Krylov subspace spectral methods for the time-dependent Schrödinger equation with non-smooth potentials

This paper presents modifications of Krylov Subspace Spectral (KSS) Methods, which build on the work of Gene Golub and others pertaining to moments and Gaussian quadrature to produce high-order accurate approximate solutions to the time-dependent Schrödinger equation in the case where either the potential energy or the initial data is not a smooth function. These modifications consist of using various symmetric perturbations to compute off-diagonal elements of functions of matrices. It is demonstrated through analytical and numerical results that KSS methods, with these modifications, achieve the same high-order accuracy and possess the same stability properties as they do when applied to parabolic problems, even though the solutions to the Schrödinger equation do not possess the same smoothness.     

Cascadic Multigrid in a Spectral-Element Context

Current research in computational fluid dynamics focuses on high-order methods, which offer a significant reduction of the computational effort for a given error bound. In low-order methods optimal complexity solvers for elliptic equations, e.g. the Helmholtz equation, are readily available, but for high-order methods these are still an area of research. This work evaluates the effectiveness of the Cascadic Multigrid Method in the context of spectral elements, comparing it to a standard Krylov subspace solver. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

HIGH-ORDER NONLINEAR GALERKIN METHODS

The nonlinear Galerkin methods are numerical schemes well adapted to the long-term integration of nonlinear evolution partial differential equations. In this paper, a class of high-order nonlinear Galerkin methods are provided. Moreover, convergence results with high-order spectral accuracy are derived for the schemes introduced.     

On shifted Jacobi spectral method for high-order multi-point boundary value problems

This paper reports a spectral tau method for numerically solving multi-point boundary value problems (BVPs) of linear high-order ordinary differential equations. The construction of the shifted Jacobi tau approximation is based on conventional differentiation. This use of differentiation allows the imposition of the governing equation at the whole set of grid points and the straight forward implementation of multiple boundary conditions. Extension of the tau method for high-order multi-point BVPs with variable coefficients is treated using the shifted Jacobi Gauss–Lobatto quadrature. Shifted Jacobi collocation method is developed for solving nonlinear high-order multi-point BVPs. The performance of the proposed methods is investigated by considering several examples. Accurate results and high convergence rates are achieved.     

非线性守恒律高阶谱粘性法的收敛性

讨论守恒型方程周期边界问题的高阶谱粘性方法逼近解的收敛性.在逼近解一致有界的假设下,通过建立其高阶导数的上界估计,证明了高阶谱粘性方法逼近解具有同二阶谱粘性方法逼近解相类似的高频衰减性质.以此为基础,用补偿列紧法证明了高阶谱粘性方法逼近解收敛于守恒型方程的物理解.     

Galerkin-Chebyshev spectral method and block boundary value methods for two-dimensional semilinear parabolic equations

In this paper, we present a high-order accurate method for two-dimensional semilinear parabolic equations. The method is based on a Galerkin-Chebyshev spectral method for discretizing spatial derivatives and a block boundary value methods of fourth-order for temporal discretization. Our formulation has high-order accurate in both space and time. Optimal a priori error bound is derived in the weighted \(L^{2}_{\omega }\)-norm for the semidiscrete formulation. Extensive numerical results are presented to demonstrate the convergence properties of the method.     

Klein-Gordon equation with advection on unbounded domains using spectral elements and high-order non-reflecting boundary conditions

A reduced shallow water model under constant, non-zero advection in the infinite channel is considered. High-order (Givoli-Neta) non-reflecting boundary conditions are introduced in various configurations to create a finite computational space and solved using a spectral element formulation with high-order time integration. Numerical examples are used to demonstrate the synergy of using high-order spatial, time, and boundary discretization. We show that by balancing all numerical errors involved, high-order accuracy can be achieved for unbounded domain problems.     

The N-coupled higher-order nonlinear Schrödinger equation: Riemann-Hilbert problem and multi-soliton solutions

In this work, the Riemann-Hilbert (RH) problem of the N-coupled high-order nonlinear Schrödinger (N-CHNLS) equations is studied carefully, which controls the propagation of N fields with all high-order effects such as high-order dispersion, self-steepening effect, and Raman scattering in optical fiber. The spectral analysis of the Lax pair associated with a (2N+1)×(2N+1) matrix spectral problem for the N-CHNLS equations is firstly carried out, from which a kind of RH problem is structured. Then a series of multi-soliton solutions including breather, bright, and dark solutions for the N-CHNLS equations can be formulated by the RH problem with the reflection-less case. In addition, with N=4 taken as an example, the propagation behavior of these solutions and their interactions are presented by selecting appropriate parameters with some graphics.     

