ARTIFICIAL BOUNDARY CONDITIONS FOR “VORTEX IN CELL” METHOD

This paper mainly designs artificaial boundary conditions for “vortex in cell“ method in solving two-dimensional incompressible inviscid fluid under two conditions:on is with periodical initial value in one direction and the other with compact supported initial value.To mimic the vortex motion,Euler equation is transformed into vorticity-stream function and the technique of vortex in cell is applied incorporating with the artificial boundary conditions.     

ARTIFICIAL BOUNDARY METHOD FOR THE THREE-DIMENSIONAL EXTERIOR PROBLEM OF ELASTICITY

The exact boundary condition on a spherical artificial boundary is derived for thethree-dimensional exterior problem of linear elasticity in this paper. After this bound-ary condition is imposed on the artificial boundary, a reduced problem only defined in abounded domain is obtained. A series of approximate problems with increasing accuracycan be derived if one truncates the series term in the variational formulation, which isequivalent to the reduced problem. An error estimate is presented to show how the errordepends on the finite element discretization and the accuracy of the approximate problem.In the end, a numerical example is given to demonstrate the performance of the proposedmethod.     

NUMERICAL SOLUTIONS OF PARABOLIC PROBLEMS ON UNBOUNDED 3-D SPATIAL DOMAIN

In this paper,the numerical solutions of heat equation on 3-D unbounded spatial do-main are considered. n artificial boundary Γ is introduced to finite the computationaldomain.On the artificial boundary Γ,the exact boundary condition and a series of approx-imating boundary conditions are derived,which are called artificial boundary conditions.By the exact or approximating boundary condition on the artificial boundary,the originalproblem is reduced to an initial-boundary value problem on the bounded computationaldomain,which is equivalent or approximating to the original problem.The finite differencemethod and finite element method are used to solve the reduced problems on the finitecomputational domain.The numerical results demonstrate that the method given in thispaper is effective and feasible.     

凹角区域双曲外问题的精确人工边界条件

研究一类凹角区域双曲型外问题的数值方法.先用Newmark方法对时间进行离散化,在每个时间步求解一个椭圆外问题.然后引入人工边界,并获得精确的人工边界条件.给出半离散化问题的变分问题,证明了变分问题的适定性,并给出了误差估计.最后给出数值例子,以示该方法的可行性与有效性.     

Error estimates for the finite element approximation of linear elastic equations in an unbounded domain

In this paper we present error estimates for the finite element approximation of linear elastic equations in an unbounded domain. The finite element approximation is formulated on a bounded computational domain using a nonlocal approximate artificial boundary condition or a local one. In fact there are a family of nonlocal approximate boundary conditions with increasing accuracy (and computational cost) and a family of local ones for a given artificial boundary. Our error estimates show how the errors of the finite element approximations depend on the mesh size, the terms used in the approximate artificial boundary condition, and the location of the artificial boundary. A numerical example for Navier equations outside a circle in the plane is presented. Numerical results demonstrate the performance of our error estimates.

     

THE ARTIFICIAL BOUNDARY CONDITIONS FOR NUMERICAL SIMULATIONS OF THE COMPLEX AMPLITUDE IN A COUPLED BAY-RIVER SYSTEM

We consider the numerical approximations of the complex amplitude in a coupled bayriver system in this work. One half-circumference is introduced as the artificial boundary in the open sea, and one segment is introduced as the artificial boundary in the river if the river is semi-infinite. On the artificial boundary a sequence of high-order artificial boundary conditions are proposed. Then the original problem is solved in a finite computational domain, which is equivalent to a variational problem. The numerical approximations for the original problem are obtained by solving the variational probiem with the finite element method. The numerical examples show that the artificial boundary conditions given in this work are very effective.     

APPROXIMATION, STABILITY AND FAST EVALUATION OF EXACT ARTIFICIAL BOUNDARY CONDITION FOR THE ONE-DIMENSIONAL HEAT EQUATION

In this paper we consider the numerical solution of the one-dimensional heat equation on unbounded domains. First an exact semi-discrete artificial boundary condition is derived by discretizing the time variable with the Crank-Nicolson method. The semi-discretized heat equation equipped with this boundary condition is then proved to be unconditionally stable, and its solution is shown to have second-order accuracy. In order to reduce the computational cost, we develop a new fast evaluation method for the convolution operation involved in the exact semi-discrete artificial boundary condition. A great advantage of this method is that the unconditional stability held by the semi-discretized heat equation is preserved. An error estimate is also given to show the dependence of numerical errors on the time step and the approximation accuracy of the convolution kernel. Finally, a simple numerical example is presented to validate the theoretical results.     

THE GLOBAL ARTIFICIAL BOUNDARY CONDITIONS FOR NUMERICAL SIMULATIONS OF THE 3D FLOW AROUND A SUBMERGED BODY

We consider the numerical approximations of the three-dimensional steady potential flow around a body moving in a liquid of finite constant depth at constant speed and distance below a free surface in a channel. One vertical side is introduced as the up-stream artificial boundary and two vertical sides are introduced as the downstream arti-ficial boundaries. On the artificial boundaries, a sequence of high-order global artificial boundary conditions are given. Then the original problem is reduced to a problem defined on a finite computational domain, which is equivalent to a variational problem. After solving the variational problem by the finite element method, we obtain the numerical approximation of the original problem. The numerical examples show that the artificial boundary conditions given in this paper are very effective.     

