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Summer 2014

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Inteernational Jouurnal of
Mathematical Modelling
M
& Computations
C
s
2
Voll. 04, No. 03, 2014, 189 - 200

Modeling of Groundw
water Flow over Slopin
ng Beds in R
Response to
Consttant Recharrge and Streeam of Varyying Water Level
Rajeev K
K. Bansal

Dep
partment of Mathematics,
Ma
Na
ational Defencee Academy, Kh
hadakwasla, Puune-411023, Inndia.

Absttract. This paper presents


p
an analyticcal model characteerizing unsteady groundwater flow in an unconfined aquifer
restinng on a sloping im
mpervious bed. The aquifer is in contaact with a constant water level at one end. The other end is in
hydroological connectio
onwith a stream whose
w
level is inccreasing form an initial level to a final level by a known
k
expoonentially functionn of time. During this process, the aquifer is verticaally replenished byy a constant downnward
rechaarge. The linearizeed Boussinesq equuation is solved anaalytically using Laaplace transform too obtain the closedd form
expreession for hydraulic head distributioon in the aquifer annd flow rate at the stream-aquifer intterface. The expresssions
deriv
ved in this study caan handle the casess of upward slopingg, horizontal bed conditions
c
and suddden rise in stream water.
w
The validity
v
of linearizzation method adoppted in this study is
i examined by sollving the nonlinearr equation by an ex
xplicit
numeerical scheme. Ressponse of an aquife
fer to the variationss in bed slope, rechharge rate and rise rate of the stream water
is illuustrated with a num
merical example. Sensitivity
S
of the fflow rate with variious parameters is analyzed.
Receeived: 23 January 2013;
2
Revised: 18 July 2013; Acceptted: 29 December 2013.
words: Streams, Slopes,
S
Recharge, Laplace
L
Transform
m, Boussinesq equaation.
Keyw

Indexx to information contained


c
in this paper

1.
2.
3.
4.
5.
6.

Introducction
Problem
m Formulation an
nd Analytical Solu
ution
Determiination of Flow Rate
R
and Steady-S
State Profiles
Numericcal Solution of the Non-linear Equ
uation
Discussiion of Results
Conclussions

1. In
ntroduction
s
and groundwater interaction is an importtant hydrolog
gical
Estiimation of surface
inveestigation due to its key rolee in conjunctivve managemennt of groundw
water resourcess.

Corresponding
C
auth
hor. Email: bansal rajeev31@hotmaiil.com.

20014 IAUCTB
http:///www.ijm2c.ir

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

Several analytical and numerical models have been developed to predict the
surface-groundwater interaction in stream-aquifer systems under varying hydrological
conditions [11-14, 18]. Estimations of water table fluctuations in unconfined aquifer with
surface infiltration have also been presented by several researchers [15, 17, 19-21].
The subsurface seepage flow in unconfined aquifers is usually formulated as a parabolic
nonlinear Boussinesq equation which does not admit analytical solution. Therefore, the
methodology adopted in most of the aforesaid models is to linearize the Boussinesq
equation and develop analytical solution of the resulting equation. Although, the
approximate analytical solution obtained in these studies provide useful insight in the flow
process; however, the subsurface drainage over hillslope cannot be satisfactorily addressed
with their results. Another perceived limitation is that they do not account for the gradual
rise in the stream water.
The role of sloping bedrock in evolution of the phreatic surface has been underlined in
numerous studies [8-10]. The results derived for horizontal aquifer may seriously
underestimate or overestimate the actual results if applied to the sloping bed geometry.
Approximation of groundwater flow over unconfined sloping beds based on extended
Dupuit-Forchheimer assumption (streamlines are approximately parallel to the sloping
impervious bed) can be expressed in the form of an advection-diffusion equation,
popularly known as Boussinesq equation [1, 7]. Analytical solutions of linearized
Boussinesq equation under constant or time-varying boundary conditions have been
presented by a number of researchers [1- 6, 16]. It is worth mentioning that the efficiency
of the linearization must be examined by validating the model results with either field data
or by comparing the results with numerical solution of the nonlinear Boussinesq equation.
The present study is an attempt to quantify the groundwater-surface water interaction with
more realistic approach. The mathematical model considered here deals with transient
groundwater flow regime in a homogeneous unconfined aquifer of finite width overlying a
downward sloping impervious bed owing to seepage from stream of varying water level
and constant downward recharge. The aquifer is in contact with a constant piezometric
level at one end and a stream of time varying water level at another end. The stream is
considered to penetrate full thickness of the aquifer. Furthermore, the aquifer is
replenished by a constant recharge. Efficiency of the linearization method is examined by
solving the nonlinear Boussinesq equation by a fully explicit predictor-corrector numerical
scheme. The effect of bed slope, recharge rate and stream rise rate on the water table
fluctuation and flow mechanism is analyzed using a numerical example. The solution
presented here can be applied to asymptotic scenarios of sudden or very slow rise in the
stream water by assigning an appropriate value to the stream rise rate parameter.

2.Problem Formulation and Analytical Solution


As shown in Fig.1, we consider an unconfined aquifer overlaying an impermeable sloping
bed with downward slopetan . The aquifer is in contact with a constant piezometric
level at its left end and a stream at the right end. The water in the stream is gradually
rising from its initial level
to a final level
by a known exponential decaying
function of time . Moreover, the aquifer is replenished vertically at a constant rate. If the
variation in the hydraulic conductivityand specific yield of the aquifer with spatial
coordinate is neglected, and the streamlines are considered to be nearly parallel to the
impermeable bed (extended Dupuit-Forchheimer approach) then the groundwater flow in
the aquifer can be characterized by the following nonlinear Boussinesq equation [10]
(1)

190

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

where
, is the height of the water table measured above the impermeable slopingbed
in the vertical direction. and respectively are the hydraulic conductivity and specific
yield of the aquifer. is the constant recharge rate.
is a unit step function defined as
follows:
0
0
(2)
1
0
N

Initial water head

h0

Initial Level

hL

Stream

Fig. 1.Schematic diagram of an unconfined aquifer


The initial and boundary conditions are:
,

(3)

0
0,

(4)
(5)

where is length of the aquifer. is a positive constant signifying the rate at which the water
in the stream rises from its initial value to a final level . Equation (1) is a second
order nonlinear parabolic partial differential equation which cannot be solved by analytical
methods. However, an approximate analytical solution can be obtained by solving the
corresponding linearized equation. In the present work, we adopt the linearization method
as suggested by Marino [16]. Firstly, rewrite Equation (1) as
(6)
where is the mean saturated depth in the aquifer. The value of
is successively
/2, where
is the initial water
approximated using an iterative formula
is the varying water table height at time at the end of which is
table height, and
approximated. Equation (6) is further simplified using the following dimensionless
variables and substitutions

191

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

(7)

Therefore, Equation (6) becomes


(8)
where
0 if
1 if

0
0

(9)

Now, define the following parameters

L tan
2h

LN

,N

Kh h

cos

h
SL

Kh cos

,
(10)

so that, equation (8) becomes


H
X

H
X

(11)

The initial and boundary conditions reduce to


H X,
H X
H X

(12)

0,

(13)

(14)

1,

Equation (11) along with conditions(12)(14) is solved by Laplacetransform. Define the


Laplace transform of H X, as follows:
H X, s

L H X, : s

H X, e

(15)

The Laplace transform of equation (11) yields


H
X

H
X

N
s

(16)

The general solution of equation (16) can be found using elementary methods. Moreover,
the arbitrary constants contained in the general solution are obtained by using the Laplace
transform of Equations (13)(14) in it. We get

192

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

2
2

(17)

Inverse Laplace transform of equation (17) is obtained from calculus of residue. Define
,

1
lim

(18)

wherec is an arbitrary positive number. The integration in equation (18) is performed along
a line s = c in the complex plane where s = x + i y. The real number c is chosen so that s =
c lies to the right of all singularities, but is otherwise arbitrary. The inverse Laplace
transform of equation (17) yields
,
1
2

(19)
1

1
1

Equation (19) provides analytical expression for the water head distribution in the
downward sloping aquifer under conditions mentioned in Equations (3)(5). One can
obtain the corresponding results for an upward sloping by replacing by and for a
horizontal bed by setting 0. Furthermore, equation (19) can also be used to predict the
water head profiles when the rise in the stream is extremely rapid; similar to the case of
flood like situation, by letting . We obtain

193

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

,
1
2

2
1

(20)

1
1

3.Determination of Flow Rate and Steady State Profile


The flow rate

in the aquifer is defined as


,

(21)

tan

andat the stream-aquifer interface, the flow rate is

tan

(22)

Invoking Equation (20) in Equation (22), the expressions for flow rate at the
stream-aquifer interface are obtained as follows:
1

2
1

(23)

tanh

tan

It is worth noting that despite continuous recharge, the profiles of water head attain a
steady state value for large value of time. The expressions for steady-state water head and
flow rate at stream-aquifer interface can be obtained by setting t in Equations (20) and
(23), yielding

194

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

(24)
/

1
2

(25)

4.Numerical Solution of the Non-linear Equation


To assess the efficiency of linearization technique, the non-linear Boussinesq equation is
solved numerically by using Mac Cormack scheme. For this, Equation (1) is written as
(26)
where,
cos
/ and
sin 2 /2 . Mac Cormack scheme is a predictor
corrector scheme in which the predicted value of h is obtained by replacing the spatial and
temporal derivatives by forward difference, i.e.

(27)
,
,

N
t
,
,

S
The corrector is obtained by replacing the space derivative by backward differences,
whereas the time derivative is still approximated by forward difference
,

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Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

The final value of

1
2

(28)

N
t
S

is given as an arithmetic mean of

and

, i.e.

(29)

N
t
S

The initial and boundary conditions are discretized as

(30)

(31)

(32)

Numerical experiments reveal that the method is stable if

0.06 and

0.09

5. Discussion of Results
To demonstrate the applicability of the closed form solution given by Equations (19) and
(23), we consider an aquifer with = 150 m. Other hydrological parameters are:
= 3.6
m/h, = 0.34,
= 5 m,
= 2 m,
= 4 mm/hr and = 0.054 per hr. Numerical
experiments were carried out, and it is found that the first 50 terms of the summation series
satisfactorily approximates the final value. The profiles of transient water head obtained
from equation (19) for = 3 deg are plotted in Fig. 2 (continuous curves).
6
5.5

t=120h

Water head h (m)

80h

4.5
40h

4
3.5

20h

Analytical
--- Numerical

10h

2.5
2
0

50

100
Distance x (m)

150

Fig. 2.Comparison of analytical and numerical solution for = 3 deg

196

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

Numerical solution of the non-linear Boussinesq equation (1) using Mac Cormack scheme
for the same data set is also presented in Fig. 2 (dotted curves). Close agreement between
the numerical and analytical solutions demonstrates the efficiency of the linearization
method adopted in this study. Comparison of water head height obtained from numerical
and analytical solutions is presented in Table 1. It is observed that the analytical solution
slightly underestimates the actual results.
Table1. Comparison of analytical (anal.) andnumerical (num.) results
x(m)
20
40
60
80
100
120
140

t=20h
anal.
num.
4.8216 4.8466
4.5558 4.6001
4.2301 4.2853
3.879
3.9341
3.5611 3.6002
3.3997 3.4185
3.6527 3.6525

t=40h
anal.
num.
4.9321 4.9492
4.7919 4.8213
4.6054 4.6380
4.4116 4.4387
4.2742 4.2905
4.2817 4.2846
4.49
4.4845

t=80h
anal.
num.
5.0956 5.0964
5.14
5.1403
5.1479 5.1462
5.1336 5.1297
5.1081 5.1032
5.0731
5.069
5.0119 5.0108

t=120h
anal.
num.
5.175
5.1775
5.3005 5.3046
5.3791 5.3838
5.4103 5.4153
5.3891 5.3942
5.3036 5.3079
5.1293 5.1312

Relative percentage difference (RPD) between numerical and analytical values of water
head with the numerical solution is analyzed. It is observed that the RPD is maximum in
the middle part of the aquifer and negligible near the interfaces
0 and
. In
order to obtain a validity range of the analytical results, the range of RPD for different
values of sloping angle is presented in Table 2.
Table2. Range of RPD between analytical and numerical solution for = 0.054 h-1
Range of RPD

5
0.0713 to 0.5232
3
0.1322 to 0.5455
0
0.1822 to 0.5692
3
0.2014 to 0.6227
5
0.2511 to 0.6532
Average distance between the analytical and numerical solutions is also calculated using
2 norm which is defined as follows:
/
1
1
(33)

where
norm for

and
respectively denote the numerical and analytical solutions. The 2
20, 40, 80 and 120 hrs is presented in Table 3.
3 deg,
0.054h ,
Table3. Average distance between analytical and numerical solution
t (h)
Average distance using
L2 Norm
20
0.01344
40
0.02107
80
0.01074
120
0.00528

Fig. 3 presents the comparison of transient water head profiles for


and 5 deg. As
time progresses, the water table grows in the aquifer. Continuous recharge causes

197

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

groundwater mound which finally stabilizes due to inflow-outflow equilibrium. Since,


steeper downhill slope allows more water to from the left end; such aquifers exhibit
relatively higher growth the phreatic surface. This phenomenon is evident from Fig. 3
wherein the water table profiles in an aquifer with 5 deg bed slope are higher than the
corresponding profiles of 3 deg bed slope.
6
t =120h

5.5

80h

Water head h (m)

40h

4.5

20h

10h

3.5
=3Deg
=5Deg

3
2.5
2
0

50

100
Distance x (m)

150

Fig. 3.Transient profiles of water head for = 3 and 5 deg


Considering a fixed point x in the domain with distance ratio x/L = 0.75, we plot in Fig. 4
the water head at this point against time t for various values of. It can be observed from
this figure that the rise rate of the stream water plays an important role in determining the
transient profiles of free surface as well as its stabilization level. A fast rising stream
reduces the outflow at stream-aquifer interface, leading to growth in the water table.

Water head h (m)

5.5

4.5
Sudden rise
= 0.054 h-1
- = 0.05 h-1
- - - - = 0.012 h-1

3.5
0

20

40Time t (hr)
60

80

100

Fig.4.Variation in water head height at x = 75 m


Using equation (23), the flow rates at interface x = L is plotted in Fig. 5. The initial flow
rate at the interface x = L are given by
tan

198

(34)

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

Clearly,
varies with bed slope. At initial stages, the stream-aquifer interface
experiences flow along positive direction of x-axis. As time progresses, the outflow at
reaches a minimum level and increases thereafter. A reasonably long aquifer with
small bed slope experiences a temporary inflow at this interface. For large value of time,
the flow rate attains steady state value given by Equation (25). It is worth noting that
stabilization of flow rates leads to convergence of water table to a final value. Variation in
with recharge rate and stream rise rate are plotted in Fig. 6 and Fig. 7
respectively. It is clear from this figure that flow rate at stream-aquifer interface increases
with recharge. Furthermore, stream rise rate plays an important role in determining the
inflow-outflow at the stream aquifer interface. It is established that a fast rising stream may
allow its water to enter into the aquifer (bank storage mechanism).
3.5
= 5 deg
Flow Rates (m/h)

2.5
= 3 deg

1.5
0.5
-0.5
0

50

100
Time
t (h)

150

200

Fig. 5.Flow rate at the stream-aquifer interface for = 3 and 5 deg


6. Conclusions
This study focuses on three major issues: (i) derive analytical expressions for water head
and flow rate in an unconfined sloping aquifer due to continuous recharge and
stream-varying water level, (ii) examine the efficiency and validity range of the
linearization of method, and (ii) analyze the response of an aquifers to varying
hydrological parameters. The linearized Boussinesq equation characterizing the transient
groundwater flow is solved using Laplace transform technique, and the corresponding
nonlinear equation is solved numerically by a fully explicit predictor-corrector scheme.
Numerical experiments carried out in this study indicate that the evolution and
stabilization of the phreatic surface and interaction of water between the stream and
aquifer depend significantly on the bed slope and other aquifer parameters.

Flow Rate q x = L (m/h)

2.5

1.5

0.5

-0.5
0

50

Time t (h)

100

150

Fig. 6.Variation in flow rate at stream-aquifer interface with N

199

Rajeev K. Bansal /

, 04 - 03 (2014) 189-200.

Flow Rate q x = L (m/h)

1.6

=0.108h1
=0.072h1
=0.054h1
=0.036h1

0.8

-0.8
0

50

Time t (h)

100

150

Fig. 7.Variation in flow rate at stream-aquifer interface with


7. References
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and groundwater: analytical study. J HydrolEng,14(8) (2009) 832838.
[3] Bansal, R.K., Das,S.K. Water table fluctuations in a sloping aquifer: analytical expressions for water exchange
between stream and groundwater. J Porous Media ,13(4)(2010) 365374.
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200

Inteernational Jouurnal of
Mathematical Modelling
M
& Computations
C
s
Voll. 04, No. 03, 2014, 201 - 212
2

A Fuzzy Model
M
for A
Assessmentt Processess
M. Gr. Voskoglou

* Department off Mathematicall Sciences,, Schhool of Techno


ological Appliccations, Graduaate
T
Technological
Institute of Weestern Greece, Patras, Greecce

Absttract.The methodss of assessing the inndividuals perforrmance usually app


plied in practice arre based on princip
ples of
the bivalent
b
logic (yess-no). However, fuuzzy logic, due to its nature of inclu
uding multiple vallues, offers a wideer and
richeer field of resourcees for this purpose. In this paper we use
u principles of fu
uzzy logic in develloping a new method for
assesssing the performaance of groups of individuals
i
particippating in any hum
man activity. For thhis, we represent eaach of
the groups
g
under assesssment as a fuzzy suubset of a set U off linguistic labels chharacterizing theirr members perform
mance
and we use the centtre of gravity defuzzification techhnique in convertting the fuzzy daata collected from
m the
correesponding activity to a crisp number. The resulting struucture provides a weighted
w
assessmennt, in which the higgher is
an in
ndividuals perform
mance the more its contribution to the correspondingg groups performaance. Thus, in contrrast to
the mean
m
of the scores (i.e. numerical vallues of the perform
mance) of all the grroups members, which
w
is connected to the
mean
n groups perform
mance, our methood is connected ssomehow to the groups quality pperformance. Twoo real
appliications are also presented,
p
related to the bridge playyers performance and the students problem solving skills
respeectively, illustratinng the importance of
o our assessment method in practice.
Received:
R
3 April 2014;
2
Revised: 3 JJuly 2014; Accepteed: 27 August 2014.
Fuzzy sets, Centree of gravity (COG
G) defuzzificationn technique, Conttract bridge,
Keywords: F
P
Problem
solving
c
in this paper
Indexx to information contained
1.
2.
3.
4.

Introduction
The Fuzzy Mod
del
Real Applicatioons
Conclusion and
d Discussion.

1. In
ntroduction

Theere used tobe a tradition inn science and engineering of


o turning to probability
p
thheory
wheen one is faceed with a prooblem in whicch uncertainty
y plays a signnificant role. This
trannsition was juustified whenn there were no alternativve tools for dealing withh the
uncertainty. Todaay this is no longer
l
the casse. Fuzzy logicc, which is baased on fuzzy sets
d by Zadeh [25]in 1965, provides a rich
r
and meanningful additioon to
theoory introduced
stanndard logic.

Corresponding
C
auth
hor. Email: mvosk@
@hol.gr.

20014 IAUCTB
http:///www.ijm2c.ir

M. GR. Voskoglou /

, 04 - 03 (2014) 201- 212

A real test of the effectiveness of an approach to uncertainty is the capability to solve


problems which involve different facets of uncertainty. Fuzzy logic has a much higher
problem solving capability than standard probability theory. Most importantly, it opens the
door to construction of mathematical solutions of computational problems which are stated
in a natural language. The applications which may be generated from or adapted to fuzzy
logic are wide-ranging and provide the opportunity for modelling under conditions which
are inherently imprecisely defined, despite the concerns of classical logicians (e.g. see [8],
Chapter 6 of [10], [13], [17-19], [20] and its relevant references, [21-24], etc).
The methods of assessing the individuals performance usually applied in practice are
based on principles of the bivalent logic (yes-no). However these methods are not probably
the most suitable ones. In fact, fuzzy logic, due to its nature of including multiple values,
offers a wider and richer field of resources for this purpose. In this paper we shall use fuzzy
logic in developing a new general method for assessing the skills of groups of individuals
participating in any human activity. The rest of the paper is organized as follows: In the
next section we develop our new assessment method. In section three we present two real
applications illustrating the importance of our method in practice. Finally the last section is
devoted to conclusions and discussion for the future perspectives of research on this area.
For general facts on fuzzy sets we refer freely to the book [10].
2. The Fuzzy Model

Let us consider a group, say H, of n individuals, where n is a positive integer, participating


in a human activity (e.g. problem-solving, decision making, football match, a chess
tournament, etc). Further, let U = {A, B, C, D, F} be a set of linguistic labels characterizing
the individuals performance with respect to the above activity, where A characterizes an
excellent performance, B a very good, C a good, D a mediocre and F an unsatisfactory
performance respectively. Obviously, the above characterizations are fuzzy depending on
the users personal criteria, which however must be compatible to the common logic, in
order to be able to model the real situation in a worthy of credit way.
The classical way for assessing the total groups performance with respect to the
corresponding activity is to express the levels of the individuals performance in numerical
values and then to calculate the mean of their performance in terms of these values (mean
groups performance).
Here, we shall use principles of fuzzy logic in developing an alternative method of
assessment, according to which the higher is an individuals performance, the more its
contribution to the groups total performance (weighted groups performance). For this,
we are going to representH as a fuzzy subset of U. In fact, if nA, nB.nC, nD and nF denote the
number of the individuals of H that had demonstrated an excellent, very good, good,
mediocre and unsatisfactory performance respectively at the game, we define the
membershipfunction (We recall that the methods of choosing the membership function are usually
empiric, based either on the common logic (as it happens in our case) or on the data of experiments made
on a representative sample of the population that we study. The proper choice of the membership function
is a necessary condition for developing a worthy of credit model of the corresponding situation using
principles of fuzzy logic.)

m:U [0, 1] as follows:

1,

0, 75,

y m ( x ) 0,5,
0, 25,

0,

if

80% n nx n

if

50% n nx 80% n

if

20% n nx 50% n

if 1% n nx 20% n
if 0 nx 1% n

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for each x in U.
Theen H can be wrritten as a fuzzzy subset of U in the form: H= {(x, m(xx)): x U}.
In converting
c
the fuzzy data colllected from thhe correspondiing activity wee shall make usse of
the defuzzificatioon technique known
k
as the m
method of the centre
c
of gravvity (COG).
ph of the mem
mbership funcction
Acccording tothis method, the centre of gravvityof the grap
invo
olved providees an alternaative measuree of the sysstems perform
mance [18]. The
application of thee COG method
d in our case iis simple and evident
e
and, inn contrast to other
o
uzzification teechniques in use,
u like the m
measures of un
ncertainty (forr example see [20]
defu
andd its relevant reeferences, [23], etc), needs nno complicateed calculationss in its final steep.
Thee first step in applying
a
the COG
C
method is to correspo
ond to each x U an intervaal of
valuues from a prefixed numeriical distributioon, which acttually means tthat we replacce U
with
h a set of real intervals.
i
Thenn, we construcct the graph, saay G,of the membership funcction
y=m
m(x). There is a commonly used
u
in fuzzy logic approacch to measure performance with
the coordinates (xxc , yc) of the centre
c
of graviity, sayFc, of thhe graph G,
whiich we can callculate using thhe following w
well-known from
f
Mechaniics formulas:

xc

xdxdy
F

dxdy

, yc

dy
ydxdy
F

dxdyy

(2)

In our
o case we ch
haracterize an individuals pperformance as
a unsatisfactoory (F), if x [0,
1), as
a mediocre (D
D), if x [1,, 2), as good (C
C), if x [2, 3), as very good (B), if x [3,
4) and
a as excelleent (A), if x [4, 5] respeectively. In otther words, iff x [0, 1), then
y1=m
m(x) = m(F), if x [1, 2),, then y2=m(xx)= m(D), etc.
Theerefore, in ourr case the grapph G of the membership
m
funnction attachhed to H is thee bar
grap
ph of Figure 1 consisting of five rectanglees, say Gi, i=11,2,3, 4, 5 , whhose sides lyin
ng on
the Xaxis have lenngth 1.
5

In thhis case

o G which is eequal to y
dxxdy is the area of
5

yi

i 1

i 1

dx yi
Alsoo xdxdy xdxdy dy xd
i 1 Fi

i 1 0

yi

n yi

i 1

i 1 0

y
= ydxdy ydy dx = ydy
ydxdy
F

i 1 Fi

i 1

i 1 0

x (2i 1) y
xdx
2

i 1

i 1

1 n 2
yi .
2 i 1

Figure 1:
1 Bar graphiical data representation

2003

, and

M. GR. Voskoglou /

, 04 - 03 (2014) 201- 212

Therefore formulas (2) are transformed into the following form:

xc

1 y1 3 y2 5 y3 7 y4 9 y5

2 y1 y2 y3 y4 y5

yc

2
2
2
2
2
1 y1 y2 y3 y4 y5

.
2 y1 y2 y3 y4 y5

Normalizing our fuzzy data by dividing each m(x), x U, with the sum of all membership
degrees we can assume without loss of the generality that y1+y2+y3+y4+y5 = 1
(We recall that, although probabilities and fuzzy membership degrees are both taking values in the
interval [0, 1], they are distinct and different to each other notions. For example, the expression The
probability for Mary to be tall is 85%, means that, although Mary is either tall or low in stature, she is
very possibly tall. On the contrary the expression The membership degree of Mary to be tall is 0.85,
simply means that Mary can be characterized as rather tall. A.characteristic difference (but not the only
one) is that, while the sum of probabilities of all the singleton subsets (events) of U equals 1, this is not
necessary to happen for the membership degrees.)Therefore we can write:

1
y1 3 y2 5 y3 7 y4 9 y5 ,
2
1 2
2
2
2
2
yc y1 y2 y3 y4 y5
2

xc

withyi=

(3)

m( xi )
.
m( x )
xU

But, 0 (y1-y2)2=y12+y22-2y1y2,therefore y12+y22 2y1y2, with the equality holding if, and
only if, y1=y2. In the same way one finds that y12+y32 2y1y3, with the equality holding if,
and only if, y1=y3 and so on. Hence it is easy to check that (y1+y2+y3+y4+y5)2
5(y12+y22+y32+y42+y52), with the equality holding if, and only if, y1=y2=y3=y4=y5.
But y1+y2+y3+y4+y5 =1, therefore
1 5(y12+y22+y32+y42+y52) (4),with the equality holding if, and only if,
y1=y2=y3=y4=y5= 1
5

Then the first of formulas (3) gives that xc = 5 . Further, combining the inequality (4)
2

with the second of formulas (3), one finds that 1 10yc, or yc 1 . Therefore the unique
10

minimum for yc corresponds to the centre of gravity Fm( 5 , 1 ).


