A variational method for identifying a spacewise-dependent heat source

The inverse problem of determining a spacewise-dependent heatsource for the parabolic heat equation using the usual conditionsof the direct problem and information from one supplementarytemperature measurement at a given instant of time is studied.This spacewise-dependent temperature measurement ensures thatthis inverse problem has a unique solution, but the solutionis unstable and hence the problem is ill-posed. We propose avariational conjugate gradient-type iterative algorithm forthe stable reconstruction of the heat source based on a sequenceof well-posed direct problems for the parabolic heat equationwhich are solved at each iteration step using the boundary elementmethod. The instability is overcome by stopping the iterativeprocedure at the first iteration for which the discrepancy principleis satisfied. Numerical results are presented which have theinput measured data perturbed by increasing amounts of randomnoise. The numerical results show that the proposed procedureyields stable and accurate numerical approximations after onlya few iterations.     

Minimum time‐step criteria for the Galerkin finite element methods applied to one‐dimensional parabolic partial differential equations

The finite element method has been well established for numerically solving parabolic partial differential equations (PDEs). Also it is well known that a too large time step should not be chosen in order to obtain a stable and accurate numerical solution. In this article, accuracy analysis shows that a too small time step should not be chosen either for some time‐stepping schemes. Otherwise, the accuracy of the numerical solution cannot be improved or can even be worsened in some cases. Furthermore, the so‐called minimum time step criteria are established for the Crank‐Nicolson scheme, the Galerkin‐time scheme, and the backward‐difference scheme used in the temporal discretization. For the forward‐difference scheme, no minimum time step exists as far as the accuracy is concerned. In the accuracy analysis, no specific initial and boundary conditions are invoked so that such established criteria can be applied to the parabolic PDEs subject to any initial and boundary conditions. These minimum time step criteria are verified in a series of numerical experiments for a one‐dimensional transient field problem with a known analytical solution. The minimum time step criteria developed in this study are useful for choosing appropriate time steps in numerical simulations of practical engineering problems. © 2005 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2006     

A procedure for determining a spacewise dependent heat source and the initial temperature

The inverse problem of determining a spacewise dependent heat source, together with the initial temperature for the parabolic heat equation, using the usual conditions of the direct problem and information from two supplementary temperature measurements at different instants of time is studied. These spacewise dependent temperature measurements ensure that this inverse problem has a unique solution, despite the solution being unstable, hence the problem is ill-posed. We propose an iterative algorithm for the stable reconstruction of both the initial data and the source based on a sequence of well-posed direct problems for the parabolic heat equation, which are solved at each iteration step using the boundary element method. The instability is overcome by stopping the iterations at the first iteration for which the discrepancy principle is satisfied. Numerical results are presented for a typical benchmark test example, which has the input measured data perturbed by increasing amounts of random noise. The numerical results show that the proposed procedure gives accurate numerical approximations in relatively few iterations.     

Numerical Experiment for Stabilization of the Heat Equation by Dirichlet Boundary Control

We use the boundary feedback control introduced in Barbu [Boundary stabilization of equilibrium solutions to parabolic equations, IEEE Trans. Automat. Control (accepted)], in order to stabilize an unstable heat equation in two dimensions. We propose two numerical algorithms. The feedback boundary condition is treated explicitly in the first algorithm. At each time step, only one linear system is solved. The second algorithm performs at each time step some subiterations, in order to treat the feedback boundary condition implicitly. The second algorithm can stabilize some problems where the first algorithm fails.     

Minimizing the variance of a mathematical expectation estimate for a diffusion process functional based on a parametric transformation of a parabolic boundary value problem

This paper deals with finding ways of reducing the variance of a mathematical expectation estimate for the functional of a diffusion process moving in a domain with an absorbing boundary. The estimate of mathematical expectation of the functional is obtained based on a numerical solution of stochastic differential equations (SDEs) by using the Euler method. A formula of the limiting variance is derived with decreasing integration step in the Euler method. A method of reducing the variance value of the estimate based on transformation of the parabolic boundary value problem corresponding to the diffusion process is proposed. Some numerical results are presented.     

