Application of functional integrals to stochastic equations

Representing a probability density function (PDF) and other quantities describing a solution of stochastic differential equations by a functional integral is considered in this paper. Methods for the approximate evaluation of the arising functional integrals are presented. Onsager–Machlup functionals are used to represent PDF by a functional integral. Using these functionals the expression for PDF on a small time interval Δt can be written. This expression is true up to terms having an order higher than one relative to Δt. A method for the approximate evaluation of the arising functional integrals is considered. This method is based on expanding the action along the classical path. As an example the application of the proposed method to evaluate some quantities to solve the equation for the Cox–Ingersol–Ross type model is considered.     

Accuracy evaluation of unsteady CFD numerical schemes by vortex preservation

Numerical uncertainty is an important but sensitive subject in computational fluid dynamics and there is a need for improved methods to quantify calculation accuracy. A known analytical solution, a Lamb-type vortex unsteady movement in a free stream, is compared to the numerical solutions obtained from different numerical schemes to assess their temporal accuracies. Solving the Navier-Stokes equations and using the standard Linearized Block Implicit ADI scheme, with first order accuracy in time second order in space, a vortex is convected and results show the rapid diffusion of the vortex. These calculations were repeated with the iterative implicit ADI scheme which has second-order time accuracy. A considerable improvement was noticed. The results of a similar calculation using an iterative fifth-order spatial upwind-biased scheme is also considered. The findings of the present paper demonstrate the needs and provide a means for quantification of both distribution and absolute values of numerical error.     

A spatially second order alternating direction implicit (ADI) method for solving three dimensional parabolic interface problems

A new matched alternating direction implicit (ADI) method is proposed in this paper for solving three-dimensional (3D) parabolic interface problems with discontinuous jumps and complex interfaces. This scheme inherits the merits of its ancestor for two-dimensional problems, while possesses several novel features, such as a non-orthogonal local coordinate system for decoupling the jump conditions, two-side estimation of tangential derivatives at an interface point, and a new Douglas–Rachford ADI formulation that minimizes the number of perturbation terms, to attack more challenging 3D problems. In time discretization, this new ADI method is found to be of first order and stable in various experiments. In space discretization, the matched ADI method achieves the second order accuracy based on simple Cartesian grids for various irregularly-shaped surfaces and spatial–temporal dependent jumps. Computationally, the matched ADI method is as efficient as the fastest implicit scheme based on the geometrical multigrid for solving 3D parabolic equations, in the sense that its complexity in each time step scales linearly with respect to the spatial degree of freedom $N$, i.e., $O\left(N\right)$. Furthermore, unlike iterative methods, the ADI method is an exact or non-iterative algebraic solver which guarantees to stop after a certain number of computations for a fixed $N$. Therefore, the proposed matched ADI method provides a very promising tool for solving 3D parabolic interface problems.     

Optimal Error Estimates for the Fully Discrete Interior Penalty DG Method for the Wave Equation

In Grote et al. (SIAM J. Numer. Anal., 44:2408–2431, 2006) a symmetric interior penalty discontinuous Galerkin (DG) method was presented for the time-dependent wave equation. In particular, optimal a-priori error bounds in the energy norm and the L ²-norm were derived for the semi-discrete formulation. Here the error analysis is extended to the fully discrete numerical scheme, when a centered second-order finite difference approximation (“leap-frog” scheme) is used for the time discretization. For sufficiently smooth solutions, the maximal error in the L ²-norm error over a finite time interval converges optimally as O(h ^p+1+Δt ²), where p denotes the polynomial degree, h the mesh size, and Δt the time step.     

A CCD–ADI method for unsteady convection–diffusion equations

With a combined compact difference scheme for the spatial discretization and the Crank–Nicolson scheme for the temporal discretization, respectively, a high-order alternating direction implicit method (ADI) is proposed for solving unsteady two dimensional convection–diffusion equations. The method is sixth-order accurate in space and second-order accurate in time. The resulting matrix at each ADI computation step corresponds to a triple-tridiagonal system which can be effectively solved with a considerable saving in computing time. In practice, Richardson extrapolation is exploited to increase the temporal accuracy. The unconditional stability is proved by means of Fourier analysis for two dimensional convection–diffusion problems with periodic boundary conditions. Numerical experiments are conducted to demonstrate the efficiency of the proposed method. Moreover, the present method preserves the higher order accuracy for convection-dominated problems.     

