A greedy algorithm for partition of unity collocation method in pricing American options

A greedy algorithm in combination with radial basis functions partition of unity collocation (GRBF‐PUC) scheme is used as a locally meshless method for American option pricing. The radial basis function partition of unity method (RBF‐PUM) is a localization technique. Because of having interpolation matrices with large condition numbers, global approximants and some local ones suffer from instability. To overcome this, a greedy algorithm is added to RBF‐PUM. The greedy algorithm furnishes a subset of best nodes among the points X. Such nodes are then used as points of trial in a locally supported RBF approximant for each partition. Using of greedy selected points leads to decreasing the condition number of interpolation matrices and reducing the burdensome in pricing American options.     

Análise de vigas laminadas utilizando o natural neighbour radial point interpolation method

In this work, a meshless method, “natural neighbour radial point interpolation method” (NNRPIM), is applied to the one‐dimensional analysis of laminated beams, considering the theory of Timoshenko.The NNRPIM combines the mathematical concept of natural neighbours with the radial point interpolation. Voronoï diagrams allows to impose the nodal connectivity and the construction of a background mesh for integration purposes, via influence cells. The construction of the NNRPIM interpolation functions is shown, and, for this, it is used the multiquadratic radial basis function. The generated interpolation functions possess infinite continuity and the delta Kronecker property, which facilitates the enforcement of boundary conditions, since these can be directly imposed, as in the finite element method (FEM).In order to obtain the displacements and the deformation fields, it is considered the Timoshenko theory for beams under transverse efforts. Several numerical examples of isotropic beams and laminated beams are presented in order to demonstrate the convergence and accuracy of the proposed application. The results obtained are compared with analytical solutions available in the literature.     

Scattered data fitting of Hermite type by a weighted meshless method

In many practical problems, it is often desirable to interpolate not only the function values but also the values of derivatives up to certain order, as in the Hermite interpolation. The Hermite interpolation method by radial basis functions is used widely for solving scattered Hermite data approximation problems. However, sometimes it makes more sense to approximate the solution by a least squares fit. This is particularly true when the data are contaminated with noise. In this paper, a weighted meshless method is presented to solve least squares problems with noise. The weighted meshless method by Gaussian radial basis functions is proposed to fit scattered Hermite data with noise in certain local regions of the problem’s domain. Existence and uniqueness of the solution is proved. This approach has one parameter which can adjust the accuracy according to the size of the noise. Another advantage of the weighted meshless method is that it can be used for problems in high dimensions with nonregular domains. The numerical experiments show that our weighted meshless method has better performance than the traditional least squares method in the case of noisy Hermite data.     

Spectral meshless radial point interpolation (SMRPI) method to two‐dimensional fractional telegraph equation

H. Ammari In this article, an innovative technique so‐called spectral meshless radial point interpolation (SMRPI) method is proposed and, as a test problem, is applied to a classical type of two‐dimensional time‐fractional telegraph equation defined by Caputo sense for (1 < α≤2). This new methods is based on meshless methods and benefits from spectral collocation ideas, but it does not belong to traditional meshless collocation methods. The point interpolation method with the help of radial basis functions is used to construct shape functions, which play as basis functions in the frame of SMRPI method. These basis functions have Kronecker delta function property. Evaluation of high‐order derivatives is not difficult by constructing operational matrices. In SMRPI method, it does not require any kind of integration locally or globally over small quadrature domains, which is essential of the finite element method (FEM) and those meshless methods based on Galerkin weak form. Also, it is not needed to determine strict value for the shape parameter, which plays an important role in collocation method based on the radial basis functions (Kansa's method). Therefore, computational costs of SMRPI method are less expensive. Two numerical examples are presented to show that SMRPI method has reliable rates of convergence. Copyright © 2015 John Wiley & Sons, Ltd.     

Dual reciprocity hybrid radial boundary node method for the analysis of Kirchhoff plates

A meshless method of dual reciprocity hybrid radial boundary node method (DHRBNM) for the analysis of arbitrary Kirchhoff plates is presented, which combines the advantageous properties of meshless method, radial point interpolation method (RPIM) and BEM. The solution in present method comprises two parts, i.e., the complementary solution and the particular solution. The complementary solution is solved by hybrid radial boundary node method (HRBNM), in which a three-field interpolation scheme is employed, and the boundary variables are approximated by RPIM, which is applied instead of moving least square (MLS) and obtains the Kronecker’s delta property where the traditional HBNM does not satisfy. The internal variables are interpolated by two groups of symmetric fundamental solutions. Based on those, a hybrid displacement variational principle for Kirchhoff plates is developed, and a meshless method of HRBNM for solving biharmonic problems is obtained, by which the complementary solution can be solved.     

