Nonlinear inversion of a band-limited Fourier transform

We consider the problem of reconstructing a compactly supported function with singularities either from values of its Fourier transform available only in a bounded interval or from a limited number of its Fourier coefficients. Our results are based on several observations and algorithms in [G. Beylkin, L. Monzón, On approximation of functions by exponential sums, Appl. Comput. Harmon. Anal. 19 (1) (2005) 17–48]. We avoid both the Gibbs phenomenon and the use of windows or filtering by constructing approximations to the available Fourier data via a short sum of decaying exponentials. Using these exponentials, we extrapolate the Fourier data to the whole real line and, on taking the inverse Fourier transform, obtain an efficient rational representation in the spatial domain. An important feature of this rational representation is that the positions of its poles indicate location of singularities of the function. We consider these representations in the absence of noise and discuss the impact of adding white noise to the Fourier data. We also compare our results with those obtained by other techniques. As an example of application, we consider our approach in the context of the kernel polynomial method for estimating density of states (eigenvalues) of Hermitian operators. We briefly consider the related problem of approximation by rational functions and provide numerical examples using our approach.     

Sobolev smoothing of SVD-based Fourier continuations

A method for calculating Sobolev smoothed Fourier continuations is presented. The method is based on the recently introduced singular value decomposition based Fourier continuation approach. This approach allows for highly accurate Fourier series approximations of non-periodic functions. These super-algebraically convergent approximations can be highly oscillatory in an extended region, contaminating the Fourier coefficients. It is shown that through solving a subsequent least squares problem, a Fourier continuation can be produced which has been dramatically smoothed in that the Fourier coefficients exhibit a prescribed rate of decay as the wave number increases. While the smoothing procedure has no significant negative effect on the accuracy of the Fourier series approximation, in some situations the smoothed continuations can actually yield increased accuracy in the approximation of the function and its derivatives.     

Bessel transforms and rational extrapolation

Summary A numerical method is developed which handles the Bessel transform of functions having slow rates of decrease. The method replaces the Bessel transform by a related damped transform for which the sinc quadrature rule provides an efficient and accurate approximation. It is then shown that the value of the original Bessel transform can be obtained from the damped transform by extrapolation with the Thiele algorithm.     

Numerical stability of nonequispaced fast Fourier transforms

This paper presents some new results on numerical stability for multivariate fast Fourier transform of nonequispaced data (NFFT). In contrast to fast Fourier transform (of equispaced data), the NFFT is an approximate algorithm. In a worst case study, we show that both approximation error and roundoff error have a strong influence on the numerical stability of NFFT. Numerical tests confirm the theoretical estimates of numerical stability.     

Method of Local Peak Functions for Reconstructing the Original Profile in the Fourier Transformation

We propose a method for reconstructing the original profile function in the one-dimensional Fourier transformation from the module of the Fourier transform function analytically. The major concept of the method consists in representing the modeling profile function as a sum of local peak functions. The latter are chosen as eigenfunctions generated by linear differential equations with polynomial coefficients. This allows directly inverting the Fourier transformation without numerical integration. The solution of the inverse problem thus reduces to a nonlinear regression with a small number of optimizing parameters and to a numerical or asymptotic study of the corresponding modeling peak functions taken as the eigenfunctions of the differential equations and their Fourier transforms.     

Further spectral properties of the weighted finite Fourier transform operator and approximation in weighted Sobolev spaces

In this work, we first give some mathematical preliminaries concerning the generalized prolate spheroidal wave function (GPSWF). This set of special functions have been defined as the infinite and countable set of the eigenfunctions of a weighted finite Fourier transform operator. Then, we show that the set of the singular values of this operator has a super‐exponential decay rate. We also give some local estimates and bounds of these GPSWFs. As an application of the spectral properties of the GPSWFs and their associated eigenvalues, we give their quality of approximation in a weighted Sobolev space. Finally, we provide the reader with some numerical examples that illustrate the different results of this work.     

