Optimization of Functional Integral Equations: A Spectral Approach

Abstract

The spectral method of Elnagar and Kazemi (J. Comp. Appl. Math. 76(1–2):147–158, 1996), which yields spectral convergence rate for the approximate solutions of Volterra-Hammerstein integral equations, is generalized in order to solve the larger class of functional integral equation control systems with spectral accuracy. The proposed method is based on the idea of relating spectrally constructed grid points to the structure of projection operators. These operators will be used to approximate the control vector and the associated state vector. Numerical examples are included to demonstrate the accuracy of the proposed method.     

Optimal control computation for integro-differential aerodynamic equations

In order to maintain spectrally accurate solutions, the grids on which a non-linear physical problem is to be solved must also be obtained by spectrally accurate techniques. The purpose of this paper is to describe a pseudospectral computational method of solving integro-differential systems with quadratic performance index. The proposed method is based on the idea of relating grid points to the structure of orthogonal interpolating polynomials. The optimal control and the trajectory are approximated by the m th degree interpolating polynomial. This interpolating polynomial is spectrally constructed using Legendre–Gauss–Lobatto grid points as the collocation points, and Lagrange polynomials as trial functions. The integrals involved in the formulation of the problem are calculated by Gauss–Lobatto integration rule, thereby reducing the problem to a mathematical programming one to which existing well-developed algorithms may be applied. The method is easy to implement and yields very accurate results. An illustrative example is included to confirm the convergence of the pseudospectral Legendre method, and a comparison is made with an existing result in the literature. © 1998 B. G. Teubner Stuttgart–John Wiley & Sons Ltd.     

Space‐time spectral method for two‐dimensional semilinear parabolic equations

In this paper, a high‐order accurate numerical method for two‐dimensional semilinear parabolic equations is presented. We apply a Galerkin–Legendre spectral method for discretizing spatial derivatives and a spectral collocation method for the time integration of the resulting nonlinear system of ordinary differential equations. Our formulation can be made arbitrarily high‐order accurate in both space and time. Optimal a priori error bound is derived in the L²‐norm for the semidiscrete formulation. Extensive numerical results are presented to demonstrate the convergence property of the method, show our formulation have spectrally accurate in both space and time. John Wiley & Sons, Ltd.     

A linear system‐free Gaussian RBF method for the Gross‐Pitaevskii equation on unbounded domains

Gaussian radial basis function (RBF) interpolation methods are theoretically spectrally accurate. However, in applications this accuracy is seldom realized due to the necessity of solving a very poorly conditioned linear system to evaluate the methods. Recently, by using approximate cardinal functions and restricting the method to a uniformly spaced grid (or a smooth mapping thereof), it has been shown that the Gaussian RBF method can be formulated in a matrix free framework that does not involve solving a linear system [ 1 ]. In this work, we differentiate the linear system‐free Gaussian (LSFG) method and use it to solve partial differential equations on unbounded domains that have solutions that decay rapidly and that are negligible at the ends of the grid. As an application, we use the LSFG collocation method to numerically simulate Bose‐Einstein condensates. © 2010 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 28: 389–401, 2012     

Basis difference method for orthogonal systems on a surface

The basis operator method intended for constructing systems of difference approximations to differential operators in vector and tensor analysis is extended to orthogonal systems on a surface. A class of completely conservative differential-difference schemes for continuum mechanics in Lagrangian variables is constructed. Basis operators are constructed using the finite volume equation, consistency conditions for discrete operators of the first derivative, and consistent projection operators for grid functions. A system of differential-difference continuum mechanics equations on a surface is obtained, which implies all conservation laws typical of the continuum case, including additional ones. A stability estimate is derived for discrete equations of an incompressible viscous fluid.     