A new kind of discretization scheme for solving a two-dimensional time-independent Schrödinger equation

In this paper we present a new kind of discretization scheme for solving a two-dimensional time-independent Schrödinger equation. The scheme uses a symmetrical multi-point difference formula to represent the partial differentials of the two-dimensional variables, which can improve the accuracy of the numerical solutions to the order of Δx2Nq+2 when a (2Nq+1)-point formula is used for any positive integer Nq with Δx=Δy, while Nq=1 equivalent to the traditional scheme. On the other hand, the new scheme keeps the same form of the traditional matrix equation so that the standard algebraic eigenvalue algorithm with a real, symmetric, large sparse matrix is still applicable. Therefore, for the same dimension, only a little more CPU time than the traditional one should be used for diagonalizing the matrix. The numerical examples of the two-dimensional harmonic oscillator and the two-dimensional Henon-Heiles potential demonstrate that by using the new method, the error in the numerical solutions can be reduced steadily and extensively through the increase of Nq, which is more efficient than the traditional methods through the decrease of the step size.     

Approximate factorization for a viscous wave equation

A general procedure to construct ADI methods for multidimensional problems was originated by Beam and Warming using the method of approximate factorization. In this paper, we extend the method of approximate factorization to solve a viscous wave equation. The method can be combined with any implicit linear multistep method for the time integration of the wave equation. The stability of the factored schemes and their underlying schemes is analyzed based on a discrete Fourier analysis and the energy method. Convergence proofs are presented and numerical results supporting our analysis are provided.     

Approximation of time-dependent,multi-component,viscoelastic fluid flow

In this article we analyse a fully discrete approximation to the time dependent viscoelasticity equations allowing for multicomponent fluid flow. The Oldroyd B constitutive equation is used to model the viscoelastic stress. For the discretization, time derivatives are replaced by backward difference quotients, and the non-linear terms are linearized by lagging appropriate factors. The modeling equations for the individual fluids are combined into a single system of equations using a continuum surface model. The numerical approximation is stabilized by using an SUPG approximation for the constitutive equation. Under a small data assumption on the true solution, existence of the approximate solution is proven. A priori error estimates for the approximation in terms of the mesh parameter h, the time discretization parameter Δt, and the SUPG coefficient ν are also derived. Numerical simulations of viscoelastic fluid flow involving two immiscible fluids are also presented.     

Stability of Galerkin multistep procedures in time-homogeneous hyperbolic problems

Linear and time-homogeneous hyperbolic initial boundary value problems are approximated using Galerkin procedures for the space directions and linear multistep methods for the time direction. At first error bounds are proved for multistep methods having a stability interval [?ω, 0], 0<ω, and systemsY″=AY+C(t) under the condition that \(\Delta t^2 \left\| A \right\| \leqslant \omega \) Δt time step. Then these error bounds are applied to derive bounds for the error in hyperbolic problems. The result shows that the initial error and the discretization error grow liket andt ² respectively. But the initial error is multiplied with a factor which becomes large if the mesh width of the space discretization is small.     

High-order compact ADI (HOC-ADI) method for solving unsteady 2D Schrödinger equation

In this paper, a high-order compact (HOC) alternating direction implicit (ADI) method is proposed for the solution of the unsteady two-dimensional Schrödinger equation. The present method uses the fourth-order Padé compact difference approximation for the spatial discretization and the Crank-Nicolson scheme for the temporal discretization. The proposed HOC-ADI method has fourth-order accuracy in space and second-order accuracy in time. The resulting scheme in each ADI computation step corresponds to a tridiagonal system which can be solved by using the one-dimensional tridiagonal algorithm with a considerable saving in computing time. Numerical experiments are conducted to demonstrate its efficiency and accuracy and to compare it with analytic solutions and numerical results established by some other methods in the literature. The results show that the present HOC-ADI scheme gives highly accurate results with much better computational efficiency.     

