High-order quadratures for integral operators with singular kernels

A numerical integration method that has rapid convergence for integrands with known singularities is presented. Based on endpoint corrections to the trapezoidal rule, the quadratures are suited for the discretization of a variety of integral equations encountered in mathematical physics. The quadratures are based on a technique introduced by Rokhlin (1990). The present modification controls the growth of the quadrature weights and permits higher-order rules in practice. Several numerical examples are included.     

Numerical analysis of a fast integration method for highly oscillatory functions

The integration of systems containing Bessel functions is a central point in many practical problems in physics, chemistry and engineering. This paper presents a new numerical analysis for the collocation method presented by Levin for and gives more accurate error analysis about the integration of systems containing Bessel functions. The effectiveness and accuracy of the quadrature is tested for Bessel functions with large arguments. AMS subject classification (2000)  65D32, 65D30     

快速配置法中数值积分的误差控制策略

We propose two error control techniques for numerical integrations in fast multiscale collocation methods for solving Fredholm integral equations of the second kind with weakly singular kernels. Both techniques utilize quadratures for singular integrals using graded points. One has a polynomial order of accuracy if the integrand has a polynomial order of smoothness except at the singular point and the other has exponential order of accuracy if the integrand has an infinite order of smoothness except at the singular point. We estimate the order of convergence and computational complexity of the corresponding approximate solutions of the equation. We prove that the second technique preserves the order of convergence and computational complexity of the original collocation method. Numerical experiments are presented to illustrate the theoretical estimates.     

Weighted quadrature rules for finite element methods

We discuss the numerical integration of polynomials times non-polynomial weighting functions in two dimensions arising from multiscale finite element computations. The proposed quadrature rules are significantly more accurate than standard quadratures and are better suited to existing finite element codes than formulas computed by symbolic integration. We validate this approach by introducing the new quadrature formulas into a multiscale finite element method for the two-dimensional reaction–diffusion equation.     

A Product Integration Approach Based on New Orthogonal Polynomials for Nonlinear Weakly Singular Integral Equations

This paper provides with a generalization of the work by Chelyshkov (Electron. Trans. Numer. Anal. 25(7): 17–26, 2006), who has introduced sequences of orthogonal polynomials over [0,1] which can be expressed in terms of Jacobi polynomials. We develop a new approach of product integration algorithm based on these orthogonal polynomials including the numerical quadratures for solving the nonlinear weakly singular Volterra integral equations. The convergence analysis of the proposed scheme is derived and numerical results are given showing a marked improvement in comparison with recent numerical methods.     

The method of fundamental solutions with eigenfunction expansion method for nonhomogeneous diffusion equation

In this article we describe a numerical method to solve a nonhomogeneous diffusion equation with arbitrary geometry by combining the method of fundamental solutions (MFS), the method of particular solutions (MPS), and the eigenfunction expansion method (EEM). This forms a meshless numerical scheme of the MFS‐MPS‐EEM model to solve nonhomogeneous diffusion equations with time‐independent source terms and boundary conditions for any time and any shape. Nonhomogeneous diffusion equation with complex domain can be separated into a Poisson equation and a homogeneous diffusion equation using this model. The Poisson equation is solved by the MFS‐MPS model, in which the compactly supported radial basis functions are adopted for the MPS. On the other hand, utilizing the EEM the diffusion equation is first translated to a Helmholtz equation, which is then solved by the MFS together with the technique of the singular value decomposition (SVD). Since the present meshless method does not need mesh generation, nodal connectivity, or numerical integration, the computational effort and memory storage required are minimal as compared with other numerical schemes. Test results for two 2D diffusion problems show good comparability with the analytical solutions. The proposed algorithm is then extended to solve a problem with irregular domain and the results compare very well with solutions of a finite element scheme. Therefore, the present scheme has been proved to be very promising as a meshfree numerical method to solve nonhomogeneous diffusion equations with time‐independent source terms of any time frame, and for any arbitrary geometry. © 2006 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2006     

JACOBI PSEUDOSPECTRAL METHOD FOR FOURTH ORDER PROBLEMS

In this paper, we investigate Jacobi pseudospectral method for fourth order problems. We establish some basic results on the Jacobi-Gauss-type interpolations in non-uniformly weighted Sobolev spaces, which serve as important tools in analysis of numerical quadratures, and numerical methods of differential and integral equations. Then we propose Jacobi pseudospectral schemes for several singular problems and multiple-dimensional problems of fourth order. Numerical results demonstrate the spectral accuracy of these schemes, and coincide well with theoretical analysis.     

