Optimization of the Runge-Kutta iteration with residual smoothing

Iterative solvers in combination with multi-grid have been used extensively to solve large algebraic systems. One of the best known is the Runge-Kutta iteration. Previously (Haelterman et al. (2009) [3]) we reformulated the Runge-Kutta scheme and established a model of a complete V-cycle which was used to optimize the coefficients of the multi-stage scheme and resulted in a better overall performance. We now look into aspects of central and upwind residual smoothing within the same optimization framework. We consider explicit and implicit residual smoothing and either apply it within the Runge-Kutta time-steps, as a filter for restriction or as a preconditioner for the discretized equations. We also shed a different light on the very high CFL numbers obtained by upwind residual smoothing and point out that damping the high frequencies by residual smoothing is not necessarily a good idea.     

Relaxation Lax-Friedrichs sweeping scheme for static Hamilton-Jacobi equations

This paper presents a relaxation Lax-Friedrichs sweeping scheme to approximate viscosity solutions of static Hamilton Jacobi equations in any number of spatial dimensions. It is a generalization of the scheme proposed in Kao et al. (J Comput Phys 196:367–391, 2004). Numerical examples suggest that the relaxation Lax-Friedrichs sweeping scheme has smaller number of iterations than the original Lax-Friedrichs sweeping scheme when the relaxation factor ω is slightly larger than one. And first order convergence is also demonstrated by numerical results. A theoretical analysis for our scheme in a special case is given.     

Optimal m-stage Runge-Kutta schemes for steady-state solutions of hyperbolic equations

A numerical scheme is developed to find optimal parameters and time step of m-stage Runge-Kutta (RK) schemes for accelerating the convergence to -steady-state solutions of hyperbolic equations. These optimal RK schemes can be applied to a spatial discretization over nonuniform grids such as Chebyshev spectral discretization. For each m given either a set of all eigenvalues or a geometric closure of all eigenvalues of the discretization matrix, a specially structured nonlinear minimax problem is formulated to find the optimal parameters and time step. It will be shown that each local solution of the minimax problem is also a global solution and therefore the obtained m-stage RK scheme is optimal. A numerical scheme based on a modified version of the projected Lagrangian method is designed to solve the nonlinear minimax problem. The scheme is generally applicable to any stage number m. Applications in solving nonsymmetric systems of linear equations are also discussed. © 1993 John Wiley & Sons, Inc.     

Higher-order time integration with a local Lax–Wendroff procedure for a central scheme on an overlapping grid

We have implemented a high-order Lax–Wendroff type time integration for a central scheme on an overlapping grid for conservation law problems. Using a local iterative approach presented by Dumbser et al. (JCP, 2008) [12], we extend a local high-order spatial reconstruction on each cell to a local higher-order space–time polynomial on the cell. We rewrite the central scheme in a fully discrete form to avoid volume integration in the space–time domain. The fluxes at cell interfaces are calculated directly via integrating a higher-order space–time reconstruction of the flux. We compare this approach with the corresponding multi-stage Runge–Kutta time integration (RK). Numerical results show that the new time integration is more cost-effective.     

具有Gilbert项的Landau-Lifshitz方程的显式平方守恒格式

构造了一种解具有Gilbert项的Landau-Lifshitz方程的显式平方守恒格式．基本思想是离散Landau-Lifshitz方程成常微分方程组,应用李群方法和显式Runge-Kutta方法解常微分方程组．数值试验比较了两方法的保平方守恒特性和精度,得出李群方法(RK-Cayley方法)比相应的Runge-Kutta(RK)方法有更好的精度和保平方守恒特性．     

Numerical treatment for nonlinear Brusselator chemical model

Nowadays, numerical models have great importance in every field of science, especially for solving the nonlinear differential equations, partial differential equations, biochemical reactions, etc. The total time evolution of the reactant species which interacts with other species is simulated by the Runge-Kutta of order four (RK4) and by Non-Standard finite difference (NSFD) method. A NSFD model has been constructed for the biochemical reaction problem and numerical experiments are performed for different values of discretization parameter h. The results are compared with the well-known numerical scheme, i.e. RK4. The developed scheme NSFD gives better results than RK4.     

Mapped WENO schemes based on a new smoothness indicator for Hamilton–Jacobi equations

In this paper, we introduce an improved version of mapped weighted essentially non-oscillatory (WENO) schemes for solving Hamilton–Jacobi equations. To this end, we first discuss new smoothness indicators for WENO construction. Then the new smoothness indicators are combined with the mapping function developed by Henrick et al. (2005) [31]. The proposed scheme yields fifth-order accuracy in smooth regions and sharply resolve discontinuities in the derivatives. Numerical experiments are provided to demonstrate the performance of the proposed schemes on a variety of one-dimensional and two-dimensional problems.     