2 10

The ideal case is when y1=y2=y3=y4=0 and y5=1. Then from formulas (3) we get that xc =
9 and y = 1 .Therefore the centre of gravity in this case is the point F ( 9 , 1 ).
c
i
2

On the other hand, in the worst case y1=1 and y2=y3=y4= y5=0. Then by formulas (3), we
find that the centre of gravity is the point Fw( 1 , 1 ).
2

Therefore, the area where the centre of gravity Fclies is represented by the triangle
FwFmFi of Figure 2. Then from elementary geometric considerations it follows that the
greater is the value of xcthe better is the corresponding groups performance.

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Also, for two groups with the same xc 2,5, the group having the centre of gravity
which is situated closer to Fiis the group with the higher yc; and for two groups with the
same xc<2.5 the group having the centre of gravity which is situated farther to Fwis the
group with the lower yc. Based on the above considerations it is logical to formulate our
criterion for comparing the groups performances in the following form:

Among two or more groups the group with the higher xcperforms better.
If two or more groups have the same xc 2.5, then the group with the higher
ycperforms better.
If two or more groups have the same xc< 2.5, then the group with the lower yc
performs better.
Notice that, similar techniques as above have been also used in [17], [24], etc.

Figure 2: Graphical representation of the area of the centre of gravity

3. Real applications

In this section we shall present two real life applications illustrating in practice the
importance of our results obtained in the previous section. The first of these applications
concerns a new assessment method of the bridge players performance, while the second
one is related to the problem solvers performance.
3.1 Anew assessment method of the bridge players performance

Contract bridge is a card game belonging to the family of trick-taking games. It occupies
nowadays a position of great prestige being, together with chess, the only mind sports (i.e.
games or skills where the mental component is more significant than the physical one)
officially recognized by the International Olympic Committee. Millions of people play
bridge worldwide in clubs, tournaments and championships, but also on line (e.g. [1]) and
with friends at home, making it one of the worlds most popular card games.
A match of bridge can be played either among teams (two or more) of four players (two
partnerships), or among pairs. For a pairs event a minimum of three tables (6 pairs, 12
players) is needed, but it works better with more players. At the end of the match in the
former case the result is the difference in International Match Points (IMPs) between the
competing teams and then there is a further conversion, in which some fixed number of
Victory Points (VPs) is appointed between the teams. It is worthy to notice that the table
converting IMPs to VPs has been obtained through a rigorous mathematical manipulation
[5].

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On the contrary, the usual method of scoring in a pairs competition is in match points.
Each pair is awarded two match points for each pair who scored worse than them on each
games session (hand), and one match point for each pair who scored equally. The total
number of match points scored by each pair over all the hands played is calculated and it is
converted to a percentage.
However, IMPs can also used as a method of scoring in pair events. In this case the
difference of each pairs IMPs is usually calculated with respect to the mean number of
IMPs of all pairs.
For the fundamentals and the rules of bridge, as well as for the conventions usually
played between the partners we refer to the famous book [9] of Edgar Kaplan
(1925-1997), who was an American bridge player and one of the principal contributors to
the game. Kaplans book was translated in many languages and was reprinted many times
since its first edition in 1964. There is also a fair amount of bridge-related information on
the Internet, e.g. seeweb sites [2], [4], etc.
The Hellenic Bridge Federation (HBF) organizes, on a regular basis, simultaneous
bridge tournaments (pair events) with pre-dealt boards, played by the local clubs in several
cities of Greece. Each of these tournaments consists of six in total events, played in a
particular day of the week (e.g. Wednesday), for six successive weeks. In each of these
events there is a local scoring table (match points) for each participating club, as well as a
central scoring table, based on the local results of all participating clubs, which are
compared to each other. At the end of the tournament it is also formed a total scoring table
in each club, for each player individually. In this table each players score equals to the
mean of the scores obtained by him/her in the five of the six in total events of the
tournament. If a player has participated in all the events, then his/her worst score is
dropped out. On the contrary, if he/she has participated in less than five events, his/her
name is not included in this table and no possible extra bonuses are awarded to him/her.
In case of a pairs competition with match points as the scoring method and according to
the usual standards of contract bridge, one can characterize the players performance,
according to the percentage of success, say p, achieved by them, as follows:
Excellent (A), if p > 65%.
Very good (B), if 55% < p 65%.
Good (C), if 48% < p 55%.
Mediocre (D), if 40% p 48%.
Unsatisfactory (F), if p < 40 %. (In an analogous way one could characterize the players
performance in bridge games played with IMPs, with respect to the VPs gained.)
Our application presented here is related to the total scoring table of the players of a
bridge club of the city of Patras, who participated in at least five of the six in total events of
a simultaneous tournament organized by the HBF, which ended on February 19, 2014 (see
results in [7]). Nine men and five women players are included in this table, who obtained
the following scores. Men: 57.22%, 54.77%, 54.77%, 54.35%, 54.08%, 50.82 %, 50.82%,
49.61%, 47.82%. Women: 59.48%, 54.08%, 53.45%, 53.45%, 47.39%. These results give
a mean percentage of approximately 52.696% for the men and 53.57% for the women
players. Therefore the women demonstrated a slightly better mean performance than the
men players, their difference being only 0.874%.
The above results are summarized in Table 1, the last column of which contains the
corresponding membership degrees calculated with respect to the membership function
defined by the formula (1) of the previous section. For example,
in the case of men players we have n = 9, 1% n = 0.09, 20% n = 1.8, 50% n = 4.5, 80% n
=7.2, nA= nF= 0, nB= nD = 1, nC = 7, which give that m(A) = m(B) )= m(F) = 0, m(B) =
m(D) = 0.25 and m(C)= 0.75

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Men

% Scale
>65%
55-65%
48-55%
40-48%
<40%
Total

Performance
A
B
C
D
F

Number
of players
0
1
7
1
0
9

m(x)

Number
of players
0
1
3
1
0
5

m(x)

0
0.25
0.75
0.25
0
1.25

Women

% Scale
>65%
55-65%
48-55%
40-48%
<40%
Total

Performance
A
B
C
D
F

0
0.25
0.75
0.25
0
1.25

Table 1:Total scoring of the men and women players

Then, normalizing the membership degrees and applying formulas (3) of the previous
1
6.25
section, we find that xc
=2.5 and yc=
(3* 0.25 5* 0.75 7 * 0.25)
2 *1.25
2.5
1
0.6875
[(0.25) 2 (0.75) 2 (0.25) 2 ]
= 0.22 for both the men and women players..
2*(1, 25) 2
3.125
Thus, according to our criterion (second case) stated in the previous section, and in contrast to
their mean performance, the men demonstrated an identical weighted performance with the
women players.
In concluding, our new assessment method of the bridge players performance can be used as
a complement of the usual scoring methods of the game (match points or IMPs) in cases where
one wants to compare (for statistical or other reasons) the total performance of special groups
of players (e.g. men and women, young and old players, players of two or more clubs
participating in a big tournament, etc).
3.2 Assessing problem solving skills

The importance of Problem Solving (PS) has been realised for such a long time that in a
direct or indirect way affects our daily lives for decades. It is generally accepted that PS is
a complex phenomenon and no wonder there is no unique definition. However, the
following definitions encompass most of the existing definitions: ForPolya [12], the
pioneer in mathematical PS, solving a problem means finding a way out of a difficulty, a
way around an obstacle, attaining an aim that was not immediately understandable.
According to Schoenfeld [14] a problem is only a problem, if you dont know how to go
about solving it. A problem that has no surprises in store, and can be solved comfortably
by routine or familiar procedures (no matter how difficult!), it is an exercise.Green and
Gilhooly [6] state that PS in all its manifestations is an activity that structures everyday
life in a meaningful way. The authors add further that this activity draws together
different components of cognition.

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Therefore, the kind of problem will dictate the type of cognitive skill necessary to solve
the problem: linguistic skills are used to read about a certain problem and debate about it,
memory skills to recall prior knowledge and so on. Depending on the knowledge and
thinking skills possessed by a problem solver, what could be a problem for one might not
be a problem for some body else. Perhaps Martinezs [11] definition carries the modern
message about PS: PS can be defined simply as the pursuit of a goal when the path to
that goal is uncertain. In other words, its what you do when you dont know what youre
doing.
Mathematics by its nature is a subject whereby PS forms its essence. In an earlier paper
[22] we have examined the role of the problem in learning mathematics and we have
attempted a review of the evolution of research on PS in mathematics education from its
emergency as a self sufficient science at the 1960s until today.
While early work on PS focused mainly on analysing the PS process and on describing the
proper heuristic strategies to be used in each of its stages, more recent investigations have
focused mainly on solvers behaviour and required attributes during the PS process; e.g.
see Multidimensional PS Framework (MPSF) of Carlson & Bloom [3]. More
comprehensive models for the PS process in general (not only for mathematics) were
developed by Sternberg & Ben-Zeev [16], by Schoenfeld [15] (PS as a goal-oriented
behaviour), etc. In earlier papers we have used basic elements of the finite Markov chains
theory, as well as principles of the fuzzy logic (e.g. see [20] and its relevant references) in
an effort to develop mathematical models for a better description and understanding of the
PS process. Here, applying the results obtained in the previous section, we shall provide a
new assessment method of the students PS skills.
In our will to explore the effect of the use of computers as a tool in solving mathematical
problems we performed during the academic year 2012-13 a classroom experiment, in
which the subjects were students of the School of Technological Applications (prospective
engineers) of the Graduate Technological Educational Institute (T. E. I.) of Western
Greece attending the course Higher Mathematics I( The course involves Complex Numbers,
Differential and Integral Calculus in one variable, Elementary Differential Equations and Linear
Algebra.)of their first term of studies. The students, who had no previous computer

experience apart from the basics learned in High School, where divided in two groups. In
the control group (100 students) the lectures were performed in the classical way on the
board, followed by a number of exercises and examples connecting mathematics with real
world applications and problems. The students participated in solving these problems. The
difference for the experimental group (90 students) was that part (about the 1/3) of the
lectures and the exercises were performed in a computer laboratory. There the instructor
used the suitable technological tools (computers, video projections, etc) to present the
corresponding mathematical topics in a more live and attractive to students way, while
the students themselves, divided in small groups, used standard mathematical software to
solve the problems with the help of computers.
At the end of the term all students participated in the final written examination for the
assessment of their progress. The examination involved a number of general theoretical
questions and exercises covering all the topics taught and three simplified real world
problems (see Appendix) requiring mathematical modelling techniques for their solution
(the time allowed was three hours). We marked the students papers separately for the
questions and exercises and separately for the problems. The results of this examination
are summarized in Tables 2 {theoretical questions and exercises) and 3 (real world
problems) , where the corresponding membership degrees were calculated in terms of the
membership function (1), as it has been already shown in application 3.1.

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Experimental group

% Scale
89-100
77-88
65-76
53-64
Less than 53
Total

Performance
A
B
C
D
F

Number of students
0
17
18
25
30
90

M(x)
0
0.25
0.25
0.5
0.5
1.5

Control group

% Scale
89-10
77-88
65-76
53-64
Less than 53
Total

Performance
A
B
C
D
F

Number of students
0
18
20
30
32
100

M(x)
0
0.25
0.25
0.5
0.5
1.5

Table 2: Theoretical questions and exercises

Experimental group

% Scale

Performance

89-100
77-88
65-76
53-64
Less than 53
Total

A
B
C
D
F

Number of
Students
3
21
28
22
16
90

M(x)
0.25
0.5
0.5
0.5
0.25
2

Control group

% Scale
89-100
77-88
65-76
53-64
Less than 53
Total

Performance
A
B
C
D
F

Number of students
1
10
37
31
21
100

M(x)
0
0.25
0.5
0.5
0.5
1.75

Table 3: Real world problems

Normalizing the membership degrees and applying formulas (3), it is easy to check from
Table 2 that the two groups demonstrated identical performance with respect to their
students replies to the theoretical questions and their solutions of the exercises. In fact, for
both
groups
we
find
that
xc

1
5
1 .6 6 7
( 0 .5 3 * 0 .5 5 * 0 .2 5 7 * 0 .2 5 )
2 * 1 .5
3

andyc=
1
0 .5 6 9
[( 0 .5 ) 2 ( 0 .5 ) 2 ( 0 .2 5 ) 2 ( 0 .2 5 ) 2 ]
0 .1 2 6
2 * (1, 5 ) 2
4 .5

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M. GR. Voskoglou /

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(third case of our criterion).


Similarly from Table 3 we find
1
10
(0.25 3 * 0.5 5 * 0.5 7 * 0.5 9 * 0.25)
2.5 for the experimental and
2*2
4
1
6.25
xc
1.786
(0.5 3* 0.5 5* 0.5 7 * 0.25)
2 *1.75
3.5
xc

for the control group, which means that the experimental group demonstrated a better
performance with respect to the solution of the real problems than the control group.
Further, it is worthy to notice that the experimental groups performance was
significantly better with respect to the solution of the real world problems than with
respect to the theoretical questions and exercises (1.667<2.5). The same happened with
the control group, but in a much smaller degree (1.667<1.786).
In concluding, the results of our experiment provide a strong indication that the use of
computers as a tool for PS enhances the students abilities in solving real world
mathematical problems.
4. Conclusions and discussion

In the present paper we developed a new method for assessing the total performance of
groups of individuals participating in any kind of human activity. In developing the above
method we represented each of the groups under assessment as a fuzzy subset of a set U of
linguistic labels characterizing their members performance and we used the COG
defuzzification technique in converting the fuzzy data collected from the corresponding
activity to a crisp number. According to the above assessment method the higher is an
individuals performance the more its contribution to the corresponding groups total
performance (weighted performance). Thus, in contrast to the mean of the scores (i.e.
numerical values of the performance) of all the groups members, which is connected to
the mean groups performance, our method is connected somehow to the groups quality
performance. As a result, when the above two different assessment methods are used in
comparing the performance of two or more groups of individuals, the results obtained may
differ to each other in cases where there are small differences in the groups performance
(e.g. see our bridge application). Two real applications were also presented, related to the
bridge players performance and the students problem solving skills respectively,
illustrating the importance of our assessment method in practice.
Our future plans for further research on the subject aim at applying our new assessment
method in more real situations of bridge matches (including also games played with IMPs)
and problem solving (not only mathematical) applications in order to get statistically safer
and more solid conclusions about its applicability and usefulness. In a wider spectre,
since our method is actually a general assessment method, it could be interesting to be
applied in more sectors of the human activity, including other competitive games (e.g.
more card games, chess, backgammon, etc), collective and individual sports, human
cognition and learning, Artificial Intelligence, Biomedical Sciences, Management and
Economics, etc.

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5. References
[1] Bridge Base Online (BBO), www.bridgebase.com/index.php?d=y , accessed on
March 29, 2014
[2] Bridge rules and variations, www.pagat.com/boston/bridge.html , accessed on March
29, 2014
[3] Carlson, M. P. & Bloom, I., The cyclic nature of problem solving: An emergent
multidimensional problem-solving framework, Educational Studies in Mathematics,
58 (, (2005), 45-75.
[4] Contract bridge, http://en.wikipedia.org/wiki/contract_bridge , accessed on March 29,
2014
[5] DOrsi, E. (chair) et al., The New WBF IMP to VP Scales, Technical Report of
WBF
Scoring,
www.worldbridge.org/Data/Sites/1/media/documents/regulations/WBFAlgorithms.p
df , accessed on March 29, 2014
[6] Green, A. J. K. & Gillhooly, K., Problem solving. In: Braisby, N. & Gelatly, A.
(Eds.), Cognitive Psychology (2005), Oxford University Press, Oxford.
[7] Hellas Bridge Federation (in Greek), www.hellasbridge.org , accessed on March 31,
2014
[8] Jelodar, Sh. S., Allahviranloo, T. Abbasbandy, Application of Fuzzy Expansion
Methods for Solving Fuzzy Fredhom-Voltera Integral Equations of the First Kind,
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[9] Kaplan, E., Winning Contract Bridge (2010), Courier Dover Publications, N. Y.
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[12] Polya, G., How to solve it (1945), Princeton University Press, Princeton.
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A Closed Area, International Journal of Mathematical Modelling & Computations,
2(2013), 109-114
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sorts, For the Learning of Mathematics, 3 (1983), 40-47.
[15] Schoenfeld, A., How we think: A theory of goal-oriented decision making
and its educational applications (2010), New York: Routledge.
[16] Sternberg, R. J. & Ben-Zeev, T., Complex cognition: The psychology of human
thought (2001), Oxford University Press, Oxford.
[17] Subbotin, I. Ya. Badkoobehi, H., Bilotckii, N. N., Application of fuzzy logic to
learning assessment. Didactics of Mathematics: Problems and Investigations, 22
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[18] Van Broekhoven, E. & De Baets, B., Fast and accurate center of gravity
defuzzification of fuzzy system outputs defined on trapezoidal fuzzy partitions, Fuzzy
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Appendix: The problems given for solution to students in our classroom experiments
Problem 1: We want to construct a channel to run water by folding the two edges of an
orthogonal metallic leaf having sides of length 20cm and 32 cm, in such a way that they
will be perpendicular to the other parts of the leaf. Assuming that the flow of the water is
constant, how we can run the maximum possible quantity of the water?
Remark: The correct solution is obtained by folding the edges of the longer side of the leaf.
Some students solved the problem by folding the edges of the other side and failed to
realize that their solution was wrong (validation of the model).
Problem 2: Let us correspond to each letter the number showing its order into the alphabet
(A=1, B=2, C=3 etc). Let us correspond also to each word consisting of 4 letters a 2X2

19 15
corresponds to the word SOME.
13 5

matrix in the obvious way; e.g. the matrix

8 5
as an encoding matrix how you could send the message
11 7

Using the matrix E=

LATE in the form of a camouflaged matrix to a receiver knowing the above process and
how he (she) could decode your message?
Problem 3: The population of a country is increased proportionally. If the population is
doubled in 50 years, in how many years it will be tripled?

212

International Journnal of

Matthematical Moddelling & Com


mputations
Voll. 04, No. 03, 2014,
2
213 - 2222

A Simplifi
fied Lagran
ngianMultiiplier Apprroach for F
Fixed Head
d
Short-Teerm Hydroothermal Sccheduling
a,*

S. Kaavitha and Niirmala P. Ratchhagar


a

Department of Mathematicss Section, FEAT


T, Annamalai University,
U
Annnamalai Nagarr,
Tamilnaddu, India.
b
Department
D
off Mathematics, AnnamalaiUnniversity, Annam
malaiNagar,Taamilnadu, Indiia.

Abstract. Thiis paper presents a simplified lagranggian multiplier based algorithm to solve the fixed
head hydrotheermal scheduling problem. In fixedd head hydrotherm
mal scheduling prooblem, water
discharge ratee is modeled as quaadratic function off hydropower generration and fuel cosst is modeled
as quadratic function
f
of thermaal power generatioon. The power outtput of each hydroo unit varies
with the rate of
o water dischargedd through the turbiines. It is assumed that hydro plants alone
a
are not
sufficient to supply all the load demands during tthe scheduling horrizon. In hydro schheduling, the
specified totall volume of water should be optimallly discharged thro
oughout the scheduuling period.
A novel math
hematical approachh has been developped to determine the
t optimal hydro and thermal
power generaation so as to min
nimize the fuel ccost of thermal unnits. The perform
mance of the
proposed methhod is demonstrateed with three test syystems. The test reesults reveal that thhe developed
method provides optimal solutiion which satisfiees the various systtem constraints off fixed head
hydrothermal scheduling probleem.
Received: 18 July 2013; Revised: 23 Octoober 2013; Acceptted: 3 December 2013.
Keywords: hyydrothermal schedduling, Lagrangiann multiplier, fixed head,
h
quadratic funnction.

Indexx to information contained


c
in this paper

1.
2.
3.
4.
5.

Introducction
Problem
m Formulation
Proposeed Methodology
Numericcal Examples and
d Results
Conclussion

1. In
ntroduction
Thee hydrothermaal scheduling plays an impportant role inn the operatioon planning of
o an
inteerconnected poower plant. Th
he short-term hhydrothermal scheduling
s
prooblem is one of
o the
mosst important daaily activities for a utility coompany. Shorrt-term hydrothhermal scheduuling

Corresponding
C
auth
hor. Email: kavithaa_aucdm@yahoo.ccom.

