On the moving boundary formulation for parabolic problems on unbounded domains

The aim of this paper is to propose an original numerical approach for parabolic problems whose governing equations are defined on unbounded domains. We are interested in studying the class of problems admitting invariance property to Lie group of scalings. Thanks to similarity analysis the parabolic problem can be transformed into an equivalent boundary value problem governed by an ordinary differential equation and defined on an infinite interval. A free boundary formulation and a convergence theorem for this kind of transformed problems are available in [R. Fazio, A novel approach to the numerical solution of boundary value problems on infinite intervals, SIAM J. Numer. Anal. 33 (1996), pp. 1473–1483]. Depending on its scaling invariance properties, the free boundary problem is then solved numerically using either a noniterative, or an iterative method. Finally, the solution of the parabolic problem is retrieved by applying the inverse map of similarity.     

Boundary Value Technique for Finding Numerical Solution to Boundary Value Problems for Third Order Singularly Perturbed Ordinary Differential Equations

A class of singularly perturbed two point boundary value problems (BVPs) for third order ordinary differential equations is considered. The BVP is reduced to a weakly coupled system of one first order Ordinary Differential Equation (ODE) with a suitable initial condition and one second order singularly perturbed ODE subject to boundary conditions. In order to solve this system, a computational method is suggested in this paper. This method combines an exponentially fitted finite difference scheme and a classical finite difference scheme. The proposed method is distinguished by the fact that, first we divide the domain of definition of the differential equation into three subintervals called inner and outer regions. Then we solve the boundary value problem over these regions as two point boundary value problems. The terminal boundary conditions of the inner regions are obtained using zero order asymptotic expansion approximation of the solution of the problem. The present method can be extended to system of two equations, of which, one is a first order ODE and the other is a singularly perturbed second order ODE. Examples are presented to illustrate the method.     

A Parallel Boundary Value Technique for Singularly Perturbed Two-Point Boundary Value Problems

A class of singularly perturbed two-point boundary-value problems (BVPs) for second-order ordinary differential equations (DEs) is considered here. In order to obtain numerical solution to these problems, an iterative non-overlapping domain decomposition method is suggested. The BVPs are independent in each subdomain and one can use parallel computers to solve these BVPs. One of the characteristics of the method is that the number of processors available is a free parameter of the method. Practical experiments on a Silicon Graphics Origin 200, with 4 MIPS R10000 processors have been performed, showing the reliability and performance of the proposed parallel schemes. Error estimates for the solution and numerical examples are provided.     

Solving singular nonlinear boundary value problems by combining the homotopy perturbation method and reproducing kernel Hilbert space method

This paper investigates singular nonlinear boundary value problems (BVPs). The numerical solutions are developed by combining He's homotopy perturbation method (HPM) and reproducing kernel Hilbert space method (RKHSM). He's HPM is based on the use of traditional perturbation method and homotopy technique. The HPM can reduce a nonlinear problem to a sequence of linear problems and generate a rapid convergent series solution in most cases. RKHSM is also an analytical technique, which can solve powerfully singular linear BVPs. Therefore, we solve singular nonlinear BVPs using advantages of these two methods. Three numerical examples are presented to illustrate the strength of the method.     

Stochastic optimal open-loop feedback control: Approximate solution of the Hamiltonian system

Considering a dynamic control system with random model parameters and using the stochastic Hamilton approach stochastic open-loop feedback controls can be determined by solving a two-point boundary value problem (BVP) that describes the optimal state and costate trajectory. In general an analytical solution of the BVP cannot be found. This paper presents two approaches for approximate solutions, each consisting of two independent approximation stages. One stage consists of an iteration process with linearized BVPs that will terminate when the optimal trajectories are represented. These linearized BVPs are then solved by either approximation fixed-point equations (first approach) or Taylor-Expansions in the underlying stochastic model parameters (second approach). This approximation results in a deterministic linear BVP, which can be handled by solving a matrix Riccati differential equation.     

