Efficient orthogonal spline collocation methods for solving linear second order hyperbolic problems on rectangles

Summary. Piecewise Hermite bicubic orthogonal spline collocation Laplace-modified and alternating-direction schemes for the approximate solution of linear second order hyperbolic problems on rectangles are analyzed. The schemes are shown to be unconditionally stable and of optimal order accuracy in the and discrete maximum norms for space and time, respectively. Implementations of the schemes are discussed and numerical results presented which demonstrate the accuracy and rate of convergence using various norms. Received November 7, 1994 / Revised version received April 29, 1996     

Orthogonal spline collocation methods for Schr\"{o}dinger-type equations in one space variable

Summary. We examine the use of orthogonal spline collocation for the semi-discreti\-za\-tion of the cubic Schr\"{o}dinger equation and the two-dimensional parabolic equation of Tappert. In each case, an optimal order estimate of the error in the semidiscrete approximation is derived. For the cubic Schr\"{o}dinger equation, we present the results of numerical experiments in which the integration in time is performed using a routine from a software library. Received February 14, 1992 / Revised version received December 29, 1992     

Multilevel additive and multiplicative methods for orthogonal spline collocation problems

Summary. Multilevel preconditioners are proposed for the iterative solution of the discrete problems which arise when orthogonal spline collocation with piecewise Hermite bicubics is applied to the Dirichlet boundary value problem for a self-adjoint elliptic partial differential equation on a rectangle. Additive and multiplicative preconditioners are defined respectively as sums and products of independent operators on a sequence of nested subspaces of the fine partition approximation space. A general theory of additive and multiplicative Schwarz methods is used to prove that the preconditioners are spectrally equivalent to the collocation discretization of the Laplacian with the spectral constants independent of the fine partition stepsize and the number of levels. The preconditioned conjugate gradient and preconditioned Orthomin methods are considered for the solution of collocation problems. An implementation of the methods is discussed and the results of numerical experiments are presented. Received March 1, 1994 / Revised version received January 23, 1996     

Spectral methods for initial boundary value problems with nonsmooth data

Summary. In this paper we consider hyperbolic initial boundary value problems with nonsmooth data. We show that if we extend the time domain to minus infinity, replace the initial condition by a growth condition at minus infinity and then solve the problem using a filtered version of the data by the Galerkin-Collocation method using Laguerre polynomials in time and Legendre polynomials in space, then we can recover pointwise values with spectral accuracy, provided that the actual solution is piecewise smooth. For this we have to perform a local smoothing of the computed solution. Received August 1, 1995 / Revised version received August 19, 1997     

Symmetric collocation methods for linear differential-algebraic boundary value problems

Summary. We present symmetric collocation methods for linear differential-algebraic boundary value problems without restrictions on the index or the structure of the differential-algebraic equation. In particular, we do not require a separation into differential and algebraic solution components. Instead, we use the splitting into differential and algebraic equations (which arises naturally by index reduction techniques) and apply Gau?-type (for the differential part) and Lobatto-type (for the algebraic part) collocation schemes to obtain a symmetric method which guarantees consistent approximations at the mesh points. Under standard assumptions, we show solvability and stability of the discrete problem and determine its order of convergence. Moreover, we show superconvergence when using the combination of Gau? and Lobatto schemes and discuss the application of interpolation to reduce the number of function evaluations. Finally, we present some numerical comparisons to show the reliability and efficiency of the new methods. Received September 22, 2000 / Revised version received February 7, 2001 / Published online August 17, 2001     

Spectral methods for the non cut-off Boltzmann equation and numerical grazing collision limit

Summary. In this paper we study the numerical passage from the spatially homogeneous Boltzmann equation without cut-off to the Fokker-Planck-Landau equation in the so-called grazing collision limit. To this aim we derive a Fourier spectral method for the non cut-off Boltzmann equation in the spirit of [21,23]. We show that the kernel modes that define the spectral method have the correct grazing collision limit providing a consistent spectral method for the limiting Fokker-Planck-Landau equation. In particular, for small values of the scattering angle, we derive an approximate formula for the kernel modes of the non cut-off Boltzmann equation which, similarly to the Fokker-Planck-Landau case, can be computed with a fast algorithm. The uniform spectral accuracy of the method with respect to the grazing collision parameter is also proved. Received July 10, 2001 / Revised version received October 12, 2001 / Published online January 30, 2002     

Compact difference methods applied to initial-boundary value problems for mixed systems

Summary. An initial--boundary value problem to a system of nonlinear partial differential equations, which consists of a hyperbolic and a parabolic part, is taken into consideration. The problem is discretised by a compact finite difference method. An approximation of the numerical solution is constructed, at which the difference scheme is linearised. Nonlinear convergence is proved using the stability of the linearised scheme. Finally, a computational experiment for a noncompact scheme is presented. Received May 20, 1995     

