Error and extrapolation of a compact LOD method for parabolic differential equations

This paper is concerned with a compact locally one-dimensional (LOD) finite difference method for solving two-dimensional nonhomogeneous parabolic differential equations. An explicit error estimate for the finite difference solution is given in the discrete infinity norm. It is shown that the method has the accuracy of the second-order in time and the fourth-order in space with respect to the discrete infinity norm. A Richardson extrapolation algorithm is developed to make the final computed solution fourth-order accurate in both time and space when the time step equals the spatial mesh size. Numerical results demonstrate the accuracy and the high efficiency of the extrapolation algorithm.     

A-priori error estimates of Galerkin backward differentiation methods in time-inhomogeneous parabolic problems

Summary Backward differentiation methods up to orderk=5 are applied to solve linear ordinary and partial (parabolic) differential equations where in the second case the space variables are discretized by Galerkin procedures. Using a mean square norm over all considered time levels a-priori error estimates are derived. The emphasis of the results lies on the fact that the obtained error bounds do not depend on a Lipschitz constant and the dimension of the basic system of ordinary differential equations even though this system is allowed to have time-varying coefficients. It is therefore possible to use the bounds to estimate the error of systems with arbitrary varying dimension as they arise in the finite element regression of parabolic problems.     

Error estimate for the upwind finite volume method for the nonlinear scalar conservation law

In this paper we estimate the error of upwind first order finite volume schemes applied to scalar conservation laws. As a first step, we consider standard upwind and flux finite volume scheme discretization of a linear equation with space variable coefficients in conservation form. We prove that, in spite of their lack of consistency, both schemes lead to a first order error estimate. As a final step, we prove a similar estimate for the nonlinear case. Our proofs rely on the notion of geometric corrector, introduced in our previous paper by Bouche et al. (2005) [24] in the context of constant coefficient linear advection equations.     

Valuing Asian options using the finite element method and duality techniques

The main objective of this paper is to develop an adaptive finite element method for computation of the values, and different sensitivity measures, of the Asian option with both fixed and floating strike. The pricing is based on Black–Scholes PDE-model and a method developed by Ve?e? where the resulting PDEs are of parabolic type in one spatial dimension and can be applied to both continuous and discrete Asian options. We propose using an adaptive finite element method which is based on a posteriori estimates of the error in desired quantities, which we derive using duality techniques. The a posteriori error estimates are tested and verified, and are used to calculate optimal meshes for each type of option. The use of adapted meshes gives superior accuracy and performance with less degrees of freedom than using uniform meshes. The suggested adaptive finite element method is stable, gives fast and accurate results, and can be applied to other types of options as well.     

A time- and spaceadaptive algorithm for the linear time-dependent Schrödinger equation

Summary. We prove an a posteriori error estimate for the linear time-dependent Schr?dinger equation in . From this, we derive a residual based local error estimator that allows us to adjust the mesh and the time step size in order to obtain a numerical solution with a prescribed accuracy. As a special feature, the error estimator controls localization and size of the finite computational domain in each time step. An algorithm is described to compute this solution and numerical results in one space dimension are included. Received March 17, 1995     

Negative norm error control for second-kind convolution Volterra equations

Summary. We consider a piecewise constant finite element approximation to the convolution Volterra equation problem of the second kind: find such that in a time interval . An a posteriori estimate of the error measured in the norm is developed and used to provide a time step selection criterion for an adaptive solution algorithm. Numerical examples are given for problems in which is of a form typical in viscoelasticity theory. Received March 5, 1998 / Revised version received November 30, 1998 / Published online December 6, 1999     

A characteristics-mixed covolume method for a convection-dominated transport problem

In this paper, we propose a characteristics-mixed covolume method for approximating the solution to a convection dominated transport problem. The method is a combination of characteristic approximation to handle the convection term in time and mixed covolume method spatial approximation to deal with the diffusion term. The velocity and press are approximated by the lowest order Raviart-Thomas mixed finite element space on rectangles. The projection of a mixed covolume element is introduced. We prove its first order optimal rate of convergence for the approximate velocities in the L² norm as well as for the approximate pressures in the L² norm.     

