Newton iterations in implicit time-stepping scheme for differential linear complementarity systems

We propose a generalized Newton method for solving the system of nonlinear equations with linear complementarity constraints in the implicit or semi-implicit time-stepping scheme for differential linear complementarity systems (DLCS). We choose a specific solution from the solution set of the linear complementarity constraints to define a locally Lipschitz continuous right-hand-side function in the differential equation. Moreover, we present a simple formula to compute an element in the Clarke generalized Jacobian of the solution function. We show that the implicit or semi-implicit time-stepping scheme using the generalized Newton method can be applied to a class of DLCS including the nondegenerate matrix DLCS and hidden Z-matrix DLCS, and has a superlinear convergence rate. To illustrate our approach, we show that choosing the least-element solution from the solution set of the Z-matrix linear complementarity constraints can define a Lipschitz continuous right-hand-side function with a computable Lipschitz constant. The Lipschitz constant helps us to choose the step size of the time-stepping scheme and guarantee the convergence.     

Analysis of stability and error estimates for three methods approximating a nonlinear reaction-diffusion equation

We present the error analysis of three time-stepping schemes used in the discretization of a nonlinear reaction-diffusion equation with Neumann boundary conditions, relevant in phase transition. We prove $L^\infty$ stability by maximum principle arguments, and derive error estimates using energy methods for the implicit Euler, and two implicit-explicit approaches, a linearized scheme and a fractional step method. A numerical experiment validates the theoretical results, comparing the accuracy of the methods.     

Analysis of an eddy current and micromagnetic model

We consider a coupled eddy current and micromagnetic model describing the behaviour of dynamic electromagnetic phenomena in applications such as disk write heads. We first prove the existence of a weak solution to this nonlinear problem. Then we outline a numerical time-stepping scheme. Since the numerical method requires a nonstandard mixed boundary value eddy current problem to be solved at each time step, we show the existence and uniqueness of a solution for the corresponding eddy current problem. This is accomplished using an image principle and the verification of a suitable Babu?ka–Brezzi condition.     

Computation of periodic solutions in maximal monotone dynamical systems with guaranteed consistency

In this paper, we study a class of set-valued dynamical systems that satisfy maximal monotonicity properties. This class includes linear relay systems, linear complementarity systems, and linear mechanical systems with dry friction under some conditions. We discuss two numerical schemes based on time-stepping methods for the computation of the periodic solutions when these systems are periodically excited. We provide formal mathematical justifications for the numerical schemes in the sense of consistency, which means that the continuous-time interpolations of the numerical solutions converge to the continuous-time periodic solution when the discretization step vanishes. The two time-stepping methods are applied for the computation of the periodic solution exhibited by a power electronic converter and the corresponding methods are compared in terms of approximation accuracy and computation time.     

Automatic Control and Adaptive Time-Stepping

Adaptive time-stepping is central to the efficient solution of initial value problems in ODEs and DAEs. The error committed in the discretization method primarily depends on the time-step size h, which is varied along the solution in order to minimize the computational effort subject to a prescribed accuracy requirement. This paper reviews the recent advances in developing local adaptivity algorithms based on well established techniques from linear feedback control theory, which is introduced in a numerical context. Replacing earlier heuristics, this systematic approach results in a more consistent and robust performance. The dynamic behaviour of the discretization method together with the controller is analyzed. We also review some basic techniques for the coordination of nonlinear equation solvers with the primary stepsize controller in implicit time-stepping methods.     

Stability estimates based on numerical ranges with an application to a spectral method

This paper is concerned with the stability of numerical processes for solving initial value problems. We present a stability result which is related to a well-known theorem by von Neumann, but the requirements to be satisfied are less severe and easier to verify.As an illustration we consider a simple convection-diffusion equation. For the spatial discretization we use a spectral collocation method (based on so-called Legendre-Gauss-Lobatto points). We show that the fully discretized numerical process is stable, provided that the temporal step size is bounded by a constant depending only on the convection-diffusion equation, the number of collocation points and the time-stepping method under consideration.This research has been supported by the Netherlands Organization for Scientific Research (N.W.O.).     

