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Electromagnetic wave propagation in complex

dispersive media

Associate Professor
Department of Mathematics

Workshop on Quantification of Uncertainties in Material Science


January 15, 2016

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A Polynomial Chaos Method for Microscale
Modeling

Associate Professor
Department of Mathematics

Workshop on Quantification of Uncertainties in Material Science


January 15, 2016

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 2 / 35


Outline

1 Preliminaries

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Outline

1 Preliminaries

2 Maxwell-Debye

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Outline

1 Preliminaries

2 Maxwell-Debye

3 Maxwell-Random Debye

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Outline

1 Preliminaries

2 Maxwell-Debye

3 Maxwell-Random Debye

4 Conclusions

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Acknowledgments

Collaborators
H. T. Banks (NCSU)
V. A. Bokil (OSU)
W. P. Winfree (NASA)
Students
Karen Barrese and Neel Chugh (REU 2008)
Anne Marie Milne and Danielle Wedde (REU 2009)
Erin Bela and Erik Hortsch (REU 2010)
Megan Armentrout (MS 2011)
Brian McKenzie (MS 2011)
Duncan McGregor (MS 2013, PhD 2016?)

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 4 / 35


Preliminaries

Preliminaries

Havriliak-Negami (H-N)
A general (phenomenological) material model that arises from
considerations of the multi-scale nature of the spatial microstructure of a
broad class of materials (e.g., glassy, soils, biological tissues, and
amorphous polymers). a
a
See “A complex plane representation of dielectric and mechanical relaxation
processes in some polymers”, J. Polym. Sci, 1967.

Corresponds to a fractional psuedo-differential equation model in the time


domain, not suitable for efficient simulation.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 5 / 35


Maxwell-Debye Maxwell’s Equations

Maxwell’s Equations

∂B
+ ∇ × E = 0, in (0, T ) × D (Faraday)
∂t
∂D
+ J − ∇ × H = 0, in (0, T ) × D (Ampere)
∂t
∇ · D = ∇ · B = 0, in (0, T ) × D (Poisson/Gauss)

E(0, x) = E0 ; H(0, x) = H0 , in D (Initial)

E × n = 0, on (0, T ) × ∂D (Boundary)

E= Electric field vector D= Electric flux density


H= Magnetic field vector B= Magnetic flux density
J= Current density n= Unit outward normal to ∂Ω
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 6 / 35
Maxwell-Debye Maxwell’s Equations

Constitutive Laws

Maxwell’s equations are completed by constitutive laws that describe the


response of the medium to the electromagnetic field.

D = E + P
B = µH + M
J = σE + Js

P= Polarization = Electric permittivity


M= Magnetization µ= Magnetic permeability
Js = Source Current σ= Electric Conductivity

where  = 0 ∞ and µ = µ0 µr .

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Maxwell-Debye Dispersive Media

Complex permittivity

We can usually define P in terms of a convolution


Z t
P(t, x) = g ∗ E(t, x) = g (t − s, x; q)E(s, x)ds,
0

where g is the dielectric response function (DRF).


In the frequency domain D̂ = Ê + ĝÊ = 0 (ω)Ê, where (ω) is
called the complex permittivity.
(ω) described by the polarization model

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 8 / 35


Maxwell-Debye Dry skin data

True Data
10
3 Debye Model
Cole−Cole Model
ε

2
10

1
10 2 4 6 8 10
10 10 10 10 10
f (Hz)

Figure : Real part of (ω), , or the permittivity [GLG96]. Note: up to 10%


spread in measurements was observed, but only averages were published.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 9 / 35


Maxwell-Debye Dry skin data

1
10

0
10

−1
10
σ

−2
10

−3
10 True Data
Debye Model
Cole−Cole Model
−4
10 2 4 6 8 10
10 10 10 10 10
f (Hz)

Figure : Imaginary part of (ω)/ω, σ, or the conductivity.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 10 / 35


Maxwell-Debye Dispersive Media

Polarization Models

Z t
P(t, x) = g ∗ E(t, x) = g (t − s, x; q)E(s, x)ds,
0

Debye model [1929] q = [∞ , d , τ ]

g (t, x) = 0 d /τ e −t/τ
or τ Ṗ + P = 0 d E
d
or (ω) = ∞ +
1 + iωτ
with d := s − ∞ and τ a relaxation time.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 11 / 35


