Alternating triangular schemes for convection–diffusion problems

Explicit–implicit approximations are used to approximate nonstationary convection–diffusion equations in time. In unconditionally stable two-level schemes, diffusion is taken from the upper time level, while convection, from the lower layer. In the case of three time levels, the resulting explicit–implicit schemes are second-order accurate in time. Explicit alternating triangular (asymmetric) schemes are used for parabolic problems with a self-adjoint elliptic operator. These schemes are unconditionally stable, but conditionally convergent. Three-level modifications of alternating triangular schemes with better approximating properties were proposed earlier. In this work, two- and three-level alternating triangular schemes for solving boundary value problems for nonstationary convection–diffusion equations are constructed. Numerical results are presented for a two-dimensional test problem on triangular meshes, such as Delaunay triangulations and Voronoi diagrams.     

SM-stability of operator-difference schemes

The spectral mimetic (SM) properties of operator-difference schemes for solving the Cauchy problem for first-order evolutionary equations concern the time evolution of individual harmonics of the solution. Keeping track of the spectral characteristics makes it possible to select more appropriate approximations with respect to time. Among two-level implicit schemes of improved accuracy based on Padé approximations, SM-stability holds for schemes based on polynomial approximations if the operator in an evolutionary equation is self-adjoint and for symmetric schemes if the operator is skew-symmetric. In this paper, additive schemes (also called splitting schemes) are constructed for evolutionary equations with general operators. These schemes are based on the extraction of the self-adjoint and skew-symmetric components of the corresponding operator.     

Regularized additive operator-difference schemes

The construction of additive operator-difference (splitting) schemes for the approximate solution Cauchy problem for the first-order evolutionary equation is considered. Unconditionally stable additive schemes are constructed on the basis of the Samarskii regularization principle for operator-difference schemes. In the case of arbitrary multicomponent splitting, these schemes belong to the class of additive full approximation schemes. Regularized additive operator-difference schemes for evolutionary problems are constructed without the assumption that the regularizing operator and the operator of the problem are commutable. Regularized additive schemes with double multiplicative perturbation of the additive terms of the problem’s operator are proposed. The possibility of using factorized multicomponent splitting schemes, which can be used for the approximate solution of steadystate problems (finite difference relaxation schemes) are discussed. Some possibilities of extending the proposed regularized additive schemes to other problems are considered.     

Construction of splitting schemes based on transition operator approximation

The stability analysis of approximate solutions to unsteady problems for partial differential equations is usually based on the use of the canonical form of operator-difference schemes. Another possibility widely used in the analysis of methods for solving Cauchy problems for systems of ordinary differential equations is associated with the estimation of the norm of the transition operator from the current time level to a new one. The stability of operator-difference schemes for a first-order model operator-differential equation is discussed. Primary attention is given to the construction of additive schemes (splitting schemes) based on approximations of the transition operator. Specifically, classical factorized schemes, componentwise splitting schemes, and regularized operator-difference schemes are related to the use of a certain multiplicative transition operator. Additive averaged operator-difference schemes are based on an additive representation of the transition operator. The construction of second-order splitting schemes in time is discussed. Inhomogeneous additive operator-difference schemes are constructed in which various types of transition operators are used for individual splitting operators.     

Self-adaptive operator splitting methods for monotone variational inequalities

Summary. Solving a variational inequality problem VI(Ω,F) is equivalent to finding a solution of a system of nonsmooth equations (a hard problem). The Peaceman-Rachford and /or Douglas-Rachford operator splitting methods are advantageous when they are applied to solve variational inequality problems, because they solve the original problem via solving a series of systems of nonlinear smooth equations (a series of easy problems). Although the solution of VI(Ω,F) is invariant under multiplying F by some positive scalar β, yet the numerical experiment has shown that the number of iterations depends significantly on the positive parameter β which is a constant in the original operator splitting methods. In general, it is difficult to choose a proper parameter β for individual problems. In this paper, we present a modified operator splitting method which adjusts the scalar parameter automatically per iteration based on the message of the iterates. Exact and inexact forms of the modified method with self-adaptive variable parameter are suggested and proved to be convergent under mild assumptions. Finally, preliminary numerical tests show that the self-adaptive adjustment rule is proper and necessary in practice.     

上三角算子矩阵的本征函数展开法在应力形式的二维弹性问题中的应用

深入研究了求解基于应力形式的二维弹性问题的本征函数展开法．根据已有的研究结果,将基于应力形式的二维弹性问题的基本偏微分方程组等价地转化为上三角微分系统,并导出了相应的上三角算子矩阵．通过深入研究,分别获得了该算子矩阵的两个对角块算子更为简洁的正交本征函数系,并证明了它们在相应空间中的完备性,进而应用本征函数展开法给出了该二维弹性问题的更为简洁实用的一般解．此外,对该二维弹性问题,还指出了什么样的边界条件可以应用此方法求解．最后应用具体的算例验证了所得结论的合理性．     

Explicit-implicit schemes for convection-diffusion-reaction problems

Boundary value problems for time-dependent convection-diffusion-reaction equations are basic models of problems in continuum mechanics. To study these problems, various numerical methods are used. With a finite difference, finite element, or finite volume approximation in space, we arrive at a Cauchy problem for systems of ordinary differential equations whose operator is asymmetric and indefinite. Explicit-implicit approximations in time are conventionally used to construct splitting schemes in terms of physical processes with separation of convection, diffusion, and reaction processes. In this paper, unconditionally stable schemes for unsteady convection-diffusion-reaction equations are constructed with explicit-implicit approximations used in splitting the operator reaction. The schemes are illustrated by a model 2D problem in a rectangle.     

