A generalized preconditioned HSS method for non-Hermitian positive definite linear systems

Based on the HSS (Hermitian and skew-Hermitian splitting) and preconditioned HSS methods, we will present a generalized preconditioned HSS method for the large sparse non-Hermitian positive definite linear system. Our method is essentially a two-parameter iteration which can extend the possibility to optimize the iterative process. The iterative sequence produced by our generalized preconditioned HSS method can be proven to be convergent to the unique solution of the linear system. An exact parameter region of convergence for the method is strictly proved. A minimum value for the upper bound of the iterative spectrum is derived, which is relevant to the eigensystem of the products formed by inverse preconditioner and splitting. An efficient preconditioner based on incremental unknowns is presented for the actual implementation of the new method. The optimality and efficiency are effectively testified by some comparisons with numerical results.     

A linear interpretation of the flag geometries of Chevalley groups

It is proven that the flag geometry of a Chevalley group can be derived from the flag geometry of its Weyl group by using a linear covering defined by the author. To prove this, the author regards elements of the Weyl group geometry as vectors of a Euclidean space in such a way that the incidence of vectors is defined by their scalar products.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 42, No. 3, pp. 383–387, March, 1990.     

Projection functions for particle-grid methods

Random walk particle methods (RWPM) can be used in operator splitting schemes to simulate reactive solute transport in porous media. Projection functions are used to transfer particle location and mass information to concentrations at selected spatial points. Because of the stochastic nature of RWPM, concentration estimates made from particle distributions include a “noisy” error component. In some cases of reactive or density-dependent flows, this type of error may be propagated forward in time. It can be reduced by using larger numbers of particles or by using different projection functions. The effects of using different projection functions or numbers of particles in different flow regimes or dimensions are explored using concentration solutions for a set of one-, two-, and three-dimensional nonreactive test problems. Resulting solutions are compared with analytic results and classical random walk error estimates. A piecewise linear projection function provides a reasonable improvement in accuracy over the more convenient box methods at a modest increase in cost. The support of the projection functions should be O(Δx) to avoid excessive smearing. Multidimensional projection functions may be advantageously formed by products of different one-dimensional projection functions.     

A preconditioned general modulus-based matrix splitting iteration method for linear complementarity problems of <Emphasis Type="Italic">H</Emphasis>-matrices

In this paper, we propose a preconditioned general modulus-based matrix splitting iteration method for solving modulus equations arising from linear complementarity problems. Its convergence theory is proved when the system matrix is an H₊-matrix, from which some new convergence conditions can be derived for the (general) modulus-based matrix splitting iteration methods. Numerical results further show that the proposed methods are superior to the existing methods.     

Efficient numerical methods for pricing American options under stochastic volatility

Five numerical methods for pricing American put options under Heston's stochastic volatility model are described and compared. The option prices are obtained as the solution of a two‐dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M‐matrices is proposed. The projected SOR, a projected multigrid method, an operator splitting method, a penalty method, and a componentwise splitting method are considered. The last one is a direct method while all other methods are iterative. The resulting systems of linear equations in the operator splitting method and in the penalty method are solved using a multigrid method. The projected multigrid method and the componentwise splitting method lead to a sequence of linear complementarity problems with one‐dimensional differential operators that are solved using the Brennan and Schwartz algorithm. The numerical experiments compare the accuracy and speed of the considered methods. The accuracies of all methods appear to be similar. Thus, the additional approximations made in the operator splitting method, in the penalty method, and in the componentwise splitting method do not increase the error essentially. The componentwise splitting method is the fastest one. All multigrid‐based methods have similar rapid grid independent convergence rates. They are about two or three times slower that the componentwise splitting method. On the coarsest grid the speed of the projected SOR is comparable with the multigrid methods while on finer grids it is several times slower. ©John Wiley & Sons, Inc. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

Operator splitting methods for pricing American options under stochastic volatility

We consider the numerical pricing of American options under Heston’s stochastic volatility model. The price is given by a linear complementarity problem with a two-dimensional parabolic partial differential operator. We propose operator splitting methods for performing time stepping after a finite difference space discretization. The idea is to decouple the treatment of the early exercise constraint and the solution of the system of linear equations into separate fractional time steps. With this approach an efficient numerical method can be chosen for solving the system of linear equations in the first fractional step before making a simple update to satisfy the early exercise constraint. Our analysis suggests that the Crank–Nicolson method and the operator splitting method based on it have the same asymptotic order of accuracy. The numerical experiments show that the operator splitting methods have comparable discretization errors. They also demonstrate the efficiency of the operator splitting methods when a multigrid method is used for solving the systems of linear equations.     

