Cyclic homology for schemes

Using hypercohomology, we can extend cyclic homology from algebras to all schemes over a ring . By `extend' we mean that the usual cyclic homology of any commutative algebra agrees with the cyclic homology of its corresponding affine scheme.

     

Online stochastic reservation systems

This paper considers online stochastic reservation problems, where requests come online and must be dynamically allocated to limited resources in order to maximize profit. Multi-knapsack problems with or without overbooking are examples of such online stochastic reservations. The paper studies how to adapt the online stochastic framework and the consensus and regret algorithms proposed earlier to online stochastic reservation systems. On the theoretical side, it presents a constant sub-optimality approximation of multi-knapsack problems, leading to a regret algorithm that evaluates each scenario with a single mathematical programming optimization followed by a small number of dynamic programs for one-dimensional knapsacks. It also proposes several integer programming models for handling cancellations and proves their equivalence. On the experimental side, the paper demonstrates the effectiveness of the regret algorithm on multi-knapsack problems (with and without overbooking) based on the benchmarks proposed earlier.     

Further second-order properties of certain single-server queueing systems

The Laplace-Stieltjes transform of the variance function V(y) = var (N(0, y]) for the number N(0, y] of departures in a time interval of length y is found for stationary M/G/1 and G1/M/1 queueing systems. It is shown that for G1/M/1 systems V(y) is linear only for M/M/1.     

Scheduling control for Markov-modulated single-server multiclass queueing systems in heavy traffic

This paper studies a scheduling control problem for a single-server multiclass queueing network in heavy traffic, operating in a changing environment. The changing environment is modeled as a finite-state Markov process that modulates the arrival and service rates in the system. Various cases are considered: fast changing environment, fixed environment, and slowly changing environment. In all cases, the arrival rates are environment dependent, whereas the service rates are environment dependent when the environment Markov process is changing fast, and are assumed to be constant in the other two cases. In each of the cases, using weak convergence analysis, in particular functional limit theorems for Poisson processes and ergodic Markov processes, it is shown that an appropriate “averaged” version of the classical \(c\mu \) -policy (the priority policy that favors classes with higher values of the product of holding cost \(c\) and service rate \(\mu \) ) is asymptotically optimal for an infinite horizon discounted cost criterion.     

Runge-kutta schemes for Hamiltonian systems

We study the application of Runge-Kutta schemes to Hamiltonian systems of ordinary differential equations. We investigate which schemes possess the canonical property of the Hamiltonian flow. We also consider the issue of exact conservation in the time-discretization of the continuous invariants of motion.     

Polynomial upwind schemes for hyperbolic systems

In this paper, we present an upwinding methodology for systems of conservation laws. Our aim is to construct upwind schemes which do not require the extraction of the eigensystem of the Jacobian matrix (but just the knowledge of the eigenvalues) and rely on the introduction of an appropriate polynomial approximation.     

Subdivision schemes for iterated function systems

We identify iterated function systems and regular Borel measures such that the matrix subdivision process relative to a finite family converges if and only if satisfies certain spectral properties.     

Adaptive multiresolution schemes for reaction-diffusion systems

This note outlines a fully adaptive multiresolution scheme with local time stepping for the efficient numerical solution of (possibly degenerate) reaction–diffusion systems. A new numerical example showing Turing–type pattern formation is presented. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Difference schemes for fully nonlinear pseudo-hyperbolic systems

The general difference schemes for the first boundary problem of the fully nonlinear pseudo-hyperbolic systemsf(x, t, u,u_x,u_(xx),u_t,u_(tt),u_(xt),u_(xxt))=0are considered in the rectangular domain Q_T={0≤x≤1, 0≤t≤T}, where u(x,t)and f(x, t, u,p_1, p_2, r_1,r_2,q_1,q_2) are two m-dimensional vector functions with m≥1 for(x, t)∈Q_T and u,p_1,p_2,r_1,r_2,q_1,q_2∈R. The existence and the estimates of solutionsfor the finite difference system are established by the fixed point technique. The absolute andrelative stability and convergence of difference schemes are justified by means of a series of a prioriestimates. In the present study, the existence of unique smooth solution of the original problemis assumed. The similar results for nonlinear and quasilinear pseudo-hyperbolic systems are alsoobtained.     

Two-stage complex Rosenbrock schemes for stiff systems

New two-stage Rosenbrock schemes with complex coefficients are proposed for stiff systems of differential equations. The schemes are fourth-order accurate and satisfy enhanced stability requirements. A one-parameter family of L1-stable schemes with coefficients explicitly calculated by formulas involving only fractions and radicals is constructed. A single L2-stable scheme is found in this family. The coefficients of the fourth-order accurate L4-stable scheme previously obtained by P.D Shirkov are refined. Several fourth-order schemes are constructed that are high-order accurate for linear problems and possess the limiting order of L-decay. The schemes proposed are proved to converge. A symbolic computation algorithm is developed that constructs order conditions for multistage Rosenbrock schemes with complex coefficients. This algorithm is used to design the schemes proposed and to obtain fifth-order accurate conditions.     

An efficient direct method for fully conforming spectral collocation schemes

An efficient direct method is presented for the solution of the linear systems arising in the solution of second and fourth order problems by certain multidomain spectral collocation schemes. In it, the block structure of the global matrix is exploited. The performance of the method is examined for problems in two and three dimensions on an RS6000 workstation and a Cray J-916 supercomputer.     

Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes

In this article, we study the numerical solutions of a class of complex partial differential equation (PDE) systems with free boundary conditions. This problem arises naturally in pricing American options with regime‐switching, which adds significant complexity in the PDE systems due to regime coupling. Developing efficient numerical schemes will have important applications in computational finance. We propose a new method to solve the PDE systems by using a penalty method approach and an exponential time differencing scheme. First, the penalty method approach is applied to convert the free boundary value PDE system to a system of PDEs over a fixed rectangular region for the time and spatial variables. Then, a new exponential time differncing Crank–Nicolson (ETD‐CN) method is used to solve the resulting PDE system. This ETD‐CN scheme is shown to be second order convergent. We establish an upper bound condition for the time step size and prove that this ETD‐CN scheme satisfies a discrete version of the positivity constraint for American option values. The ETD‐CN scheme is compared numerically with a linearly implicit penalty method scheme and with a tree method. Numerical results are reported to illustrate the convergence of the new scheme. © 2012 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2013     

Designing synchronization schemes for chaotic fractional-order unified systems

Synchronization in chaotic fractional-order differential systems is studied both theoretically and numerically. Two schemes are designed to achieve chaos synchronization of so-called unified chaotic systems and the corresponding numerical algorithms are established. Some sufficient conditions on synchronization are also derived based on the Laplace transformation theory. Computer simulations are used for demonstration.     

Numerical schemes for multivalued backward stochastic differential systems

We define approximation schemes for generalized backward stochastic differential systems, considered in the Markovian framework. More precisely, we propose a mixed approximation scheme for the following backward stochastic variational inequality:

Approximation schemes for nonlinear neutral optimal control systems

We discuss methods of approximating stable neutral functional differential equations and associated optimal control problems by sequences of optimal control problems for ordinary differential equations. By introducing a class of “mollified” neutral functional differential equations, convergence of the linear interpolating spline and the averaging approximation scheme is proved. A number of numerical examples are included.     

Absolutely stable explicit schemes for reaction systems.

We introduce two numerical schemes for solving a system of ordinary differential equations which characterizes several kinds of linear reactions and diffusion from biochemistry, physiology, etc. The methods consist of sequential applications of the simple exact solver for a reversible reaction. We provide absolute stability and convergence of the proposed explicit methods. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Stabilized finite element schemes for generalized Oseen systems

In recent works [1, 2], advanced approximation schemes for the numerical calculation of compressible viscous flow were developed, analyzed theoretically and applied successfully to benchmark problems. These methods are based on splitting the Poisson–Stokes system (1.1) describing the motion of a viscous compressible fluid into a generalized Oseen problem for the velocity and a hyperbolic transport equation for the density. Highly refined finite element techniques were proposed for the numerical solution of these separated subproblems of simpler structure; cf. [2]. In this paper, error estimates for a SUPG/(PSPG) and grad-div stabilized finite element approximation of the generalized Oseen problems that arise in the course of the splitting procedure are presented. LBB-stable pairs of finite element spaces are used for velocity and pressure. (© 2005 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Smoothing schemes for reaction-diffusion systems with nonsmooth data

Cox and Matthews [S.M. Cox, P.C. Matthews, Exponential time differencing for stiff systems, J. Comput. Phys. 176 (2002) 430–455] developed a class of Exponential Time Differencing Runge–Kutta schemes (ETDRK) for nonlinear parabolic equations; Kassam and Trefethen [A.K. Kassam, Ll. N. Trefethen, Fourth-order time stepping for stiff pdes, SIAM J. Sci. Comput. 26 (2005) 1214–1233] have shown that these schemes can suffer from numerical instability and they proposed a modified form of the fourth-order (ETDRK4) scheme. They use complex contour integration to implement these schemes in a way that avoids inaccuracies when inverting matrix polynomials, but this approach creates new difficulties in choosing and evaluating the contour for larger problems. Neither treatment addresses problems with nonsmooth data, where spurious oscillations can swamp the numerical approximations if one does not treat the problem carefully. Such problems with irregular initial data or mismatched initial and boundary conditions are important in various applications, including computational chemistry and financial engineering. We introduce a new version of the fourth-order Cox–Matthews, Kassam–Trefethen ETDRK4 scheme designed to eliminate the remaining computational difficulties. This new scheme utilizes an exponential time differencing Runge–Kutta ETDRK scheme using a diagonal Padé approximation of matrix exponential functions, while to deal with the problem of nonsmooth data we use several steps of an ETDRK scheme using a sub-diagonal Padé formula. The new algorithm improves computational efficiency with respect to evaluation of the high degree polynomial functions of matrices, having an advantage of splitting the matrix polynomial inversion problem into a sum of linear problems that can be solved in parallel. In this approach it is only required that several backward Euler linear problems be solved, in serial or parallel. Numerical experiments are described to support the new scheme.     

Highly efficient schemes for time-fractional Allen-Cahn equation using extended SAV approach

Numerical Algorithms - In this paper, we propose and analyze high-order efficient schemes for the time-fractional Allen-Cahn equation. The proposed schemes are based on the L1 discretization for...     

Monotone compact running schemes for systems of hyperbolic equations

For quasilinear hyperbolic equations, conservative absolutely stable compact schemes are presented that are monotone in a wide range of local Courant numbers. The schemes are fourth-order accurate in space on a compact stencil and first-or third-order accurate in time. They are efficient and are solved by the running calculation method. The convergence rate of the schemes is analyzed in detail in the case of mesh refinement for solutions of various orders of smoothness. The capabilities of the schemes are demonstrated by solving well-known one-dimensional test problems for gas dynamics equations.