ANALYSIS ON A NUMERICAL SCHEME WITH SECOND-ORDER TIME ACCURACY FOR NONLINEAR DIFFUSION EQUATIONS

A nonlinear fully implicit finite difference scheme with second-order time evolution for nonlinear diffusion problem is studied.The scheme is constructed with two-layer coupled discretization (TLCD) at each time step.It does not stir numerical oscillation,while per-mits large time step length,and produces more accurate numerical solutions than the other two well-known second-order time evolution nonlinear schemes,the Crank-Nicolson (CN)scheme and the backward difference formula second-order (BDF2) scheme.By developing a new reasoning technique,we overcome the difficulties caused by the coupled nonlinear discrete diffusion operators at different time layers,and prove rigorously the TLCD scheme is uniquely solvable,unconditionally stable,and has second-order convergence in both s-pace and time.Numerical tests verify the theoretical results,and illustrate its superiority over the CN and BDF2 schemes.     

Convergence of Extrapolated BDF2 Finite Element Schemes for Unsteady Penetrative Convection Model

Extrapolated two-step backward difference (BDF2) in time and finite element in space discretization for the unsteady penetrative convection model is analyzed. Penetrative convection model employs a nonlinear equation of state making the problem more nonlinear. Optimal order error estimates are derived for the semi-discrete finite element spatial discretization. Two time discretization schemes based on linear extrapolation are proposed and analyzed, namely a coupled and a decoupled scheme. In particular, we show that although both schemes are unconditionally nonlinearly stable, the decoupled scheme converges unconditionally whereas coupled scheme requires that the time step be sufficiently small for convergence. These time discretization schemes can be implemented efficiently in practice, saving computational memory. Numerical computations and numerical convergence checks are presented to demonstrate the efficiency and the accuracy of the schemes.     

An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

In this paper, an implicit‐explicit two‐step backward differentiation formula (IMEX‐BDF2) together with finite difference compact scheme is developed for the numerical pricing of European and American options whose asset price dynamics follow the regime‐switching jump‐diffusion process. It is shown that IMEX‐BDF2 method for solving this system of coupled partial integro‐differential equations is stable with the second‐order accuracy in time. On the basis of IMEX‐BDF2 time semi‐discrete method, we derive a fourth‐order compact (FOC) finite difference scheme for spatial discretization. Since the payoff function of the option at the strike price is not differentiable, the results show only second‐order accuracy in space. To remedy this, a local mesh refinement strategy is used near the strike price so that the accuracy achieves fourth order. Numerical results illustrate the effectiveness of the proposed method for European and American options under regime‐switching jump‐diffusion models.     

基于Maxwell模型的线性粘弹性波传导问题的半离散/全离散杂交应力有限元法

1引言设ΩСR²为一个凸的有界开集,边界为ЭΩ;T为一个正常数.我们考虑如下基于Maxwell模型的二维粘弹性固体介质波传导问题。     

Approximation of weak adjoints by reverse automatic differentiation of BDF methods

We shed light on the relation between the discrete adjoints of multistep backward differentiation formula (BDF) methods and the solution of the adjoint differential equation. To this end, we develop a functional-analytic framework based on a constrained variational problem and introduce the notion of weak adjoint solutions of ordinary differential equations. We devise a Petrov-Galerkin finite element (FE) interpretation of the BDF method and its discrete adjoint scheme obtained by reverse internal numerical differentiation. We show how the FE approximation of the weak adjoint is computed by the discrete adjoint scheme and prove its convergence in the space of normalized functions of bounded variation. We also show convergence of the discrete adjoints to the classical adjoints on the inner time interval. Finally, we give numerical results for non-adaptive and fully adaptive BDF schemes. The presented framework opens the way to carry over techniques on global error estimation from FE methods to BDF methods.     

Block preconditioning strategies for nonlinear viscous wave equations

In this paper, five block preconditioning strategies are proposed to solve a class of nonlinear viscous wave equations. Implicit time-integration techniques from low order to high order are considered exclusively including implicit Euler (IE1) method, backward differentiation formulas (BDF2, BDF3) as well as the Crank–Nicholson (CN2) scheme. The CN2 method demonstrates superior performance compared to the BDF2 scheme for the problems considered in this work. In addition, the third-order accurate BDF3 scheme is found to be the most efficient in terms of computational cost for a prescribed accuracy level. Moreover, the benefit of this scheme increases for tighter error tolerances.     

