropy production. Dierences to other theories will be discussed.

We will present a rigorous derivation of the equations and interface conditions for ion, charge and heat transport in Li-ion insertion batteries. The derivation is based exclusively on universally accepted principles of nonequilibrium thermodynamics and the assumption of a one step intercalation reaction at the interface of electrolyte and active particles. Without loss of generality the transport in the active particle is assumed to be isotropic. The electrolyte is described as a fully dissociated salt in a neutral solvent. The presented theory is valid for transport on a spatial scale for which local charge neutrality holds i.e. beyond the scale of the diffuse double layer. Charge neutrality is explicitely used to determine the correct set of thermodynamically independent variables. The theory guarantees strictly positive entropy production. The various contributions to the Peltier coeficients for the interface between the active particles and the electrolyte as well as the contributions to the heat of mixing are obtained as a result of the theory.

One of the main goals of an organization developing software is to increase the quality of the software while at the same time to decrease the costs and the duration of the development process. To achieve this, various decisions e.ecting this goal before and during the development process have to be made by the managers. One appropriate tool for decision support are simulation models of the software life cycle, which also help to understand the dynamics of the software development process. Building up a simulation model requires a mathematical description of the interactions between di.erent objects involved in the development process. Based on experimental data, techniques from the .eld of knowledge discovery can be used to quantify these interactions and to generate new process knowledge based on the analysis of the determined relationships. In this paper blocked neuronal networks and related relevance measures will be presented as an appropriate tool for quanti.cation and validation of qualitatively known dependencies in the software development process.

In this paper, we present a viscoelastic rod model that is suitable for fast and accurate dynamic simulations. It is based on Cosserat’s geometrically exact theory of rods and is able to represent extension, shearing (‘stiff’ dof), bending and torsion (‘soft’ dof). For inner dissipation, a consistent damping potential proposed by Antman is chosen. We parametrise the rotational dof by unit quaternions and directly use the quaternionic evolution differential equation for the discretisation of the Cosserat rod curvature. The discrete version of our rod model is obtained via a finite difference discretisation on a staggered grid. After an index reduction from three to zero, the right-hand side function f and the Jacobian \(\partial f/\partial(q, v, t)\) of the dynamical system \(\dot{q} = v, \dot{v} = f(q, v, t)\) is free of higher algebraic (e. g. root) or transcendental (e. g. trigonometric or exponential) functions and therefore cheap to evaluate. A comparison with Abaqus finite element results demonstrates the correct mechanical behavior of our discrete rod model. For the time integration of the system, we use well established stiff solvers like RADAU5 or DASPK. As our model yields computational times within milliseconds, it is suitable for interactive applications in ‘virtual reality’ as well as for multibody dynamics simulation.

In this paper, we present a viscoelastic rod model that is suitable for fast and sufficiently accurate dynamic simulations. It is based on Cosserat’s geometrically exact theory of rods and is able to represent extension, shearing (’stiff ’ dof), bending and torsion (’soft’ dof). For inner dissipation, a consistent damping potential from Antman is chosen. Our discrete model is based on a finite difference discretisation on a staggered grid. The right-hand side function f and the Jacobian ∂f/∂(q, v, t) of the dynamical system q˙ = v, v˙ = f(q, v, t) – after index reduction from three to zero – is free of higher algebraic (e.g. root) or transcendent (e.g. trigonometric or exponential) functions and is therefore cheap to evaluate. For the time integration of the system, we use well established stiff solvers like RADAU5 or DASPK. As our model yields computation times within milliseconds, it is suitable for interactivemanipulation in ’virtual reality’ applications. In contrast to fast common VR rod models, our model reflects the structural mechanics solutions sufficiently correct, as comparison with ABAQUS finite element results shows.

In this paper, the model of Köttgen, Barkey and Socie, which corrects the elastic stress and strain tensor histories at notches of a metallic specimen under non-proportional loading, is improved. It can be used in connection with any multiaxial s -e -law of incremental plasticity. For the correction model, we introduce a constraint for the strain components that goes back to the work of Hoffmann and Seeger. Parameter identification for the improved model is performed by Automatic Differentiation and an established least squares algorithm. The results agree accurately both with transient FE computations and notch strain measurements.

