Binary weighted essentially non-oscillatory (BWENO) approximation

Weighted essentially non-oscillatory (WENO) schemes have been mainly used for solving hyperbolic partial differential equations (PDEs). Such schemes are capable of high order approximation in smooth regions and non-oscillatory sharp resolution of discontinuities. The base of the WENO schemes is a non-oscillatory WENO approximation procedure, which is not necessarily related to PDEs. The typical WENO procedures are WENO interpolation and WENO reconstruction. The WENO algorithm has gained much popularity but the basic idea of approximation did not change much over the years. In this paper, we first briefly review the idea of WENO interpolation and propose a modification of the basic algorithm. New approximation should improve basic characteristics of the approximation and provide a more flexible framework for future applications. New WENO procedure involves a binary tree weighted construction that is based on key ideas of WENO algorithm and we refer to it as the binary weighted essentially non-oscillatory (BWENO) approximation. New algorithm comes in a rational and a polynomial version. Furthermore, we describe the WENO reconstruction procedure, which is usually involved in the numerical schemes for hyperbolic PDEs, and propose the new reconstruction procedure based on the described BWENO interpolation. The obtained numerical results show that the newly proposed procedures perform very well on the considered test examples.     

Staircasing in semidiscrete stabilised inverse linear diffusion algorithms

We consider a semidiscrete model problem for the approximation of stabilised inverse linear diffusion processes. The work is motivated by an important observation on fully discrete schemes concerning the so-called staircasing phenomenon: when sharpening monotone data profiles, fully discrete methods generally introduce stepfunction-type solutions reminiscent of staircases. In this work, we show by an analysis of dynamical systems in corresponding semidiscrete formulations that already the semidiscrete numerical model contains the relevant information on the occurrence of staircasing. Numerical experiments confirm and complement the theoretical results.     

Convergence analysis of the FEM approximation of the first order projection method for incompressible flows with and without the inf-sup condition

In this paper we obtain convergence results for the fully discrete projection method for the numerical approximation of the incompressible Navier–Stokes equations using a finite element approximation for the space discretization. We consider two situations. In the first one, the analysis relies on the satisfaction of the inf-sup condition for the velocity-pressure finite element spaces. After that, we study a fully discrete fractional step method using a Poisson equation for the pressure. In this case the velocity-pressure interpolations do not need to accomplish the inf-sup condition and in fact we consider the case in which equal velocity-pressure interpolation is used. Optimal convergence results in time and space have been obtained in both cases.     

STABILITY ANALYSIS OF NONLINEAR GALERKIN ＆ GALERKIN METHODS FOR NONLINEAR EVOLUTION EQUATIONS

Abstract. Ogr object in this artlcle is to describe tbe Galerkln scheme and nonlin-eax Galerkin scheme for the approximation of nonlinear evolution equations, and tostudy the stability of these schemes. Spatial discretizatlon can be pedormed by eitherGalerkln spectral method or nonlinear Galerldn spectral method; time discretizatlort isdone hy Euler sin.heine wklch is explicit or implicit in the nonlinear terms. According tothe stability analysis of the above schemes, the stability of nonllneex Galerkln methodis better than that of Galexkln method.     

A multiresolution finite volume scheme for two-dimensional hyperbolic conservation laws

In this paper, high-resolution finite volume schemes are combined with an adaptive mesh technique inspired by multiresolution analysis to improve the computational efficiency for two-dimensional hyperbolic conservation laws. The method is conservative. Moreover, it is stable which is proven numerically in this paper. The computational grid is dynamically adapted so that higher spatial resolution is automatically allocated to regions where strong gradients are observed. Using this proposed scheme, we compute several two-dimensional model problems and a compressive rate ranging from about 5–10 is observed in all simulations.     

An investigation of the internal structure of shock profiles for shock capturing schemes

The theoretical understanding of discrete shock transitions obtained by shock capturing schemes is very incomplete. Previous experimental studies indicate that discrete shock transitions obtained by shock capturing schemes can be modeled by continuous functions, so called continuum shock profiles. However, the previous papers have focused on linear methods. We have experimentally studied the trajectories of discrete shock profiles in phase space for a range of different high resolution shock capturing schemes, including Riemann solver based flux limiter methods, high resolution central schemes and ENO type methods. In some cases, no continuum profiles exists. However, in these cases the point values in the shock transitions remain bounded and appear to converge toward a stable limit cycle. The possibility of such behavior was anticipated in Bultelle, Grassin and Serre, 1998, but no specific examples, or other evidence, of this behavior have previously been given. In other cases, our results indicate that continuum shock profiles exist, but are very complicated. We also study phase space orbits with regard to post shock oscillations.     

Finite volume transport schemes

We analyze arbitrary order linear finite volume transport schemes and show asymptotic stability in L ¹ and L ^∞ for odd order schemes in dimension one. It gives sharp fractional order estimates of convergence for BV solutions. It shows odd order finite volume advection schemes are better than even order finite volume schemes. Therefore the Gibbs phenomena is controlled for odd order finite volume schemes. Numerical experiments sustain the theoretical analysis. In particular the oscillations of the Lax–Wendroff scheme for small Courant numbers are correlated with its non stability in L ¹. A scheme of order three is proved to be stable in L ¹ and L ^∞.     