An Extrapolated Second Order Backward Difference Time-Stepping Scheme for the Magnetohydrodynamics System

In this article, we introduce a fully implicit, linearly extrapolated second-order backward difference time-stepping scheme for solving a time dependent non-homogeneous magnetohydrodynamic system for electrically conducting fluids. The extrapolated time-stepping scheme is used for time discretization and the mixed finite element method is used for spatial discretization. We first prove unconditional energetic stability without introducing an undesirable exponential Gronwall constant. Complete error analysis is provided without assuming any stability condition or restrictions on the time-step size. Numerical experiments are presented to confirm the theoretical convergence results and efficiency of the scheme.     

Fully Discrete Error Estimation by the Method of Lines for a Nonlinear Parabolic Problem

A posteriori error estimates for a nonlinear parabolic problem are introduced. A fully discrete scheme is studied. The space discretization is based on a concept of hierarchical finite element basis functions. The time discretization is done using singly implicit Runge-Kutta method (SIRK). The convergence of the effectivity index is proven.     

Spectral problems with mixed Dirichlet–Neumann boundary conditions: Isospectrality and beyond

In this study, an implicit semi-discrete higher order compact (HOC) scheme, with an averaged time discretization, has been presented for the numerical solution of unsteady two-dimensional (2D) Schrödinger equation. The scheme is second order accurate in time and fourth order accurate in space. The results of numerical experiments are presented, and are compared with analytical solutions and well established numerical results of some other finite difference schemes. In all cases, the present scheme produces highly accurate results with much better computational efficiency.     

EFFICIENT LINEAR SCHEMES WITH UNCONDITIONAL ENERGY STABILITY FOR THE PHASE FIELD MODEL OF SOLID-STATE DEWETTING PROBLEMS

In this paper, we study linearly first and second order in time, uniquely solvable and unconditionally energy stable numerical schemes to approximate the phase field model of solid-state dewetting problems based on the novel "scalar auxiliary variable" (SAV) approach, a new developed efficient and accurate method for a large class of gradient flows. The schemes are based on the first order Euler method and the second order backward differential formulas (BDF2) for time discretization, and finite element methods for space discretization. The proposed schemes are proved to be unconditionally stable and the discrete equations are uniquely solvable for all time steps. Various numerical experiments are presented to validate the stability and accuracy of the proposed schemes.     

一类抛物型变分不等式的有限元近似收敛估计

本文讨论了一类抛物型变分不等式的近似收敛问题．对有限元离散中引起较大误差的质量矩阵,采用了近似形式的集总质量矩阵来代替,时间项采用向后差分,得到了一个隐式的计算格式,证明了计算格式的收敛性及其收敛速度估计．文末给出了数值算例．     

Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise

This paper aims to investigate the numerical approximation of a general second order parabolic stochastic partial differential equation(SPDE) driven by multiplicative and additive noise. Our main interest is on such SPDEs where the nonlinear part is stronger than the linear part, usually called stochastic dominated transport equations. Most standard numerical schemes lose their good stability properties on such equations, including the current linear implicit Euler method. We discretize the SPDE in space by the finite element method and propose a novel scheme called stochastic Rosenbrock-type scheme for temporal discretization. Our scheme is based on the local linearization of the semi-discrete problem obtained after space discretization and is more appropriate for such equations. We provide a strong convergence of the new fully discrete scheme toward the exact solution for multiplicative and additive noise and obtain optimal rates of convergence. Numerical experiments to sustain our theoretical results are provided.     

On the stability at all times of linearly extrapolated BDF2 timestepping for multiphysics incompressible flow problems

We prove long‐time stability of linearly extrapolated BDF2 (BDF2LE) timestepping methods, together with finite element spatial discretizations, for incompressible Navier‐Stokes equations (NSE) and related multiphysics problems. For the NSE, Boussinesq, and magnetohydrodynamics schemes, we prove unconditional long time L² stability, provided external forces (and sources) are uniformly bounded in time. We also provide numerical experiments to compare stability of BDF2LE to linearly extrapolated Crank‐Nicolson scheme for NSE, and find that BDF2LE has better stability properties, particularly for smaller viscosity values. © 2016 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 999–1017, 2017     

Application of Rosenbrock-type methods to a constitutive model of polymeric material

The consistent application of the time-space discretization in the case of quasi-static structural problems based on constitutive equations of evolutionary type yields after the finite element discretization to a system of differential-algebraic-equations (DAE). In order to carry out the time discretization, time-adaptive Rosenbrock-type methods are applied to the DAE-system, which offer the possibility of a completely iteration-less procedure. This presentation shows the behavior of a new global finite element approach and compares it to the classical implicit (iterative) procedure. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Convergence analysis of a projection semi-implicit coupling scheme for fluid–structure interaction problems