First exit time probability for multidimensional diffusions: A PDE-based approach

First exit time distributions for multidimensional processes are key quantities in many areas of risk management and option pricing. The aim of this paper is to provide a flexible, fast and accurate algorithm for computing the probability of the first exit time from a bounded domain for multidimensional diffusions. First, we show that the probability distribution of this stopping time is the unique (weak) solution of a parabolic initial and boundary value problem. Then, we describe the algorithm which is based on a combination of the sparse tensor product finite element spaces and an hp-discontinuous Galerkin method. We illustrate our approach with several examples. We also compare the numerical results to classical Monte Carlo methods.     

A linearized difference scheme for semilinear parabolic equations with nonlinear absorbing boundary conditions

A novel three level linearized difference scheme is proposed for the semilinear parabolic equation with nonlinear absorbing boundary conditions. The solution of this problem will blow up in finite time. Hence this difference scheme is coupled with an adaptive time step size, i.e., when the solution tends to infinity, the time step size will be smaller and smaller. Furthermore, the solvability, stability and convergence of the difference scheme are proved by the energy method. Numerical experiments are also given to demonstrate the theoretical second order convergence both in time and in space in L_∞-norm.     

Application of Neumann-Ulam scheme to solving the first boundary value problem for a parabolic equation

Statistical estimates of the solutions of boundary value problems for parabolic equations with constant coefficients are constructed on paths of random walks. The phase space of these walks is a region in which the problem is solved or the boundary of the region. The simulation of the walks employs the explicit form of the fundamental solution; therefore, these algorithms cannot be directly applied to equations with variable coefficients. In the present work, unbiased and low-bias estimates of the solution of the boundary value problem for the heat equation with a variable coefficient multiplying the unknown function are constructed on the paths of a Markov chain of random walk on balloids. For studying the properties of the Markov chains and properties of the statistical estimates, the author extends von Neumann-Ulam scheme, known in the theory of Monte Carlo methods, to equations with a substochastic kernel. The algorithm is based on a new integral representation of the solution to the boundary value problem.     

Local Solutions of Weakly Parabolic Quasilinear Differential Equations

We consider a quasilinear parabolic boundary value problem, the elliptic part of which degenerates near the boundary. In order to solve this problem, we approximate it by a system of linear degenerate elliptic boundary value problems by means of semidiscretization with respect to time. We use the theory of degenerate elliptic operators and weighted Sobolev spaces to find a priori estimates for the solutions of the approximating problems. These solutions converge to a local solution, if the step size of the time-discretization goes to zero. It is worth pointing out that we do not require any growth conditions on the nonlinear coefficients and right-hand side, since we lire able to prove L∞ - estimates.     

An iterative method for a Cauchy problem for the heat equation

^** Email: tomjo{at}itn.liu.se An iterative method for reconstruction of the solution to aparabolic initial boundary value problem of second order fromCauchy data is presented. The data are given on a part of theboundary. At each iteration step, a series of well-posed mixedboundary value problems are solved for the parabolic operatorand its adjoint. The convergence proof of this method in a weightedL²-space is included.     

Finite elements for parabolic equations backwards in time

Summary Several regularization methods for parabolic equations backwards in time together with the usual additional constraints for their solution are considered. The error of the regularization is estimated from above and below. For a boundary value problem in time-method, finite elements as well as a time discretization are introduced and the error with respect to the regularized solution is estimated, thus giving an overall error of the discrete regularized problem. The algorithm is tested in simple numerical examples.     

A nonlinear parabolic equation with a nonlocal boundary term

A nonlinear parabolic problem with a nonlocal boundary condition is studied. We prove the existence of a solution for a monotonically increasing and Lipschitz continuous nonlinearity. The approximation method is based on Rothe’s method. The solution on each time step is obtained by iterations, convergence of which is shown using a fixed-point argument. The space discretization relies on FEM. Theoretical results are supported by numerical experiments.     

Numerical algorithm for solving diffusion-type equations on the basis of multigrid methods

A new numerical algorithm based on multigrid methods is proposed for solving equations of the parabolic type. Theoretical error estimates are obtained for the algorithm as applied to a two-dimensional initial-boundary value model problem for the heat equation. The good accuracy of the algorithm is demonstrated using model problems including ones with discontinuous coefficients. As applied to initial-boundary value problems for diffusion equations, the algorithm yields considerable savings in computational work compared to implicit schemes on fine grids or explicit schemes with a small time step on fine grids. A parallelization scheme is given for the algorithm.     

