A localized approach for the method of approximate particular solutions

The method of approximate particular solutions (MAPS) has been recently developed to solve various types of partial differential equations. In the MAPS, radial basis functions play an important role in approximating the forcing term. Coupled with the concept of particular solutions and radial basis functions, a simple and effective numerical method for solving a large class of partial differential equations can be achieved. One of the difficulties of globally applying MAPS is that this method results in a large dense matrix which in turn severely restricts the number of interpolation points, thereby affecting our ability to solve large-scale science and engineering problems.In this paper we develop a localized scheme for the method of approximate particular solutions (LMAPS). The new localized approach allows the use of a small neighborhood of points to find the approximate solution of the given partial differential equation. In this paper, this local numerical scheme is used for solving large-scale problems, up to one million interpolation points. Three numerical examples in two-dimensions are used to validate the proposed numerical scheme.     

Particular solutions of Laplace and bi-harmonic operators using Matérn radial basis functions

In this paper, we derive closed-form particular solutions of Matérn radial basis functions for the Laplace and biharmonic operator in 2D and Laplace operator in 3D. These derived particular solutions are essential for the implementation of the method of particular solutions for solving various types of partial differential equations. Four numerical examples in 2D and 3D are given to demonstrate the effectiveness of the derived particular solutions.     

The method of particular solutions for solving nonlinear Poisson problems

Based on the recent development in the method of particular solutions, we re-exam three approaches using different basis functions for solving nonlinear Poisson problems. We further propose to simplify the solution procedure by removing the insolvency condition when the radial basis functions are augmented with high order polynomial basis functions. We also specify the deficiency of some of these methods and provide necessary remedy. The traditional Picard method is introduced to compare with the recent proposed methods using MATLAB optimization toolbox solver for solving nonlinear Poisson equations. Ranking on these three approaches are given based on the results of numerical experiment.     

Localized radial basis functions-based pseudo-spectral method (LRBF-PSM) for nonlocal diffusion problems

Spectral/pseudo-spectral methods based on high order polynomials have been successfully used for solving partial differential and integral equations. In this paper, we will present the use of a localized radial basis functions-based pseudo-spectral method (LRBF-PSM) for solving 2D nonlocal problems with radial nonlocal kernels. The basic idea of the LRBF-PSM is to construct a set of orthogonal functions by RBFs on each overlapping sub-domain from which the global solution can be obtained by extending the approximation on each sub-domain to the entire domain. Numerical implementation indicates that the proposed LRBF-PSM is simple to use, efficient and robust to solve various nonlocal problems.     

A computationally efficient numerical approach for multi-asset option pricing

Numerical solution of the multi-dimensional partial differential equations arising in the modelling of option pricing is a challenging problem. Mesh-free methods using global radial basis functions (RBFs) have been successfully applied to several types of such problems. However, due to the dense linear systems that need to be solved, the computational cost grows rapidly with dimension. In this paper, we propose a numerical scheme to solve the Black–Scholes equation for valuation of options prices on several underlying assets. We use the derivatives of linear combinations of multiquadric RBFs to approximate the spatial derivatives and a straightforward finite difference to approximate the time derivative. The advantages of the scheme are that it does not require solving a full matrix at each time step and the algorithm is easy to implement. The accuracy of our scheme is demonstrated on a test problem.     

Atomic radial basis functions in numerical algorithms for solving boundary-value problems for the Laplace equation

A numerical method for solution of boundary-value problems of mathematical physics is described that is based on the use of radial atomic basis functions. Atomic functions are compactly supported solutions of functional-differential equations of special form. The convergence of this numerical method is investigated for the case of using an atomic function in solving the Dirichlet boundary-value problem for the Laplace equation. __________ Translated from Kibernetika i Sistemnyi Analiz, No. 4, pp. 165–178, July–August 2008.     

The numerical solution of nonlinear generalized Benjamin–Bona–Mahony–Burgers and regularized long-wave equations via the meshless method of integrated radial basis functions

In this paper, a numerical technique is proposed for solving the nonlinear generalized Benjamin–Bona–Mahony–Burgers and regularized long-wave equations. The used numerical method is based on the integrated radial basis functions (IRBFs). First, the time derivative has been approximated using a finite difference scheme. Then, the IRBF method is developed to approximate the spatial derivatives. The two-dimensional version of these equations is solved using the presented method on different computational geometries such as the rectangular, triangular, circular and butterfly domains and also other irregular regions. The aim of this paper is to show that the integrated radial basis function method is also suitable for solving nonlinear partial differential equations. Numerical examples confirm the efficiency of the proposed scheme.