A new superconvergent method for systems of nonlinear singular boundary value problems

A new superconvergent method based on a sextic spline is described and analysed for the solution of systems of nonlinear singular two-point boundary value problems (BVPs). It is well known that the optimal orders of convergence could not be achieved using standard formulation of a sextic spline for the solution of BVPs. Based on the method used in our earlier research papers [J. Rashidinia and M. Ghasemi, B-spline collocation for solution of two-point boundary value problems, J. Comput. Appl. Math. 235 (2011), pp. 2325–2342; J. Rashidinia, M. Ghasemi, and R. Jalilian, An o(h ⁶) numerical solution of general nonlinear fifth-order two point boundary value problems, Numer. Algorithms 55(4) (2010), pp. 403–428], we construct a new O(h ⁸) locally superconvergent method for the solution of general nonlinear two-point BVPs up to order 6. The error bounds and the convergence properties of the method have been proved theoretically. Then, the method is extended to solve the system of nonlinear two-point BVPs. Some test problems are given to demonstrate the applicability and the superconvergent properties of the proposed method numerically. It is shown that the method is very efficient and applicable for stiff BVPs too.     

The falkneer-skan equation: Numerical solutions within group invariance theory

The iterative transformation method, defined within the framework of the group invariance theory, is applied to the numerical solution of the Falkner-Skan equation with relevant boundary conditions. In this problem a boundary condition at infinity is imposed which is not suitable for a numerical use. In order to overcome this difficulty we introduce a free boundary formulation of the problem, and we define the iterative transformation method that reducess the free boundary formulation to a sequence of initial value problems. Moreover, as far as the value of the wall shear stress is concerned we propose a numerical test of convergence. The usefulness of our approach is illustrated by considering the wall shear stress for the classical Homann and Hiemenz flows. In the Homann's case we apply the proposed numerical test of convergence, and meaningful numerical results are listed. Moreover, for both cases we compared our results with those reported in literature.     

Solution to boundary shape optimization problem of linear elastic continua with prescribed natural vibration mode shapes

This paper presents a practical method of numerical analysis for boundary shape optimization problems of linear elastic continua in which natural vibration modes approach prescribed modes on specified sub-boundaries. The shape gradient for the boundary shape optimization problem is evaluated with optimality conditions obtained by the adjoint variable method, the Lagrange multiplier method, and the formula for the material derivative. Reshaping is accomplished by the traction method, which has been proposed as a solution to boundary shape optimization problems of domains in which boundary value problems of partial differential equations are defined. The validity of the presented method is confirmed by numerical results of three-dimensional beam-like and plate-like continua.     

Valuation of European continuous-installment options

This paper is concerned with the valuation of European continuous-installment options where the aim is to determine the initial premium given a constant installment payment plan. The distinctive feature of this pricing problem is the determination, along with the initial premium, of an optimal stopping boundary since the option holder has the right to stop making installment payments at any time before maturity. Given that the initial premium function of this option is governed by an inhomogeneous Black-Scholes partial differential equation, we can obtain two alternative characterizations of the European continuous-installment option pricing problem, for which no closed-form solution is available. First, we formulate the pricing problem as a free boundary problem and using the integral representation method, we derive integral expressions for both the initial premium and the optimal stopping boundary. Next, we use the linear complementarity formulation of the pricing problem for determining the initial premium and the early stopping curve implicitly with a finite difference scheme. Finally, the pricing problem is posed as an optimal stopping problem and then implemented by a Monte Carlo approach.     

An asymptotic numerical method for fourth order singular perturbation problems with a discontinuous source term

Singularly perturbed two-point boundary-value problems (BVPs) for fourth-order ordinary differential equations (ODEs) with a small positive parameter multiplying the highest derivative with a discontinuous source term is considered. The given fourth-order BVP is transformed into a system of weakly coupled systems of two second-order ODEs, one without the parameter and the other with the parameter ? multiplying the highest derivative, and suitable boundary conditions. In this paper a computational method for solving this system is presented. In this method we first find the zero-order asymptotic approximation expansion of the solution of the weakly coupled system. Then the system is decoupled by replacing the first component of the solution by its zero-order asymptotic approximation expansion of the solution in the second equation. Then the second equation is solved by the numerical method, which is constructed for this problem and which involves an appropriate piecewise-uniform mesh.     

