scholarly journals Irksome: Automating Runge–Kutta Time-stepping for Finite Element Methods

2021 ◽  
Vol 47 (4) ◽  
pp. 1-26
Author(s):  
Patrick E. Farrell ◽  
Robert C. Kirby ◽  
Jorge Marchena-Menéndez
Keyword(s):  
Finite Element ◽  
Algebraic System ◽  
Efficient Solution ◽  
High Order Accuracy ◽  
Time Step ◽  
Order Accuracy ◽  
Numerical Examples ◽  
Time Stepping ◽  
Runge Kutta ◽  
High Level

While implicit Runge–Kutta (RK) methods possess high order accuracy and important stability properties, implementation difficulties and the high expense of solving the coupled algebraic system at each time step are frequently cited as impediments. We present Irksome , a high-level library for manipulating UFL (Unified Form Language) expressions of semidiscrete variational forms to obtain UFL expressions for the coupled Runge–Kutta stage equations at each time step. Irksome works with the Firedrake package to enable the efficient solution of the resulting coupled algebraic systems. Numerical examples confirm the efficacy of the software and our solver techniques for various problems.

Convergence of a highly accurate quasi-interpolation method for options pricing

2017 ◽  
Vol 04 (04) ◽  
pp. 1750048
Author(s):  
Shengliang Zhang
Keyword(s):  
Stock Price ◽  
Interpolation Method ◽  
High Order ◽  
Basis Functions ◽  
High Order Accuracy ◽  
Options Pricing ◽  
Interpolation Scheme ◽  
Time Step ◽  
Order Accuracy ◽  
Tree Approach

A highly accurate radial basis functions (RBFs) quasi-interpolation method for calculating American options prices has been presented by some researchers, which possesses a high order accuracy compared with existing numerical methods. In this study, we show the convergence of the proposed RBFs quasi-interpolation scheme from the view point of probability. It will be confirmed to be a multinomial tree approach, in which in one time step the underlying stock price can arrive at an infinity of possible values. This helps understand the high-order accuracy of the method.

EXPONENTIAL PROPAGATORS (INTEGRATORS) FOR THE TIME-DEPENDENT SCHRÖDINGER EQUATION

2013 ◽  
Vol 12 (06) ◽  
pp. 1340001 ◽  
Author(s):  
ANDRÉ D. BANDRAUK ◽  
HUIZHONG LU
Keyword(s):  
Schrödinger Equation ◽  
Schrodinger Equation ◽  
Time Derivative ◽  
Quantum Statistical Mechanics ◽  
Time Dependent ◽  
High Order Accuracy ◽  
Parabolic Partial Differential Equation ◽  
Imaginary Time ◽  
Time Step ◽  
Order Accuracy

The time-dependent Schrödinger Equation (TDSE) is a parabolic partial differential equation (PDE) comparable to a diffusion equation but with imaginary time. Due to its first order time derivative, exponential integrators or propagators are natural methods to describe evolution in time of the TDSE, both for time-independent and time-dependent potentials. Two splitting methods based on Fer and/or Magnus expansions allow for developing unitary factorizations of exponentials with different accuracies in the time step △t. The unitary factorization of exponentials to high order accuracy depends on commutators of kinetic energy operators with potentials. Fourth-order accuracy propagators can involve negative or complex time steps, or real time steps only but with gradients of potentials, i.e. forces. Extending the propagators of TDSE's to imaginary time allows to also apply these methods to classical many-body dynamics, and quantum statistical mechanics of molecular systems.

A Residual Based Variational Method for Reducing Dispersion Error in Finite Element Methods

2005 ◽  
Author(s):  
Lonny L. Thompson ◽  
Prapot Kunthong
Keyword(s):  
Finite Element ◽  
Helmholtz Equation ◽  
Least Squares ◽  
High Order ◽  
High Order Accuracy ◽  
Quadrature Rules ◽  
Source Terms ◽  
Order Accuracy ◽  
Dispersion Error ◽  
Variational Framework

