Numerical methods for two-dimensional parabolic inverse problem with energy overspecification

An inverse problem concerning the two-dimensional diffusion equation with source control parameter is considered. Four finite-difference schemes are presented for identifying the con- trol parameter which produces, at any given time, a desired energy distribution in a portion of the spatial domain. The fully explicit schemes developed for this purpose, are based on the (1,5) forward time centred space (FTCS) explicit formula, and the (1,9) FTCS scheme, are economical to use, are second-order and have bounded range of stability. Therange of stability for the 9-point finite difference scheme is less restrictive than the (1,5) FTCS formula. The fully implicit finite difference schemes employed, are based on the (5,1) backward time centred space (BTCS) formula, and the (5,5) Crank–Nicolson implicit scheme, which are unconditionally stable, but use more CPU times than the fully explicit techniques. The basis of analysis of the finite difference equation considered here is the modified equivalent partial differential equation approach, developed from the 1974 work of Warming and Hyeet. This allows direct and simple comparison of the errors associated with the equations as well as providing a means to develop more accurate finite difference methods. The results of numerical experiments are presented, and central processor (CPU) times needed for solving this inverse problem are reported.     

Finite difference schemes for two-dimensional parabolic inverse problem with temperature overspecification

Two different explicit finite difference schemes for solving the two-dimensional parabolic inverse problem with temperature overspecification are considered. These schemes are developed for indentifying the control parameter which produces, at any given time, a desired temperature distribution at a given point in the spatial domain. The numerical methods discussed, are based on the second-order, 5-point Forward Time Centred Space (FTCS) explicit formula, and the (1,9) FTCS explicit scheme which is generally second-order, but is fourth order when the diffusion number takes the value s = (1/6). These schemes are economical to use, are second-order and have bounded range of stability. The range of stability for the 5-point formula is less restrictive than the (1,9) FTCS explicit scheme. The results of numerical experiments are presented, and accuracy and Central Processor (CPU) times needed for each of the methods are discussed. These schemes use less central processor times than the second-order fully implicit method for two-dimensional diffusion with temperature overspecification. We also give error estimates in the maximum norm for each of these methods.     

A CCD-ADI method for two-dimensional linear and nonlinear hyperbolic telegraph equations with variable coefficients

In this paper, a combined compact finite difference method (CCD) together with alternating direction implicit (ADI) scheme is developed for two-dimensional linear and nonlinear hyperbolic telegraph equations with variable coefficients. The proposed CCD-ADI method is second-order accurate in time variable and sixth-order accurate in space variable. For the linear hyperbolic equation, the CCD-ADI method is shown to be unconditionally stable by using the Von Neumann stability analysis. Numerical results for both linear and nonlinear hyperbolic equations are presented to illustrate the high accuracy of the proposed method.     

Domain decomposition operator splitting for mimetic finite difference discretizations of non-stationary problems

In this paper, we propose reliable and efficient numerical methods for solving semilinear, time-dependent partial differential equations of reaction–diffusion type. The original problem is first integrated in time by using a linearly implicit fractional step Runge–Kutta method. This method takes advantage of a suitable partitioning of the diffusion operator based on domain decomposition techniques. The resulting semidiscrete problem is fully discretized by means of a mimetic finite difference method on quadrilateral meshes. Due to the previous splitting, the totally discrete scheme can be reduced to a set of uncoupled linear systems which can be solved in parallel. The overall algorithm is unconditionally stable and second-order convergent in both time and space. These properties are confirmed by numerical experiments.     

A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing

In this paper we present a stable finite difference scheme on a piecewise uniform mesh along with a power penalty method for solving the American put option problem. By adding a power penalty term the linear complementarity problem arising from pricing American put options is transformed into a nonlinear parabolic partial differential equation. Then a finite difference scheme is proposed to solve the penalized nonlinear PDE, which combines a central difference scheme on a piecewise uniform mesh with respect to the spatial variable with an implicit time stepping technique. It is proved that the scheme is stable for arbitrary volatility and arbitrary interest rate without any extra conditions and is second-order convergent with respect to the spatial variable. Furthermore, our method can efficiently treats the singularities of the non-smooth payoff function. Numerical results support the theoretical results.     

A New ADI Scheme for Solving Three-Dimensional Parabolic Differential Equations

A new alternating-direction implicit (ADI) scheme for solving three-dimensional parabolic differential equations has been developed based on the idea of regularized difference scheme. It is unconditionally stable and second-order accurate. Further, it overcomes the drawback of the Douglas scheme and is to be very well to simulate fast transient phenomena and to efficiently capture steady state solutions of parabolic differential equations. Numerical example is illustrated.     

