Implicit–explicit multistep characteristic finite element methods for nonlinear convection–diffusion equations

Implicit–explicit multistep characteristic methods are given for convection‐dominated diffusion equations. Multistep difference along characteristics of the one‐order hyperbolic part of the equation is used for discretization in time, and finite element method is used to discrete the space variables. The resulting schemes are consistent, stable and very efficient. Optimal‐rate of convergence is proved. Also, a note is given for a paper published earlier© 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2007     

Performance and numerical behavior of the second‐order scheme of precise time‐step integration for transient dynamic analysis

Spurious high‐frequency responses resulting from spatial discretization in time‐step algorithms for structural dynamic analysis have long been an issue of concern in the framework of traditional finite difference methods. Such algorithms should be not only numerically dissipative in a controllable manner, but also unconditionally stable so that the time‐step size can be governed solely by the accuracy requirement. In this article, the issue is considered in the framework of the second‐order scheme of the precise integration method (PIM). Taking the Newmark‐β method as a reference, the performance and numerical behavior of the second‐order PIM for elasto‐dynamic impact‐response problems are studied in detail. In this analysis, the differential quadrature method is used for spatial discretization. The effects of spatial discretization, numerical damping, and time step on solution accuracy are explored by analyzing longitudinal vibrations of a shock‐excited rod with rectangular, half‐triangular, and Heaviside step impact. Both the analysis and numerical tests show that under the framework of the PIM, the spatial discretization used here can provide a reasonable number of model types for any given error tolerance. In the analysis of dynamic response, an appropriate spatial discretization scheme for a given structure is usually required in order to obtain an accurate and meaningful numerical solution, especially for describing the fine details of traction responses with sharp changes. Under the framework of the PIM, the numerical damping that is often required in traditional integration schemes is found to be unnecessary, and there is no restriction on the size of time steps, because the PIM can usually produce results with machine‐like precision and is an unconditionally stable explicit method. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

Stability and convergence of optimum spectral non‐linear Galerkin methods

Our objective in this article is to present some numerical schemes for the approximation of the 2‐D Navier–Stokes equations with periodic boundary conditions, and to study the stability and convergence of the schemes. Spatial discretization can be performed by either the spectral Galerkin method or the optimum spectral non‐linear Galerkin method; time discretization is done by the Euler scheme and a two‐step scheme. Our results show that under the same convergence rate the optimum spectral non‐linear Galerkin method is superior to the usual Galerkin methods. Finally, numerical example is provided and supports our results. Copyright © 2001 John Wiley & Sons, Ltd.     

Gauss‐Lobatto‐Legendre‐Birkhoff pseudospectral approximations for the multi‐term time fractional diffusion‐wave equation with Neumann boundaryconditions

A second‐order finite difference/pseudospectral scheme is proposed for numerical approximation of multi‐term time fractional diffusion‐wave equation with Neumann boundary conditions. The scheme is based upon the weighted and shifted Grünwald difference operators approximation of the time fractional calculus and Gauss‐Lobatto‐Legendre‐Birkhoff (GLLB) pseudospectral method for spatial discretization. The unconditionally stability and convergence of the scheme are rigorously proved. Numerical examples are carried out to verify theoretical results.     

Discontinuous Galerkin methods for solving a hyperbolic inequality

In this paper, we study spatially semi‐discrete and fully discrete schemes to numerically solve a hyperbolic variational inequality, with discontinuous Galerkin (DG) discretization in space and finite difference discretization in time. Under appropriate regularity assumptions on the solution, a unified error analysis is established for four DG schemes, which reaches the optimal convergence order for linear elements. A numerical example is presented, and the numerical results confirm the theoretical error estimates.     

Stability and convergence of efficient Navier‐Stokes solvers via a commutator estimate

For strong solutions of the incompressible Navier‐Stokes equations in bounded domains with velocity specified at the boundary, we establish the unconditional stability and convergence of discretization schemes that decouple the updates of pressure and velocity through explicit time stepping for pressure. These schemes require no solution of stationary Stokes systems, nor any compatibility between velocity and pressure spaces to ensure an inf‐sup condition, and are representative of a class of highly efficient computational methods that have recently emerged. The proofs are simple, based upon a new, sharp estimate for the commutator of the Laplacian and Helmholtz projection operators. This allows us to treat an unconstrained formulation of the Navier‐Stokes equations as a perturbed diffusion equation. © 2007 Wiley Periodicals, Inc.     