Numerical treatment of degenerate diffusion equations via Feller's boundary classification,and applications

A numerical method is devised to solve a class of linear boundary‐value problems for one‐dimensional parabolic equations degenerate at the boundaries. Feller theory, which classifies the nature of the boundary points, is used to decide whether boundary conditions are needed to ensure uniqueness, and, if so, which ones they are. The algorithm is based on a suitable preconditioned implicit finite‐difference scheme, grid, and treatment of the boundary data. Second‐order accuracy, unconditional stability, and unconditional convergence of solutions of the finite‐difference scheme to a constant as the time‐step index tends to infinity are further properties of the method. Several examples, pertaining to financial mathematics, physics, and genetics, are presented for the purpose of illustration. © 2011 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2011     

Determination of a spacewise dependent heat source

This paper investigates the inverse problem of determining a spacewise dependent heat source in the parabolic heat equation using the usual conditions of the direct problem and information from a supplementary temperature measurement at a given single instant of time. The spacewise dependent temperature measurement ensures that the inverse problem has a unique solution, but this solution is unstable, hence the problem is ill-posed. For this inverse problem, we propose an iterative algorithm based on a sequence of well-posed direct problems which are solved at each iteration step using the boundary element method (BEM). The instability is overcome by stopping the iterations at the first iteration for which the discrepancy principle is satisfied. Numerical results are presented for various typical benchmark test examples which have the input measured data perturbed by increasing amounts of random noise.     

无界区域抛物方程自然边界元方法

本文应用自然边界元方法求解无界区域抛物型初边值问题。首先将控制方程对时间进行离散化,得到关于时间步长离散化的椭圆型问题。通过Fourier展开,导出相应问题的自然积分方程和Poisson积分公式。研究了自然积分算子的性质,并讨论了自然积分方程的数值解法,最后给出数值例子。从而解决了抛物型问题的自然边界归化和自然边界元方法。     

Nonnegativity preserving convergent schemes for the thin film equation

Summary. We present numerical schemes for fourth order degenerate parabolic equations that arise e.g. in lubrication theory for time evolution of thin films of viscous fluids. We prove convergence and nonnegativity results in arbitrary space dimensions. A proper choice of the discrete mobility enables us to establish discrete counterparts of the essential integral estimates known from the continuous setting. Hence, the numerical cost in each time step reduces to the solution of a linear system involving a sparse matrix. Furthermore, by introducing a time step control that makes use of an explicit formula for the normal velocity of the free boundary we keep the numerical cost for tracing the free boundary low. Received June 29, 1998 / Published online June 21, 2000     

Flux-splitting schemes for parabolic equations with mixed derivatives

Difference schemes of required quality are often difficult to construct as applied to boundary value problems for parabolic equations with mixed derivatives. Specifically, difficulties arise in the design of monotone difference schemes and unconditionally stable locally one-dimensional splitting schemes. In parabolic problems, certain opportunities are offered by restating the problem in question so that the quantities to be determined are fluxes (directional derivatives). The original problem is then rewritten as a boundary value one for a system of equations in flux variables. Weighted schemes for parabolic equations in flux coordinates are examined. Unconditionally stable locally one-dimensional flux schemes that are first- and second-order accurate in time are constructed for a parabolic equation without mixed derivatives. A feature of systems in flux variables for equations with mixed derivatives is that the terms with time derivatives are coupled with each other.     

A criterion for a multi-dimensional explosion due to a concentrated nonlinear source

This article studies a multi-dimensional parabolic first initial–boundary value problem with a concentrated nonlinear source. A criterion for its solution to blow up everywhere on the concentrated source in a finite time is given.     

A parareal approach of semi‐linear parabolic equations based on general waveform relaxation

We present a parareal approach of semi‐linear parabolic equations based on general waveform relaxation (WR) at the partial differential equation (PDE) level. An algorithm for initial‐boundary value problem and two algorithms for time‐periodic boundary value problem are constructed. The convergence analysis of three algorithms are provided. The results show that the algorithm for initial‐boundary value problem is superlinearly convergent while both algorithms for the time‐periodic boundary value problem linearly converge to the exact solutions at most. Numerical experiments show that the parareal algorithms based on general WR at the PDE level, compared with the parareal algorithm based on the classical WR at the ordinary differential equations (ODEs) level (the PDEs is discretized into ODEs), require much fewer number of iterations to converge.