Maxwell-Debye Dispersive Media

Polarization Models

Z t
P(t, x) = g ∗ E(t, x) = g (t − s, x; q)E(s, x)ds,
0

Debye model [1929] q = [∞ , d , τ ]

g (t, x) = 0 d /τ e −t/τ
or τ Ṗ + P = 0 d E
d
or (ω) = ∞ +
1 + iωτ
with d := s − ∞ and τ a relaxation time.
Cole-Cole model [1936] (heuristic generalization)
q = [∞ , d , τ, α]
d
(ω) = ∞ +
1 + (iωτ )α
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 11 / 35
Maxwell-Debye Dispersive Media

Polarization Models

Z t
P(t, x) = g ∗ E(t, x) = g (t − s, x; q)E(s, x)ds,
0

Debye model [1929] q = [∞ , d , τ ]


d
(ω) = ∞ +
1 + iωτ
Cole-Cole model [1941] q = [∞ , d , τ, α]
d
(ω) = ∞ +
1 + (iωτ )α

Havriliak-Negami model [1967] q = [∞ , d , τ, α, β]


d
(ω) = ∞ +
(1 + (iωτ )α )β

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 12 / 35


Maxwell-Random Debye Distribution of Parameters

Distributions of Relaxation Times

The macroscopic Debye polarization model can be derived from


microscopic dipole formulations by passing to a limit over the
molecular population [see, Elliot1993].

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 13 / 35


Maxwell-Random Debye Distribution of Parameters

Distributions of Relaxation Times

The macroscopic Debye polarization model can be derived from


microscopic dipole formulations by passing to a limit over the
molecular population [see, Elliot1993].
In 1907, von Schweidler observed the need for multiple relaxation
times.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 13 / 35


Maxwell-Random Debye Distribution of Parameters

Distributions of Relaxation Times

The macroscopic Debye polarization model can be derived from


microscopic dipole formulations by passing to a limit over the
molecular population [see, Elliot1993].
In 1907, von Schweidler observed the need for multiple relaxation
times.
In 1913, Wagner proposed a (continuous) distribution of relaxation
times.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 13 / 35


Maxwell-Random Debye Distribution of Parameters

Distributions of Relaxation Times

The macroscopic Debye polarization model can be derived from


microscopic dipole formulations by passing to a limit over the
molecular population [see, Elliot1993].
In 1907, von Schweidler observed the need for multiple relaxation
times.
In 1913, Wagner proposed a (continuous) distribution of relaxation
times.
Empirical measurements suggest a log-normal or Beta distribution
[Bottcher-Bordewijk1978].

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 13 / 35


Maxwell-Random Debye Distribution of Parameters

Distributions of Relaxation Times

The macroscopic Debye polarization model can be derived from


microscopic dipole formulations by passing to a limit over the
molecular population [see, Elliot1993].
In 1907, von Schweidler observed the need for multiple relaxation
times.
In 1913, Wagner proposed a (continuous) distribution of relaxation
times.
Empirical measurements suggest a log-normal or Beta distribution
[Bottcher-Bordewijk1978].
One can show that the S-N (and Cole-Cole) model corresponds to a
continuous distribution “... it is possible to calculate the necessary
distribution function by the method of Fuoss and Kirkwood.”
[Cole-Cole1941].

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 13 / 35


Maxwell-Random Debye Distribution of Parameters

Distributions of Relaxation Times

The macroscopic Debye polarization model can be derived from


microscopic dipole formulations by passing to a limit over the
molecular population [see, Elliot1993].
In 1907, von Schweidler observed the need for multiple relaxation
times.
In 1913, Wagner proposed a (continuous) distribution of relaxation
times.
Empirical measurements suggest a log-normal or Beta distribution
[Bottcher-Bordewijk1978].
One can show that the S-N (and Cole-Cole) model corresponds to a
continuous distribution “... it is possible to calculate the necessary
distribution function by the method of Fuoss and Kirkwood.”
[Cole-Cole1941].
“Continuous spectrum relaxation functions” are also common in
viscoelastic models.
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 13 / 35
Maxwell-Random Debye Fit to dry skin data with uniform distribution

3
True Data
10 Debye (27.79)
Cole−Cole (10.4)
Uniform (13.60)
ε

2
10

2 4 6 8 10
10 10 10 10 10
f (Hz)

Figure : Real part of (ω), , or the permittivity [REU2008].

