An optimal 25-point finite difference scheme for the Helmholtz equation with PML

In this paper, we present an optimal 25-point finite difference scheme for solving the Helmholtz equation with perfectly matched layer (PML) in two dimensional domain. Based on minimizing the numerical dispersion, we propose the refined choice strategy for choosing optimal parameters of the 25-point finite difference scheme. Numerical experiments are given to illustrate the improvement of the accuracy and the reduction of the numerical dispersion.     

Optimized composite finite difference schemes for atmospheric flow modeling

In this paper, we use some finite difference methods in order to solve an atmospheric flow problem described by an advection–diffusion equation. This flow problem was solved by Clancy using forward‐time central space (FTCS) scheme and is challenging to simulate due to large errors in phase and amplitude which are generated especially over long propagation times. Clancy also derived stability limits for FTCS scheme. We use Von Neumann stability analysis and the approach of Hindmarsch et al. which is an improved technique over that of Clancy in order to obtain the region of stability of some methods such as FTCS, Lax–Wendroff (LW), Crank–Nicolson. We also construct a nonstandard finite difference (NSFD) scheme. Properties like stability and consistency are studied. To improve the results due to significant numerical dispersion or numerical dissipation, we derive a new composite scheme consisting of three applications of LW followed by one application of NSFD. The latter acts like a filter to remove the dispersive oscillations from LW. We further improve the composite scheme by computing the optimal temporal step size at a given spatial step size using two techniques namely; by minimizing the square of dispersion error and by minimizing the sum of squares of dispersion and dissipation errors.     

Symbolic derivation of finite difference approximations for the three-dimensional Poisson equation

A symbolic procedure for deriving various finite difference approximations for the three-dimensional Poisson equation is described. Based on the software package Mathematica, we utilize for the formulation local solutions of the differential equation and obtain the standard second-order scheme (7-point), three fourth-order finite difference schemes (15-point, 19-point, 21-point), and one sixth-order scheme (27-point). The symbolic method is simple and can be used to obtain the finite difference approximations for other partial differential equations. © 1998 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 14: 593–606, 1998     

A new combined finite element‐upwind finite volume method for convection‐dominated diffusion problems

In this article, we develop a combined finite element‐weighted upwind finite volume method for convection‐dominated diffusion problems in two dimensions, which discretizes the diffusion term with the standard finite element scheme, and the convection and source terms with the weighted upwind finite volume scheme. The developed method leads to a totally new scheme for convection‐dominated problems, which overcomes numerical oscillation, avoids numerical dispersion, and has high‐order accuracy. Stability analyses of the scheme are given for the problems with constant coefficients. Numerical experiments are presented to illustrate the stability and optimal convergence of our proposed method. © 2015 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 32: 799–818, 2016     

Fast and Robust Sixth Order Multigrid Computation for 3D Convection Diffusion Equation

We present a sixth-order explicit compact finite difference scheme to solve the three-dimensional (3D) convection-diffusion equation. We first use a multiscale multigrid method to solve the linear systems arising from a 19-point fourth-order discretization scheme to compute the fourth-order solutions on both a coarse grid and a fine grid. Then an operator-based interpolation scheme combined with an extrapolation technique is used to approximate the sixth-order accurate solution on the fine grid. Since the multigrid method using a standard point relaxation smoother may fail to achieve the optimal grid-independent convergence rate for solving convection-diffusion equations with a high Reynolds number, we implement the plane relaxation smoother in the multigrid solver to achieve better grid independency. Supporting numerical results are presented to demonstrate the efficiency and accuracy of the sixth-order compact (SOC) scheme, compared with the previously published fourth-order compact (FOC) scheme.     

Comparison of Taylor finite difference and window finite difference and their application in FDTD

The finite difference time domain (FDTD) method is an important tool in numerical electromagnetic simulation. There are many ways to construct a finite difference approximation such as the Taylor series expansion theorem, the filtering theory, etc. This paper aims to provide the comparison between the Taylor finite difference (TFD) scheme based on the Taylor series expansion theorem and the window finite difference (WFD) scheme based on the filtering theory. Their properties have been examined in detail, separately. In addition, the formula of the generalized finite difference (GFD) scheme is presented, which can include both the TFD scheme and the WFD scheme. Furthermore, their application in the numerical solution of Maxwell's equations is presented. The formulas for the stability criterion and the numerical dispersion relation are derived and analyzed. In order to evaluate their performance more accurately, a new definition of error is presented. Upon it, the effect of several factors including the grid resolution, the Courant number and the aspect ratio of the cell on the performance of the numerical dispersion is examined.     