20013 IAUCTB
http:///www.ijm2c.ir

S. Kavitha&Nirmala P. Ratchagar/

, 04 - 03 (2014) 213 - 222

involves the hour-by-hour scheduling of all generating units on a system to achieve


minimum generation cost. The objective of fixed head hydrothermal scheduling is to
minimize the fuel cost of thermal generating units by determining the optimal hydro and
thermal generation schedule subject to satisfying water availability constraint and load
demand in each interval of the scheduling horizon. The head of the reservoir is assumed to
be constant for the hydro plants having reservoirs with large capacity. The hydraulic
constraint imposed in the problem formulation is that the total volume of water discharged
in the scheduling horizon must be exactly equal to the defined volume. The operational
cost of hydroelectric units is insignificant because the source of hydro power is the natural
water resources.
Numerous mathematical methods for the optimal resource allocation problems have been
developed in the literature [6, 7]. Different mathematical methods for hydrothermal
scheduling problem have been reported in the literature. In [12] , an iterative technique
based on computing LU factors of the Jacobian with partial pivoting for solving
hydrothermal scheduling problem has been developed. A Lagrangian multiplier method
for optimal scheduling of fixed head hydro and thermal plants is reported in [5]. This
method linearizes the coordination equation and solves for the water availability constraint
separately from unit generations. Dynamic programming approach [10] has been
implemented for the solution of hydrothermal scheduling problem. The disadvantages of
dynamic programming method are computational and dimensional requirements grow
drastically with increase in system size and planning horizon. Lagrangian relaxation
techniques have been proposed in the literature to solve hydrothermal coordination
problem [11, 4]. A Lagrangian relaxation technique solves the dual problem of the original
hydrothermal coordination problem. However the perturbation procedures are required to
obtain primal feasible solution. These perturbation procedures may deteriorate the
optimality of the solution obtained.
Recently, as an alternative to the conventional mathematical approaches, the heuristic
optimization techniques such as simulated annealing [1], genetic algorithm [9], artificial
immune algorithm [2] have been used to solve fixed head hydrothermal scheduling
problem. Heuristic methods use stochastic techniques and include randomness in moving
from one solution to the next solution. Due to the random search nature of the algorithm,
these methods provide feasible optimal solution for the optimization problems. Neural
network based approach has been developed for scheduling thermal plants in coordination
with fixed head hydro units [3]. This method provides near-optimal solution for hydro
thermal scheduling problem. An integrated technique of predator-prey optimization and
Powells method for optimal operation of hydrothermal system has been reported in [8].
In this hybrid method, predator-prey optimization is used as a base level search in the
global search space and Powells method as a local search technique.
In this paper, a new deterministic method based on Lagrangian multiplier and Newton
method is developed for the solution of short-term fixed head hydrothermal scheduling
problem. The scheduling period is divided into a number of subintervals each having a
constant load demand. The proposed approach has been validated by applying it to three
test systems.
2. Problem Formulation
The basic problem is to find the real power generation of committed hydro and thermal
generating units in the system as a function of time over a finite time period from 1 to T.
The goal is to minimize the total fuel cost required for the thermal generation in the
scheduling period.
T NT

Minimize t k Fik (PTik )

(1)

k 1i 1

whereFik(PTik) is cost function of each thermal generating unit in interval k, which is

214

S. Kavitha&Nirmala P. Ratchagar/

, 04 - 03 (2014) 213 - 222

2
expressed by Fik (PTik ) a i PTik
b i PTik ci
T- number of periods for dividing the scheduling time horizon
NT- number of thermal generators
tk - time in interval k
PTik - power generation level of ith thermal generating unit in interval k
ai, bi and ci are the fuel cost coefficients of ith thermal generating unit
Subject to
(i)
Power balance constraint

NT

NH

i 1

i 1

C k PTik PHik PDk 0 for k 1, 2, , T

(2)

wherePHik - power generation level of ith hydro generating unit in interval k


PDk - Total generation demand in interval k.
NH - number of hydro generators
Water availability constraint
(ii)
T

Wi t k q ik (PHik ) Vi - Si for i= 1, 2, , NH

(3)

k 1

whereqik is the discharge rate of hydro unit i during the kth interval, which is expressed
2
by q ik (PHik ) i PHik
i PHik i .
Vi is the pre-specified volume of water available for hydro unit i during the scheduling
period. Si is the total spillage discharge of ith hydro unit during the scheduling period and
the spillage discharge is not used for power generation. i , i , and i are the discharge
coefficients of ith hydro unit with
min
max
(4)
PTi
PTik PTi
min
max
PHi
PHik PHi

(5)

min
max
where PTi
, PTi
are the minimum and maximum generation limits of ith thermal
min
max
and PHi , PHi are the minimum and maximum generation limits of ith hydro unit.

unit

3. ProposedMethodology
The lagrangian equation for hydrothermal scheduling is
T

NH

k 1

i 1

L(P, , ) k C k i (Wi (Vi - Si ))

(6)

wherekis the Lagrangian multiplier for power balance constraint in kth interval and i is
the lagrangian multiplier for hydro unit i. Substituting eqns. (1),(2) and (3) in eqn (6)
gives
T NT

NT

NH

k 1i 1

k 1

i 1

i 1

L(P, , ) t k Fik (PTik ) k ( PTik PHik PDk )


NH

i 1

k 1

(7)

i ( t k q ik (PHik ) (Vi - Si ))
The minimum value is obtained by partially differentiating the Equation (7) with respect to
PTik, PHik, k,i and equating to zero
L
0
(8)
i.e
P Tik

215

S. Kavitha&Nirmala P. Ratchagar/

tk

i.e

, 04 - 03 (2014) 213 - 222

Fik (PTik )
C k
k
0
P Tik
P Tik

(9)

Equation (9) gives


i.e

therefore
Equation (12) gives

t k (2a i PTik b i ) k
L
0
P Hik

k i
(Wi (Vi - Si )) 0
PHik

(10)

t k i [2 i PHik i ] k
L
0
k

(13)

i.e
Ck 0
therefore
Equation (15) gives

(11)
(12)

(14)
(15)

NT

NH

i 1

i 1

PTik PHik PDk


L
0
i
Wi ( Vi - Si ) 0

i.e
therefore
Equation (18) gives

(16)
(17)
(18)

2
i PHik i ] Vi - Si
t k [i PHik

(19)

k 1

From the Equation (10), we get


k bi
b
1
k
i
2a i
2a i 2a i
for
i
=
1,
2,

,
NT,
k= 1, 2, , T
PTik k A i Bi
1
b
where A i
; Bi i
2a i
2a i
From the Equation (13), we get
i i

PHik k
k i
2 i i
2 i i 2 i

PHik k Ci Di for i = 1, 2, , NH, k= 1, 2, , T


i
i
1
where Ci
; Di
2 i
2 i
Substituting Equations (20) and (21) in Equation (16) gives
NT
NH

C
( k Ai Bi ) k i Di PDk for k= 1, 2, , T
i

i 1
i 1
PTik

NT

therefore

(20)

(21)

NH

PDk Bi Di
NT

i 1

NH

i 1

C
Ai i
i 1
i 1 i

216

for k= 1, 2, , T

(22)

S. Kavitha&Nirmala P. Ratchagar/

, 04 - 03 (2014) 213 - 222

SubstitutingEquation (22) in Equation (21) gives


NT
NH

PDk Bi D i
C
PHik i NT i 1 NH i 1 D i
i
C
Ai i
i 1

i 1 i
for i =1, 2, , NH, for k= 1, 2, , T
Substituting (23) in (19), we get

(23)

NT
NH

P B D

Dk
i
i
T
Ci

i 1
i 1
t k ( i NT NH C D i
i

k 1
i

Ai

i 1 i

i1

NT
NH

P B D

Dk i i
C

i i NT i1 NH i1 D i i ) Vi - Si
Ci
i

Ai

i
i 1

i1

(24)

for i =1, 2, , NH
By expanding the Equation (24)
2

NT
NH

2 PDk Bi D i
T
C
2C D
t
(

k i 2i NT i 1 NH Ci 1 Di2 i i
i
k 1
i

Ai i

i 1 i
i 1

NT
NH

PDk Bi D i
i Ci
D ) V -S
i 1
i 1

i i
i
i
i
NH

i NT
Ci
Ai

i 1

i 1 i

NT
NH


PDk Bi D i

i 1
i 1
NH
NT

Ci
Ai

i 1

i 1 i

(25)

for i =1, 2, , NH
Simplifying the Equation (25)
2

NT
NH

P B Di
2 Dk i
i k 1

i 1
i 1
NH
NT
NH

i Ci 2Ci D i i NT
Ci T

A i PDk Bi D i
i

i
i 1
i 1 i
i 1
i 1
k 1

i Ci2

NT

(26)

C
A i i 24( i D i2 i D i i ) (Vi - Si ) 0

i 1 i
i 1
NH

for i =1, 2, , NH
The Equation (26) is solved by Newtons method.The solution of these equations gives the
values of 1, 2 , , n . The detailed procedure for solving the simultaneous equations
with two variables 1 and 2 by Newtons method is given below:
(27)
Let
f (1, 2) = 0, and g(1, 2) = 0
0
0
Take 1 and 2 be the initial approximate solution for the above equation. The actual

217

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, 04 - 03 (2014) 213 - 222

solution is given by (1 h) and ( 2 m) ,where h is an incremental value of 1 and m is


an incremental value of 2 .
(28)
Therefore,
f (10 h, 02 m) 0
g(10 h, 02 m) 0
Expanding equations (28) and (29) by Taylor series,

f (10 , 02 ) h
[f (10 , 02 )] m
[f (10 , 02 )] 0
1
2

g (10 , 02 ) h
[g (10 , 02 )] m
[g (10 , 02 )] 0
1
2
Equations (30) and (31) can be written as
f 0 h(f 1 ) 0 m(f 2 ) 0 0

(29)
(30)
(31)
(32)

g 0 h(g 1 ) 0 m(g 2 ) 0 0

(33)

Equations (32) and (33) are solved for h and m using determinants,
D 1
D 2
i.e
h
and m
D
D
(f )
(f 2 ) 0
f
(f 2 ) 0
(f )
where D 1 0
; D 1 0
; D 2 1 0
(g 1 ) 0 (g 2 ) 0
g 0 (g 2 ) 0
(g 1 ) 0

(34)
f0
g0

By using the incremental values, the new values of 1 and 2 are obtained by
1new 1o h ; new
o2 m
2

1new

(35)

new
2

Now
and
are taken as initial values and above process is repeated till the
convergence criterion is satisfied.
The computational procedure for implementing the proposed method for the solution of
fixed head hydrothermal scheduling problemis given in the following steps:
Step 1: Calculate the initial generation of thermal, hydro plants and initial kfrom the
following equations
PDk
PTik
for i 1, 2, ... , NT, k 1, 2, ... , T
NT NH
PDk
PHik
for i 1, 2, ... , NH, k 1, 2, ... , T
NT NH
k 2a i PTik b i
for i 1, 2, ... , NT, k 1, 2, ... , T
Step 2: Determine the initial values of i0 using Equation (13)
k
i.e i0
for i 1, 2, ... , NH
2 i PHik i
Step 3: Substitute the values of i0 in Equation (26).
Step 4: Calculate the incremental values of iusingEquation (34).
Step 5: Calculate thenewivalues using Equation(35).
Step 6: Substitute the new ivalues in Equation(26) and then go to Step 4. This iterative
procedureis continued till the difference between two consecutive iterations
is less than specified tolerance.
Step 7: Calculate kvaluesfrom the Equation (22)bysubstitutingtheoptimal values of i.
Step 8: Determine the optimal generation schedule of thermal and hydro plants using
eqns. (20) & (21).

4. Numerical Examples and Results

218

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, 04 - 03 (2014) 213 - 222

A mathematical approach developed in this paper has been implemented on three fixed
head hydrothermal scheduling problems. The program is developed using MATLAB 7.
The system data and results obtained through the proposed approach are given below
Table 1 Optimal generation schedule for Example 1
Interval k Demand Water discharge Hydro generation
PDk
q1k
PH1k
1
455
101.9329
234.2742
2
425
101.0896
231.8794
3
415
100.8105
231.0812
4
407
100.5879
230.4426
5
400
100.3937
229.8838
6
420
100.9500
231.4803
7
487
102.8422
236.8285
8
604
106.2529
246.1679
9
665
108.0848
251.0372
10
675
108.3886
251.8354
11
695
108.9992
253.4319
12
705
109.3059
254.2301
13
580
105.5423
244.2522
14
605
106.2827
246.2477
15
616
106.6104
247.1258
16
653
107.7215
250.0793
17
721
109.7988
255.5073
18
740
110.3874
257.0240
19
700
109.1524
253.8310
20
678
108.4799
252.0749
21
630
107.0292
248.2433
22
585
105.6899
244.6513
23
540
104.3705
241.0592
24
503
103.3007
238.1057

Thermal generation
PT1k
220.7258
193.1206
183.9188
176.5574
170.1162
188.5197
250.1715
357.8321
413.9628
423.1646
441.5681
450.7699
335.7478
358.7523
368.8742
402.9207
465.4927
482.9760
446.1690
425.9251
381.7567
340.3487
298.9408
264.8943

Problem- 1
24

Minimize

2
F1 (PT1 ) 0.001991 PT1k
9.606 PT1k 373.7 dollars
k 1

Subject to satisfying power demand in each interval and total water discharge during the
entire scheduling horizon should be equal to the given water availability.
Total volume of water available for discharge (24 hours) V = 2559.6 M cubic ft
2
- 0.009079 PH1k 61.53 M cubic ft. per
Water discharge q1k (PH1k ) 0.0007749 PH1k
hour ;Total spillage S= 25.596 M cubic ft/24 hours
The optimal generation schedule obtained through the proposed method is given in
Table 1. The solution converged in fifth iteration. The optimal value of = 29.61852312
and total amount of water utilized for hydro power generation exactly satisfied water
availability constraint. The total fuel cost of thermal power generation is $ 92097.74.

Problem- 2
24

Minimize

2
F1 (PT1 ) 0.01 PT1k
3.0 PT1k 15 dollars
k 1

Subject to satisfying power demand in each interval and total water discharge during the

219

S. Kavitha&Nirmala P. Ratchagar/

, 04 - 03 (2014) 213 - 222

entire scheduling horizon should be equal to the given water availability constraints.
Total volume of water available for Hydro plant 1 (24 hours) V1 = 25 M cubic ft
Total volume of water available for Hydro plant 1 (24 hours) V2 = 35 M cubic ft

Table 2 Optimal generation schedule for Example 2


Interval Demand Water discharge Hydro generation
k
PDk
q1k
q2k
PH1k
PH2k
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24

30
33
35
38
40
45
50
59
61
58
56
57
60
61
65
68
71
62
55
50
43
33
31
30

0.7714
0.8105
0.8367
0.8760
0.9023
0.9684
1.0349
1.1556
1.1826
1.1421
1.1152
1.1286
1.1691
1.1826
1.2368
1.2776
1.3186
1.1961
1.1018
1.0349
0.9419
0.8105
0.7845
0.7714

0.9543
1.0279
1.0772
1.1513
1.2009
1.3253
1.4505
1.6780
1.7288
1.6526
1.6019
1.6272
1.7034
1.7288
1.8310
1.9079
1.9851
1.7543
1.5766
1.4505
1.2754
1.0279
0.9788
0.9543

18.4792
19.7041
20.5207
21.7456
22.5622
24.6038
26.6453
30.3201
31.1367
29.9118
29.0951
29.5034
30.7284
31.1367
32.7699
33.9948
35.2197
31.5450
28.6868
26.6453
23.7872
19.7041
18.8875
18.4792

Thermal generation
PT1k

9.1003
10.2892
11.0817
12.2706
13.0631
15.0446
17.0260
20.5925
21.3851
20.1962
19.4037
19.7999
20.9888
21.3851
22.9702
24.1591
25.3479
21.7814
19.0074
17.0260
14.2520
10.2892
9.4966
9.1003

2.4205
3.0067
3.3976
3.9838
4.3746
5.3517
6.3287
8.0874
8.4782
7.8920
7.5012
7.6966
8.2828
8.4782
9.2599
9.8461
10.4324
8.6737
7.3058
6.3287
4.9609
3.0067
2.6159
2.4205

Water discharge equations


2
q1k (PH1k ) 0.00005 PH1k
0.03 PH1k 0.2 M cubic ft. per hour
2
q 2k (PH2k ) 0.0001 PH2k
0.06 PH2k 0.4 M cubic ft. per hour
Total spillage
S1= 0.25 M cubic ft/24 hours, S2= 0.35 M cubic ft/24 hours

The optimal generation schedule of hydro and thermal plants obtained through the
proposed method is given in Table 2. The solution converged at fifth iteration. The
optimal values of 1 = 95.717727 and 2 = 49.311017. The total fuel cost of thermal
power generation is $ 821.32.
Problem- 3
Minimize F1(PT1)+ F2(PT2) where
F1 (PT1 )

24

2
3.2 PT1k 25 dollars
0.0025 PT1k

k 1

24

2
F2 (PT2 ) 0.0008 PT2k
3.4 PT2k 30 dollars
k 1

220

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, 04 - 03 (2014) 213 - 222

Subject to satisfying power demand in each interval and total water discharge during the
entire scheduling horizon should be equal to the given water availability constraints.
Total volume of water available for Hydro plant 1 (24 hours) V1 = 2500 M cubic ft
Total volume of water available for Hydro plant 1 (24 hours) V2 = 2100 M cubic ft

Table 3 Optimal generation schedule for Example 3


Interval Demand
Water discharge
Hydro
k
PDk
generation
q1k
q2k
PH1k
PH2k
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24

400
300
250
250
250
300
450
900
1230
1250
1350
1400
1200
1250
1250
1270
1350
1470
1330
1250
1170
1050
900
600

64.8580
57.6834
54.1537
54.1537
54.1537
57.6834
68.5029
103.0338
130.3323
132.0405
140.6736
145.0477
127.7816
132.0405
132.0405
133.7549
140.6736
151.2359
138.9347
132.0405
125.2446
115.2350
103.0338
79.6677

21.3191
9.5683
3.7873
3.7873
3.7873
9.5683
27.2888
83.8446
128.5549
131.3527
145.4921
152.6562
124.3772
131.3527
131.3527
134.1604
145.4921
162.7914
142.6441
131.3527
120.2221
103.8280
83.8446
45.5750

182.0811
163.2297
153.8040
153.8040
153.8040
163.2297
191.5068
276.3381
338.5477
342.3180
361.1694
370.5951
332.8923
342.3180
342.3180
346.0883
361.1694
383.7911
357.3991
342.3180
327.2369
304.6152
276.3381
219.7839

32.6776
13.9900
4.6462
4.6462
4.6462
13.9900
42.0214
126.1156
187.7847
191.5222
210.2098
219.5536
182.1784
191.5222
191.5222
195.2597
210.2098
232.6349
206.4723
191.5222
176.5721
154.1470
126.1156
70.0528

Thermal generation

PT1k

PT2k

75.2100
60.0679
52.4969
52.4969
52.4969
60.0679
82.7810
150.9203
200.8891
203.9175
219.0596
226.6306
196.3465
203.9175
203.9175
206.9459
219.0596
237.2301
216.0312
203.9175
191.8039
173.6334
150.9203
105.4941

110.0313
62.7123
39.0529
39.0529
39.0529
62.7123
133.6907
346.6260
502.7785
512.2423
559.5612
583.2207
488.5828
512.2423
512.2423
521.7061
559.5612
616.3439
550.0974
512.2423
474.3871
417.6044
346.6260
204.6692

Water discharge equations


2
q1k (PH1k ) 0.000216 PH1k
0.306 PH1k 1.98 M cubic ft. per hour
2
q 2k (PH2k ) 0.00036 PH2k
0.612 PH2k 0.936 M cubic ft. per hour
Total spillage
S1= 25 M cubic ft/24 hours, S2= 21 M cubic ft/24 hours
The optimal generation schedule of example 3 is given in Table 3. The solution
converged at fifth iteration. The optimal values of 1 = 9.2967 and 2 = 5.6269. The total
fuel cost of thermal power generation is $ 47985.76.

5. Conclusion
A novel mathematical approach for the solution of fixed head hydrothermal scheduling
problem is presented in this paper. The proposed method is implemented with test systems.
The practical constraints of fixed head hydrothermal scheduling such as water availability
constraints, waterspillage,power balance constraint in each interval and generation limits

221

S. Kavitha&Nirmala P. Ratchagar/

, 04 - 03 (2014) 213 - 222

of hydro and thermal units are taken into account in the problem formulation. Numerical
results show that the proposed method has the ability to determine the global optimal
solution and the method requires lesser number of iterations for the convergence.

References
[1]

BasuM., A simulated annealing-based goal-attainment method for economic emission load dispatch of
fixed head hydrothermal power systems, Electrical power & energy systems, 27(2005) 147-153.
[2] BasuM., Artificial immune system for fixed head hydrothermal power system, Energy, 36(2011) 606-612.
[3] BasuM., Hopfield neural networks for optimal scheduling of fixed head hydrothermal power systems,
Electric power system research, 64 (2003) 11-15.
[4] GuanX.,LuhP.B.,ZhangL., Nonlinear approximation in Lagrange relaxation based algorithm for
hydrothermal scheduling, IEEE transactions on power systems, 10(1995) 772-778.
[5] HalimA., RashidA.,NorK.M., An efficient method for optimal scheduling of fixed head and thermal plants,
IEEE transactions on power systems, 6 (1991) 632-636.
[6] Masoumzadeh A., Moradmand Rad N., Optimal resource allocation in DEA with integer variables,
International Journal of Mathematical modelling& computations, 1 (2011) 251-256.
[7] Mamizadeh-Chatghayeh S., Cost and allocative efficiency in buyer-supplier, International Journal of
Mathematical modelling& computations, 2 (2012) 151-158.
[8] NarangN., DhillonJ.S., KothariD.P., Multiobjective fixed head hydrothermal scheduling using integrated
predator-prey optimization and powell search method, Energy, 47(2012) 237-252.
[9] SasikalaJ.,RamaswamyM., Optimal gamma based fixed head hydrothermal scheduling using genetic
algorithm, Expert system with applications, 37(2010) 3352-3357.
[10] WoodA.J.,WollenbergB.F., Power generation operation and control, John wiley& Sons, 1996.
[11] YanH.,LuhP.B., GuanX., RoganP.M., Scheduling of hydrothermal power systems, IEEE transactions on
power systems, 8 (1993) 1358-1365.
[12] ZaghloolM.F., TruttF.C., Efficient methods for optimal scheduling of fixed head hydrothermal power
systems, IEEE transactions on power systems,3 (1988) 24-30.

222

Inteernational Jouurnal of
Mathematical Modelling &
M
C
Computations
Voll. 04, No. 03, 2014, 223 - 241
2

Coupling Model
M
for Multi-com
M
ponent Gaas Permeatiion Processs
a

A. Hussaiin, A. Qayyum
m
a

Schhool of Chemiccal & Materialls Engineering,, National Univversity of Sciennces


&T
TechnologyH-112, Islamabad, 44000, Pakistaan.