Curve Flows and Solitonic Hierarchies Generated by Einstein Metrics

We investigate bi-Hamiltonian structures and mKdV hierarchies of solitonic equations generated by (semi) Riemannian metrics and curve flows of non-stretching curves. There are applied methods of the geometry of nonholonomic manifolds enabled with metric-induced nonlinear connection (N-connection) structure. On spacetime manifolds, we consider a nonholonomic splitting of dimensions and define a new class of liner connections which are ‘N-adapted’, metric compatible and uniquely defined by the metric structure. We prove that for such a linear connection, one yields couples of generalized sine-Gordon equations when the corresponding geometric curve flows result in solitonic hierarchies described in explicit form by nonholonomic wave map equations and mKdV analogs of the Schrödinger map equation. All geometric constructions can be re-defined for the Levi-Civita connection but with “noholonomic mixing” of solitonic interactions. Finally, we speculate why certain methods and results from the geometry of nonholonmic manifolds and solitonic equations have general importance in various directions of modern mathematics, geometric mechanics, fundamental theories in physics and applications, and briefly analyze possible nonlinear wave configurations for modeling gravitational interactions by effective continuous media effects.     

On a type of matrix splitting preconditioners for a class of block two-by-two linear systems

Recently, Bai et al. (2013) proposed an effective and efficient matrix splitting iterative method, called preconditioned modified Hermitian/skew-Hermitian splitting (PMHSS) iteration method, for two-by-two block linear systems of equations. The eigenvalue distribution of the iterative matrix suggests that the splitting matrix could be advantageously used as a preconditioner. In this study, the CGNR method is utilized for solving the PMHSS preconditioned linear systems, and the performance of the method is considered by estimating the condition number of the normal equations. Furthermore, the proposed method is compared with other PMHSS preconditioned Krylov subspace methods by solving linear systems arising in complex partial differential equations and a distributed control problem. The numerical results demonstrate the difference in the performance of the methods under consideration.     

Splitting and conjoining objects in monotopological categories

Power-sets are defined for any concrete category (over Set) with finite concrete products, and their structure described for monotopological categories. These sets are used to define the notions of splitting object and of conjoining object. Characterizations of the existence of these objects in monotopological categories are given. It is proved that no proper monotopological category can be concretely cartesian closed. Most well-known monotopological categories with splitting objects are topological or are c-categories, but it is shown that there are many proper monotopological categories which are not c-categories, and yet have splitting objects, and may even be cartesian closed. One of the characterizations of the existence of splitting objects is used to prove that a monotopological category with splitting objects is cartesian closed iff the largest initial completion in which it is epireflective is cartesian closed iff its MacNeille completion is cartesian closed.     

Influence of material data input on accuracy of fatigue assessments for beam weldments

This numerical study investigates the effects of fatigue material data and finite element types on accuracy of residual life assessments under HCF conditions. The bending of cross-beam connections is simulated in ANSYS Workbench for three different combinations of beam profiles. The weldments are made of the high-strength steel grades C350LO and C450LO according to AS3678. The stress analysis of weldments is implemented with solid and shell elements using linear material and geometry consideration. The stress distributions are transferred to the embedded fatigue code nCode DesignLife. For both variants of FE-mesh, the nominal stress in the weld toes is extracted by splitting the total stress into membrane and bending components and filtering out non-linear component. Considering the effects of bending, size and mean stress, failure locations and fatigue life are predicted using the Volvo method and rules from ASME BPV Code. Three different pairs of experimental S-N curves (stiff and flexible) are used as material data input for fatigue analysis. The obtained numerical predictions are compared to the experimental results for shell FE-models. The predictions using the S-N curves for an equivalent steel demonstrate the best accuracy proving the fact that specific material data input is more effective than a generic data. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Symmetric spaces and Lie triple systems in numerical analysis of differential equations

