Preconditioning for Allen-Cahn variational inequalities with non-local constraints

The solution of Allen-Cahn variational inequalities with mass constraints is of interest in many applications. This problem can be solved both in its scalar and vector-valued form as a PDE-constrained optimization problem by means of a primal-dual active set method. At the heart of this method lies the solution of linear systems in saddle point form. In this paper we propose the use of Krylov-subspace solvers and suitable preconditioners for the saddle point systems. Numerical results illustrate the competitiveness of this approach

Preconditioning for Allen-Cahn variational inequalities with non-local constraints

The solution of Allen-Cahn variational inequalities with mass constraints is of interest in many applications. This problem can be solved both in its scalar and vector-valued form as a PDE-constrained optimization problem by means of a primal-dual active set method. At the heart of this method lies the solution of linear systems in saddle point form. In this paper we propose the use of Krylov-subspace solvers and suitable preconditioners for the saddle point systems. Numerical results illustrate the competitiveness of this approach

On some aspects of the geometry of differential equations in physics

In this review paper, we consider three kinds of systems of differential equations, which are relevant in physics, control theory and other applications in engineering and applied mathematics; namely: Hamilton equations, singular differential equations, and partial differential equations in field theories. The geometric structures underlying these systems are presented and commented. The main results concerning these structures are stated and discussed, as well as their influence on the study of the differential equations with which they are related. Furthermore, research to be developed in these areas is also commented.Comment: 21 page

On the probability density function of baskets

The state price density of a basket, even under uncorrelated Black-Scholes dynamics, does not allow for a closed from density. (This may be rephrased as statement on the sum of lognormals and is especially annoying for such are used most frequently in Financial and Actuarial Mathematics.) In this note we discuss short time and small volatility expansions, respectively. The method works for general multi-factor models with correlations and leads to the analysis of a system of ordinary (Hamiltonian) differential equations. Surprisingly perhaps, even in two asset Black-Scholes situation (with its flat geometry), the expansion can degenerate at a critical (basket) strike level; a phenomena which seems to have gone unnoticed in the literature to date. Explicit computations relate this to a phase transition from a unique to more than one "most-likely" paths (along which the diffusion, if suitably conditioned, concentrates in the afore-mentioned regimes). This also provides a (quantifiable) understanding of how precisely a presently out-of-money basket option may still end up in-the-money.Comment: Appeared in: Large Deviations and Asymptotic Methods in Finance, Springer proceedings in Mathematics & Statistics, Editors: Friz, P.K., Gatheral, J., Gulisashvili, A., Jacquier, A., Teichmann, J., 2015, with minor typos remove

Spectral/hp element methods: recent developments, applications, and perspectives

The spectral/hp element method combines the geometric flexibility of the classical h-type finite element technique with the desirable numerical properties of spectral methods, employing high-degree piecewise polynomial basis functions on coarse finite element-type meshes. The spatial approximation is based upon orthogonal polynomials, such as Legendre or Chebychev polynomials, modified to accommodate C0-continuous expansions. Computationally and theoretically, by increasing the polynomial order p, high-precision solutions and fast convergence can be obtained and, in particular, under certain regularity assumptions an exponential reduction in approximation error between numerical and exact solutions can be achieved. This method has now been applied in many simulation studies of both fundamental and practical engineering flows. This paper briefly describes the formulation of the spectral/hp element method and provides an overview of its application to computational fluid dynamics. In particular, it focuses on the use the spectral/hp element method in transitional flows and ocean engineering. Finally, some of the major challenges to be overcome in order to use the spectral/hp element method in more complex science and engineering applications are discussed

Adaptive multiscale model reduction with Generalized Multiscale Finite Element Methods

In this paper, we discuss a general multiscale model reduction framework based on multiscale finite element methods. We give a brief overview of related multiscale methods. Due to page limitations, the overview focuses on a few related methods and is not intended to be comprehensive. We present a general adaptive multiscale model reduction framework, the Generalized Multiscale Finite Element Method. Besides the method's basic outline, we discuss some important ingredients needed for the method's success. We also discuss several applications. The proposed method allows performing local model reduction in the presence of high contrast and no scale separation

Numerical model of solid phase transformations governed by nucleation and growth. Microstructure development during isothermal crystallization

A simple numerical model which calculates the kinetics of crystallization involving randomly distributed nucleation and isotropic growth is presented. The model can be applied to different thermal histories and no restrictions are imposed on the time and the temperature dependencies of the nucleation and growth rates. We also develop an algorithm which evaluates the corresponding emerging grain size distribution. The algorithm is easy to implement and particularly flexible making it possible to simulate several experimental conditions. Its simplicity and minimal computer requirements allow high accuracy for two- and three-dimensional growth simulations. The algorithm is applied to explore the grain morphology development during isothermal treatments for several nucleation regimes. In particular, thermal nucleation, pre-existing nuclei and the combination of both nucleation mechanisms are analyzed. For the first two cases, the universal grain size distribution is obtained. The high accuracy of the model is stated from its comparison to analytical predictions. Finally, the validity of the Kolmogorov-Johnson-Mehl-Avrami model is verified for all the cases studied