Convergence of an operator splitting method on a bounded domain for a convection-diffusion-reaction system

We solve a convection-diffusion-sorption (reaction) system on a bounded domain with dominant convection using an operator splitting method. The model arises in contaminant transport in groundwater induced by a dual-well, or in controlled laboratory experiments. The operator splitting transforms the original problem to three subproblems: nonlinear convection, nonlinear diffusion, and a reaction problem, each with its own boundary conditions. The transport equation is solved by a Riemann solver, the diffusion one by a finite volume method, and the reaction equation by an approximation of an integral equation. This approach has proved to be very successful in solving the problem, but the convergence properties where not fully known. We show how the boundary conditions must be taken into account, and prove convergence in L1,loc of the fully discrete splitting procedure to the very weak solution of the original system based on compactness arguments via total variation estimates. Generally, this is the best convergence obtained for this type of approximation. The derivation indicates limitations of the approach, being able to consider only some types of boundary conditions. A sample numerical experiment of a problem with an analytical solution is given, showing the stated efficiency of the method.     

A high order HODIE finite difference scheme for 1D parabolic singularly perturbed reaction-diffusion problems

This paper deals with the numerical approximation of the solution of 1D parabolic singularly perturbed problems of reaction-diffusion type. The numerical method combines the standard implicit Euler method on a uniform mesh to discretize in time and a HODIE compact fourth order finite difference scheme to discretize in space, which is defined on a priori special meshes condensing the grid points in the boundary layer regions. The method is uniformly convergent having first order in time and almost fourth order in space. The analysis of the uniform convergence is made in two steps, splitting the contribution to the error from the time and the space discretization. Although this idea has been previously used to prove the uniform convergence for parabolic singularly perturbed problems, here the proof is based on a new study of the asymptotic behavior of the exact solution of the semidiscrete problems obtained after the time discretization by using the Euler method. Some numerical results are given corroborating in practice the theoretical results.     

Unconditionally optimal convergence of an energy-conserving and linearly implicit scheme for nonlinear wave equations

In this paper, we present and analyze an energy-conserving and linearly implicit scheme for solving the nonlinear wave equations. Optimal error estimates in time and superconvergent error estimates in space are established without certain time-step restrictions. The key is to estimate directly the solution bounds in the H²-norm for both the nonlinear wave equation and the corresponding fully discrete scheme, while the previous investigations rely on the temporal-spatial error splitting approach. Numerical examples are presented to confirm energy-conserving properties, unconditional convergence and optimal error estimates, respectively, of the proposed fully discrete schemes.

     

Higher order fully discrete scheme combined withH 1-Galerkin mixed finite element method for semilinear reaction-diffusion equations

We first apply a first order splitting to a semilinear reaction-diffusion equation and then discretize the resulting system by anH ¹-Galerkin mixed finite element method in space. This semidiscrete method yields a system of differential algebraic equations (DAEs) ofindex one. Apriori error estimates for semidiscrete scheme are derived for both differential as well as algebraic components. For fully discretization, an implicit Runge-Kutta (IRK) methods is applied to the temporal direction and the error estimates are discussed for both components. Finally, we conclude the paper with a numerical example.     

Convergence analysis of an implicit fractional-step method for the incompressible Navier–Stokes equations

In this paper, an implicit fractional-step method for numerical solutions of the incompressible Navier–Stokes equations is studied. The time advancement is decomposed into a sequence of two steps, and the first step can be seen as a linear elliptic problem; on the other hand, the second step has the structure of the Stokes problem. The two problems satisfy the full homogeneous Dirichlet boundary conditions on the velocity. At the same time, we introduce a diffusion term −θΔu in all steps of the schemes. It allows to calculate by the large time step and enhance numerical stability by choosing the proper parameter values of θ. The convergence analysis and error estimates for the intermediate velocities, the end-of step velocities and the pressure solution are derived. Finally, numerical experiments show that the feasibility and effectiveness of this method.     