A remarkable number of different numerical algorithms can be understood and analyzed using the concepts of symmetric spaces and Lie triple systems, which are well known in differential geometry from the study of spaces of constant curvature and their tangents. This theory can be used to unify a range of different topics, such as polar-type matrix decompositions, splitting methods for computation of the matrix exponential, composition of selfadjoint numerical integrators and dynamical systems with symmetries and reversing symmetries. The thread of this paper is the following: involutive automorphisms on groups induce a factorization at a group level, and a splitting at the algebra level. In this paper we will give an introduction to the mathematical theory behind these constructions, and review recent results. Furthermore, we present a new Yoshida-like technique, for self-adjoint numerical schemes, that allows to increase the order of preservation of symmetries by two units. The proposed techniques has the property that all the time-steps are positive.     

Multistep matrix splitting iteration preconditioning for singular linear systems

Multistep matrix splitting iterations serve as preconditioning for Krylov subspace methods for solving singular linear systems. The preconditioner is applied to the generalized minimal residual (GMRES) method and the flexible GMRES (FGMRES) method. We present theoretical and practical justifications for using this approach. Numerical experiments show that the multistep generalized shifted splitting (GSS) and Hermitian and skew-Hermitian splitting (HSS) iteration preconditioning are more robust and efficient compared to standard preconditioners for some test problems of large sparse singular linear systems.     

Application of the Galerkin method to the formulation of a three-dimensional nonlinear hydrodynamic numerical sea model

A mathematical formulation is presented for solving the three-dimensional nonlinear hydrodynamic equations, using the Galerkin method with an arbitrary set of basis functions.An explicit time splitting method is used to integrate these equations through time. The time splitting method is formulated in such a way that the advective terms, which are computationally expensive to evaluate, are integrated with a longer time step than the linear terms. The length of the time step used to integrate the linear terms is determined by the propagation speed of the gravity waves. The paper demonstrates that using this time splitting method an accurate and computationally economic solution of the full three-dimensional equations is possible.Numerical results are presented for the nonlinear seiche motion in a one-dimensional basin, and for the three-dimensional wind induced flow in a closed rectangular basin, using basis sets of cosine functions, Chebyshev polynomials and Gram-Schmidt orthogonalized polynomials.     

KP<Subscript>1</Subscript> acceleration scheme for inner iterations consistent with the weighted diamond differencing scheme for the transport equation in three-dimensional geometry

For the transport equation in three-dimensional (r, ?, z) geometry, a KP₁ acceleration scheme for inner iterations that is consistent with the weighted diamond differencing (WDD) scheme is constructed. The P ₁ system for accelerating corrections is solved by an algorithm based on the cyclic splitting method (SM) combined with Gaussian elimination as applied to auxiliary systems of two-point equations. No constraints are imposed on the choice of the weights in the WDD scheme, and the algorithm can be used, for example, in combination with an adaptive WDD scheme. For problems with periodic boundary conditions, the two-point systems of equations are solved by the cyclic through-computations method elimination. The influence exerted by the cycle step choice and the convergence criterion for SM iterations on the efficiency of the algorithm is analyzed. The algorithm is modified to threedimensional (x, y, z) geometry. Numerical examples are presented featuring the KP₁ scheme as applied to typical radiation transport problems in three-dimensional geometry, including those with an important role of scattering anisotropy. A reduction in the efficiency of the consistent KP₁ scheme in highly heterogeneous problems with dominant scattering in non-one-dimensional geometry is discussed. An approach is proposed for coping with this difficulty. It is based on improving the monotonicity of the difference scheme used to approximate the transport equation.     