A new analytical approximation for European puts with stochastic volatility

In this paper, we apply singular perturbation techniques to price European puts with a stochastic volatility model, and derive a simple and elegant analytical formula as an approximation for the value of European put options. In contrast to the existing Heston’s semi-analytical formula, this approximation has the following unique feature: the latter only involves the standard normal distribution function, which is as fast and easy to implement as the Black–Scholes formula; whereas the former requires the evaluation of a logarithm with a complex argument during the involved Fourier inverse transform, which may sometimes result in numerical instability. Various numerical experiments suggest that our new formula can achieve a high order of accuracy for a large class of option derivatives with relatively short tenor.     

一种求解修正的Helmholtz方程Cauchy问题的数值方法

本文研究了无界带形区域Ω={(x,y)|0相似文献   

A numerical method for one-dimensional diffusion problem using Fourier transform and the B-spline Galerkin method

This paper deals with the diffusion transport equation in one dimensional space. The B-spline Galerkin approximation method together with the Fourier transform and Gauss-Hermite quadrature are proposed to compute approximate solution. We give some theoretical results such as existence and uniqueness of the solution and an upper error bound estimates. We also give some numerical examples to illustrate the effectiveness of a such method.     

Band-limited signal extrapolation by truncated Bernstein polynomials

An algorithm is given for everywhere extrapolating a band-limited signal known only on an interval of arbitrary finite length. The scheme utilizes a finite number of equally spaced samples of the given function and provides a time-limited polynomial approximation. The approximation functions are shown to converge everywhere pointwise and uniformly in any compact interval to the band-limited signal. When the original band-limited signal is also Lebesgue integrable it is also established that the Fourier transform of the approximating signal converges uniformly to the Fourier transform of the original signal.     

Effective numerical evaluation of the double Hilbert transform

In this paper, we propose two methods to compute the double Hilbert transform of periodic functions. First, we establish the quadratic formula of trigonometric interpolation type for double Hilbert transform and obtain an estimation of the remainder. We call this method 2D mechanical quadrature method (2D-MQM). Numerical experiments show that 2D-MQM outperforms the library function “hilbert” in Matlab when the values of the functions being handled are very large or approach to infinity. Second, we propose a complex analytic method to calculate the double Hilbert transform, which is based on the 2D adaptive Fourier decomposition, and the method is called as 2D-HAFD. In contrast to the pointwise approximation, 2D-HAFD provides explicit rational functional approximations and is valid for all signals of finite energy.     

Reproducing kernel approximation in weighted Bergman spaces: Algorithm and applications

In this paper, we present algorithms of preorthogonal adaptive Fourier decomposition (POAFD) in weighted Bergman spaces. POAFD, as has been studied, gives rise to sparse approximations as linear combinations of the corresponding reproducing kernels. It is found that POAFD is unavailable in some weighted Hardy spaces that do not enjoy the boundary vanishing condition; as a result, the maximal selections of the parameters are not guaranteed. We overcome this difficulty with two strategies. One is to utilize the shift operator while the other is to perform weak POAFD. In the cases when the reproducing kernels are rational functions, POAFD provides rational approximations. This approximation method may be used to 1D signal processing. It is, in particular, effective to some Hardy H^p space functions for p not being equal to 2. Weighted Bergman spaces approximation may be used in system identification of discrete time‐varying systems. The promising effectiveness of the POAFD method in weighted Bergman spaces is confirmed by a set of experiments. A sequence of functions as models of the weighted Hardy spaces, being a wider class than the weighted Bergman spaces, are given, of which some are used to illustrate the algorithm and to evaluate its effectiveness over other Fourier type methods.     

A numerical approximation method for solving a three-dimensional space Galilei invariant fractional advection-diffusion equation

In this paper, a numerical approximation method for solving a three-dimensional space Galilei invariant fractional advection diffusion equation is presented. The convergence and stability of the numerical approximation method are discussed by a new technique of Fourier analysis. The solvability of the numerical approximation method also is analyzed. Finally, applying Richardson extrapolation technique, a high-accuracy algorithm is structured and the numerical example demonstrated the theoretical results.     

