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Register a new userHigh order semi-implicit multistep methods for time dependent partial differential equations
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Added by
Giacomo Albi
Publication date
2020
fields
Informatics Engineering
and research's language is
English
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We consider the construction of semi-implicit linear multistep methods which 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, Filbet and Russo (2016) for Runge-Kutta methods, these semi-implicit techniques give a great flexibility, and allows, 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.
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Fast and accurate solutions of time-dependent partial differential equations (PDEs) are of pivotal interest to many research fields, including physics, engineering, and biology. Generally, implicit/semi-implicit schemes are preferred over explicit ones to improve stability and correctness. However, existing semi-implicit methods are usually iterative and employ a general-purpose solver, which may be sub-optimal for a specific class of PDEs. In this paper, we propose a neural solver to learn an optimal iterative scheme in a data-driven fashion for any class of PDEs. Specifically, we modify a single iteration of a semi-implicit solver using a deep neural network. We provide theoretical guarantees for the correctness and convergence of neural solvers analogous to conventional iterative solvers. In addition to the commonly used Dirichlet boundary condition, we adopt a diffuse domain approach to incorporate a diverse type of boundary conditions, e.g., Neumann. We show that the proposed neural solver can go beyond linear PDEs and applies to a class of non-linear PDEs, where the non-linear component is non-stiff. We demonstrate the efficacy of our method on 2D and 3D scenarios. To this end, we show how our model generalizes to parameter settings, which are different from training; and achieves faster convergence than semi-implicit schemes.
Time integration methods for solving initial value problems are an important component of many scientific and engineering simulations. Implicit time integrators are desirable for their stability properties, significantly relaxing restrictions on timestep size. However, implicit methods require solutions to one or more systems of nonlinear equations at each timestep, which for large simulations can be prohibitively expensive. This paper introduces a new family of linearly implicit multistep methods (LIMM), which only requires the solution of one linear system per timestep. Order conditions and stability theory for these methods are presented, as well as design and implementation considerations. Practical methods of order up to five are developed that have similar error coefficients, but improved stability regions, when compared to the widely used BDF methods. Numerical testing of a self-starting variable stepsize and variable order implementation of the new LIMM methods shows measurable performance improvement over a similar BDF implementation.
This paper presents a novel semi-analytical collocation method to solve multi-term variable-order time fractional partial differential equations (VOTFPDEs). In the proposed method it employs the Fourier series expansion for spatial discretization, which transforms the original multi-term VOTFPDEs into a sequence of multi-term variable-order time fractional ordinary differential equations (VOTFODEs). Then these VOTFODEs can be solved by using the recent-developed backward substitution method. Several numerical examples verify the accuracy and efficiency of the proposed numerical approach in the solution of multi-term VOTFPDEs.
In this paper, we propose third-order semi-discretized schemes in space based on the tempered weighted and shifted Grunwald difference (tempered-WSGD) operators for the tempered fractional diffusion equation. We also show stability and convergence analysis for the fully discrete scheme based a Crank--Nicolson scheme in time. A third-order scheme for the tempered Black--Scholes equation is also proposed and tested numerically. Some numerical experiments are carried out to confirm accuracy and effectiveness of these proposed methods.
The numerical solution of differential equations can be formulated as an inference problem to which formal statistical approaches can be applied. However, nonlinear partial differential equations (PDEs) pose substantial challenges from an inferential perspective, most notably the absence of explicit conditioning formula. This paper extends earlier work on linear PDEs to a general class of initial value problems specified by nonlinear PDEs, motivated by problems for which evaluations of the right-hand-side, initial conditions, or boundary conditions of the PDE have a high computational cost. The proposed method can be viewed as exact Bayesian inference under an approximate likelihood, which is based on discretisation of the nonlinear differential operator. Proof-of-concept experimental results demonstrate that meaningful probabilistic uncertainty quantification for the unknown solution of the PDE can be performed, while controlling the number of times the right-hand-side, initial and boundary conditions are evaluated. A suitable prior model for the solution of the PDE is identified using novel theoretical analysis of the sample path properties of Mat{e}rn processes, which may be of independent interest.
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