High order Hybrid central—WENO finite difference scheme for conservation laws

In this article we present a high resolution hybrid central finite difference—WENO scheme for the solution of conservation laws, in particular, those related to shock–turbulence interaction problems. A sixth order central finite difference scheme is conjugated with a fifth order weighted essentially non-oscillatory WENO scheme in a grid-based adaptive way. High order multi-resolution analysis is used to detect the high gradients regions of the numerical solution in order to capture the shocks with the WENO scheme while the smooth regions are computed with the more efficient and accurate central finite difference scheme. The application of high order filtering to mitigate the dispersion error of central finite difference schemes is also discussed. Numerical experiments with the 1D compressible Euler equations are shown.     

A new predictor-corrector scheme for valuing American puts

In this paper, we present a new numerical scheme, based on the finite difference method, to solve American put option pricing problems. Upon applying a Landau transform or the so-called front-fixing technique [19] to the Black-Scholes partial differential equation, a predictor-corrector finite difference scheme is proposed to numerically solve the nonlinear differential system. Through the comparison with Zhu’s analytical solution [35], we shall demonstrate that the numerical results obtained from the new scheme converge well to the exact optimal exercise boundary and option values. The results of our numerical examples suggest that this approach can be used as an accurate and efficient method even for pricing other types of financial derivative with American-style exercise.     

基于广义高阶非线性薛定谔方程深海内波传播的数值模拟

基于与实际海洋背景参数相关的广义高阶非线性薛定谔方程,首先讨论了不同的海洋环境参数对方程的非线性项和频散项的影响;然后通过有限差分算子给出了方程的二阶三层数值差分格式,并且分析了该差分格式的稳定性与精度阶;最后又通过得到的差分格式数值模拟了不同的海洋环境参数下深海内波的传播情况,结果显示:内波由深海向浅海的传播过程中,随着总水深的变化,发生了分裂现象,并且密度差之比越大,波的分裂速度越快.     

Minimization of grid orientation effects in simulation of oil recovery processes through use of an unsplit higher order scheme

We present an unsplit second-order finite difference algorithm for hyperbolic conservation laws in several variables. Although the method can be directly implemented for general hyperbolic systems, we focus in this article on reducing grid orientation effects in porous media flow. In particular, we consider miscible and immiscible displacement processes. Our main concern is to develop a scheme that can easily be implemented into existing standard finite-difference-based reservoir simulators as an option to be used if grid orientation effects occur. The principle of the scheme is to build a higher order scheme to reduce numerical dispersion and that does not split the spatial operator to reduce the effect of the grid orientation. Numerical results are presented, which show that the method presented here reduces the effect of the numerical dispersion to a level that minimizes the grid orientation effects in a computationally efficient manner. © 1996 John Wiley & Sons, Inc.     

Efficient Simulation of Wave Propagation with Implicit Finite Difference Schemes

Finite difference method is an important methodology in the approximation of waves. In this paper, we will study two implicit finite difference schemes for the simulation of waves. They are the weighted alternating direction implicit (ADI) scheme and the locally one-dimensional (LOD) scheme. The approximation errors, stability conditions, and dispersion relations for both schemes are investigated. Our analysis shows that the LOD implicit scheme has less dispersion error than that of the ADI scheme. Moreover, the unconditional stability for both schemes with arbitrary spatial accuracy is established for the first time. In order to improve computational efficiency, numerical algorithms based on message passing interface (MPI) are implemented. Numerical examples of wave propagation in a three-layer model and a standard complex model are presented. Our analysis and comparisons show that both ADI and LOD schemes are able to efficiently and accurately simulate wave propagation in complex media.     

An inverse problem of finding a source parameter in a semilinear parabolic equation

An inverse problem concerning diffusion equation with source control parameter is considered. Several finite-difference schemes are presented for identifying the control parameter. These schemes are based on the classical forward time centred space (FTCS) explicit formula, and the 5-point FTCS explicit method and the classical backward time centred space (BTCS) implicit scheme, and the Crank–Nicolson implicit method. The classical FTCS explicit formula and the 5-point FTCS explicit technique are economical to use, are second-order accurate, but have bounded range of stability. The classical BTCS implicit scheme and the Crank–Nicolson implicit method are unconditionally stable, but these schemes use more central processor (CPU) times than the explicit finite difference mehods. The basis of analysis of the finite difference equations considered here is the modified equivalent partial differential equation approach, developed from the 1974 work of Warming and Hyett. This allows direct and simple comparison of the errors associated with the equations as well as providing a means to develop more accurate finite difference schemes. The results of a numerical experiment are presented, and the accuracy and CPU time needed for this inverse problem are discussed.     