Absttract. A gas perm


meation model (Co
oupling Model) haas been developedd which has the fllexibility to be useed for
different membrane module
m
configuratio
ons. The aim of thhis work is to pred
dict the performannce of a single stagge gas
separration process usinng membranes andd provide a comprrehensive descriptiion of process parrameters like flow rates,
compposition, stage cutt and stream pressuure. The significannt feature of this work
w
is the developpment of computaational
techn
nique which com
mbines the counteer-current flow m
mode with co-currrent flow mode.. In contrary to other
counnter-current models (reported in literrature), the modell reported in this work
w
(Coupling M
Model) does not reequire
initiaal conditions to staart and also it is inndependent of anyy adjustment techn
nique like shootingg method. This mo
odel is
basedd on real membranne operation and works
w
by the couppling of co-currentt and counter-curreent methods. Afterr each
iterattion, output values of co-current mode
m
become the innput values for coounter-current moode. This model has the
capabbility to take upto
o nine componentss, whereas model reported in literatture can handle 4--5 components in a gas
mixtuure to be separated
d. The results obtaained are validatedd with the publisheed data and will be discussed to elabborate
the operation
o
of a gas separation
s
membraane.
Received: 26 July 20
013; Revised: 17 Jaanurary 2014; Acccepted: 23 April 20014.
P
Matheematical Modelingg and Simulationn, Gas Separation,, Membrane
Keywords: Permeation,
Process
Indexx to information contained
c
in this paper
1.
2.
3.
4.
5.

Introducction
Gas Perrmeation Model
Couplin
ng Model
Results and Discussions
Conclussions

1. In
ntroduction

Thee separation of
o gases by perm-selective
p
e membranes is an emerginng process inn the
indu
ustrial gas seeparation. Meembrane basedd separationss are importannt in natural gas

Corresponding
C
auth
hor. Email: arshadd.hussain@scme.nuust.edu.pk

20014 IAUCTB
http:///www.ijm2c.ir

A. Hussain, A. Qayyuma/

, 04-03 (2014) 223-241

processing, CO2 capture from flue gases, nitrogen production from air, separation of
hydrogen streams in refinery and petrochemical process as well as in ammonia and
methanol process streams [1-3]. The feasibility of membrane based separation processes
depends on the permselectivity (materials characteristics) along with engineering tools to
select appropriate membrane configurations. Generally, gas separation permeators operate
in one of the following configurations [7]: countercurrent flow of feed and permeate (shell
or tube side feed); co-current flow of feed and permeate (shell or tube side feed); and radial
cross flow (shell side feed). Mathematical model (for any type of permeator) is constituted
by the equations which govern the transport across the membrane; mass balance equations;
pressure drop relations/assumptions for both permeate/feed sides; and boundary conditions
that reflect the configuration and operation of the permeator.
A clear understanding of these models and the parameters affecting the membrane process
is vital. As this becomes the basis for the designing and optimization of membrane process
[9]. The modeling of membrane separation process was initiated by Wander and Stern [9]
by studying the effects of different process variables like pressure ratio and stage cut on the
cross flow and perfect mixing for binary components. Pan and Habgood [10] extended the
work to tertiary components for cross flow mode and provided a parametric analysis of
cascade permeation. A lot of information about the theoretical and dimensionless of
membrane separation for flow modes like cross-flow, co-current, counter-current and
perfect mixing has been found in literature [4-6]. Cooker [11] divided the separation
modules in small stages and introduced a tridiagonal approach to analyze the membrane
separation phenomena.
This work presents a new modeling approach for membrane separation by introducing the
concept of Coupling Model. This modeling approach combines two flow modes
(counter-current and co-current) and both flow modes run simultaneously. The Coupling
Model does not require any start up condition and also does not require any adjustment
technique like shooting method for the system convergence. The results from Coupling
Model show good agreement with the results reported in literature in less computing time.
This model is capable of treating upto nine components, in contrary to other models
reported in literature, which can take upto four components in membrane based gas
separation process.
2.Gas Permeation Model

Gas permeation model is constituted of various parameters which affect the membrane
separation phenomena. A pressure difference/ratio across the membrane, feed

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A. Hussain, A. Qayyuma/

, 04-03 (2014) 223-241

compositions and feed flow rate are considered as operating parameters while membrane
type, area and the feed volume are considered as design parameters. The membrane type
and composition describe the permeabilities of the components. The combination of both
operating and design parameters along with the material balance and mass conservation
equations make the basis to compute the desired output values of compositions and flow
rates on the retentate and permeated sides [8].
2.1Model equations

A membrane separation process initiates by introducing the mixture of components at the


feed side of the membrane. Based upon the permeability values of components, the
membrane lets the more selective component pass through it while retaining the others
ones on the retentate side. A driving force (generally pressure difference across the
membrane) is needed to precede the separation process using the available membrane area.
The Ficks law of diffusion is the principle equation used in the membrane
permeation/separation process. The general form of Ficks law has been converted into the
form describing the parameters affecting on the separation process. Along with the Ficks
law and its modified form, the set of generalized equations (conservation equation, flow
equations, stage cut) are integrated in the permeation model [9]. A brief detail of these
equations are given as,
Ficks law of diffusion:

(1)

Modified Ficks law of diffusion:


1

Mol Conservation equation:


Flow equation:

Component balance equation:

(2)
1

(3)

(4)

(5)

Stage cut:

(6)

Equation (1) is the general form of Ficks law. Equation (2) is the modified Ficks equation
describing the parameters affecting the membrane separation phenomena. Equation (3) is
the mol
Conservation equation which utilizes at the feed, retentate and permeate side of membrane.
Equation (4) and equation (5) are the flow balance and material balance equation used to
check the system stability. Stage cut, describing in equation (6) is an important parameter

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A. Hussain, A. Qayyuma/

, 04-03 (2014) 223-241

in the membrane separation. It is the amount of flow passed through the membrane out of
the total feed flow. Besides of these equations, the variations in the retentate flow and the
retentate compositions can be described by equation (7) and equation (8) respectively.
Huges&Acharya [13] describe a method to derive equations (7-12), while a numerical
technique such as Euler or RK method has been used to solve above differential equations.
Table X shows equations for different flow modes based on the quantities mentioned
above.
Variation in retentate flow:

(7)

Variation in retentate composition:


(8)

The permeation equation used in different flow modes are described as,
Cross flow:

(9)

Co-current flow:

,
,

(10)

Counter-current flow:

(11)

2.2 Dimensionless Analysis


Dimensionless analysis is used to develop a similarity among different flow modes.
Different dimensionless quantities are described in this regard.
Pressure ratio:

ratio of permeate pressure to feed pressure,

Selectivity:

ratio of permeability of two components,

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, 04-03 (2014) 223-241

Flow ratio:

ratio of retentate flow to feed flow,

Stage cut:

ratio of permeate pressure to feed pressure

Flow rate

Composition

Cross Flow

mode

Co-Current

mode

CounterCurrent

mode

,
,

Initial

Conditions

Dimensionless area:
A

Model equation for counter-current mode (equation (12)) suggests that this flow mode has
to be started in the backward direction. i.e. from the exit of the membrane to the feed inlet
(in equation (12)),

and

represents the exit flow rate and exit composition

respectively. Most of the literature follows this method regardless the nature of the
equations used in the work [9-12]. In a real time experiment, the counter flow separation
started in the same manner as the other modes of flow i.e. from feed to the exit point of the

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, 04-03 (2014) 223-241

membrane. The technique reported in literature encounters two major problems;


(a) outputs of other mode to serve as initial conditions for counter current flow
(b) adjustment of counter mode outputs with the initial feed
The starting point for counter-current flow model is the membrane outlet. So, a value of
composition and flow is required at that point to run the counter-current flow towards the
feed side of membrane. Such a value is either taken from a trial method or from other
modes of separation like cross flow or co-current. Thus, to simulate counter-current mode,
other flow modes will have to be started first and then their output becomes the input for
this case. The counter-current flow mode runs toward the inlet of membrane by picking the
initial conditions from outlet. The accuracy of counter-current flow mode is validated if
,

and

but sometime this condition is not met because computed

result differ with actual one. For the convergence of output result with initial condition, a
numerical technique like shooting method is required in most of the published method. An
adjustment technique may helpful when the number of components are limited (two or
three) but it may become complicated as soon as the number of components increases.
Since, for n number of components, we require n+1differential equations (retentate flow
rate is the additional differential equation) and the adjustment of each component plus the
flow rate value is necessary.
3. Coupling Model
The coupling model is a new technique in membrane based gas separation modeling. In
this model, counter-current flow mode is coupled with cross flow or co-current mode.
Since, co-current and counter-current are similar except the direction of permeation with
respect to feed so, co-current mode is coupled with counter-current mode. The two flow
modes run simultaneously without modification of respective permeation equations. The
coupling model is described in the following steps,
1) Introducing the initial compositions

and initial feed flow

at the feed side for

co-current.
2) Set input parameters like retentate pressure

and permeate pressure

across the

membrane.
3) Set initial conditions

and

at area Ad1 = 0.

4) Compute the permeate fraction

for co-current case using equation (11).

5) Iterate the area

where dAd is the small area increment.

6) Compute change in flow rate and composition of retentate with differential area using

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A. Hussain, A. Qayyuma/

, 04-03 (2014) 223-241

equation (7 & 8) respectively. The retentate flow rate and composition after each area
increment are calculated as

and

where

and

are change in retentate flow and composition respectively.


7) Start counter-current method with initial conditions
and

8) Compute the permeate fraction for counter-current case when area is

.
9) Iterate the area in the reverse direction,

10) Compute the change in the retentate composition and flow rate for counter current
case. i.e.

11) Compute the permeate fraction for counter current case by using equation (12) and
repeat step 5-12 till a desired value at retentate or permeate is achieved.
In this methodology, the co-current and the counter current modes run simultaneously so
no initial condition is required. The output for the co-current case automatically becomes
the input for the counter-current mode after each iteration and the two modes. Moreover,
since the initial conditions have been automatically assigned to the counter-current case
after each iteration. The process runs in backward direction, so the naturally converging
values, with initial conditions of membrane separations are obtained. It is worth
mentioning here that in coupling model, feed points for the co-current and counter-current
flow mode are not at the same positions. The feed position for the co-current lies at the
inlet of the membrane while the feed positions for counter-current lies after one area
increment. The feed points for co-current and counter-current mode can be made closer to
one position by taking small increment of area.
4. Results and Discussions

The results obtained from Coupling Model are validated against the results of some
important membrane based industrial gas separations which have been reported in the
literature.

4.1. Natural gas processing


A membrane process is applied to separate impurities from natural gas. Gas mixture
consists of Hydrogen (H2 ), Nitrogen (N2), Oxygen (O2) and Methane (CH4). The
membrane used in this process has the least affinity towards methane and therefore it is
separated from the mixture [1]. Input parameters for multi-component gas mixture are

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A. Hussain, A. Qayyuma/

, 04-03 (2014) 223-241

presented in Table 4.1.


Table 4.1: Input parameters (process and membrane) for multi-component gas mixture

Parameter

Component.

Value

Fraction %

Permeate Pressure
[cm Hg ]
Feed Pressure [cm Hg ]
Feed Flow Rate
Thickness

[cm /sec]
[ cm ]

Mole

Permeability
X107(

.
.

50

Hydrogen

0.10

0.2

380

Nitrogen

0.23

0.11

Oxygen

0.40

0.044

Methane

0.27

0.013

10

6
-4

2.5410

The graph has been plotted for composition vs stage cut, keeping a constant
pressure difference (pressure ratio ) across the membrane (

0.13).

Figure 4.1:Variation in H2 composition against stage cut keeping pressure ratio constant (Pr = 0.13).

230

A. Hussain, A. Qayyuma/

, 04-03 (2014) 223-241

Figure 4.2:Variation in N2 composition against stage cut keeping pressure ratio constant (Pr =0.13)

As evident from Fig. 4.1, the trends for both retentate (solid line) and
permeated (broken line) streams are decreasing along stage cut. The variation
in gas compositions both on the retentate and permeate side can be attributed to
stage cut and pressure ratio. The permeability of hydrogen is greater compared
to other components, therefore, it passes through the membrane preferentially.
However, hydrogen concentration decreases on the retenate side which results
in a decrease in hydrogen concentration on the permeate side as well. A similar
situation is observed in case of N2 since it is the 2nd most permeable component
in the gas mixture. Oxygenand methane are the least permeable components in
this case. Their graphs are shown in figures 4.3 and 4.4. They
exhibitdifferenttrends compared to Hydrogen and Nitrogen (Fig.4.1 and Fig.
4.2). Here, concentrations of components in permeate stream increase with as
their concentration in retentate stream increases. Since, these are least
permeable components so the membrane does not allow these to pass through
it. In the continuous permeation (of hydrogen and nitrogen), retentate flow gets
enriched with least permeable components. The change in compositions with
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A. Hussain, A. Qayyuma/

, 04-03 (2014) 223-241

pressure ratios is also validated against the published data. The stage cut was
kept constant ( = 0.4) in this case. The process and membrane parameters
were kept constant as given in Table 4.1- 4 2.Pressure ratio is changed by
changing the feed pressure.

Figure 4.3:Variation in O2 composition against stage cut keeping pressure ratio constant (Pr =0.13)

Figure 4.4:Variation in CH4 composition against stage cut keeping pressure ratio constant (Pr = 0.13).

232

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The results validation after changing the pressure ratio is depicted in


figures 4.5-4.8. In the figures, lines (both solid and broken) show the results of
published data while bullets show the results from coupling model. It can be
seen that the results of Coupling Model are in good agreement with the
published data [1].

Figure 4.5:Variation in H2 composition against pressure ratio keeping stage cut constant ( = 0.4)

Figure 4.6:Variation in N2 composition against pressure ratio keeping stage cut constant ( = 0.4).

233

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, 04-03 (2014) 223-241

Figure 4.7:Variation in O2 composition against pressure ratio keeping stage cut constant ( = 0.4).

Figure 4.8:Variation in N2 composition against pressure ratio keeping stage cut constant ( = 0.4).

The membrane area is an important parameter for gas separation and is

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A. Hussain, A. Qayyuma/

, 04-03 (2014) 223-241

designed in such a way that the maximum separation is done with the minimum
area usage. The graph below shows the variation in membrane area with
pressure ratio.

Figure 4.9:Area requirement against pressure ratio keeping stage cut constant ( =0.4).

It can be seen that with the increase in pressure ratio, the area required for the separation
increases. Since the pressure ratio is defined by permeate pressure / feed pressure.
Therefore, increase in pressure ratio is due to increase in the permeate pressure or decrease
the retentate pressure. In both cases driving force for permeation decreases and more
membrane area is required to attain the desired degree of gas separation.

4.2. Hydrogen separation in gas oil de-sulfurization of refinery streams


The results of the Coupling Model are validated with the results obtained by the model
by Kaldis and the experimental results of gas oil de-sulfurization of refinery stream which
generally contain H2, light hydrocarbons (CH4, C2H6) and H2S [5]. Taking into account
that membrane (polyimide) exhibits the same permeability values for CO2 and H2S, H2S
was replaced in by CO2 mainly for safety and handling reasons. The process and
membrane parameters are presented in Table 4.2.

235

A. Hussain, A. Qayyuma/

Parameters

Values

Permeate Pressure [bar]

Feed Pressure [bar]

20

Flow Rate [Nl / hr]

5-30

, 04-03 (2014) 223-241

Component

Mole Fraction

Permeance (


-8

Hydrogen [H2]

0.10

9.7304 10

Methane [CH4]

0.167

3.1178 10-8

Ethane[C2H6]

0.043

0.123802 10-8

Carbon Dioxie [CO2]

0.115

0.021414 10-8

Table 4.2: Input parameters (process and membrane) for hydrogen separation process

The data is plottted upto 0.6 stage cut while pressure ratio is kept constant. The effect of
pressure on residue streams is shown in figures 4.10 to 4.13. A good agreement between
calculations (This work and literature) and experimental results can be seen in all figures.
With the exception of a slight increase of hydrogen permeate concentration; the other
gases in both streams remain almost unaffected by feed pressure. This behavior can be
attributed to the fact that the permeabilities of constant gases, such as H2, do not depend on
pressure. The latter is not valid for non-ideal gases such as CO2 and CxHywhich show
pressure dependent permeabilities.

Figure 4.10:Variation in H2 composition against stage cut.

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Figure 4.11:Variation in Methanecomposition against stage cut.

Figure 4.12:Variation in Ethanecomposition against stage cut.

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, 04-03 (2014) 223-241

Figure 4.13:Variation in Ethanecomposition against stage cut.

4.3. Hydrogen treatment


Hydrogen treatment is a common unit operation in refineries. In this process, hydrogen is
used to reduce the sulfur, nitrogen, metals and carbon residue content of the feed stock.
The process requires substantial amounts of hydrogen gas which is available but needs to
be purified by using membrane process. The results of Coupling Model have been
compared with tri-diagonal model. The process and membrane parameters used in this
process are given in Table 4.3.

Component

Feed mole
fraction

Permeance
[GPU]

Input parameter

Value

Thickness of Membrane [nm]

10

-4

H2

0.650

100

C2H4

0.025

3.03

Feed Pressure [bar]

a) 42.4b)76.9

CH4

0.210

2.86

Permeate Pressure [bar]

a)7.9b)42.4

C2H6

0.080

2.00

C3H8

0.035

1.89

Pressure Ratio(modified)=P / P

Table 4.2: Input parameters (process and membrane) for hydrogen separation process

238

a)5.3b)1.8

A. Hussain, A. Qayyuma/

, 04-03 (2014) 223-241

Figure 4.14:Hydrogen recovery versus purity for pressure ratio of 1.8.

Figure 4.15:Hydrogen recovery versus purity for pressure ratio of 5.3.

The results obtained from coupling model are plotted for two different values of pressure
ratio (5.3 and 1.8) and can be seen that these are in good agreement with the published data
[7].

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, 04-03 (2014) 223-241

5. Conclusions

In perspective of membrane based gases separation, Coupling Model has


been developed which combines the co-current and counter-current flow
modes. The simulation results show a good agreement between the results
already reported in literature and the results obtained from Coupling Model.
It is worth mentioning here that the cases published in literature either used the
initial conditions for the counter current cases or depend upon the adjustment
methods to converge the values. This method is helpful especially for
multi-stage configurations since it eliminates the initial condition (required at
every stage for the counter current case) problem. Another important feature of
this work is the development of algorithm for the pressure ratio as it is often
desired to investigate the composition gradients against pressure ratio while
keeping the stage cut constant. The algorithm developed in this program runs
only once and the value of composition gradient can be calculated for different
pressure values. The permeation model has the capability to handle up to nine
components at a time and their separations could be performed in considerably
less computing time. The process and membrane parameters (flow rates,
pressure differences and permeances) which effect the membrane separation
are discussed in detail.
Reference
[1]
[2]
[3]
[4]
[5]

[6]
[7]
[8]
[9]
[10]

Baker, R. W., Membrane Technology and Applications; John Wiley and Sons,
Ltd.: New York, 2004.
Bansal, R., Jain, V., Gupta, S.K., Analysis of Separation of Multicomponent
Mixtures across Membranes in a Single Permeation Unit, Sep. Science &
Technology 30(14), (1995) 2891-2916.
Chen, H., Jiang, G., Xu, R., An approximate solution for countercurrent gas
permeation separating multicomponent mixtures, J. Memb. Sci. 95 (1994) 11.
Coker, D.T., Freeman, B.D., Fleming, G.K., Modeling multicomponent gas
separation using hollow-fiber membrane contactors, AIChE J. 44 (1998) 1289.
Kaldis, S.P., Kapantaidakis, G.C., Sakellaropoulos, G.P., Simulation of
multicomponent gas separation in a hollow fiber membrane by orthogonal
collocation hydrogen recovery from refinery gases, Journal of Membrane
Science 173 (2000) 6171.
Kowali, A.S., Vemury, S., Krovvidi, K.R., Khan, A.A., Models and analyses of
membrane gas permeators Journal of Membrane Science, 73 (1992) 1-23.
Li, K., Acharya, D.R., Hughes, R., Removal of carbon dioxide from breathing gas
mixtures using a hollow fibrepermeator, Gas Separation and Purification Vol. 4
Issue 4 (1990) 197-202.
Pacalowska,B., Whysall,M., Narasimhan, M.V., Improve hydrogen recovery
from refinery off-gases, Hydrocarbon Processing, Nov. 1996.
Pan, C. Y., Habgood, H. W., An Analysis of the Single Stage Gaseous
Permeation Process, lnd. Eng. Chem., Fundam.,13(4), 323-331 (1974).
Shindo, Y., Hakuta, T., Yoshitome, H., Inoue, H., Calculation methods for
multi-component gas separation by permeation, Sep. Science and Techn. 20
(1986) 445-449.

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Smith, S.W., Hal, C.K., Freeman, B.D., Rautenbach, R., Corrections for analytical
gas-permeation models for separation of binary gas mixtures using membrane
modules, J. Membr. Sci. 118 (1996) 289294.
Thundyil, M.J., Koros, W. J., Mathematical modeling of gas separation
permeators - for radial crossflow, countercurrent, and cocurrent hollow fiber
membrane modules, Journal of Membrane Science 125 (1997) 275-291.
Walawender, W. P., Stern, S. A. "Analysis of Membrane Separation Parameters.
II. Counter-Current and Cocurrent Flow in a Single Permeation Stage,"Separation
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241

Inteernational Jouurnal of
Mathematical Modelling &
M
C
Computations
Voll. 04, No. 03, 2014, 243 - 265
2

Effect of Electric
E
Field on PD Activityan
nd Damage into Solid
Dielectricc Materials
Alireza Ganjovi1
Phhotonics researrch institute, Innstitute of Scieence and High Technology annd Environmenntal
Sciences, Graduate University
U
of Advanced Technnology, Kermaan, Iran.
due to partial disccharges activity innto the
Absttract. In this papeer, the effect of appplied electric fielld on the damaged
surro
oundings dielectriccs of a narrow ch
hannel encapsulated within the vollume of a dielectrric materialis evalluated
using
g a kinetic model based on Particle in Cell - Monte Carlo
C
Collision (P
PIC-MCC) model. After application of an
electtric field across a dielectric materiaal which contains a narrow channeel,repeated ionizatiion processstarts in the
gaseoous medium of narrrow channel. Chaarged particles, esppecially electrons, gain energy from the electric field across
a
narroow channel and cause
c
damage intoo dielectric surfacces of narrow chaannel on impact.T
The dependence of
o the
electtron energy distribution function (EE
EDF) on the applieed electric field is studied. It isseen that, during PD acctivity
withiin narrow channel,the damage to thee surrounding dieleectrics and conseqquently the surfacee conductivity incrreases.
Thesse estimationsare performed
p
based on
o the number of C
C-H bond-scissionns produced by thee impacting electroons of
a sin
ngle PD pulse. Bassed on this techniq
que, the consequennt damage into thee solid dielectric aand the time required to
increease surface conduuctivity is compuuted.The formationn of acid molecules due to interacction of PD pulsee with
polym
mer surface in prresence of air and
d humidity causess changes in the surface conductivvity of the surrouunding
dieleectrics of the narrow channels.
Receivved: 17 August 2013; Revised: 5 Noovember 2013; Acccepted: 21 Janurarry 2014.
Keyywords: Partial discharges, Dielectrric degradation, PIC-MCC simulation.

Indexx to information contained


c
in this paper
1.
2.
3.
4.
5.