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 14 / 35


Maxwell-Random Debye Fit to dry skin data with uniform distribution

1
10 True Data
Debye (27.79)
Cole−Cole (10.4)
Uniform (13.60)
0
10

−1
10
σ

−2
10

−3
10

2 4 6 8 10
10 10 10 10 10
f (Hz)

Figure : Imaginary part of (ω)/ω, σ, or the conductivity [REU2008].

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 15 / 35


Maxwell-Random Debye Distribution of Parameters

Distributions of Parameters

To account for the effect of possible multiple parameter sets q, consider


the following polydispersive DRF
Z
h(t, x; F ) = g (t, x; q)dF (q),
Q

where Q is some admissible set and F ∈ P(Q).


Then the polarization becomes:
Z t
P(t, x; F ) = h(t − s, x; F )E(s, x)ds.
0

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 16 / 35


Maxwell-Random Debye

Random Polarization

Alternatively we can define the random polarization P(t, x; τ ) to be the


solution to
τ Ṗ + P = 0 d E
where τ is a random variable with PDF f (τ ), for example,

1
f (τ ) =
τb − τa
for a uniform distribution.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 17 / 35


Maxwell-Random Debye

Random Polarization

Alternatively we can define the random polarization P(t, x; τ ) to be the


solution to
τ Ṗ + P = 0 d E
where τ is a random variable with PDF f (τ ), for example,

1
f (τ ) =
τb − τa
for a uniform distribution.
The electric field depends on the macroscopic polarization, which we take
to be the expected value of the random polarization at each point (t, x)
Z τb
P(t, x; F ) = P(t, x; τ )f (τ )dτ.
τa

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 17 / 35


Maxwell-Random Debye Polynomial Chaos

Polynomial Chaos

Apply Polynomial Chaos (PC) method to approximate each spatial


component of the random polarization

τ Ṗ + P = 0 d E , τ = τ (ξ) = τr ξ + τm , ξ∼F

resulting in
~˙ + α
(τr M + τm I )α ~ = 0 d E eˆ1
or
~ = ~f .
~˙ + α

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 18 / 35


Maxwell-Random Debye Polynomial Chaos

Polynomial Chaos

Apply Polynomial Chaos (PC) method to approximate each spatial


component of the random polarization

τ Ṗ + P = 0 d E , τ = τ (ξ) = τr ξ + τm , ξ∼F

resulting in
~˙ + α
(τr M + τm I )α ~ = 0 d E eˆ1
or
~ = ~f .
~˙ + α

The electric field depends on the macroscopic polarization, the expected
value of the random polarization at each point (t, x), which is

P(t, x; F ) = E[P] ≈ α0 (t, x).

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 18 / 35


Maxwell-Random Debye Polynomial Chaos

Maximum Difference Calculated for different values of p and r


2
10

0 r = 1.00τ
10
r = 0.75τ
r = 0.50τ
r = 0.25τ
−2
10

−4
Maximum Error

10

−6
10

−8
10

−10
10

−12
10
0 1 2 3 4 5 6 7 8 9 10
p

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 19 / 35


Maxwell-Random Debye Inverse Problem Numerical Results

Comparison, noise = 0.1, refinement = 1, perturb = −0.8


100
Data
Initial J=983.713
80 Optimal J=1.25869
Actual J=1.25879

60

40

20
E

−20

−40

−60

−80
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6
t x 10
−9

Comparison of simulations to data [Armentrout-G., 2011].


(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 20 / 35
Maxwell-Random Debye Inverse Problem Numerical Results

11 Distributions, noise = 0.1, refinement = 1, perturb = −0.8


x 10
6
Initial J=983.713
Optimal J=1.25869
Actual J=1.25879

0
−12 −11 −10
10 10 10

Comparison of initial to final distribution [Armentrout-G., 2011].