     

The numerical solution of fractional differential equations using the Volterra integral equation method based on thin plate splines

Finding the approximate solution of differential equations, including non-integer order derivatives, is one of the most important problems in numerical fractional calculus. The main idea of the current paper is to obtain a numerical scheme for solving fractional differential equations of the second order. To handle the method, we first convert these types of differential equations to linear fractional Volterra integral equations of the second kind. Afterward, the solutions of the mentioned Volterra integral equations are estimated using the discrete collocation method together with thin plate splines as a type of free-shape parameter radial basis functions. Since the scheme does not need any background meshes, it can be recognized as a meshless method. The proposed approach has a simple and computationally attractive algorithm. Error analysis is also studied for the presented method. Finally, the reliability and efficiency of the new technique are tested over several fractional differential equations and obtained results confirm the theoretical error estimates.

     

Block iterative methods for the numerical solution of three dimensional mildly non-linear biharmonic problems of first kind

In this article, we discuss two sets of new finite difference methods of order two and four using 19 and 27 grid points, respectively over a cubic domain for solving the three dimensional nonlinear elliptic biharmonic problems of first kind. For both the cases we use block iterative methods and a single computational cell. The numerical solution of (?u/?n) are obtained as by-product of the methods and we do not require fictitious points in order to approximate the boundary conditions. The resulting matrix system is solved by the block iterative method using a tri-diagonal solver. In numerical experiments the proposed methods are compared with the exact solutions both in singular and non-singular cases.     

具有推广Hukuhara导数的模糊微分方程的数值解

在推广Hukuhara导数概念下研究了一阶模糊微分方程的模糊初值问题,利用预估-校正算法给出了模糊初值问题的数值解,文中的例子说明了方法的可行性及实用性。     

A Meshless Method of Solving Three-Dimensional Nonstationary Heat Conduction Problems in Anisotropic Materials

The authors describe a meshless method for solving three-dimensional nonstationary heat conduction problems in anisotropic materials. A combination of dual reciprocity method using anisotropic radial basis function and method of fundamental solutions is used to solve the boundary-value problem. The method of fundamental solutions is used to obtain the homogenous part of the solution; the dual reciprocity method with the use of anisotropic radial basis functions allows obtaining a partial solution. The article shows the results of numerical solutions of two benchmark problems obtained by the developed numerical method; average relative, average absolute, and maximum errors are calculated.

     

Hermite–Sobolev orthogonal functions and spectral methods for second- and fourth-order problems on unbounded domains

Hermite spectral methods using Sobolev orthogonal/biorthogonal basis functions for solving second and fourth-order differential equations on unbounded domains are proposed. Some Hermite–Sobolev orthogonal/biorthogonal basis functions are constructed which lead to the diagonalization of discrete systems. Accordingly, both the exact solutions and the approximate solutions can be represented as infinite and truncated Fourier series. The convergence is analyzed and some numerical results are presented to illustrate the effectiveness and the spectral accuracy of this approach.     

Numerical study of a dual iterative method for solving a finite element approximation of the biharmonic equation

The purpose of this paper is a presentation of a numerical study of an iterative method due to Ciarlet and Glowinski for solving a finite element approximation of the Dirichlet problem for the biharmonic operator. The main feature of this method is that it reduces the biharmonic problem to a sequence of Dirichlet problems for the operator -Δ. Therefore, in numerical examples, finite element programs for solving second-order problems can be used, and this is an interesting feature of the method.     

Radial basis function meshless method for the steady incompressible Navier–Stokes equations

A meshless collocation method based on radial basis functions is proposed for solving the steady incompressible Navier–Stokes equations. This method has the capability of solving the governing equations using scattered nodes in the domain. We use the streamfunction formulation, and a trust-region method for solving the nonlinear problem. The no-slip boundary conditions are satisfied using a ghost node strategy. The efficiency of this method is demonstrated by solving three model problems: the driven cavity flows in square and rectangular domains and flow over a backward-facing step. The results obtained are in good agreement with benchmark solutions.     