Error Estimate of a New Conservative Finite Difference Scheme for the Klein-Gordon-Dirac System

In this paper, we derive and analyze a conservative Crank-Nicolson-type finite difference scheme for the Klein-Gordon-Dirac (KGD) system. Differing from the derivation of the existing numerical methods given in literature where the numerical schemes are proposed by directly discretizing the KGD system, we translate the KGD equations into an equivalent system by introducing an auxiliary function, then derive a nonlinear Crank-Nicolson-type finite difference scheme for solving the equivalent system. The scheme perfectly inherits the mass and energy conservative properties possessed by the KGD, while the energy preserved by the existing conservative numerical schemes expressed by two-level's solution at each time step. By using energy method together with the 'cut-off' function technique, we establish the optimal error estimate of the numerical solution, and the convergence rate is $\mathcal{O}(τ^2 + h^2)$ in $l^∞$-norm with time step $τ$ and mesh size $h.$ Numerical experiments are carried out to support our theoretical conclusions.     

多孔介质可混溶流动问题的混合元与区域分裂特征差分格式

1 引 言 用区域分裂方法求微分方程的数值解,是近年来计算数学领域的—个新方法。这种方法通过分裂区域来减少所处理问题的规模,并实现并行计算,因此,特别适用于大范围的工程技术问题和数学物理问题。本文用这种方法处理平面可混溶不可压缩流动问题其中J=[0.T].u为Darcy速度,p为压力,c为浓度,k为渗透率,μ（c)为流体粘性,c为注入井给定浓度,q为外界源汇项,q~+=max{q,0}.φ为孔隙度。D为扩散矩阵,本文D与u无关。即仅考虑分子扩散,边条件可取为第一或第二类边条件。本文考虑第一类初边值问题     

Analysis of stability and dispersion in a finite element method for Debye and Lorentz dispersive media

We study the stability properties of, and the phase error present in, a finite element scheme for Maxwell's equations coupled with a Debye or Lorentz polarization model. In one dimension we consider a second order formulation for the electric field with an ordinary differential equation for the electric polarization added as an auxiliary constraint. The finite element method uses linear finite elements in space for the electric field as well as the electric polarization, and a theta scheme for the time discretization. Numerical experiments suggest the method is unconditionally stable for both Debye and Lorentz models. We compare the stability and phase error properties of the method presented here with those of finite difference methods that have been analyzed in the literature. We also conduct numerical simulations that verify the stability and dispersion properties of the scheme. © 2008 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2009     

海水入侵数值模拟的特征块中心差分法

本文研究二维海水入侵数值模拟的有限差分法．对关于压力的流动方程本文采用块中心差分法,对关于含盐浓度方程的对流扩散方程采用基于完全二次矩形插值的特征差分法,运用先验估计的理论和技巧得到了最佳阶L~2误差估计的结果．     

Numerical Optimal Harvesting for an Age-Dependent Prey-Predator System

In this article, we develop a numerical study of an optimal harvesting problem for age-dependent prey-predator system. Here, the rates of growth and decay as well as the interaction effect between species are assumed to be depending on age, time and space. Existence, uniqueness, and necessary conditions for the optimal control are assured in case of a small final time T. The discrete parabolic nonlinear dynamical systems are obtained by using a finite difference semi-implicit scheme. Then a numerical algorithm is developed to approximate the optimal harvesting effort and the optimal harvest. Results of the numerical tests are given.     

A fully discrete numerical scheme for weighted mean curvature flow

Summary. We analyze a fully discrete numerical scheme approximating the evolution of n–dimensional graphs under anisotropic mean curvature. The highly nonlinear problem is discretized by piecewise linear finite elements in space and semi–implicitly in time. The scheme is unconditionally stable und we obtain optimal error estimates in natural norms. We also present numerical examples which confirm our theoretical results. Received October 2, 2000 / Published online July 25, 2001     

Gauss point mass lumping schemes for Maxwell's equations

Finite element and finite difference methods for approximating the Maxwell system propagate numerical waves with slightly incorrect velocities, and this results in phase error in the computed solution. Indeed this error limits the type of problem that can be solved, because phase error accumulates during the computation and eventually destroys the solution. Here we propose a family of mass-lumped finite element schemes using edge elements. We emphasize in particular linear elements that are equivalent to the standard Yee FDTD scheme, and cubic elements that have superior phase accuracy. We prove theorems that allow us to perform a dispersion analysis of the two common families of edge elements on rectilinear grids. A result of this analysis is to provide some justification for the choice of the particular family we use. We also provide a limited selection of numerical results that show the efficiency of our scheme. © 1998 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 14: 63–88, 1998     

Superconvergence analysis of fully discrete finite element methods for semilinear parabolic optimal control problems

We study the superconvergence property of fully discrete finite element approximation for quadratic optimal control problems governed by semilinear parabolic equations with control constraints. The time discretization is based on difference methods, whereas the space discretization is done using finite element methods. The state and the adjoint state are approximated by piecewise linear functions and the control is approximated by piecewise constant functions. First, we define a fully discrete finite element approximation scheme for the semilinear parabolic control problem. Second, we derive the superconvergence properties for the control, the state and the adjoint state. Finally, we do some numerical experiments for illustrating our theoretical results.