(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 21 / 35
Maxwell-Random Debye Inverse Problem Numerical Results
11 Distributions, noise = 0.1, refinement = 1,test = 5
×10
3.5
Initial J=9.59699
Optimal J=3.02332
Actual J=3.02348
3

2.5

1.5

0.5

0
0 0.2 0.4 0.6 0.8 1 1.2
×10 -11

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 22 / 35


Maxwell-Random Debye

Maxwell-Random Debye system

In a polydispersive Debye material, we have


∂H
µ0 = −∇ × E, (1a)
∂t
∂E ∂P
0 ∞ =∇×H− −J (1b)
∂t ∂t
∂P
τ + P = 0 d E (1c)
∂t
with Z τb
P(t, x; F ) = P(t, x; τ )dF (τ ).
τa

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 23 / 35


Maxwell-Random Debye Random Debye Dispersion Relation

Theorem (G., 2015)


The dispersion relation for the system (1) is given by

ω2
(ω) = kkk2
c2
where the expected complex permittivity is given by
 
1
(ω) = ∞ + d E .
1 + iωτ

Where k is the wave vector and c = 1/ µ0 0 is the speed of light.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 24 / 35


Maxwell-Random Debye Random Debye Dispersion Relation

Theorem (G., 2015)


The dispersion relation for the system (1) is given by

ω2
(ω) = kkk2
c2
where the expected complex permittivity is given by
 
1
(ω) = ∞ + d E .
1 + iωτ

Where k is the wave vector and c = 1/ µ0 0 is the speed of light.

Note: for a uniform distribution on [τa , τb ], this has an analytic form since
 τ =τa
   
1 1 1 2
E = arctan(ωτ ) + i ln 1 + (ωτ ) .
1 + iωτ ω(τb − τa ) 2 τ =τb

The exact dispersion relation can be compared with a discrete dispersion


relation to determine the amount of dispersion error.
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 24 / 35
Maxwell-Random Debye FDTD

Finite Difference Time Domain (FDTD)

We now choose a discretization of the Maxwell-PC Debye model. Note


that any scheme can be used independent of the spectral approach in
random space employed here.
The Yee Scheme (FDTD)
This gives an explicit second order accurate scheme in time and space.
It is conditionally stable with the CFL condition
c∆t 1
ν := ≤√
h d

where ν is called the Courant number and c∞ = 1/ µ0 0 ∞ is the
fastest wave speed and d is the spatial dimension, and h is the
(uniform) spatial step.
The Yee scheme can exhibit numerical dispersion and dissipation.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 25 / 35


Maxwell-Random Debye FDTD

Yee Scheme for Maxwell-Debye System (in 1D)

∂H ∂E
µ0 =−
∂t ∂z
∂E ∂H ∂P
0 ∞ =− −
∂t ∂z ∂t
∂P
τ = 0 d E − P
∂t
become
n+1 n n+ 1 n+ 12
Hj+ 1 − H Ej+12 − Ej
2
j+ 1 2
µ0 =−
∆t ∆z
n+ 1 n− 1 n n n+ 12 n− 21
Ej 2 − Ej 2 Hj+ 1 − H Pj − Pj
2
j− 1 2
0 ∞ =− −
∆t ∆z ∆t
n+ 1 n− 1 n+ 1 n− 1 n+ 1 n− 21
Pj 2 − Pj 2 Ej 2 + Ej 2 Pj 2 + Pj
τ = 0 d − .
∆t 2 2
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 26 / 35
Maxwell-Random Debye FDTD

Discrete Debye Dispersion Relation

(Petropolous1994) showed that for the Yee scheme applied to the


Maxwell-Debye, the discrete dispersion relation can be written
2
ω∆ 2
∆ (ω) = K∆
c2
where the discrete complex permittivity is given by
 
1
∆ (ω) = ∞ + d
1 + iω∆ τ∆

with discrete (mis-)representations of ω and τ given by

sin (ω∆t/2)
ω∆ = , τ∆ = sec(ω∆t/2)τ.
∆t/2

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 27 / 35


Maxwell-Random Debye FDTD

Discrete Debye Dispersion Relation (cont.)