Relaxation approximation to bed-load sediment transport

In this work we propose and apply a numerical method based on finite volume relaxation approximation for computing the bed-load sediment transport in shallow water flows, in one and two space dimensions. The water flow is modeled by the well-known nonlinear shallow water equations which are coupled with a bed updating equation. Using a relaxation approximation, the nonlinear set of equations (and for two different formulations) is transformed to a semilinear diagonalizable problem with linear characteristic variables. A second order MUSCL-TVD method is used for the advection stage while an implicit–explicit Runge–Kutta scheme solves the relaxation stage. The main advantages of this approach are that neither Riemann problem solvers nor nonlinear iterations are required during the solution process. For the two different formulations, the applicability and effectiveness of the presented scheme is verified by comparing numerical results obtained for several benchmark test problems.     

An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options

We consider the approximation of the optimal stopping problem associated with ultradiffusion processes in the context of mathematical finance and the valuation of Asian options. In particular, the value function is characterized as the solution of an ultraparabolic variational inequality. Employing the penalty method and a regularization of the state space, we develop higher-order adaptive approximation schemes which utilize the extrapolation discontinuous Galerkin method in temporal space. Numerical examples are provided in order to demonstrate the approach.     

A finite volume scheme for nonlinear parabolic equations derived from one-dimensional local dirichlet problems

In this paper, we propose a new method to compute the numerical flux of a finite volume scheme, used for the approximation of the solution of the nonlinear partial differential equation u_t+div(qf(u))−ΔΦ(u)=0 in a 1D, 2D or 3D domain. The function Φ is supposed to be strictly increasing, but some values s such that Φ′(s)=0 can exist. The method is based on the solution, at each interface between two control volumes, of the nonlinear elliptic two point boundary value problem (qf(υ)+(Φ(υ))′)′=0 with Dirichlet boundary conditions given by the values of the discrete approximation in both control volumes. We prove the existence of a solution to this two point boundary value problem. We show that the expression for the numerical flux can be yielded without referring to this solution. Furthermore, we prove that the so designed finite volume scheme has the expected stability properties and that its solution converges to the weak solution of the continuous problem. Numerical results show the increase of accuracy due to the use of this scheme, compared to some other schemes.     

A Fourier method and an extrapolation technique for Stokes’ first problem for a heated generalized second grade fluid with fractional derivative

In this article, we consider Stokes’ first problem for a heated generalized second grade fluid with fractional derivative (SFP-HGSGF). Implicit and explicit numerical approximation schemes for the SFP-HGSGF are presented. The stability and convergence of the numerical schemes are discussed using a Fourier method. In addition, the solvability of the implicit numerical approximation scheme is also analyzed. A Richardson extrapolation technique for improving the order of convergence of the implicit scheme is proposed. Finally, a numerical test is given. The numerical results demonstrate the good performance of our theoretical analysis.     

Second-order characteristic schemes in time and age for a nonlinear age-structured population model

In this paper, we analyze two new second-order characteristic schemes in time and age for an age-structured population model with nonlinear diffusion and reaction. By using the characteristic difference to approximate the transport term and the average along the characteristics to treat the nonlinear spatial diffusion and reaction terms, an implicit second-order characteristic scheme is proposed. To compute the nonlinear approximation system, an explicit second-order characteristic scheme in time and age is further proposed by using the extrapolation technique. The global existence and uniqueness of the solution of the nonlinear approximation scheme are established by using the theory of variation methods, Schauder’s fixed point theorem, and the technique of prior estimates. The optimal error estimates of second order in time and age are strictly proved for both the implicit and the explicit characteristic schemes. Numerical examples are given to illustrate the performance of the methods.     

The singular dynamic method for constrained second order hyperbolic equations: Application to dynamic contact problems

The purpose of this paper is to present a new family of numerical methods for the approximation of second order hyperbolic partial differential equations submitted to a convex constraint on the solution. The main application is dynamic contact problems. The principle consists in the use of a singular mass matrix obtained by the mean of different discretizations of the solution and of its time derivative. We prove that the semi-discretized problem is well-posed and energy conserving. Numerical experiments show that this is a crucial property to build stable numerical schemes.     

Numerical solution of the acoustic wave equation using Raviart–Thomas elements

In this paper we discuss the numerical approximation of the displacement form of the acoustic wave equation using mixed finite elements. The mixed formulation allows for approximation of both displacement and pressure at each time step, without the need for post-processing. Lowest-order and next-to-lowest-order Raviart–Thomas elements are used for the spatial discretization, and centered finite differences are used to advance in time. Use of these Raviart–Thomas elements results in a diagonal mass matrix for resolution of pressure, and a mass matrix for the displacement variable that is sparse with a simple structure. Convergence results for a model problem are provided, as are numerical results for a two-dimensional problem with a point source.     