In this paper, we provide a convergence analysis of a projection semi-implicit scheme for the simulation of fluid–structure systems involving an incompressible viscous fluid. The error analysis is performed on a fully discretized linear coupled problem: a finite element approximation and a semi-implicit time-stepping strategy are respectively used for space and time discretization. The fluid is described by the Stokes equations, the structure by the classical linear elastodynamics equations (linearized elasticity, plate or shell models) and all changes of geometry are neglected. We derive an error estimate in finite time and we prove that the time discretization error for the coupling scheme is at least ${\sqrt{\delta t}}In this paper, we provide a convergence analysis of a projection semi-implicit scheme for the simulation of fluid–structure systems involving an incompressible viscous fluid. The error analysis is performed on a fully discretized linear coupled problem: a finite element approximation and a semi-implicit time-stepping strategy are respectively used for space and time discretization. The fluid is described by the Stokes equations, the structure by the classical linear elastodynamics equations (linearized elasticity, plate or shell models) and all changes of geometry are neglected. We derive an error estimate in finite time and we prove that the time discretization error for the coupling scheme is at least ?{dt}{\sqrt{\delta t}}. Finally, some numerical experiments that confirm the theoretical analysis are presented.     

A monotone scheme for Hamilton–Jacobi equations via the nonstandard finite difference method

A usual way of approximating Hamilton–Jacobi equations is to couple space finite element discretization with time finite difference discretization. This classical approach leads to a severe restriction on the time step size for the scheme to be monotone. In this paper, we couple the finite element method with the nonstandard finite difference method, which is based on Mickens' rule of nonlocal approximation. The scheme obtained in this way is unconditionally monotone. The convergence of the new method is discussed and numerical results that support the theory are provided. Copyright © 2009 John Wiley & Sons, Ltd.     

Convergence analysis of a partial differential algebraic system from coupling a semiconductor model to a circuit model

We are interested in circuit simulation including distributed semiconductor models. The circuit itself is modeled by the modified nodal analysis. The stationary drift diffusion equations are used to describe the semiconductors. The complete system is then a partial differential-algebraic system. We discretize it first in space with finite elements and the Scharfetter-Gummel discretization. The resulting semi-discrete system can be analyzed as a differential-algebraic equation with properly stated leading term. We present topological index one criteria. They coincide with previous results for the non-discretized partial differential-algebraic equation. For the time discretization we use standard BDF methods (implicit Gear formulas). Finally we derive a convergence estimate for the whole partial differential-algebraic system close to equilibrium.     

Numerical results for the Klein‐Gordon equation in de Sitter spacetime

We consider the initial value problem for the Klein‐Gordon equation in de Sitter spacetime. We use the central difference scheme on the temporal discretization. We also discretize the spatial variable using the finite element method with implicit and the Crank‐Nicolson schemes for the numerical solution of the initial value problem. In order to show the accuracy for the results of the solutions, we also examine the finite difference methods. We observe that the numerical results obtained by using these methods are compatible.     

Low‐order stabilized finite element methods for the unsteady Stokes/Navier‐Stokes equations with friction boundary conditions

In this paper, we consider low‐order stabilized finite element methods for the unsteady Stokes/Navier‐Stokes equations with friction boundary conditions. The time discretization is based on the Euler implicit scheme, and the spatial discretization is based on the low‐order element (P₁−P₁ or P₁−P₀) for the approximation of the velocity and pressure. Moreover, some error estimates for the numerical solution of fully discrete stabilized finite element scheme are obtained. Finally, numerical experiments are performed to confirm our theoretical results.     

A second‐order ensemble method based on a blended backward differentiation formula timestepping scheme for time‐dependent Navier–Stokes equations

We present a second‐order ensemble method based on a blended three‐step backward differentiation formula (BDF) timestepping scheme to compute an ensemble of Navier–Stokes equations. Compared with the only existing second‐order ensemble method that combines the two‐step BDF timestepping scheme and a special explicit second‐order Adams–Bashforth treatment of the advection term, this method is more accurate with nominal increase in computational cost. We give comprehensive stability and error analysis for the method. Numerical examples are also provided to verify theoretical results and demonstrate the improved accuracy of the method. © 2016 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 34–61, 2017