On the convergence of the Newton/log-barrier method

In the Newton/log-barrier method, Newton steps are taken for the log-barrier function for a fixed value of the barrier parameter until a certain convergence criterion is satisfied. The barrier parameter is then decreased and the Newton process is repeated. A naive analysis indicates that Newton’s method does not exhibit superlinear convergence to the minimizer of each instance of the log-barrier function until it reaches a very small neighborhood, namely within O(μ²) of the minimizer, where μ is the barrier parameter. By analyzing the structure of the barrier Hessian and gradient in terms of the subspace of active constraint gradients and the associated null space, we show that this neighborhood is in fact much larger –O(μ^σ) for any σ∈(1,2] – thus explaining why reasonably fast local convergence can be attained in practice. Moreover, we show that the overall convergence rate of the Newton/log-barrier algorithm is superlinear in the number of function/derivative evaluations, provided that the nonlinear program is formulated with a linear objective and that the schedule for decreasing the barrier parameter is related in a certain way to the step length and convergence criteria for each Newton process. Received: October 10, 1997 / Accepted: September 10, 2000?Published online February 22, 2001     

Fluid flow through a helical pipe

In this paper we study the flow of incompressible Newtonian fluid through a helical pipe with prescribed pressures at its ends. Pipe’s thickness and the helix step are considered as the small parameter ɛ. By rigorous asymptotic analysis, as ɛ→ 0 , the effective behaviour of the flow is found. The error estimate for the approximation is proved.     

Fluid flow through a helical pipe

In this paper we study the flow of incompressible Newtonian fluid through a helical pipe with prescribed pressures at its ends. Pipe’s thickness and the helix step are considered as the small parameter ɛ. By rigorous asymptotic analysis, as ɛ→ 0 , the effective behaviour of the flow is found. The error estimate for the approximation is proved.     

The order of convergence in the stefan problem with vanishing specific heat

The paper is concerned with the two-phase Stefan problem with a small parameter ϵ, which coresponds to the specific heat of the material. It is assumed that the initial condition does not coincide with the solution for t = 0 of the limit problem related to ε = 0. To remove this discrepancy, an auxiliary boundary layer type function is introduced. It is proved that the solution to the two-phase Stefan problem with parameter ϵ differs from the sum of the solution to the limit Hele–Shaw problem and a boundary layer type function by quantities of order O(ϵ). The estimates are obtained in H?lder norms. Bibliography: 13 titles.     

Approximation of the solution and its derivative for the singularly perturbed Black-Scholes equation with nonsmooth initial data

A problem for the black-Scholes equation that arises in financial mathematics is reduced, by a transformation of variables, to the Cauchy problem for a singularly perturbed parabolic equation with the variables x, t and a perturbation parameter ɛ, ɛ ∈ (0, 1]. This problem has several singularities such as the unbounded domain, the piecewise smooth initial function (its first-order derivative in x has a discontinuity of the first kind at the point x = 0), an interior (moving in time) layer generated by the piecewise smooth initial function for small values of the parameter ɛ, etc. In this paper, a grid approximation of the solution and its first-order derivative is studied in a finite domain including the interior layer. On a uniform mesh, using the method of additive splitting of a singularity of the interior layer type, a special difference scheme is constructed that allows us to ɛ-uniformly approximate both the solution to the boundary value problem and its first-order derivative in x with convergence orders close to 1 and 0.5, respectively. The efficiency of the constructed scheme is illustrated by numerical experiments. The text was submitted by the authors in English.     

Geometric integration of Hamiltonian systems perturbed by Rayleigh damping

Explicit and semi-explicit geometric integration schemes for dissipative perturbations of Hamiltonian systems are analyzed. The dissipation is characterized by a small parameter ε, and the schemes under study preserve the symplectic structure in the case ε=0. In the case 0<ε≪1 the energy dissipation rate is shown to be asymptotically correct by backward error analysis. Theoretical results on monotone decrease of the modified Hamiltonian function for small enough step sizes are given. Further, an analysis proving near conservation of relative equilibria for small enough step sizes is conducted.     

A Globally Convergent Version of REQP for Constrained Minimization

This paper seeks to improve the theoretical basis for the nonlinearprogramming algorithm REQP. A modification to the standard formof the method is presented which allows global convergence tobe proved under assumptions that are more realistic than thosepreviously required. Essentially, the modification involvesan additional test after each step to determine whether satisfactoryprogress is being made. Reduction in the penalty parameter canonly take place after a step that is judged to be ‘successful’.Numerical examples are included which show how this modificationcan help to protect the method from being ‘trapped’close to a constraint at a nonoptimal point.     