A two-grid method for finite volume element approximations of second-order nonlinear hyperbolic equations

The two-grid method is studied for solving a two-dimensional second-order nonlinear hyperbolic equation using finite volume element method. The method is based on two different finite element spaces defined on one coarse grid with grid size H and one fine grid with grid size h, respectively. The nonsymmetric and nonlinear iterations are only executed on the coarse grid and the fine grid solution can be obtained in a single symmetric and linear step. It is proved that the coarse grid can be much coarser than the fine grid. A prior error estimate in the H¹-norm is proved to be O(h+H³|lnH|) for the two-grid semidiscrete finite volume element method. With these proposed techniques, solving such a large class of second-order nonlinear hyperbolic equations will not be much more difficult than solving one single linearized equation. Finally, a numerical example is presented to validate the usefulness and efficiency of the method.     

Maximum norm error estimates of efficient difference schemes for second-order wave equations

The three-level explicit scheme is efficient for numerical approximation of the second-order wave equations. By employing a fourth-order accurate scheme to approximate the solution at first time level, it is shown that the discrete solution is conditionally convergent in the maximum norm with the convergence order of two. Since the asymptotic expansion of the difference solution consists of odd powers of the mesh parameters (time step and spacings), an unusual Richardson extrapolation formula is needed in promoting the second-order solution to fourth-order accuracy. Extensions of our technique to the classical ADI scheme also yield the maximum norm error estimate of the discrete solution and its extrapolation. Numerical experiments are presented to support our theoretical results.     

The analysis of a finite element method for the Navier–Stokes equations with compressibility

Summary. A finite element formulation is developed for the two dimensional nonlinear time dependent compressible Navier–Stokes equations on a bounded domain. The existence and uniqueness of the solution to the numerical formulation is proved. An error estimate for the numerical solution is obtained. Received September 9, 1997 / Revised version received August 12, 1999 / Published online July 12, 2000     

A posteriori error estimation with finite element methods of lines for one-dimensional parabolic systems

Summary Consider the solution of one-dimensional linear initial-boundary value problems by a finite element method of lines using a piecewiseP ^th -degree polynomial basis. A posteriori estimates of the discretization error are obtained as the solutions of either local parabolic or local elliptic finite element problems using piecewise polynomial corrections of degreep+1 that vanish at element ends. Error estimates computed in this manner are shown to converge in energy under mesh refinement to the exact finite element discretization error. Computational results indicate that the error estimates are robust over a wide range of mesh spacings and polynomial degrees and are, furthermore, applicable in situations that are not supported by the analysis.This research was partially supported by the U.S. Air Force Office of Scientific Research, Air Force Systems Command, USAF, under Grant Number AFOSR 90-0194; by the U.S. Army Research Office under Contract Number DAAL03-91-G-0215; and by the National Science Foundation under Institutional Infrastructure Grant Number CDA-8805910     

A characteristic finite element method for optimal control problems governed by convection-diffusion equations

In this paper we analyze a characteristic finite element approximation of convex optimal control problems governed by linear convection-dominated diffusion equations with pointwise inequality constraints on the control variable, where the state and co-state variables are discretized by piecewise linear continuous functions and the control variable is approximated by either piecewise constant functions or piecewise linear discontinuous functions. A priori error estimates are derived for the state, co-state and the control. Numerical examples are given to show the efficiency of the characteristic finite element method.     

A two‐level finite element method for the stationary Navier‐Stokes equations based on a stabilized local projection

In this article, we propose a two‐level finite element method to analyze the approximate solutions of the stationary Navier‐Stokes equations based on a stabilized local projection. The local projection allows to circumvent the Babuska‐Brezzi condition by using equal‐order finite element pairs. The local projection can be used to stabilize high equal‐order finite element pairs. The proposed method combines the local projection stabilization method and the two‐level method under the assumption of the uniqueness condition. The two‐level method consists of solving a nonlinear equation on the coarse mesh and solving a linear equation on fine mesh. The nonlinear equation is solved by the one‐step Newtonian iteration method. In the rest of this article, we show the error analysis of the lowest equal‐order finite element pair and provide convergence rate of approximate solutions. Furthermore, the numerical illustrations coincide with the theoretical analysis expectations. From the view of computational time, the results show that the two‐level method is effective to solve the stationary Navier‐Stokes equations. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2011     