The quantity K∆ is given by

sin (k∆z/2)
K∆ =
∆z/2

in 1D and is related to the symbol of the discrete first order spatial


difference operator by
iK∆ = F(D1,∆z ).
In this way, we see that the left hand side of the discrete dispersion relation
2
ω∆ 2
∆ (ω) = K∆
c2
is unchanged when one moves to higher order spatial derivative
approximations [Bokil-G,2012] or even higher spatial dimension
[Bokil-G,2013].
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 28 / 35
Maxwell-Random Debye PC-Debye FDTD Dispersion Relation

Theorem (G., 2015)


The discrete dispersion relation for the Maxwell-PC Debye FDTD scheme
is given by
2
ω∆ 2
∆ (ω) = K∆
c2
where the discrete expected complex permittivity is given by

∆ (ω) := ∞ + d ê1T (I + iω∆ A∆ )−1 ê1

and the discrete PC matrix is given by

A∆ := sec(ω∆t/2)A.

The definitions of the parameters ω∆ and K∆ are the same as before.


Recall the exact complex permittivity is given by
 
1
(ω) = ∞ + d E .
1 + iωτ
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 29 / 35
Maxwell-Random Debye PC-Debye FDTD Dispersion Analysis

Dispersion Error

We define the phase error Φ for a scheme applied to a model to be



kEX − k∆
Φ = , (2)
kEX
where the numerical wave number k∆ is implicitly determined by the
corresponding dispersion relation and kEX is the exact wave number for
the given model.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 30 / 35


Maxwell-Random Debye PC-Debye FDTD Dispersion Analysis

Dispersion Error

We define the phase error Φ for a scheme applied to a model to be



kEX − k∆
Φ = , (2)
kEX
where the numerical wave number k∆ is implicitly determined by the
corresponding dispersion relation and kEX is the exact wave number for
the given model.
We wish to examine the phase error as a function of ω∆t in the
range [0, π]. ∆t is determined by hτ τm , while ∆x = ∆y determined
by CFL condition.
We note that ω∆t = 2π/Nppp , where Nppp is the number of points
per period, and is related to the number of points per wavelength as,

Nppw = ∞ νNppp .
We assume a uniform distribution and the following parameters which
are appropriate constants for modeling aqueous Debye type materials:
∞ = 1, s = 78.2, τm = 8.1 × 10−12 sec, τr = 0.5τm .
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 30 / 35
Maxwell-Random Debye PC-Debye FDTD Dispersion Analysis

PC−Debye dispersion for FD with hτ=0.01, r=0.5τ, θ=0 PC−Debye dispersion for FD with hτ=0.01, r=0.9τ, θ=0
0.4 0.4

0.35 0.35

0.3 0.3

0.25 0.25
M=0
Φ

Φ
0.2 M=1 0.2
M=2
0.15 M=3 0.15 M=0
M=1
0.1 0.1 M=2
M=3
M=4
0.05 0.05
M=5
M=6
0 0
0 0.5 1 1.5 2 2.5 3 0 0.5 1 1.5 2 2.5 3
ω∆t ω∆t

Figure : Plots of phase error at θ = 0 for (left column) τr = 0.5τm , (right


column) τr = 0.9τm , using hτ = 0.01.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 31 / 35


Maxwell-Random Debye PC-Debye FDTD Dispersion Analysis

PC−Debye dispersion for FD with hτ=0.001, r=0.5τ, θ=0 PC−Debye dispersion for FD with hτ=0.001, r=0.9τ, θ=0
0.5 0.5

0.45 0.45

0.4 0.4

0.35 0.35

0.3 0.3 M=0


M=1
Φ

Φ
0.25 0.25 M=2
M=3
0.2 0.2 M=4
M=5
0.15 0.15
M=6
0.1 M=0 0.1
M=1
0.05 M=2 0.05
M=3
0 0
0 0.5 1 1.5 2 2.5 3 0 0.5 1 1.5 2 2.5 3
ω∆t ω∆t

Figure : Plots of phase error at θ = 0 for (left column) τr = 0.5τm , (right


column) τr = 0.9τm , using hτ = 0.001.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 32 / 35


