Finite element methods for semilinear elliptic stochastic partial differential equations

We study finite element methods for semilinear stochastic partial differential equations. Error estimates are established. Numerical examples are also presented to examine our theoretical results. This research is supported by Air Force Office of Scientific Research under the grant number FA9550-05-1-0133 and 985 Project of Jilin University.     

Preconditioning cubic spline collocation discretizations of elliptic equations

Summary. This work considers the uniformly elliptic operator defined by in (the unit square) with boundary conditions: on and on and its discretization based on Hermite cubic spline spaces and collocation at the Gauss points. Using an interpolatory basis with support on the Gauss points one obtains the matrix . We discuss the condition numbers and the distribution of -singular values of the preconditioned matrices where is the stiffness matrix associated with the finite element discretization of the positive definite uniformly elliptic operator given by in with boundary conditions: on on . The finite element space is either the space of continuous functions which are bilinear on the rectangles determined by Gauss points or the space of continuous functions which are linear on the triangles of the triangulation of using the Gauss points. When we obtain results on the eigenvalues of . In the general case we obtain bounds and clustering results on the -singular values of . These results are related to the results of Manteuffel and Parter [MP], Parter and Wong [PW], and Wong [W] for finite element discretizations as well as the results of Parter and Rothman [PR] for discretizations based on Legendre Spectral Collocation. Received January 1, 1994 / Revised version received February 7, 1995     

Finite difference preconditioning cubic spline collocation method of elliptic equations

Summary. We discuss a finite difference preconditioner for the interpolatory cubic spline collocation method for a uniformly elliptic operator defined by in (the unit square) with homogeneous Dirichlet boundary conditions. Using the generalized field of values arguments, we discuss the eigenvalues of the preconditioned matrix where is the matrix of the collocation discretization operator corresponding to , and is the matrix of the finite difference operator corresponding to the uniformly elliptic operator given by in with homogeneous Dirichlet boundary conditions. Finally we mention a bound of -singular values of for a general elliptic operator in . Received December 11, 1995 / Revised version received June 20, 1996     

Spline collocation for strongly elliptic equations on the torus

Summary We prove convergence and error estimates in Sobolev spaces for the collocation method with tensor product splines for strongly elliptic pseudodifferential equations on the torus. Examples of applications include elliptic partial differential equations with periodic boundary conditions but also the classical boundary integral operators of potential theory on torus-shaped domains in three or more dimensions. For odd-degree splines, we prove convergence of nodal collocation for any strongly elliptic operator. For even-degree splines and midpoint collocation, we find an additional condition for the convergence which is satisfied for the classical boundary integral operators. Our analysis is a generalization to higher dimensions of the corresponding analysis of Arnold and Wendland [4].     

Multigrid and multilevel methods for quadratic spline collocation

Multigrid methods are developed and analyzed for quadratic spline collocation equations arising from the discretization of one-dimensional second-order differential equations. The rate of convergence of the two-grid method integrated with a damped Richardson relaxation scheme as smoother is shown to be faster than 1/2, independently of the step-size. The additive multilevel versions of the algorithms are also analyzed. The development of quadratic spline collocation multigrid methods is extended to two-dimensional elliptic partial differential equations. Multigrid methods for quadratic spline collocation methods are not straightforward: because the basis functions used with quadratic spline collocation are not nodal basis functions, the design of efficient restriction and extension operators is nontrivial. Experimental results, with V-cycle and full multigrid, indicate that suitably chosen multigrid iteration is a very efficient solver for the quadratic spline collocation equations. Supported by Communications and Information Technology Ontario (CITO), Canada. Supported by the Mathematical, Information, and Computational Sciences Division subprogram of the Office of Computational and Technology Research, U.S. Department of Energy, under Contract W-31-109-Eng-38.     

