Parameter-uniform numerical method for singularly perturbed convection-diffusion problem on a circular domain

A linear singularly perturbed elliptic problem, of convection-diffusion type, posed on a circular domain is examined. Regularity constraints are imposed on the data in the vicinity of the two characteristic points. The solution is decomposed into a regular and a singular component. A priori parameter-explicit pointwise bounds on the partial derivatives of these components are established. By transforming to polar co-ordinates, a monotone finite difference method is constructed on a piecewise-uniform layer-adapted mesh of Shishkin type. Numerical analysis is presented for this monotone numerical method. The numerical method is shown to be parameter-uniform. Numerical results are presented to illustrate the theoretical error bounds established.     

A parameter-uniform numerical method for time-dependent singularly perturbed differential-difference equations

A numerical study is made for solving a class of time-dependent singularly perturbed convection–diffusion problems with retarded terms which often arise in computational neuroscience. To approximate the retarded terms, a Taylor’s series expansion has been used and the resulting time-dependent singularly perturbed differential equation is approximated using parameter-uniform numerical methods comprised of a standard implicit finite difference scheme to discretize in the temporal direction on a uniform mesh by means of Rothe’s method and a B-spline collocation method in the spatial direction on a piecewise-uniform mesh of Shishkin type. The method is shown to be accurate of order O(M⁻¹ + N⁻² ln³N), where M and N are the number of mesh points used in the temporal direction and in the spatial direction respectively. An extensive amount of analysis has been carried out to prove the uniform convergence with respect to the singular perturbation parameter. Numerical results are given to illustrate the parameter-uniform convergence of the numerical approximations. Comparisons of the numerical solutions are performed with an upwind and midpoint upwind finite difference scheme on a piecewise-uniform mesh to demonstrate the efficiency of the method.     

Numerical approximations to a singularly perturbed convection-diffusion problem with a discontinuous initial condition

A singularly perturbed parabolic problem of convection-diffusion type with a discontinuous initial condition is examined. An analytic function is identified which matches the discontinuity in the initial condition and also satisfies the homogenous parabolic differential equation associated with the problem. The difference between this analytical function and the solution of the parabolic problem is approximated numerically, using an upwind finite difference operator combined with an appropriate layer-adapted mesh. The numerical method is shown to be parameter-uniform. Numerical results are presented to illustrate the theoretical error bounds established in the paper.

     

Parameter-uniform numerical methods for some linear and nonlinear singularly perturbed convection diffusion boundary turning point problems

Both linear and nonlinear singularly perturbed two point boundary value problems are examined in this paper. In both cases, the problems have a boundary turning point and are of convection-diffusion type. Parameter-uniform numerical methods composed of monotone finite difference operators and piecewise-uniform Shishkin meshes, are constructed and analyzed for both the linear and the nonlinear class of problems. Numerical results are presented to illustrate the theoretical parameter-uniform error bounds established.     

A normal approximation for beta and gamma tail probabilities

Summary Normal approximations are developed for the beta- and related distributions, using an approach similar to that of Peizer and Pratt (1968). No series expansions are involved, and the few elementary functions required can be easily computed on pocket calculators. In a numerical investigation the approximations compared very favorably with their competitors. Theoretical bounds for the error show that the precision is especially great in the extreme tails.Work supported by the Deutsche Forschungsgemeinschaft at the Sonderforschungsbereich 123, Universität Heidelberg     

A parameter-uniform numerical method for a singularly perturbed two parameter elliptic problem

In this paper, a class of singularly perturbed elliptic partial differential equations posed on a rectangular domain is studied. The differential equation contains two singular perturbation parameters. The solutions of these singularly perturbed problems are decomposed into a sum of regular, boundary layer and corner layer components. Parameter-explicit bounds on the derivatives of each of these components are derived. A numerical algorithm based on an upwind finite difference operator and a tensor product of piecewise-uniform Shishkin meshes is analysed. Parameter-uniform asymptotic error bounds for the numerical approximations are established.     