The higher-order Levenberg–Marquardt method with Armijo type line search for nonlinear equations

To save more Jacobian calculations and achieve a faster convergence rate, Yang [A higher-order Levenberg-Marquardt method for nonlinear equations, Appl. Math. Comput. 219(22)(2013), pp. 10682–10694, doi:10.1016/j.amc.2013.04.033, 65H10] proposed a higher-order Levenberg–Marquardt (LM) method by computing the LM step and another two approximate LM steps for nonlinear equations. Under the local error bound condition, global and local convergence of this method is proved by using trust region technique. However, it is clear that the last two approximate LM steps may be not necessarily a descent direction, and standard line search technique cannot be used directly to obtain the convergence properties of this higher-order LM method. Hence, in this paper, we employ the nonmonotone second-order Armijo line search proposed by Zhou [On the convergence of the modified Levenberg-Marquardt method with a nonmonotone second order Armijo type line search, J. Comput. Appl. Math. 239 (2013), pp. 152–161] to guarantee the global convergence of this higher-order LM method. Moreover, the local convergence is also preserved under the local error bound condition. Numerical results show that the new method is efficient.     

A rational high-order compact ADI method for unsteady convection–diffusion equations

Based on a fourth-order compact difference formula for the spatial discretization, which is currently proposed for the one-dimensional (1D) steady convection–diffusion problem, and the Crank–Nicolson scheme for the time discretization, a rational high-order compact alternating direction implicit (ADI) method is developed for solving two-dimensional (2D) unsteady convection–diffusion problems. The method is unconditionally stable and second-order accurate in time and fourth-order accurate in space. The resulting scheme in each ADI computation step corresponds to a tridiagonal matrix equation which can be solved by the application of the 1D tridiagonal Thomas algorithm with a considerable saving in computing time. Three examples supporting our theoretical analysis are numerically solved. The present method not only shows higher accuracy and better phase and amplitude error properties than the standard second-order Peaceman–Rachford ADI method in Peaceman and Rachford (1959) [4], the fourth-order ADI method of Karaa and Zhang (2004) [5] and the fourth-order ADI method of Tian and Ge (2007) [23], but also proves more effective than the fourth-order Padé ADI method of You (2006) [6], in the aspect of computational cost. The method proposed for the diffusion–convection problems is easy to implement and can also be used to solve pure diffusion or pure convection problems.     

Finite difference method for time–space linear and nonlinear fractional diffusion equations

ABSTRACT

In this paper a finite difference method is presented to solve time–space linear and nonlinear fractional diffusion equations. Specifically, the centred difference scheme is used to approximate the Riesz fractional derivative in space. A trapezoidal formula is used to solve a system of Volterra integral equations transformed from spatial discretization. Stability and convergence of the proposed scheme is discussed which shows second-order accuracy both in temporal and spatial directions. Finally, examples are presented to show the accuracy and effectiveness of the schemes.     

A semi-implicit Hall-MHD solver using whistler wave preconditioning

The dispersive character of the Hall-MHD solutions, in particular the whistler waves, is a strong restriction to numerical treatments of this system. Numerical stability demands a time step dependence of the form Δt∝²(Δx) for explicit calculations. A new semi-implicit scheme for integrating the induction equation is proposed and applied to a reconnection problem. It is based on a fix point iteration with a physically motivated preconditioning. Due to its convergence properties, short wavelengths converge faster than long ones, thus it can be used as a smoother in a nonlinear multigrid method.     

Design of electronic t-out-of-n lotteries on the Internet

The explosive development of network technology makes playing lotteries on the Internet become a billion-dollar industry now. This article presents an electronic t-out-of-n lottery game based on Chinese Remainder Theorem on the Internet. It is proved that this new method can achieve the general requirements of common electronic lottery mechanisms. Specifically, it allows lottery players to simultaneously select t out of n numbers in a ticket without iterative selection. And, this functionality makes the new method possible to be applied in practice. The security of the novel scheme is based on the secure one-way hash function and the factorization problem in RSA cryptosystems.     