A difficulty of the standard Galerkin finite element method has been the ability to accurately resolve oscillating wave solutions at higher frequencies. Many alternative methods have been developed including high-order methods, stabilized Galerkin methods, multi-scale variational methods, and other wave-based discretization methods. In this work, consistent residuals, both in the form of least-squares and gradient least-squares are linearly combined and added to the Galerkin variational Helmholtz equation to form a new generalized Galerkin least-squares method (GGLS). By allowing the stabilization parameters to vary spatially within each element, we are able to select optimal parameters which reduce dispersion error for all wave directions from second-order to fourth-order in nondimensional wavenumber; a substantial improvement over standard Galerkin elements. Furthermore, the stabilization parameters are frequency independent, and thus can be used for both time-harmonic solutions to the Helmholtz equation as well as direct time-integration of the wave equation, and eigenfrequency/eigenmodes analysis. Since the variational framework preserves consistency, high-order accuracy is maintained in the presence of source terms. In the case of homogeneous source terms, we show that our consistent variational framework is equivalent to integrating the underlying stiffness and mass matrices with optimally selected numerical quadrature rules. Optimal GGLS stabilization parameters and equivalent quadrature rules are determined for several element types including: bilinear quadrilateral, linear triangle, and linear tetrahedral elements. Numerical examples on unstructured meshes validate the expected high-order accuracy.

scholarly journals Efficient extrapolation methods for electro- and magnetoquasistatic field simulations

2003 ◽  
Vol 1 ◽  
pp. 81-86 ◽  
Author(s):  
M. Clemens ◽  
M. Wilke ◽  
T. Weiland
Keyword(s):  
Taylor Series Expansion ◽  
Iterative Solvers ◽  
Gradient Algorithm ◽  
Implicit Time ◽  
Preconditioned Conjugate Gradient ◽  
Test Problems ◽  
Time Step ◽  
Time Stepping ◽  
Multi Stage ◽  
Runge Kutta

Abstract. In magneto- and electroquasi-static time domain simulations with implicit time stepping schemes the iterative solvers applied to the large sparse (non-)linear systems of equations are observed to converge faster if more accurate start solutions are available. Different extrapolation techniques for such new time step solutions are compared in combination with the preconditioned conjugate gradient algorithm. Simple extrapolation schemes based on Taylor series expansion are used as well as schemes derived especially for multi-stage implicit Runge-Kutta time stepping methods. With several initial guesses available, a new subspace projection extrapolation technique is proven to produce an optimal initial value vector. Numerical tests show the resulting improvements in terms of computational efficiency for several test problems. In quasistatischen elektromagnetischen Zeitbereichsimulationen mit impliziten Zeitschrittverfahren zeigt sich, dass die iterativen Lösungsverfahren für die großen dünnbesetzten (nicht-)linearen Gleichungssysteme schneller konvergieren, wenn genauere Startlösungen vorgegeben werden. Verschiedene Extrapolationstechniken werden für jeweils neue Zeitschrittlösungen in Verbindung mit dem präkonditionierten Konjugierte Gradientenverfahren vorgestellt. Einfache Extrapolationsverfahren basierend auf Taylorreihenentwicklungen werden ebenso benutzt wie speziell für mehrstufige implizite Runge-Kutta-Verfahren entwickelte Verfahren. Sind verschiedene Startlösungen verfügbar, so erlaubt ein neues Unterraum-Projektion- Extrapolationsverfahren die Konstruktion eines optimalen neuen Startvektors. Numerische Tests zeigen die aus diesen Verfahren resultierenden Verbesserungen der numerischen Effizienz.

scholarly journals Local time stepping with the discontinuous Galerkin method for wave propagation in 3D heterogeneous media

Geophysics ◽  
2013 ◽  
Vol 78 (3) ◽  
pp. T67-T77 ◽  
Author(s):  
Sara Minisini ◽  
Elena Zhebel ◽  
Alexey Kononov ◽  
Wim A. Mulder
Keyword(s):  
Finite Element ◽  
Wave Propagation ◽  
Discontinuous Galerkin ◽  
Local Time ◽  
Heterogeneous Media ◽  
Small Scale ◽  
Time Step ◽  
Element Discretization ◽  
Time Stepping ◽  
Local Time Stepping

Modeling and imaging techniques for geophysics are extremely demanding in terms of computational resources. Seismic data attempt to resolve smaller scales and deeper targets in increasingly more complex geologic settings. Finite elements enable accurate simulation of time-dependent wave propagation in heterogeneous media. They are more costly than finite-difference methods, but this is compensated by their superior accuracy if the finite-element mesh follows the sharp impedance contrasts and by their improved efficiency if the element size scales with wavelength, hence with the local wave velocity. However, 3D complex geologic settings often contain details on a very small scale compared to the dominant wavelength, requiring the mesh to contain elements that are smaller than dictated by the wavelength. Also, limitations of the mesh generation software may produce regions where the elements are much smaller than desired. In both cases, this leads to a reduction of the time step required to solve the wave propagation and significantly increases the computational cost. Local time stepping (LTS) can improve the computational efficiency and speed up the simulation. We evaluated a local formulation of an LTS scheme with second-order accuracy for the discontinuous Galerkin finite-element discretization of the wave equation. We tested the benefits of the scheme by considering a geologic model for a North-Sea-type example.

