hp‐FEM for second moments of elliptic PDEs with stochastic data. I. Analytic regularity

For a linear second order elliptic partial differential operator A : V → V′, we consider the boundary value problems Au = f with stationary Gaussian random data f over the dual V′ of the separable Hilbert space V in which the solution u is sought. The operator A is assumed to be deterministic and bijective. The unique solution u = A^?1f is a Gaussian random field over V. It is characterized by its mean field E_u and its covariance C_u ∈ V ? V. For a class of Gaussian data f with piecewise analytic covariance kernels C_f ∈ V′ ? V′, we characterize analytic regularity of the covariance C_u of the Gaussian solution u in families of countably normed, weighted Sobolev spaces. To this end, we investigate shift theorems for the (nonhypoelliptic) deterministic tensor PDEs (A ? A)C_u = C_f proposed by Schwab and Todor, (Numer Math 95 (2003), 707–734) for the computation of covariance C_u of the random solution u. The nonhypoelliptic nature of A ? A implies that sing supp(C_u) is in general strictly larger than sing supp(C_f). For a model problem, analyticity and singular support of the solution is characterized completely. Based on our regularity results, we outline an hp‐finite element strategy (Pentenrieder, Ph.D thesis, ETHZurich, Dissertation No. 18729, 2009; Pentenrieder and Schwab, Research Report 2010‐08, Seminar for Applied Mathematics, ETH Zürich, Submitted) to approximate C_u stemming from covariances of stationary Gaussian data f. In the second part (Pentenrieder and Schwab, Research Report 2010–08, Seminar for Applied Mathematics, ETH Zürich, Submitted) of this work, we prove that this discretization gives exponential rates of convergence of the FE approximations, in terms of the number of degrees of freedom. © 2011 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2012     

Natural hp‐BEM for the electric field integral equation with singular solutions

We apply the hp ‐version of the boundary element method (BEM) for the numerical solution of the electric field integral equation (EFIE) on a Lipschitz polyhedral surface Γ. The underlying meshes are supposed to be quasi‐uniform triangulations of Γ, and the approximations are based on either Raviart‐Thomas or Brezzi‐Douglas‐Marini families of surface elements. Nonsmoothness of Γ leads to singularities in the solution of the EFIE, severely affecting convergence rates of the BEM. However, the singular behavior of the solution can be explicitly specified using a finite set of functions (vertex‐, edge‐, and vertex‐edge singularities), which are the products of power functions and poly‐logarithmic terms. In this article, we use this fact to perform an a priori error analysis of the hp ‐BEM on quasi‐uniform meshes. We prove precise error estimates in terms of the polynomial degree p, the mesh size h, and the singularity exponents. © 2011 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2012     

On the convergence of general stationary iterative methods for range‐Hermitian singular linear systems

General stationary iterative methods with a singular matrix M for solving range‐Hermitian singular linear systems are presented, some convergence conditions and the representation of the solution are also given. It can be verified that the general Ortega–Plemmons theorem and Keller theorem for the singular matrix M still hold. Furthermore, the singular matrix M can act as a good preconditioner for solving range‐Hermitian linear systems. Numerical results have demonstrated the effectiveness of the general stationary iterations and the singular preconditioner M. Copyright © 2009 John Wiley & Sons, Ltd.     

Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming

Sample average approximation (SAA) is one of the most popular methods for solving stochastic optimization and equilibrium problems. Research on SAA has been mostly focused on the case when sampling is independent and identically distributed (iid) with exceptions (Dai et al. (2000) [9], Homem-de-Mello (2008) [16]). In this paper we study SAA with general sampling (including iid sampling and non-iid sampling) for solving nonsmooth stochastic optimization problems, stochastic Nash equilibrium problems and stochastic generalized equations. To this end, we first derive the uniform exponential convergence of the sample average of a class of lower semicontinuous random functions and then apply it to a nonsmooth stochastic minimization problem. Exponential convergence of estimators of both optimal solutions and M-stationary points (characterized by Mordukhovich limiting subgradients (Mordukhovich (2006) [23], Rockafellar and Wets (1998) [32])) are established under mild conditions. We also use the unform convergence result to establish the exponential rate of convergence of statistical estimators of a stochastic Nash equilibrium problem and estimators of the solutions to a stochastic generalized equation problem.     

Mesh‐independent convergence of the modified inexact Newton method for a second order non‐linear problem

In this paper, we consider an inexact Newton method applied to a second order non‐linear problem with higher order non‐linearities. We provide conditions under which the method has a mesh‐independent rate of convergence. To do this, we are required, first, to set up the problem on a scale of Hilbert spaces and second, to devise a special iterative technique which converges in a higher than first order Sobolev norm. We show that the linear (Jacobian) system solved in Newton's method can be replaced with one iterative step provided that the initial non‐linear iterate is accurate enough. The closeness criteria can be taken independent of the mesh size. Finally, the results of numerical experiments are given to support the theory. Published in 2005 by John Wiley & Sons, Ltd.     