对抛物方程使用新显格式的区域分解算法

我们提出了两个具有改进稳定性限制条件的新显格式．与经典显格式相比,稳定性限制条 件分别对两维抛物问题放宽了4倍,对一维问题放宽了2倍,同时它的精度与经典全隐格式 的相同．然后,我们通过在内边界点使用大步长的这种新显格式,在内点使用全隐格式,设计 了一个有限差分区域分解算法,稳定性限制条件分别对一维抛物问题放宽了2m2倍,对二维 问题放宽了4m2倍．从而我们能使用一个大的时间步长,这使我们在并行求解抛物问题时能 节省大量的计算量．     

Accelerating technique for implicit finite difference schemes for two dimensional parabolic partial differential equations

In this paper we define a new accurate fast implicit method for the finite difference solution of the two dimensional parabolic partial differential equations with first level condition, which may be obtained by any other method. The stability region is discussed. The suggested method is considered as an accelerating technique for the implicit finite difference scheme, which is used to find the first level condition. The obtained results are compared with some famous finite difference schemes and it is in satisfactory agreement with the exact solution.     

Development of a sixth-order two-dimensional convection–diffusion scheme via Cole–Hopf transformation

In this paper, we develop a two-dimensional finite-difference scheme for solving the time-dependent convection–diffusion equation. The numerical method exploits Cole–Hopf equation to transform the nonlinear scalar transport equation into the linear heat conduction equation. Within the semi-discretization context, the time derivative term in the transformed parabolic equation is approximated by a second-order accurate time-stepping scheme, resulting in an inhomogeneous Helmholtz equation. We apply the alternating direction implicit scheme of Polezhaev to solve the Helmholtz equation. As the key to success in the present simulation, we develop a Helmholtz scheme with sixth-order spatial accuracy. As is standard practice, we validated the code against test problems which were amenable to exact solutions. Results show excellent agreement for the one-dimensional test problems and good agreement with the analytical solution for the two-dimensional problem.     

On splitting-based numerical methods for nonlinear models of European options

We present a large class of nonlinear models of European options as parabolic equations with quasi-linear diffusion and fully nonlinear hyperbolic part. The main idea of the operator splitting method (OSM) is to couple known difference schemes for nonlinear hyperbolic equations with other ones for quasi-linear parabolic equations. We use flux limiter techniques, explicit–implicit difference schemes, Richardson extrapolation, etc. Theoretical analysis for illiquid market model is given. The numerical experiments show second-order accuracy for the numerical solution (the price) and Greeks Delta and Gamma, positivity and monotonicity preserving properties of the approximations.     

Fast methods for the iterative solution of linear elliptic and parabolic partial differential equations involving 2 space dimensions

Within the last decade, attention has been devoted to the introduction of several fast computational methods for solving the linear difference equations which are derived from the finite difference discretisation of many standard partial differential equations of Mathematical Physics.

In this paper, the authors develop and extend an exact factorisation technique previously applied to parabolic equations in one space dimension to the implicit difference equations which are derived from the application of alternating direction implicit methods when applied to elliptic and parabolic partial differential equations in 2 space dimensions under a variety of boundary conditions.     

High Accuracy Difference Formulae For A Fourth Order Quasi-Linear Parabolic Initial Boundary Value Problem Of First Kind

In this paper, new three level implicit finite difference methods of O(k^2+h^2) and O(k^2+h^4) are proposed for the numerical solution of fourth order quasi-linear parabolic partial differential equations in one space variable, where k\gt 0 and h\gt 0 are grid sizes in time and space coordinates respectively. In both cases, we use only nine grid points. The numerical solution of \partial u/\partial x is obtained as a by-product of the method. The characteristic equation for a model problem is established. Application to a linear singular equation is also discussed in detail. Four examples illustrate the utility of the new difference methods.     

A high-order ADI scheme for the two-dimensional time fractional diffusion-wave equation

In this paper, a compact alternating direction implicit finite difference scheme for the two-dimensional time fractional diffusion-wave equation is developed, with temporal and spatial accuracy order equal to two and four, respectively. The second-order accuracy in the time direction has not been achieved in previous studies.     