Radial basis collocation method and quasi‐Newton iteration for nonlinear elliptic problems

This work presents a radial basis collocation method combined with the quasi‐Newton iteration method for solving semilinear elliptic partial differential equations. The main result in this study is that there exists an exponential convergence rate in the radial basis collocation discretization and a superlinear convergence rate in the quasi‐Newton iteration of the nonlinear partial differential equations. In this work, the numerical error associated with the employed quadrature rule is considered. It is shown that the errors in Sobolev norms for linear elliptic partial differential equations using radial basis collocation method are bounded by the truncation error of the RBF. The combined errors due to radial basis approximation, quadrature rules, and quasi‐Newton and Newton iterations are also presented. This result can be extended to finite element or finite difference method combined with any iteration methods discussed in this work. The numerical example demonstrates a good agreement between numerical results and analytical predictions. The numerical results also show that although the convergence rate of order 1.62 of the quasi‐Newton iteration scheme is slightly slower than rate of order 2 in the Newton iteration scheme, the former is more stable and less sensitive to the initial guess. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2008     

Efficient numerical methods for pricing American options under stochastic volatility

Five numerical methods for pricing American put options under Heston's stochastic volatility model are described and compared. The option prices are obtained as the solution of a two‐dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M‐matrices is proposed. The projected SOR, a projected multigrid method, an operator splitting method, a penalty method, and a componentwise splitting method are considered. The last one is a direct method while all other methods are iterative. The resulting systems of linear equations in the operator splitting method and in the penalty method are solved using a multigrid method. The projected multigrid method and the componentwise splitting method lead to a sequence of linear complementarity problems with one‐dimensional differential operators that are solved using the Brennan and Schwartz algorithm. The numerical experiments compare the accuracy and speed of the considered methods. The accuracies of all methods appear to be similar. Thus, the additional approximations made in the operator splitting method, in the penalty method, and in the componentwise splitting method do not increase the error essentially. The componentwise splitting method is the fastest one. All multigrid‐based methods have similar rapid grid independent convergence rates. They are about two or three times slower that the componentwise splitting method. On the coarsest grid the speed of the projected SOR is comparable with the multigrid methods while on finer grids it is several times slower. ©John Wiley & Sons, Inc. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

Analytical and numerical solutions of a two‐dimensional multi‐term time‐fractional Oldroyd‐B model

In this paper, we consider a two‐dimensional multi‐term time‐fractional Oldroyd‐B equation on a rectangular domain. Its analytical solution is obtained by the method of separation of variables. We employ the finite difference method with a discretization of the Caputo time‐fractional derivative to obtain an implicit difference approximation for the equation. Stability and convergence of the approximation scheme are established in the L_∞ ‐norm. Two examples are given to illustrate the theoretical analysis and analytical solution. The results indicate that the present numerical method is effective for this general two‐dimensional multi‐term time‐fractional Oldroyd‐B model.     

Finite difference discretization of the Benjamin‐Bona‐Mahony‐Burgers equation

Numerical solutions of the Benjamin‐Bona‐Mahony‐Burgers equation in one space dimension are considered using Crank‐Nicolson‐type finite difference method. Existence of solutions is shown by using the Brower's fixed point theorem. The stability and uniqueness of the corresponding methods are proved by the means of the discrete energy method. The convergence in L^∞‐norm of the difference solution is obtained. A conservative difference scheme is presented for the Benjamin‐Bona‐Mahony equation. Some numerical experiments have been conducted in order to validate the theoretical results.© 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

A combined BDF‐semismooth Newton approach for time‐dependent Bingham flow

This article is devoted to the numerical simulation of time‐dependent convective Bingham flow in cavities. Motivated by a primal‐dual regularization of the stationary model, a family of regularized time‐dependent problems is introduced. Well posedness of the regularized problems is proved, and convergence of the regularized solutions to a solution of the original multiplier system is verified. For the numerical solution of each regularized multiplier system, a fully discrete approach is studied. A stable finite element approximation in space together with a second‐order backward differentiation formula for the time discretization are proposed. The discretization scheme yields a system of Newton differentiable nonlinear equations in each time step, for which a semismooth Newton algorithm is used. We present two numerical experiments to verify the main properties of the proposed approach. © 2011 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2011     

Space‐Time Finite Elements for Fluid‐Structure Interaction

A numerical method for the analysis of fluid‐structure interaction in the areas of building aeroelasticity and building‐water interaction is presented. In order to achieve optimal convergence of the solution a consistent space‐time discretization and a strong coupling algorithm is applied to the highly nonlinear problem.     