On the two-scale method for the problem of perturbed one-frequency oscillations

We consider the asymptotic behavior with respect to time of the solution to the initial problem for an ordinary differential equation with a small parameter ∈. We construct an asymptotic approximation that is valid for time valuest≫∈ up to any order in ∈. Translated from Teoreticheskaya i Matematicheskay Fizika, Vol. 118, No. 3, pp. 383–389, March, 1999.     

Cauchy problem for a quasilinear parabolic equation with a large initial gradient and low viscosity

The Cauchy problem for a quasilinear parabolic equation with a small parameter ɛ multiplying the highest derivative is considered. The derivative of the initial function is on the order of O(1/ρ), where ρ is another small parameter. Asymptotic expansions of the solution in powers of ɛ and ρ are constructed in various forms.     

A limit problem in natural convection

We discuss a model limit problem which arises as a first step in the mathematical justification of our Boussinesq-type approximation [4], which takes into account dissipative heating in natural convection. We treat a simplified highly non linear system depending on a (perturbation) parameter ε. The main difficulty is that for ε ≠ 0 the velocity is not solenoidal. First we prove that our system has weak solutions for each fixed ε. Moreover, while the chosen perturbation parameter ε tends to zero we show, that we arrive at the usual incompressible case and the standard Boussinesq approximation.     

Sparse recovery by the standard Tikhonov method

It is a common belief that the Tikhonov scheme with the -penalty fails to reconstruct a sparse structure with respect to a given system {ϕ _i }. However, in this paper we present a procedure for the sparse recovery, which is totally based on the standard Tikhonov method. This procedure consists of two steps. At first the Tikhonov scheme is used as a sieve to find the coefficients near ϕ _i , which are suspected to be non-zero. Within this step the performance of the standard Tikhonov method is controlled in some sparsity promoting space rather than in the original Hilbert one. In the second step of the proposed procedure, the coefficients with indices selected in the previous step are estimated by means of the data functional strategy. The choice of the regularization parameter is a crucial issue for both steps. We show that a recently developed parameter choice rule called the balancing principle can be effectively used here. We also present the results of computational experiments giving the evidence of the reliability of our approach.     

On the lower bound of energy functionalE 1 (I)—A stability theorem on the Kähler Ricci flow

In the present article, we prove a stability theorem for the Kaehler Ricci flow near the infimum of the functional E₁ under the assumption that the initial metric has Ricci >−1 and ⋎Riem÷ bounded. At present stage, our main theorem still need a topological assumption (1.2) which we hope to be removed in subsequent articles. The underlying moral is: If a Kaehler metric is sufficiently closed to a Kaehler Einstein metric, then the Kaehler Ricci flow converges to it. The present work should be viewed as a first step in a more ambitious program of deriving the existence of Kaehler Einstein metrics with an arbitrary energy level, provided that this energy functional has a uniform lower bound in this kaehler class.     

Computing spectral value sets using the subharmonicity of the norm of rational matrices

Spectral value sets (SVS) are structured versions of pseudospectra, a tool of matrix analysis that has been popularized by Trefethen and Godunov in recent years. The main result contained in this note is a new algorithm for calculating complex SVS which, using the subharmonicity of the norm of rational matrices, is able to save large amounts of computation whenever the initial set of interest Ω₀⊂ℂ is larger than the actual size of the SVS to be visualized. The algorithm, as a result of a corrector step, is also able to recover the subsets of the SVS which are not contained in Ω₀. Numerical examples are discussed which illustrate the advantages of the new method. This work has been financially supported by the Deutscher Akademischer Austauschdienst.     

Convergence of an adaptive semi-Lagrangian scheme for the Vlasov-Poisson system

An adaptive semi-Lagrangian scheme for solving the Cauchy problem associated to the periodic 1+1-dimensional Vlasov-Poisson system in the two- dimensional phase space is proposed and analyzed. A key feature of our method is the accurate evolution of the adaptive mesh from one time step to the next one, based on a rigorous analysis of the local regularity and how it gets transported by the numerical flow. The accuracy of the scheme is monitored by a prescribed tolerance parameter ε which represents the local interpolation error at each time step, in the L ^∞ metric. The numerical solutions are proved to converge in L ^∞ towards the exact ones as ε and Δt tend to zero provided the initial data is Lipschitz and has a finite total curvature, or in other words, that it belongs to . The rate of convergence is , which should be compared to the results of Besse who recently established in (SIAM J Numer Anal 42(1):350–382, 2004) similar rates for a uniform semi-Lagrangian scheme, but requiring that the initial data are in . Several numerical tests illustrate the effectiveness of our approach for generating the optimal adaptive discretizations.     