The convergence of spline collocation for strongly elliptic equations on curves

Summary Most boundary element methods for two-dimensional boundary value problems are based on point collocation on the boundary and the use of splines as trial functions. Here we present a unified asymptotic error analysis for even as well as for odd degree splines subordinate to uniform or smoothly graded meshes and prove asymptotic convergence of optimal order. The equations are collocated at the breakpoints for odd degree and the internodal midpoints for even degree splines. The crucial assumption for the generalized boundary integral and integro-differential operators is strong ellipticity. Our analysis is based on simple Fourier expansions. In particular, we extend results by J. Saranen and W.L. Wendland from constant to variable coefficient equations. Our results include the first convergence proof of midpoint collocation with piecewise constant functions, i.e., the panel method for solving systems of Cauchy singular integral equations.Dedicated to Prof. Dr. Dr. h.c. mult. Lothar Collatz on the occasion of his 75th birthdayThis work was begun at the Technische Hochschule Darmstadt where Professor Arnold was supported by a North Atlantic Treaty Organization Postdoctoral Fellowship. The work of Professor Arnold is supported by NSF grant BMS-8313247. The work of Professor Wendland was supported by the Stiftung Volkswagenwerk     

Quadratic spline collocation for one-dimensional linear parabolic partial differential equations

New methods for solving general linear parabolic partial differential equations (PDEs) in one space dimension are developed. The methods combine quadratic-spline collocation for the space discretization and classical finite differences, such as Crank-Nicolson, for the time discretization. The main computational requirements of the most efficient method are the solution of one tridiagonal linear system at each time step, while the resulting errors at the gridpoints and midpoints of the space partition are fourth order. The stability and convergence properties of some of the new methods are analyzed for a model problem. Numerical results demonstrate the stability and accuracy of the methods. Adaptive mesh techniques are introduced in the space dimension, and the resulting method is applied to the American put option pricing problem, giving very competitive results.     

Fourier analysis of schwarz alternating methods for piecewise hermite bicubic orthogonal spline collocation

The rates of convergence of two Schwarz alternating methods are analyzed for the iterative solution of a discrete problem which arises when orthogonal spline collocation with piecewise Hermite bicubics is applied to the Dirichlet problem for Poisson's equation on a rectangle. In the first method, the rectangle is divided into two overlapping subrectangles, while three overlapping subrectangles are used in the second method. Fourier analysis is used to obtain explicit formulas for the convergence factors by which theH ¹-norm of the errors is reduced in one iteration of the Schwarz methods. It is shown numerically that while these factors depend on the size of overlap, they are independent of the partition stepsize. Results of numerical experiments are presented which confirm the established rates of convergence of the Schwarz methods.This research was supported in part by funds from the National Science Foundation grant CCR-9103451.     

Fast algorithms for high-order spline collocation systems

Summary. In this paper, we present a complete eigenvalue analysis for arbitrary order -spline collocation methods applied to the Poisson equation on a rectangular domain with Dirichlet boundary conditions. Based on this analysis, we develop some fast algorithms for solving a class of high-order spline collocation systems which arise from discretizing the Poisson equation. Received April 8, 1997 / Revised version received August 29, 1997     

An alternating direction implicit method for orthogonal spline collocation linear systems

Summary An Alternating Direction Implicit method is analyzed for the solution of linear systems arising in high-order, tensor-product orthogonal spline collocation applied to some separable, second order, linear, elliptic partial differential equations in rectangles. On anNxN partition, with Jordan's selection of the acceleration parameters, the method requiresO(N ² ln ² N) arithmetic operations to produce an approximation whose accuracy, in theH ¹-norm, is that of the collocation solution.     

Orthogonal spline collocation methods for biharmonic problems

Orthogonal spline collocation methods are formulated and analyzed for the solution of certain biharmonic problems in the unit square. Particular attention is given to the Dirichlet biharmonic problem which is solved using capacitance matrix techniques. Received November 11, 1996     

A Schwarz domain decomposition method with gradient projection for optimal control governed by elliptic partial differential equations

A domain decomposition method (DDM) is presented to solve the distributed optimal control problem. The optimal control problem essentially couples an elliptic partial differential equation with respect to the state variable and a variational inequality with respect to the constrained control variable. The proposed algorithm, called SA-GP algorithm, consists of two iterative stages. In the inner loops, the Schwarz alternating method (SA) is applied to solve the state and co-state variables, and in the outer loops the gradient projection algorithm (GP) is adopted to obtain the control variable. Convergence of iterations depends on both the outer and the inner loops, which are coupled and affected by each other. In the classical iteration algorithms, a given tolerance would be reached after sufficiently many iteration steps, but more iterations lead to huge computational cost. For solving constrained optimal control problems, most of the computational cost is used to solve PDEs. In this paper, a proposed iterative number independent of the tolerance is used in the inner loops so as to save a lot of computational cost. The convergence rate of L²-error of control variable is derived. Also the analysis on how to choose the proposed iteration number in the inner loops is given. Some numerical experiments are performed to verify the theoretical results.     

