Generalized alternating-direction collocation methods for parabolic equations. II. Transport equations with application to seawater intrusion problems

The alternating-direction collocation (ADC) method combines the attractive computational features of a collocation spatial approximation and an alternating-direction time marching algorithm. The result is a very efficient solution procedure for parabolic partial differential equations. To date, the methodology has been formulated and demonstrated for second-order parabolic equations with insignificant first-order derivatives. However, when solving transport equations, significant first-order advection components are likely to be present. Therefore, in this paper, the ADC method is formulated and analyzed for the transport equation. The presence of first-order spatial derivatives leads to restrictions that are not present when only second-order derivatives appear in the governing equation. However, the method still appears to be applicable to a wide variety of transport systems. A formulation of the ADC algorithm for the nonlinear system of equations that describes density-dependent fluid flow and solute transport in porous media demonstrates this point. An example of seawater intrusion into coastal aquifers is solved to illustrate the applicability of the method. An alternating-direction collocation solution algorithm has been developed for the general transport equation. The procedure is analogous to that for the model parabolic equations considered by Celia and Pinder [2]. However, the presence of first-order spatial derivatives requires special attention in the ADC formulation and application. With proper implementation, the ADC procedure effectively combines the efficient equation formulation inherent in the collocation method with the efficient equation solving characteristics of alternating-direction time marching algorithms. To demonstrate the viability of the method for problems with complex velocity fields, the procedure was applied to the problem of density-dependent flow and contaminant transport in groundwaters. A standard example of seawater intrusion into coastal aquifers was solved to illustrate the applicability of the method and to demonstrate its potential use in practical problems.     

A nondispersive and nondissipative numerical method for first-order linear hyperbolic partial differential equations

We propose a new numerical method for a solution of first-order linear hyperbolic equations. The leap-frog scheme is converted to a nondispersive scheme by introducing an adjustable constant in a fictitious absorption term. Then the erroneous decrease in th solution is eliminated by solving two equations equivalent to the original equation. The new scheme perfectly preserves the form of a discontinuous solution.     

积分因子的一种直接求解方法

充分利用变量分离微分方程为恰当方程的事实,通过引入有限次的变量替换并借助求导的链式法则,本文提出了一种求解积分因子的直接方法.该法针对一阶常微分方程,只要其通过有限次变量替换能化为变量分离微分方程,那么积分因子和通积分均可直接求得.     

Numerical simulation of fluid-structure interaction problems on hybrid meshes with algebraic multigrid methods

Fluid-structure interaction problems arise in many fields of application such as flows around elastic structures and blood flow in arteries. The method presented in this paper for solving such a problem is based on a reduction to an equation at the interface, involving the so-called Steklov-Poincaré operators. This interface equation is solved by a Newton iteration, for which directional derivatives involving shape derivatives with respect to the interface perturbation have to be evaluated appropriately. One step of the Newton iteration requires the solution of several decoupled linear sub-problems in the structure and the fluid domains. These sub-problems are spatially discretized by a finite element method on hybrid meshes. For the time discretization, implicit first-order methods are used for both sub-problems. The discretized equations are solved by algebraic multigrid methods.     

Efficient Implementation of a Spectral-Tau Method for a Class of Two-Point Boundary-Value and Initial-Boundary-Value Problems

A simple and efficient spectral method for solving the second, third order and fourth order elliptic equations with variable coefficients and nonlinear differential equations is presented. It is different from spectral-collocation method which leads to dense, ill-conditioned matrices. The spectral method in this paper solves for the coefficients of the solution in a Chebyshev series, leads to discrete systems with special structured matrices which can be factorized and solved efficiently. We also extend the method to boundary value problems in two space dimensions and solve 2-D separable equation with variable coefficients. As an application, we solve Cahn-Hilliard equation iteratively via first-order implicit time discretization scheme. Ample numerical results indicate that the proposed method is extremely accurate and efficient.     

Symmetry Analysis of Abel's Equation

A solution algorithm for Abel's equation and some generalizations based on a nontrivial Lie symmetry of a particular kind, i.e., so-called structure-preserving symmetry, is described. For the existence of such a symmetry a criterion in terms of the coefficients of the so-called rational normal form of the given equation is derived. If it is affirmative, solving Abel's equation is reduced to a well-defined integration problem. It is shown that almost all known ad hoc methods for obtaining closed form solutions are consequences of this type of symmetry. Possible extensions of this scheme to more general classes of first-order ordinary differential equations are pointed out.     

Exact solution to the periodic boundary value problem for a first-order linear fuzzy differential equation with impulses

Using the expression of the exact solution to a periodic boundary value problem for an impulsive first-order linear differential equation, we consider an extension to the fuzzy case and prove the existence and uniqueness of solution for a first-order linear fuzzy differential equation with impulses subject to boundary value conditions. We obtain the explicit solution by calculating the solutions on each level set and justify that the parametric functions obtained define a proper fuzzy function. Our results prove that the solution of the fuzzy differential equation of interest is determined, under the appropriate conditions, by the same Green’s function obtained for the real case. Thus, the results proved extend some theorems given for ordinary differential equations.     

