Weak Convergence of a Numerical Method for a Stochastic Heat Equation

Weak convergence with respect to a space of twice continuously differentiable test functions is established for a discretisation of a heat equation with homogeneous Dirichlet boundary conditions in one dimension, forced by a space-time Brownian motion. The discretisation is based on finite differences in space and time, incorporating a spectral approximation in space to the Brownian motion.     

Numerical solution of a hyperbolic free boundary problem with a method of characteristics

Summary For a free boundary problem for a linear hyperbolic system in one space dimension with two unknowns we discuss a numerical algorithm which combines the method of characteristics and the front tracking method. We prove quadratic resp. linear convergence and illustrate this with numerical examples.     

Domain decomposition methods for pseudo spectral approximations

Summary Multidomain pseudo spectral approximations of second order boundary value problems in one dimension are considered. The equation is collocated at the Chebyshev nodes inside each subinterval. Different patching conditions at the interfaces are analyzed. Results of stability and convergence are given.Research supported in part by AFOSR Grant 85-0303     

Large-Time Behaviour of Solutions of the Exterior-Domain Cauchy–Dirichlet Problem for the Porous Media Equation with Homogeneous Boundary Data

The title of this paper states precisely what the subject is. The first part of the paper concerns the radially-symmetric problem in the exterior of the unit ball. It is shown that in time the solution of the problem converges to one of two specific self-similar solutions of the porous media equation, dependent upon the dimensionality of the problem. Moreover, the free boundary of the solution converges to that of the self-similar solution. The critical space dimension is two, for which there is no distinction between the self-similar solutions, and the form of the convergence is exceptional. The technique used is a comparison principle involving a variable that is a weighted integral of the solution. The second part of the paper is devoted to the problem in an arbitrary spatial domain with no conditions of symmetry. A special invariance principle and the results obtained for the radially-symmetric case are used to determine the large-time behaviour of solutions and their free boundaries. This behaviour is decidedly different from when the boundary data are fixed and not homogeneous.     

Analysis of two new parareal algorithms based on the Dirichlet-Neumann/Neumann-Neumann waveform relaxation method for the heat equation

The Dirichlet-Neumann and Neumann-Neumann waveform relaxation methods are nonoverlapping spatial domain decomposition methods to solve evolution problems, while the parareal algorithm is in time parallel fashion. Based on the combinations of these space and time parallel strategies, we present and analyze two parareal algorithms based on the Dirichlet-Neumann and the Neumann-Neumann waveform relaxation method for the heat equation by choosing Dirichlet-Neumann/Neumann-Neumann waveform relaxation as two new kinds of fine propagators instead of the classical fine propagator. Both new proposed algorithms could be viewed as a space-time parallel algorithm, which increases the parallelism both in space and in time. We derive for the heat equation the convergence results for both algorithms in one spatial dimension. We also illustrate our theoretical results with numerical experiments finally.

     

Application of finite difference method of lines on the heat equation

In this article, we apply the method of lines (MOL) for solving the heat equation. The use of MOL yields a system of first–order differential equations with initial value. The solution of this system could be obtained in the form of exponential matrix function. Two approaches could be applied on this problem. The first approach is approximation of the exponential matrix by Taylor expansion, Padé and limit approximations. Using this approach leads to create various explicit and implicit finite difference methods with different stability region and order of accuracy up to six for space and superlinear convergence for time variables. Also, the second approach is a direct method which computes the exponential matrix by applying its eigenvalues and eigenvectors analytically. The direct approach has been applied on one, two and three‐dimensional heat equations with Dirichlet, Neumann, Robin and periodic boundary conditions.     

Finite difference methods for a nonlocal boundary value problem for the heat equation

Three different finite difference schemes for solving the heat equation in one space dimension with boundary conditions containing integrals over the interior of the interval are considered. The schemes are based on the forward Euler, the backward Euler and the Crank-Nicolson methods. Error estimates are derived in maximum norm. Results from a numerical experiment are presented.     

Solving parabolic Wick-stochastic boundary value problems using a finite element method

A class of linear parabolic stochastic boundary value problems of Wick-type is studied. The equations are understood in a weak sense on a suitable stochastic distribution space, and existence and uniqueness results are provided. The paper continues to discuss a numerical method for this type of problem, based on a Galerkin type of approximation. Estimates showing linear convergence in time and space are derived, and rate of convergence results for the stochastic dimension are reported.     

Finite Difference Methods for the Heat Equation with a Nonlocal Boundary Condition

We consider the numerical solution by finite difference methods of the heat equation in one space dimension, with a nonlocal integral boundary condition, resulting from the truncation to a finite interval of the problem on a semi-infinite interval. We first analyze the forward Euler method, and then the $θ$-method for $0 < θ ≤ 1$, in both cases in maximum-norm, showing $O(h^2 + k)$ error bounds, where $h$ is the mesh-width and $k$ the time step. We then give an alternative analysis for the case $θ = 1/2$, the Crank-Nicolson method, using energy arguments, yielding a $O(h^2$ + $k^{3/2}$) error bound. Special attention is given the approximation of the boundary integral operator. Our results are illustrated by numerical examples.     