A robust boundary element method for nearly incompressible linear elasticity

Summary. For a Dirichlet boundary value problem in linear elasticity we consider a boundary element method which is robust for nearly incompressible materials. Based on the spectral properties of the single layer potential for the Stokes problem we introduce an orthogonal splitting of the trial space. The resulting variational problem is then well conditioned and can be discretized by using standard boundary element methods. Mathematics Subject Classification (1991):65N38     

A sufficient condition of type (Ω) for tame splitting of short exact sequences of Fréchet spaces

In a previous paper, the quotient spaces of (s) in the tame category of nuclear Fréchet spaces have been characterized by property (ΩDZ) corresponding to the topological condition (Ω) of D. Vogt and M. J. Wagner. In addition, a splitting theorem has been proved which provides the existence of a tame linear right inverse of a tame linear map on the assumption that the kernel of the given map has property (ΩDZ) and that certain tameness conditions hold. In this paper it is proved that property (Ω) in standard form (i.e., the dual norms ‖ ‖ _n ^* are logarithmically convex) implies the tame splitting condition (ΩDZ) for any tamely nuclear Fréchet space equipped with a grading defined by sermiscalar products. As an application, property (ΩDZ) is verified for the kernels of any hypoelliptic system of linear partial differential operators with constant coefficients on ℝ^N or on a bounded convex region in ℝ^N.     

Local linear convergence analysis of Primal–Dual splitting methods

In this paper, we study the local linear convergence properties of a versatile class of Primal–Dual splitting methods for minimizing composite non-smooth convex optimization problems. Under the assumption that the non-smooth components of the problem are partly smooth relative to smooth manifolds, we present a unified local convergence analysis framework for these methods. More precisely, in our framework, we first show that (i) the sequences generated by Primal–Dual splitting methods identify a pair of primal and dual smooth manifolds in a finite number of iterations, and then (ii) enter a local linear convergence regime, which is characterized based on the structure of the underlying active smooth manifolds. We also show how our results for Primal–Dual splitting can be specialized to cover existing ones on Forward–Backward splitting and Douglas–Rachford splitting/ADMM (alternating direction methods of multipliers). Moreover, based on these obtained local convergence analysis result, several practical acceleration techniques are discussed. To exemplify the usefulness of the obtained result, we consider several concrete numerical experiments arising from fields including signal/image processing, inverse problems and machine learning. The demonstration not only verifies the local linear convergence behaviour of Primal–Dual splitting methods, but also the insights on how to accelerate them in practice.     

Subspace Arrangements Defined by Products of Linear Forms

The vanishing ideal of an arrangement of linear subspaces ina vector space is considered, and the paper investigates whenthis ideal can be generated by products of linear forms. A combinatorialconstruction (blocker duality) is introduced which yields suchgenerators in cases with a great deal of combinatorial structure,and examples are presented that inspired the work. A constructionis given which produces all elements of this type in the vanishingideal of the arrangement. This leads to an algorithm for decidingif the ideal is generated by products of linear forms. Genericarrangements of points in P² and lines in P³ are also considered.     

Splitting method for an inverse source problem in parabolic differential equations: Error analysis and applications

In this work, we present a numerical method based on a splitting algorithm to find the solution of an inverse source problem with the integral condition. The source term is reconstructed by using the specified data and by employing the Lie splitting method, we decompose the equation into linear and nonlinear parts. Each subproblem is solved by the Fourier transform and then by combining the solutions of subproblems, the solution of the original problem is computed. Moreover, the framework of strongly continuous semigroup (or C₀-semigroup) is employed in error analysis of operator splitting method for the inverse problem. The convergence of the proposed method is also investigated and proved. Finally, some numerical examples in one, two, and three-dimensional spaces are provided to confirm the efficiency and capability of our work compared with some other well-known methods.     

Respectively scaled HSS iteration methods for solving discretized spatial fractional diffusion equations

For the discrete linear systems resulted from the discretization of the one‐dimensional anisotropic spatial fractional diffusion equations of variable coefficients with the shifted finite‐difference formulas of the Grünwald–Letnikov type, we propose a class of respectively scaled Hermitian and skew‐Hermitian splitting iteration method and establish its asymptotic convergence theory. The corresponding induced matrix splitting preconditioner, through further replacements of the involved Toeplitz matrices with certain circulant matrices, leads to an economic variant that can be executed by fast Fourier transforms. Both theoretical analysis and numerical implementations show that this fast respectively scaled Hermitian and skew‐Hermitian splitting preconditioner can significantly improve the computational efficiency of the Krylov subspace iteration methods employed as effective linear solvers for the target discrete linear systems.