Dynamic contact of a beam against rigid obstacles: Convergence of a velocity-based approximation and numerical results

Motivated by the study of vibrations due to looseness of joints, we consider the motion of a beam between rigid obstacles. Due to the non-penetrability condition, the dynamics is described by a hyperbolic fourth order variational inequality. We build a family of fully discretized approximations of this problem by combining some classical space discretizations with velocity based time-stepping algorithms for discrete mechanical systems subjected to unilateral constraints. We prove the stability and the convergence of these numerical methods. Finally we propose some examples of implementation using either Hermite or B-spline finite element approximations.     

On an exact numerical simulation of solitary-wave solutions of the Burgers–Huxley equation through Cardano’s method

In this work, we develop an exact finite-difference methodology to approximate the solution of a diffusive partial differential equation with Burgers advection and Huxley reaction law. The model under investigation possesses solitary-wave solutions which are positive, bounded, and both spatially and temporally monotone. On the other hand, our computational model is a nonlinear technique for which the new approximations are provided as the roots of an uncoupled system of cubic polynomials, in which the constant coefficients are functions of the model parameters and the numerical step-sizes. In this system, each cubic equation is solved using Cardano’s formulas. The method proposed in this work preserves the positivity, the boundedness and the monotonicity of approximations, as well as the constant solutions of the continuous model. The simulations provided in this work show a good agreement with respect to the analytical solutions employed.     

随机线性互补问题的无约束优化再定式

针对随机线性互补问题,提出等价的无约束优化再定式模型,即由D-间隙函数定义的确定性的无约束期望残差极小化问题.通过拟Monte Carlo方法,将样本进行了推广,得到了相关的离散近似问题.在适当的条件下,提出了最优解存在的充分条件,以及探究了离散近似问题的最优解及稳定点的收敛性.另外,在针对一类带有常系数矩阵的随机互补线性问题,研究了解存在的充要条件.     

Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance

Abstract

In this article, we study a continuous time optimal filter and its various numerical approximations. This filter arises in an optimal allocation problem in the particular context of a non-stationary economy. We analyse the rates of convergence of the approximations of the filter when the model is misspecified and when the observations can only be made at discrete times. We give bounds that are uniform in time. Numerical results are presented.     

A Mickens-type monotone discretization for bounded travelling-wave solutions of a Burgers–Fisher partial differential equationa*

We present a nonlinear method to approximate solutions of a Burgers–Huxley equation with generalized advection factor and logistic reaction. The equation under investigation possesses travelling-wave solutions that are temporally and spatially monotone functions; the travelling-wave fronts considered are bounded and connect asymptotically the stationary solutions of the model. For the linear regime, the method is consistent of first order in time and second order in space. In the nonlinear scenario, we investigate conditions under which bounded initial profiles evolve into bounded new approximations. The main results report on parametric conditions that guarantee the boundedness, the positivity and the monotonicity preservation of the method. As a consequence, our recursive method is capable of preserving the temporal and the spatial monotonicity of the solutions. We provide simulations that show that, indeed, our technique preserves the positivity, the boundedness and the temporal and spatial monotonicity of solutions.     

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

We are interested in the strong convergence of Euler-Maruyama type approximations to the solution of a class of stochastic differential equations models with highly nonlinear coefficients, arising in mathematical finance. Results in this area can be used to justify Monte Carlo simulations for calibration and valuation. The equations that we study include the Ait-Sahalia type model of the spot interest rate, which has a polynomial drift term that blows up at the origin and a diffusion term with superlinear growth. After establishing existence and uniqueness for the solution, we show that an appropriate implicit numerical method preserves positivity and boundedness of moments, and converges strongly to the true solution.     

A Linearized Spectral-Galerkin Method for Three-Dimensional Riesz-Like Space Fractional Nonlinear Coupled Reaction-Diffusion Equations

In this paper, we establish a novel fractional model arising in the chemical reaction and develop an efficient spectral method for the three-dimensional Riesz-like space fractional nonlinear coupled reaction-diffusion equations. Based on the backward difference method for time stepping and the Legendre-Galerkin spectral method for space discretization, we construct a fully discrete numerical scheme which leads to a linear algebraic system. Then a direct method based on the matrix diagonalization approach is proposed to solve the linear algebraic system, where the cost of the algorithm is of a small multiple of $N^4$ ($N$ is the polynomial degree in each spatial coordinate) flops for each time level. In addition, the stability and convergence analysis are rigorously established. We obtain the optimal error estimate in space, and the results also show that the fully discrete scheme is unconditionally stable and convergent of order one in time. Furthermore, numerical experiments are presented to confirm the theoretical claims. As the applications of the proposed method, the fractional Gray-Scott model is solved to capture the pattern formation with an analysis of the properties of the fractional powers.     