三维Poisson方程外问题的高阶局部人工边界条件

１引言假设Ｒ３是一分片光滑的闭曲面．是以为边界的无界区域,=Ｒ3是以为边界的有界区域,并且存在球Ｂ0＝ｘｘＲ0我们考虑下面Ｐｏｉｓｓｏｎ方程的外问题：这里f(x）,ｇ（x）是,上的已知函数,f(x)的支集是紧的,即存在一个球面=x·x=R1,使得x＝xｘＲ１,有ｆx＝０．令＝,则ｆ（ｘ）的支集包含在中,令＝xx＝,表示u在上的外法向微商．用流量为零的条件代替无限远处条件（３）,则我们得到一个新的外问题：我们将分别讨论问题（１）－（３）和（４）－（７）的数值解．由于求解区域的无界性,给数值计算带来了本质性的困难．克服此…     

Spectral Method for the Black-Scholes Model of American Options Valuation

In this paper, we devote ourselves to the research of numerical methods for American option pricing problems under the Black-Scholes model. The optimal exercise boundary which satisfies a nonlinear Volterra integral equation is resolved by a high-order collocation method based on graded meshes. For the other spatial domain boundary, an artificial boundary condition is applied to the pricing problem for the effective truncation of the semi-infinite domain. Then, the front-fixing and stretching transformations are employed to change the truncated problem in an irregular domain into a one-dimensional parabolic problem in [−1,1]. The Chebyshev spectral method coupled with fourth-order Runge-Kutta method is proposed for the resulting parabolic problem related to the options. The stability of the semi-discrete numerical method is established for the parabolic problem transformed from the original model. Numerical experiments are conducted to verify the performance of the proposed methods and compare them with some existing methods.     

On Local Nonreflecting Boundary Conditions for Time Dependent Wave Propagation

The simulation of wave phenomena in unbounded domains generally requires an artificial boundary to truncate the unbounded exterior and limit the computation to a finite region. At the artificial boundary a boundary condition is then needed, which allows the propagating waves to exit the computational domain without spurious reflection. In 1977, Engquist and Majda proposed the first hierarchy of absorbing boundary conditions, which allows a systematic reduction of spurious reflection without moving the artificial boundary farther away from the scatterer. Their pioneering work, which initiated an entire research area, is reviewed here from a modern perspective. Recent developments such as high-order local conditions and their extension to multiple scattering are also presented. Finally, the accuracy of high-order local conditions is demonstrated through numerical experiments.     

浅水方程近岸行为的数值模拟

二维浅水流动几乎仅在水平方向上,这一特点容许在数学形式上对ＮＳ方程进行简化：通过描述水流运动的平均行为而使得问题降低一维［１０］,从而在数值上表现为大大减少计算量,这一相对简单性正是浅水方程之所以吸引如此多的计算数学家和流体力学家关注的原因之一．通过降维而减少计算量的思想在深水方程中表现为通过边界积分法而捕捉气液交界面的行为［１］． 浅水方程的数值模拟在计算机出现的早期就开始得到应用．在本世纪四十年代后期,Ｃｈａｒｎｅｙ等人就利用它做了大气的数值模拟［２］,Ｈａｎｓｅｎ数值模拟了海洋流动［５］．…     

Convergence of a difference scheme for the heat equation in a long strip by artificial boundary conditions

The numerical solution of the heat equation on a strip in two dimensions is considered. An artificial boundary is introduced to make the computational domain finite. On the artificial boundary, an exact boundary condition is proposed to reduce the original problem to an initial‐boundary value problem in a finite computational domain. A difference scheme is constructed by the method of reduction of order to solve the problem in the finite computational domain. It is proved that the difference scheme is uniquely solvable, unconditionally stable and convergent with the convergence order 2 in space and order 3/2 in time in an energy norm. A numerical example demonstrates the theoretical results.© 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2007     

A simple and robust boundary treatment for the forced Korteweg–de Vries equation

In this paper, we propose a simple and robust numerical method for the forced Korteweg–de Vries (fKdV) equation which models free surface waves of an incompressible and inviscid fluid flow over a bump. The fKdV equation is defined in an infinite domain. However, to solve the equation numerically we must truncate the infinite domain to a bounded domain by introducing an artificial boundary and imposing boundary conditions there. Due to unsuitable artificial boundary conditions, most wave propagation problems have numerical difficulties (e.g., the truncated computational domain must be large enough or the numerical simulation must be terminated before the wave approaches the artificial boundary for the quality of the numerical solution). To solve this boundary problem, we develop an absorbing non-reflecting boundary treatment which uses outward wave velocity. The basic idea of the proposing algorithm is that we first calculate an outward wave velocity from the solutions at the previous and present time steps and then we obtain a solution at the next time step on the artificial boundary by moving the solution at the present time step with the velocity. And then we update solutions at the next time step inside the domain using the calculated solution on the artificial boundary. Numerical experiments with various initial conditions for the KdV and fKdV equations are presented to illustrate the accuracy and efficiency of our method.     

