A non‐standard finite difference scheme for an advection‐diffusion‐reaction equation

In this note, a non‐standard finite difference (NSFD) scheme is proposed for an advection‐diffusion‐reaction equation with nonlinear reaction term. We first study the diffusion‐free case of this equation, that is, an advection‐reaction equation. Two exact finite difference schemes are constructed for the advection‐reaction equation by the method of characteristics. As these exact schemes are complicated and are not convenient to use, an NSFD scheme is derived from the exact scheme. Then, the NSFD scheme for the advection‐reaction equation is combined with a finite difference space‐approximation of the diffusion term to provide a NSFD scheme for the advection‐diffusion‐reaction equation. This new scheme could preserve the fixed points, the positivity, and the boundedness of the solution of the original equation. Numerical experiments verify the validity of our analytical results. Copyright © 2014 JohnWiley & Sons, Ltd.     

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.     

Rational approximations of trigonometric matrices with application to second-order systems of differential equations

We consider the direct treatment of the second-order system of equations y” (t)+ Ay(t) = tf;(t), such as might arise in finite-element or finite-difference semidiscretizations of the wave equation. We develop the exact solution and some three-term recurrences involving trigonometric matrices. We approximate these trigonometric matrices by rational approximants of Padé type and thus develop a two-parameter family of approximation schemes. We analyze the stability behavior and computational complexity of members of this family and isolate four schemes for numerical experimentation, the results of which we tabulate. We single out as particularly effective the classical Stormer-Numerov method and also a new sixth-order scheme.     

解三维抛物型方程的一个高精度显式差分格式

提出了求解三维抛物型方程的一个高精度显式差分格式.首先,推导了一个特殊节点处一阶偏导数(■u)/(■/t)的一个差分近似表达式,利用待定系数法构造了一个显式差分格式,通过选取适当的参数使格式的截断误差在空间层上达到了四阶精度和在时间层上达到了三阶精度.然后,利用Fourier分析法证明了当r1/6时,差分格式是稳定的.最后,通过数值试验比较了差分格式的解与精确解的区别,结果说明了差分格式的有效性.     

Numerical solutions for convection–diffusion equation using El-Gendi method

The method of El-Gendi [El-Gendi SE. Chebyshev solution of differential integral and integro-differential equations. J Comput 1969;12:282–7; Mihaila B, Mihaila I. Numerical approximation using Chebyshev polynomial expansions: El-gendi’s method revisited. J Phys A Math Gen 2002;35:731–46] is presented with interface points to deal with linear and non-linear convection–diffusion equations.The linear problem is reduced to two systems of ordinary differential equations. And, then, each system is solved using three-level time scheme.The non-linear problem is reduced to three systems of ordinary differential. Each one of these systems is, then, solved using three-level time scheme. Numerical results for Burgers’ equation and modified Burgers’ equation are shown and compared with other methods. The numerical results are found to be in good agreement with the exact solutions.     

L_2逼近高精度格式的基本原理及其应用

１．引言 最近十年来出现各种各样的高精度差分格式用于求解微分方程．其中最重要的是 Ｌｅｌｅ［１］,付德熏［２］和刘秋生［３］等的工作．这些方法的共同点是它们与求解的方程无关．所得的解只在离散点上满足方程．为提高解的分辨率必需增加离散点的数量．正由于第一个特性,这些高精度差分格式在求解各种不同类型的微分方程时并不总是有效的．特别是当解有间断或急剧变化时,求解时达不到预期的精度或出现不合理的振荡．此外,这些方法的另一个重要的缺点是由于边界点上高精度格式难于构造,故在边界点上需要采用较低精度的差分格式,…     

L_2逼近高精度格式的基本原理及其应用

In the present paper, a new numerical method: L_2 approximation high accurate scheme is developed. The solution obtained by using this method satisfies not only at the discrete points, but also approximates to the exact solution in the total region. The basic principle is introduced and this method is used to solve some problems. The results show its high accuracy, high resolution and other advantages.     