Approximation of singularly perturbed parabolic equations in unbounded domains subject to piecewise smooth boundary conditions in the case of solutions that grow at infinity

The initial-boundary value problem in a domain on a straight line that is unbounded in x is considered for a singularly perturbed reaction-diffusion parabolic equation. The higher order derivative in the equation is multiplied by a parameter ɛ², where ɛ ∈ (0, 1]. The right-hand side of the equation and the initial function grow unboundedly as x → ∞ at a rate of O(x ²). This causes the unbounded growth of the solution at infinity at a rate of O(Ψ(x)), where Ψ(x) = x ² + 1. The initialboundary function is piecewise smooth. When ɛ is small, a boundary and interior layers appear, respectively, in a neighborhood of the lateral part of the boundary and in a neighborhood of the characteristics of the reduced equation passing through the discontinuity points of the initial function. In the problem under examination, the error of the grid solution grows unboundedly in the maximum norm as x → ∞ even for smooth solutions when ɛ is fixed. In this paper, the proximity of solutions of the initial-boundary value problem and its grid approximations is considered in the weighted maximum norm ∥·∥ ^w with the weighting function Ψ⁻¹(x); in this norm, the solution of the initial-boundary value problem is ɛ-uniformly bounded. Using the method of special grids that condense in a neighborhood of the boundary layer or in neighborhoods of the boundary and interior layers, special finite difference schemes are constructed and studied that converge ɛ-uniformly in the weighted norm. It is shown that the convergence rate considerably depends on the type of nonsmoothness in the initial-boundary conditions. Grid approximations of the Cauchy problem with the right-hand side and the initial function growing as O(Ψ(x)) that converge ɛ-uniformly in the weighted norm are also considered.     

The point-vortex method for periodic weak solutions of the 2-D Euler equations

Almost-sure convergence of a subsequence of the vorticity to a weak solution is proven for the point-vortex method for 2-D, inviscid, incompressible fluid flow. Here “almost-sure” is with respect to sequences of random components included in the initial position and strength of each vortex. The initial vorticity is assumed to be periodic and, depending on the initialization scheme, to lie in L log L or L^p with p > 2. The randomization of the initial data is not needed when the initial vorticity is nonnegative; such initial data also need not be periodic, and is only required to be a bounded measure lying in H⁻¹. All these results are also valid for the “vortex-blob” method with the smoothing parameter vanishing at an arbitrary rate. The sense in which solutions of point-vortex dynamics are weak solutions of the Euler equations is also discussed.     

Stability criterion for a family of nonlocal difference schemes

We consider finite-difference schemes for the heat equation with nonlocal boundary conditions that contain a real parameter γ. A stability criterion for finite-difference schemes with respect to the initial data was earlier obtained for |γ| ≤ 1. In the present paper, we consider the case in which γ ∈ (−cosh π,−1) and the original differential problem is stable, while the stability conditions for the finite-difference schemes substantially depend on γ. We obtain estimates for the energy norm of the solution of the finite-difference problem via the same norm of the initial data and prove the equivalence of the energy norm and the grid L ₂-norm.     

Generalizing the Pareto to the log-Pareto model and statistical inference

In this article we introduce a full-fledged statistical model of log-Pareto distribution functions (dfs) parametrized by two shape parameters and a scale parameter. Pareto dfs can be regained in the limit by varying parameters of log-Pareto dfs, whence the log-Pareto model can be regarded as an extension of the Pareto model. Log-Pareto dfs are first of all obtained by means of exponential transformations of Pareto dfs. We also indicate an iterated application of such a procedure. A class of generalized log-Pareto dfs is considered as well. In addition, power-pot (p-pot) stable dfs – related to p-max stable dfs – are introduced and log-Pareto dfs are identified as special cases. A modification of a quick (systematic) estimator is proposed as an initial estimator for the numerical computation of the maximum likelihood estimator (MLE) in the 3-parameter model.