Fully implicit finite differences methods for two-dimensional diffusion with a non-local boundary condition

Three new fully implicit methods which are based on the (5,5) Crank-Nicolson method, the (5,5) N-H (Noye-Hayman) implicit method and the (9,9) N-H implicit method are developed for solving the heat equation in two dimensional space with non-local boundary conditions. The latter is fourth-order while the others are second-order. While the implicit methods developed here, like the scheme based on the standard implicit backward time centered space (BTCS) method, use a large amount of central processor (CPU) time, the high accuracy of the new fourth-order fully implicit scheme is significant. Like the BTCS method, the new methods are also unconditionally stable.     

A second order scheme for a time-dependent,singularly perturbed convection–diffusion equation

We consider a numerical scheme for a one-dimensional, time-dependent, singularly perturbed convection–diffusion problem. The problem is discretized in space by a standard finite element method on a Bakhvalov–Shishkin type mesh. The space error is measured in an L² norm. For the time integration, the implicit midpoint rule is used. The fully discrete scheme is shown to be convergent of order 2 in space and time, uniformly in the singular perturbation parameter.     

A splitting technique of higher order for the Navier–Stokes equations

This article presents a splitting technique for solving the time dependent incompressible Navier–Stokes equations. Using nested finite element spaces which can be interpreted as a postprocessing step the splitting method is of more than second order accuracy in time. The integration of adaptive methods in space and time in the splitting are discussed. In this algorithm, a gradient recovery technique is used to compute boundary conditions for the pressure and to achieve a higher convergence order for the gradient at different points of the algorithm. Results on the ‘Flow around a cylinder’s- and the ‘Driven Cavity’s-problem are presented.     

Accelerated modulus-based matrix splitting iteration methods for linear complementarity problem

For the large sparse linear complementarity problem, a class of accelerated modulus-based matrix splitting iteration methods is established by reformulating it as a general implicit fixed-point equation, which covers the known modulus-based matrix splitting iteration methods. The convergence conditions are presented when the system matrix is either a positive definite matrix or an H ₊-matrix. Numerical experiments further show that the proposed methods are efficient and accelerate the convergence performance of the modulus-based matrix splitting iteration methods with less iteration steps and CPU time.     

Numerical study of the transverse stability of the Peregrine solution

We generalize a previously published numerical approach for the one-dimensional (1D) nonlinear Schrödinger (NLS) equation based on a multidomain spectral method on the whole real line in two ways: first, a fully explicit fourth-order method for the time integration, based on a splitting scheme and an implicit Runge-Kutta method for the linear part, is presented. Second, the 1D code is combined with a Fourier spectral method in the transverse variable both for elliptic and hyperbolic NLS equations. As an example we study the transverse stability of the Peregrine solution, an exact solution to the 1D NLS equation and thus a y-independent solution to the 2D NLS. It is shown that the Peregine solution is unstable agains all standard perturbations, and that some perturbations can even lead to a blow-up for the elliptic NLS equation.     

A priori error estimation for the dual mixed finite element method of the elastodynamic problem in a polygonal domain, II

In this paper we analyze a new dual mixed formulation of the elastodynamic system in polygonal domains by using an implicit scheme for the time discretization. After the analysis of stability of the fully discrete scheme, L^∞ in time, L² in space a priori error estimates for the approximation of the displacement, the strain, the pressure and the rotational are derived. Numerical tests are presented which confirm our theoretical results.     

Positive numerical splitting method for the Hull and White 2D Black–Scholes equation

We consider the locally one‐dimensional backward Euler splitting method to solve numerically the Hull and White problem for pricing European options with stochastic volatility in the presence of a mixed derivative term. We prove the first‐order convergence of the time‐splitting. The parabolic equation degenerates on the boundary x = 0 and we apply a fitted finite volume scheme to the equation to resolve the degeneracy and derive the fully discrete problem as we also investigate the discrete maximum principle. Numerical experiments illustrate the efficiency of our difference scheme. © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 822–846, 2015     

A splitting preconditioner for the iterative solution of implicit Runge-Kutta and boundary value methods

We study preconditioned iterative methods for the linear systems arising in the numerical integration of ODEs and time-dependent PDEs by implicit Runge-Kutta and boundary value methods. A preconditioning strategy based on a Kronecker product splitting of the coefficient matrix is proposed, and some useful properties of the preconditioned matrix are established. Numerical examples are presented to illustrate the effectiveness of this approach.     