The dual reciprocity boundary element formulation for nonlinear diffusion problems

This paper presents an extension of the dual reciprocity boundary element method (DRBEM) to deal with nonlinear diffusion problems in which thermal conductivity, specific heat, and density coefficients are all functions of temperature. The DRBEM, recently applied to the solution of problems governed by parabolic and hyperbolic equations, consists in the transformation of the differential equation into an integral equation involving boundary integrals only, the solution of which is achieved by employing a standard boundary element discretization coupled with a two-level finite difference time integration scheme. Contrary to previous formulations for the diffusion equation, the dual reciprocity BEM utilizes the well-known fundamental solution to Laplace's equation, which is space-dependent only. This avoids complex time integrations that normally appear in formulations employing time-dependent fundamental solutions, and permits accurate numerical solutions to be obtained in an efficient way. For nonlinear problems, the integral of conductivity is introduced as a new variable to obtain a linear diffusion equation in the Kirchhoff transform space. This equation involves a modified time variable which is itself a function of position. The problem is solved in an iterative way by using an efficient Newton-Raphson technique which is shown to be rapidly convergent.     

Second-order BDF time approximation for Riesz space-fractional diffusion equations

ABSTRACT

Second-order backward difference formula (BDF2) is considered for time approximation of Riesz space-fractional diffusion equations. The Riesz space derivative is approximated by the second-order fractional centre difference formula. To improve the computational efficiency, an alternating directional implicit scheme is also proposed for solving two-dimensional space-fractional diffusion problems. Numerical experiments are provided to verify our theory and to show the effectiveness of numerical algorithms.     

Finite difference procedures for solving a problem arising in modeling and design of certain optoelectronic devices

Several finite difference schemes are discussed for solving the two-dimensional Schrodinger equation with Dirichlet’s boundary conditions. We use three fully implicit finite difference schemes, two fully explicit finite difference techniques, an alternating direction implicit procedure and the Barakat and Clark type explicit formula. Theoretical and numerical comparisons between four families of methods are described. The main advantage of the alternating direction implicit finite difference technique is that the bandwidth of the sets of equations is a fixed small number that depends only on the nature of the computational molecule. This allows the use of very efficient and very fast techniques for solving the resulting tridiagonal systems of linear algebraic equations. The unique advantage of the Barakat and Clark technique is that it is unconditionally stable and is explicit in nature. Numerical results are presented followed by concluding remarks.     

The cubic spline solution of practical problems modelled by hyperbolic partial differential equations

An approximation is developed for a general one-dimensional hyperbolic partial differential equation with constant coefficients and function value boundary conditions. The time derivative is replaced by a finite difference representation and the space derivative by a cubic spline. As expected, a three-level finite difference formula in time is obtained giving the solution at each succeeding time level. The spline approximation produces a spline function which can be used on each time level to obtain the solution at any points intermediate to the mesh points. The numerical scheme is extended to the more general variable-coefficient case and for derivative boundary conditions. Truncation errors and stability criteria are produced, and the scheme is rigorously tested on practical problems, a comparison being made with a more well-known fully implicit finite difference scheme.     

Parameter-uniform hybrid numerical scheme for time-dependent convection-dominated initial-boundary-value problems

In this paper, we propose a numerical scheme which is almost second-order spatial accurate for a one-dimensional singularly perturbed parabolic convection-diffusion problem exhibiting a regular boundary layer. The proposed numerical scheme consists of classical backward-Euler method for the time discretization and a hybrid finite difference scheme for the spatial discretization. We analyze the scheme on a piecewise-uniform Shishkin mesh for the spatial discretization to establish uniform convergence with respect to the perturbation parameter. Numerical results are presented to validate the theoretical results.     

A Generalized Peaceman–Rachford ADI Scheme for Solving Two-Dimensional Parabolic Differential Equations

A generalized Peaceman–Rachford alternating-direction implicit (ADI) scheme for solving two-dimensional parabolic differential equations has been developed based on the idea of regularized difference scheme. It is to be very well to simulate fast transient phenomena and to efficiently capture steady state solutions of parabolic differential equations. Numerical example is illustrated.     

Relaxation method for unsteady convection–diffusion equations

We propose and implement a relaxation method for solving unsteady linear and nonlinear convection–diffusion equations with continuous or discontinuity-like initial conditions. The method transforms a convection–diffusion equation into a relaxation system, which contains a stiff source term. The resulting relaxation system is then solved by a third-order accurate implicit–explicit (IMEX) Runge–Kutta method in time and a fifth-order finite difference WENO scheme in space. Numerical results show that the method can be used to effectively solve convection–diffusion equations with both smooth structures and discontinuities.