Vanishing Moment Method and Moment Solutions for Fully Nonlinear Second Order Partial Differential Equations

This paper concerns with numerical approximations of solutions of fully nonlinear second order partial differential equations (PDEs). A new notion of weak solutions, called moment solutions, is introduced for fully nonlinear second order PDEs. Unlike viscosity solutions, moment solutions are defined by a constructive method, called the vanishing moment method, and hence, they can be readily computed by existing numerical methods such as finite difference, finite element, spectral Galerkin, and discontinuous Galerkin methods. The main idea of the proposed vanishing moment method is to approximate a fully nonlinear second order PDE by a higher order, in particular, a quasilinear fourth order PDE. We show by various numerical experiments the viability of the proposed vanishing moment method. All our numerical experiments show the convergence of the vanishing moment method, and they also show that moment solutions coincide with viscosity solutions whenever the latter exist. This work was partially supported by the NSF grants DMS-0410266 and DMS-0710831.     

Hybrid laplace transform/weighting function scheme for transient multidimensional conservation equations

A hybrid Laplace transform/weighting function scheme is developed for solving time-dependent multidimensional conservation equations. The new method removes the time derivatives from the governing differential equations using the Laplace transform and solves the associated equation with the weighting function scheme. The similarity transform method is used to treat the complex coefficient system of the equations, which allows the simplest form of complex number functions to be obtained, and then to use the partial fractions method or a numerical method to invert the Laplace transform and transform the functions to the physical plane. Three different examples have been analyzed by the present method. The present method solutions are compared in tables with the exact solutions and those obtained by the other numerical methods. It is found that the present method is a reliable and efficient numerical tool.     

SDP-based approximation of stabilising solutions for periodic matrix Riccati differential equations

Numerically finding stabilising feedback control laws for linear systems of periodic differential equations is a nontrivial task with no known reliable solutions. The most successful method requires solving matrix differential Riccati equations with periodic coefficients. All previously proposed techniques for solving such equations involve numerical integration of unstable differential equations and consequently fail whenever the period is too large or the coefficients vary too much. Here, a new method for numerical computation of stabilising solutions for matrix differential Riccati equations with periodic coefficients is proposed. Our approach does not involve numerical solution of any differential equations. The approximation for a stabilising solution is found in the form of a trigonometric polynomial, matrix coefficients of which are found solving a specially constructed finite-dimensional semidefinite programming (SDP) problem. This problem is obtained using maximality property of the stabilising solution of the Riccati equation for the associated Riccati inequality and sampling technique. Our previously published numerical comparisons with other methods shows that for a class of problems only this technique provides a working solution. Asymptotic convergence of the computed approximations to the stabilising solution is proved below under the assumption that certain combinations of the key parameters are sufficiently large. Although the rate of convergence is not analysed, it appeared to be exponential in our numerical studies.     

Application of Bernoulli matrix method for solving two-dimensional hyperbolic telegraph equations with Dirichlet boundary conditions

The present article is devoted to develop a new approach and methodology to find the approximate solution of second order two-dimensional telegraph equations with the Dirichlet boundary conditions. We first transform the telegraph equations into equivalent partial integro-differential equations (PIDEs) which contain both initial and boundary conditions and therefore can be solved numerically in a more appropriate manner. Operational matrices of integration and differentiation of Bernoulli polynomials together with the completeness of these polynomials are used to reduce the PIDEs into the associated algebraic generalized Sylvester equations which can be solved by an efficient Krylov subspace iterative (i.e., BICGSTAB) method. The efficiency of the proposed method has been confirmed with several test examples and it is clear that the results are acceptable and found to be in good agreement with exact solutions. We have compared the numerical results of the proposed method with radial basis function method and differential quadrature method. Also, the method is simple, efficient and produces very accurate numerical results in considerably small number of basis functions and hence reduces computational effort. Moreover, the technique is easy to apply for multidimensional problems.     

一种径向基函数插值的ENO格式

将ENO格式和径向基函数插值相结合,提出了求解双曲型偏微分方程的径向基函数插值的ENO方法。该方法依据ENO思想建立自适应模板,在选定的模板上利用径向基函数进行逼近,能够很好地处理具有间断解的问题,消除间断点处数值振荡现象。以一维双曲型偏微分方程为例,对该方法进行了验证,并通过与多项式ENO格式比较,表明该方法更具有优势。     

Solving stiff differential equations for simulation

Computer simulation of dynamic systems very often leads to the solution of a set of stiff ordinary differential equations. The solution of this set of equations involves the eigenvalues of its Jacobian matrix. The greater the spread in eigenvalues, the more time consuming the solutions become when existing numerical methods are employed. Extremely stiff differential equations can become a very serious problem for some systems, rendering accurate numerical solutions completely uneconomic. In this paper, we propose new techniques for solving extremely stiff systems of differential equations. These algorithms are based on a class of implicit Runge-Kutta procedure with complete error estimate. The new techniques are applied to solving mathematical models of the relaxation problem behind blast waves.