Analogues of Feynman formulas for ill-posed problems associated with the Schrödinger equation

Representations of Schrödinger semigroups and groups by Feynman iterations are studied. The compactness, rather than convergence, of the sequence of Feynman iterations is considered. Approximations of solutions of the Cauchy problem for the Schrödinger equation by Feynman iterations are investigated. The Cauchy problem for the Schrödinger equation under consideration is ill-posed. From the point of view of the approach of the paper, this means that the problem has no solution in the sense of integral identity for some initial data. The well-posedness of the Cauchy problem can be recovered by extending the operator to a selfadjoint one; however, there exists continuum many such extensions. Feynman iterations whose partial limits are the solutions of all Cauchy problems obtained for various self-adjoint extensions are studied.     

Splitting methods for second‐order initial value problems

We consider implicit integration methods for the solution of stiff initial value problems for second-order differential equations of the special form y' = f(y). In implicit methods, we are faced with the problem of solving systems of implicit relations. This paper focuses on the construction and analysis of iterative solution methods which are effective in cases where the Jacobian of the right‐hand side of the differential equation can be split into a sum of matrices with a simple structure. These iterative methods consist of the modified Newton method and an iterative linear solver to deal with the linear Newton systems. The linear solver is based on the approximate factorization of the system matrix associated with the linear Newton systems. A number of convergence results are derived for the linear solver in the case where the Jacobian matrix can be split into commuting matrices. Such problems often arise in the spatial discretization of time‐dependent partial differential equations. Furthermore, the stability matrix and the order of accuracy of the integration process are derived in the case of a finite number of iterations. This revised version was published online in August 2006 with corrections to the Cover Date.     

Positive solutions and dynamics of a finite difference reaction–diffusion system

We investigate the dynamics and methods of computation for some nonlinear finite difference systems that are the discretized equations of a time-dependent and a steady-state reaction–diffusion problem. The formulation of the discrete equations for the time-dependent problem is based on the implicit method for parabolic equations, and the computational algorithm is based on the method of monotone iterations using upper and lower solutions as the initial iterations. The monotone iterative method yields improved upper and lower bounds of the solution in each iteration, and the sequence of iterations converges monotonically to a solution for both the time-dependent and the steady-state problems. An important consequence of this method is that it leads to a bifurcation point that determines the dynamic behavior of the time-dependent problem in relation to the corresponding steady-state problem. This bifurcation point also determines whether the steady-state problem has one or two non-negative solutions, and is explicitly given in terms of the physical parameters of the system and the type of boundary conditions. Numerical results are presented for both the time-dependent and the steady-state problems under various boundary conditions, including a test problem with known analytical solution. These numerical results exhibit the predicted dynamic behavior of the time-dependent solution given by the theoretical analysis. Also discussed are the numerical stability of the computational algorithm and the convergence of the finite difference solution to the corresponding continuous solution of the reaction–diffusion problem. © 1993 John Wiley & Sons, Inc.     

Multi-step quasi-Newton methods for optimization

Quasi-Newton methods update, at each iteration, the existing Hessian approximation (or its inverse) by means of data deriving from the step just completed. We show how “multi-step” methods (employing, in addition, data from previous iterations) may be constructed by means of interpolating polynomials, leading to a generalization of the “secant” (or “quasi-Newton”) equation. The issue of positive-definiteness in the Hessian approximation is addressed and shown to depend on a generalized version of the condition which is required to hold in the original “single-step” methods. The results of extensive numerical experimentation indicate strongly that computational advantages can accrue from such an approach (by comparison with “single-step” methods), particularly as the dimension of the problem increases.     

