A new approximate matrix factorization for implicit time integration in air pollution modeling

Implicit time stepping typically requires solution of one or several linear systems with a matrix I−τJ per time step where J is the Jacobian matrix. If solution of these systems is expensive, replacing I−τJ with its approximate matrix factorization (AMF) (I−τR)(I−τV), R+V=J, often leads to a good compromise between stability and accuracy of the time integration on the one hand and its efficiency on the other hand. For example, in air pollution modeling, AMF has been successfully used in the framework of Rosenbrock schemes. The standard AMF gives an approximation to I−τJ with the error τ2RV, which can be significant in norm. In this paper we propose a new AMF. In assumption that −V is an M-matrix, the error of the new AMF can be shown to have an upper bound τ||R||, while still being asymptotically $O(\tau^2)$. This new AMF, called AMF+, is equal in costs to standard AMF and, as both analysis and numerical experiments reveal, provides a better accuracy. We also report on our experience with another, cheaper AMF and with AMF-preconditioned GMRES

Improving approximate matrix factorizations for implicit time integration in air pollution modelling

For a long time operator splitting was the only computationally feasible way of implicit time integration in large scale Air Pollution Models. A recently proposed attractive alternative is Rosenbrock schemes combined with Approximate Matrix Factorization (AMF). With AMF, linear systems arising in implicit time stepping are solved approximately in such a way that the overall computational costs per time step are not higher than those of splitting methods. We propose and discuss two new variants of AMF. The first one is aimed at yet a further reduction of costs as compared with conventional AMF. The second variant of AMF provides in certain circumstances a better approximation to the inverse of the linear system matrix than standard AMF and requires the same computational work

A 3D+t Laplace operator for temporal mesh sequences

International audienceThe Laplace operator plays a fundamental role in geometry processing. Several discrete versions have been proposed for 3D meshes and point clouds, among others. We define here a discrete Laplace operator for temporally coherent mesh sequences, which allows to process mesh animations in a simple yet efficient way. This operator is a discretization of the Laplace-Beltrami operator using Discrete Exterior Calculus on CW complexes embedded in a four-dimensional space. A parameter is introduced to tune the influence of the motion with respect to the geometry. This enables straightforward generalization of existing Laplacian static mesh processing works to mesh sequences. An application to spacetime editing is provided as example

On multigrid for anisotropic equations and variational inequalities: pricing multi-dimensional European and American options

Partial differential operators in finance often originate in bounded linear stochastic processes. As a consequence, diffusion over these boundaries is zero and the corresponding coefficients vanish. The choice of parameters and stretched grids lead to additional anisotropies in the discrete equations or inequalities. In this study various block smoothers are tested in numerical experiments for equations of Black–Scholes-type (European options) in several dimensions. For linear complementarity problems, as they arise from optimal stopping time problems (American options), the choice of grid transfer is also crucial to preserve complementarity conditions on all grid levels. We adapt the transfer operators at the free boundary in a suitable way and compare with other strategies including cascadic approaches and full approximation schemes

On multigrid for anisotropic equations and variational inequalities: pricing multi-dimensional European and American options

Partial differential operators in finance often originate in bounded linear stochastic processes. As a consequence, diffusion over these boundaries is zero and the corresponding coefficients vanish. The choice of parameters and stretched grids lead to additional anisotropies in the discrete equations or inequalities. In this study various block smoothers are tested in numerical experiments for equations of Black–Scholes-type (European options) in several dimensions. For linear complementarity problems, as they arise from optimal stopping time problems (American options), the choice of grid transfer is also crucial to preserve complementarity conditions on all grid levels. We adapt the transfer operators at the free boundary in a suitable way and compare with other strategies including cascadic approaches and full approximation schemes

Numerical simulations of a dispersive model approximating free-surface Euler equations

In some configurations, dispersion effects must be taken into account to improve the simulation of complex fluid flows. A family of free-surface dispersive models has been derived in Fernández-Nieto et al. (Commun Math Sci 16(05):1169–1202, 2018). The hierarchy of models is based on a Galerkin approach and parameterised by the number of discrete layers along the vertical axis. In this paper we propose some numerical schemes designed for these models in a 1D open channel. The cornerstone of this family of models is the Serre – GreenNaghdi model which has been extensively studied in the literature from both theoretical and numerical points of view. More precisely, the goal is to propose a numerical method for the LDNH2 model that is based on a projection method extended from the one-layer case to any number of layers. To do so, the one-layer case is addressed by means of a projectioncorrection method applied to a non-standard differential operator. A special attention is paid to boundary conditions. This case is extended to several layers thanks to an original relabelling of the unknowns. In the numerical tests we show the convergence of the method and its accuracy compared to the LDNH0 model

A new generalized domain decomposition strategy for the efficient parallel solution of the FDS-pressure equation. Part I: Theory, Concept and Implementation

Due to steadily increasing problem sizes and accuracy requirements as well as storage restrictions on single-processor systems, the efficient numerical simulation of realistic fire scenarios can only be obtained on modern high-performance computers based on multi-processor architectures. The transition to those systems requires the elaborate parallelization of the underlying numerical concepts which must guarantee the same result as a potentially corresponding serial execution and preserve the convergence order of the original serial method. Because of its low degree of inherent parallelizm, especially the efficient parallelization of the elliptic pressure equation is still a big challenge in many simulation programs for fire-induced flows such as the Fire Dynamics Simulator (FDS). In order to avoid losses of accuracy or numerical instabilities, the parallelization process must definitely take into account the strong global character of the physical pressure. The current parallel FDS solver is based on a relatively coarse-grained parallellization concept which can’t guarantee these requirements in all cases. Therefore, an alternative parallel pressure solver, ScaRC, is proposed which ensures a high degree of global coupling and a good computational performance at the same time. Part I explains the theory, concept and implementation of this new strategy, whereas Part II describes a series of validation and verification tests to proof its correctness

Forecasting trends with asset prices

In this paper, we consider a stochastic asset price model where the trend is an unobservable Ornstein Uhlenbeck process. We first review some classical results from Kalman filtering. Expectedly, the choice of the parameters is crucial to put it into practice. For this purpose, we obtain the likelihood in closed form, and provide two on-line computations of this function. Then, we investigate the asymptotic behaviour of statistical estimators. Finally, we quantify the effect of a bad calibration with the continuous time mis-specified Kalman filter. Numerical examples illustrate the difficulty of trend forecasting in financial time series.Comment: 26 pages, 11 figure