hp-Legendre–Gauss collocation method for impulsive differential equations

The original Legendre–Gauss collocation method is derived for impulsive differential equations, and the convergence is analysed. Then a new hp-Legendre–Gauss collocation method is presented for impulsive differential equations, and the convergence for the hp-version method is also studied. The results obtained in this paper show that the convergence condition for the original Legendre–Gauss collocation method depends on the impulsive differential equation, and it cannot be improved, however, the convergence condition for the hp-Legendre–Gauss collocation method depends both on the impulsive differential equation and the meshsize, and we always can choose a sufficient small meshsize to satisfy it, which show that the hp-Legendre–Gauss collocation method is superior to the original version. Our theoretical results are confirmed in two test problems.     

Piecewise-linearized and linearized θ-methods for ordinary and partial differential equations

Initial- and boundary-value problems appear frequently in many branches of physics. In this paper, several numerical methods, based on linearization techniques, for solving these problems are reviewed. First, piecewise-linearized methods and linearized θ-methods are considered for the solution of initial-value problems in ordinary differential equations. Second, piecewise-linearized techniques for two-point boundary-value problems in ordinary differential equations are developed and used in conjunction with a shooting method. In order to overcome the lack of convergence associated with shooting, piecewise-linearized methods which provide piecewise analytical solutions and yield nonstandard finite difference schemes are presented. Third, methods of lines in either space or time for the solution of one-dimensional convection-reaction-diffusion problems that transform the original problem into an initial- or boundary-value one are reviewed. Methods of lines in time that result in boundary-value problems at each time step can be solved by means of the techniques described here, whereas methods of lines in space that yield initial-value problems and employ either piecewise-linearized techniques or linearized θ-methods in time are also developed. Finally, for multidimensional problems, approximate factorization methods are first used to transform the multidimensional problem into a sequence of one-dimensional ones which are then solved by means of the linearized and piecewise-linearized methods presented here.     

On linear stability of predictor–corrector algorithms for fractional differential equations

This paper deals with the numerical approximation of differential equations of fractional order by means of predictor–corrector algorithms. A linear stability analysis is performed and the stability regions of different methods are compared. Furthermore the effects on stability of multiple corrector iterations are verified.     

A space–time spectral collocation method for the two-dimensional variable-order fractional percolation equations

In this article, we introduce a space–time spectral collocation method for solving the two-dimensional variable-order fractional percolation equations. The method is based on a Legendre–Gauss–Lobatto (LGL) spectral collocation method for discretizing spatial and the spectral collocation method for the time integration of the resulting linear first-order system of ordinary differential equation. Optimal priori error estimates in $L^2$ norms for the semi-discrete and full-discrete formulation are derived. The method has spectral accuracy in both space and time. Numerical results confirm the exponential convergence of the proposed method in both space and time.     

Fully Petrov–Galerkin spectral method for the distributed-order time-fractional fourth-order partial differential equation

Distributed fractional derivative operators can be used for modeling of complex multiscaling anomalous transport, where derivative orders are distributed over a range of values rather than being just a fixed integer number. In this paper, we consider the space-time Petrov–Galerkin spectral method for a two-dimensional distributed-order time-fractional fourth-order partial differential equation. By applying a proper Gauss-quadrature rule to discretize the distributed integral operator, the problem is converted to a multi-term time-fractional equation. Then, the proposed method for solving the obtained equation is based on using Jacobi polyfractonomial, which are eigenfunctions of the first kind fractional Sturm–Liouville problem (FSLP), as temporal basis and Legendre polynomials for the spatial discretization. The eigenfunctions of the second kind FSLP are used as temporal basis in test space. This approach leads to finding the numerical solution of the problem through solving a system of linear algebraic equations. Finally, we provide some examples with smooth solutions and finite regular solutions to numerically demonstrate the efficiency, accuracy, and exponential convergence of the proposed method.

     

Hybrid Legendre polynomials and Block-Pulse functions approach for nonlinear Volterra–Fredholm integro-differential equations

This paper introduces an approach for obtaining the numerical solution of the nonlinear Volterra–Fredholm integro-differential (NVFID) equations using hybrid Legendre polynomials and Block-Pulse functions. These hybrid functions and their operational matrices are used for representing matrix form of these equations. The main characteristic of this approach is that it reduces NVFID equations to a system of algebraic equations, which greatly simplifying the problem. Numerical examples illustrate the validity and applicability of the proposed method.     

Space–time spectral collocation method for one-dimensional PDE constrained optimisation

This paper solves an optimal control problem governed by a parabolic PDE. Using Lagrangian multipliers, necessary conditions are derived and then space–time spectral collocation method is applied to discretise spatial derivatives and time derivatives. This method solves partial differential equations numerically with errors bounded by an exponentially decaying function which is dependent on the number of modes of analytic solution. Spectral methods, which converge spectrally in both space and time, have gained a significant attention recently. The problem is then reduced to a system consisting of easily solvable algebraic equations. Numerical examples are presented to show that this formulation has exponential rates of convergence in both space and time.     

FIDISOL: A ‘black box’ solver for partial differential equations

FIDISOL (finite difference solver) is a program package for the solution of nonlinear systems of 2-D and 3-D elliptic and parabolic partial differential equations subjected to arbitrary nonlinear boundary conditions on a rectangular domain. The solution method is a variable step size/variable order finite difference method. This paper is a survey of this project in which the principles of developing a fully vectorized program package designed as a ‘data flow’ algorithm for vector computers are explicated.     