Maxwell-Random Debye PC-Debye FDTD Dispersion Analysis

PC−Debye dispersion for FD with h =0.01, r=0.5τ, ωτ =1 PC−Debye dispersion for FD with h =0.01, r=0.9τ, ωτ =1
τ µ τ µ

90 −1 M=0 90 −1 M=0
120 60 M=1 120 60 M=1
M=2 M=2
−3 M=3 −3 M=3
M=4
150 23 150 23 M=5
−5 −5 M=6

180 0 180 0

210 330 210 330

240 300 240 300


270 270

Figure : Log plots of phase error versus θ with fixed ω = 1/τm for (left column)
τr = 0.5τm , (right column) τr = 0.9τm , using hτ = 0.01. Legend indicates degree
M of the PC expansion.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 33 / 35


Maxwell-Random Debye PC-Debye FDTD Dispersion Analysis

PC−Debye dispersion for FD with h =0.001, r=0.5τ, ωτ =1 PC−Debye dispersion for FD with h =0.001, r=0.9τ, ωτ =1
τ µ τ µ

90 −1 M=0 90 −1 M=0
120 60 M=1 120 60 M=1
M=2 M=2
−3 M=3 −3 M=3
M=4
150 23 150 23 M=5
−5 −5 M=6

180 0 180 0

210 330 210 330

240 300 240 300


270 270

Figure : Log plots of phase error versus θ with fixed ω = 1/τm for (left column)
τr = 0.5τm , (right column) τr = 0.9τm , using hτ = 0.001. Legend indicates
degree M of the PC expansion.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 34 / 35


Conclusions

Conclusions

We have presented a random ODE model for polydispersive Debye


media

1
Gibson, N. L., A Polynomial Chaos Method for Dispersive Electromagnetics,
Comm. in Comp. Phys., 2015
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 35 / 35
Conclusions

Conclusions

We have presented a random ODE model for polydispersive Debye


media
We described an efficient numerical method utilizing polynomial
chaos (PC) and finite difference time domain (FDTD)

1
Gibson, N. L., A Polynomial Chaos Method for Dispersive Electromagnetics,
Comm. in Comp. Phys., 2015
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 35 / 35
Conclusions

Conclusions

We have presented a random ODE model for polydispersive Debye


media
We described an efficient numerical method utilizing polynomial
chaos (PC) and finite difference time domain (FDTD)
Exponential convergence in the number of PC terms was
demonstrated

1
Gibson, N. L., A Polynomial Chaos Method for Dispersive Electromagnetics,
Comm. in Comp. Phys., 2015
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 35 / 35
Conclusions

Conclusions

We have presented a random ODE model for polydispersive Debye


media
We described an efficient numerical method utilizing polynomial
chaos (PC) and finite difference time domain (FDTD)
Exponential convergence in the number of PC terms was
demonstrated
We have proven (conditional) stability of the scheme via energy decay
(not shown)1

1
Gibson, N. L., A Polynomial Chaos Method for Dispersive Electromagnetics,
Comm. in Comp. Phys., 2015
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 35 / 35
Conclusions

Conclusions

We have presented a random ODE model for polydispersive Debye


media
We described an efficient numerical method utilizing polynomial
chaos (PC) and finite difference time domain (FDTD)
Exponential convergence in the number of PC terms was
demonstrated
We have proven (conditional) stability of the scheme via energy decay
(not shown)1
We have derived a discrete dispersion relation and computed phase
errors

1
Gibson, N. L., A Polynomial Chaos Method for Dispersive Electromagnetics,
Comm. in Comp. Phys., 2015
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 35 / 35
(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 36 / 35
Appendix Polynomial Chaos

Polynomial Chaos: Simple example

Consider the first order, constant coefficient, linear IVP

ẏ + ky = g , y (0) = y0

with
k = k(ξ) = ξ, ξ ∼ N (0, 1), g (t) = 0.
We can represent the solution y as a Polynomial Chaos (PC) expansion in
terms of (normalized) orthogonal Hermite polynomials Hj :

X
y (t, ξ) = αj (t)φj (ξ), φj (ξ) = Hj (ξ).
j=0

Substituting into the ODE we get



X ∞
X
α̇j (t)φj (ξ) + αj (t)ξφj (ξ) = 0.
j=0 j=0

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 37 / 35


Appendix Polynomial Chaos

Triple recursion formula


X ∞
X
α̇j (t)φj (ξ) + αj (t)ξφj (ξ) = 0.
j=0 j=0

We can eliminate the explicit dependence on ξ by using the triple recursion


formula for Hermite polynomials

ξHj = jHj−1 + Hj+1 .