Fast algorithms for high-order spline collocation systems

Summary. In this paper, we present a complete eigenvalue analysis for arbitrary order -spline collocation methods applied to the Poisson equation on a rectangular domain with Dirichlet boundary conditions. Based on this analysis, we develop some fast algorithms for solving a class of high-order spline collocation systems which arise from discretizing the Poisson equation. Received April 8, 1997 / Revised version received August 29, 1997     

Analysis of fully discrete approximations to parabolic problems with rough or distribution-valued initial data

Summary. We consider fully discrete approximations to a parabolic initial-boundary value problem with rough or distribution-valued initial data in two space dimensions. For discretization in time and space, we apply single step methods and the standard Galerkin method with piecewise linear test functions, respectively. For spatial discretization of the initial condition, we are however forced to use more involved constructions. Our main result is stability and error estimates of the discrete solutions. Received October 21, 1999 / Revised version received May 3, 2001 / Published online December 18, 2001     

Runge-Kutta methods without order reduction for linear initial boundary value problems

Summary. It is well-known the loss of accuracy when a Runge–Kutta method is used together with the method of lines for the full discretization of an initial boundary value problem. We show that this phenomenon, called order reduction, is caused by wrong boundary values in intermediate stages. With a right choice, the order reduction can be avoided and the optimal order of convergence in time is achieved. We prove this fact for time discretizations of abstract initial boundary value problems based on implicit Runge–Kutta methods. Moreover, we apply these results to the full discretization of parabolic problems by means of Galerkin finite element techniques. We present some numerical examples in order to confirm that the optimal order is actually achieved. Received July 10, 2000 / Revised version received March 13, 2001 / Published online October 17, 2001     

Well-posed absorbing layer for hyperbolic problems

Summary. The perfectly matched layer (PML) is an efficient tool to simulate propagation phenomena in free space on unbounded domain. In this paper we consider a new type of absorbing layer for Maxwell's equations and the linearized Euler equations which is also valid for several classes of first order hyperbolic systems. The definition of this layer appears as a slight modification of the PML technique. We show that the associated Cauchy problem is well-posed in suitable spaces. This theory is finally illustrated by some numerical results. It must be underlined that the discretization of this layer leads to a new discretization of the classical PML formulation. Received May 5, 2000 / Published online November 15, 2001     

Convergence analysis and error estimates for a parallel algorithm for solving the Navier-Stokes equations

Summary. This paper is concerned with the analysis of the convergence and the derivation of error estimates for a parallel algorithm which is used to solve the incompressible Navier-Stokes equations. As usual, the main idea is to split the main differential operator; this allows to consider independently the two main difficulties, namely nonlinearity and incompressibility. The results justify the observed accuracy of related numerical results. Received April 20, 2001 / Revised version received May 21, 2001 / Published online March 8, 2002 RID="*" ID="*" Partially supported by D.G.E.S. (Spain), Proyecto PB98–1134 RID="**" ID="**" Partially supported by D.G.E.S. (Spain), Proyecto PB96–0986 RID="**" ID="**" Partially supported by D.G.E.S. (Spain), Proyecto PB96–0986 RID="*" ID="*" Partially supported by D.G.E.S. (Spain), Proyecto PB98–1134 RID="**" ID="**" Partially supported by D.G.E.S. (Spain), Proyecto PB96–0986 RID="**" ID="**" Partially supported by D.G.E.S. (Spain) Proyecto PB96–0986     

Finite volume element methods for non-definite problems

Summary. The error estimates for finite volume element method applied to 2 and 3-D non-definite problems are derived. A simple upwind scheme is proven to be unconditionally stable and first order accurate. Received August 27, 1997 / Revised version received May 12, 1998     

$L^1$-Stability and error estimates for approximate Hamilton-Jacobi solutions

Summary.   We study the -stability and error estimates of general approximate solutions for the Cauchy problem associated with multidimensional Hamilton-Jacobi (H-J) equations. For strictly convex Hamiltonians, we obtain a priori error estimates in terms of the truncation errors and the initial perturbation errors. We then demonstrate this general theory for two types of approximations: approximate solutions constructed by the vanishing viscosity method, and by Godunov-type finite difference methods. If we let denote the `small scale' of such approximations (– the viscosity amplitude , the spatial grad-size , etc.), then our -error estimates are of , and are sharper than the classical -results of order one half, . The main building blocks of our theory are the notions of the semi-concave stability condition and -measure of the truncation error. The whole theory could be viewed as a multidimensional extension of the -stability theory for one-dimensional nonlinear conservation laws developed by Tadmor et. al. [34,24,25]. In addition, we construct new Godunov-type schemes for H-J equations which consist of an exact evolution operator and a global projection operator. Here, we restrict our attention to linear projection operators (first-order schemes). We note, however, that our convergence theory applies equally well to nonlinear projections used in the context of modern high-resolution conservation laws. We prove semi-concave stability and obtain -bounds on their associated truncation errors; -convergence of order one then follows. Second-order (central) Godunov-type schemes are also constructed. Numerical experiments are performed; errors and orders are calculated to confirm our -theory. Received April 20, 1998 / Revised version received November 8, 1999 / Published online August 24, 2000     