MULTILEVEL AUGMENTATION METHODS FOR SOLVING OPERATOR EQUATIONS

We introduce multilevel augmentation methods for solving operator equations based on direct sum decompositions of the range space of the operator and the solution space of the operator equation and a matrix splitting scheme. We establish a general setting for the analysis of these methods, showing that the methods yield approximate solutions of the same convergence order as the best approximation from the subspace. These augmentation methods allow us to develop fast, accurate and stable nonconventional numerical algorithms for solving operator equations. In particular, for second kind equations, special splitting techniques are proposed to develop such algorithms. These algorithms are then applied to solve the linear systems resulting from matrix compression schemes using wavelet-like functions for solving Fredholm integral equations of the second kind. For this special case, a complete analysis for computational complexity and convergence order is presented. Numerical examples are included to demonstra     

Numerical solution of 3D problems of electromagnetic wave diffraction on a system of ideally conducting surfaces by the method of hypersingular integral equations

We construct a numerical method for solving problems of electromagnetic wave diffraction on a system of solid and thin objects based on the reduction of the problem to a boundary integral equation treated in the sense of the Hadamard finite value. For the construction of such an equation, we construct a numerical scheme on the basis of the method of piecewise continuous approximations and collocations. Unlike earlier known schemes, by using the below-suggested scheme, we have found approximate analytic expressions for the coefficients of the arising system of linear equations by isolating the leading part of the kernel of the integral operator. We present examples of solution of a number of model problems of the diffraction of electromagnetic waves by the suggested method.     

Time stepping for vectorial operator splitting

We present a fully implicit finite difference method for the unsteady incompressible Navier-Stokes equations. It is based on the one-step θ-method for discretization in time and a special coordinate splitting (called vectorial operator splitting) for efficiently solving the nonlinear stationary problems for the solution at each new time level. The resulting system is solved in a fully coupled approach that does not require a boundary condition for the pressure. A staggered arrangement of velocity and pressure on a structured Cartesian grid combined with the fully implicit treatment of the boundary conditions helps us to preserve the properties of the differential operators and thus leads to excellent stability of the overall algorithm. The convergence properties of the method are confirmed via numerical experiments.     

Operator splitting methods for pricing American options under stochastic volatility

We consider the numerical pricing of American options under Heston’s stochastic volatility model. The price is given by a linear complementarity problem with a two-dimensional parabolic partial differential operator. We propose operator splitting methods for performing time stepping after a finite difference space discretization. The idea is to decouple the treatment of the early exercise constraint and the solution of the system of linear equations into separate fractional time steps. With this approach an efficient numerical method can be chosen for solving the system of linear equations in the first fractional step before making a simple update to satisfy the early exercise constraint. Our analysis suggests that the Crank–Nicolson method and the operator splitting method based on it have the same asymptotic order of accuracy. The numerical experiments show that the operator splitting methods have comparable discretization errors. They also demonstrate the efficiency of the operator splitting methods when a multigrid method is used for solving the systems of linear equations.     

Alternating Triangular Schemes for Second-Order Evolution Equations

Computational Mathematics and Mathematical Physics - Schemes of the Samarskii alternating triangular method are based on splitting the problem operator into two operators that are conjugate to each...     

Stable difference schemes for certain parabolic equations

In some applications, boundary value problems for second-order parabolic equations with a special nonself-adjoint operator have to be solved approximately. The operator of such a problem is a weighted sum of self-adjoint elliptic operators. Unconditionally stable two-level schemes are constructed taking into account that the operator of the problem is not self-adjoint. The possibilities of using explicit-implicit approximations in time and introducing a new sought variable are discussed. Splitting schemes are constructed whose numerical implementation involves the solution of auxiliary problems with self-adjoint operators.     

Boundary control problems for quasilinear systems of hyperbolic equations

For quasilinear systems of hyperbolic equations, the nonclassical boundary value problem of controlling solutions with the help of boundary conditions is considered. Previously, this problem was extensively studied in the case of the simplest hyperbolic equations, namely, the scalar wave equation and certain linear systems. The corresponding problem formulations and numerical solution algorithms are extended to nonlinear (quasilinear and conservative) systems of hyperbolic equations. Some numerical (grid-characteristic) methods are considered that were previously used to solve the above problems. They include explicit and implicit conservative difference schemes on compact stencils that are linearizations of Godunov’s method. The numerical algorithms and methods are tested as applied to well-known linear examples.     