Numerical treatment for boundary value problems of Pantograph functional differential equation using computational intelligence algorithms

In this study, stochastic computational techniques are developed for the solution of boundary value problems (BVPs) of second order Pantograph functional differential equation (PFDE) using artificial neural networks(ANNs), simulated annealing (SA), pattern search (PS), genetic algorithms (GAs), active-set algorithm (ASA) and their hybrid combinations. The strength of ANNs is exploited to construct a model for PFDE by defining as unsupervised error to approximate the solution. The accuracy of the model is subjected to find the appropriate design parameters of the networks. These optimal weights of the networks are trained using SA, PS and GAs, used as a tool for viable global search, hybridized with ASA for rapid local convergence. The designed schemes are evaluated by solving a numbers of BVPs for the PFDE and comparing with standard results. The reliability and effectiveness of the proposed solvers are investigated through Monte-Carlo simulations and their statistical analysis.     

An adaptive nonmonotone truncated Newton method for optimal control of a class of parabolic distributed parameter systems

A black-box method using the finite elements, the Crank–Nicolson and a nonmonotone truncated Newton (TN) method is presented for solving optimal control problems (OCPs) governed by partial differential equations (PDEs). The proposed method finds the optimal control of a class of linear and nonlinear parabolic distributed parameter systems with a quadratic cost functional. To this end, the piecewise linear finite elements method and the well-known Crank–Nicolson method are used for discretizing in space and in time, respectively. Afterwards, regarding the implicit function theorem (IFT), the optimal control problem is transformed into an unconstrained nonlinear optimization problem. Considering that in a gradient-based method for solving optimal control problems, the evaluations of gradients and Hessians of the cost functional is important, hence, an adjoint technique is used to evaluate them effectively. In addition, to make a globalization strategy, we first introduce an adaptive nonmonotone strategy which properly controls the degree of nonmonotonicity and then incorporate it into an inexact Armijo-type line search approach to construct a more relaxed line search procedure. Finally, the obtained unconstrained nonlinear optimization problem is solved by utilizing the proposed nonmonotone truncated Newton method. Results gained from the new offered method compared with existing methods show that the new method is promising.     

A fourth-order accurate compact scheme for the solution of steady Navier-Stokes equations on non-uniform grids

This paper deals with the formulation of a higher-order compact (HOC) scheme on non-uniform grids in complex geometries to simulate two-dimensional (2D) steady incompressible viscous flows governed by the Navier-Stokes (N-S) equations. The proposed scheme which is spatially fourth-order accurate is then tested on three nonlinear problems, namely (i) a problem governed by N-S equations with a constructed analytical solution, (ii) lid-driven cavity flow problem, and (iii) constricted channel flow problem. In the process, we have also expanded the scope of fourth-order 9-point compact schemes to geometries beyond rectangular. It is seen to efficiently capture steady-state solutions of the N-S equations with Dirichlet as well as Neumann boundary conditions. In addition to this, it captures viscous flows involving free and wall bounded shear layers which invariably contain spatial scale variations. Our results are in excellent agreement with analytical and numerical results whenever available and they clearly demonstrate the superior scale resolution of the proposed scheme.     

Multi-point boundary value problem for optimal bridge design

Based upon He's homotopy perturbation and variational iteration methods, we present a method for approximate solutions of nonlinear second-order multi-point boundary value problems (BVPs) in bridge design. Two numerical experiments are carried out to demonstrate the efficiency of the present method. The results reveal that the proposed method is very effective for second-order multi-point BVPs in bridge design.     