A non-standard symmetry-preserving method to compute bounded solutions of a generalized Newell-Whitehead-Segel equation

In this work, we propose a finite-difference scheme to approximate the solutions of a generalization of the classical, one-dimensional, Newell-Whitehead-Segel equation from fluid mechanics, which is an equation for which the existence of bounded solutions is a well-known fact. The numerical method preserves the skew-symmetry of the problem of interest, and it is a non-standard technique which consistently approximates the solutions of the equation under investigation, with a consistency of the first order in time and of the second order in space. We prove that, under relatively flexible conditions on the computational parameters of the method, our technique yields bounded numerical approximations for every set of bounded initial estimates. Some simulations are provided in order to verify the validity of our analytical results. In turn, the validity of the computational constraints under which the method guarantees the preservation of the boundedness of the approximations, is successfully tested by means of computational experiments in some particular instances.     

On the convergence of a nonlinear finite-difference discretization of the generalized Burgers–Fisher equation

In this note, we establish analytically the convergence of a nonlinear finite-difference discretization of the generalized Burgers–Fisher equation. The existence and uniqueness of positive, bounded and monotone solutions for this scheme was recently established in [J. Diff. Eq. Appl. 19 (2014), pp. 1907–1920]. In the present work, we prove additionally that the method is convergent of order one in time, and of order two in space. Some numerical experiments are conducted in order to assess the validity of the analytical results. We conclude that the methodology under investigation is a fast, nonlinear, explicit, stable, convergent numerical technique that preserves the positivity, the boundedness and the monotonicity of approximations, making it an ideal tool in the study of some travelling-wave solutions of the mathematical model of interest. This note closes proposing new avenues of future research.     

Numerical resolution of an exact heat conduction model with a delay term

In this paper we analyze, from the numerical point of view, a dynamic thermoelastic problem. Here, the so-called exact heat conduction model with a delay term is used to obtain the heat evolution. Thus, the thermomechanical problem is written as a coupled system of partial differential equations, and its variational formulation leads to a system written in terms of the velocity and the temperature fields. An existence and uniqueness result is recalled. Then, fully discrete approximations are introduced by using the classical finite element method to approximate the spatial variable and the implicit Euler scheme to discretize the time derivatives. A priori error estimates are proved, from which the linear convergence of the algorithm could be derived under suitable additional regularity conditions. Finally, a two-dimensional numerical example is solved to show the accuracy of the approximation and the decay of the discrete energy.     

Essentially negative news about positive systems

In this paper the discretisation of switched and non-switched linear positive systems using Padé approximations is considered. Padé approximations to the matrix exponential are sometimes used by control engineers for discretising continuous time systems and for control system design. We observe that this method of approximation is not suited for the discretisation of positive dynamic systems, for two key reasons. First, certain types of Lyapunov stability are not, in general, preserved. Secondly, and more seriously, positivity need not be preserved, even when stability is. Finally we present an alternative approximation to the matrix exponential which preserves positivity, and linear and quadratic stability.     

Numerical Treatment of Homogeneous Semi-Markov Processes in Transient Case–a Straightforward Approach

This paper presents the numerical solution of the process evolution equation of a homogeneous semi-Markov process (HSMP) with a general quadrature method. Furthermore, results that justify this approach proving that the numerical solution tends to the evolution equation of the continuous time HSMP are given. The results obtained generalize classical results on integral equation numerical solutions applying them to particular kinds of integral equation systems. A method for obtaining the discrete time HSMP is shown by applying a very particular quadrature formula for the discretization. Following that, the problem of obtaining the continuous time HSMP from the discrete one is considered. In addition, the discrete time HSMP in matrix form is presented and the fact that the solution of the evolution equation of this process always exists is proved. Afterwards, an algorithm for solving the discrete time HSMP is given. Finally, a simple application of the HSMP is given for a real data social security example.     