In this article, we consider the quasistatic boundary value problems of linear elasticity and nonlinear elastoplasticity, with linear Hooke’s law in the elastic regime for both problems and with the linear kinematic hardening law for the plastic regime in the latter problem. We derive expressions and estimates for the difference of the solutions of both models, i.e. for the stresses, the strains and the displacements. To this end, we use the stop and play operators of nonlinear functional analysis. Further, we give an explicit example of a homotopy between the solutions of both problems.

Classical geometrically exact Kirchhoff and Cosserat models are used to study the nonlinear deformation of rods. Extension, bending and torsion of the rod may be represented by the Kirchhoff model. The Cosserat model additionally takes into account shearing effects. Second order finite differences on a staggered grid define discrete viscoelastic versions of these classical models. Since the rotations are parametrised by unit quaternions, the space discretisation results in differential-algebraic equations that are solved numerically by standard techniques like index reduction and projection methods. Using absolute coordinates, the mass and constraint matrices are sparse and this sparsity may be exploited to speed-up time integration. Further improvements are possible in the Cosserat model, because the constraints are just the normalisation conditions for unit quaternions such that the null space of the constraint matrix can be given analytically. The results of the theoretical investigations are illustrated by numerical tests.

In this article, we summarise the rotation-free and quaternionic parametrisation of a rigid body. We derive and explain the close interrelations between both parametrisations. The internal constraints due to the redundancies in the parametrisations, which lead to DAEs, are handled with the null space technique. We treat both single rigid bodies and general multibody systems with joints, which lead to external joint constraints. Several numerical examples compare both formalisms to the index reduced versions of the corresponding standard formulations.

This paper deals with the characterization of microscopically heterogeneous, but macroscopically homogeneous spatial structures. A new method is presented which is strictly based on integral-geometric formulae such as Crofton's intersection formulae and Hadwiger's recursive de nition of the Euler number. The corresponding algorithms have clear advantages over other techniques. As an example of application we consider the analysis of spatial digital images produced by means of Computer Assisted Tomo- graphy.

We give an analytical and geometrical treatment of what it means to sepa rate a Gaussian kernel along arbitrary axes in Rn, and we present a separation scheme that allows to efficiently implement anisotropic Gaussian convolution filters in arbitrary dimension. Based on our previous analysis we show that this scheme is optimal with regard to the number of memory accesses and nterpolation operations needed. Our method relies on non-orthogonal convolution axes and works com- pletely in image space. Thus, it avoids the need for an FFT-subroutine. Depending on the accuracy and speed requirements, different interpolation schemes and methods to implement the one-dimensional Gaussian (FIR, IIR) can be integrated. The algorithm is also feasible for hardware that does not contain a floating-point unit. Special emphasis is laid on analyzing the performance and accuracy of our method. In particular, we show that withot any special optimization of the source code, our method can perform anisotropic Gaussian filtering faster than methods relyin on the Fast Fourier Transform.

Inverse treatment planning of intensity modulated radiothrapy is a multicriteria optimization problem: planners have to find optimal compromises between a sufficiently high dose in tumor tissue that garantuee a high tumor control, and, dangerous overdosing of critical structures, in order to avoid high normal tissue complcication problems. The approach presented in this work demonstrates how to state a flexible generic multicriteria model of the IMRT planning problem and how to produce clinically highly relevant Pareto-solutions. The model is imbedded in a principal concept of Reverse Engineering, a general optimization paradigm for design problems. Relevant parts of the Pareto-set are approximated by using extreme compromises as cornerstone solutions, a concept that is always feasible if box constraints for objective funtions are available. A major practical drawback of generic multicriteria concepts trying to compute or approximate parts of the Pareto-set is the high computational effort. This problem can be overcome by exploitation of an inherent asymmetry of the IMRT planning problem and an adaptive approximation scheme for optimal solutions based on an adaptive clustering preprocessing technique. Finally, a coherent approach for calculating and selecting solutions in a real-timeinteractive decision-making process is presented. The paper is concluded with clinical examples and a discussion of ongoing research topics.