The method of lines for Poisson's equation with nonlinear or free boundary conditions

Summary The method of lines is used to solve Poisson's equation on an irregular domain with nonlinear or free boundary conditions. The partial differential equation is approximated by a system of second order ordinary differential equations subject to multi-point boundary conditions. The system is solved with an SOR iteration which employs invariant imbedding for each one dimensional problem. An application of the method to a boundary control problem and to a free surface problem arising in electrochemical machining is described. Finally, some theoretical convergence results are presented for a model problem with radiative boundary conditions on fixed boundaries.This work was supported by the U.S. Army Research Office under Grant DA-AG29-76-G-0261     

A Mildly Non-linear System of Parabolic Differential Equations Arising from Mass Transfer with Chemical Reaction in Electrochemistry

A system of three connected parabolic equations is studied.The first equation is the straight forward diffusion equationin one space dimension and the solution can be written down.The remaining two cannot be solved analytically but it is interestingto observe that a solution does exist for their difference.By considering the problem as a moving boundary value probleman approximate solution is obtained by a finite difference technique.An analysis of stability is performed and numerical resultsfor a specific chemical reaction are presented.     

Blow-up vs. spurious steady solutions

In this paper, we study the blow-up problem for positive solutions of a semidiscretization in space of the heat equation in one space dimension with a nonlinear flux boundary condition and a nonlinear absorption term in the equation. We obtain that, for a certain range of parameters, the continuous problem has blow-up solutions but the semidiscretization does not and the reason for this is that a spurious attractive steady solution appears.

     

A deterministic particle method for the Vlasov–Fokker–Planck equation in one dimension

The Vlasov–Fokker–Planck equation is a model for a collisional, electrostatic plasma. The approximation of this equation in one spatial dimension is studied. The equation under consideration is linear in that the electric field is given as a known function that is not internally consistent with the phase space distribution function. The approximation method applied is the deterministic particle method described in Wollman and Ozizmir [Numerical approximation of the Vlasov–Poisson–Fokker–Planck system in one dimension, J. Comput. Phys. 202 (2005) 602–644]. For the present linear problem an analysis of the stability and convergence of the numerical method is carried out. In addition, computations are done that verify the convergence of the numerical solution. It is also shown that the long term asymptotics of the computed solution is in agreement with the steady state solution derived in Bouchut and Dolbeault [On long time asymptotics of the Vlasov–Fokker–Planck equation and of the Vlasov–Poisson–Fokker–Planck system with coulombic and Newtonian potentials, Differential Integral Equations 8(3) (1995) 487–514].     

Adomian's method of decomposition: critical review and examples of failure

Adomian's method of decomposition is considered in application to initial-boundary value problems for the one space-dimensional spatially homogeneous heat conduction equation. It is shown that the fundamental equation of the method is well-defined only for certain restricted types of boundary conditions. Within the class of such boundary conditions, examples are given such that the fundamental equation fails to have a unique solution, and such that the sequence produced by iteration of this equation is divergent. The latter is a counterexample to a published assertion of convergence.     

The collocation method for mixed boundary value problems on domains with curved polygonal boundaries

Summary. We consider an indirect boundary integral equation formulation for the mixed Dirichlet-Neumann boundary value problem for the Laplace equation on a plane domain with a polygonal boundary. The resulting system of integral equations is solved by a collocation method which uses a mesh grading transformation and a cosine approximating space. The mesh grading transformation method yields fast convergence of the collocation solution by smoothing the singularities of the exact solution. A complete stability and solvability analysis of the transformed integral equations is given by use of a Mellin transform technique, in a setting in which each arc of the polygon has associated with it a periodic Sobolev space. Received April 15, 1995 / Revised version received April 10, 1996     

The Conservation and Convergence of Two Finite Difference Schemes for KdV Equations with Initial and Boundary Value Conditions

Korteweg-de Vries equation is a nonlinear evolutionary partial differential equation that is of third order in space. For the approximation to this equation with the initial and boundary value conditions using the finite difference method, the difficulty is how to construct matched finite difference schemes at all the inner grid points. In this paper, two finite difference schemes are constructed for the problem. The accuracy is second-order in time and first-order in space. The first scheme is a two-level nonlinear implicit finite difference scheme and the second one is a three-level linearized finite difference scheme. The Browder fixed point theorem is used to prove the existence of the nonlinear implicit finite difference scheme. The conservation, boundedness, stability, convergence of these schemes are discussed and analyzed by the energy method together with other techniques. The two-level nonlinear finite difference scheme is proved to be unconditionally convergent and the three-level linearized one is proved to be conditionally convergent. Some numerical examples illustrate the efficiency of the proposed finite difference schemes.     

二维热传导型半导体问题的一个二阶格式

热传导型半导体器件瞬态问题的数学模型由四个拟线性偏微分方程所组成的方程组的初边值问题来描述。其中电子位势方程是椭圆型的,电子和空穴浓度方程是对流扩散型的,温度方程为热传导型的。本文对二维热传导型半导体的一类混合初边值问题利用降阶法给出了一个二阶差分格式,并对其进行了详细的理论分析,得到了离散的犾２ 误差估计结果。     

Some convergence results for quasilinear parabolic boundary value problems in cylindrical domains of large size

The goal of this paper is to study the asymptotic behavior of the solution of the quasilinear parabolic boundary value problems defined on cylindrical domains when one or several directions go to infinity. We show that the dimension of the space can be reduced and the rate of convergence is analyzed. The evolution p$p$-Laplacian equations and the generalized heat problems are considered.     

Numerical analysis of the Cahn-Hilliard equation with a logarithmic free energy

Summary A fully discrete finite element method for the Cahn-Hilliard equation with a logarithmic free energy based on the backward Euler method is analysed. Existence and uniqueness of the numerical solution and its convergence to the solution of the continuous problem are proved. Two iterative schemes to solve the resulting algebraic problem are proposed and some numerical results in one space dimension are presented.     

On the treatment of free boundary problems with the heat equation via optimal control

In this paper we consider a free boundary problem of general type for the heat equation in one space dimension. We formulate this problem as an optimal control problem and derive necessary conditions for a solution of it. In order to compute a solution of the control problem, we apply the projection-gradient-method. Simple numerical examples illustrate the results.