Hybrid pseudospectral–finite difference method for solving a 3D heat conduction equation in a submicroscale thin film

This research aims to develop a time‐dependent pseudospectral‐finite difference scheme for solving a 3D dual‐phase‐lagging heat transport equation in a submicroscale thin film. The scheme uses periodic pseudospectral discretization in space and a fully second‐order finite difference discretization in time. The three consecutive time steps model is then solved explicitly, by using a preconditioned conjugate gradient method. The scheme is illustrated by an example which is used to investigate the heat transfer in a gold submicroscale thin film. Comparisons are made with available literature. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

On the long‐time stability of the Crank–Nicolson scheme for the 2D Navier–Stokes equations

In this article we study the stability for all positive time of the Crank–Nicolson scheme for the two‐dimensional Navier–Stokes equations. More precisely, we consider the Crank–Nicolson time discretization together with a general spatial discretization, and with the aid of the discrete Gronwall lemma and of the discrete uniform Gronwall lemma we prove that the numerical scheme is stable, provided a CFL‐type condition is satisfied. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007     

A linearized high‐order difference scheme for the fractional Ginzburg–Landau equation

The numerical solution for the one‐dimensional complex fractional Ginzburg–Landau equation is considered and a linearized high‐order accurate difference scheme is derived. The fractional centered difference formula, combining the compact technique, is applied to discretize fractional Laplacian, while Crank–Nicolson/leap‐frog scheme is used to deal with the temporal discretization. A rigorous analysis of the difference scheme is carried out by the discrete energy method. It is proved that the difference scheme is uniquely solvable and unconditionally convergent, in discrete maximum norm, with the convergence order of two in time and four in space, respectively. Numerical simulations are given to show the efficiency and accuracy of the scheme. © 2016 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 105–124, 2017     

A comparative study of efficient iterative solvers for generalized Stokes equations

We consider a generalized Stokes equation with problem parameters ξ?0 (size of the reaction term) and ν>0 (size of the diffusion term). We apply a standard finite element method for discretization. The main topic of the paper is a study of efficient iterative solvers for the resulting discrete saddle point problem. We investigate a coupled multigrid method with Braess–Sarazin and Vanka‐type smoothers, a preconditioned MINRES method and an inexact Uzawa method. We present a comparative study of these methods. An important issue is the dependence of the rate of convergence of these methods on the mesh size parameter and on the problem parameters ξ and ν. We give an overview of the main theoretical convergence results known for these methods. For a three‐dimensional problem, discretized by the Hood–Taylor ??₂–??₁ pair, we give results of numerical experiments. Copyright © 2007 John Wiley & Sons, Ltd.     

Numerical simulation of a class of fractional subdiffusion equations via the alternating direction implicit method

In this article, a new numerical technique is proposed for solving the two‐dimensional time fractional subdiffusion equation with nonhomogeneous terms. After a transformation of the original problem, standard central difference approximation is used for the spatial discretization. For the time step, a new fractional alternating direction implicit (FADI) scheme based on the L₁ approximation is considered. This FADI scheme is constructed by adding a small term, so it is different from standard FADI methods. The solvability, unconditional stability and H¹ norm convergence are proved. Finally, numerical examples show the effectiveness and accuracy of our proposed method. © 2015 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 32: 531–547, 2016     

A monotone scheme for Hamilton–Jacobi equations via the nonstandard finite difference method

A usual way of approximating Hamilton–Jacobi equations is to couple space finite element discretization with time finite difference discretization. This classical approach leads to a severe restriction on the time step size for the scheme to be monotone. In this paper, we couple the finite element method with the nonstandard finite difference method, which is based on Mickens' rule of nonlocal approximation. The scheme obtained in this way is unconditionally monotone. The convergence of the new method is discussed and numerical results that support the theory are provided. Copyright © 2009 John Wiley & Sons, Ltd.     

Time stepping for vectorial operator splitting

We present a fully implicit finite difference method for the unsteady incompressible Navier-Stokes equations. It is based on the one-step θ-method for discretization in time and a special coordinate splitting (called vectorial operator splitting) for efficiently solving the nonlinear stationary problems for the solution at each new time level. The resulting system is solved in a fully coupled approach that does not require a boundary condition for the pressure. A staggered arrangement of velocity and pressure on a structured Cartesian grid combined with the fully implicit treatment of the boundary conditions helps us to preserve the properties of the differential operators and thus leads to excellent stability of the overall algorithm. The convergence properties of the method are confirmed via numerical experiments.