A splitting preconditioner for implicit Runge-Kutta discretizations of a partial differential-algebraic equation

In this paper we study efficient iterative methods for solving the system of linear equations arising from the fully implicit Runge-Kutta discretizations of a class of partial differential-algebraic equations. In each step of the time integration, a block two-by-two linear system is obtained and needed to be solved numerically. A preconditioning strategy based on an alternating Kronecker product splitting of the coefficient matrix is proposed to solve such linear systems. Some spectral properties of the preconditioned matrix are established and numerical examples are presented to demonstrate the effectiveness of this approach.     

A numerical comparison of Chebyshev methods for solving fourth order semilinear initial boundary value problems

In solving semilinear initial boundary value problems with prescribed non-periodic boundary conditions using implicit-explicit and implicit time stepping schemes, both the function and derivatives of the function may need to be computed accurately at each time step. To determine the best Chebyshev collocation method to do this, the accuracy of the real space Chebyshev differentiation, spectral space preconditioned Chebyshev tau, real space Chebyshev integration and spectral space Chebyshev integration methods are compared in the L² and W^2,2 norms when solving linear fourth order boundary value problems; and in the L^∞([0,T];L²) and L^∞([0,T];W^2,2) norms when solving initial boundary value problems. We find that the best Chebyshev method to use for high resolution computations of solutions to initial boundary value problems is the spectral space Chebyshev integration method which uses sparse matrix operations and has a computational cost comparable to Fourier spectral discretization.     

Low‐order stabilized finite element methods for the unsteady Stokes/Navier‐Stokes equations with friction boundary conditions

In this paper, we consider low‐order stabilized finite element methods for the unsteady Stokes/Navier‐Stokes equations with friction boundary conditions. The time discretization is based on the Euler implicit scheme, and the spatial discretization is based on the low‐order element (P₁−P₁ or P₁−P₀) for the approximation of the velocity and pressure. Moreover, some error estimates for the numerical solution of fully discrete stabilized finite element scheme are obtained. Finally, numerical experiments are performed to confirm our theoretical results.     

The quasilinearization method for boundary value problems on time scales

In this paper, we apply the method of quasilinearization to a family of boundary value problems for second order dynamic equations −y^Δ∇+q(t)y=H(t,y) on time scales. The results include a variety of possible cases when H is either convex or a splitting of convex and concave parts and whether lower and upper solutions are of natural form or of natural coupled form.     

A penalty finite element method based on the Euler implicit/explicit scheme for the time-dependent Navier-Stokes equations

A fully discrete penalty finite element method is presented for the two-dimensional time-dependent Navier-Stokes equations, where the time discretization is based on the Euler implicit/explicit scheme with some implicit linear terms and an explicit nonlinear term, and the finite element spatial discretization is based on the P₁b-P₁ element pair, which satisfies the discrete inf-sup condition. This method allows us to separate the computation of the velocity from the computation of the pressure with a larger time-step size Δt, so that the numerical velocity and the pressure are easily computed. An optimal error estimate of the numerical velocity and the pressure is provided for the fully discrete penalty finite element method when the penalty parameter ?, the time-step size Δt and the mesh size h satisfy the following stability conditions: ?c₁≤1, Δtκ₁≤1 and h²≤β₁Δt, respectively, for some positive constants c₁, κ₁ and β₁. Finally, some numerical tests to confirm the theoretical results of the penalty finite element method are provided.     

Simulation of wave processes in a vapor-liquid medium

Numerical methods for the simulation of nonlinear wave processes in a vapor-liquid medium with a model two-phase spherical symmetric cell, with a pressure jump at its external boundary are considered. The viscosity and compressibility of the liquid, as well as the space variation of pressure in the vapor, are neglected. The problem is described by the heat equations in the vapor and liquid, and by a system of ODEs for the velocity, pressure, and radius at the bubble boundary. The equations are discretized in space by an implicit finite-volume scheme on a dynamic adaptive grid with grid refinement near the bubble boundary. The total time derivative is approximated by a method of backward characteristics. “Nonlinear” iterations are implemented at each time step to provide a specified high accuracy. The results of numerical experiments are presented and discussed for the critical thermodynamic parameters of water, for some initial values of the bubble radius and pressure jump.