High-order one-step P-stable methods for the numerical integration of periodic initial value problems

Using Lobatto nodes, one-step methods of order six and eight have been obtained for the second-order differential equation y″ = f(x, y), y(x₀) = y₀, y′(x₀) = y′₀. The methods are shown to be P-stable. If

, then at each integration step a system of dimension 3s, 4s, respectively, has to be solved. The numerical results, for two problems, obtained by using these methods are given in the end.     

On time integration error estimation and adaptive time stepping in structural dynamics

In this paper we present two error estimators resp. indicators for the time integration in structural dynamics. Based on the equivalence between the standard Newmark scheme and a Galerkin formulation in time [1] for linear problems a global time integration error estimator based on duality [3] can also be derived for the Newmark scheme. This error estimator is compared to an error indicator based on a finite difference approach in time [2]. Finally an adaptive time stepping scheme using the global estimator and the local indicator is presented. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Galerkin-based multi-scale time integration for nonlinear structural dynamics

This paper deals with a GALERKIN-based multi-scale time integration of a viscoelastic rope model. Using HAMILTON's dynamical formulation, NEWTON's equation of motion as a second-order partial differential equation is transformed into two coupled first order partial differential equations in time. The considered finite viscoelastic deformations are described by means of a deformation-like internal variable determined by a first order ordinary differential equation in time. The corresponding multi-scale time-integration is based on a PETROV-GALERKIN approximation of all time evolution equations, leading to a new family of time stepping schemes with different accuracy orders in the state variables. The resulting nonlinear algebraic time evolution equations are solved by a multi-level NEWTON-RAPHSON method. Realizing this transient numerical simulation, we also demonstrates a parallelized solution of the viscous evolution equation in CUDA©. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Exponential operator splitting time integration for spectral methods

Pseudospectral spatial discretization by orthogonal polynomials and Strang splitting method for time integration are applied to second-order linear evolutionary PDEs. Before such a numerical integration can be used the original PDE is transformed into a suitable form. Trigonometric, Jacobi (and some of their special cases), generalized Laguerre and Hermite polynomials are considered. A double representation of a function (by coefficients of a polynomial expansion and by values at the nodes associated with a suitable quadrature formula) is used for numerical implementation so that it is possible to avoid calculations of matrix exponentials.     

High-order methods for parabolic problems

Error estimates valid for all t ? 0 for the semi-discrete Galerkin approximation of a parabolic mixed boundary-initial value problem are presented. The solution of the resulting system of ordinary differential equations by implicit Runge-Kutta formulae for arbitrarily high order of accuracy, are discussed. Strongly A-stable methods are found to be advantageous. Theoretical and experimental results for the solution of the resulting system of algebraic equations using a preconditioned outer iteration scheme are discussed. Even the inner linear algebraic equations are preferably solved by iteration.     

Actual time integration methods for elastic wave propagation analysis

For the simulation of the interaction of elastic waves in CFRP plates with inhomogeneities and defects the spectral finite element method (SEM) is under investigation. The SEM uses high-order shape functions which are composed of Lagrange polynomials with nodes at the Gauss-Lobatto quadrature (GLq) points. In this way we obtain a diagonal mass matrix which makes an explicit time scheme more efficient. In this paper we analyse how actual time integration methods perform in combination with the SEM. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Exponential splitting time integration for pseudospectral methods on moving meshes

Moving meshes are successfully used in many fields. Here we investigate how a recently proposed approach to combine the Strang splitting method for time integration with pseudospectral spatial discretization by orthogonal polynomials can be extended to include moving meshes. A double representation of a function (by coefficients of polynomial expansion and by values at the mesh nodes associated with a suitable quadrature formula) is an essential part of the numerical integration. Before numerical implementation the original PDE is transformed into a suitable form. The approach is illustrated on the linear heat transfer equation.     