Domain of stability for a class of non-linear partial differential equations†

The domain of stability in the weak topology of a parabolic partial differential equation with negative feedbacks in two independent variables is determined explicitly in terms of the Weierstrass p-function. Locations of singularities are found for the equianharmonic case.     

Efficient spectral ultraspherical-dual-Petrov–Galerkin algorithms for the direct solution of (2n + 1)th-order linear differential equations

Some efficient and accurate algorithms based on ultraspherical-dual-Petrov–Galerkin method are developed and implemented for solving (2n + 1)th-order linear elliptic differential equations in one variable subject to homogeneous and nonhomogeneous boundary conditions using a spectral discretization. The key idea to the efficiency of our algorithms is to use trial functions satisfying the underlying boundary conditions of the differential equations and the test functions satisfying the dual boundary conditions. The method leads to linear systems with specially structured matrices that can be efficiently inverted. Numerical results are presented to demonstrate the efficiency of our proposed algorithms.     

Exponential Runge–Kutta methods for delay differential equations

This paper deals with convergence and stability of exponential Runge–Kutta methods of collocation type for delay differential equations. It is proved that these kinds of numerical methods converge at least with their stage order. Moreover, a sufficient condition of the numerical stability is provided. Finally, some numerical examples are presented to illustrate the main conclusions.     

Finite-dimensional recurrent algorithms for optimal nonlinear logical–dynamical filtering

The problem of the most accurate estimation of the current state of a multimode nonlinear dynamic observation system with discrete time based on indirect measurements of this state is considered. The general case when a mode indicator is available and the measurement errors depend on the plant disturbances is investigated. A comparative analysis of two known approaches is performed—the conventional absolutely optimal one based on the use of the posterior probability distribution, which requires the use of an unimplementable infinite-dimensional estimation algorithm, and a finitedimensional optimal approach, which produces the best structure of the difference equation of a low-order filter. More practical equations for the Gaussian approximations of these two optimal filters are obtained and compared. In the case of the absolutely optimal case, such an approximation is finitedimensional, but it differs from the approximation of the finite-dimensional optimal version in terms of its considerably larger dimension and the absence of parameters. The presence of parameters, which can be preliminarily calculated using the Monte-Carlo method, allows the Gaussian finite-dimensional optimal filter to produce more accurate estimates.     

Legendre–Galerkin spectral approximation for a nonlocal elliptic Kirchhof-type problem

We propose a numerical scheme to obtain an approximate solution of a nonlocal elliptic Kirchhof-type problem. We first reduce the problem to a nonlinear finite dimensional system by a Legendre–Galerkin spectral method and then solve it by an iterative process. Convergence of the iterative process and an error estimation of the approximate solution is provided. Numerical experiments are conducted to illustrate the performance of the proposed method.     

Asymptotic initial-value method for a system of singularly perturbed second-order ordinary differential equations of convection–diffusion type

In this paper, a numerical method is suggested to solve a class of boundary value problems (BVPs) for a weakly coupled system of singularly perturbed second-order ordinary differential equations of convection–diffusion type. First, in this method, an asymptotic expansion approximation of the solution of the BVP is constructed by using the basic ideas of a well known perturbation method namely Wentzal, Kramers and Brillouin (WKB). Then, some initial value problems (IVPs) are constructed such that their solutions are the terms of this asymptotic expansion. These problems happen to be singularly perturbed problems and, therefore, exponentially fitted finite difference schemes are used to solve these problems. As the BVP is converted into a set of IVPs and an asymptotic expansion approximation is used, the present method is termed as asymptotic initial-value method. The necessary error estimates are derived and examples provided to illustrate the method.     

Pricing weather derivatives with partial differential equations of the Ornstein–Uhlenbeck process

This paper means to price weather derivatives through solving the Partial Differential Equation (PDE) of the Ornstein–Uhlenbeck process. Since the PDE is convection dominated, a finite difference scheme with adaptively adjusted one-sided difference is proposed to discretize the PDE without causing spurious oscillations. We compare the finite difference scheme with both the Monte Carlo simulations and Alaton’s approximate formulas. It is shown by extensive numerical experiments that the PDE based approach is accurate, efficient and practical for weather derivative pricing.In addition, we point out that the PDE approach developed for discretely sampled temperature is essentially equivalent to the Semi-Lagrangian time stepping based method. A corresponding Semi-Lagrangian method is also proposed to price weather derivatives of continuously sampled temperature.     

Numerical solution of nonlinear system of Klein–Gordon equations by cubic B-spline collocation method

A technique to approximate the solutions of nonlinear Klein–Gordon equation and Klein–Gordon-Schrödinger equations is presented separately. The approach is based on collocation of cubic B-spline functions. The above-mentioned equations are decomposed into a system of partial differential equations, which are further converted to an amenable system of ODEs. The obtained system has been solved by SSP-RK54 scheme. Numerical solutions are presented for five examples, to show the accuracy and usefulness of proposed approach. The approximate solutions of both the equations are computed without using any transformation and linearization. The technique can be applied with ease to solve linear and nonlinear PDEs and also reduces the computational work.     

Parallel implementation of the Bi-CGSTAB method with block red–black Gauss–Seidel preconditioner applied to the Hermite collocation discretization of partial differential equations

We describe herein the parallel implementation of the Bi-CGSTAB method with a block red–black Gauss–Seidel (RBGS) preconditioner applied to the systems of linear algebraic equations that arise from the Hermite collocation discretization of partial differential equations in two spatial dimensions. The method is implemented on the Cray T3E, a parallel processing supercomputer. Speedup results are discussed.