High‐order numerical solution of second‐order one‐dimensional hyperbolic telegraph equation using a shifted Gegenbauer pseudospectral method

We present a high‐order shifted Gegenbauer pseudospectral method (SGPM) to solve numerically the second‐order one‐dimensional hyperbolic telegraph equation provided with some initial and Dirichlet boundary conditions. The framework of the numerical scheme involves the recast of the problem into its integral formulation followed by its discretization into a system of well‐conditioned linear algebraic equations. The integral operators are numerically approximated using some novel shifted Gegenbauer operational matrices of integration. We derive the error formula of the associated numerical quadratures. We also present a method to optimize the constructed operational matrix of integration by minimizing the associated quadrature error in some optimality sense. We study the error bounds and convergence of the optimal shifted Gegenbauer operational matrix of integration. Moreover, we construct the relation between the operational matrices of integration of the shifted Gegenbauer polynomials and standard Gegenbauer polynomials. We derive the global collocation matrix of the SGPM, and construct an efficient computational algorithm for the solution of the collocation equations. We present a study on the computational cost of the developed computational algorithm, and a rigorous convergence and error analysis of the introduced method. Four numerical test examples have been carried out to verify the effectiveness, the accuracy, and the exponential convergence of the method. The SGPM is a robust technique, which can be extended to solve a wide range of problems arising in numerous applications. © 2015 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 32: 307–349, 2016     

Epi-convergent discretizations of stochastic programs via integration quadratures

Summary. The simplest and the best-known method for numerical approximation of high-dimensional integrals is the Monte Carlo method (MC), i.e. random sampling. MC has also become the most popular method for constructing numerically solvable approximations of stochastic programs. However, certain modern integration quadratures are often superior to crude MC in high-dimensional integration, so it seems natural to try to use them also in discretization of stochastic programs. This paper derives conditions that guarantee the epi-convergence of the resulting objectives to the original one. Our epi-convergence result is closely related to some of the existing ones but it is easier to apply to discretizations and it allows the feasible set to depend on the probability measure. As examples, we prove epi-convergence of quadrature-based discretizations of three different models of portfolio management and we study their behavior numerically. Besides MC, our discretizations are the only existing ones with guaranteed epi-convergence for these problem classes. In our tests, modern quadratures seem to result in faster convergence of optimal values than MC.Mathematics Subject Classification (2000): 90C15, 49M25The work of this author was partially supported by The Finnish Foundation for Economic Education under grant no. 21599 and by Finnish Academy under contract no. 3385     

Two methods for direct numerical integration of the Prandtl equation and comparative analysis between them

Two methods based on quadrature formulas are proposed for the direct numerical integration of Prandtl’s singular integrodifferential equation. In the first method, Prandtl’s equation is solved directly by applying the method of mechanical quadrature and the circulation along an airfoil section is determined. In the second method, Prandtl’s equation is rewritten for the circulation derivative, which is determined by applying mechanical quadratures, and the circulation is then reconstructed using the same quadrature formulas. Both methods are analyzed numerically and are shown to converge. Their convergence rates are nearly identical, while the second method requires much more CPU time than the first one.     

Exact integration formulas for the finite volume element method on simplicial meshes

This article considers the technological aspects of the finite volume element method for the numerical solution of partial differential equations on simplicial grids in two and three dimensions. We derive new classes of integration formulas for the exact integration of generic monomials of barycentric coordinates over different types of fundamental shapes corresponding to a barycentric dual mesh. These integration formulas constitute an essential component for the development of high‐order accurate finite volume element schemes. Numerical examples are presented that illustrate the validity of the technology. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

Numerical integration with Taylor truncations for the quadrilateral and hexahedral finite elements

For general quadrilateral or hexahedral meshes, the finite-element methods require evaluation of integrals of rational functions, instead of traditional polynomials. It remains as a challenge in mathematics to show the traditional Gauss quadratures would ensure the correct order of approximation for the numerical integration in general. However, in the case of nested refinement, the refined quadrilaterals and hexahedra converge to parallelograms and parallelepipeds, respectively. Based on this observation, the rational functions of inverse Jacobians can be approximated by the Taylor expansion with truncation. Then the Gauss quadrature of exact order can be adopted for the resulting integrals of polynomials, retaining the optimal order approximation of the finite-element methods. A theoretic justification and some numerical verification are provided in the paper.     

Performance and numerical behavior of the second‐order scheme of precise time‐step integration for transient dynamic analysis

Spurious high‐frequency responses resulting from spatial discretization in time‐step algorithms for structural dynamic analysis have long been an issue of concern in the framework of traditional finite difference methods. Such algorithms should be not only numerically dissipative in a controllable manner, but also unconditionally stable so that the time‐step size can be governed solely by the accuracy requirement. In this article, the issue is considered in the framework of the second‐order scheme of the precise integration method (PIM). Taking the Newmark‐β method as a reference, the performance and numerical behavior of the second‐order PIM for elasto‐dynamic impact‐response problems are studied in detail. In this analysis, the differential quadrature method is used for spatial discretization. The effects of spatial discretization, numerical damping, and time step on solution accuracy are explored by analyzing longitudinal vibrations of a shock‐excited rod with rectangular, half‐triangular, and Heaviside step impact. Both the analysis and numerical tests show that under the framework of the PIM, the spatial discretization used here can provide a reasonable number of model types for any given error tolerance. In the analysis of dynamic response, an appropriate spatial discretization scheme for a given structure is usually required in order to obtain an accurate and meaningful numerical solution, especially for describing the fine details of traction responses with sharp changes. Under the framework of the PIM, the numerical damping that is often required in traditional integration schemes is found to be unnecessary, and there is no restriction on the size of time steps, because the PIM can usually produce results with machine‐like precision and is an unconditionally stable explicit method. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

On quadratures related to Padé approximants for the inversion of the Laplace transform

Properties of the quadratures for the numerical inversion of the Laplace transform generated by Padé approximants of the exponential function are examined. In particular, quadratures of the highest possible degree of accuracy are considered.     