High-order difference methods for waves in discontinuous media

Second-, fourth- and sixth-order one-step methods have been constructed for the solution of wave propagation problems. The method is based on the first-order system formulation of the wave equation, and uses a staggered grid both in space and time. The method is applied with good results to a problem with discontinuous coefficients without using any special procedure across the discontinuity. The behavior of the truncation error has been investigated for one-dimensional problems and stability criteria have been derived for one- and two-dimensional cases.     

Stability and accuracy of DQ-based step-by-step integration methods for structural dynamics

In this paper, a new DQ-based compact step-by-step integration method is proposed. Analytical proof of stability is presented. The method is unconditionally stable and not affected by algorithmic damping. Besides, sixth-order convergence can be achieved. A classical nonlinear model is studied as example application. Compared to other similar procedures, this new method provides accurate results, even if the step size is relatively large.     

Iterative operator-splitting methods with higher-order time integration methods and applications for parabolic partial differential equations

In this paper we design higher-order time integrators for systems of stiff ordinary differential equations. We combine implicit Runge–Kutta and BDF methods with iterative operator-splitting methods to obtain higher-order methods. The idea of decoupling each complicated operator in simpler operators with an adapted time scale allows to solve the problems more efficiently. We compare our new methods with the higher-order fractional-stepping Runge–Kutta methods, developed for stiff ordinary differential equations. The benefit is the individual handling of each operator with adapted standard higher-order time integrators. The methods are applied to equations for convection–diffusion reactions and we obtain higher-order results. Finally we discuss the applications of the iterative operator-splitting methods to multi-dimensional and multi-physical problems.     

Artificial time integration

Many recent algorithmic approaches involve the construction of a differential equation model for computational purposes, typically by introducing an artificial time variable. The actual computational model involves a discretization of the now time-dependent differential system, usually employing forward Euler. The resulting dynamics of such an algorithm is then a discrete dynamics, and it is expected to be “close enough” to the dynamics of the continuous system (which is typically easier to analyze) provided that small – hence many – time steps, or iterations, are taken. Indeed, recent papers in inverse problems and image processing routinely report results requiring thousands of iterations to converge. This makes one wonder if and how the computational modeling process can be improved to better reflect the actual properties sought. In this article we elaborate on several problem instances that illustrate the above observations. Algorithms may often lend themselves to a dual interpretation, in terms of a simply discretized differential equation with artificial time and in terms of a simple optimization algorithm; such a dual interpretation can be advantageous. We show how a broader computational modeling approach may possibly lead to algorithms with improved efficiency. AMS subject classification (2000)  65L05, 65M32, 65N21, 65N22, 65D18     

A parabolic acceleration time integration method for structural dynamics using quartic B-spline functions

In this paper, an explicit time integration method is proposed for structural dynamics using periodic quartic B-spline interpolation polynomial functions. In this way, at first, by use of quartic B-splines, the authors have proceeded to solve the differential equation of motion governing SDOF systems and later the proposed method has been generalized for MDOF systems. In the proposed approach, a straightforward formulation was derived in a fluent manner from the approximation of response of the system with B-spline basis. Because of using a quartic function, the system acceleration is approximated with a parabolic function. For the aforesaid method, a simple step-by-step algorithm was implemented and presented to calculate dynamic response of MDOF systems. The proposed method has appropriate convergence, accuracy and low time consumption. Accuracy and stability analyses have been done perfectly in this paper. The proposed method benefits from an extraordinary accuracy compared to the existing methods such as central difference, Runge–Kutta and even Duhamel integration method. The validity and effectiveness of the proposed method is demonstrated with four examples and the results of this method are compared with those from some of the existent numerical methods. The high accuracy and less time consumption are only two advantages of this method.     

