Extrapolation method for Fredholm integral equations with non-smooth kernels

Summary This note analyses the methods of extrapolation from certain approximate solutions of integral equations whose kernels have lower degree smoothness. We show that in order to generate a global superconvergent approximation the extrapolation procedure must be applied to the iterated collocation solution rather than to the usual Nyström solution.     

Energy conserving,arbitrary order numerical solutions of theN-body problem

Summary In this paper an energy conserving modification of the well-known extrapolation methods for solving theN-body problem is presented. The method is compared with the most commonly used extrapolation methods. It appears that the presented modification yields a better approximation of the exact solution. Computer examples are given.     

On the extrapolation of Galerkin methods for parabolic problems

Summary The use of Richardson extrapolation in conjunction with several discrete-time Galerkin methods for the approximate solution of parabolic initialboundary value problems is investigated. It is shown that the extrapolation of certain two- and three-level Galerkin approximations which arep ^th order correct in time yields an improvement ofp orders of accuracy in time per extrapolation, wherep=1, 2. Both linear and quasilinear problems are considered.This research was supported in part by NSF Grant GP-36561.     

Automatic step size and order control in explicit one-step extrapolation methods

A general theory is presented for explicit one-step extrapolation methods for ordinary differential equations. The emphasis is placed on the efficient use of extrapolation processes of this type in practice. The choice of the optimal step size and the order at each grid point is made in the automatic mode with the minimum computational work per step being the guiding principle. This principle makes it possible to find a numerical solution in the minimal time. The efficiency of the automatic step size and order control is demonstrated using test problems for which the well-known GBS method was used.     

A study of Rosenbrock-type methods of high order

Summary This paper deals with the solution of nonlinear stiff ordinary differential equations. The methods derived here are of Rosenbrock-type. This has the advantage that they areA-stable (or stiffly stable) and nevertheless do not require the solution of nonlinear systems of equations. We derive methods of orders 5 and 6 which require one evaluation of the Jacobian and oneLU decomposition per step. We have written programs for these methods which use Richardson extrapolation for the step size control and give numerical results.     

Global extrapolation with a parallel splitting method

Extrapolation with a parallel splitting method is discussed. The parallel splitting method reduces a multidimensional problem into independent one-dimensional problems and can improve the convergence order of space variables to an order as high as the regularity of the solution permits. Therefore, in order to match the convergence order of the space variables, a high order method should also be used for the time integration. Second and third order extrapolation methods are used to improve the time convergence and it was found that the higher order extrapolation method can produce a more accurate solution than the lower order extrapolation method, but the convergence order of high order extrapolation may be less than the actual order of the extrapolation. We also try to show a fact that has not been studied in the literature, i.e. when the extrapolation is used, it may decrease the convergence of the space variables. The higher the order of the extrapolation method, the more it decreases the convergence of the space variables. The global extrapolation method also improves the parallel degree of the parallel splitting method. Numerical tests in the paper are done in a domain of a unit circle and a unit square.Supported by the Academy of Finland.     

Stability and accuracy of time-extrapolated ADI-FDTD methods for solving wave equations

Some recent work on the ADI-FDTD method for solving Maxwell's equations in 3-D have brought out the importance of extrapolation methods for the time stepping of wave equations. Such extrapolation methods have previously been used for the solution of ODEs. The present context (of wave equations) brings up two main questions which have not been addressed previously: (1) when will extrapolation in time of an unconditionally stable scheme for a wave equation again feature unconditional stability, and (2) how will the accuracy and computational efficiency depend on how frequently in time the extrapolations are carried out. We analyze these issues here.     