A Two‐Parameter Stabilized Finite Element Method for Incompressible Flows

Based on two‐grid discretizations, a two‐parameter stabilized finite element method for the steady incompressible Navier–Stokes equations at high Reynolds numbers is presented and studied. In this method, a stabilized Navier–Stokes problem is first solved on a coarse grid, and then a correction is calculated on a fine grid by solving a stabilized linear problem. The stabilization term for the nonlinear Navier–Stokes equations on the coarse grid is based on an elliptic projection, which projects higher‐order finite element interpolants of the velocity into a lower‐order finite element interpolation space. For the linear problem on the fine grid, either the same stabilization approach (with a different stabilization parameter) as that for the coarse grid problem or a completely different stabilization approach could be employed. Error bounds for the discrete solutions are estimated. Algorithmic parameter scalings of the method are also derived. The theoretical results show that, with suitable scalings of the algorithmic parameters, this method can yield an optimal convergence rate. Numerical results are provided to verify the theoretical predictions and demonstrate the effectiveness of the proposed method. © 2016 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 425–444, 2017     

Finite analytic numerical method for three‐dimensional quasi‐laplace equation with conductivity in tensor form

The finite analytic numerical method for 3D quasi‐Laplace equation with conductivity in full tensor form is constructed in this article. For cubic grid system, the gradient of the potential variable will diverge when tending to the common edge joining the four grids with different conductivities. However, the potential gradient along the tangential direction is of limited value. As a consequence, the 3D quasi‐Laplace equations will behave as a quasi‐2D one. An approximate analytical solution of the 3D quasi‐Laplace equation can be found around the common edge, which is expressed as a combination of a power‐law function and a linear function. With the help of this approximate analytical solution, a 3D finite analytical numerical scheme is then constructed. Numerical examples show that the proposed numerical scheme can provide rather accurate solutions only with or subdivisions. More important, the convergent speed of the numerical scheme is independent of the conductivity heterogeneity. In contrast, when using the traditional numerical schemes, typically such as the MPFA method, the refinement ratio for the grid cell needs to increase dramatically to get an accurate result for the strong heterogeneous case.© 2017 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 1475–1492, 2017     

A two‐level finite element method for the stationary Navier‐Stokes equations based on a stabilized local projection

In this article, we propose a two‐level finite element method to analyze the approximate solutions of the stationary Navier‐Stokes equations based on a stabilized local projection. The local projection allows to circumvent the Babuska‐Brezzi condition by using equal‐order finite element pairs. The local projection can be used to stabilize high equal‐order finite element pairs. The proposed method combines the local projection stabilization method and the two‐level method under the assumption of the uniqueness condition. The two‐level method consists of solving a nonlinear equation on the coarse mesh and solving a linear equation on fine mesh. The nonlinear equation is solved by the one‐step Newtonian iteration method. In the rest of this article, we show the error analysis of the lowest equal‐order finite element pair and provide convergence rate of approximate solutions. Furthermore, the numerical illustrations coincide with the theoretical analysis expectations. From the view of computational time, the results show that the two‐level method is effective to solve the stationary Navier‐Stokes equations. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2011     

Contour integral method for European options with jumps

We develop an efficient method for pricing European options with jump on a single asset. Our approach is based on the combination of two powerful numerical methods, the spectral domain decomposition method and the Laplace transform method. The domain decomposition method divides the original domain into sub-domains where the solution is approximated by using piecewise high order rational interpolants on a Chebyshev grid points. This set of points are suitable for the approximation of the convolution integral using Gauss–Legendre quadrature method. The resulting discrete problem is solved by the numerical inverse Laplace transform using the Bromwich contour integral approach. Through rigorous error analysis, we determine the optimal contour on which the integral is evaluated. The numerical results obtained are compared with those obtained from conventional methods such as Crank–Nicholson and finite difference. The new approach exhibits spectrally accurate results for the evaluation of options and associated Greeks. The proposed method is very efficient in the sense that we can achieve higher order accuracy on a coarse grid, whereas traditional methods would required significantly more time-steps and large number of grid points.     