Stability of a spline collocation method for strongly elliptic multidimensional singular integral equations

Summary We consider a spline collocation method for strongly elliptic zero order pseudodifferential equationsp _gw Au=f on a cube =(0, 1) ^m . Utilizing multilinear spline functions which are zero at the boundary we collocate at the meshpoints inside . For classical strongly elliptic translation invariant pseudodifferential operators, we verify the stability of the considered collocation method inL ²(). Afterwards, form2 and a right hand sidefH ⁸(),s>m/2, we prove an asymptotic convergence estimate.The author has been supported by a grant of Deutsche Forschungsgemeinschaft under grant number Ko 634/32-1     

High-order finite element methods for time-fractional partial differential equations

The aim of this paper is to develop high-order methods for solving time-fractional partial differential equations. The proposed high-order method is based on high-order finite element method for space and finite difference method for time. Optimal convergence rate O((Δt)^2−α+N^−r) is proved for the (r−1)th-order finite element method (r≥2).     

Incremental unknowns for solving partial differential equations

Summary Incremental unknowns have been proposed in [T] as a method to approximate fractal attractors by using finite difference approximations of evolution equations. In the case of linear elliptic problems, the utilization of incremental unknown methods provides a new way for solving such problems using several levels of discretization; the method is similar but different from the classical multigrid method.In this article we describe the application of incremental unknowns for solving Laplace equations in dimensions one and two. We provide theoretical results concerning two-level approximations and we report on numerical tests done with multi-level approximations.     

Orthogonal spline collocation methods for Schr\"{o}dinger-type equations in one space variable

Summary. We examine the use of orthogonal spline collocation for the semi-discreti\-za\-tion of the cubic Schr\"{o}dinger equation and the two-dimensional parabolic equation of Tappert. In each case, an optimal order estimate of the error in the semidiscrete approximation is derived. For the cubic Schr\"{o}dinger equation, we present the results of numerical experiments in which the integration in time is performed using a routine from a software library. Received February 14, 1992 / Revised version received December 29, 1992     

Laguerre-Galerkin method for nonlinear partial differential equations on a semi-infinite interval

Summary. A Laguerre-Galerkin method is proposed and analyzed for the Burgers equation and Benjamin-Bona-Mahony (BBM) equation on a semi-infinite interval. By reformulating these equations with suitable functional transforms, it is shown that the Laguerre-Galerkin approximations are convergent on a semi-infinite interval with spectral accuracy. An efficient and accurate algorithm based on the Laguerre-Galerkin approximations to the transformed equations is developed and implemented. Numerical results indicating the high accuracy and effectiveness of this algorithm are presented. Received October 6, 1997 / Revised version received July 22, 1999 / Published online June 21, 2000     

Numerical verifications of solutions for elliptic equations in nonconvex polygonal domains

Summary In this paper, methods for numerical verifications of solutions for elliptic equations in nonconvex polygonal domains are studied. In order to verify solutions using computer, it is necessary to determine some constants which appear in a priori error estimations. We propose some methods for determination of these constants. In numerical examples, calculating these constants for anL-shaped domain, we verify the solution of a nonlinear elliptic equation.     

Spline collocation methods for linear multi-term fractional differential equations

Some regularity properties of the solution of linear multi-term fractional differential equations are derived. Based on these properties, the numerical solution of such equations by piecewise polynomial collocation methods is discussed. The results obtained in this paper extend the results of Pedas and Tamme (2011) [15] where we have assumed that in the fractional differential equation the order of the highest derivative of the unknown function is an integer. In the present paper, we study the attainable order of convergence of spline collocation methods for solving general linear fractional differential equations using Caputo form of the fractional derivatives and show how the convergence rate depends on the choice of the grid and collocation points. Theoretical results are verified by some numerical examples.