Optimum first and second order extrapolations of Successive Overrelaxation type methods for certain classes of matrices

This paper deals with the iterative solution of the linear systemx=Bx+c when its Jacobi matrixB is weakly 2-cyclic consistently ordered and has a complex eigenvalue spectrum which lies on a straight-line segment. The optimization problem of the following three methods is considered and solved: i) The extrapolation of the optimum Successive Overrelaxation (SOR) ii) The second order extrapolation of a good SOR and iii) The second order extrapolation of the Gauss-Seidel method. In addition a variant of the second order methods considered, suitable for the solution of the system even ifB isnot necessarily weakly 2-cyclic consistently ordered, is proposed. Finally a reference to a theoretical comparison of the various optimum methods in the paper is made and their asymptotic convergence factors for selected eigenvalue spectra are illustrated in a Table in support of the theory developed.     

Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation

We show that the performances of the finite difference method for double barrier option pricing can be strongly enhanced by applying both a repeated Richardson extrapolation technique and a mesh optimization procedure. In particular, first we construct a space mesh that is uniform and aligned with the discontinuity points of the solution being sought. This is accomplished by means of a suitable transformation of coordinates, which involves some parameters that are implicitly defined and whose existence and uniqueness is theoretically established. Then, a finite difference scheme employing repeated Richardson extrapolation in both space and time is developed. The overall approach exhibits high efficacy: barrier option prices can be computed with accuracy close to the machine precision in less than one second. The numerical simulations also reveal that the improvement over existing methods is due to the combination of the mesh optimization and the repeated Richardson extrapolation.

     

ASYMPTOTIC ERROR EXPANSIONS OF QUADRATIC SPLINE COLLOCATION SOLUTIONS FOR TWO-POINT BOUNDARY VALUE PROBLEMS

In this paper, we consider the following problem:The quadratic spline collocation, with uniform mesh and the mid-knot points are taken as the collocation points for this problem is considered. With some assumptions, we have proved that the solution of the quadratic spline collocation for the nonlinear problem can be written as a series expansions in integer powers of the mesh-size parameter. This gives us a construction method for using Richardson's extrapolation. When we have a set of approximate solution with different mesh-size parameter a solution with high accuracy can he obtained by Richardson's extrapolation.     

Calculation of stress intensity using multimesh extrapolation

This paper illustrates a technique described as “multimesh extrapolation” where a number of less detailed models are used to extrapolate to more accurate results. It is shown that modeling error can be predicted using multimesh extrapolation for cases where no theoretical solution exists. The multimesh extrapolation technique is demonstrated with the analysis of a fracture toughness test specimen having a theoretically infinite stress at the crack tip. A technique based on elastic strain energy is used in conjunction with the multimesh extrapolation technique to evaluate the applied stress intensity K_I for a compact tension specimen. As a result of this analysis, it is shown that the multimesh extrapolation technique can lead to excellent results which approach the theoretically correct solution.     

Poisson积分方程Galerkin解的外推法

本讨论Poisson积分方程Galerkin解的外推法，并给出了外推公式。     

流形上微分方程的算法

流形上微分方程的数值方法,是近十多年发展起来的、当前热门的数值方法．特别是所谓的的李群方法是在动力学问题的需求下诞生的,它能在弯曲的空间中进行离散化,根本不会出现‘违约问题’．人们将它应用到动力学方程模型等,取得了不少成果,应用前景看好．它的出现可以说是20世纪数值数学领域的新成就．本文主要介绍这一新的理论,并提出了许多急待解决的新的课题．     

Automatic step size and order control in implicit one-step extrapolation methods

A theory is presented for implicit one-step extrapolation methods for ordinary differential equations. The computational schemes used in such methods are based on the implicit Runge-Kutta methods. An efficient implementation of implicit extrapolation is based on the combined step size and order control. The emphasis is placed on calculating and controlling the global error of the numerical solution. The aim is to achieve the user-prescribed accuracy in an automatic mode (ignoring round-off errors). All the theoretical conclusions of this paper are supported by the numerical results obtained for test problems.     