Stability and convergence of spectral radial point interpolation method locally applied on two‐dimensional pseudoparabolic equation

In this article, we study a spectral meshless radial point interpolation of pseudoparabolic equations in two spatial dimensions. Shape functions, which are constructed through point interpolation method using the radial basis functions, help us to treat problem locally with the aim of high‐order convergence rate. The time derivatives are approximated by the finite difference time‐stepping method. The stability and convergence of this meshless approach are discussed and theoretically proven. Numerical results are presented to illustrate the theoretical findings. © 2016 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 724–741, 2017     

Nonlinear transient heat conduction analysis of functionally graded materials in the presence of heat sources using an improved meshless radial point interpolation method

An improved meshless radial point interpolation method, for the analysis of nonlinear transient heat conduction problems is proposed. This method is implemented for the heat conduction analysis of functionally graded materials (FGMs) with non-homogenous and/or temperature dependent heat sources. The conventional meshless RPIM is an appropriate numerical technique for the analysis of engineering problems. One advantage of this method is that it is based on the global weak formulation, and also the associated shape functions possess the Kronecker delta function property. However, in the original form, the evaluation of the global domain integrals requires the use of a background mesh. The proposed method benefits from a meshless integration technique, which has the capability of evaluating domain integrals with a better accuracy and speed in comparison with the conventional integration methods, and therefore a truly meshless technique is attained. This integration technique is especially designed for the fast and accurate evaluation of several domain integrals, with different integrands, over a single domain. Some 2D and 3D examples are provided to assess the efficiency of the proposed method.     

Adapting nodes in three dimensional irregular regions for meshless-type methods

In this paper, a new adaptive nodes technique based on equi-distribution principles and dimension reduction is presented for irregular regions in three dimensional cases. The mesh generation is performed by first producing some adaptive nodes in a cube based on equi-distribution along the coordinate axes and then transforming the generated nodes to the physical domain followed by a refinement process. The mesh points produced are appropriate for meshless-type methods which need only some scattered points rather than a mesh with some smoothness properties. The effectiveness of the generated mesh points is examined by a collocation meshless method using a well known radial basis function, namely ?(r)?=?r ⁵ which is sufficiently smooth for our purpose. Some experimental results will be presented to illustrate the effectiveness of the proposed method.     

A greedy meshless local Petrov–Galerkin methodbased on radial basis functions

The meshless local Petrov–Galerkin (MLPG) method with global radial basis functions (RBF) as trial approximation leads to a full final linear system and a large condition number. This makes MLPG less efficient when the number of data points is increased. We can overcome this drawback if we avoid using more points from the data site than absolutely necessary. In this article, we equip the MLPG method with the greedy sparse approximation technique of (Schaback, Numercail Algorithms 67 (2014), 531–547) and use it for numerical solution of partial differential equations. This scheme uses as few neighbor nodal values as possible and allows to control the consistency error by explicit calculation. Whatever the given RBF is, the final system is sparse and the algorithm is well‐conditioned. © 2015 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 32: 847–861, 2016     

A local hermitian RBF meshless numerical method for the solution of multi‐zone problems

The local Hermitian interpolation (LHI) method is a strong‐form meshless numerical technique in which the solution domain is covered by a series of small and heavily overlapping radial basis function (RBF) interpolation systems. Aside from its meshless nature and the ability to work on very large scattered datasets, the main strength of the LHI method lies in the formation of local interpolations, which themselves satisfy both boundary and governing PDE operators, leading to an accurate and stable reconstruction of partial derivatives without the need for artificial upwinding or adaptive stencil selection. In this work, an extension is proposed to the LHI formulation which allows the accurate capture of solution profiles across discontinuities in governing equation parameters. Continuity of solution value and mass flux is enforced between otherwise disconnected interpolation systems, at the location of the discontinuity. In contrast to other local meshless methods, due to the robustness of the Hermite RBF formulation, it is possible to impose both matching conditions simultaneously at the interface nodes. The procedure is demonstrated for 1D and 3D convection–diffusion problems, both steady and unsteady, with discontinuities in various PDE properties. The analytical solution profiles for these problems, which experience discontinuities in their first derivatives, are replicated to a high degree of accuracy. The technique has been developed as a tool for solving flow and transport problems around geological layers, as experienced in groundwater flow problems. The accuracy of the captured solution profiles, in scenarios where the local convective velocities exceed those typically encountered in such Darcy flow problems, suggests that the technique is indeed suitable for modeling discontinuities in porous media properties. © 2010 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 27: 1201–1230, 2011     