Finite Difference/Collocation Method for Two-Dimensional Sub-Diffusion Equation with Generalized Time Fractional Derivative

In this paper, we propose a finite difference/collocation method for two-dimensional time fractional diffusion equation with generalized fractional operator. The main purpose of this paper is to design a high order numerical scheme for the new generalized time fractional diffusion equation. First, a finite difference approximation formula is derived for the generalized time fractional derivative, which is verified with order $2-\alpha$ $(0<\alpha<1)$. Then, collocation method is introduced for the two-dimensional space approximation. Unconditional stability of the scheme is proved. To make the method more efficient, the alternating direction implicit method is introduced to reduce the computational cost. At last, numerical experiments are carried out to verify the effectiveness of the scheme.     

A fully polynomial bicriteria approximation scheme for the constrained spanning tree problem

We propose a fully polynomial bicriteria approximation scheme for the constrained spanning tree problem. First, an exact pseudo-polynomial algorithm is developed based on a two-variable extension of the well-known matrix-tree theorem. The scaling and approximate binary search techniques are then utilized to yield a fully polynomial approximation scheme.     

A numerical scheme for multi-point special boundary-value problems and application to fluid flow through porous layers

In this paper we propose a numerical scheme based on finite differences for the numerical solution of nonlinear multi-point boundary-value problems over adjacent domains. In each subdomain the solution is governed by a different equation. The solutions are required to be smooth across the interface nodes. The approach is based on using finite difference approximation of the derivatives at the interface nodes. Smoothness across the interface nodes is imposed to produce an algebraic system of nonlinear equations. A modified multi-dimensional Newton’s method is proposed for solving the nonlinear system. The accuracy of the proposed scheme is validated by examples whose exact solutions are known. The proposed scheme is applied to solve for the velocity profile of fluid flow through multilayer porous media.     

A Branch-and-Bound Based Method for Solving Monotone Optimization Problems

Monotone optimization problems are an important class of global optimization problems with various applications. In this paper, we propose a new exact method for monotone optimization problems. The method is of branch-and-bound framework that combines three basic strategies: partition, convexification and local search. The partition scheme is used to construct a union of subboxes that covers the boundary of the feasible region. The convexification outer approximation is then applied to each subbox to obtain an upper bound of the objective function on the subbox. The performance of the method can be further improved by incorporating the method with local search procedure. Illustrative examples describe how the method works. Computational results for small randomly generated problems are reported. Dedicated to Professor Alex Rubinov on the occasion of his 65th birthday. The authors appreciate very much the discussions with Professor Alex Rubinov and his suggestion of using local search. Research supported by the National Natural Science Foundation of China under Grants 10571116 and 10261001, and Guangxi University Scientific Research Foundation (No. X051022).     

Closed Form Solution and Equivalent Equation Approximation of Linear Advection by a Non Dissipative Second Order Scheme for Step Initial Conditions

We analyse the solution of the linear advection equation on a uniform mesh by a non dissipative second order scheme for discontinuous initial condition. These schemes are known to generate parasitic oscillations in the vicinity of the discontinuity. An approximate way to predict these oscillations is provided by the equivalent equation method. More specifically, we focus on the case of advection of a step function by the leapfrog scheme. Numerical experiments show that the equivalent equation method fails to reproduce the oscillations generated by the scheme far from the discontinuity. Thus, we derive closed form exact and approximate solutions for the scheme that accurately predict these oscillations. We study the relationship between equivalent equation approximation and exact solution for the scheme, to determine its range of validity.     

Error estimates for a stabilized finite element method for the Oldroyd B model

In this paper, we study a new approximation scheme of transient viscoelastic fluid flow obeying an Oldroyd-B-type constitutive equation. The new stabilized formulation bases on the choice of a modified Euler method connected to the streamline upwinding Petrov-Galerkin (SUPG) method [M. Bensaada, D. Esselaoui, D. Sandri, Stabilization method for continuous approximation of transient convection problem, Numer. Methods Partial Differential Equations 21 (2004) 170-189], in order to stabilize the tensorial transport term of the Oldroyd derivative. Suppose that the continuous problem admits a sufficiently smooth and sufficiently small solution. A priori error estimates for the approximation in terms of the mesh parameter h and the time discretization parameter Δt are derived.     