Generalized Jacobi-Gauss-Lobatto interpolation

We introduce the generalized Jacobi-Gauss-Lobatto interpolation involving the values of functions and their derivatives at the endpoints, which play important roles in the Jacobi pseudospectral methods for high order problems. We establish some results on these interpolations in non-uniformly weighted Sobolev spaces, which serve as the basic tools in analysis of numerical quadratures and various numerical methods of differential and integral equations.     

Three-dimensional dynamical systems with four-dimensional Vessiot-Guldberg-Lie algebras

Dynamical systems attract much attention due to their wide applications. Many significant results have been obtained in this field from various points of view. The present paper is devoted to an algebraic method of integration of three-dimensional nonlinear time dependent dynamical systems admitting nonlinear superposition with four-dimensional Vessiot-Guldberg-Lie algebras $L_4.$ The invariance of the relation between a dynamical system admitting nonlinear superposition and its Vessiot-Guldberg-Lie algebra is the core of the integration method. It allows to simplify the dynamical systems in question by reducing them to \textit{standard forms}. We reduce the three-dimensional dynamical systems with four-dimensional Vessiot-Guldberg-Lie algebras to 98 standard types and show that 86 of them are integrable by quadratures.     

A numerical solution for advection‐diffusion equation using dual reciprocity method

This article describes a numerical method based on the boundary integral equation and dual reciprocity method(DRM) for solving the one‐dimensional advection‐diffusion equations. The concept of DRM is used to convert the domain integral to the boundary that leads to an integration free method. The time derivative is approximated by the time‐stepping method. Numerical results are presented for some problems to demonstrate the usefulness and accuracy of the new approach. © 2012 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2013     

On Generalized Gaussian Quadratures for Exponentials and Their Applications

We introduce new families of Gaussian-type quadratures for weighted integrals of exponential functions and consider their applications to integration and interpolation of bandlimited functions.We use a generalization of a representation theorem due to Carathéodory to derive these quadratures. For each positive measure, the quadratures are parameterized by eigenvalues of the Toeplitz matrix constructed from the trigonometric moments of the measure. For a given accuracy ε, selecting an eigenvalue close to ε yields an approximate quadrature with that accuracy. To compute its weights and nodes, we present a new fast algorithm.These new quadratures can be used to approximate and integrate bandlimited functions, such as prolate spheroidal wave functions, and essentially bandlimited functions, such as Bessel functions. We also develop, for a given precision, an interpolating basis for bandlimited functions on an interval.     

HIGH ORDER NUMERICAL METHODS TO TWO DIMENSIONAL HEAVISIDE FUNCTION INTEGRALS

In this paper we design and analyze a class of high order numerical methods to two dimensional Heaviside function integrals. Inspired by our high order numerical methods to two dimensional delta function integrals [19], the methods comprise approximating the mesh cell restrictions of the Heaviside function integral. In each mesh cell the two dimensional Heaviside function integral can be rewritten as a one dimensional ordinary integral with the integrand being a one dimensional Heaviside function integral which is smooth on several subsets of the integral interval. Thus the two dimensional Heaviside function integral is approximated by applying standard one dimensional high order numerical quadratures and high order numerical methods to one dimensional Heaviside function integrals. We establish error estimates for the method which show that the method can achieve any desired accuracy by assigning the corresponding accuracy to the sub-algorithms. Numerical examples are presented showing that the second- to fourth-order methods implemented in this paper achieve or exceed the expected accuracy.     

Quadrature for meshless Nitsche's method

In this article, we study effect of numerical integration on Galerkin meshless method (GMM), applied to approximate solutions of elliptic partial differential equations with essential boundary conditions (EBC). It is well‐known that it is difficult to impose the EBC on the standard approximation space used in GMM. We have used the Nitsche's approach, which was introduced in context of finite element method, to impose the EBC. We refer to this approach as the meshless Nitsche's method (MNM). We require that the numerical integration rule satisfies (a) a “discrete Green's identity” on polynomial spaces, and (b) a “conforming condition” involving the additional integration terms introduced by the Nitsche's approach. Based on such numerical integration rules, we have obtained a convergence result for MNM with numerical integration, where the shape functions reproduce polynomials of degree k ≥ 1. Though we have presented the analysis for the nonsymmetric MNM, the analysis could be extended to the symmetric MNM similarly. Numerical results have been presented to illuminate the theoretical results and to demonstrate the efficiency of the algorithms.Copyright © 2012 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 30: 265–288, 2014