Introdu
uction
Computaational Method foor PD within Narrrow Channel
Computaation of Damage and Change in Su
urface Conductivvity
Simulation Results
Conclusiions

C
Corresponding
authhor. Email:ganjovii@icst.ac.ir; alirezaganjovi@yahoo.ccom

20014 IAUCTB
http:///www.ijm2c.ir

AlirezaGanjovi/

, 04 - 03 (2014) 243- 265

1. Introduction

Generally, high voltage apparatus under operating conditions are subjected todamaging
effects of activity of partial discharges into surrounding dielectrics of the existing narrow
channel encapsulated within the volume of a dielectric material.A PD pulse generates
energetic charged particles and photonsand they transfer sufficient energy to the polymer
surfaces to break covalent bonds and form radicals. Usually, the polymer radicals react
rapidly with oxygen [20].
The droplets of glycolic and formic acid as degradation products are identified by
Hudon et al. They form initially on the surfaces of surrounding dielectrics of
narrow-channel [20]. These acid molecules are much more conductive than the epoxy resin
matrix, which is responsible for a rapid increase in surface conductivity [21, 22].
Moreover, while spark-type PD pulses occur when the surface conductivity is very low,
glow discharges are observed after the surface becomes more conductive [25]. An increase
in surface conductivity not long after the PD process was initiated in polyethylene [35].
The changes in discharge behavior associated with changes in the electrical
characteristics of solid dielectric materials during the course of the discharge are
investigated by Ishida et al. [25]. Some other authors also detected the formation of acid
molecules due to interaction of discharge with polymer surfaces [10, 18, 32, 33].
Rogers showed that self-extinction of pulsating PD in a dielectric cavity can be
attributed to a discharge-induced increase in the conductivity of the cavity walls [40]. The
conclusions by Tanaka etal.show that the nature of discharges is influenced by physical
properties of the inner-surface of a cavity [44].They resulted that the discharge itselfcauses
any change in electrical conductivity of the surface. Auckland et al. [2] observed that the
charge on channel walls influenced the characteristics of breakdown in an artificial
channel.
The proposed aging and life model based on electro-thermal degradation processes and
space charge effects by Serra et al. [42] was useful to study the damage originating from
microscopic defects such as micro-voids. They considered the degradation within a
polyethylene-based material as a bond-breaking process due to impact of hot electrons,
with the damage accumulating with time at void-polymer interfaces.
The dependence of insulation time to failure on applied field, temperature and cavity size
were studied quantitatively [18, 30-31]. A two dimensional fluid model proposed by
Novak et al. [37]. They studied the effect of charge produced by ionization on the
surrounding solid insulation. They estimated the average kinetic energy of the electrons

244

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, 04 - 03 (2014) 243- 265

and ions to be approximately 10eV and 0.6eV, respectively.


Although the aging and life model developed by Serra et al. [42] gives an estimate of
damage on cavity walls due to hot electrons, one of its major drawbacks lies in that the
electric field within the void is assumed constant. Consequently the spatial distribution of
charged particles (electrons) within the void is neglected.
The

electron

energy

distribution

functions

(EEDF)

are

assumed

to

be

space-independent. Moreover, the model is one-dimensional, so that the interaction of


charged particles with the side-walls of the cavity is not considered. Novak et al. [37] used
a fluid model, where transport and swarm parameters such as ionization and attachment
coefficient, velocities, EDF of electrons and ions, etc must be known in advance. It
therefore becomes obvious that a relatively assumption-free model capable of estimating
effect of PD pulse on channel walls in very narrow channels in terms of damage and
increase in surface conductivity through particle bombardment of surrounding dielectrics,
is required [19, 27, 39, 46-48].
In this paper, a two dimensional kinetic model based on PIC-MCC technique is extended
to study the effect applied electric field on the PD pulse activityand the consequent damage
into solid dielectric material and time required to increase surface conductivity of
dielectric surrounding the dielectric narrow channel. The electron energy distribution
function (EEDF) provides a more detailed description of the partial discharges on the
dielectric anode and side walls. So, the dependence of the EEDFon the applied electric
field is examined.

Figure 1: Schematic representation of the computation sequence for Particle in Cell-Monte Carlo (PIC-MCC) method.

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2. Computational Method for PD within Narrow Channel


In the PIC scheme, particles are defined in a continuum position and velocity space.
Field values are defined at discrete locations in space. Particle and field values are
advanced sequentially in time, starting from initial conditions. The particle equations of
motion are solved at every time step, using field values interpolated from the discrete grid
to particle locations. The force on every particle is computed by interpolation of the field
values from the grid position to the given particle positions. The position and velocities of
each particle is next updated based on the solution of the classical equation of motion [33].
Next, particle boundary conditions are applied. For modeling collisions, the Monte Carlo
collision (MCC) scheme is applied [47]. Source terms for the field equations are
accumulated from the particle locations to the grid locations. The field values are then
advanced by one time-step, and the time loop starts again (figure 1).
In the PIC-MCC scheme, each super-particle, representative of one or a much larger
number of real particles, is designated in continuum space by its position and velocity.
Initially, a Maxwellian distribution is assumed for electrons and ions. Further, the
particles are uniformly distributed in the gap space. Particle boundary conditions such as
absorption and emission are used to account for the relation between the discharge current
in the gap and the current in the external circuit. When an electron or ion passes from the
discharge into an end wall, it adds to the wall charge and is deleted from the list of active
particles [27]. Additionally, secondary emissions occur when a charged particle impacts a
surface (metallic or dielectric) causing ejection of electrons from the surface.
In the current work, the gas within the cavity is assumed to be air at atmospheric
pressure. Therefore, photo-emission at the cathode is likely to be the dominant secondary
emission process, rather than electron emission from cathode or anode due to ion or
electron bombardment. However, all of the above processes have been accounted for in the
model. After emission of a new electron, its energy is also assigned from an assumed
Maxwell-Boltzmann distribution. The interaction of charged particles with neutral atoms
and molecules, and other collisional processes are included by using a Monte Carlo
Collision technique [8]. Three main charged particle species, viz. electrons, positive ions
and negative ions have been considered. The major electron-neutral molecule impact
reactions included are (i) elastic, (ii) excitation, (iii) ionization (including all important
ionization reactions) and (iv) electron attachment. Related cross sectional values are
extracted from experimental data available in the literature [39]. Integral cross section
values for electron interaction in dry air have been determined from its molecular

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, 04 - 03 (2014) 243- 265

constituents by assuming a target composition of 78.09%N2and 21.19%O2 [41]. Only


elastic and charge transfer collisions between ions and neutrals are considered. Because
ion-molecule cross sections are not readily available, a constant cross section (10-20m2) has
been assumed based on a hard-sphere collision model [51].

(a)

(b)

Figure 2: (a) The geometry of two dimensional dielectric-dielectric narrow channel; the external circuit consists of a
voltage source and a blocking capacitor which stops the flow of average current, (b) the corresponding equivalent
circuit.

A significant contribution of this work is that the discharge within the cavity is
simulated in conjunction with an external circuit comprising of a voltage source, and a
blocking capacitor that stops the flow of any average current. The coupling between the
charge flow within the micro-cavity and the external current is obtained via the
parallel-plane electrodes, which may be metallic or dielectric, depending on the location of
the discharge site.

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The potentials and fields are obtained using Poisson's equation:


0 ( x, t ) ( x, t ) (1)

The potential () can be separated as follows [8, 28, 29]:

(2)

Boundaries

where P and L represent the Poisson and Laplacian parts of electrical potential ().
Therefore, the field may be described by the combination of the following equations:
0 P (3)
0 Li 0 (4)

The boundary condition for equation (3) is =0 on all boundaries as the Poisson field is
solely due to charge in the medium. For each boundary with a Dirichlet condition, equation
(4) is solved for i=0 on the equipotential surface, and =0 elsewhere which gives us
Li(the potential due to the ithLaplacian field). L is obtained by the superposition of all
the Laplacian fields. Neumann boundary conditions are included through P=0. This
method neglects charges induced by a driven electrode on other boundaries which are
connected to an external circuit. It is also possible to solve the field Poisson equation with
boundaries and circuits [8, 33, 49].
In this work, identical cavities, as might occur at discharge sites, with two different
electrode configurations have thus been considered. These are the two generic cases
described below. The model is two-dimensional with Neumann boundary conditions on
the side-walls. Dirichlet boundary conditions (potential drop specified) are assumed on the
electrodes.
A narrow channel bounded by dielectrics on both sides is depicted in Figure 2(a). The
equivalent circuit of this configuration is shown in Figure 2(b), where Cg, Cd1, Cd2 and Cr
represent the equivalent capacitances of the gap, the dielectric layers and dielectric
material parallel to the micro-channel, respectively. The discharge current may be
represented by Iconv. Using KCL, it is possible to obtain the following relations [34, 44, 48]:
Cd
A

dU d
I ext I r (5)
dt

d s
I ext I r AJ conv (6)
dt

V c V (t ) 2U d 0 (7)

U r 2U d 0 (8)

whereIext and T are the total external current and charge on the dielectric surface. Ir is the
leakage current flowing in the bulk of dielectric material parallel to the narrow channel. By

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combining the above equations, equation (27) in ref. [48] may be rewritten as follows:
0t ( st 1
T

1
x
t
(CV (t ) Qct 1 Qrt 1 2 (C C r )U dt 1 QConv
)
A
2

j N

j 0

0j

j N

j 0

t
1j

)(

N (C C r ) A )1

(9)
where =(1+2(C+Cr)/Cd)-1. T, A, C, V(t), Qc, Qr, Qconv, , ij and Nj are respectively the
total surface charge density on the electrodes at a given time t, cross sectional area of
electrode, capacitance of blocking capacitor, driving voltage, charge in the external circuit,
charge in the bulk of dielectric material parallel to the narrow channel, charge convection
due to discharge, space charge density, the electric potential at each grid point and the
number of grid divisions along the y-axis. The derivation of equation (5) is presented in
appendix 1.
3. Computation of Damage and Change in Surface Conductivity
In this section, we describe the methodology adopted for computation of damage.
Electrons produced within a narrow channel during a PD pulse, are accelerated by the
applied field and reach the dielectric electrode with high energies. Additionally, during
transit, they may also strike the dielectric side-walls of the narrow channel. The trajectory
of each electron participating in the discharge is followed until it strikes a dielectric surface
(wall or anode). The energy distribution functions (EEDF) of the electrons at the dielectric
anode, and at the dielectric side walls are computed. The dielectric is assumed to be epoxy
resin, which has a preponderance of C-H and C-C bonds. The impact of the electrons on
the dielectric may cause chemical degradation of the material. In this work, the damage is
assessed solely in terms of the amount of polymer that undergoes C-H bond scission
through electron impact. The dissociative electron attachment (DEA) or ionization of C-H
bonds requires approximately 8eV [42]. The damage due to each electron impact is
computed in the following manner. Table I shows the electrons divided into a number of
groups. Of the groups outlined in Table I, the first group (g1) contains electrons with
energy less than 8eV (< 8eV). These are cold electrons, and are considered to be irrelevant
from the point of damage accumulation, as they are unable to produce irreversible
degradation [42]. Electrons belonging to the remaining groups have energies beyond 8eV,
and are capable of causing bond-scission. In every scattering event, an electron loses
approximately 8eV, and shares the remaining energy equally with a secondary electron
produced by impact ionization. Each electron is allowed to go through several scattering
processes until its energy falls below 8eV. Thus, all high energy electrons ultimately cool
to energy values smaller than 8eV [18, 30-31, 40, 42].

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TABLE I: THE NUMBER OF C-H BONDS SCISSIONS DUE TO ONE ELECTRON (Nk) FOR DIFFERENT ELECTRON
ENERGY GROUPS .
Group

Electron energy domain

Nk

g1

<8eV

g2

8eV<24eV

g3

24eV<56eV

g4

56eV<120eV

g5

120eV<248eV

15

g6

248eV<504eV

31

Electrons belonging to group g2, possess energies between 8eV and 24eV. This energy is
sufficient to cause only one C-H bond-break, as the excess energy when shared between a
primary and a secondary, produces cold electrons. The subsequent groups are based on the
number of C-H bond-scissions that electrons belonging to the respective groups can cause
before they thermalize. The thermalization process is very fast, i.e. of PD pulse duration
(<50ps) [30, 42]. The number of C-H bond-scissions due to any electron in group gk, may
thus be expressed as (Nk=2k-1-1). The number of C-H bonds which can be broken by one
PD pulse (nCH) is calculated as the sum of bond-breaks by all electrons belonging to groups
g2 to g6 (normally electrons with higher energies than those pertaining to g6 are not
produced in a single PD event), as shown below:
6

nCH (2 k 1 1) N gk

(10)

k 2

whereNgk is the number of electrons in the respective group (g2 to g6).

Figure 3: Molecular formulae of DGEBA monomer.

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Epoxide group

Radical formation

O
Electron impact

CH

CH2

Hydroperoxide formation
Peroxide reaction
O
,
+ O2 H2O
C
R
CH2

CH2

.
H

Glycolic acid formation


OH
OH
.
R + C

CH2

etc

OH
Glycolic acid
OH
OH
C

Oxalic acid formation


OH OH

CH2

etc

Figure 4: Chemical reactions.

Diglycidyl ether of bisphenol-A (DGEBA) is a typical commercial epoxy resin and is


chosen, in this work, as the base material to illustrate the mechanism of damage
computation. Figure 3 shows the molecular structure of DGEBA. Thus, each DGEBA
monomer has 24 C-H bonds. The radius of a DGEBA monomer is approximately
R(13.28A0) [45], and its cross-sectional area is approximately ADGEBA=5.54610-18m2.
The cross sectional area of the dielectric anode is Aanode=LyLz and the area of each side
wall is Aside-walls=LxLz. The number of DGEBA monomers on the surface of the dielectric
anode and cathode is thus approximately (NDGEBA)anode= (NDGEBA)cathode = Aanode/ADGEBA,
and that on the surface of side wall is (NDGEBA)side-walls = Aside-walls/ADGEBA. The areas
degraded from the dielectric anode and side-walls due to one PD pulse are estimated as
follows:

Aanode
DGEBA anode

CH
Aanode
24 N

(11)

CH

Aside wall
Aside wall

N
24
DGEBA side wall

Chemical analysis of the deteriorated region in a micro-channel using microanalysis


[43] showed that as a result of the intense spark discharge activity, complex chemical
reactions take place between the plasma and the polymer surface. Energetic electrons (>
4.3eV) from the discharge transfer sufficient energy to the polymer surface to break

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covalent bonds (C-H bonds), thus giving rise to radical formation from epoxide groups in
DGEBA monomer. It is commonly assumed in the literature [10-14, 20-25, 50] that
surface oxidation during discharge treatment is via a free radical process which is
presented in figure 4.
The water may either be present as trapped moisture in the epoxy matrix, or it may
originate as one of the degradation by-products. The first few steps probably occur during
the large pulse discharge (spark-type) regime [20]. The formation of the oxalic acid
crystals, constitutes the final step of the reaction sequence, and is predominantly manifest
during the pseudo-glow and glow discharge regimes. The results of Hudon et al for
evaluation of surface conductivity with time suggest that droplets (formed in presence of
spark discharges) have a more pronounced effect on surface conductivity than the crystals
formed under glow discharge conditions [20-25]. Morshuis et al. showed that if one of the
constituents H, C or O was absent, no droplet appeared [35, 36].
The breaking of C-H bonds due to electrons in DGEBA monomer requires at least
4.3eV. Based on chemical reactions presented in figure 3, we assume that each epoxide
ring is responsible for formation of only one acid molecule. So, every DGEBA monomer
containing two epoxide rings would produce only two acid molecules (figure 3). We
further assume for the sake of convenience, that the cross section of each acid molecule is
equal to that of one epoxide ring. The process of C-H bond breaking in DGEBA monomer
is assumed to be probabilistic event. The probability of a C-H bond break is calculated as:
P 2(r 2 R 2 ) 3 ,

(12)

where r(2A ) and R are the radius of epoxide ring and DGEBA monomer, the coefficient
3 in the denominator owes its existence to three C-H bond in every epoxide ring. The
number of acid molecules (Na) which can be formed due to one PD pulse is obtained as
(Na)anode= P(NCH)anode and (Na)side-walls = P(NCH)side-walls on dielectric anode and
side-walls, respectively. So, the number of PD pulses (Np) which are required to convert all
the existing epoxide rings to acid molecules may be obtained as follows:
( N p ) anode 2 ( N DGEBA )anode ( N a ) anode
( N p ) side walls 2 ( N DGEBA )side- wall ( N a ) side walls

(13)

The coefficient 2 is due to presence of two epoxide rings in each DGEBA monomer.
Again, the number of cycles required to convert all epoxide groups to acid is as follows:
( N cycle ) anode ( N p )anode N PDC
( N cycle ) side walls ( N p ) side walls N PDC

(14)

where NPDC indicates the number of PD pulses per cycle [4-7].


Hence, the time required to convert all epoxide rings to acid molecules at a supply

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frequency of 50Hz (T=20ms) may be calculated as follows:


(t c ) anode T ( N cycle ) anode
(t c ) side walls T ( N cycle ) sidewalls

(15)

wheretc is the required time to convert all epoxide rings to acid molecules.
4. Simulation Results
In this paper, we present a typical simulation in which we trace the evolution of the
distribution of charged particles within a narrow gas-filled channel. The simulation is
performed with the chosen parameters presented in table II. It may be noted that a channel
with a significantly large length / width ratio is chosen.
Table II: Simulation data
Property

Symbol

Value

Length of Narrow channel

Lx

20 m

Width of Narrow Channel

Ly

1 m

Depth of Narrow Channel

Lz

1 m

Dielectric thickness

Ld

20 m

Background gas pressure

Pg

101325 Pa

Background gas temperature

Tg

0.026 eV

External capacitor

40 pF

Initial number of charged particles

nf

10

Photo-emission coefficient

ph

510-5 [38]

Ion-induced emission coefficient

1.510-3 [38]

Dielectric constant of air

8.8510-12 F/m

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Figure 5: Time history of (a) number of electrons (b) transfer of electrons to the surrounding dielectric of the narrow
channel, (c) number of positive ions (d) transfer of positive ions to the surrounding dielectric of the narrow channel, (e)
number of negative ions (f) transfer of negative ions to the surrounding dielectric of the narrow channel.

Figure 5 shows the time history of number of electrons, positive and negative ions and
charge transfer to dielectric anode and cathode associated with electrons and ions. The
initial loading of electrons considered is sufficient for rapid ionization of the neutral gas
molecules. It is observed that electrons leave the narrow channel very quickly (within 1ns),
due to their higher mobility. Positive ions linger for almost 2 ns. Negative ions are depleted
fast, within 1.2 ns. This is in agreement with simulation results obtained by Novak et al

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using a fluid model and for a 0.5mm dielectric micro-gap [37].It may be noted that the total
amount of charge transferred by the negative ions in a single pulse is 0.05610-16C, much
lower than that due to migration of electrons (9.02710-16C) and positive ions
(11.9310-16C). It is important to remember that any degradation in the channel is due to
the sum total of the effects of numerous consecutive PD pulse.

Figure 6: The net charge density spatial profile along the length of narrow channel for different configurations at
Ly=0.5m at different moments of time.

Figure 6 shows the variation of net charge density (=e(np-ne-nn)) within the narrow
channel with distance from the anode in the mid-width (Ly=0.5m) at different instants of
time. Where, ne, npandnn are the densities of electrons, positive and negative ions. As
observed for narrow cavities [37], the net charge density inside the narrow channel is
mostly due to positive ions and net charge density decreases gradually towards the
cathode. As seen in these figures, at the moments of 30ps and 90ps, in the region near the
anode (x<2m), the net charge density reaches very low values. This is the ionization

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region, and before the charge particles drift towards the electrodes, the positive charge
almost negates the effect of electrons, and the net charge density becomes very low. The
very high positive value next to this region is the net charge density due to the large
number of positively charged particles as they slowly drift towards the cathode. As time
progresses, the positive ions move further and further away from the region of ionization
towards the cathode and the peak in this region is reduced, the net charge density becoming
more uniformly distributed along the inter-electrode distance. At t=2.4ns, most charged
particles have left the narrow channel and net charge density is close to zero.
t=18ps

14
12
10
8
6
4
2
0
2
4
1

Electric Field(10kV/mm)

Electric Field(10kV/mm)

t=6ps

0.8
0.6
0.4
0.2
0

y(m)

12

16

14
12
10
8
6
4
2
0
2
4
1
0.8

20

0.6
0.4
0.2
0

y(m)

x(m)

14
12
10
8
6
4
2
0
2
4
1
0.8
0.6
0.4
0.2
0

y(m)

12

16

0.4
0.2
0

y(m)

Electric Field(10kV/mm)

Electric Field(10kV/mm)

0.6
0

12

16

20

x(m)

t=6ns

0.8

y(m)

20

x(m)

0.6

x(m)

16

0.8

20

14
12
10
8
6
4
2
0
2
4
1

0.2

12

14
12
10
8
6
4
2
0
2
4
1

t=1.89ns

0.4

t=720ps

Electric Field(10kV/mm)

Electric Field(10kV/mm)

t=180ps

12

16

14
12
10
8
6
4
2
0
2
4
1
0.8

20

0.6
0.4
0.2
y(m)

x(m)

12

16

20

x(m)

Figure 7: Spatial variations of x-component of electric field (Ex(x,y)) inside the narrow channel at different time
moments.

The spatial variation of the x-component of electric field (Ex(x,y)) is depicted in figure
7. The distribution of field within the narrow channel is originally uniform. The
distribution of charged particles inside the narrow channel (in figures 5 and 6) shows that
the effect of space charge on applied field is mostly due to positive ions. A positive space
charge region forms ahead of the anode where they accumulate. This results in a reduced
field close to the anode. Simultaneously the field near the cathode is enhanced in the
direction of the applied field, due to the positive charge cloud now nearing the negatively

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charged cathode. Owing to the accumulation of negatively charged particles at the anode
which causes the anode potential to reduce, the field at the anode never recovers original
values. Finally, the field within the channel becomes uniform as the charge dissipates.

Figure 8: Variation of electric potential (V) along narrow channel length at different the different moments of time.

The spatial variations of electric potential (E=-GradV) across narrow channel at the
different moments of time is presented in figure 8. The potential at t=6ps (almost at
beginning of discharge) at x=0 (on dielectric anode) is around 800 V. Due to increased
ionization, at the next time-steps the electric potential across the micro-cavity increases
and finally comes back to its initial value. Due to the charge accumulation on the
dielectrics, the electric potential never recovers its initial values.
Table III: Group composition of electrons (Ngk) impacting the dielectric anode at different applied electric fields.
E(kV/mm)

Ng1

Ng2

Ng3

Ng4

Ng5

15

92

69

14

25

180

165

81

35

1810

892

444

93

45

2984

1283

796

271

25

55

5817

1741

1232

661

136

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Figure 9: (a) EDF of electrons striking the dielectric anode surface, (b) EDF of electrons striking the surface of
dielectric side walls, (c) average kinetic energy of electrons striking the dielectric anode and side walls, (d) variation of
fractional area damaged (A/A) during one PD pulse on dielectric anode and side-walls as a function of electric field
across narrow channel, (e) distance (normalized) from dielectric anode of region of maximum damage (xD/Lx) on
dielectric side walls, (f) The time of conversion of entire of epoxide rings to acid molecules (tc) on dielectric anode and
side-walls as a function of electric field across narrow channel, (g) charge trapped to narrow channel side-walls during
one single PD pulse as a function of electric field narrow channel.