Fitted mesh method for singularly perturbed reaction-convection-diffusion problems with boundary and interior layers

A robust numerical method for a singularly perturbed secondorder ordinary differential equation having two parameters with a discontinuous source term is presented in this article. Theoretical bounds are derived for the derivatives of the solution and its smooth and singular components. An appropriate piecewise uniform mesh is constructed, and classical upwind finite difference schemes are used on this mesh to obtain the discrete system of equations. Parameter-uniform error bounds for the numerical approximations are established. Numerical results are provided to illustrate the convergence of the numerical approximations.     

Implementing bounds-based approximations in convex-concave two-stage stochastic programming

This paper is concerned with implementational issues and computational testing of bounds-based approximations for solving two-stage stochastic programs with fixed recourse. The implemented bounds are those derived by the authors previously, using first and cross moment information of the random parameters and a convex-concave saddle property of the recourse function. The paper first examines these bounds with regard to their tightness, monotonic behavior, convergence properties, and computationally exploitable decomposition structures. Subsequently, the bounds are implemented under various partitioning/refining strategies for the successive approximation. The detailed numerical experiments demonstrate the effectiveness in solving large scenario-based two-stage stochastic optimization problems throughsuccessive scenario clusters induced by refining the approximations.     

A Shishkin mesh for a singularly perturbed Riccati equation

In this paper a singularly perturbed Riccati initial value problem is examined. Parameter explicit bounds on the solution and its derivatives are given. A numerical method composed of an implicit difference operator and a piecewise-uniform Shishkin mesh is constructed. A theoretical parameter independently bound on the errors in the numerical approximations is established. Numerical results are presented which are in agreement with the theoretical error bound.     

Fitted Mesh Method for a Class of Singularly Perturbed Differential-Difference Equations

This paper deals with a more general class of singularly perturbed boundary value problem for a differential-difference equations with small shifts. In particular, the numerical study for the problems where second order derivative is multiplied by a small parameter $ε$ and the shifts depend on the small parameter $ε$ has been considered. The fitted-mesh technique is employed to generate a piecewise-uniform mesh, condensed in the neighborhood of the boundary layer. The cubic B-spline basis functions with fitted-mesh are considered in the procedure which yield a tridiagonal system which can be solved efficiently by using any well-known algorithm. The stability and parameter-uniform convergence analysis of the proposed method have been discussed. The method has been shown to have almost second-order parameter-uniform convergence. The effect of small parameters on the boundary layer has also been discussed. To demonstrate the performance of the proposed scheme, several numerical experiments have been carried out.     

Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance

Abstract

In this article, we study a continuous time optimal filter and its various numerical approximations. This filter arises in an optimal allocation problem in the particular context of a non-stationary economy. We analyse the rates of convergence of the approximations of the filter when the model is misspecified and when the observations can only be made at discrete times. We give bounds that are uniform in time. Numerical results are presented.     

A computational method for singularly perturbed nonlinear differential-difference equations with small shift

This paper is devoted to the numerical study of the boundary value problems for nonlinear singularly perturbed differential-difference equations with small delay. Quasilinearization process is used to linearize the nonlinear differential equation. After applying the quasilinearization process to the nonlinear problem, a sequence of linearized problems is obtained. To obtain parameter-uniform convergence, a piecewise-uniform mesh is used, which is dense in the boundary layer region and coarse in the outer region. The parameter-uniform convergence analysis of the method has been discussed. The method has shown to have almost second-order parameter-uniform convergence. The effect of small shift on the boundary layer(s) has also been discussed. To demonstrate the performance of the proposed scheme two examples have been carried out. The maximum absolute errors and uniform rates of convergence have been presented in the form of the tables.     

On a Steffensen-Hermite method of order three

In this paper we study a third order Steffensen type method obtained by controlling the interpolation nodes in the Hermite inverse interpolation polynomial of degree 2. We study the convergence of the iterative method and we provide new convergence conditions which lead to bilateral approximations for the solution; it is known that the bilateral approximations have the advantage of offering a posteriori bounds of the errors. The numerical examples confirm the advantage of considering these error bounds.     