Meshless method with ridge basis functions

Meshless collocation methods for the numerical solutions of PDEs are increasingly adopted due to their advantages including efficiency and flexibility, and radial basis functions are popularly employed to represent the solutions of PDEs. Motivated by the advantages of ridge basis function representation of a given function, such as the connection to neural network, fast convergence as the number of terms is increased, better approximation effects and various applications in engineering problems, a meshless method is developed based on the collocation method and ridge basis function interpolation. This method is a truly meshless technique without mesh discretization: it neither needs the computation of integrals, nor requires a partition of the region and its boundary. Moreover, the method is applied to elliptic equations to examine its appropriateness, numerical results are compared to that obtained from other (meshless) methods, and influence factors of accuracy for numerical solutions are analyzed.     

A meshfree method with dynamic node reconfiguration for analysis of thermo-elastic problems with moving concentrated heat sources

In this work, a novel approach for efficient analysis of transient thermo-elastic problems including a moving point heat source is presented. This approach is based on a meshfree method with dynamic reconfiguration of the nodal points. In order to accurately capture the large temperature gradients at the location of the concentrated heat source, a fine configuration of nodal points at this location is selected. In contrast, a coarser nodal arrangement is used in other parts of the problem domain. During the problem analysis, the fine nodal arrangement moves with the point heat source. Consequently, the meshfree methods are ideally suited to this approach. In the present work, the meshfree radial point interpolation method (RPIM) is adopted for the numerical analyses. Since the density of the nodal points varies in different parts of the domain, the background decomposition method (BDM) is used for efficient computation of the domain integrals. In the BDM, the density of the integration points conform to that of the nodal points and thus the computational effort is minimized. Some numerical examples are provided to assess the accuracy and usefulness of the proposed approach in computation of the temperature, displacement, and stress fields.     

Determination of a control parameter in a one-dimensional parabolic equation using the method of radial basis functions

In this work, the method of radial basis functions is used for finding the solution of an inverse problem with source control parameter. Because a much wider range of physical phenomena are modelled by nonclassical parabolic initial-boundary value problems, theoretical behavior and numerical approximation of these problems have been active areas of research. The radial basis functions (RBF) method is an efficient mesh free technique for the numerical solution of partial differential equations. The main advantage of numerical methods which use radial basis functions over traditional techniques is the meshless property of these methods. In a meshless method, a set of scattered nodes are used instead of meshing the domain of the problem. The results of numerical experiments are presented and some comparisons are made with several well-known finite difference schemes.     

Greedy sparse linear approximations of functionals from nodal data

In many numerical algorithms, integrals or derivatives of functions have to be approximated by linear combinations of function values at nodes. This ranges from numerical integration to meshless methods for solving partial differential equations. The approximations should use as few nodal values as possible and at the same time have a smallest possible error. For each fixed set of nodes and each fixed Hilbert space of functions with continuous point evaluation, e.g. a fixed Sobolev space, there is an error–optimal method available using the reproducing kernel of the space. But the choice of the nodes is usually left open. This paper shows how to select good nodes adaptively by a computationally cheap greedy method, keeping the error optimal in the above sense for each incremental step of the node selection. This is applied to interpolation, numerical integration, and numerical differentiation. The latter case is particularly important for the design of meshless methods with sparse generalized stiffness matrices. The greedy algorithm is described in detail, and numerical examples are provided. In contrast to the usual practice, the greedy method does not always use nearest neighbors for local approximations of function values and derivatives. Furthermore, it avoids multiple points from clusters and it is better conditioned than choosing nearest neighbors.     