Numerical methods for coupled systems of quasilinear elliptic equations with nonlinear boundary conditions

This paper is concerned with numerical solutions of a coupled system of arbitrary number of quasilinear elliptic equations under combined Dirichlet and nonlinear boundary conditions. A finite difference system for a transformed system of the quasilinear equations is formulated, and three monotone iterative schemes for the computation of numerical solutions are given using the method of upper and lower solutions. It is shown that each of the three monotone iterations converges to a minimal solution or a maximal solution depending on whether the initial iteration is a lower solution or an upper solution. A comparison result among the three iterative schemes is given. Also shown is the convergence of the minimal and maximal discrete solutions to the corresponding minimal and maximal solutions of the continuous system as the mesh size tends to zero. These results are applied to a heat transfer problem with temperature dependent thermal conductivity and a Lotka-Volterra cooperation system with degenerate diffusion. This degenerate property leads to some interesting distinct property of the system when compared with the non-degenerate semilinear systems. Numerical results are given to the above problems, and in each problem an explicit continuous solution is constructed and is used to compare with the computed solution     

A block monotone iterative method for numerical solutions of nonlinear elliptic boundary value problems

The aim of this article is to develop a new block monotone iterative method for the numerical solutions of a nonlinear elliptic boundary value problem. The boundary value problem is discretized into a system of nonlinear algebraic equations, and a block monotone iterative method is established for the system using an upper solution or a lower solution as the initial iteration. The sequence of iterations can be computed in a parallel fashion and converge monotonically to a maximal solution or a minimal solution of the system. Three theoretical comparison results are given for the sequences from the proposed method and the block Jacobi monotone iterative method. The comparison results show that the sequence from the proposed method converges faster than the corresponding sequence given by the block Jacobi monotone iterative method. A simple and easily verified condition is obtained to guarantee a geometric convergence of the block monotone iterations. The numerical results demonstrate advantages of this new approach. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2011     

Parallel iteration across the steps of high-order Runge-Kutta methods for nonstiff initial value problems

For the parallel integration of nonstiff initial value problems (IVPs), three main approaches can be distinguished: approaches based on “parallelism across the problem”, on “parallelism across the method” and on “parallelism across the steps”. The first type of parallelism does not require special integration methods and can be exploited within any available IVP solver. The method-parallelism approach received much attention, particularly within the class of explicit Runge-Kutta methods originating from fixed point iteration of implicit Runge-Kutta methods of Gaussian type. The construction and implementation on a parallel machine of such methods is extremely simple. Since the computational work per processor is modest with respect to the number of data to be exchanged between the various processors, this type of parallelism is most suitable for shared memory systems. The required number of processors is roughly half the order of the generating Runge-Kutta method and the speed-up with respect to a good sequential IVP solver is about a factor 2. The third type of parallelism (step-parallelism) can be achieved in any IVP solver based on predictor-corrector iteration and requires the processors to communicate after each full iteration. If the iterations have sufficient computational volume, then the step-parallel approach may be suitable for implementation on distributed memory systems. Most step-parallel methods proposed so far employ a large number of processors, but lack the property of robustness, due to a poor convergence behaviour in the iteration process. Hence, the effective speed-up is rather poor. The dynamic step-parallel iteration process proposed in the present paper is less massively parallel, but turns out to be sufficiently robust to achieve speed-up factors up to 15.     

Block monotone iterative methods for numerical solutions of nonlinear elliptic equations

Summary. Two block monotone iterative schemes for a nonlinear algebraic system, which is a finite difference approximation of a nonlinear elliptic boundary-value problem, are presented and are shown to converge monotonically either from above or from below to a solution of the system. This monotone convergence result yields a computational algorithm for numerical solutions as well as an existence-comparison theorem of the system, including a sufficient condition for the uniqueness of the solution. An advantage of the block iterative schemes is that the Thomas algorithm can be used to compute numerical solutions of the sequence of iterations in the same fashion as for one-dimensional problems. The block iterative schemes are compared with the point monotone iterative schemes of Picard, Jacobi and Gauss-Seidel, and various theoretical comparison results among these monotone iterative schemes are given. These comparison results demonstrate that the sequence of iterations from the block iterative schemes converges faster than the corresponding sequence given by the point iterative schemes. Application of the iterative schemes is given to a logistic model problem in ecology and numerical ressults for a test problem with known analytical solution are given. Received August 1, 1993 / Revised version received November 7, 1994     

Smooth boundary integration method in a linear two-dimensional problem of incompressible fluid and solid

This paper presents a new application of a theoretical and computational method of smooth boundary integration which belongs to the methods of boundary integral equations. Smooth integration is not a method of approximation. In its final analytical form, a smooth-kernel integral equation is computerized easily and accurately.