High-order accurate implicit methods for barrier option pricing

This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on dividend-paying-stocks. Moreover, the barriers may be monitored either continuously or discretely. In addition to the high-order accuracy of the scheme, and the stretching effect of the coordinate transformation, the main feature of this approach lies on a probability-based optimal determination of boundary conditions. This leads to much faster and accurate results when compared with similar pricing approaches. The strength of the present scheme is particularly demonstrated in the valuation of discretely monitored barrier options where it yields values closest to those obtained from the only semi-analytical valuation methods available. The scheme is also applied to the analysis of Greeks data such as Delta and Gamma.     

High-order positivity-preserving hybrid finite-volume-finite-difference methods for chemotaxis systems

Chemotaxis refers to mechanisms by which cellular motion occurs in response to an external stimulus, usually a chemical one. Chemotaxis phenomenon plays an important role in bacteria/cell aggregation and pattern formation mechanisms, as well as in tumor growth. A common property of all chemotaxis systems is their ability to model a concentration phenomenon that mathematically results in rapid growth of solutions in small neighborhoods of concentration points/curves. The solutions may blow up or may exhibit a very singular, spiky behavior. There is consequently a need for accurate and computationally efficient numerical methods for the chemotaxis models. In this work, we develop and study novel high-order hybrid finite-volume-finite-difference schemes for the Patlak-Keller-Segel chemotaxis system and related models. We demonstrate high-accuracy, stability and computational efficiency of the proposed schemes in a number of numerical examples.     

High-order accurate difference potentials methods for parabolic problems

Highly-accurate numerical methods that can efficiently handle problems with interfaces and/or problems in domains with complex geometry are crucial for the resolution of different temporal and spatial scales in many problems from physics and biology. In this paper we continue the work started in [8], and we use modest one-dimensional parabolic problems as the initial step towards the development of high-order accurate methods based on the Difference Potentials approach. The designed methods are well-suited for variable coefficient parabolic models in heterogeneous media and/or models with non-matching interfaces and with non-matching grids. Numerical experiments are provided to illustrate high-order accuracy and efficiency of the developed schemes. While the method and analysis are simpler in the one-dimensional settings, they illustrate and test several important ideas and capabilities of the developed approach.     

High-order methods for elliptic equations with variable coefficients

In this article, we give a simple method for developing finite difference schemes on a uniform square gird. We consider a general, two-dimensional, second-order, partial differential equation with variable coefficients. In the case of a nine-point scheme, we obtain the known results of Young and Dauwalder in a fairly elegant fashion. We show how this can be extended to obtain fourth-order schemes on thirteen points. We derive two such schemes which are attractive because they can be adapted quite easily bnto obtain formulas for gird points near the boundary. In addition to this, these formulas only require nine evaluations for the typical forcing function. Numerical examples are given to demonstrate the performance of one of the fourth-order schemes.     

High-order splitting methods for separable non-autonomous parabolic equations

We consider the numerical integration of non-autonomous separable parabolic equations using high order splitting methods with complex coefficients (methods with real coefficients of order greater than two necessarily have negative coefficients). We propose to consider a class of methods that allows us to evaluate all time-dependent operators at real values of the time, leading to schemes which are stable and simple to implement. If the system can be considered as the perturbation of an exactly solvable problem and the flow of the dominant part is advanced using real coefficients, it is possible to build highly efficient methods for these problems. We show the performance of this class of methods on several numerical examples and present some new improved schemes.     

Extrapolation methods in numerical integration

Extrapolation methods have been used for many years for numerical integration. The most well-known of these methods is Romberg integration. A survey by Joyce on the use of extrapolation in numerical analysis appeared in 1971 in which a substantial portion is devoted to numerical integration. In this paper, we shall survey progress made in this field since 1971. The topics surveyed include partition-extrapolation methods for dealing with singular integrands, the work of Lyness and others in generating asymptotic expansions for the error functional in one and several dimensions, the work of de Doncker and others on adaptive extrapolation and the work of Sidi and others on the evaluation of highly oscillatory infinite integrals by extrapolation. Other extrapolation techniques will be mentioned briefly.