To simulate the influence of process parameters to the melt spinning process a fiber model is used and coupled with CFD calculations of the quench air flow. In the fiber model energy, momentum and mass balance are solved for the polymer mass flow. To calculate the quench air the Lattice Boltzmann method is used. Simulations and experiments for different process parameters and hole configurations are compared and show a good agreement. Keywords: Melt spinning, fiber model, Lattice Boltzmann, CFD.

A Lagrangian particle scheme is applied to the projection method for the incompressible Navier-Stokes equations. The approximation of spatial derivatives is obtained by the weighted least squares method. The pressure Poisson equation is solved by a local iterative procedure with the help of the least squares method. Numerical tests are performed for two dimensional cases. The Couette flow, Poiseuelle flow, decaying shear flow and the driven cavity flow are presented. The numerical solutions are obtained for stationary as well as instationary cases and are compared with the analytical solutions for channel flows. Finally, the driven cavity in a unit square is considered and the stationary solution obtained from this scheme is compared with that from the finite element method.

In nancial mathematics stock prices are usually modelled directly as a result of supply and demand and under the assumption that dividends are paid continuously. In contrast economic theory gives us the dividend discount model assuming that the stock price equals the present value of its future dividends. These two models need not to contradict each other - in their paper Korn and Rogers (2005) introduce a general dividend model preserving the stock price to follow a stochastic process and to be equal to the sum of all its discounted dividends. In this paper we specify the model of Korn and Rogers in a Black-Scholes framework in order to derive a closed-form solution for the pricing of American Call options under the assumption of a known next dividend followed by several stochastic dividend payments during the option's time to maturity.

We consider the problem of pricing European forward starting options in the presence of stochastic volatility. By performing a change of measure using the asset price at the time of strike determination as a numeraire, we derive a closed-form solution based on Heston’s model of stochastic volatility.

A unified approach to Credit Default Swaption and Constant Maturity Credit Default Swap valuation
(2006)

In this paper we examine the pricing of arbitrary credit derivatives with the Libor Market Model with Default Risk. We show, how to setup the Monte Carlo-Simulation efficiently and investigate the accuracy of closed-form solutions for Credit Default Swaps, Credit Default Swaptions and Constant Maturity Credit Default Swaps. In addition we derive a new closed-form solution for Credit Default Swaptions which allows for time-dependent volatility and abitrary correlation structure of default intensities.1

If an investor borrows money he generally has to pay higher interest rates than he would have received, if he had put his funds on a savings account. The classical model of continuous time portfolio optimisation ignores this effect. Since there is obviously a connection between the default probability and the total percentage of wealth, which the investor is in debt, we study portfolio optimisation with a control dependent interest rate. Assuming a logarithmic and a power utility function, respectively, we prove explicit formulae of the optimal control.

In this paper we deal with dierent statistical modeling of real world accident data in order to quantify the eectiveness of a safety function or a safety conguration (meaning a specic combination of safety functions) in vehicles. It is shown that the eectiveness can be estimated along the so-called relative risk, even if the eectiveness does depend on a confounding variable which may be categorical or continuous. For doing so a concrete statistical modeling is not necessary, that is the resulting estimate is of nonparametric nature. In a second step the quite usual and from a statistical point of view classical logistic regression modeling is investigated. Main emphasis has been laid on the understanding of the model and the interpretation of the occurring parameters. It is shown that the eectiveness of the safety function also can be detected via such a logistic approach and that relevant confounding variables can and should be taken into account. The interpretation of the parameters related to the confounder and the quantication of the in uence of the confounder is shown to be rather problematic. All the theoretical results are illuminated by numerical data examples.

Modeling and formulation of optimization problems in IMRT planning comprises the choice of various values such as function-specific parameters or constraint bounds. These values also affect the characteristics of the optimization problem and thus the form of the resulting optimal plans. This publication utilizes concepts of sensitivity analysis and elasticity in convex optimization to analyze the dependence of optimal plans on the modeling parameters. It also derives general rules of thumb how to choose and modify the parameters in order to obtain the desired IMRT plan. These rules are numerically validated for an exemplary IMRT planning problems.

We consider some portfolio optimisation problems where either the investor has a desire for an a priori specified consumption stream or/and follows a deterministic pay in scheme while also trying to maximize expected utility from final wealth. We derive explicit closed form solutions for continuous and discrete monetary streams. The mathematical method used is classical stochastic control theory.