Strong convergence of the split‐step θ‐method for stochastic age‐dependent population equations

In this paper, we constructed the split‐step θ (SSθ)‐method for stochastic age‐dependent population equations. The main aim of this paper is to investigate the convergence of the SS θ‐method for stochastic age‐dependent population equations. It is proved that the proposed method is convergent with strong order 1/2 under given conditions. Finally, an example is simulated to verify the results obtained from the theory, and comparative analysis with Euler method is given, the results show the higher accuracy of the SS θ‐method. Copyright © 2014 John Wiley & Sons, Ltd.     

The hp‐version of the BEM with quasi‐uniform meshes for a three‐dimensional crack problem: The case of a smooth crack having smooth boundary curve

The article considers a three‐dimensional crack problem in linear elasticity with Dirichlet boundary conditions. The crack in this model problem is assumed to be a smooth open surface with smooth boundary curve. The hp‐version of the boundary element method with weakly singular operator is applied to approximate the unknown jump of the traction which is not L₂‐regular due to strong edge singularities. Assuming quasi‐uniform meshes and uniform distributions of polynomial degrees, we prove an a priori error estimate in the energy norm. The estimate gives an upper bound for the error in terms of the mesh size h and the polynomial degree p. It is optimal in h for any given data and quasi‐optimal in p for sufficiently smooth data. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2008     

Finite‐time stability of fractional‐order stochastic singular systems with time delay and white noise

In this article, the finite‐time stochastic stability of fractional‐order singular systems with time delay and white noise is investigated. First the existence and uniqueness of solution for the considered system is derived using the basic fractional calculus theory. Then based on the Gronwall's approach and stochastic analysis technique, the sufficient condition for the finite‐time stability criterion is developed. Finally, a numerical example is presented to verify the obtained theory. © 2016 Wiley Periodicals, Inc. Complexity 21: 370–379, 2016     

High‐order split‐step theta methods for non‐autonomous stochastic differential equations with non‐globally Lipschitz continuous coefficients

In this paper, we first propose the so‐called improved split‐step theta methods for non‐autonomous stochastic differential equations driven by non‐commutative noise. Then, we prove that the improved split‐step theta method is convergent with strong order of one for stochastic differential equations with the drift coefficient satisfying a superlinearly growing condition and a one‐sided Lipschitz continuous condition. Finally, the obtained results are verified by numerical experiments. Copyright © 2016 John Wiley & Sons, Ltd.     

Uniform convergence of Galerkin‐multigrid methods for nonconforming finite elements for second‐order problems with less than full elliptic regularity

In this article we prove uniform convergence estimates for the recently developed Galerkin‐multigrid methods for nonconforming finite elements for second‐order problems with less than full elliptic regularity. These multigrid methods are defined in terms of the “Galerkin approach,” where quadratic forms over coarse grids are constructed using the quadratic form on the finest grid and iterated coarse‐to‐fine intergrid transfer operators. Previously, uniform estimates were obtained for problems with full elliptic regularity, whereas these estimates are derived with less than full elliptic regularity here. Applications to the nonconforming P₁, rotated Q₁, and Wilson finite elements are analyzed. The result applies to the mixed method based on finite elements that are equivalent to these nonconforming elements. © 2002 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 18: 203–217, 2002; DOI 10.1002/num.10004     

ΓD‐convergence for a class of quasilinear elliptic equations in thin structures

We study the asymptotic behaviour of the solution of a stationary quasilinear elliptic problem posed in a domain Ω^(ε) of asymptotically degenerating measure, i.e. meas Ω^(ε) → 0 as ε → 0, where ε is the parameter that characterizes the scale of the microstructure. We obtain the convergence of the solution and the homogenized model of the problem is constructed using the notion of convergence in domains of degenerating measure. Proofs are given using the method of local characteristics of the medium Ω^(ε) associated with our problem in a variational form. Copyright © 2005 John Wiley & Sons, Ltd.     