Hyperbolic balance laws: Riemann invariants and the generalized Riemann problem

The Generalized Riemann Problem (GRP) for a nonlinear hyperbolic system of m balance laws (or alternatively “quasi-conservative” laws) in one space dimension is now well-known and can be formulated as follows: Given initial-data which are analytic on two sides of a discontinuity, determine the time evolution of the solution at the discontinuity. In particular, the GRP numerical scheme (second-order high resolution) is based on an analytical evaluation of the first time derivative. It turns out that this derivative depends only on the first-order spatial derivatives, hence the initial data can be taken as piecewise linear. The analytical solution is readily obtained for a single equation (m = 1) and, more generally, if the system is endowed with a complete (coordinate) set of Riemann invariants. In this case it can be “diagonalized” and reduced to the scalar case. However, most systems with m > 2 do not admit such a set of Riemann invariants. This paper introduces a generalization of this concept: weakly coupled systems (WCS). Such systems have only “partial set” of Riemann invariants, but these sets are weakly coupled in a way which enables a “diagonalized” treatment of the GRP. An important example of a WCS is the Euler system of compressible, nonisentropic fluid flow (m = 3). The solution of the GRP discussed here is based on a careful analysis of rarefaction waves. A “propagation of singularities” argument is applied to appropriate Riemann invariants across the rarefaction fan. It serves to “rotate” initial spatial slopes into “time derivative”. In particular, the case of a “sonic point” is incorporated easily into the general treatment. A GRP scheme based on this solution is derived, and several numerical examples are presented. Special attention is given to the “acoustic approximation” of the analytical solution. It can be viewed as a proper linearization (different from the approach of Roe) of the nonlinear system. The resulting numerical scheme is the simplest (second-order, high-resolution) generalization of the Godunov scheme.     

Analysis and finite element approximation of a Ladyzhenskaya model for viscous flow in streamfunction form

In this paper we consider a model for the motion of incompressible viscous flows proposed by Ladyzhenskaya. The Ladyzhenskaya model is written in terms of the velocity and pressure while the studied model is written in terms of the streamfunction only. We derived the streamfunction equation of the Ladyzhenskaya model and present a weak formulation and show that this formulation is equivalent to the velocity–pressure formulation. We also present some existence and uniqueness results for the model. Finite element approximation procedures are presented. The discrete problem is proposed to be well posed and stable. Some error estimates are derived. We consider the 2D driven cavity flow problem and provide graphs which illustrate differences between the approximation procedure presented here and the approximation for the streamfunction form of the Navier–Stokes equations. Streamfunction contours are also displayed showing the main features of the flow.     

Error estimates for a mixed finite element discretization of some degenerate parabolic equations

We consider a numerical scheme for a class of degenerate parabolic equations, including both slow and fast diffusion cases. A particular example in this sense is the Richards equation modeling the flow in porous media. The numerical scheme is based on the mixed finite element method (MFEM) in space, and is of one step implicit in time. The lowest order Raviart–Thomas elements are used. Here we extend the results in Radu et al. (SIAM J Numer Anal 42:1452–1478, 2004), Schneid et al. (Numer Math 98:353–370, 2004) to a more general framework, by allowing for both types of degeneracies. We derive error estimates in terms of the discretization parameters and show the convergence of the scheme. The features of the MFEM, especially of the lowest order Raviart–Thomas elements, are now fully exploited in the proof of the convergence. The paper is concluded by numerical examples.     

Exponential time integration for fast finite element solutions of some financial engineering problems

We consider exponential time integration schemes for fast numerical pricing of European, American, barrier and butterfly options when the stock price follows a dynamics described by a jump-diffusion process. The resulting pricing equation which is in the form of a partial integro-differential equation is approximated in space using finite elements. Our methods require the computation of a single matrix exponential and we demonstrate using a wide range of numerical tests that the combination of exponential integrators and finite element discretisations with quadratic basis functions leads to highly accurate algorithms for cases when the jump magnitude is Gaussian. Comparison with other time-stepping methods are also carried out to illustrate the effectiveness of our methods.     

The method of fractional steps for conservation laws

Summary The stability, accuracy, and convergence of the basic fractional step algorithms are analyzed when these algorithms are used to compute discontinuous solutions of scalar conservation laws. In particular, it is proved that both first order splitting and Strang splitting algorithms always converge to the unique weak solution satisfying the entropy condition. Examples of discontinuous solutions are presented where both Strang-type splitting algorithms are only first order accurate but one of the standard first order algorithms is infinite order accurate. Various aspects of the accuracy, convergence, and correct entropy production are also studied when each split step is discretized via monotone schemes, Lax-Wendroff schemes, and the Glimm scheme.Partially supported by an Alfred Sloan Foundation fellowship and N.S.F. grant MCS-76-10227Sponsored by US Army under contract No. DAA 629-75-0-0024     

Theoretical and Numerical Analysis of a Class of Nonlinear Elliptic Equations

In this paper we show the existence of weak solutions for a nonlinear elliptic equation with arbitrary growth of the non linearity and data measure. A numerical algorithm to compute a numerical approximation of the weak solution is described and analyzed. In a first step a super-solution is computed using a domain decomposition method. Numerical examples are presented and commented. This work was supported by the French Grant “Action Intégrée MA/02/33”.