Two-step Newton methods

We present sufficient convergence conditions for two-step Newton methods in order to approximate a locally unique solution of a nonlinear equation in a Banach space setting. The advantages of our approach over other studies such as Argyros et al. (2010) [5], Chen et al. (2010) [11], Ezquerro et al. (2000) [16], Ezquerro et al. (2009) [15], Hernández and Romero (2005) [18], Kantorovich and Akilov (1982) [19], Parida and Gupta (2007) [21], Potra (1982) [23], Proinov (2010) [25], Traub (1964) [26] for the semilocal convergence case are: weaker sufficient convergence conditions, more precise error bounds on the distances involved and at least as precise information on the location of the solution. In the local convergence case more precise error estimates are presented. These advantages are obtained under the same computational cost as in the earlier stated studies. Numerical examples involving Hammerstein nonlinear integral equations where the older convergence conditions are not satisfied but the new conditions are satisfied are also presented in this study for the semilocal convergence case. In the local case, numerical examples and a larger convergence ball are obtained.     

Approximations for nonlinear mappings by the hybrid method in Hilbert spaces

The hybrid method in mathematical programming was introduced by Haugazeau (1968) [1] and he proved a strong convergence theorem for finding a common element of finite nonempty closed convex subsets of a real Hilbert space. Later, Bauschke and Combettes (2001) [2] proposed some condition for a family of mappings (the so-called coherent condition) and established interesting results by the hybrid method. The authors (Nakajo et al., 2009) [10] extended Bauschke and Combettes’s results. In this paper, we introduce a condition weaker than the coherent condition and prove strong convergence theorems which generalize the results of Nakajo et al. (2009) [10]. And we get strong convergence theorems for a family of asymptotically κ-strict pseudo-contractions, a family of Lipschitz and pseudo-contractive mappings and a one-parameter uniformly Lipschitz semigroup of pseudo-contractive mappings.     

A mathematical modeling for the lookback option with jump-diffusion using binomial tree method

The binomial tree method (BTM), first proposed by Cox et al. (1979) [4] in diffusion models and extended by Amin (1993) [9] to jump-diffusion models, is one of the most popular approaches to pricing options. In this paper, we present a binomial tree method for lookback options in jump-diffusion models and show its equivalence to certain explicit difference scheme. We also prove the existence and convergence of the optimal exercise boundary in the binomial tree approximation to American lookback options and give the terminal value of the genuine exercise boundary. Further, numerical simulations are performed to illustrate the theoretical results.     

Analysis of a class of nonlinear subdivision schemes and associated multiresolution transforms

This paper is devoted to the convergence and stability analysis of a class of nonlinear subdivision schemes and associated multiresolution transforms. As soon as a nonlinear scheme can be written as a specific perturbation of a linear and convergent subdivision scheme, we show that if some contractivity properties are satisfied, then stability and convergence can be achieved. This approach is applied to various schemes, which give different new results. More precisely, we study uncentered Lagrange interpolatory linear schemes, WENO scheme (Liu et al., J Comput Phys 115:200–212, 1994), PPH and Power-P schemes (Amat and Liandrat, Appl Comput Harmon Anal 18(2):198–206, 2005; Serna and Marquina, J Comput Phys 194:632–658, 2004) and a nonlinear scheme using local spherical coordinates (Aspert et al., Comput Aided Geom Des 20:165–187, 2003). Finally, a stability proof is given for the multiresolution transform associated to a nonlinear scheme of Marinov et al. (2005).     

Finite volume schemes for locally constrained conservation laws

This paper is devoted to the numerical analysis of the road traffic model proposed by Colombo and Goatin (J. Differ. Equ. 234(2):654–675, 2007). The model involves a standard conservation law supplemented by a local unilateral constraint on the flux at the point x = 0 (modelling a road light, a toll gate, etc.). We first show that the problem can be interpreted in terms of the theory of conservation laws with discontinuous flux function, as developed by Adimurthi et al. (J. Hyperbolic Differ. Equ. 2(4):783–837, 2005) and Bürger et al. (SIAM J. Numer. Anal. 47(3):1684–1712, 2009). We reformulate accordingly the notion of entropy solution introduced by Colombo and Goatin (J. Differ. Equ. 234(2):654–675, 2007), and extend the well-posedness results to the L ^∞ framework. Then, starting from a general monotone finite volume scheme for the non-constrained conservation law, we produce a simple scheme for the constrained problem and show its convergence. The proof uses a new notion of entropy process solution. Numerical examples modelling a “green wave” are presented.     

On the propagation of solitons in ferrites: The inverse scattering approach

We pay particular attention to a nonlinear evolution system derived by Kraenkel et al. (2000) from Maxwell’s equations and the Landau–Lifshitz–Gilbert equation, describing the propagation of ultra-short wave in ferromagnetic materials. Since the associated Lax-pairs of such a system has been provided standing for a proof of its integrability, we follow the inverse scattering transform method and particularly the Wadati–Konno–Ichikawa scheme to unveil the soliton solutions to this system and study their scattering properties.     