Finite‐region stability and finite‐region boundedness for 2D Roesser models

In this paper, we establish finite‐region stability (FRS) and finite‐region boundedness analysis methods to investigate the transient behavior of discrete two‐dimensional Roesser models. First, by building special recursive formulas, a sufficient FRS condition is built via solvable linear matrix inequalities constraints. Next, by designing state feedback controllers, the finite‐region stabilization issue is analyzed for the corresponding two‐dimensional closed‐loop system. Similar to FRS analysis, the finite‐region boundedness problem is addressed for Roesser models with exogenous disturbances and corresponding criteria, and linear matrix inequalities conditions are reported. To conclude the paper, we provide numerical examples to confirm the validity of the proposed methods. Copyright © 2016 John Wiley & Sons, Ltd.     

A fast BIE iteration method for an arbitrary body in a flow of incompressible inviscid fluid

The paper is concerned with the new iteration algorithm to solve boundary integral equations arising in boundary value problems of mathematical physics. The stability of the algorithm is demonstrated on the problem of a flow around bodies placed in the incompressible inviscid fluid. With a discrete numerical treatment, we approximate the exact matrix by a certain Töeplitz one and then apply a fast algorithm for this matrix, on each iteration step. We illustrate the convergence of this iteration scheme by a number of numerical examples, both for hard and soft boundary conditions. It appears that the method is highly efficient for hard boundaries, being much less efficient for soft boundaries.     

Global properties of a discrete viral infection model with general incidence rate

In this paper, we propose a discrete viral infection model with a general incidence rate. The discrete model is derived from a continuous case by using a 'mixed' Euler method, which is a mixture of both forward and backward Euler methods. We prove that the mixed Euler method preserves the qualitative properties of the corresponding continuous system, such as positivity, boundedness, and global behaviors of solutions. Furthermore, the model and mathematical results presented in another previous study are extended and generalized. Copyright © 2015 John Wiley & Sons, Ltd.     

EXPLICITLY SOLVABLE CHARACTERISTIC METHOD FOR CONVECTION DIFFUSION PROBLEMS

In this paper, a new method for numerically solving nonlinear convection-dominated diffusion problems is devised and analysed. The discrete time approximations with time stepping along charactcristics are cstablished and solved in spaces posscssing reproducing kernel functions. At each time step, the exact solution of the approximate problem is given by explicit expression. The computational advantage of this method is that the schemes are absolutely stable, and are explicitly solvable as well. The stability and error estimates are derived. Some numerical results are given.     

A porous thermoviscoelastic mixture problem: numerical analysis and computational experiments

In this paper, we study, from the numerical point of view, a porous thermoviscoelastic mixture problem. The mechanical problem is written as a linear coupled system of two hyperbolic partial differential equations for the porosities and a parabolic partial differential equation for the temperature field. An existence and uniqueness result and an energy decay property are stated. Then, fully discrete approximations are introduced by using the finite element method to approximate the spatial variable and the backward Euler scheme to discretize the time derivatives. A priori error estimates are proved from which, under suitable regularity conditions, the linear convergence of the algorithm is derived. Finally, some numerical simulations are presented to demonstrate the accuracy of the approximations in an academical one-dimensional example and the behaviour of the solutions in one- and two-dimensional problems.     

FINITE VOLUME NUMERICAL ANALYSIS FOR PARABOLIC EQUATION WITH ROBIN BOUNDARY CONDITION

In this paper, finite volume method on unstructured meshes is studied for a parabolic convection-diffusion problem on an open bounded set of R^d (d = 2 or 3) with Robin boundary condition. Upwinding approximations are adapted to treat both the convection term and Robin boundary condition. By directly getting start from the formulation of the finite volume scheme, numerical analysis is done. By using several discrete functional analysis techniques such as summation by parts, discrete norm inequality, et al, the stability and error estimates on the approximate solution are established, existence and uniqueness of the approximate solution and the 1st order temporal norm and L^2 and H^1 spacial norm convergence properties are obtained.     

A parameter-uniform numerical method for a Sobolev problem with initial layer

The present study is concerned with the numerical solution, using finite difference method of a one-dimensional initial-boundary value problem for a linear Sobolev or pseudo-parabolic equation with initial jump. In order to obtain an efficient method, to provide good approximations with independence of the perturbation parameter, we have developed a numerical method which combines a finite difference spatial discretization on uniform mesh and the implicit rule on Shishkin mesh(S-mesh) for the time variable. The fully discrete scheme is shown to be convergent of order two in space and of order one expect for a logarithmic factor in time, uniformly in the singular perturbation parameter. Some numerical results confirming the expected behavior of the method are shown.