Multiphysics mixed finite element method with Nitsche's technique for Stokes-poroelasticity problem

In this article, we propose a multiphysics mixed finite element method with Nitsche's technique for Stokes-poroelasticity problem. Firstly, we reformulate the poroelasticity part of the original problem by introducing two pseudo-pressures to into a “fluid–fluid” coupled problem so that we can use the classical stable finite element pairs to deal with this problem conveniently. Then, we prove the existence and uniqueness of weak solution of the reformulated problem. And we use Nitsche's technique to approximate the coupling condition at the interface to propose a loosely-coupled time-stepping method to solve three subproblems at each time step–a Stokes problem, a generalized Stokes problem and a mixed diffusion problem. And the proposed method does not require any restriction on the choice of the discrete approximation spaces on each side of the interface provided that appropriate quadrature methods are adopted. Also, we give the stability analysis and error estimates of the loosely-coupled time-stepping method. Finally, we give the numerical tests to show that the proposed numerical method has a good stability and no “locking” phenomenon.     

Time-step selection algorithms: Adaptivity,control, and signal processing

The efficiency of numerical time-stepping methods for dynamical systems is greatly enhanced by automatic time step variation. In this paper we present and discuss three different approaches to step size selection: (i) control theory (to keep the error in check); (ii) signal processing (to produce smooth step size sequences and improve computational stability); and (iii) adaptivity, in the sense that the time step should be covariant or contravariant with some prescribed function of the dynamical system's solution. Examples are used to demonstrate the different advantages in different applications. The main ideas are further developed to approach some open problems that are subject to special requirements.     

Mean-square stability properties of an adaptive time-stepping SDE solver

We consider stability properties of a class of adaptive time-stepping schemes based upon the Milstein method for stochastic differential equations with a single scalar forcing. In particular, we focus upon mean-square stability for a class of linear test problems with multiplicative noise. We demonstrate that desirable stability properties can be induced in the numerical solution by the use of two realistic local error controls, one for the drift term and one for the diffusion.     

A numerical study of 2-D periodically-forced internal flows

We use a stabilized FEM with Gear time-stepping to study periodically forced internal flows. The time-periodically forced Navier-Stokes equations always admit a time-periodic solution but we show that this time-periodic solution might not be stable, even in 2-D. Numerical results are presented for a time-periodic lid driven cavity. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Time-stepping discontinuous Galerkin approximation of optimal control problem governed by time fractional diffusion equation

In this paper, a piecewise constant time-stepping discontinuous Galerkin method combined with a piecewise linear finite element method is applied to solve control constrained optimal control problem governed by time fractional diffusion equation. The control variable is approximated by variational discretization approach. The discrete first-order optimality condition is derived based on the first discretize then optimize approach. We demonstrate the commutativity of discretization and optimization for the time-stepping discontinuous Galerkin discretization. Since the state variable and the adjoint state variable in general have weak singularity near t =?0and t = T, a time adaptive algorithm is developed based on step doubling technique, which can be used to guide the time mesh refinement. Numerical examples are given to illustrate the theoretical findings.     

High resolution upwind-mixed finite element methods for advection-diffusion equations with variable time-stepping

Numerical methods for advection-diffusion equations are discussed based on approximating advection using a high-resolution upwind finite difference method, and incorporating diffusion using a mixed finite element method. In this approach, advection is approximated explicitly and diffusion implicitly. We first describe the basic procedure where each advection time-step is followed by a diffusion step. Because the explicit nature of the advective scheme requires a CFL time-step constraint, the basic procedure may be expensive, especially if the CFL constraint is severe. Two alternative time-stepping approaches are presented for improving computational efficiency while preserving accuracy. In the first approach, several advective time-steps are computed before taking a diffusion step. In the second approach, the advective time-steps are also allowed to vary spatially. Numerical results for these three procedures for a model problem arising in flow through porous media are given. © 1995 John Wiley & Sons, Inc.     

状态转换下美式跳扩散期权的修正Crank-Nicolson拟合有限体积法

主要研究了一类状态转换下美式跳扩散期权定价模型的修正Crank-Nicolson拟合有限体积法并且给出收敛性分析.文章所构造的新方法是对[Gan X T,Yin J F,Li R,Fitted finite volume method for pricing American options under regime-...     