As In this work, the material surrounding the dielectric narrow channel is assumed to be
DGEBA. So, the presented results are confined to the issue of C-H bond scission due to
electron impact.Table III shows the group composition of electrons (Ngk) impacting the
dielectric anode at different applied electric fields. With higher electric fields, the total
number of electrons reaching the dielectric anode is higher due to greater ionization. This
matches the observation by Serra et al. [42] that the number of electrons generated inside a
cavity increases with applied electric field. Also, understandably, increase in applied
electric field results in larger proportion of hot electrons being produced.
Generally, the computation of the electron energy distribution functions (EEDF) of the
electrons reaching the dielectric anode and side-walls could provide useful information

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about PD pulse activity and the consequent damage into solid dielectric material.The
energy distribution functions are helpful in understanding of the mechanism by which the
highenergyelectronscan cause damage into solid dielectric materials due to PD activity
within narrow channel.Figures 9(a) and 9(b) show that the Electron Energy Distribution
Functions(EEDFs)are completely deviated from the Maxwellian distribution. These
figures show that the increase in applied field is accompanied by a decrease in the
proportion of cold electrons with energies less than 10eV. Then, the average value of
electron temperature or kinetic energy of electrons at the dielectric anode increases with
electric field (figure 9(c)). It means that the electrons acquire higher energies as they are
accelerated in the stronger electric field within the narrow channel.
The combined effect of increased number of impacting electrons, and higher average
energy of impacts, contribute to a higher number of C-H bond-scissions; a greater
percentage of the dielectric anode surface is thereby degraded. As shown in figure 9(d), the
effect of field on the extent of damage on the dielectric side-walls of the channel is similar
to that on the dielectric anode. Kinetic energy, and therefore, degradation at the side walls
increases at a steeper rate than at the dielectric anode, as a comparison of figures 9(c) and
9(d) shows.
A simple parametric fit on fractional area damaged (A/A) for dielectric anode and side
walls with electric field indicates a higher proportionality at the dielectric anode as given
below:
A
( E ) 8 .6

(16)
A anode

A

( E ) 6.75

A side wall

where (A/A)anode and (A/A)side-walls are respectively the fractional area damaged on
dielectric anode and side-walls of tree channel. The quantity (A/A) during one PD pulse is
somewhat comparable to the damage growth rate of dielectric-void interface obtained by
Montanari et al. [15, 30, 31, 42] in his aging model. Their estimation of the damage growth
rate is based on the amount of energy dissipated in the insulating material surrounding a
cavity, and obtained as the ratio of the thickness of the slab damaged (Ddis) to the total time
(tdis) required to dissociate at least half of the CH bonds inside this dielectric slab.
Interestingly, dielectric side-walls are not uniformly impacted by the damage-inducing
electrons. The average distance at which the dielectric side-walls are struck is shown in
Figure 9(e). As may be seen, regions very close to the anode (near 25% of the total channel
length at lower electric fields of 8 kV/mm) are most damaged. The region of damage
occurs closer the anode at higher applied electric fields for example, around 10% for

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electric field with value of 50 kV/mm.


Figure 9(f) shows the effect of applied electric field on the time taken to convert all the
epoxide rings on dielectric anode and side walls to acid molecules (tc). The larger number
of electrons and increased average kinetic energy of the electrons reaching the surrounding
dielectrics (figure 9(c)), contribute to a reduction in the time for conversion of the epoxide
rings on dielectric anode and side walls to acid molecules (tc) in both cases. The time to
conversion varies sharply with field, e.g. from 80 min to 2.53 s for dielectric anode, as the
field increases from 8 kV/mm to 50 kV/mm. This would essentially mean an increased
surface conductivity at higher electric fields, given the same time of exposure to discharge.
Two types discharge pulse forms, a spark-type and smaller Townsend have been
reported [20-25] to occur within micro-channels. Kaminaga et al. reported that a free
radical is generated in the initial phase of degradation of Polyethylene in high electric
fields [26]. These free radicals are expected to react with oxygen and produce oxides,
accompanied by luminescence. The number of free radicals was seen by them to increase
with applied voltage [10-12].
As displayed in figure 9(f), theconversion time of the epoxide rings to acid molecules
(tc) varies from 666 h to 5.96 min for dielectric side-walls.The conversion time for
dielectric side-walls is comparatively much higher than for dielectric anode. Conversion of
all epoxide rings to acid molecules would cause an increase in surface conductivity of
side-walls of tree tubule. It is reasonable to suppose that increased surface conductivity
would lead to easy movement of charged particles along side walls and consequently a
situation where no voltage can effectively be supported along the length of tree tubule; this
might cause PD extinction. Dissado et al. [15, 16] reported that movement of charges on
the tubule wall can short-circuit a discharge.
In this paper, we see that the time required for conversion of dielectric side-walls to
conductive walls is two orders of magnitude greater than the time needed for the dielectric
anode. This indicates that it might be expected that after a sufficient number of spark-type
pulses, there would be a change in the nature of the discharge i. e. from pulse-type to glow.
It is therefore unlikely that the discharge along a tree tubule would be extinguished with
time; rather a transition in the nature of the discharge is likely to occur. This corroborates
the results by Hudon et al. who reported the occurrence of glow discharges at very long
times [20, 21].
The effect of applied electric field on the magnitude of trapped charge on the dielectric
side-walls of the tree channel during one PD pulse is depicted in figure 9(g). A larger
number of charges (mostly electrons) reaches the dielectric side-walls at higher fields.

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Auckland et al [1, 3] confirmed that avalanches within the gas-filled channel generate
charges which are deposited on the walls or are trapped within the solid, reducing the
voltage across the channel and extinguishing further avalanches. The initial luminosity of
the breakdown originates within the solid, before a visible discharge occurs in the gas.
Finally, increase in applied electric field increases ionization and the number of impacts
per discharge and, as a result tends to cause greater cumulative damage over time as well as
increase in surface conductivity. At higher fields, the increased degradation is due to an
increase in the number of impacting charged particles, in spite of decrease in average
impact energy. The time required to convert tree side-walls to a conductive surface (tc) is
much longer compared to that required for dielectric anode, and this is true for all values of
electric field. This means that the transition from spark to glow discharges occurs at
smaller time-scales than discharge extinction at all values of electric field. While increased
number of impacts is accompanied by a decrease in the average energy at the impact site,
the amount of charge deposited to surrounding dielectrics increases.
4. Conclusions
A Kinetic model based on a 2-dimensional PIC-MCC scheme has been successfully
used to study of a PD activity inside a dielectric narrow channel. The model successfully
yields detailed information about effect of applied electric field on the damage due to
partial discharges activity into surrounding dielectrics of a narrow channel encapsulated
within the volume of a dielectric material.
It is seen that the charged particles accumulation causes the development of an induced
electric field by space charges that opposes the applied electric field. Computation of
energy distribution functions of the electrons reaching the dielectric anode and
side-wallsfor electric field values is one of the most important contributions of this work.
The obtained results showed that the Energy Distribution Functions (EDF) of the
striking electrons onto the dielectric anode and side-walls is completely deviated from the
Maxwellian distribution, and by increasing of the applied electric field,the proportion of
cold electrons decreases.
The damage to the dielectric anode and side-walls in terms of C-H bond scission as well
as increase in conductivity due to formation of acid droplets is estimated. The effect of the
discharge on the surrounding dielectrics is such as to favor a change in the nature of the
discharge rather than to lead to discharge extinction.

Appendix

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The total charge density T on the anode metallic electrode may be expressed by [48]:
N 1

Tt 0t j (A1)
j 0

where 0t j is the surface charge density on anode electrode at time t. The simplified form
of equation (26) of [48] for a simple metallic-metallic configuration (ref. [19]) is:
Tt

0
x

N0t

N 1

x
j 0

t
1j

x N 1
0 j (A2)
2 j 0

where, 0t , 1t j , N are the potential on the anode at t, potential at x1(=1x) and number of
divisions along y-axis. Particle p contributes to Qijthrough the space charge density ij
(bilinear weighting: [48]).
The equivalent circuit for the narrow channel bounded by dielectrics is shown in figure
2(b). Cg, Cd and Cr represent the equivalent capacitances of the gap, the dielectric layers
and dielectric material parallel to the micro-channel respectively, and Jconvis the discharge
current density. The time variation of T, the total charge density on the driven dielectric
electrode, may be obtained from the Kirchhoff s Current Law:
A

d s
I ext I r AJ conv ,
dt

(A4)

whereIext, T and Ir the total external current, charge on the dielectric surfaces and current
in the dielectric material parallel to the narrow channel.
The time variation of voltage drop (Ud) across the dielectric slab is obtained as:
Cd

dU d
I ext I r .
dt

(A5)

Figure 2(b) shows a simple external circuit consisting of a voltage source in series with
a capacitor coupled to the left electrode. The voltage drop Vc across the capacitor in the
external circuit is obtained from voltage balance as,
V c V (t ) 2U d 0

(A6)

V(t) is the applied voltage source. The discrete finite differenced form of (A4) can be
expressed as:
t
(A7)
A ( Tt Tt 1 ) Q ct Q ct 1 Q rt Q rt 1 Q conv

where Idt Qc CVc and I r dt Q r CU r and are the charge on the external capacitor
t
and bulk of dielectric material parallel to the narrow channel, and Qconv
is the charge

deposited on the electrode from the discharge in the cavity during the time interval (t-1, t).
Combining equations (A6) and (A7), the following relation can be obtained:
Tt Tt 1

1
t
(CV (t ) (C C r )0t 2(C C r )U dt Q rt 1 Qct 1 Qconv
) (A8)
A

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Similarly, the discrete finite differenced form of (A5) can be expressed as:
U dt U dt 1

Q t Qct 1 Q rt Q rt 1 (A9)
1
(I ext I r )dt c

Cd
Cd

If equations (A6) and (A9) are combined, then we have:


U dt 1
U dt

1
(CV (t ) (C C r )0t Qct 1 Q rt 1 )
Cd
(A10)
1 (C C r ) C d

By inserting the value of U dt to the equation (A8) and taking =(1+2(C+Cr)/Cd)-1, the
value of Tt can be written as follow:
Tt Tt 1

1
t
(CV (t ) (C C r )0t 2 (C C r )U dt 1 Qct 1 Q rt 1 Qconv
).
A

(A11)

Equations (A1), (A2) for Tt and (A11) can be combined and solved for 0t on
dielectric anode to produce:
0t ( st 1
T

1
x
t
(CV (t ) Qct 1 Qrt 1 2 (C C r )U dt 1 QConv
)
A
2

j N

j 0

0j

j N

j 0

t
1j

)(

N (C C r ) A )1

(A12)
Acknowledgment
I would like to acknowledge the Institute for Science and High Technology and
Environmental Sciences for financial support within the project 1.140-90/2/24.

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265

Inteernational Jouurnal of
Mathematical Modelling &
M
C
Computations
2
Voll. 04, No. 03, 2014, 267 - 276

An Improoved Contrrolled Chaootic Neuraal Network for Pattern


n
Recoggnition
a

Maryam Nahvvi , Majid Amirrfakhrian and Alireza Vasiq

a
Department of Computer Engineering,Pa
E
ayam e Noor University,
U
Shahr e Rey, Iran
Deepartment of Mathematics,
M
Islamic Azad Unniversity, Centrral Tehran Braanch, Tehran, Iran.
I

Absttract: A sigmoid
d function is necesssary for creation a chaotic neural nettwork (CNN).In thhis paper, a new funnction
for CNN
C
is proposed thhat it can increase the speed of convvergence. In the prooposed method, we
w use a novel signal for
contrrolling chaos. Both
h the theory analyssis and computer simulation
s
results show
s
that the perfoormance of CNN can
c be
imprroved remarkably by
b using our methood. By means of thhis control methodd, the outputs of thhe controlled CNN
N
convverge to the stored patterns
p
and they are
a dependent on thhe initial patterns. We observed that the controlled CN
NN can
distinnguish two initial patterns
p
even if they are slightly diffferent. These charaacteristics imply thhat the controlled CNN
can be
b used for patternn recognition.
Receeived: 29 December 2013; Revised: 15 June 2014; Acccepted: 2 August 22014.
ywords: Chaotic Neural
N
Network, Coontrolling Chaos, Associative
A
Memoory
Key
Indexx to information contained
c
in this paper
1.
2.
3.
4.

5.

Introduction
A Contrrolled Chaotic Neeural Network Moodel
Improveement of the Controlled CNN
Experim
mental Results and Analysis
Conclussion

1. In
ntroduction

Reccently, chaoticc dynamical behavior


b
has attracted a great deal of attention
a
in many
m
reseearch fields, annd a great deaal of progress in chaotic study has been made
m
[1-5]. Peeople
are believe that ch
haotic dynamiic behavior plaays an importaant role in neurral networks [6,7].
mpted to moddel artificial neural netwoorks with chaaotic
Manny researcherrs have attem
dynnamics on the basis of deteerministic diffferential equattions or stochhastic models. For
exam
mple, Aihara et
e al. [5] has proposed
p
deterrministic differrence equationns, which desccribe
an artificial neu
ural network model, compposed of chaootic neurons. This model has
ms of computtational time aand memory fo
or numerical analysis
a
due too the
advvantages in term

Corresponding
C
auth
hor. Email: nahvi__maral@yahoo.com
m.

20014 IAUCTB
http:///www.ijm2c.ir

Maryam Nahvi & Majid Amirfakhrian/

, 04 - 03 (2014) 267 - 276

spatiotemporal complex dynamics of the neurons. Adachi et al. [1] proposed a system
based on model proposed by Aihara et al. Adachi et al. [2] have shown that the CNN can
generate chaotic associative memory dynamics in several parameter regions. In particular,
Kuroiwa et al. [7] have investigated the dynamical properties of a single chaotic neuron in
response to stochastic inputs. On the other hand, Freemans studies on the olfactory bulb of
a rabbit revealed that the dynamics of the neural system in the basic state are chaotic, but in
the case that a familiar scent is presented, the system rapidly simplifies its behavior and its
dynamics become more ordered and nearly periodic [12]. This suggests an interesting
model of the recognition and learning process in biological neural systems. In other words,
self-induced chaos control might play a key role in the recognition and learning processes
in biological neural systems. To employ this function in an artificial neural system, it is
important to study how chaos can be controlled. In other words, it is the realization of the
periodic dynamical behavior from the chaotic behavior that results when a stimulus is
imparted. In addition, a study on controlling chaos in CNNs is also necessary to understand
the mechanism of recognition in a real brain.
Several control methods have been adopted for CNNs. Mizutani et al. [11] proposed a
chaos control method in which the chaos in the CNNs was controlled by employing an
exponential feedback control signal to change the threshold value of a neuron. Nakamura
et al. [12] and Kushiba et al. [8] controlled chaos by changing the parameters of the CNN.
The CNN therefore reduces to a Hopfield network in which the outputs of the controlled
CNN are fixed points; consequently, pattern recognition and memory search can be
achieved. However, in all their methods, the control targets should have been referred to at
the beginning of the recognition task. To apply the CNNs to information processing, a
self-adaptable chaos control method in which the control targets need not be referred to as
a priori is required [6]. In this paper, a new function for CNN is proposed that it can
increase the speed of convergence. In the proposed method, we use a novel signal for
controlling chaos in CNNs, in which the chaos is controlled in a self-adaptive manner by
perturbing parameters of the system with a delay feedback control signal. Then we employ
the controlled CNNs to perform pattern recognition. Both the theory analysis and
computer simulation results show that the performance of CNN can be improved greatly
by using our method.
The rest of this paper is as following. In Section 2, a model of the controlled CNN is
reviewed briefly. In Section 3, we scrutinized the controlled CNN that mentioned at
section 2. In Section 4, computer simulation results of solving CNN problem, by using the
controlled CNN and improved controlled CNN, respectively, are presented. Some
conclusions are given in Section 5.
2. A Controlled Chaotic Neural Network Model
A chaotic neural network (CNN) constructed with chaotic neurons. In this network, the
behavior of associative dynamics for some values of the parameters is chaotic. The
structure of a chaotic neural network is shown in Fig. 1 [10].

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Fig. 1. Structure of chaotic neural network

The dynamics of the simplest chaotic neuron model can be described by the following
equations [6]:

yt 1 kyt f yt a,

(1)

x (t 1) f ( y (t 1)),

(2)

f x

(3)

1 e

According to the data mentioned above, y (t ) is the internal state of the neuron at time

t , x (t ) is the output of the neuron at time t , k is the decay parameter of the


refractoriness, and is the refractory scaling parameter. is a parameter that is based
on the external input and the threshold of the neuron; f x , the sigmoid function, is the
output function of the neuron; and is the steepness parameter of the sigmoid
function.For some values of the parameters, the internal state y (t ) and the output x (t )
exhibit chaotic behavior. The bifurcation diagram of y (t ) is shown in Fig. 2. The other
parameters are fixed at k 0.5 ,

0.04 , and a 1.0 .

Fig. 2.The bifurcation diagram by using sigmoid function.

We notice that when the value of is increased from 0.2 to 2.0, there exist two areas in
which the neuron is chaotic. One chaotic area exists for a ranging from 1.066 to 1.111,
while the other exists for ranging from 1.572 to 1.606, as shown in Fig. 2. The dynamics
of the i th chaotic neuron in the CNN at time t can be described simply as follows [6]:

xi t 1 f i t 1 i t 1,

(4)

i t 1 k f i t wij x j t ,

(5)

i t 1 k r i t xi t ai

(6)

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Where xi t is the output of the ith chaotic neuron for a time step t , and

i t and

i t are the internal state variable of the feedback inputs from the constituent neurons in
the network and the refractoriness of the ith chaotic neuron at time t , respectively. N is
the number of neurons in the network. k f and k r are the decay parameters of the feedback
inputs and the refractoriness, respectively. The parameter ai is the threshold of the ith

neuron. As in the case of the chaotic neuron model, the parameter is the refractory
scaling parameter of a neuron, and the output function of the neuron f x is a sigmoid
function with a steepness parameter

, as described in Eq. (3). ij is the synaptic weight

to the ith constituent neuron from the jth constituent neuron. A neuron does not have the
synaptic connection from itself so ii 0 . The weights are defined according to the
symmetric auto-associative matrix of n binary patterns given as follows [6]:

wij

1
2 xip 1 2 x jp 1 ,
n

(7)

Where xip is the i th component of the P th binary pattern with a discrete value of
either 0 or 1.

Fig. 3.Patterns to be stored. A pattern comprises 10 10 binary pixels.

In accordance with this kind of experiment, the binary patterns can be stored as basal
memory patterns in the network. n is the total number of stored memory patterns. The
four patterns shown in Fig. 3 are employed as the stored patterns. Each pattern comprises
1010 binary pixels. Correspondingly, the network is constructed with 100 neurons. A
neuron will be represented by a black block when its output, xi , is equal to 1, which
indicates that the neuron is excited, while a neuron is denoted by a white block
when its output is equal to 0, which indicates that the neuron is resting. According to
the synaptic weights learning rule given in Eq. (7), the four stored patterns shown in Fig. 3
are embedded in the CNN. We observe that in Fig. 2, a neuron can create chaotic behavior
for certain special parameters and the chaotic dynamics of the neuron depends on . We
therefore assume that chaos would be controlled if the value of of the chaotic neurons is
perturbed by a control signal. If we consider a delay feedback signal to be the control
signal in the chaos control process, the control targets do not have to be assigned. This is
the main idea of self-adaptable control method in this paper. A controlled chaotic neuron is
described as follows [6]:

y (t 1) ky(t ) kcu ( t ) f ( y(t )) a,


x (t 1) f ( y (t 1)),
270

(8)
(9)

Maryam Nahvi & Majid Amirfakhrian/

f x

, 04 - 03 (2014) 267 - 276

(10)

1 e
u ( x) x(t ) x(t )

(11)

In the case that ut is a control signal determined by the difference in the output of the
u (t )

is the perturbation term


chaotic neuron at different times with a delay and c
that multiplies the refractory scaling parameter . When the output of a chaotic neuron is
chaotic, the control signal ut is not zero and c
is less than when 0< <1.
Thus, the dynamics of the chaotic neuron will be changed [6].
We observe the dynamics of the networks by calculating a quasi-energy function defined
in Eq. (12) [10]. The quasi-energy function is one type of observation functions for CNN,
which is not a true energy function. Energy function is usually used to analyze the
dynamics of the conventional associative network. However, there is no energy function
for chaotic dynamics, and such analogy is not appropriate for the quasi-energy function of
the network because the network behavior cannot be characterized by gradient descent
dynamics of the function. But, it is useful to analyze the long-term temporal behavior of
the neurons in a network as a whole with the scalar quasi-energy function [6].
1
(12)
QE (t ) wij xi (t ) x j (t ) i a i xi (t ).
2 i j i
u (t )

The quasi-energy function denotes that the outputs of the controlled CNN are stable and
periodic.

3. Improvement of the Controlled CNN

Studies show that one of the disadvantages of the controlled CNN is that the recall speed
is slow. Additionally, another of the disadvantages of the CNN is that the output of the
CNN cannot be stabilized to one of the stored patterns or a periodic orbit because of its
chaotic behavior [6]. To increase the recall speed and decrease chaos of CNN, we propose
the new function instead of the sigmoid function. A sigmoid function is necessary for
creation a CNN. Sigmoid function is shown in Eq. (10). For the CNN, we proposed the
following new function:
1
(13)
f 1 x
x2
1 e
According to our new function, the bifurcation diagram of y (t ) for different values of
is shown in Fig. 4. Additionally, will prove new function contrast with sigmoid functionhave
more speed convergence.

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Fig. 4.The bifurcation diagram by using our new function.

The first status ( x 1 ):

The second status( 0 x 1 ):

1 e

x2

1
1 e x

1
1 e

x2

1
1 ex

As a result, it is seen that the behaviour of this function is like sigmoid function but the
speed of its convergence is more than sigmoid function which causes to decrease of chaos.
To employ this function in the CNN, it is important to study how chaos can be controlled.
One of the disadvantages of the controlled CNN is that the recall speed is slow. Therefore
mentioned control method for the CNN described in Eq. (8)-(11) will vary change. The
core of this method is that using a new control signal instead of mentioned control signal
for the CNN.A self-adaptable chaos control method is proposed as follows:

y1 (t 1) ky(t ) u (t ) f (( y(t )) a,
x ( t 1 ) f ( y ( t 1 )),
1
f1 x
x2
1 e
x ( t ) x ( t )
u1 (t ) e

(14)
(15)
(16)
(17)

The results of this comparison show the performance of CNN is improved greatly with
the new method in chaos control. In the control method proposed in this paper, the control
target needs not to be assigned and prior knowledge of the system is not required. This
control technique is a type of adaptive control method. As a result, the outputs of the
controlled CNN converge to the periodic orbits and are dependent on the initial patterns.
Additionally, we will prove this new method contrast with mentioned method Have more
speed convergence.
4. Experimental Results and Analysis

We use the conventional controlling method and the new method to realize associative

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memory. The values of the parameters for the both methods are:

1,
N 100,
min 2.8,
0.945 3, n 0.6, 0.001
r 0.2,

max 3.7,

The initial value of i is between min and max , and the value of i is updated
after with every 2 time steps. According to the Fig. 3, the four binary patterns 100 bit for
the both models stored.
To test the effectiveness of the proposed method, for each pattern we built 10 different
patterns by adding 25% random noise. Therefore 10 training set contains 410 test
patterns. One of the training set is shown in Fig. 5.

Fig. 5. A training set sample.

Both networks can retrieve the noisy patterns, correctly. The recall speed average of
controlled CNN shown in Table 1, also the recall speed average of controlled CNN with
new controlling parameter shown in Table 2.