Nested dyadic grids associated with Legendre–Gauss–Lobatto grids

Legendre–Gauss–Lobatto (LGL) grids play a pivotal role in nodal spectral methods for the numerical solution of partial differential equations. They not only provide efficient high-order quadrature rules, but give also rise to norm equivalences that could eventually lead to efficient preconditioning techniques in high-order methods. Unfortunately, a serious obstruction to fully exploiting the potential of such concepts is the fact that LGL grids of different degree are not nested. This affects, on the one hand, the choice and analysis of suitable auxiliary spaces, when applying the auxiliary space method as a principal preconditioning paradigm, and, on the other hand, the efficient solution of the auxiliary problems. As a central remedy, we consider certain nested hierarchies of dyadic grids of locally comparable mesh size, that are in a certain sense properly associated with the LGL grids. Their actual suitability requires a subtle analysis of such grids which, in turn, relies on a number of refined properties of LGL grids. The central objective of this paper is to derive the main properties of the associated dyadic grids needed for preconditioning the systems arising from \(hp\)- or even spectral (conforming or Discontinuous Galerkin type) discretizations for second order elliptic problems in a way that is fully robust with respect to varying polynomial degrees. To establish these properties requires revisiting some refined properties of LGL grids and their relatives.     

Actual time integration methods for elastic wave propagation analysis

For the simulation of the interaction of elastic waves in CFRP plates with inhomogeneities and defects the spectral finite element method (SEM) is under investigation. The SEM uses high-order shape functions which are composed of Lagrange polynomials with nodes at the Gauss-Lobatto quadrature (GLq) points. In this way we obtain a diagonal mass matrix which makes an explicit time scheme more efficient. In this paper we analyse how actual time integration methods perform in combination with the SEM. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

High-order non-reflecting boundary conditions for dispersive waves in polar coordinates using spectral elements

High-order non-reflecting boundary conditions are introduced to create a finite computational space and for the solution of dispersive waves using a spectral element formulation with high-order time integration. Numerical examples are used to demonstrate the synergy of using high-order spatial, time, and boundary discretization. We show that by balancing all numerical errors involved, high-order accuracy can be achieved for unbounded domain problems in polar coordinate systems.     

随机微分方程高阶分裂步(θ1,θ2,θ3)方法的强收敛性

本文首先提出一类高阶分裂步（θ₁,θ₂,θ₃）方法求解由非交换噪声驱动的非自治随机微分方程.其次在漂移项系数满足多项式增长和单边Lipschitz条件下,证明了当1/2 ≤ θ₂ ≤ 1时该方法是1阶强收敛的.此类方法包含很多经典的方法：如随机θ-Milstein方法,向后分裂步Milstein方法等.最后数值实验验证了所得结论.     

Convergence analysis of high-order time-splitting pseudo-spectral methods for rotational Gross–Pitaevskii equations

A convergence analysis of time-splitting pseudo-spectral methods adapted for time-dependent Gross–Pitaevskii equations with additional rotation term is given. For the time integration high-order exponential operator splitting methods are studied, and the space discretization relies on the generalized-Laguerre–Fourier spectral method with respect to the $(x,y)$ -variables as well as the Hermite spectral method in the $z$ -direction. Essential ingredients in the stability and error analysis are a general functional analytic framework of abstract nonlinear evolution equations, fractional power spaces defined by the principal linear part, a Sobolev-type inequality in a curved rectangle, and results on the asymptotical distribution of the nodes and weights associated with Gauß–Laguerre quadrature. The obtained global error estimate ensures that the nonstiff convergence order of the time integrator and the spectral accuracy of the spatial discretization are retained, provided that the problem data satisfy suitable regularity requirements. A numerical example confirms the theoretical convergence estimate.     

Solving boundary value problems,integral, and integro-differential equations using Gegenbauer integration matrices

We introduce a hybrid Gegenbauer (ultraspherical) integration method (HGIM) for solving boundary value problems (BVPs), integral and integro-differential equations. The proposed approach recasts the original problems into their integral formulations, which are then discretized into linear systems of algebraic equations using Gegenbauer integration matrices (GIMs). The resulting linear systems are well-conditioned and can be easily solved using standard linear system solvers. A study on the error bounds of the proposed method is presented, and the spectral convergence is proven for two-point BVPs (TPBVPs). Comparisons with other competitive methods in the recent literature are included. The proposed method results in an efficient algorithm, and spectral accuracy is verified using eight test examples addressing the aforementioned classes of problems. The proposed method can be applied on a broad range of mathematical problems while producing highly accurate results. The developed numerical scheme provides a viable alternative to other solution methods when high-order approximations are required using only a relatively small number of solution nodes.     