On the stability of the unsmoothed Fourier method for hyperbolic equations

Summary. It has been a long open question whether the pseudospectral Fourier method without smoothing is stable for hyperbolic equations with variable coefficients that change signs. In this work we answer this question with a detailed stability analysis of prototype cases of the Fourier method. We show that due to weighted -stability, the -degree Fourier solution is algebraically stable in the sense that its amplification does not exceed . Yet, the Fourier method is weakly -unstable in the sense that it does experience such amplification. The exact mechanism of this weak instability is due the aliasing phenomenon, which is responsible for an amplification of the Fourier modes at the boundaries of the computed spectrum. Two practical conclusions emerge from our discussion. First, the Fourier method is required to have sufficiently many modes in order to resolve the underlying phenomenon. Otherwise, the lack of resolution will excite the weak instability which will propagate from the slowly decaying high modes to the lower ones. Second -- independent of whether smoothing was used or not, the small scale information contained in the highest modes of the Fourier solution will be destroyed by their amplification. Happily, with enough resolution nothing worse can happen. Received December 14, 1992/Revised version received March 1, 1993     

Convergence of a staggered Lax-Friedrichs scheme for nonlinear conservation laws on unstructured two-dimensional grids

Summary. Based on Nessyahu and Tadmor's nonoscillatory central difference schemes for one-dimensional hyperbolic conservation laws [16], for higher dimensions several finite volume extensions and numerical results on structured and unstructured grids have been presented. The experiments show the wide applicability of these multidimensional schemes. The theoretical arguments which support this are some maximum-principles and a convergence proof in the scalar linear case. A general proof of convergence, as obtained for the original one-dimensional NT-schemes, does not exist for any of the extensions to multidimensional nonlinear problems. For the finite volume extension on two-dimensional unstructured grids introduced by Arminjon and Viallon [3,4] we present a proof of convergence for the first order scheme in case of a nonlinear scalar hyperbolic conservation law. Received April 8, 2000 / Published online December 19, 2000     

Strictly feasible equation-based methods for mixed complementarity problems

Summary.   We introduce a new algorithm for the solution of the mixed complementarity problem (MCP) which has stronger properties than most existing methods. In fact, typical solution methods for the MCP either generate feasible iterates but have to solve relatively complicated subproblems (like quadratic programs or linear complementarity problems), or they have relatively simple subproblems (like linear systems of equations) but generate not necessarily feasible iterates. The method to be presented here combines the nice features of these two classes of methods: It has to solve only one linear system of equations (of reduced dimension) at each iteration, and it generates feasible (more precisely: strictly feasible) iterates. The new method has some nice global and local convergence properties. Some preliminary numerical results will also be given. Received August 26, 1999 / Revised version recived April 11, 2000 / Published online February 5, 2001     

A second order characteristic finite element scheme for convection-diffusion problems

Summary. A new characteristic finite element scheme is presented for It is of second order accuracy in time increment, symmetric, and unconditionally stable. Optimal error estimates are proved in the framework of -theory. Numerical results are presented for two examples, which show the advantage of the scheme. Received November 22, 2000 / Revised version received July 11, 2001 / Published online October 17, 2001     

Superconvergence of mixed finite element methods for parabolic problems with nonsmooth initial data

Summary. A semidiscrete mixed finite element approximation to parabolic initial-boundary value problems is introduced and analyzed. Superconvergence estimates for both pressure and velocity are obtained. The estimates for the errors in pressure and velocity depend on the smoothness of the initial data including the limiting cases of data in and data in , for sufficiently large. Because of the smoothing properties of the parabolic operator, these estimates for large time levels essentially coincide with the estimates obtained earlier for smooth solutions. However, for small time intervals we obtain the correct convergence orders for nonsmooth data. Received July 30, 1995 / Revised version received October 14, 1996     

Collocation methods for solving linear differential-algebraic boundary value problems

Summary. We consider boundary value problems for linear differential-algebraic equations with variable coefficients with no restriction on the index. A well-known regularisation procedure yields an equivalent index one problem with d differential and a=n-d algebraic equations. Collocation methods based on the regularised BVP approximate the solution x by a continuous piecewise polynomial of degree k and deliver, in particular, consistent approximations at mesh points by using the Radau schemes. Under weak assumptions, the collocation problems are uniquely and stably solvable and, if the unique solution x is sufficiently smooth, convergence of order min {k+1,2k-1} and superconvergence at mesh points of order 2k-1 is shown. Finally, some numerical experiments illustrating these results are presented. Received October 1, 1999 / Revised version received April 25, 2000 / Published online December 19, 2000