Initial pattern
Average recall
speed

L
20.1

O
24.3

V
25.6

E
19.8

Table 1:Control results for a controlled CNN

Initial pattern
Average recall
speed

L
10.5

O
13.2

V
14

E
10.1

Table 2:Control results for a controlled CNN with new controlling parameters

It appears that the recall speed in new method increase to 50% in comparision to
controlled CNN model.
Additionally, we will prove convergence in new method. For the system, we proposed
the following energy function:
1

E wij ( i
pn s p

2
(s)

(s)

(18)

In the following, we prove every change in during the process will cause E to

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, 04 - 03 (2014) 267 - 276

decreas this much:


1

4 r( s ) w rj (j s )
pn s p

Lets assume there would be a change in

r unit, so Eq. (5) should be:

1 1
(s)
(s)
( s)
(s)
( s)
(s)
E1 wij (i j )2 wrj (r1 j )2 wir (i r1 )2
pn s p ir jr
j
i

1 1
(s)
(s)
(s)
(s)
(s)
(s)
E2 wij (i j )2 wrj (r2 j )2 wir (i r2 )2
pn s p i r j r
j
i

The difference of Energy function is as follows:

E2 E1

1 1

wrj (r2(s) j(s))2 (r1(s) j(s))2 wir (i(s) r2(s))2 (i(s) r1(s))2

pnsp j
i

1 1

wrj 2r2 (s) 2 j(s) 2r2 (s)j(s) 2r1(s) 2 j(s) 2r1(s)j(s)

pn sp j

1 1

wir 2r2 (s) 2i(s) 2r2 (s)i(s) 2r1(s) 2i(s) 2r1(s)i(s)

pn sp j

1 1

2 wrj (js) r(s) 2 wir i(s) r(s)


pn s p
j
i

Because of the symmetry of the net ( wij w ji ), so E will be obtained as follows:


1

E 4 r( s ) wrj (j s )
pn s p

(19)

At first, we show that Eq. (18) is consistent when just one pattern is stored in memory:
i wrj is the weighted sum of the enterd inputs to the r th node.

r is changed from

The first status ( r1 1 and r2 1 ): for

in

to

therefore

wrj 0

and

r 1 1 2 0 thus E 0 .
The second status ( r 1 and r 1 ): for r is changed from
1

in

to

therefore

wrj 0

and

r 1 1 2 0 thus E 0 .
As a result, it is seen that with every change in

274

r , energy function will decrease. Now

Maryam Nahvi & Majid Amirfakhrian/

, 04 - 03 (2014) 267 - 276

assuming that the issue is consistent for the time when m 1 patterns are stored in the
system, we will verify that it is also consistent for m patterns.
1

4 r(s) wrj (js)


pn sp

1 1
1
(s)
(s)
(s)
(s)
(n)
(n)

4 r wrj j r j wrj r j wrj

pn1 sp
j
j
j
n1
s

Supposed
Proved

According to Induction, it is consistent for m patterns. So that E is always negative or


zero.
5. Conclusion

We have proposed a new function for the CNN and proved that it can increase the speed
of convergence and decrease chaos. In order to apply CNN to pattern recognition, a new
chaos control scheme was proposed. The improved controlled CNN have a superior ability
to distinguish initial patterns comparing with mentioned controlled CNN in this paper.
However, we have not discussed the control parameters in detail in this paper. How to
choose the control parameters and the effects of control parameters on pattern recognition
will be investigated in our next work.
References
[1]

[2]
[3]
[4]
[5]
[6]
[7]
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controlled chaos neurons, J.Phys.Soc.Jpn 62, Pages 2941 2955, 1993.
Schuster, H.G., & Just, W.. Deterministic Chaos: An Introduction. Fourth
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Implementation of Fundamental Logical Gates by Chaotic Elements,
IEEE TRANS, 11, 2002.
Sinha, S.; Murali, K., & Ditto, W.L., Computing with chaos, Physical
Review. E, Statistical, Nonlinear, And Soft Matter Physics, 2004.
W.J. Freeman, Simulation of chaotic EEG patterns with a dynamic model
of the olfactory system, Biol.Cybern.56, Pages 139 150, 1987.
Yong Yao and Walter J. Freeman, Model of biological pattern recognition
with spatially chaotic dynamics, Neural Networks,Volume 3, Issue 2,
Pages 153-170, 1992.

276

International Journal of
Mathematical Modelling & Computations

Vol. 04, No. 03, Summer 2014, 277- 288

A New Two Step Class of Methods with Memory for Solving


Nonlinear Equations with High Efficiency Index
T. Lotfia, and P. Assaria
a

Department of Mathematics, Islamic Azad University, Hamedan Branch, Hamedan,


Iran.
Abstract. It is attempted to extend a two-step without memory method to its with memory. Then, a new two-step derivative free class of without memory methods, requiring three
function evaluations per step, is suggested by using a convenient weight function for solving nonlinear equations. Eventually, we obtain a new class of methods by employing a selfaccelerating parameter calculated in each iterative step applying only information from the
current and the previous iterations, defining a with memory class.
Although these improvements are achieved without any additional function evaluations, the
R-order of convergence are boosted from 4 to 5.24 and 6, respectively, and it is demonstrated
that the proposed with memory classes provide a very high computational efficiency.
Numerical examples are put forward and the performances are compared with the basic twostep without memory methods.
Received: 6 October 2013, Revised: 22 December 2013, Accepted: 15 Janurary 2014.
Keywords: Nonlinear equation, With memory method, R-order of convergence,
Self-accelerating parameter.

Index to information contained in this paper


1
2
3
4
5
6

1.

Introduction
Development of the Methods
New Derivative Free Two-Step Methods
A New Class of Two-Step Methods with Memory
Performances and Comparisons
Conclusion

Introduction

Finding the roots of nonlinear equations has significant applications in various


fields of science and engineering. The main goal in constructing iterative methods
for solving nonlinear equations is to attained as high as possible order of convergence with the lowest computational costs. Since 1960s, many methods have been

Corresponding

author. Email: lotfitaher@yahoo.com or lotfi@iauh.ac.ir

c 2014 IAUCTB

http://www.ijm2c.ir

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.

278

constructed for solving nonlinear equations. Newtons method is the most famous
one [4]
xn+1 = xn

f (xn )
,
f (xn )

n = 0, 1, 2, ...

(1)

Due to avoid computing the derivative, Steffensen in [8] presents a derivative-free


method as follows
xn+1 = xn

f (xn )
,
f [xn , wn ]

(2)

where wn = xn + f (xn ), n = 0, 1, 2, ....


Recently, many high order derivative-free methods have been built based on
Steffensen-type methods inwhich they have an advantage over kinds of methods
while derivatives are complicated to compute.
For the first time multi-step methods are appeared in Ostrowskis book [5] with
the purpose of higher order convergence and efficiency. Ostrowski proposed the
first two-step method as given by

f (xn )

,
n = 0, 1, 2, ...,
yn = xn
f (xn )
f (yn )
f (xn )

xn+1 = yn

.

f (xn ) 2f (yn ) f (xn )

(3)

A family of fourth-order methods free from any derivatives, satisfying Kung and
Traubs conjecture, are established by Ren-Wu-Bi [6]

yn = xn

f (xn )
,
f [xn , wn ]

xn+1 = yn

f (yn )
,
f [xn , yn ] + f [yn , wn ] f [xn , wn ] + (yn xn )(yn wn )

(4)

where wn = xn + f (xn ), n = 0, 1, 2, ... and R.


A variant of Steffensens method of fourth-order convergence for solving nonlinear
equations is suggested by Liu et al. [3]

yn = xn

xn+1

f (xn )
,
f [xn , wn ]
f [xn , yn ] f [yn , wn ] + f [xn , wn ]
= yn
f (yn ),
f [xn , yn ]2

(5)

wherein wn = xn + f (xn ), n = 0, 1, 2, ....


In the case of without memory methods, eventually the two-step class of methods
are proposed by Soleymani [7]

yn = xn

xn+1

f (xn )
, wn = xn f (xn ), R {0} ,
f [xn , wn ]
( f [x , y ] f [y , w ] + f [x , w ]
)
n n
n
n
n
n
= yn
f
(y
)
n G(t)H(),
f [xn , yn ]2

(6)

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.

279

f (yn )
f (yn )
,=
, n = 0, 1, 2, ..., and H(t) and G() are two real valued
f (xn )
f (wn )
weight functions that satisfy the conditions
where t =

G(0) = 1, G (0) = 0, |G (0)| < , H(0) = 1, H (0) = 0, |H (0)| < .

(7)

Moreover, its error equation is given by


en+1 = xn+1 =

1
c2 (1 + c1 )(2c1 c3 (1 + c1 )
2c31

+ c22 (4 + G (0) + c1 (2 + (2 + c1 )G (0)) + H (0)))e4n + O(e5n ),

wherein cj =

(8)

f (j) ()
, j 1 and en = xn .
j!

In the following of this paper, in Section 2 an extension of the family of two-step


without memory methods (6) to its with memory is exhibited and then, we present
a new optimal fourth-order family with a convenient weight function, deduce its
error equation in Section 3, based on this family and by choosing the appropriate
values of a self-accelerating parameter, we suggest a new two-step class of with
memory methods in Section 4. As the main contribution of this paper, we establish that the R-order (By R-order we mean any real convergence order.) of both
corresponding classes of with memory methods are increased from 4 to 5.24 and
6, respectively, using Newtons interpolatory polynomials of third degree. The new
methods use only three evaluations of the functions per step, hence possess a very
high computational efficiency. In Section 5 numerical examples and comparisons
with existing methods are given to confirm the theoretical results.

2.

Development of the Methods

We develop the class of two-step with memory methods relied on the two-step
1
methods (6) using parameter = n by an approximation to
applying
f ()
available data as follows

yn = xn

xn+1

f (xn )
, wn = xn n f (xn ), n R {0} ,
f [xn , wn ]
)
( f [x , y ] f [y , w ] + f [x , w ]
n n
n
n
n
n
f
(y
)
G(tn )H(n ),
= yn
n
f [xn , yn ]2

(9)

f (yn )
f (yn )
, n =
, n = 0, 1, 2, ....
f (xn )
f (wn )
According to the error equation (8), we find out that if the order of convergence
of methods (6) wants to rise up, the coefficient of e4n in (8) should be equal to zero.
Due to this reason, we force (1 + c1 ) = 0, where c1 = f ().
However, since is unknown, we have no information on the exact f (), thus,
we approximate f () with N3 (xn ). Although there are multifarious fashions to
approximate f (), it seems that N3 (xn ) is the prime one. For converting methods
(6) to with memory class, we consider
where tn =

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.

280

n =

1
1
=
,
f ()
N3 (xn )

(10)

where N3 (t) = N3 (t; xn , yn1 , wn1 , xn1 ) is Newtons interpolatory polynomial of


third degree, set through four available approximations (xn , yn1 , wn1 , xn1 ).
The derivative N3 (t) at t = xn is calculated by using the following formula:
N3 (xn ) =

[d
dt

]
N3 (t)

t=xn

= f [xn , yn1 ] + f [xn , yn1 , xn1 ](xn yn1 )

+ f [xn , yn1 , xn1 , wn1 ](xn yn1 )(xn xn1 ).

(11)

Due to this development, we present following theorem:


Theorem 2.1 If an initial approximation x0 is sufficiently close to the zero of
f (x) and the parameter n in the iterative scheme (9) is recursively calculated by
the formula given in (10), then, the R-order of convergence of the method (9) is at
least 5.24.
Proof.
Let {xn } be a sequence of approximations generated by an iterative with memory
method. If this sequence converges to the zero of f with the R-order r, then we
can write
en+1 Dn ern ,

en = xn ,

(12)

where Dn tends to the asymptotic error constant D of iterative method as k .


Thus
2

r
en+1 Dn (Dn1 ern1 )r = Dn Dn1
ern1 .

(13)

Moreover, we have
en,w = (1 + f ())en + O(e2n ),

(14)

en,y = c2 (1 + f ())e2n + O(e3n ),

(15)

en+1 = A4 (1 + f ())e4n + O(e5n ).

(16)

Considering the error relations (14)-(16) and (8) with the self-accelerating parameter = n we can write the corresponding error relations for the with memory
method (9)

where A4 () =

en,w (1 + n f ())en ,

(17)

en,y c2 (1 + n f ())e2n ,

(18)

en+1 A4 (1 + n f ())e4n ,

(19)

1
[2c1 c3 (1+c1 )+c22 (4+G (0)+c1 (2+(2+c1 )G (0))+
2c31

H (0))].
In addition, we have [9]

1 + n f () c4 en1 en1,y en1,w .

(20)

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.

281

Assume that the iterative sequences {yn } and {zn } have the R-orders p and q,
respectively.
In a similar way of (12), we can write
en,y En epn

en,w Fn eqn

Then, we obtain
p
en,y En epn En (Dn1 ern1 )p = En Dn1
erp
n1 ,

(21)

q
Fn Dn1
erq
n1 .

(22)

en,w Fn eqn Fn (Dn1 ern1 )q =


Considering (12), (18), (20) and (21), we have

en,y c2 (1 + n f ())e2n c2 (c4 en1 en1,y en1,w )e2n


c4 c2 en1 En1 epn1 Fn1 eqn1 (Dn1 ern1 )2
2
c4 c2 En1 Fn1 Dn1
e2r+p+q+1
.
n1

(23)

In the same way, by combining (12), (17), (20) and (22), we get
en,w (1 + n f ())en (c4 en1 en1,y en1,w )en
c4 en1 En1 epn1 Fn1 eqn1 Dn1 ern1
c4 En1 Fn1 Dn1 er+p+q+1
.
n1

(24)

Similarly, from (12), (19) and (20)-(22), we have


en+1 A4 (1 + n f ())e4n A4 (c4 en1 en1,y en1,w )e4n
A4 c4 en1 En1 epn1 Fn1 eqn1 (Dn1 ern1 )4
4
A4 c4 En1 Fn1 Dn1
e4r+p+q+1
.
n1

(25)

Comparing the exponents of en1 on the right hand sides of (21) - (23), (22) - (24),
and (13) - (25), we form the system of three equations in p, q and r

r 4r p q = 1,
rp 2r p q = 1,

rq r p q = 1.

Non-trivial
solution
of
this
system
is
p
=
1
+
5

3.24,
q
=
5 2.24 and

r = 3 + 5 5.24 . Eventually, the R-order of the with memory methods (9),


when n is calculated by (10), is at least 5.24.

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.

282

3.

New Derivative Free Two-Step Methods

Based on the following two-step optimal method (5)

yn = x n

xn+1

f (xn )
,
f [xn , wn ]
f [xn , yn ] f [yn , wn ] + f [xn , wn ]
= yn =
f (yn ),
f [xn , yn ]2

where wn = xn + f (xn ), n = 0, 1, 2, ... and its error equation

en+1 =

(1 + c1 )c2 ((2 + c1 )c22 c1 (1 + c1 )c3 ) 4


en + O(e5n ),
c31

(26)

we present a new class of forth-order methods by using backward approximation


with a free parameter and a suitable two-valued weight function.
Therefore, we suggest

yn = xn

xn+1

f (xn )
,
wn = xn f (xn ),
R {0} ,
f [xn , wn ]
( f [xn , yn ] f [yn , wn ] + f [xn , wn ]
)
= yn
f
(y
)
H(tn , n ),
n
f [xn , yn ]2

(27)

f (yn )
f (xn )

and n =

where H(t, ) is a real two-valued weight function with tn =


f (yn )
f (wn ) , n

= 0, 1, 2, ...

Theorem 3.1 Let f : D R be a sufficiently differentiable function with a simple


root D and D R be an open interval. Then the new class of derivative-free
methods (27) is fourth-order convergence when H(0, 0) = 1, Ht (0, 0) = H (0, 0) =
0, Htt (0, 0) = H (0, 0) = 2, Ht (0, 0) = 0 and has the following error equation
en+1 = c2 (1 + f ())2 (c3 + c22 f ())e4n + O(e5n ),
where en = xn , n = 0, 1, 2, ....
Proof.
Let en = xn . Introduce the abbreviations:
ey = yn ,

m = f (),

wn = xn f (xn ),

cj =

(28)

f (j) ()
(j = 2, 3, ...).
j!f ()

Now we want to derive the error equation (28) of the class of two-step methods
(27).
Using the Taylor expansion and taking into account f () = 0, we have
f (xn ) = f ()(en + c2 e2n + c3 e3n + c4 e4n ) + O(e5n ),

(29)

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.

283

and
(
f (w) = f (xn f (xn )) = f () (1 m)en + c2 (1 3m + m2 )e2n
+ (2c22 m(1 + m) + c3 (1 4m + 12m2 m3 ))e3n
+ (c32 m3 c2 c3 m(1 5m + 3m2 ) + c4 (1 5m
)
5m2 + 6m3 4m4 + m5 ))e4n + O(e5n ).
(30)
Then, we find
ey = yn = en

f (xn )
f [xn , wn ]

= c2 (1 m)e2n + (c3 (2 3m + m2 ) c22 (2 2m + m2 ))e3n


+ (c4 (3 6m 4m2 m3 ) + c32 (4 5m + 3m2 m3 )
+ c2 c3 (7 + 10m 7m2 + 2m3 ))e4n + O(e5n ).

(31)

By (31) we get
(
f (yn ) = f () c2 (1 m)e2n + (c3 (2 3m + m2 ) c22 (2 2m + m2 ))e3n
+ (c4 (3 6m + 4m2 m3 ) + c32 (5 7m + 4m2 m3 )
)
+ c2 c3 (7 + 10m 7m2 + 2m3 ))e4n + O(e5n ).

(32)

Therefore, we can write a two-valued function H occurring in (27) by Taylors


series about (0, 0) in the form
H(tn , n ) =H(0, 0) + Ht (0, 0)tn + H (0, 0)n +
+ Ht (0, 0)tn n +

Htt (0, 0) 2
tn
2

H (0, 0) 2
n ,
2

(33)

then by considering the conditions H(0, 0) = 1, Ht (0, 0) = H (0, 0) = 0, Htt (0, 0) =


H (0, 0) = 2, Ht (0, 0) = 0 for H(tn , n ), ultimately, we gain the error relation
as
en+1 = c2 (1 + f ())2 (c3 + c22 f ())e4n + O(e5n ).
Some derived methods form our suggested forms of the functions H are given
below:
H1 (t, ) = 1 + t2 + 2

f (xn )
yn = xn f [x
,
wn = xn f (xn ),

(n ,wn ]
)

[yn ,wn ]+f [xn ,wn ]


xn+1 = yn f [xn ,yn ]ff [x
f
(y
)
2
n
n ,yn ]
(

( f (yn ) )2 ( f (yn ) )2 )

1+
+
.
f (xn )

H2 (t, ) = 1 + (t + )2

f (wn )

= 0,
(34)

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.

284

f (xn )

,
wn = xn f (xn ),
= 0,
yn = xn

f [xn , wn ]

( f [x , y ] f [y , w ] + f [x , w ]
)
n n
n
n
n
n
xn+1 = yn
f
(y
)
n

f [xn , yn ]2

)
(

( f (yn )

f (yn ) )2

+
.
1+

f (xn ) f (wn )

(35)

H3 (t, ) = 1 + (t )2

yn = xn f (xn ) ,
wn = xn f (xn ),
= 0,

f [xn , wn ]

)
( f [x , y ] f [y , w ] + f [x , w ]
n n
n
n
n
n
f
(y
)
xn+1 = yn
n

f [xn , yn ]2

(
)

f
(y
)
f
(y
n
n ) )2

1
+

f (xn ) f (wn )
H4 (t, ) = 1 +

t2
+ 2
2

f (xn )

yn = xn
,
wn = xn f (xn ),
= 0,

f [xn , wn ]

(
)

f [xn , yn ] f [yn , wn ] + f [xn , wn ]


xn+1 = yn
f
(y
)
n
f [xn , yn ]2

(
)

2
f (yn )

( f (yn ) )2 )

f (xn )

1+
+
.
2
f (wn )
H5 (t, ) =

(36)

(37)

1 + t2
1 2

f (xn )

yn = xn
,
wn = xn f (xn ),
= 0,

f [xn , wn ]

( f [x , y ] f [y , w ] + f [x , w ]
)

n n
n
n
n
n
xn+1 = yn
f
(y
)
n
f [xn , yn ]2

f (yn ) )2 )

(
1 + ( f (xn )

(yn ) )2
1 ( ff(w
n)

H6 (t, ) =

(38)

1 t2
1 2

f (xn )

yn = xn
,
wn = xn f (xn ),
= 0,

f [xn , wn ]

(
)

f [xn , yn ] f [yn , wn ] + f [xn , wn ]

xn+1 = yn
f
(y
)
n
f [xn , yn ]2
)2

f
(y
)

)
(1 (

f (xn )

(yn ) 2
1 ( ff(w
n)

(39)

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.

4.

285

A New Class of Two-Step Methods with Memory

It is obvious from (28) that the order of convergence of the class (27) is four when
1
= f 1
() , if = f () , then, the order of the class would enhance. By considering
= n , we have

yn = xn f (xn ) , wn = xn n f (xn ), n = 0,
f [x(
n ,wn ]
)
(40)
[yn ,wn ]+f [xn ,wn ]
xn+1 = yn f [xn ,yn ]ff [x
f
(y
)
H(t
,

),
2
n
n
n
n ,yn ]
f (yn )
f (yn )
, =
, n = 0, 1, 2, .... As before, we consider N3 (xn ) for
f (xn )
f (wn )
approximating f ():

where t =

n =

1
f ()

,
N3 (xn )

(41)

where N3 (t) = N3 (t; xn , yn1 , wn1 , xn1 ) is Newtons interpolatory polynomial


of third degree, set through four available approximations (xn , yn1 , wn1 , xn1 ).
That N3 (xn ) is calculated as (11).
According to this modifications, we bring forward a theorem underneath:
Theorem 4.1 Let the varying parameter n in methods (40) is calculated by
(41). If an initial approximation x0 is sufficiently close to the zero of f , then,
the R-order of convergence of the with memory class (40) is at least 6.
Proof.
In a similar way of the Theorem 2.1, let
en,w = (1 + f ())en + O(e2n ),

(42)

en,y = c2 (1 + f ())e2n + O(e3n ),

(43)

en+1 = A4 (1 + f ())2 e4n + O(e5n ),

(44)

c2
(2c1 c3 + c22 (1 + c1 )).
2c31
Corresponding error relations for the with memory method (40) are
where A4 =

en,w (1 + n f ())en ,

(45)

en,y c2 (1 + n f ())e2n ,

(46)

en+1 A4 (1 + n f ())2 e4n .

(47)

Let the iterative sequences {yn } and {zn } have the R-orders p and q, respectively,
then we have
en,y En epn

en,w Fn eqn

Therefore, we obtain
p
en,y En epn En (Dn1 ern1 )p = En Dn1
erp
n1 ,

(48)

q
en,w Fn eqn Fn (Dn1 ern1 )q = Fn Dn1
erq
n1 .

(49)

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.

286

Using (12), (20), (46) and (48), we have


en,y c2 (1 + n f ())e2n c2 (c4 en1 en1,y en1,w )e2n
c4 c2 en1 En1 epn1 Fn1 eqn1 (Dn1 ern1 )2
2
c4 c2 En1 Fn1 Dn1
e2r+p+q+1
.
n1

(50)

In the same way, according to (12), (20), (45) and (49), we get
en,w (1 + n f ())en (c4 en1 en1,y en1,w )en
c4 en1 En1 epn1 Fn1 eqn1 Dn1 ern1
c4 En1 Fn1 Dn1 er+p+q+1
.
n1

(51)

From (12), (20) and (47)-(49), the error relation is achieved as follows
en+1 A4 (1 + n f ())2 e4n A4 (c4 en1 en1,y en1,w )2 e4n
A4 c24 e2n1 (En1 epn1 )2 (Fn1 eqn1 )2 (Dn1 ern1 )4
2
2
4
A4 c24 En1
Fn1
Dn1
e4r+2p+2q+2
.
n1

(52)

Contrast the exponents of en1 on the right hand sides of (48) and (50), (49) and
(51), and then (13) and (52), we organize the system of three equations in p, q and
r

r 4r 2p 2q = 2,
rp 2r p q = 1,

rq r p q = 1.
Non-trivial solution of this system is p = 3, q = 2 and r = 6 . Ultimately, the
R-order of the with memory method (40), when n is calculated by (41), is at least
6.