General problems of explicit integration of differential inequalities

We consider the problem of the explicit search for all solutions of a first-order nonstrict differential inequality. We use the formula of the general solution of the corresponding differential equation. Using an analog of the method of arbitrary constant variation or, in other words, a straightening diffeomorphism, we reduce the original inequality to the simplest form ? ≤ 0 or ? ≥ 0. Even if the equation is considered in the existence and uniqueness region, theoretical and practical problems arise. The first problem is related to the extension of solutions (i.e., to the interval of determination). The second problem is that the general solution may consist of several functions given on different intervals of the equation domain. As a result, the resulting inequality also may have a solution that is composed of different functions. The situation becomes more complicated when the equation has points of branching. In this case, the method of comparison of theorems cannot be used. In this paper, we describe a method for solving differential inequalities and estimating their solutions for this case as well. The result obtained in this study provides a unified approach to many theorems on differential inequalities available in the literature.     

Entire solutions of first-order nonlinear partial differential equations

We show that any entire solution of an essentially nonlinear first-order partial differential equation in two variables must be linear.

     

One-step methods for ordinary differential equations

Summary It is proved that any consistent one-step method for solving the initial value problem for a first-order ordinary differential equation is convergent; no stability condition is required. An application is made to a similarly stated result, allowing part of the hypothesis in that case to be dropped.     

Finite-difference methods for solving the reaction-diffusion equations of a simple isothermal chemical system

Numerical methods are proposed for the numerical solution of a system of reaction-diffusion equations, which model chemical wave propagation. The reaction terms in this system of partial differential equations contain nonlinear expressions. Nevertheless, it is seen that the numerical solution is obtained by solving a linear algebraic system at each time step, as opposed to solving a nonlinear algebraic system, which is often required when integrating nonlinear partial differential equations. The development of each numerical method is made in the light of experience gained in solving the system of ordinary differential equations, which model the well-stirred analogue of the chemical system. The first-order numerical methods proposed for the solution of this initialvalue problem are characterized to be implicit. However, in each case it is seen that the numerical solution is obtained explicitly. In a series of numerical experiments, in which the ordinary differential equations are solved first of all, it is seen that the proposed methods have superior stability properties to those of the well-known, first-order, Euler method to which they are compared. Incorporating the proposed methods into the numerical solution of the partial differential equations is seen to lead to two economical and reliable methods, one sequential and one parallel, for solving the travelling-wave problem. © 1994 John Wiley & Sons, Inc.     

Optimal monotonization of a high-order accurate bicompact scheme for the nonstationary multidimensional transport equation

A hybrid scheme is proposed for solving the nonstationary inhomogeneous transport equation. The hybridization procedure is based on two baseline schemes: (1) a bicompact one that is fourth-order accurate in all space variables and third-order accurate in time and (2) a monotone first-order accurate scheme from the family of short characteristic methods with interpolation over illuminated faces. It is shown that the first-order accurate scheme has minimal dissipation, so it is called optimal. The solution of the hybrid scheme depends locally on the solutions of the baseline schemes at each node of the space-time grid. A monotonization procedure is constructed continuously and uniformly in all mesh cells so as to keep fourth-order accuracy in space and third-order accuracy in time in domains where the solution is smooth, while maintaining a high level of accuracy in domains of discontinuous solution. Due to its logical simplicity and uniformity, the algorithm is well suited for supercomputer simulation.     

Singular Perturbation of Kolmogorov Equation in Gauss–Sobolev Space

Abstract

This article is concerned with the Kolmogorov equation associated to a stochastic partial differential equation with an additive noise depending on a small parameter ε > 0. As ε vanishes, the parabolic equation degenerates into a first-order evolution equation. In a Gauss–Sobolev space setting, we prove that, as ε ↓ 0, the solution of the Cauchy problem for the Kolmogorov equation converges in L ²(μ, H) to that of the reduced evolution equation of first-order, where μ is a reference Gaussian measure on the Hilbert space H.     

Bifurcating periodic solution for a class of first-order nonlinear delay differential equation after Hopf bifurcation

In this paper, we predict the accurate bifurcating periodic solution for a general class of first-order nonlinear delay differential equation with reflectional symmetry by constructing an approximate technique, named residue harmonic balance. This technique combines the features of the homotopy concept with harmonic balance which leads to easy computation and gives accurate prediction on the periodic solution to the desired accuracy. The zeroth-order solution using just one Fourier term is applied by solving a set of nonlinear algebraic equations containing the delay term. The unbalanced residues due to Fourier truncation are considered iteratively by solving linear equations to improve the accuracy and increase the number of Fourier terms of the solutions successively. It is shown that the solutions are valid for a wide range of variation of the parameters by two examples. The second-order approximations of the periodic solutions are found to be in excellent agreement with those obtained by direct numerical integration. Moreover, the residue harmonic balance method works not only in determining the amplitude but also the frequency of the bifurcating periodic solution. The method can be easily extended to other delay differential equations.     