Convergence analysis of the FEM approximation of the first order projection method for incompressible flows with and without the inf-sup condition

In this paper we obtain convergence results for the fully discrete projection method for the numerical approximation of the incompressible Navier–Stokes equations using a finite element approximation for the space discretization. We consider two situations. In the first one, the analysis relies on the satisfaction of the inf-sup condition for the velocity-pressure finite element spaces. After that, we study a fully discrete fractional step method using a Poisson equation for the pressure. In this case the velocity-pressure interpolations do not need to accomplish the inf-sup condition and in fact we consider the case in which equal velocity-pressure interpolation is used. Optimal convergence results in time and space have been obtained in both cases.     

Error estimates for a mixed finite element discretization of some degenerate parabolic equations

We consider a numerical scheme for a class of degenerate parabolic equations, including both slow and fast diffusion cases. A particular example in this sense is the Richards equation modeling the flow in porous media. The numerical scheme is based on the mixed finite element method (MFEM) in space, and is of one step implicit in time. The lowest order Raviart–Thomas elements are used. Here we extend the results in Radu et al. (SIAM J Numer Anal 42:1452–1478, 2004), Schneid et al. (Numer Math 98:353–370, 2004) to a more general framework, by allowing for both types of degeneracies. We derive error estimates in terms of the discretization parameters and show the convergence of the scheme. The features of the MFEM, especially of the lowest order Raviart–Thomas elements, are now fully exploited in the proof of the convergence. The paper is concluded by numerical examples.     

Expanded mixed finite element methods for the problem of purely longitudinal motion of a homogeneous bar

In this paper, expanded mixed finite element methods for the initial-boundary-value problem of purely longitudinal motion equation of a homogeneous bar are proposed and analyzed. Optimal error estimates for the approximations of displacement in L² norm and stress in H¹ norm are obtained.     

Spectral element methods for parabolic problems

A spectral element method for solving parabolic initial boundary value problems on smooth domains using parallel computers is presented in this paper. The space domain is divided into a number of shape regular quadrilaterals of size h and the time step k   is proportional to h²$h^2$. At each time step we minimize a functional which is the sum of the squares of the residuals in the partial differential equation, initial condition and boundary condition in different Sobolev norms and a term which measures the jump in the function and its derivatives across inter-element boundaries in certain Sobolev norms. The Sobolev spaces used are of different orders in space and time. We can define a preconditioner for the minimization problem which allows the problem to decouple. Error estimates are obtained for both the h and p versions of this method.     

High order compact Alternating Direction Implicit method for the generalized sine-Gordon equation

High order compact Alternating Direction Implicit scheme is given for solving the generalized sine-Gordon equation in a two-dimensional rectangular domain. We apply the compact finite difference operators to obtain a fourth order discretization for the second order space derivatives, and we give a linearized three time level algorithm for solving the original nonlinear equation. Error estimate is given by the energy method. Numerical results are provided to verify the accuracy and efficiency of this algorithm.     

A stabilized mixed finite element method for the biharmonic equation based on biorthogonal systems

We propose a stabilized finite element method for the approximation of the biharmonic equation with a clamped boundary condition. The mixed formulation of the biharmonic equation is obtained by introducing the gradient of the solution and a Lagrange multiplier as new unknowns. Working with a pair of bases forming a biorthogonal system, we can easily eliminate the gradient of the solution and the Lagrange multiplier from the saddle point system leading to a positive definite formulation. Using a superconvergence property of a gradient recovery operator, we prove an optimal a priori estimate for the finite element discretization for a class of meshes.     

A priori and a posteriori error analyses in the study of viscoelastic problems

In this work, the numerical approximation of a viscoelastic problem is studied. A fully discrete scheme is introduced by using the finite element method to approximate the spatial variable and an Euler scheme to discretize time derivatives. Then, two numerical analyses are presented. First, a priori estimates are proved from which the linear convergence of the algorithm is derived under suitable regularity conditions. Secondly, an a posteriori error analysis is provided extending some preliminary results obtained in the study of the heat equation. Upper and lower error bounds are obtained.