The Taylor method in the field of Mikusiński operators

The approximate solution of a class of differential equations, in the field of Mikusiński operators is constructed by using the Taylor method. The obtained results are applied to a class of partial integro–differential equations. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Mixed two‐grid finite difference methods for solving one‐dimensional and two‐dimensional Fitzhugh–Nagumo equations

The aim of this paper is to propose mixed two‐grid finite difference methods to obtain the numerical solution of the one‐dimensional and two‐dimensional Fitzhugh–Nagumo equations. The finite difference equations at all interior grid points form a large‐sparse linear system, which needs to be solved efficiently. The solution cost of this sparse linear system usually dominates the total cost of solving the discretized partial differential equation. The proposed method is based on applying a family of finite difference methods for discretizing the spatial and time derivatives. The obtained system has been solved by two‐grid method, where the two‐grid method is used for solving the large‐sparse linear systems. Also, in the proposed method, the spectral radius with local Fourier analysis is calculated for different values of h and Δt. The numerical examples show the efficiency of this algorithm for solving the one‐dimensional and two‐dimensional Fitzhugh–Nagumo equations. Copyright © 2016 John Wiley & Sons, Ltd.     

New exact solutions for seventh‐order Sawada–Kotera–Ito,Lax and Kaup–Kupershmidt equations using Exp‐function method

In this work, Exp‐function method is used to solve three different seventh‐order nonlinear partial differential KdV equations. Sawada–Kotera–Ito, Lax and Kaup–Kupershmidt equations are well known and considered for solve. Exp‐function method can be used as an alternative to obtain analytic and approximate solutions of different types of differential equations applied in engineering mathematics. Ultimately this method is implemented to solve these equations and convenient and effective solutions are obtained. Copyright © 2009 John Wiley & Sons, Ltd.     

Navier-Stokes方程对称破坏分歧点的谱Galerkin逼近[英文]

本文研究了Navier-Stokes方程对称破坏分歧点的谱Galerkin逼近问题，构造了定常Navier-Stokes方程对称破坏分歧点扩充系统及其谱Galerkin逼近扩充系统，证明了谱Galerkin逼扩充系统解的存在性和收敛性，从而给出了Navier-Stokes方程对称破坏分歧点的谱Galerkin逼近，并给出了逼近的误差估计。     

A pseudo‐spectral method that uses an overlapping multidomain technique for the numerical solution of sine‐Gordon equation in one and two spatial dimensions

In this article, we study an explicit scheme for the solution of sine‐Gordon equation when the space discretization is carried out by an overlapping multidomain pseudo‐spectral technique. By using differentiation matrices, the equation is reduced to a nonlinear system of ordinary differential equations in time that can be discretized with the explicit fourth‐order Runge–Kutta method. To achieve approximation with high accuracy in large domains, the number of space grid points must be large enough. This yields very large and full matrices in the pseudo‐spectral method that causes large memory requirements. The domain decomposition approach provides sparsity in the matrices obtained after the discretization, and this property reduces storage for large matrices and provides economical ways of performing matrix–vector multiplications. Therefore, we propose a multidomain pseudo‐spectral method for the numerical simulation of the sine‐Gordon equation in large domains. Test examples are given to demonstrate the accuracy and capability of the proposed method. Numerical experiments show that the multidomain scheme has an excellent long‐time numerical behavior for the sine‐Gordon equation in one and two dimensions. Copyright © 2013 John Wiley & Sons, Ltd.     

Energy preserving model order reduction of the nonlinear Schrödinger equation

An energy preserving reduced order model is developed for two dimensional nonlinear Schrödinger equation (NLSE) with plane wave solutions and with an external potential. The NLSE is discretized in space by the symmetric interior penalty discontinuous Galerkin (SIPG) method. The resulting system of Hamiltonian ordinary differential equations are integrated in time by the energy preserving average vector field (AVF) method. The mass and energy preserving reduced order model (ROM) is constructed by proper orthogonal decomposition (POD) Galerkin projection. The nonlinearities are computed for the ROM efficiently by discrete empirical interpolation method (DEIM) and dynamic mode decomposition (DMD). Preservation of the semi-discrete energy and mass are shown for the full order model (FOM) and for the ROM which ensures the long term stability of the solutions. Numerical simulations illustrate the preservation of the energy and mass in the reduced order model for the two dimensional NLSE with and without the external potential. The POD-DMD makes a remarkable improvement in computational speed-up over the POD-DEIM. Both methods approximate accurately the FOM, whereas POD-DEIM is more accurate than the POD-DMD.     