5.

Performances and Comparisons

Now we show the convergence behavior of the with memory methods (9) and (40).
All computations are performed using the programming package M athematica.
We calculate the computational order of convergence (rc ) [9], using the formula
rc =

log |f (xn )/f (xn1 )|


.
log |f (xn1 )/f (xn2 )|

(53)

For demonstration, we use the following example:


f (x) = ex

+x cos x1

sin x + x log(x sin x + 1), = 0, x0 = 0.6, 0 = 0.1

The errors |xn | for the first three iterations are given in Table 1 where the
denotation A(h) means A 10h .

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 277-288.


Table 1.

287

Numerical results

M ethods

|x1 |

|x2 |

|x3 |

rc

G1 (t) = 1 + t2 , H1 () = 1 + 2
Soleymani s methods (6)
Development of Soleymani s methods (9)

1.27(2)
1.80(1)

3.68(10)
2.41(5)

1.93(40)
2.43(28)

4.000
6.000

G2 (t) = 1 + t2 + t3 , H2 () = 1 + 2 + 3
Soleymani s methods (6)
Development of Soleymani s methods (9)

2.25(2)
2.08(1)

5.45(9)
3.95(5)

9.34(36)
5.03(28)

4.000
5.966

G3 (t) = (1 + t2 )/(1 t2 ), H3 () = (1 + 2 )/(1 2 )


Soleymani s methods (6)
Development of Soleymani s methods (9)

5.18(2)
7.07(2)

1.80(6)
8.53(6)

1.81(24)
5.33(26)

4.017
5.003

Table 2.

Numerical results

M ethods

|x1 |

|x2 |

|x3 |

rc

H1 (t, ) = 1 + t2 + 2
N ew without memory methods (27)
N ew with memory methods (40)

1.22(2)
1.85(1)

3.10(10)
2.53(5)

9.75(41)
3.31(28)

4.012
6.038

H2 (t, ) = 1 + (t + )2
N ew without memory methods (27)
N ew with memory methods (40)

3.92(3)
1.19(1)

8.63(12)
3.39(5)

2.10(46)
4.23(27)

4.000
6.000

H3 (t, ) = 1 + (t )2
N ew without memory methods (27)
N ew with memory methods (40)

2.83(2)
2.51(1)

5.66(8)
1.28(4)

6.08(31)
5.22(24)

4.021
6.072

t2
+ 2
2
N ew without memory methods (27)
N ew with memory methods (40)

1.08(2)
2.03(1)

1.54(10)
2.43(5)

4.95(42)
3.21(28)

4.011
6.000

1 + t2
1 2
N ew without memory methods (27)
N ew with memory methods (40)

1.81(2)
1.75(1)

1.69(9)
2.91(5)

8.67(38)
5.92(28)

4.020
6.000

1 t2
1 2
N ew without memory methods (27)
N ew with memory methods (40)

1.13(2)
2.57(1)

7.20(11)
4.21(5)

8.09(44)
5.263(27)

4.016
6.000

H4 (t, ) = 1 +

H5 (t, ) =

H6 (t, ) =

Note that in a real situation, is not available, so one should consider the errors
|xn+1 xn | instead of |xn |.
When n is calculated by (10) to comparison with basic class (6) the results are
shown in Table 1 and the weight functions in this table are selected from [7]. In
Table 2, we introduce some proper two-valued weight functions then by applying
them in these methods and observing results, afterwards comparing them with the
basic without memory class (27) when n is computed by (41), the R-order of
convergence of the with memory methods (40) are confirmed.
According to the results presented in Table 1 and a number of numerical examples, we can conclude that the convergence behavior of the two-step with memory
methods (4), based on the self-acclerating parameter n is considerably better than
the other (1) without memory.

T. Lotfi & P. Assari/ IJM2 C, 04 - 03 (2014) 288-288.

288

6.

Conclusion

Per iteration the developed methods (9) and (40) require evaluations of only three
1
functions. Consider the efficiency index (e.g [1, 5, 9]) defined as p w , where p is
the order of the method and w is the number of function evaluations per iteration
by the method. The efficiency index of the with memory methods (9) and (40)
1
1
are (5.24) 3 1.73961 and 6 3 1.81712, respectively, which are better than those
1
without memory (6) and (27) (4 3 1.5874).
By the theoretical analysis and numerical experiments, we confirm that the new
with memory methods achieve higher order of convergence and without any additional function evaluations, the R-order of convergence is boosted at least 50 per
cent. It is observed that the new methods have better performances.
It is worth mentioning that the developed methods do not work for multiple root(s)
efficiently and likely they have linear behaviour. So, one can consider it as a new
research problem. In other words, the proposed methods must be modified in such
a way that attain as high as possible convergence order or efficiency index.

Acknowledgements

We wish to sincerely thank the anonymous referee for his/her recommendations,


which have helped to the readability of this paper.

References
[1] Gautschi. W, Numerical Analysis: An Introduction, Birkhauser, Boston, 1997.
[2] Kung. H. T and Traub. J. F, Optimal Order of One-Point and Multipoint Iteration, J. ACM. 21
(1974) 643-651.
[3] Liu. Z, Zheng. Q and Zhao. P, A variant of Steffensens method of fourth-order convergence and its
applications, Appl, Math, Comput. 216 (2010) 1978-1983.
[4] Ortega. J. M and W. G. Rheinboldt, Iterative Solution of Nonlinear Equations in Several Variables,
Academic Press, New York, 1970.
[5] Ostrowski. A. M, Solution of Equations and Systems of Equations, Academic Press, New York, 1960.
[6] Ren. H, Wu. Q and Bi. W, A class of two-step Steffensen type methods with fourth-order convergence,
Appl, Math, Comput. 209 (2009) 206-210.
[7] Soleymani. F, On a Novel Optimal Quartically Class of Methods, Far East Journal of Mathematical
Sciences. 58 (2011) 199-206.
[8] Steffensen. J. F, Remarks on iteration, Skand. Aktuarietidskr. 16 (1933) 64-72.
[9] Traub. J. F, Iterative Methods for the Solution of Equations, Prentice-Hall, Englewood Cliffs, New
Jersey, 1964.

International Journal of
Mathematical Modelling & Computations

Vol. 04, No. 03, Summer 2014, 289- 298

Spline Collocation for Fredholm and Volterra Integro-Differential


Equations
N. Ebrahimia, and J. Rashidiniaa
Department of Mathematics, Islamic Azad University, Central Tehran Branch, Iran.

Abstract. A collocation procedure is developed for the linear and nonlinear Fredholm and
Volterra integro-differential equations, using the globally defined B-spline and auxiliary basis
functions.The solution is collocated by cubic B-spline and the integrand is approximated
by the Newton-Cotes formula. The error analysis of proposed numerical method is studied
theoretically. Numerical results are given to illustrate the efficiency of the proposed method
which shows that our method can be applied for large values of N. The results are compared
with the results obtained by other methods to illustrate the accuracy and the implementation
of our method.

Received: 13 October 2013, Revised: 17 March 2014, Accepted: 15 April 2014.


Keywords: Fredholm and Volterra integro-differential equations, Cubic B-spline,
Newton-Cotes formula, Convergence analysis.

Index to information contained in this paper


1
2
3
4
5

1.

Introduction
Cubic B-Spline
The Collocation Method
Error analysis: convergence of the approximate solution
Numerical Examples

Introduction

Consider the linear and nonlinear integro-differential equations of the form


m

pr (t)y

(r)

(t) = g(t) +

K(t, x, y(x))dx,

t [a, b], m = 1, 2,

r=0

with the boundary conditions,

Corresponding

author. Email: Ebrahimi Nehzat@yahoo.com

c 2014 IAUCTB

http://www.ijm2c.ir

(1)

N. Ebrahimi & J. Rashidinia/ IJM2 C, 04 - 03 (2014) 289-298.

290

m1

[i,r y (r) (a) + i,r y (r) (b)] = i ,

0 i m 1,

r=0

where i,r , i,r and i are given real constants. The given kernel K is continuous on [a, b] and satisfie a uniform Lipschitz, and g(t) and pr (t) are the known
functions and y is unknown function.The boundary value problems in terms of
integro-differential equations have many practical applications. A physical event
can be modelled by the differential equation, an integral equation or an integrodifferential equation or a system of these equations.some authors have proposed
numerical methods to approximate the solutions of linear and nonlinear Fredholm
and Volterra integro-differential equations, such as the direct method via blockpulse functions [5], the sinc-collocation method [16,18,23], the variational iteration
method [22],the Chebyshev wavelet approximating method [10],the formulation
of the piecewise Tau method [11,12], the fast Galerkin scheme [4],the Modified
Homotopy Perturbation Method[21].Using a global approximation to the solution
of equations and functions is constructed by means of the spline quadrature in
[1,2,3,8,13,19,20].
In this paper, we use cubic B-spline collocation for approximation unknown function and use of the Newton-Cotes rules for approximating integrand.

2.

Cubic B-Spline

We introduce the cubic B-spline space and basis functions to construct an interpolant s to be used in the formulation of the cubic B-spline collocation method.
Let = {a = t0 < t1 < < tN = b}, be a uniform partition of the interval [a, b]
with step size h = ba
N . The cubic B-spline space is denoted by
S3 () = {s C 2 [a, b] : s |[ti ,ti+1 ] P3 ,

i = 0, 1, . . . , N },

where P3 is the class of cubic polynomials. The construction of the cubic B-spline
interpolate s to the analytical solution y for (1) can be performed with the help of
the four additional knots such that t2 < t1 < t0 and tN < tN +1 < tN +2 . We can
define a cubic B-spline s(t) of the form

s(t) =

N
+1

ci i3 (t),

(2)

i=1

where
i3 (t) =

1
6h3

(t ti2 )3
t [ti2 , ti1 ]

2
3
3 + 3h2 (t t

h
)
+
3h(t

t
)

3(t

t
)
t [ti1 , ti ]

i1
i1
i1
2
3
3
2
h + 3h (ti+1 t) + 3h(ti+1 t) 3(ti+1 t)
t [ti , ti+1 ]

(t

t)
t

[ti+1 , ti+2 ]

i+2
0
otherwise,

(3)

N. Ebrahimi & J. Rashidinia/ IJM2 C, 04 - 03 (2014) 289-298.

291

satisfying the following interpolatory conditions

s(ti ) = y(ti ),

0 i N,

and the boundary conditions

C1 .s (t0 ) = y (t0 ),

s (tN ) = y (tN ),

C2 .Dj s(t0 ) = Dj s(tN ),


C3 .s (t0 ) = 0,

3.

j = 1, 2,

s (tN ) = 0.

(4)

The Collocation Method


Nonlinear Fredholm integro-differential equation

3.1

In the given nonlinear Fredholm integro-differential Eq. (1), we can approximate


the unknown function by cubic B-spline (2), then we obtain:
m

pr (t)s(r) (t) = g(t)+

K(t, x, s(x))dx,

t [a, b], m = 1, 2,

(5)

r=0

with the boundary conditions,


m1

[i,r s(r) (a) + i,r s(r) (b)] = i ,

0 i m 1.

r=0

We now collocate Eq. (5) at collocation points tj = a+jh, h =


and we obtain
m

r=0

ba
N ,j

= 0, 1, . . . , N,

pr (tj )s(r) (tj ) = g(tj ) +

K(tj , x, s(x))dx, j = 0, . . . , N, m = 1, 2.

(6)

To approximate the integro-differential Eq. (6), we can use the Newton- Cotes
formula[9], when n is even then the Simpson rule can be used and when n is multiple
of 3 ,we have to use the three-eighth rule,then we get the following nonlinear system:
m

r=0

pr (tj )s(r) (tj ) = g(tj ) + h

i=0

with the boundary conditions,

wj,i K(tj , xi , s(xi )), j = 0, . . . , N, m = 1, 2,

(7)

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292

m1

[i,r s(r) (a) + i,r s(r) (b)] = i ,

0 i m 1,

r=0

where xi = a + ih, i = 0, 1, . . . , N,we need more equations to obtain the unique


solution for Eq. (7). Hence by associating Eq. (7) with (4) , we have the following
nonlinear system (N + 3) (N + 3):

N
m
(r)

r=0 pr (tj )s (tj ) = g(tj ) + h i=0 wj,i K(tj , xi , s(xi )), j = 0, . . . , N, m = 1, 2,

m1
r=0

[i,r s(r) (a) + i,r s(r) (b)] = i ,

0 i m 1,

(8)

where wj,i represents the weights for a quadrature rule of Newton-Cotes type.
By solving the above nonlinear system , we can determine the coefficients ci , i =
1, . . . , N + 1, by setting ci in (2), we obtain the approximate solution for Eq. (1).
3.2

Nonlinear Volterra integro-differential equation

Now we consider nonlinear Volterra integro-differential equation


m

pr (t)y (r) (t) = g(t) +

K(t, x, y(x))dx,

t [a, b], m = 1, 2,

(9)

r=0

with the boundary conditions,


m1

[i,r y (r) (a) + i,r y (r) (b)] = i ,

0 i m 1,

r=0

the solutions of Eq. (9)can be replaced with cubic B-spline and so we collocate Eq.
(9) at collocation points tj = a + jh, h = ta
N , j = 0, 1, . . . , N, then we obtain
m

(r)

pr (tj )s

tj

(tj ) = g(tj ) +

K(tj , x, s(x))dx, j = 0, . . . , N, m = 1, 2.

(10)

r=0

To approximate the integro-differential Eq. (10), we can use the Newton- Cotes
formula, when n is even then the Simpson rule can be used and when n is multiple of
3, we have to use the three-eighth rule,then we get the following nonlinear system:
m

(r)

pr (tj )s

(tj ) = g(tj ) + h

r=0

wj,i K(tj , xi , s(xi )), j = 1, . . . , N, m = 1, 2, (11)

i=0

with the boundary conditions,


m1

[i,r s(r) (a) + i,r s(r) (b)] = i ,

r=0

0 i m 1.

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293

We need more equations to obtain the unique solution for Eq. (11). Hence by
associating Eq. (11) with (4) , we have the following nonlinear system (N + 3)
(N + 3):
m
j
(r)

r=0 pr (tj )s (tj ) = g(tj ) + h


i=0 wj,i K(tj , xi , s(xi )), j = 1, . . . , N, m = 1, 2,

m
(r)
r=0 pr (t0 )s (t0 ) = g(t0 )

m1
(r)
(r)
0 i m 1.
(12)
r=0 [i,r s (a) + i,r s (b)] = i ,
By solving the above nonlinear system , we can determine the coefficients ci , i =
1, . . . , N + 1, by setting ci in (2), we obtain the approximate solution for Eq. (9).

4.

Error analysis: convergence of the approximate solution

In this section, we consider the error analysis of the Fredholm and Volterra integrodifferential equation of the second kind , first we recall the following definition in
[17].
Definition : Let s(t) be the cubic B-spline interpolate f C 4 [a, b], then for all
admissible h,there is a number Mj < ,independent of h, such that
Dj (f s)2 Mj f (4) 2 h4j1/2 , j = 0, . . . , 3 ,
where
Mj =

2
,
j!

j = 0, . . . , 3,

and Dj is the j-th derivative and if p = 4 j 1/2 is the largest number for which
such an inequality holds, then p is called the order of convergence of the method.
Theorem : The approximate method
m

pr (tj )s(r) (tj ) = g(tj ) + h

r=0

wj,i K(tj , xi , s(xi )), j = 1, . . . , N, m = 1, 2, (13)

i=0

for solution of the nonlinear Volterra integro-differential Eq .(9) is converge and


the error bounded is
(m)
|ej |

(r)

(r)

m1

|pmj |

r=0

|E(h, tj )|
hW L
+
|ei | +
,
|pmj |
|pmj |
j

(r)
|prj ||ej |

i=0

(r)

where ej = sj yj , r = 0, . . . , m, j = 1, . . . , N.
Proof : We know that at tj = a + jh, h = ta
N , j = 1, . . . , N , the corresponding
approximation method for nonlinear Volterra integro-differential equation (9) is
m

r=0

(r)

pr (tj )s

(tj ) = g(tj ) + h

i=0

wj,i K(tj , xi , s(xi )), j = 1, . . . , N, m = 1, 2.

(14)

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294

By discretizing (9) and approximating the integrand by the Newton- Cotes formula, we obtain
m

pr (tj )y (r) (tj ) = g(tj ) + h

r=0

wj,i K(tj , xi , y(xi )) + E(h, tj ), j = 1, . . . , N,

i=0

m = 1, 2,
where E(h, tj ) =

tj

K(tj , x, y(x))dx h

(15)

i=0 wj,i K(tj , xi , y(xi )).

By subtracting (15) from (14) and using interpolatory conditions of cubic B-spline,
we get
m

pr (tj )[s(r) (tj )y (r) (tj )] = h

r=0

wj,i [K(tj , xi , s(xi ))K(tj , xi , y(xi ))]E(h, tj ).

i=0
(m)

(m)

We suppose that W = maxi,j |wj,i | and s(m) (tj ) = sj , y (m) (tj ) = yj , j =


1, . . . , N, m = 1, 2. and kernel K satisfies a Lipschitz condition in its third argument of the form
|K(t, x, s) K(t, x, y)| L|s y|,
where L is independent of t, x, s and y. We get
(m)
|pmj ||sj

(m)
yj |

m1

(r)
|prj ||sj

(r)
yj |

+ hW L

r=0

|s(xi ) y(xi )| + |E(h, tj )|.

i=0

Since that |pmj | = 0 then we have


(m)
|ej |

(r)

(r)

m1

|pmj |

r=0

|E(h, tj )|
hW L
+
,
|ei | +
|pmj |
|pmj |
j

(r)
|prj ||ej |

i=0

(r)

where ej = sj yj , r = 0, . . . , m, j = 1, . . . , N.
Since by assumption both the quadrature error and the function approximate error
are zero in the limit ,it follows when h 0, lim max |E(h, tj )| = 0, and the above
second term is zero and the first term in the above tend to zero because this term
is due to interpolating of y(t)by cubic B-spline. We get for a fixed j,
(m)

|ej

5.

| 0 as h 0, m = 0, 1, 2.

Numerical Examples

In order to test the applicability of the presented method, we consider four examples
of linear and nonlinear Volterra and Fredholm integro-differential equations with
the boundary conditions. The absolute errors in the solution for various values of

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295

N are tabulated in Tables.The RMS error in the solutions:


v
u
N
u1
E=t
[s(xi ) y(xi )]2
N
i=0

is computed by our purposed method where y(t) is the exact solution and
s(t) is the approximated solution of integral equation. Programs preformed by
Mathematica for all the four examples.
Example 1. Consider the following linear Fredholm integro-differential equation
with exact solution y(t) = et ,

y (t) = e t +
t

xty(x)dx,
0

with boundary conditions:y(0) = 1, y (0) = 1.


This equation has been solved by our method with N = 10, 30, 60, the absolute
errors at the particular grid points and the RMS errors are tabulated in table 1 ,
which shows that the error in the solutions for our method decreases by reducing
the values of h.
Example 2. Consider the following linear Volterra integro-differential equation
with exact solution y(t) = et cosh t,
y (t) + y(t) =

ext y(x)dx,
0

with boundary conditions :y(0) = 1.


This equation has been solved by our method with N = 10, 30, 60, the absolute
errors at the particular grid points and the RMS errors are tabulated in table 2 ,
which shows that the error in the solutions for our method decreases by reducing
the values of h.
Example 3. Consider the following nonlinear Fredholm integro-differential equation with exact solution y(t) = t,
y (t) =

5 t2
+
4
3

(t2 x)y 2 (x)dx,

with boundary conditions :y(0) = 0.


The absolute errors at the particular grid points are tabulated in table 3 , and
compared with the absolute errors obtained by [14,15]. This table verified that
our results are more accurate in comparison.
Example 4. Consider the following nonlinear Volterra integro-differential
equation with exact solutiony(t) = cos t,
y (t) = 2 sin t cos t

with boundary conditions :y(0) = 1.

3 cos(t x)y 2 (x)dx,

296

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Table 1. The error E in solution of example 1 at particular points

t
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
The RMS error in our method

N = 10
0
4.39(6)
1.81(5)
4.24(5)
7.83(5)
1.27(4)
1.91(4)
2.70(4)
3.67(4)
4.85(4)
6.25(4)
2.61(4)

N = 30
0
4.82(7)
2.0(6)
4.69(6)
8.67(6)
1.41(5)
2.11(5)
2.99(5)
4.07(5)
5.37(5)
6.91(5)
2.89(5)

N = 60
0
1.20(7)
5.0(7)
1.17(6)
2.16(6)
3.52(6)
5.28(6)
7.49(6)
1.01(5)
1.34(5)
1.72(5)
7.24(6)

Table 2. The error E in solution of example 2 at particular points

t
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
The RMS error in our method

N = 10
6.66(16)
3.62(4)
5.10(5)
4.21(4)
7.32(5)
4.56(4)
7.48(5)
4.76(4)
6.18(5)
4.86(4)
3.87(5)
2.84(4)

N = 30
4.44(16)
4.03(5)
5.51(6)
4.67(5)
7.90(6)
5.06(5)
8.04(6)
5.28(5)
6.58(6)
5.38(5)
4.02(6)
3.14(5)

N = 60
0
8.01(7)
1.37(6)
1.75(6)
1.97(6)
2.04(6)
2.0(6)
1.86(6)
1.63(6)
1.34(6)
9.98(7)
7.86(6)

Table 3. The error E in solution of example 3 at particular points

t
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1

Our method
withN = 15
1.73(18)
1.38(17)
2.77(17)
5.55(17)
2.22(16)
5.55(17)
0
2.22(16)
4.44(16)
3.33(16)
0

method in [14]

method in [15]

5.06(15)
3.63(14)
7.36(14)
1.11(13)
1.41(13)
1.75(13)
2.29(13)
2.51(13)
2.67(13)
2.85(13)
2.86(13)

1.55(3)
4.01(3)
3.98(3)
1.47(3)
6.40(3)
8.87(3)
3.82(3)
3.75(3)
7.70(4)
2.14(3)
1.37(3)

The absolute errors at the particular grid points are tabulated in table 4 and
compared with the absolute errors obtained by [6,7] .This table verified that our
results are more accurate in comparison.

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297

Table 4. The error E in solution of example 4 at particular points

t
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1

Our method
withN = 12
0
4.93(4)
8.63(5)
2.01(5)
2.95(4)
3.27(4)
1.71(4)
2.26(4)
2.79(4)
1.07(5)
5.94(4)

Our method
withN = 34
0
4.21(5)
5.31(5)
1.67(5)
5.51(6)
3.71(5)
2.08(5)
4.72(5)
7.84(6)
1.75(5)
7.35(5)

method in [7]

method in[6]

0
1.16(3)
1.63(3)
1.23(3)
2.20(4)
1.33(3)
9.93(2)
7.66(4)
1.30(3)
2.26(3)
3.18(3)

0
1.41(4)
4.21(3)
5.05(3)
2.62(3)
1.54(2)
3.63(3)
1.19(2)
1.37(2)
4.38(3)
2.65(2)

Conclusions

In the present work, a technique has been developed for solving linear and nonlinear Fredholm and Volterra integro-differential equations by using the Newton-Cotes
formula and collocating by cubic B-spline. These equations are converted to a system of linear or nonlinear algebraic equations in terms of the linear combination
coefficients appearing in the representation of the solution in spline basic functions.This method tested on 4 examples .The absolute errors in the solutions of
these examples show that our approach is more accurate in comparison with the
methods given in [6,7,14,15] and our results verified the accurate nature of our
method.

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