Smooth integration is associated with a “pressure-vorticity” formulation which covers linear problems in elasticity and fluid mechanics. The solution presented herein is essentially the same as that reported in an earlier paper for regular elasticity. The constraint of incompressibility does not cause difficulties in the pressure-vorticity formulation.

The linear fluid mechanics problem formulated and solved in this paper covers Stokes' problem of a slow viscous flow, and has a wider interpretation. The translational inertia forces are incorporated in the linear problem, as in Euler's dynamic theory of inviscid flow. The centrifugal inertia forces are left for the non-linear problem. The linear problem is perceived as a step in solution of the non-linear problems.     

What Monte Carlo models can do and cannot do efficiently?

The question “what Monte Carlo models can do and cannot do efficiently” is discussed for some functional spaces that define the regularity of the input data. Data classes important for practical computations are considered: classes of functions with bounded derivatives and Hölder type conditions, as well as Korobov-like spaces.

Theoretical performance analysis of some algorithms with unimprovable rate of convergence is given. Estimates of computational complexity of two classes of algorithms – deterministic and randomized for both problems – numerical multidimensional integration and calculation of linear functionals of the solution of a class of integral equations are presented.     

Accelerated monotone iterative methods for finite difference equations of reaction-diffusion

This paper is concerned with numerical methods for a finite difference system of reaction-diffusion-convection equation under nonlinear boundary condition. Various monotone iterative methods are presented, and each of these methods leads to an existence-comparison theorem as well as a computational algorithm for numerical solutions. The monotone property of the iterations gives improved upper and lower bounds of the solution in each iteration, and the rate of convergence of the iterations is either quadratic or nearly quadratic depending on the property of the nonlinear function. Application is given to a model problem from chemical engineering, and some numerical results, including a test problem with known analytical solution, are presented to illustrate the various rates of convergence of the iterations. Received November 2, 1995 / Revised version received February 10, 1997     

On the quadrature methods for the numerical solution of singular integral equations

A Cauchy type singular integral equation can be numerically solved by the use of an appropriate numerical integration rule and the reduction of this equation to a system of linear algebraic equations, either directly or after the reduction of the Cauchy type singular integral equation to an equivalent Fredholm integral equation of the second kind. In this paper two fundamental theorems on the equivalence (under appropriate conditions) of the aforementioned methods of numerical solution of Cauchy type singular integral equations are proved in sufficiently general cases of Cauchy type singular integral equations of the second kind.     

A procedure for determining a spacewise dependent heat source and the initial temperature

The inverse problem of determining a spacewise dependent heat source, together with the initial temperature for the parabolic heat equation, using the usual conditions of the direct problem and information from two supplementary temperature measurements at different instants of time is studied. These spacewise dependent temperature measurements ensure that this inverse problem has a unique solution, despite the solution being unstable, hence the problem is ill-posed. We propose an iterative algorithm for the stable reconstruction of both the initial data and the source based on a sequence of well-posed direct problems for the parabolic heat equation, which are solved at each iteration step using the boundary element method. The instability is overcome by stopping the iterations at the first iteration for which the discrepancy principle is satisfied. Numerical results are presented for a typical benchmark test example, which has the input measured data perturbed by increasing amounts of random noise. The numerical results show that the proposed procedure gives accurate numerical approximations in relatively few iterations.     

A variational conjugate gradient method for determining the fluid velocity of a slow viscous flow

The problem considered is that of determining the fluid velocity for linear hydrostatics Stokes flow of slow viscous fluids from measured velocity and fluid stress force on a part of the boundary of a bounded domain. A variational conjugate gradient iterative procedure is proposed based on solving a series of mixed well-posed boundary value problems for the Stokes operator and its adjoint. In order to stabilize the Cauchy problem, the iterations are ceased according to an optimal order discrepancy principle stopping criterion. Numerical results obtained using the boundary element method confirm that the procedure produces a convergent and stable numerical solution.     