On recent developments in the theory of abstract differential equations with fractional derivatives

This note is motivated from some recent papers treating the problem of the existence of a solution for abstract differential equations with fractional derivatives. We show that the existence results in [Agarwal et al. (2009) [1], Belmekki and Benchohra (2010) [2], Darwish et al. (2009) [3], Hu et al. (2009) [4], Mophou and N’Guérékata (2009) [6] and [7], Mophou (2010) [8] and [9], Muslim (2009) [10], Pandey et al. (2009) [11], Rashid and El-Qaderi (2009) [12] and Tai and Wang (2009) [13]] are incorrect since the considered variation of constant formulas is not appropriate. In this note, we also consider a different approach to treat a general class of abstract fractional differential equations.     

Weaker conditions for the convergence of Newton’s method

Newton’s method is often used for solving nonlinear equations. In this paper, we show that Newton’s method converges under weaker convergence criteria than those given in earlier studies, such as Argyros (2004) [2, p. 387], Argyros and Hilout (2010)[11, p. 12], Argyros et al. (2011) [12, p. 26], Ortega and Rheinboldt (1970) [26, p. 421], Potra and Pták (1984) [36, p. 22]. These new results are illustrated by several numerical examples, for which the older convergence criteria do not hold but for which our weaker convergence criteria are satisfied.     

An efficient explicit full-discrete scheme for strong approximation of stochastic Allen–Cahn equation

In Becker and Jentzen (2019) and Becker et al. (2017), an explicit temporal semi-discretization scheme and a space–time full-discretization scheme were, respectively, introduced and analyzed for the additive noise-driven stochastic Allen–Cahn type equations, with strong convergence rates recovered. The present work aims to propose a different explicit full-discrete scheme to numerically solve the stochastic Allen–Cahn equation with cubic nonlinearity, perturbed by additive space–time white noise. The approximation is easily implementable, performing the spatial discretization by a spectral Galerkin method and the temporal discretization by a kind of nonlinearity-tamed accelerated exponential integrator scheme. Error bounds in a strong sense are analyzed for both the spatial semi-discretization and the spatio-temporal full discretization, with convergence rates in both space and time explicitly identified. It turns out that the obtained convergence rate of the new scheme is, in the temporal direction, twice as high as existing ones in the literature. Numerical results are finally reported to confirm the previous theoretical findings.     

Mathematical analysis of a wave energy converter model

In a context where sustainable development should be a priority, Orazov et al. have proposed in 2010, an excitation scheme for buoy-type ocean wave energy converters. The simplest model for this scheme is a non autonomous piecewise linear second order differential equation. The goal of the present paper is to give a mathematical framework for this model and to highlight some properties of its solutions. In particular, we will look at bounded and periodic solutions, and compare the energy-harvesting capabilities of this novel WEC with respect to that of a wave energy converter without mass modulation.     

On pricing arithmetic average reset options with multiple reset dates in a lattice framework

We develop a straightforward algorithm to price arithmetic average reset options with multiple reset dates in a Cox et al. (CRR) (1979) [10] framework. The use of a lattice approach is due to its adaptability and flexibility in managing arithmetic average reset options, as already evidenced by Kim et al. (2003) [9]. Their model is based on the Hull and White (1993) [5] bucketing algorithm and uses an exogenous exponential function to manage the averaging feature, but their choice of fictitious values does not guarantee the algorithm’s convergence (cfr., Forsyth et al. (2002) [11]). We propose to overcome this drawback by selecting a limited number of trajectories among the ones reaching each node of the lattice, where we compute effective averages. In this way, the computational cost of the pricing problem is reduced, and the convergence of the discrete time model to the corresponding continuous time one is guaranteed.     

Convergence of a class of runge-kutta methods for differential-algebraic systems of index 2

This paper deals with convergence results for a special class of Runge-Kutta (RK) methods as applied to differential-algebraic equations (DAE's) of index 2 in Hessenberg form. The considered methods are stiffly accurate, with a singular RK matrix whose first row vanishes, but which possesses a nonsingular submatrix. Under certain hypotheses, global superconvergence for the differential components is shown, so that a conjecture related to the Lobatto IIIA schemes is proved. Extensions of the presented results to projected RK methods are discussed. Some numerical examples in line with the theoretical results are included.     

Runge-Kutta methods on Lie groups

We construct generalized Runge-Kutta methods for integration of differential equations evolving on a Lie group. The methods are using intrinsic operations on the group, and we are hence guaranteed that the numerical solution will evolve on the correct manifold. Our methods must satisfy two different criteria to achieve a given order.