Local radial basis function interpolation method to simulate 2D fractional‐time convection‐diffusion‐reaction equations with error analysis

In this article, a kind of meshless local radial point interpolation (MLRPI) method is proposed to two‐dimensional fractional‐time convection‐diffusion‐reaction equations and satisfactory agreements are archived. This method is based on meshless methods and benefits from collocation ideas but it does not belong to the traditional global meshless collocation methods. In MLRPI method, it does not need any kind of integration locally or globally over small quadrature domains which is essential in the finite element method and those meshless methods based on Galerkin weak form. Also, it is not needed to determine shape parameter which plays important role in collocation method based on the radial basis functions (Kansa's method). Therefore, computational costs of this kind of MLRPI method is less expensive. The stability and convergence of this meshless approach are discussed and theoretically proven. It is proved that the present meshless formulation is very effective for modeling and simulation of fractional differential equations. Furthermore, the numerical studies on sensitivity analysis and convergence analysis show the stability and reliable rates of convergence. © 2017 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 974–994, 2017     

A meshless method based on boundary integral equations and radial basis functions for biharmonic-type problems

This paper presents a meshless method, which replaces the inhomogeneous biharmonic equation by two Poisson equations in terms of an intermediate function. The solution of the Poisson equation with the intermediate function as the right-hand term may be written as a sum of a particular solution and a homogeneous solution of a Laplace equation. The intermediate function is approximated by a series of radial basis functions. Then the particular solution is obtained via employing Kansa’s method, while the homogeneous solution is approximated by using the boundary radial point interpolation method by means of boundary integral equations. Besides, the proposed meshless method, in conjunction with the analog equation method, is further developed for solving generalized biharmonic-type problems. Some numerical tests illustrate the efficiency of the method proposed.     

Approximate solutions of partial differential equations by some Meshfree Greedy Algorithms

In this article, we use some greedy algorithms to avoid the ill‐conditioning of the final linear system in unsymmetric Kansa collocation method. The greedy schemes have the same background, but we use them in different settings. In the first algorithm, the optimal trial points for interpolation obtained among a huge set of initial points are used for numerical solution of partial differential equations (PDEs). In the second algorithm, based on the Kansa's method, the PDE is discretized to a finite number of test functional equations, and a greedy sparse discretization is applied for approximating the linear functionals. Each functional is stably approximated by some few trial points with an acceptable accuracy. The third greedy algorithm is used to generate the test points. This paper shows that the greedily selection of nodes yields a better conditioning in contrast with usual full meshless methods. Some well‐known PDE examples are solved and compared with the full unsymmetric Kansa's technique. © 2017 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 1884–1899, 2017     

Superconvergent biquadratic finite volume element method for two-dimensional Poisson’s equations

In this paper, a kind of biquadratic finite volume element method is presented for two-dimensional Poisson’s equations by restricting the optimal stress points of biquadratic interpolation as the vertices of control volumes. The method can be effectively implemented by alternating direction technique. It is proved that the method has optimal energy norm error estimates. The superconvergence of numerical gradients at optimal stress points is discussed and it is proved that the method has also superconvergence displacement at nodal points by a modified dual argument technique. Finally, a numerical example verifies the theoretical results and illustrates the effectiveness of the method.     

Coupling three-field formulation and meshless mixed Galerkin methods using radial basis functions

In this work, we solve the elliptic partial differential equation by coupling the meshless mixed Galerkin approximation using radial basis function with the three-field domain decomposition method. The formulation has been adopted to increase the efficiency of the numerical technique by decreasing the error and dealing with the ill conditioning of the linear system caused by the radial basis function. Convergence analysis of the coupled technique is treated and numerical results of some solved examples are given at the end of this paper.     

Application of a hybrid meshless technique for natural frequencies analysis in functionally graded thick hollow cylinder subjected to suddenly thermal loading

A hybrid meshless technique based on composition of meshless local Petrov–Galerkin method (for spatial variables) and Newmark finite difference method (for time domain) is developed for natural frequencies analysis of thick cylinder made of functionally graded materials (FGMs). The FG cylinder is assumed to be under suddenly thermal loading, axisymmetric and plane strain conditions. The dynamic behaviors and time history of displacements are obtained in time domain using Green–Naghdi (GN) theory of coupled thermo-elasticity (without energy dissipation). Using fast Fourier transform (FFT) technique, the displacements are transferred to frequency domain and all natural frequencies are illustrated for various grading patterns of FGMs. The variations of mechanical properties in FG thick hollow cylinder are considered to be in nonlinear volume fraction law through radial direction. The presented hybrid meshless technique furnishes a ground to analyze the effects of various grading patterns of FGMs on natural frequencies, which are obtained employing GN coupled thermo-elasticity governing equations. Also, the frequency history and natural frequencies are illustrated for various grading patterns at several points across thickness of cylinder.