Solving equations with fractions: An analysis of prospective teachers’ solution pathways and errors

We analyzed the solution pathways and errors found in the written responses of 469 prospective teachers solving an equation containing fractions. The majority (332, or 70%) used an algebraic method; 141 of the 332 (42%) were correct, and 22% of the algebraic methods were abandoned before a solution was obtained. We identified the steps in the written solutions, determined which solution pathways led to the correct solution, and identified common errors in the solution pathways of respondents who incorrectly solved the equation. Respondents initially attempted different methods. The most common method was solving by using fractions, but the majority of respondents who solved by using mixed numbers were able to correctly solve the problem. Common errors related to fraction arithmetic and the distributive property. Nearly all of the abandoned pathways contained no errors, but ended with a step that likely would precede an operation with fractions. Our findings suggest that the ability to solve an arithmetic equation with no fractions was necessary, but not sufficient, to solve an arithmetic equation involving fractions, and that the problem of solving equations with fractions was more closely tied to one's difficulties with rational number arithmetic and less with one's understanding of algebra.     

Solutions of 2nd-order linear differential equations subject to Dirichlet boundary conditions in a Bernstein polynomial basis

An algorithm for approximating solutions to 2nd-order linear differential equations with polynomial coefficients in B-polynomials (Bernstein polynomial basis) subject to Dirichlet conditions is introduced. The algorithm expands the desired solution in terms of B-polynomials over a closed interval [0, 1] and then makes use of the orthonormal relation of B-polynomials with its dual basis to determine the expansion coefficients to construct a solution. Matrix formulation is used throughout the entire procedure. However, accuracy and efficiency are dependent on the size of the set of B-polynomials, and the procedure is much simpler compared to orthogonal polynomials for solving differential equations. The current procedure is implemented to solve five linear equations and one first-order nonlinear equation, and excellent agreement is found between the exact and approximate solutions. In addition, the algorithm improves the accuracy and efficiency of the traditional methods for solving differential equations that rely on much more complicated numerical techniques. This procedure has great potential to be implemented in more complex systems where there are no exact solutions available except approximations.     

A Priori Error Estimates for Least-Squares Mixed Finite Element Approximation of Elliptic Optimal Control Problems

In this paper, a constrained distributed optimal control problem governed by a first-order elliptic system is considered. Least-squares mixed finite element methods, which are not subject to the Ladyzhenkaya-Babuska-Brezzi consistency condition, are used for solving the elliptic system with two unknown state variables. By adopting the Lagrange multiplier approach, continuous and discrete optimality systems including a primal state equation, an adjoint state equation, and a variational inequality for the optimal control are derived, respectively. Both the discrete state equation and discrete adjoint state equation yield a symmetric and positive definite linear algebraic system. Thus, the popular solvers such as preconditioned conjugate gradient (PCG) and algebraic multi-grid (AMG) can be used for rapid solution. Optimal a priori error estimates are obtained, respectively, for the control function in $L^2(Ω)$-norm, for the original state and adjoint state in $H^1(Ω)$-norm, and for the flux state and adjoint flux state in $H$(div; $Ω$)-norm. Finally, we use one numerical example to validate the theoretical findings.     

A fast numerical solution of the 3D nonlinear tempered fractional integrodifferential equation

In this paper, we investigate the numerical solution of the three-dimensional (3D) nonlinear tempered fractional integrodifferential equation which is subject to the initial and boundary conditions. The backward Euler (BE) method in association with the first-order convolution quadrature rule is employed to discretize this equation for time, and the Galerkin finite element method is applied for space, which is combined with an alternating direction implicit (ADI) algorithm, in order to reduce the computational cost for solving the three-dimensional nonlocal problem. Then a fully discrete BE ADI Galerkin finite element scheme can be obtained by linearizing the non-linear term. Thereafter we prove a positive-type lemma, from which the stability and convergence of the proposed numerical scheme are derived based on the energy method. Numerical experiments are performed to verify the effectiveness of the proposed approach.     

One method for constructing exact solutions of equations of two-dimensional hydrodynamics of an incompressible fluid

We propose a simple algebraic method for constructing exact solutions of equations of two-dimensional hydrodynamics of an incompressible fluid. The problem reduces to consecutively solving three linear partial differential equations for a nonviscous fluid and to solving three linear partial differential equations and one first-order ordinary differential equation for a viscous fluid. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 147,No. 1, pp. 64–72, April, 2006.     

Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem

Abstract

Over the years a number of two-factor interest rate models have been proposed that have formed the basis for the valuation of interest rate contingent claims. This valuation equation often takes the form of a partial differential equation that is solved using the finite difference approach. In the case of two-factor models this has resulted in solving two second-order partial derivatives leading to boundary errors, as well as numerous first-order derivatives. In this article we demonstrate that using Green's theorem, second-order derivatives can be reduced to first-order derivatives that can be easily discretized; consequently, two-factor partial differential equations are easier to discretize than one-factor partial differential equations. We illustrate our approach by applying it to value contingent claims based on the two-factor CIR model. We provide numerical examples that illustrate that our approach shows excellent agreement with analytical prices and the popular Crank–Nicolson method.