Stability of time discretizations for semi-discrete high order schemes for time-dependent PDEs

2021 ◽  
Author(s):  
Chi-Wang Shu
Keyword(s):  
High Order ◽  
Time Dependent ◽  
High Order Schemes

scholarly journals High-order filtered schemes for time-dependent second order HJB equations

2018 ◽  
Vol 52 (1) ◽  
pp. 69-97 ◽  
Author(s):  
Olivier Bokanowski ◽  
Athena Picarelli ◽  
Christoph Reisinger
Keyword(s):  
Order Approximation ◽  
Mathematical Finance ◽  
Second Order ◽  
High Order ◽  
Time Dependent ◽  
Approximation Schemes ◽  
Hjb Equations ◽  
High Order Schemes ◽  
Hamilton Jacobi Bellman ◽  
Numer Anal

In this paper, we present and analyse a class of “filtered” numerical schemes for second order Hamilton–Jacobi–Bellman (HJB) equations. Our approach follows the ideas recently introduced in B.D. Froese and A.M. Oberman, Convergent filtered schemes for the Monge-Ampère partial differential equation, SIAM J. Numer. Anal. 51 (2013) 423–444, and more recently applied by other authors to stationary or time-dependent first order Hamilton–Jacobi equations. For high order approximation schemes (where “high” stands for greater than one), the inevitable loss of monotonicity prevents the use of the classical theoretical results for convergence to viscosity solutions. The work introduces a suitable local modification of these schemes by “filtering” them with a monotone scheme, such that they can be proven convergent and still show an overall high order behaviour for smooth enough solutions. We give theoretical proofs of these claims and illustrate the behaviour with numerical tests from mathematical finance, focussing also on the use of backward differencing formulae for constructing the high order schemes.

scholarly journals Integrating Semilinear Wave Problems with Time-Dependent Boundary Values Using Arbitrarily High-Order Splitting Methods

Mathematics ◽  
2021 ◽  
Vol 9 (10) ◽  
pp. 1113
Author(s):  
Isaías Alonso-Mallo ◽  
Ana M. Portillo
Keyword(s):  
Numerical Experiments ◽  
Splitting Method ◽  
Method Of Lines ◽  
Time Integration ◽  
Initial Boundary ◽  
Initial Boundary Value Problem ◽  
High Order ◽  
Time Dependent ◽  
Boundary Values ◽  
Lipschitz Continuous

The initial boundary-value problem associated to a semilinear wave equation with time-dependent boundary values was approximated by using the method of lines. Time integration is achieved by means of an explicit time method obtained from an arbitrarily high-order splitting scheme. We propose a technique to incorporate the boundary values that is more accurate than the one obtained in the standard way, which is clearly seen in the numerical experiments. We prove the consistency and convergence, with the same order of the splitting method, of the full discretization carried out with this technique. Although we performed mathematical analysis under the hypothesis that the source term was Lipschitz-continuous, numerical experiments show that this technique works in more general cases.

scholarly journals High Order Semi-implicit Multistep Methods for Time-Dependent Partial Differential Equations

2021 ◽  
Author(s):  
Giacomo Albi ◽  
Lorenzo Pareschi
Keyword(s):  
Multistep Methods ◽  
General Setting ◽  
Reaction Diffusion ◽  
Strong Stability ◽  
High Order ◽  
Iterative Solvers ◽  
Time Dependent ◽  
Linear Multistep Methods ◽  
Advection Diffusion Equation ◽  
Separation Of Scales

AbstractWe consider the construction of semi-implicit linear multistep methods that can be applied to time-dependent PDEs where the separation of scales in additive form, typically used in implicit-explicit (IMEX) methods, is not possible. As shown in Boscarino et al. (J. Sci. Comput. 68: 975–1001, 2016) for Runge-Kutta methods, these semi-implicit techniques give a great flexibility, and allow, in many cases, the construction of simple linearly implicit schemes with no need of iterative solvers. In this work, we develop a general setting for the construction of high order semi-implicit linear multistep methods and analyze their stability properties for a prototype linear advection-diffusion equation and in the setting of strong stability preserving (SSP) methods. Our findings are demonstrated on several examples, including nonlinear reaction-diffusion and convection-diffusion problems.

scholarly journals Positivity preserving high order schemes for angiogenesis models

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
A. Carpio ◽  
E. Cebrian
Keyword(s):  
Kinetic Equation ◽  
Time Discretization ◽  
Strong Stability ◽  
High Order ◽  
Angiogenic Factor ◽  
Strong Stability Preserving ◽  
Positivity Preserving ◽  
Blood Vessel Formation ◽  
High Order Schemes ◽  
Asymptotic Reduction

Abstract Hypoxy induced angiogenesis processes can be described by coupling an integrodifferential kinetic equation of Fokker–Planck type with a diffusion equation for the angiogenic factor. We propose high order positivity preserving schemes to approximate the marginal tip density by combining an asymptotic reduction with weighted essentially non oscillatory and strong stability preserving time discretization. We capture soliton-like solutions representing blood vessel formation and spread towards hypoxic regions.

scholarly journals Compact high-order schemes for the Euler equations

1988 ◽  
Vol 3 (3) ◽  
pp. 275-288 ◽  
Author(s):  
Saul Abarbanel ◽  
Ajay Kumar
Keyword(s):  
Euler Equations ◽  
High Order ◽  
High Order Schemes

High Order Schemes on Three-Dimensional General Polyhedral Meshes — Application to the Level Set Method

2012 ◽  
Vol 12 (1) ◽  
pp. 1-41 ◽  
Author(s):  
Thibault Pringuey ◽  
R. Stewart Cant
Keyword(s):  
Level Set ◽  
Three Dimensional ◽  
Unstructured Meshes ◽  
High Order ◽  
Convex Polyhedra ◽  
Two Phase ◽  
High Order Schemes ◽  
Flow Problems ◽  
Mixed Element ◽  
Areas Of Interest

AbstractIn this article, we detail the methodology developed to construct arbitrarily high order schemes — linear and WENO — on 3D mixed-element unstructured meshes made up of general convex polyhedral elements. The approach is tailored specifically for the solution of scalar level set equations for application to incompressible two-phase flow problems. The construction of WENO schemes on 3D unstructured meshes is notoriously difficult, as it involves a much higher level of complexity than 2D approaches. This due to the multiplicity of geometrical considerations introduced by the extra dimension, especially on mixed-element meshes. Therefore, we have specifically developed a number of algorithms to handle mixed-element meshes composed of convex polyhedra with convex polygonal faces. The contribution of this work concerns several areas of interest: the formulation of an improved methodology in 3D, the minimisation of computational runtime in the implementation through the maximum use of pre-processing operations, the generation of novel methods to handle complex 3D mixed-element meshes and finally the application of the method to the transport of a scalar level set.

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