ID-WAVELETS METHOD FOR HAMMERSTEIN INTEGRAL EQUATIONS

1.IntroductionInthispaperwewillconsiderthenumericalsolutionsofthenon--linearintegralequationsofHammersteintype:wheref,kandgaregivenfunctionandyistheunknown.TherehasbeenmuchinterestinthisproblemsinceHammersteinintegralequations,whichcamefromtheelectromagneticfluiddynamics,yieldsstrongphysicalbackground.Moreover,theFredholmintegralequationsofsecondkindarethespecialcaseoftheHammersteinintegralequations.In[6,p.700]thestandardcollocationmethodisappliedtoobtaintheapproximationsolutionofEq.(1).Int…     

A meshless method for Burgers’ equation using MQ-RBF and high-order temporal approximation

In this paper, a new numerical method is proposed to solve one-dimensional Burgers’ equation using multiquadric (MQ) radial basis function (RBF) for spatial approximation and a second-order compact finite difference scheme for temporal approximation. The numerical results obtained by this way for different Reynolds number have been compared with the existing numerical schemes to show the accuracy and efficiency of the approach. To show the superiority of this meshless method, numerical experiments with non-uniform MQ interpolation node distribution are also performed.     

A finite element lumped mass scheme for solving eigenvalue problems of circular arches

Summary In this paper, we present a finite element lumped mass scheme for eigenvalue problems of circular arch structures, and give error estimates for the approximation. They assert that approximate eigenvalues and eigenfuctions converge to the exact ones. Some numerical examples are also given to illustrate our results.     

A new approximation for the generalized fractional derivative and its application to generalized fractional diffusion equation

In this paper, we derive a fourth order approximation for the generalized fractional derivative that is characterized by a scale function z(t) and a weight function w(t) . Combining the new approximation with compact finite difference method, we develop a numerical scheme for a generalized fractional diffusion problem. The stability and convergence of the numerical scheme are proved by the energy method, and it is shown that the temporal and spatial convergence orders are both 4. Several numerical experiments are provided to illustrate the efficiency of our scheme.     

再生核空间中求解带有积分边界条件的半线性热传导方程

该文给出了一个新的方法来求解带有积分边界条件的半线性热传导方程.方程的精确解以级数的形式在再生核空间中给出.证明了精确解的n项逼近是收敛于精确解的.同时给出了一些算例说明了这个方法的有效性.     

Novel numerical techniques for the finite moment log stable computational model for European call option

Option pricing models are often used to describe the dynamic characteristics of prices in financial markets. Unlike the classical Black–Scholes (BS) model, the finite moment log stable (FMLS) model can explain large movements of prices during small time steps. In the FMLS, the second-order spatial derivative of the BS model is replaced by a fractional operator of order α which generates an α-stable Lévy process. In this paper, we consider the finite difference method to approximate the FMLS model. We present two numerical schemes for this approximation: the implicit numerical scheme and the Crank–Nicolson scheme. We carry out convergence and stability analyses for the proposed schemes. Since the fractional operator routinely generates dense matrices which often require high computational cost and storage memory, we explore three methods for solving the approximation schemes: the Gaussian elimination method, the bi-conjugate gradient stabilized method (Bi-CGSTAB) and the fast Bi-CGSTAB (FBi-CGSTAB) in order to compare the cost of calculations. Finally, two numerical examples with exact solutions are presented where we also use extrapolation techniques to achieve higher-order convergence. The results suggest that the proposed schemes are unconditionally stable and convergent, and the FMLS model is useful for pricing options.     

Efficient Mittag-Leffler Collocation Method for Solving Linear and Nonlinear Fractional Differential Equations

In this paper, a new approximation method for fractional differential equations based on Mittag-Leffler function is developed. Finite Mittag-Leffler function and its fractional-order derivatives are investigated. An efficient technique for solving linear and nonlinear fractional order differential equations is developed. The proposed method combines Mittag-Leffler collocation method and optimization technique. Error estimation of the approximation is stated and proved. We present numerical results and comparisons of previous treatments to demonstrate the efficiency and applicability of the proposed method. Making use of small number of unknowns, the resulting solution converges to the exact one in the linear case and it has a very small error in the nonlinear case.