基于支持向量机的思维脑电信号特征分类研究

探索一种实用的基于想象运动思维脑电的脑-机接口(BCI)方式,为实现BCI应用奠定比较坚实的理论和实验基础。对6名受试者进行三种不同时段(箭头出现2s、1s和0s后提示按键)情况下想象左右手运动思维作业的信号采集实验,利用小波变换和支持向量机对实验数据进行离线处理。对三种情况下的延缓时间△t0、△t1和△t2分析发现:△t0与△t1和△t2之间都有显著性差别(p<0.05),而△t1与△t2之间没有显著差别(p>0.05);平均分类正确率分别达到68.00%、80.00%和56.67%(p<0.05);实际按键前0.5~1s左右,想象左右手运动的思维脑电特征信号都发生了明显改变。通过合理的实验设计获取的信号有助于识别正确率的提高,为BCI系统中思维任务的特征提取与识别分类提供了新思路和方法。     

The Nørsett time integration methodology for finite element transient analysis

This paper presents a set of methods for time integration of problems arising from finite element semidiscretizations. The purpose is to obtain computationally efficient methods which possess higher-order accuracy and controllable dissipation in the spurious high modes. The methods are developed and analysed by a general collocation methodology which leads to the class of Nørsett approximants. An algorithmic parameter is used to achieve an effective control over numerical dissipation. Moreover, a simple and efficient implementation scheme is presented. At each time step, algorithms based on p-order collocation polynomials require the solution of p sets of linear algebraic equations with the same coefficient matrix. In this way, a single factorization is needed and no transformations are required to recover the approximate solution at the end or within the time interval. To demonstrate the performance of the proposed algorithms, a wide experimental evaluation is carried out on typical test problems in finite element transient analysis.     

Discontinuous Galerkin Method for Linear Free-Surface Gravity Waves

In this paper, we discuss a discontinuous Galerkin finite (DG) element method for linear free surface gravity waves. We prove that the algorithm is unconditionally stable and does not require additional smoothing or artificial viscosity terms in the free surface boundary condition to prevent numerical instabilities on a non-uniform mesh. A detailed error analysis of the full time-dependent algorithm is given, showing that the error in the wave height and velocity potential in the L²-norm is in both cases of optimal order and proportional to O(Δt²+h^p+1), without the need for a separate velocity reconstruction, with p the polynomial order, h the mesh size and Δt the time step. The error analysis is confirmed with numerical simulations. In addition, a Fourier analysis of the fully discrete scheme is conducted which shows the dependence of the frequency error and wave dissipation on the time step and mesh size. The algebraic equations for the DG discretization are derived in a way suitable for an unstructured mesh and result in a symmetric positive definite linear system. The algorithm is demonstrated on a number of model problems, including a wave maker, for discretizations with accuracy ranging from second to fourth order.This revised version was published online in July 2005 with corrected volume and issue numbers.     

Numerical solution for the Cauchy problem in nonlinear 1-D-thermoelasticity

We approximate the Cauchy problem by a problem in a bounded domain Ω _R =(?R,R) withR>0 sufficiently large, and the boundary conditions on ?Ω _R are imposed in terms of the far field behavior of solutions to the Cauchy problem. Then we solve this approximate problem by the finite element method for the spatial variable and the difference method for the time variable. Moreover a coupled numerical scheme for the Cauchy problem is presented. The error estimates are established.     

High order parameter-robust numerical method for time dependent singularly perturbed reaction–diffusion problems

We introduce a high order parameter-robust numerical method to solve a Dirichlet problem for one-dimensional time dependent singularly perturbed reaction-diffusion equation. A small parameter ε is multiplied with the second order spatial derivative in the equation. The parabolic boundary layers appear in the solution of the problem as the perturbation parameter ε tends to zero. To obtain the approximate solution of the problem we construct a numerical method by combining the Crank–Nicolson method on an uniform mesh in time direction, together with a hybrid scheme which is a suitable combination of a fourth order compact difference scheme and the standard central difference scheme on a generalized Shishkin mesh in spatial direction. We prove that the resulting method is parameter-robust or ε-uniform in the sense that its numerical solution converges to the exact solution uniformly well with respect to the singular perturbation parameter ε. More specifically, we prove that the numerical method is uniformly convergent of second order in time and almost fourth order in spatial variable, if the discretization parameters satisfy a non-restrictive relation. Numerical experiments are presented to validate the theoretical results and also indicate that the relation between the discretization parameters is not necessary in practice.