Analysis of a FEM/BEM coupling method for transonic flow computations

A sensitive issue in numerical calculations for exterior flow problems, e.g.around airfoils, is the treatment of the far field boundary conditions on a computational domain which is bounded. In this paper we investigate this problem for two-dimensional transonic potential flows with subsonic far field flow around airfoil profiles. We take the artificial far field boundary in the subsonic flow region. In the far field we approximate the subsonic potential flow by the Prandtl-Glauert linearization. The latter leads via the Green representation theorem to a boundary integral equation on the far field boundary. This defines a nonlocal boundary condition for the interior ring domain. Our approach leads naturally to a coupled finite element/boundary element method for numerical calculations. It is compared with local boundary conditions. The error analysis for the method is given and we prove convergence provided the solution to the analytic transonic flow problem around the profile exists.

     

An artificial boundary method for the Hull-White model of American interest rate derivatives

The Hull-White (HW) model is a widely used one-factor interest rate model because of its analytical tractability on liquidly traded derivatives, super-calibration ability to the initial term structure and elegant tree-building procedure. As an explicit finite difference scheme, lattice method is subject to some stability criteria, which may deteriorate the computational efficiency for early exercisable derivatives. This paper proposes an artificial boundary method based on the partial differential equations (PDEs) to price interest rate derivatives with early exercise (American) feature under the HW model. We construct conversion factors to extract the market information from the zero-coupon curve and then reduce the infinite computational domain into a finite one by using an artificial boundary on which an exact boundary condition is derived. We then develop an implicit θ-scheme with unconditional stability to solve the PDE in the reduced bounded domain. With a finite computational domain, the optimal exercise strategy can be determined efficiently. Our numerical examples show that the proposed scheme is accurate, robust to the truncation size, and more efficient than the popular lattice method for accurate derivative prices. In addition, the singularity-separating technique is incorporated into the artificial boundary method to enhance accuracy and flexibility of the numerical scheme.     

Practical finite‐analytic method for solving differential equations by compact numerical schemes

Methodology for development of compact numerical schemes by the practical finite‐analytic method (PFAM) is presented for spatial and/or temporal solution of differential equations. The advantage and accuracy of this approach over the conventional numerical methods are demonstrated. In contrast to the tedious discretization schemes resulting from the original finite‐analytic solution methods, such as based on the separation of variables and Laplace transformation, the practical finite‐analytical method is proven to yield simple and convenient discretization schemes. This is accomplished by a special universal determinant construction procedure using the general multi‐variate power series solutions obtained directly from differential equations. This method allows for direct incorporation of the boundary conditions into the numerical discretization scheme in a consistent manner without requiring the use of artificial fixing methods and fictitious points, and yields effective numerical schemes which are operationally similar to the finite‐difference schemes. Consequently, the methods developed for numerical solution of the algebraic equations resulting from the finite‐difference schemes can be readily facilitated. Several applications are presented demonstrating the effect of the computational molecule, grid spacing, and boundary condition treatment on the numerical accuracy. The quality of the numerical solutions generated by the PFAM is shown to approach to the exact analytical solution at optimum grid spacing. It is concluded that the PFAM offers great potential for development of robust numerical schemes. © 2008 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2009     

Motion of a vortex filament in the half-space

A model equation for the motion of a vortex filament immersed in three-dimensional, incompressible and inviscid fluid is investigated as a preliminary attempt to model the motion of a tornado. We solve an initial–boundary value problem in the half-space, where we impose a boundary condition in which the vortex filament is allowed to move on the boundary.     

Numerical solution to a linearized KdV equation on unbounded domain

Exact absorbing boundary conditions for a linearized KdV equation are derived in this paper. Applying these boundary conditions at artificial boundary points yields an initial‐boundary value problem defined only on a finite interval. A dual‐Petrov‐Galerkin scheme is proposed for numerical approximation. Fast evaluation method is developed to deal with convolutions involved in the exact absorbing boundary conditions. In the end, some numerical tests are presented to demonstrate the effectiveness and efficiency of the proposed method.© 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2008     

AN ARTIFICIAL BOUNDARY CONDITION FOR THE INCOMPRESSIBLE VISCOUS FLOWS IN A NO-SLIP CHANNEL

1.IntroductionWhencomputingthenumericals0luti0nsofviscousfluidfl0wproblemsinallun-boundedd0main,0neoftenintroducesartificialboundaries,andsetsupanartificialbopundarycondition0nthem;thenthe0riginalproblemisreducedtoaproblemonab0undedc0mputationald0main.InordertoIimitthecomputatio11alcost,theseboundariesmustnotbet00farfromthedomainofinterest.Theref0re,theartificialboundaryc0nditi0nsmustbegoodapprotimationt0the"exact"boundaryconditions(sothatthes0lutionoftheproblemintheboundeddonlainisequaltothes…