基于应力形式的二维弹性问题的本征展开法

给出求解基于应力形式的二维弹性问题的本征函数展开方法．通过引入适当的状态函数,将该问题的基本偏微分方程等价地转化为上三角微分系统,导出相应的上三角算子矩阵．证明了该矩阵的两个对角块算子均具有规范的正交本征函数系,并得到它们在相应空间中的完备性．此外,基于本征函数系的完备性,应用本征函数展开法给出了二维弹性问题的一般解．     

An upwind finite volume scheme and its maximum‐principle‐preserving ADI splitting for unsteady‐state advection‐diffusion equations

We develop an upwind finite volume (UFV) scheme for unsteady‐state advection‐diffusion partial differential equations (PDEs) in multiple space dimensions. We apply an alternating direction implicit (ADI) splitting technique to accelerate the solution process of the numerical scheme. We investigate and analyze the reason why the conventional ADI splitting does not satisfy maximum principle in the context of advection‐diffusion PDEs. Based on the analysis, we propose a new ADI splitting of the upwind finite volume scheme, the alternating‐direction implicit, upwind finite volume (ADFV) scheme. We prove that both UFV and ADFV schemes satisfy maximum principle and are unconditionally stable. We also derive their error estimates. Numerical results are presented to observe the performance of these schemes. © 2003 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 19: 211–226, 2003     

Analysis and numerical solution of a Riemann-Liouville fractional derivative two-point boundary value problem

A two-point boundary value problem is considered on the interval [0, 1], where the leading term in the differential operator is a Riemann-Liouville fractional derivative of order 2 ? δ with 0 < δ < 1. It is shown that any solution of such a problem can be expressed in terms of solutions to two associated weakly singular Volterra integral equations of the second kind. As a consequence, existence and uniqueness of a solution to the boundary value problem are proved, the structure of this solution is elucidated, and sharp bounds on its derivatives (in terms of the parameter δ) are derived. These results show that in general the first-order derivative of the solution will blow up at x = 0, so accurate numerical solution of this class of problems is not straightforward. The reformulation of the boundary problem in terms of Volterra integral equations enables the construction of two distinct numerical methods for its solution, both based on piecewise-polynomial collocation. Convergence rates for these methods are proved and numerical results are presented to demonstrate their performance.     

Consistent Numerical Schemes for Solving Nonlinear Inverse Source Problems with Gradient-Type Algorithms and Newton–Kantorovich Methods

In this paper, algorithms of solving an inverse source problem for systems of production–destruction equations are considered. Numerical schemes that are consistent to satisfy Lagrange’s identity for solving direct and adjoint problems are constructed. With the help of adjoint equations, a sensitivity operator with a discrete analog is constructed. It links perturbations of the measured values with those of the sought-for model parameters. This operator transforms the inverse problem to a quasilinear system of equations and allows applying Newton–Kantorovich methods to it. A numerical comparison of gradient algorithms based on consistent and inconsistent numerical schemes and a Newton–Kantorovich algorithm applied to solving an inverse source problem for a nonlinear Lorenz model is done.     

Application of Splitting Algorithms in the Method of Finite Volumes for Numerical Solution of the Navier–Stokes Equations

We generalize the splitting algorithms proposed earlier for the construction of efficient difference schemes to the finite volume method. For numerical solution of the Euler and Navier–Stokes equations written in integral form, some implicit finite-volume predictor-corrector scheme of the second order of approximation is proposed. At the predictor stage, the introduction of various forms of splitting is considered, which makes it possible to reduce the solution of the original system to separate solution of individual equations at fractional steps and to ensure some stability margin of the algorithm as a whole. The algorithm of splitting with respect to physical processes and spatial directions is numerically tested. The properties of the algorithm are under study and we proved its effectiveness for solving two-dimensional and three-dimensional flow-around problems.     

Numerical solution of the inverse electrocardiography problem with the use of the Tikhonov regularization method

The inverse electrocardiography problem related to medical diagnostics is considered in terms of potentials. Within the framework of the quasi-stationary model of the electric field of the heart, the solution of the problem is reduced to the solution of the Cauchy problem for the Laplace equation in R ³. A numerical algorithm based on the Tikhonov regularization method is proposed for the solution of this problem. The Cauchy problem for the Laplace equation is reduced to an operator equation of the first kind, which is solved via minimization of the Tikhonov functional with the regularization parameter chosen according to the discrepancy principle. In addition, an algorithm based on numerical solution of the corresponding Euler equation is proposed for minimization of the Tikhonov functional. The Euler equation is solved using an iteration method that involves solution of mixed boundary value problems for the Laplace equation. An individual mixed problem is solved by means of the method of boundary integral equations of the potential theory. In the study, the inverse electrocardiography problem is solved in region Ω close to the real geometry of the torso and heart.