Automatic step size and order control in one-step collocation methods with higher derivatives

On the basis of symmetric E-methods with higher derivatives having the convergence order four, six, or eight, implicit extrapolation schemes are constructed for the numerical solution of ordinary differential equations. The combined step size and order control used in these schemes implements an automatic global error control in the extrapolation E-methods, which makes it possible to solve differential problems in automatic mode up to the accuracy specified by the user (without taking into account round-off errors). The theory of adjoint and symmetric methods presented in this paper is an extension of the results that are well known for the conventional Runge-Kutta schemes to methods involving higher derivatives. Since the implicit extrapolation based on multi-stage Runge-Kutta methods can be very time consuming, special emphasis is made on the efficiency of calculations. All the theoretical conclusions of this paper are confirmed by the numerical results obtained for test problems.     

Old and new parameter choice rules for discrete ill-posed problems

Linear discrete ill-posed problems are difficult to solve numerically because their solution is very sensitive to perturbations, which may stem from errors in the data and from round-off errors introduced during the solution process. The computation of a meaningful approximate solution requires that the given problem be replaced by a nearby problem that is less sensitive to disturbances. This replacement is known as regularization. A regularization parameter determines how much the regularized problem differs from the original one. The proper choice of this parameter is important for the quality of the computed solution. This paper studies the performance of known and new approaches to choosing a suitable value of the regularization parameter for the truncated singular value decomposition method and for the LSQR iterative Krylov subspace method in the situation when no accurate estimate of the norm of the error in the data is available. The regularization parameter choice rules considered include several L-curve methods, Regińska’s method and a modification thereof, extrapolation methods, the quasi-optimality criterion, rules designed for use with LSQR, as well as hybrid methods.     

Moving frames and singularities of prolonged group actions

The prolongation of a transformation group to jet bundles forms the geometric foundation underlying Lie's theory of symmetry groups of differential equations, the theory of differential invariants, and the Cartan theory of moving frames. Recent developments in the moving frame theory have necessitated a detailed understanding of the geometry of prolonged transformation groups. This paper begins with a basic review of moving frames, and then focuses on the study of both regular and singular prolonged group orbits. Highlights include a corrected version of the basic stabilization theorem, a discussion of "totally singular points," and geometric and algebraic characterizations of totally singular submanifolds, which are those that admit no moving frame. In addition to applications to the method of moving frames, the paper includes a generalized Wronskian lemma for vector-valued functions, and methods for the solution to Lie determinant equations.     

An approach to the Gummel map by vector extrapolation methods

The numerical approximation of nonlinear partial differential equations requires the computation of large nonlinear systems, that are typically solved by iterative schemes. At each step of the iterative process, a large and sparse linear system has to be solved, and the amount of time elapsed per step grows with the dimensions of the problem. As a consequence, the convergence rate may become very slow, requiring massive cpu-time to compute the solution. In all such cases, it is important to improve the rate of convergence of the iterative scheme. This can be achieved, for instance, by vector extrapolation methods. In this work, we apply some vector extrapolation methods to the electronic device simulation to improve the rate of convergence of the family of Gummel decoupling algorithms. Furthermore, a different approach to the topological ε-algorithm is proposed and preliminary results are presented.     

Linearly implicit extrapolation methods for differential-algebraic systems

Summary We consider the numerical solution of implicit differential equations in which the solution derivative appears multiplied by a solution-dependent singular matrix. We study extrapolation methods based on two linearly implicit Euler discretizations. Their error behaviour is explained by perturbed asymptotic expansions.     

Solutions of Kadomtsev–Petviashvili equation with power law nonlinearity in 1+3 dimensions

This paper studies the solution of the Kadomtsev–Petviasvili equation with power law nonlinearity in 1+3 dimensions. The Lie symmetry approach as well as the extended tanh‐function and G′/G methods are used to carry out the analysis. Subsequently, the soliton solution is obtained for this equation with power law nonlinearity. Both topological as well as non‐topological solitons are obtained for this equation. Copyright © 2010 John Wiley & Sons, Ltd.