Bounds and Numerical Results for Homogenized Degenerated p-Poisson Equations

In this paper we derive upper and lower bounds on the homogenized energy density functional corresponding to degenerated p-Poisson equations. Moreover, we give some non-trivial examples where the bounds are tight and thus can be used as good approximations of the homogenized properties. We even present some cases where the bounds coincide and also compare them with some numerical results.     

A-posteriori error analysis and adaptive finite element methods for singularly perturbed convection-diffusion equations

For singularly perturbed one-dimensional convection-diffusion equations, finite element approximations are constructed based on a so-called approximate symmetrization of the given unsymmetric problem. Local a-posteriori error estimates are established with respect to an appropriate energy norm where the bounds are proved to be realistic. The local bounds, called error indicators, provide a basis for a self-adaptive mesh refinement. For a model problem numerical results are presented showing that the adaptive method detects and resolves the boundary layer.     

Numerical approximations of a nonlinear eigenvalue problem and applications to a density functional model

In this paper, we study numerical approximations of a nonlinear eigenvalue problem and consider applications to a density functional model. We prove the convergence of numerical approximations. In particular, we establish several upper bounds of approximation errors and report some numerical results of finite element electronic structure calculations that support our theory. Copyright © 2010 John Wiley & Sons, Ltd.     

Computing Bounds on the Expected Maximum of Correlated Normal Variables

We compute upper and lower bounds on the expected maximum of correlated normal variables (up to a few hundred in number) with arbitrary means, variances, and correlations. Two types of bounding processes are used: perfectly dependent normal variables, and independent normal variables, both with arbitrary mean values. The expected maximum for the perfectly dependent variables can be evaluated in closed form; for the independent variables, a single numerical integration is required. Higher moments are also available. We use mathematical programming to find parameters for the processes, so they will give bounds on the expected maximum, rather than approximations of unknown accuracy. Our original application is to the maximum number of people on-line simultaneously during the day in an infinite-server queue with a time-varying arrival rate. The upper and lower bounds are tighter than previous bounds, and in many of our examples are within 5% or 10% of each other. We also demonstrate the bounds’ performance on some PERT models, AR/MA time series, Brownian motion, and product-form correlation matrices.     

Approximate Separability of the Green's Function of the Helmholtz Equation in the High Frequency Limit

The minimum number of terms that are needed in a separable approximation for a Green's function reveals the intrinsic complexity of the solution space of the underlying differential equation. It also has implications for whether low‐rank structures exist in the linear system after numerical discretization. The Green's function for a coercive elliptic differential operator in divergence form was shown to be highly separable [2], and efficient numerical algorithms exploiting low‐rank structures of the discretized systems were developed. In this work, a new approach to study the approximate separability of the Green's function of the Helmholtz equation in the high‐frequency limit is developed. We show (1) lower bounds based on an explicit characterization of the correlation between two Green's functions and a tight dimension estimate for the best linear subspace to approximate a set of decorrelated Green's functions, (2) upper bounds based on constructing specific separable approximations, and (3) sharpness of these bounds for a few case studies of practical interest. © 2018 Wiley Periodicals, Inc.     

Scaled discrete derivatives of singularly perturbed elliptic problems

Numerical approximations to the solution of a singularly perturbed elliptic convection–diffusion problem in two space dimensions are generated using a monotone finite difference operator on a tensor product of piecewise‐uniform Shishkin meshes. The bilinear interpolants of these numerical approximations are parameter‐uniformly convergent to the solution of the continuous problem, in the pointwise maximum norm. In this article, discrete approximations to the first derivatives of the solution are shown to be globally first‐order (up to logarithmic factors) uniformly convergent, when the errors are scaled within the analytical layers of the continuous problem. Numerical results are presented to illustrate the theoretical error bounds established in an appropriated weighted C¹–norm. © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 225–252, 2015