Thus

X ∞
X
α̇j (t)φj (ξ) + αj (t)(jφj−1 (ξ) + φj+1 (ξ)) = 0.
j=0 j=0

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 38 / 35


Appendix Polynomial Chaos

Galerkin Projection onto span({φi }pi=0 )

In order to approximate y we wish to find a finite system for at least the


first few αi .
We take the weighted inner product with the ith basis, i = 0, . . . , p,

X
α̇j (t)hφj , φi iW + αj (t)(jhφj−1 , φi iW + hφj+1 , φi iW ) = 0,
j=0

where Z
hf (ξ), g (ξ)iW := f (ξ)g (ξ)W (ξ)dξ.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 39 / 35


Appendix Polynomial Chaos

Galerkin Projection onto span({φi }pi=0 )

In order to approximate y we wish to find a finite system for at least the


first few αi .
We take the weighted inner product with the ith basis, i = 0, . . . , p,

X
α̇j (t)hφj , φi iW + αj (t)(jhφj−1 , φi iW + hφj+1 , φi iW ) = 0,
j=0

where Z
hf (ξ), g (ξ)iW := f (ξ)g (ξ)W (ξ)dξ.

By orthogonality, hφj , φi iW = hφi , φi iW δij , we have

α̇i hφi , φi iW + (i + 1)αi+1 hφi , φi iW + αi−1 hφi , φi iW = 0, i = 0, . . . , p.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 39 / 35


Appendix Polynomial Chaos

Deterministic ODE system

Let α
~ represent the vector containing α0 (t), . . . , αp (t).
Assuming α−1 (t), αp+1 (t), etc., are identically zero, the system of ODEs
can be written
~˙ + M α
α ~ = ~0,
with  
0 1
 1 0 2 
 
 .. .. .. 
M=
 . . . 

 .. .. 
 . . p 
1 0
Pp
The degree p PC approximation is y (t, ξ) ≈ y p (t, ξ) = j=0 αj (t)φj (ξ).
The mean value E[y (t, ξ)] ≈PE[y p (t, ξ)] = α0 (t).
The variance Var (y (t, ξ)) ≈ pj=1 αj (t)2 .

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 40 / 35


Appendix Polynomial Chaos

Figure : Convergence of error with Gaussian random variable by Hermitian-chaos.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 41 / 35


Appendix Polynomial Chaos

Generalizations

Consider the non-homogeneous IVP

ẏ + ky = g (t), y (0) = y0

with
k = k(ξ) = σξ + µ, ξ ∼ N (0, 1),
then

α̇i + σ [(i + 1)αi+1 + αi−1 ] + µαi = g (t)δ0i , i = 0, . . . , p,

or the deterministic ODE system is

~˙ + (σM + µI )~
α α = g (t)e~1 .

~ (0) = y0 e~1 .
Note that the initial condition for the PC system is α

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 42 / 35


Appendix Polynomial Chaos

Generalizations

For any choice of family of orthogonal polynomials, there exists a triple


recursion formula. Given the arbitrary relation

ξφj = aj φj−1 + bj φj + cj φj+1

(with φ−1 = 0) then the matrix above becomes


 
b0 a1
 c0 b1 a2 
 
 .. .. .. 
M=  . . . 

 .. .. 
 . . ap 
cp−1 bp

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 43 / 35


Appendix Polynomial Chaos

Generalized Polynomial Chaos

Table : Popular distributions and corresponding orthogonal polynomials.


Distribution Polynomial Support
Gaussian Hermite (−∞, ∞)
gamma Laguerre [0, ∞)
beta Jacobi [a, b]
uniform Legendre [a, b]

Note: lognormal random variables may be handled as a non-linear function


(e.g., Taylor expansion) of a normal random variable.

(N.L. Gibson, OSU) Maxwell-PC Debye NIST-UQ4Mat 2016 44 / 35

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