Numerical solution of the three-dimensional Dirichlet problem for inhomogeneous media by the method of integral equations

We consider the three-dimensional Dirichlet problem for equations of elliptic type in inhomogeneous media. The problem can be reduced to a system of loaded Fredholm integral equations of the second kind over the volume. We prove the uniqueness of a classical solution of the problem. We suggest a numerical solution algorithm of iterative type. An example of the numerical solution of the problem is considered, and the convergence of the iterative procedure is demonstrated numerically.     

Generalized combined field integral equations for the iterative solution of the three-dimensional Maxwell equations

The construction of new second-kind Fredholm integral equations for the numerical solution of problems of high-frequency electromagnetic scattering by a perfect conductor is proposed. These formulations are characterized by some eigenvalue clusterings. They are especially well adapted to Krylov subspace iterative solvers. Their derivation is based on the incorporation of a sufficiently accurate approximation of the exact operator linking the Cauchy data of the scattering boundary-value problem to the classical integral relations. This operator is related to the concept of the On-Surface Radiation Condition (OSRC). These formulations can be considered as a natural generalization of the well-known Brakhage–Werner and combined field integral equations. The efficiency of the approach is established through an analytical and numerical study in the spherical case.     

An approach to deducing approximate solutions to the Cauchy problem for nonlinear differential equations

A new technique for the construction of numerical methods based on continued fractions is proposed. A characteristic feature of these algorithms is the fact that for certain values of the parameters it is possible to obtain both novel and traditional (explicit and implicit) numerical methods for the solution of the Cauchy problem for ordinary differential equations. Two-sided formulas are proposed by means of which it is possible to obtain on each integration step not only upper and lower approximations to the exact solution, but also information concerning the magnitude of the leading term of the error without the need for additional calculations of the right-hand side of the initial differential equation.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 44, No. 12, pp. 1695–1701, December, 1992.     

Application of the discrete Fourier transform to solving the Cauchy integral equation

The uniquely solvable system of the Cauchy integral equation of the first kind and index 1 and an additional integral condition is treated. Such a system arises, for example, when solving the skew derivative problem for the Laplace equation outside an open arc in a plane. This problem models the electric current from a thin electrode in a semiconductor film placed in a magnetic field. A fast and accurate numerical method based on the discrete Fourier transform is proposed. Some computational tests are given. It is shown that the convergence is close to exponential.     

Hyperbolic variational inequalities in problems of the dynamics of elastoplastic bodies

Results of a study of variational inequalities appearing in dynamic problems of the theory of elastic-ideally plastic Prandtl-Reuss flow are given. The concept of a generalized solution is formulated for the general-type inequality and is used to construct the complete system of relations for a strong discontinuity. A priori estimates are obtained which make it possible to prove the uniqueness and continuous dependence “in the small” on time of the solutions of the Cauchy problem and initial-boundary value problems with dissipative boundary conditions, as well as the estimates of the nearness of the solutions of the variational inequality and of the system of equations with a small parameter describing the elasto-viscoplastic deformation of the bodies. The problem of the propagation of plane waves in an elastoplastic half-space with initial stresses is used as an example to illustrate the difference between the discontinuous solutions with the Mises yield condition and with the Tresca-St Venant consition in the theory of flows.     

An iterative algorithm for large size least-squares constrained regularization problems

In this paper we propose an iterative algorithm to solve large size linear inverse ill posed problems. The regularization problem is formulated as a constrained optimization problem. The dual Lagrangian problem is iteratively solved to compute an approximate solution. Before starting the iterations, the algorithm computes the necessary smoothing parameters and the error tolerances from the data.The numerical experiments performed on test problems show that the algorithm gives good results both in terms of precision and computational efficiency.