Convergence of the Swartztrauber-Sweet Method for Parabolic Problems on a Disk with Singularities

In this article, we study the convergence analysis for the initial and boundary value problem of parabolic equations on a disk with singular solutions. It is assumed that the exact solution performs singular properties that its derivatives go to infinity at the boundary of the disk. We propose a fully implicit time-stepping numerical scheme. A stretching polynomial-like function with a parameter is used to construct a local grid refinement. Over the nonuniform partition, we combine the Swartztrauber-Sweet scheme and the backward Euler method in spatial and temporal discretization, respectively. We carry out convergence analysis and analyze the effects of the parameter. It is shown that our numerical scheme is of first order accuracy for temporal discretization and of almost second order accuracy for spatial discretization. Numerical experiments are performed to illustrate our analysis results and show that there exists an optimal value for the parameter to obtain a best approximate solution.     

A Multigrid Block LU-SGS Algorithm for Euler Equations on Unstructured Grids

We propose an efficient and robust algorithm to solve the steady Euler equa- tions on unstructured grids.The new algorithm is a Newton-iteration method in which each iteration step is a linear multigrid method using block lower-upper symmetric Gauss-Seidel(LU-SGS)iteration as its smoother To regularize the Jacobian matrix of Newton-iteration,we adopted a local residual dependent regularization as the replace- ment of the standard time-stepping relaxation technique based on the local CFL number The proposed method can be extended to high order approximations and three spatial dimensions in a nature way.The solver was tested on a sequence of benchmark prob- lems on both quasi-uniform and local adaptive meshes.The numerical results illustrated the efficiency and robustness of our algorithm.     

Stage reduction on P-stable Numerov type methods of eighth order

We present an implicit hybrid two step method for the solution of second order initial value problem. It costs only six function evaluations per step and attains eighth algebraic order. The method satisfy the P-stability property requiring one stage less. We conclude dealing with implementation issues for the methods of this type and give some first pleasant results from numerical tests.     

High-order exponential spline method for pricing European options

ABSTRACT

The key purpose of the present work is to constitute an analysis of a numerical method for a degenerate partial differential equation, called the Black–Scholes equation, governing European option pricing. The method is based on exponential spline spatial discretization and an explicit finite-difference time-stepping technique. We establish the convergence and an error bound for the solutions of the fully discretized system. The numerical and graphical results elucidate that the suggested approach is very straightforward and accurate.     

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.     

A numerical method for pricing European options with proportional transaction costs

In the paper, we propose a numerical technique based on a finite difference scheme in space and an implicit time-stepping scheme for solving the Hamilton–Jacobi–Bellman (HJB) equation arising from the penalty formulation of the valuation of European options with proportional transaction costs. We show that the approximate solution from the numerical scheme converges to the viscosity solution of the HJB equation as the mesh sizes in space and time approach zero. We also propose an iterative scheme for solving the nonlinear algebraic system arising from the discretization and establish a convergence theory for the iterative scheme. Numerical experiments are presented to demonstrate the robustness and accuracy of the method.     

Investigation of various solution strategies for the time-spectral method for incompressible,viscous flows

Time-spectral methods show a huge potential for decreasing computation time of time-periodic flows. While time-spectral methods are often used for compressible flows, applications to incompressible flows are rare. This paper presents an extension of the time-spectral method (TSM) to incompressible, viscous fluid flows using a pressure-correction algorithm in a finite volume flow solver.Several algorithmic treatments of the time-spectral operator in a pressure-correction algorithm have been investigated. Initially the single time instances were solved using the Jacobi method as preconditioner. While the existing fluid code is easily adapted, the solver shows a fast degradation in stability. Thus the solution matrix was reordered with respect to time and a block Gauss–Seidel preconditioner was applied. The single time blocks were directly solved using the Cholesky algorithm. The solver is more robust, but the current implementation is inefficient. To alleviate this problem an approach, coupling all time instances and control volumes, was developed. For the complete time and spatial system two different treatments in the preconditioner were researched.To outline the advantages and disadvantages of the proposed solution strategies the laminar flow around the pitching NACA0012 airfoil was investigated. Moreover, unsteady simulations using first and second order time-stepping techniques were used and the time-spectral results were compared to regular time-stepping approaches. It is shown that the time-spectral implementations solving the whole temporal-spatial system are faster than the regular time-stepping schemes. The efficiency of the time-spectral solver decreases with increasing number of harmonics. Furthermore, with a small number of harmonics the lift coefficient over time is not accurately predicted.