A wavelets method for plane elasticity problem

A Neumann boundary value problem of plane elasticity problem in the exterior circular domain is reduced into an equivalent natural boundary integral equation and a Poisson integral formula with the DtN method. Using the trigonometric wavelets and Galerkin method, we obtain a fast numerical method for the natural boundary integral equation which has an unique solution in the quotient space. We decompose the stiffness matrix in our numerical method into four circulant and symmetrical or antisymmetrical submatrices, and hence the solution of the associated linear algebraic system can be solved with the fast Fourier transform (FFT) and the inverse fast Fourier transform (IFFT) instead of the inverse matrix. Examples are given for demonstrating our method has good accuracy of our method even though the exact solution is almost singular.     

New exact series solutions for transverse vibration of rotationally-restrained orthotropic plates

The exact series solutions of plates with general boundary conditions have been derived by using various methods such as Fourier series expansion, improved Fourier series method, improved superposition method and finite integral transform method. Although the procedures of the methods are different, they are all Fourier-series based analytical methods. In present study, the foregoing analytical methods are reviewed first. Then, an exact series solution of vibration of orthotropic thin plate with rotationally restrained edges is obtained by applying the method of finite integral transform. Although the method of finite integral transform has been applied for vibration analysis of orthotropic plates, the existing formulation requires of solving a highly non-linear equation and the accuracy of the corresponding numerical results can be questionable. For that reason, an alternative formulation was proposed to resolve the issue. The accuracy and convergence of the proposed method were studied by comparing the results with other exact solutions as well as approximate solutions. Discussions were made for the application of the method of finite integral transform for vibration analysis of orthotropic thin plates.     

A Galerkin approximation for integro-differential equations in electromagnetic scattering from a chiral medium

We consider the scattering of time-harmonic electromagnetic waves from a chiral medium. It is known for the Drude–Born–Fedorov model that the forward scattering problem can be described by an integro-differential equation. In this paper we study a Galerkin finite element approximation for this integro-differential equation. Our Galerkin scheme, which relies on a suitable periodization of the integral equation, enables the use of the fast Fourier transform and a simple numerical implementation. We establish a quasi-optimal convergence analysis for the Galerkin method. Explicit formulas for the discrete scheme are also provided.     

Gibbs phenomenon removal by adding Heaviside functions

We define a kind of spectral series to filter off completely the Gibbs phenomenon without overshooting and distortional approximation near a point of discontinuity. The construction of this series is based on the method of adding the Fourier coefficients of a Heaviside function to the given Fourier partial sums. More precisely, we prove the uniform convergence of the proposed series on the class of piecewise smooth functions. Also, we attach two numerical examples which illustrate the uniform convergence of the suggested series in comparison with the Fourier partial sums.     

基于小波分析的空间机械臂运动规划的最优控制

讨论了空间机械臂系统非完整运动规划的最优控制问题.利用小波分析方法,将离散正交小波函数引入最优控制,由小波级数展开式逼近替代传统的Fourier基函数,提出基于小波分析的最优控制数值算法.仿真结果表明,该方法对求解空间机械臂非完整运动规划问题是有效的.     

Continuous vs. discrete fractional Fourier transforms

We compare the finite Fourier (-exponential) and Fourier–Kravchuk transforms; both are discrete, finite versions of the Fourier integral transform. The latter is a canonical transform whose fractionalization is well defined. We examine the harmonic oscillator wavefunctions and their finite counterparts: Mehta's basis functions and the Kravchuk functions. The fractionalized Fourier–Kravchuk transform was proposed in J. Opt. Soc. Amer. A (14 (1997) 1467–1477) and is here subject of numerical analysis. In particular, we follow the harmonic motions of coherent states within a finite, discrete optical model of a shallow multimodal waveguide.     

A numerical method for the Benjamin-Ono equation

This paper is concerned with the numerical solution of the Cauchy problem for the Benjamin-Ono equationu _t +uu _x −Hu _xx =0, whereH denotes the Hilbert transform. Our numerical method first approximates this Cauchy problem by an initial-value problem for a corresponding 2L-periodic problem in the spatial variable, withL large. This periodic problem is then solved using the Crank-Nicolson approximation in time and finite difference approximations in space, treating the nonlinear term in a standard conservative fashion, and the Hilbert transform by a quadrature formula which may be computed efficiently using the Fast Fourier Transform.