Artificial Neural Network Method for Solution of Boundary Value Problems With Exact Satisfaction of Arbitrary Boundary Conditions

A method for solving boundary value problems (BVPs) is introduced using artificial neural networks (ANNs) for irregular domain boundaries with mixed Dirichlet/Neumann boundary conditions (BCs). The approximate ANN solution automatically satisfies BCs at all stages of training, including before training commences. This method is simpler than other ANN methods for solving BVPs due to its unconstrained nature and because automatic satisfaction of Dirichlet BCs provides a good starting approximate solution for significant portions of the domain. Automatic satisfaction of BCs is accomplished by the introduction of an innovative length factor. Several examples of BVP solution are presented for both linear and nonlinear differential equations in two and three dimensions. Error norms in the approximate solution on the order of $10^{{-}4}$ to $10^{{-}5}$ are reported for all example problems.      

A combined finite and infinite element approach for modeling spherically symmetric transient subsurface flow

This paper presents a finite element-infinite element coupling approach for modeling a spherically symmetric transient flow problem in a porous medium of infinite extent. A finite element model is used to examine the flow potential distribution in a truncated bounded region close to the spherical cavity. In order to give an appropriate artificial boundary condition at the truncated boundary, a transient infinite element, that is developed to describe transient flow in the exterior unbounded domain, is coupled with the finite element model. The coupling procedure of the finite and infinite elements at their interface is described by means of the boundary integro-differential equation rather than through a matrix approach. Consequently, a Neumann boundary condition can be applied at the truncated boundary to ensure the C¹-continuity of the solution at the truncated boundary. Numerical analyses indicate that the proposed finite element-infinite element coupling approach can generate a correct artificial truncated boundary condition to the finite element model for the unbounded flow transport problem.     

On reachability and minimum cost optimal control

Questions of reachability for continuous and hybrid systems can be formulated as optimal control or game theory problems, whose solution can be characterized using variants of the Hamilton-Jacobi-Bellman or Isaacs partial differential equations. The formal link between the solution to the partial differential equation and the reachability problem is usually established in the framework of viscosity solutions. This paper establishes such a link between reachability, viability and invariance problems and viscosity solutions of a special form of the Hamilton-Jacobi equation. This equation is developed to address optimal control problems where the cost function is the minimum of a function of the state over a specified horizon. The main advantage of the proposed approach is that the properties of the value function (uniform continuity) and the form of the partial differential equation (standard Hamilton-Jacobi form, continuity of the Hamiltonian and simple boundary conditions) make the numerical solution of the problem much simpler than other approaches proposed in the literature. This fact is demonstrated by applying our approach to a reachability problem that arises in flight control and using numerical tools to compute the solution.     

Computing the positive solutions of the discrete third-order three-point right focal boundary-value problems

The existence of positive solutions to the discrete third-order three-point boundary-value problems (BVPs) was recently established in Ji and Yang [Positive solutions of discrete third-order three-point right focal boundary value problems, J. Differ. Equat. Appl. 15 (2009), pp. 185–195]. In this paper, we propose an algorithm for the computation of such positive solutions. The method is based on the power method for the dominant eigenvalue and the Crout-like factorization algorithm for the sparse system of linear equations. At each iteration of the method, it calls for a linear solver with linear computational complexity. The proposed method is extremely effective for large-scale problems. A numerical example is also included to demonstrate the effectiveness of the algorithm when applied to the third-order three-point BVPs of differential equation.     

The equations of stationary, incompressible magnetohydrodynamics with mixed boundary conditions

This paper deals with the questions of existence, uniqueness, and finite element approximation of solutions to the equations of steady-state magnetohydrodynamics with mixed boundary conditions, posed on a bounded, three-dimensional domain. The boundary conditions for the velocity equations are of Dirichlet, Neumann, and mixed type. These boundary conditions are important when considering free boundary value problems, problems on artificially truncated domains, and control problems which are governed by these equations.