Sine‐cosine wavelet method for fractional oscillator equations

Purpose In this article, a novel computational method is introduced for solving the fractional nonlinear oscillator differential equations on the semi‐infinite domain. The purpose of the proposed method is to get better and more accurate results. Design/methodology/approach The proposed method is the combination of the sine‐cosine wavelets and Picard technique. The operational matrices of fractional‐order integration for sine‐cosine wavelets are derived and constructed. Picard technique is used to convert the fractional nonlinear oscillator equations into a sequence of discrete fractional linear differential equations. Operational matrices of sine‐cosine wavelets are utilized to transformed the obtained sequence of discrete equations into the systems of algebraic equations and the solutions of algebraic systems lead to the solution of fractional nonlinear oscillator equations. Findings The convergence and supporting analysis of the method are investigated. The operational matrices contains many zero entries, which lead to the high efficiency of the method, and reasonable accuracy is achieved even with less number of collocation points. Our results are in good agreement with exact solutions and more accurate as compared with homotopy perturbation method, variational iteration method, and Adomian decomposition method. Originality/value Many engineers can utilize the presented method for solving their nonlinear fractional models.     

A product formula for semigroups of Lipschitz operators associated with semilinear evolution equations of parabolic type

A product formula for semigroups of Lipschitz operators associated with semilinear evolution equations of parabolic type is discussed under a new type of stability condition which admits “error term”. The result obtained here is applied to showing the convergence of approximate solutions constructed by a fractional step method to the solution of the complex Ginzburg–Landau equation.     

Mitigating the curse of dimensionality: sparse grid characteristics method for optimal feedback control and HJB equations

We address finding the semi-global solutions to optimal feedback control and the Hamilton–Jacobi–Bellman (HJB) equation. Using the solution of an HJB equation, a feedback optimal control law can be implemented in real-time with minimum computational load. However, except for systems with two or three state variables, using traditional techniques for numerically finding a semi-global solution to an HJB equation for general nonlinear systems is infeasible due to the curse of dimensionality. Here we present a new computational method for finding feedback optimal control and solving HJB equations which is able to mitigate the curse of dimensionality. We do not discretize the HJB equation directly, instead we introduce a sparse grid in the state space and use the Pontryagin’s maximum principle to derive a set of necessary conditions in the form of a boundary value problem, also known as the characteristic equations, for each grid point. Using this approach, the method is spatially causality free, which enjoys the advantage of perfect parallelism on a sparse grid. Compared with dense grids, a sparse grid has a significantly reduced size which is feasible for systems with relatively high dimensions, such as the 6-D system shown in the examples. Once the solution obtained at each grid point, high-order accurate polynomial interpolation is used to approximate the feedback control at arbitrary points. We prove an upper bound for the approximation error and approximate it numerically. This sparse grid characteristics method is demonstrated with three examples of rigid body attitude control using momentum wheels.     

The numerical methods in the field of operators

The approximate solution of a class of nonlinear differential equations, in the field of Mikusiński operators is constructed by using the Euler method. The obtained results are applied to a class of partial integro–differential equations. (© 2005 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Semiclassical <Emphasis Type="Italic">L</Emphasis><Superscript><Emphasis Type="Italic">p</Emphasis></Superscript> Estimates

The purpose of this paper is to use semiclassical analysis to unify and generalize L ^p estimates on high energy eigenfunctions and spectral clusters. In our approach these estimates do not depend on ellipticity and order, and apply to operators which are selfadjoint only at the principal level. They are estimates on weakly approximate solutions to semiclassical pseudodifferential equations. Submitted: May 11, 2006. Accepted: September 19, 2006.