Exponential stability for markovian jumping stochastic BAM neural networks with mode‐dependent probabilistic time‐varying delays and impulse control

In this article, an exponential stability analysis of Markovian jumping stochastic bidirectional associative memory (BAM) neural networks with mode‐dependent probabilistic time‐varying delays and impulsive control is investigated. By establishment of a stochastic variable with Bernoulli distribution, the information of probabilistic time‐varying delay is considered and transformed into one with deterministic time‐varying delay and stochastic parameters. By fully taking the inherent characteristic of such kind of stochastic BAM neural networks into account, a novel Lyapunov‐Krasovskii functional is constructed with as many as possible positive definite matrices which depends on the system mode and a triple‐integral term is introduced for deriving the delay‐dependent stability conditions. Furthermore, mode‐dependent mean square exponential stability criteria are derived by constructing a new Lyapunov‐Krasovskii functional with modes in the integral terms and using some stochastic analysis techniques. The criteria are formulated in terms of a set of linear matrix inequalities, which can be checked efficiently by use of some standard numerical packages. Finally, numerical examples and its simulations are given to demonstrate the usefulness and effectiveness of the proposed results. © 2014 Wiley Periodicals, Inc. Complexity 20: 39–65, 2015     

Mean square exponential synchronization for impulsive coupled neural networks with time‐varying delays and stochastic disturbances

In this article, the mean square exponential synchronization of a class of impulsive coupled neural networks with time‐varying delays and stochastic disturbances is investigated. The information transmission among the systems can be directed and lagged, that is, the coupling matrices are not needed to be symmetrical and there exist interconnection delays. The dynamical behaviors of the networks can be both continuous and discrete. Specially, the time‐varying delays are taken into consideration to describe the impulsive effects of the system. The control objective is that the trajectories of the salve system by designing suitable control schemes track the trajectories of the master system with impulsive effects. Consequently, sufficient criteria for guaranteeing the mean square exponential convergence of the two systems are obtained in view of Lyapunov stability theory, comparison principle, and mathematical induction. Finally, a numerical simulation is presented to show the verification of the main results in this article. © 2015 Wiley Periodicals, Inc. Complexity 21: 190–202, 2016     

Exponential H∞ synchronization for discrete‐time chaotic neural networks with time delays and stochastic perturbations via output feedback control

This paper investigates the problem of exponential H_∞ synchronization of discrete‐time chaotic neural networks with time delays and stochastic perturbations. First, by using the Lyapunov‐Krasovskii (Lyapunov) functional and output feedback controller, we establish the H_∞ performance of exponential synchronization in the mean square of master‐slave systems, which is analyzed using a matrix inequality approach. Second, the parameters of a desired output feedback controller can be achieved by solving a linear matrix inequality. Finally, 2 simulated examples are presented to show the effectiveness of the theoretical results.     

A mixed hp FEM for the approximation of fourth‐order singularly perturbed problems on smooth domains

We consider fourth‐order singularly perturbed problems posed on smooth domains and the approximation of their solution by a mixed Finite Element Method on the so‐called Spectral Boundary Layer Mesh. We show that the method converges uniformly, with respect to the singular perturbation parameter, at an exponential rate when the error is measured in the energy norm. Numerical examples illustrate our theoretical findings.     

Numerical scheme for solving system of fractional partial differential equations with Volterra‐type integral term through two‐dimensional block‐pulse functions

In the current study, an approximate scheme is established for solving the fractional partial differential equations (FPDEs) with Volterra integral terms via two‐dimensional block‐pulse functions (2D‐BPFs). According to the definitions and properties of 2D‐BPFs, the original problem is transformed into a system of linear algebra equations. By dispersing the unknown variables for these algebraic equations, the numerical solutions can be obtained. Besides, the proof of the convergence of this system is given. Finally, several numerical experiments are presented to test the feasibility and effectiveness of the proposed method.     

Comparison of two algorithms for solving a two‐stage bilinear stochastic programming problem with quantile criterion

The paper is devoted to solving the two‐stage problem of stochastic programming with quantile criterion. It is assumed that the loss function is bilinear in random parameters and strategies, and the random vector has a normal distribution. Two algorithms are suggested to solve the problem, and they are compared. The first algorithm is based on the reduction of the original stochastic problem to a mixed integer linear programming problem. The second algorithm is based on the reduction of the problem to a sequence of convex programming problems. Performance characteristics of both the algorithms are illustrated by an example. A modification of both the algorithms is suggested to reduce the computing time. The new algorithm uses the solution obtained by the second algorithm as a starting point for the first algorithm. Copyright © 2015 John Wiley & Sons, Ltd.     

Non‐autonomous homogeneous rational difference equations of degree one: convergence and monotone solutions for second and third order case

Consider the non‐autonomous equations: where and also These are some non‐autonomous homogeneous rational difference equations of degree one. A reduction in order is consi‐dered. Convergence and monoton character of positive solutions are studied. Copyright © 2013 John Wiley & Sons, Ltd.     

M ‐functions for closed extensions of adjoint pairs of operators with applications to elliptic boundary problems

In this paper, we combine results on extensions of operators with recent results on the relation between the M ‐function and the spectrum, to examine the spectral behaviour of boundary value problems. M ‐functions are defined for general closed extensions, and associated with realisations of elliptic operators. In particular, we consider both ODE and PDE examples where it is possible for the operator to possess spectral points that cannot be detected by the M ‐function (© 2009 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)