scholarly journals Acceleration of Runge-Kutta integration schemes

2004 ◽  
Vol 2004 (2) ◽  
pp. 307-314 ◽  
Author(s):  
Phailaung Phohomsiri ◽  
Firdaus E. Udwadia
Keyword(s):  
Computational Cost ◽  
Fixed Time ◽  
Lower Number ◽  
Integration Scheme ◽  
Time Step ◽  
Third Order ◽  
Numerical Examples ◽  
Integration Schemes ◽  
Local Accuracy ◽  
Runge Kutta

A simple accelerated third-order Runge-Kutta-type, fixed time step, integration scheme that uses just two function evaluations per step is developed. Because of the lower number of function evaluations, the scheme proposed herein has a lower computational cost than the standard third-order Runge-Kutta scheme while maintaining the same order of local accuracy. Numerical examples illustrating the computational efficiency and accuracy are presented and the actual speedup when the accelerated algorithm is implemented is also provided.

Comparison of Permanent Magnet Linear Synchronous Motor Characteristics Fed by SPWM Inverter and Sinusoid Voltage Source

2013 ◽  
Vol 722 ◽  
pp. 176-179
Author(s):  
An Feng Xu ◽  
Qing Hu ◽  
Cai Xia Gao
Keyword(s):  
Finite Element ◽  
Permanent Magnet ◽  
Synchronous Motor ◽  
Voltage Source ◽  
Time Step ◽  
Time Stepping ◽  
Linear Synchronous Motor ◽  
Comparison Research ◽  
The Status ◽  
Adaptive Time

Permanent Magnet Linear Synchronous Motor (PMLSM) characteristics are deteriorated seriously by amount of time and space harmonics, which are arisen respectively from the inverter comprised array switches, the motor teeth-slots and distributed windings. The paper presents field-circuit coupled adaptive time-stepping finite element method to comparison research on PMLSM characteristics fed by SPWM voltage inverter and sinusoid supply. The co-simulation is used with the status space functions and time-step finite element functions. The simulation results of PMLSM fed by SPWM voltage source inverter and S-VS were compared and analyzed.

AN ADAPTIVE TIME-STEPPING PROCEDURE BASED ON THE SCALED BOUNDARY FINITE ELEMENT METHOD FOR ELASTODYNAMICS

2012 ◽  
Vol 09 (01) ◽  
pp. 1240007 ◽  
Author(s):  
Z. H. ZHANG ◽  
Z. J. YANG ◽  
GUOHUA LIU
Keyword(s):  
Finite Element Method ◽  
Finite Element ◽  
Local Error ◽  
Error Estimator ◽  
Time Step ◽  
Time Stepping ◽  
Time Increment ◽  
Adaptive Time ◽  
Adaptive Time Stepping ◽  
Scaled Boundary Finite Element

This study develops an adaptive time-stepping procedure of Newmark integration scheme for transient elastodynamic problems, based on the semi-analytical scaled boundary finite element method (SBFEM). In each time step, a posteriori local error estimator based on the linear distributed acceleration is employed to estimate the error caused by the time discretization. The total energy of the domain, consisting of the kinetic energy and the strain energy, is calculated semi-analytically. The time increment is automatically adjusted according to a simple criterion. Three examples with stress wave propagation were modeled. The numerical results show that the developed method is capable of limiting the local error estimator within specified targets by using an optimal time increment in each time step.

The Dispersion in One- and Two-Dimensional Finite Element Solutions to the Heat Equation

2002 ◽  
Author(s):  
W. Dauksher ◽  
A. F. Emery
Keyword(s):  
Finite Element ◽  
Heat Equations ◽  
Two Dimensional ◽  
Step Size ◽  
Matrix Formulation ◽  
Time Step ◽  
Time Step Size ◽  
Time Stepping ◽  
Dimensional Finite Element ◽  
The One

The dispersive errors in the finite element solution to the one- and two-dimensional heat equations are examined as a function of element type and size, capacitance matrix formulation, time stepping scheme and time step size.

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