Weakly Admissible Meshes and Discrete Extremal Sets

We present a brief survey on (Weakly) Admissible Meshes and corresponding Discrete Extremal Sets, namely Approximate Fekete Points and Discrete Leja Points. These provide new computational tools for polynomial least squares and interpolation on multidimensional compact sets, with different applications such as numerical cubature, digital filtering, spectral and high-order methods for PDEs.     

A family of explicit parallel Runge-Kutta-Nyström methods

A procedure for the construction of high-order explicit parallel Runge-Kutta-Nyström (RKN) methods for solving second-order nonstiff initial value problems (IVPs) is analyzed. The analysis reveals that starting the procedure with a reference symmetric RKN method it is possible to construct high-order RKN schemes which can be implemented in parallel on a small number of processors. These schemes are defined by means of a convex combination of k disjoint s_i-stage explicit RKN methods which are constructed by connecting s_i steps of a reference explicit symmetric method. Based on the reference second-order Störmer-Verlet methods we derive a family of high-order explicit parallel schemes which can be implemented in variable-step codes without additional cost. The numerical experiments carried out show that the new parallel schemes are more efficient than some sequential and parallel codes proposed in the scientific literature for solving second-order nonstiff IVPs.     

Application of the Finite Cell Method to patient-specific femur simulations

Standard methods for predicting the mechanical response of a human femur bone from quantitative computer-tomography (qCT) scans are classically based on the h-version of the finite element method. These methods are often limited in accuracy and efficiency due to the need for segmentation and the slow convergence rate. With the Finite Cell Method (FCM) a high-order fictitious domain method has been developed that overcomes the aforementioned problems and provides accurate results when compared to high-order finite element methods and experimental results. Herein the FCM applied to the analysis of a patient-specific femur is presented. The femur model is determined based on qCT-scans and the elastic response under compression is presented in terms of strains and displacements. The results are compared with a p-FE analysis and validated by results from an in-vitro test of the modeled femur. (© 2011 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

High-Order Methods for Exotic Options and Greeks Under Regime-Switching Jump-Diffusion Models

This paper aims to develop high-order numerical methods for solving the system partial differential equations (PDEs) and partial integro-differential equations (PIDEs) arising in exotic option pricing under regime-switching models and regime-switching jump-diffusion models, respectively. Using cubic Hermite polynomials, the high-order collocation methods are proposed to solve the system PDEs and PIDEs. This collocation scheme has the second-order convergence rates in time and fourth-order rates in space. The computation of the Greeks for the options is also studied. Numerical examples are carried out to verify the high-order convergence and show the efficiency for computing the Greeks.     

高阶优化算法分析简介

高阶优化算法是利用目标函数的高阶导数信息进行优化的算法,是最优化领域中的一个新兴的研究方向.高阶算法具有更低的迭代复杂度,但是需要求解一个更难的子问题.主要介绍三种高阶算法,分别为求解凸问题的高阶加速张量算法和A-HPE框架下的最优张量算法,以及求解非凸问题的ARp算法.同时也介绍了怎样求解高阶算法的子问题.希望通过对高阶算法的介绍,引起更多学者的关注与重视.     

Spectral Method for the Black-Scholes Model of American Options Valuation

In this paper, we devote ourselves to the research of numerical methods for American option pricing problems under the Black-Scholes model. The optimal exercise boundary which satisfies a nonlinear Volterra integral equation is resolved by a high-order collocation method based on graded meshes. For the other spatial domain boundary, an artificial boundary condition is applied to the pricing problem for the effective truncation of the semi-infinite domain. Then, the front-fixing and stretching transformations are employed to change the truncated problem in an irregular domain into a one-dimensional parabolic problem in [−1,1]. The Chebyshev spectral method coupled with fourth-order Runge-Kutta method is proposed for the resulting parabolic problem related to the options. The stability of the semi-discrete numerical method is established for the parabolic problem transformed from the original model. Numerical experiments are conducted to verify the performance of the proposed methods and compare them with some existing methods.