The cutoff method for the numerical computation of nonnegative solutions of parabolic PDEs with application to anisotropic diffusion and lubrication-type equations

The cutoff method, which cuts off the values of a function less than a given number, is studied for the numerical computation of nonnegative solutions of parabolic partial differential equations. A convergence analysis is given for a broad class of finite difference methods combined with cutoff for linear parabolic equations. Two applications are investigated, linear anisotropic diffusion problems satisfying the setting of the convergence analysis and nonlinear lubrication-type equations for which it is unclear if the convergence analysis applies. The numerical results are shown to be consistent with the theory and in good agreement with existing results in the literature. The convergence analysis and applications demonstrate that the cutoff method is an effective tool for use in the computation of nonnegative solutions. Cutoff can also be used with other discretization methods such as collocation, finite volume, finite element, and spectral methods and for the computation of positive solutions.Comment: 19 pages, 41 figure

Efficient Resolution of Anisotropic Structures

We highlight some recent new delevelopments concerning the sparse representation of possibly high-dimensional functions exhibiting strong anisotropic features and low regularity in isotropic Sobolev or Besov scales. Specifically, we focus on the solution of transport equations which exhibit propagation of singularities where, additionally, high-dimensionality enters when the convection field, and hence the solutions, depend on parameters varying over some compact set. Important constituents of our approach are directionally adaptive discretization concepts motivated by compactly supported shearlet systems, and well-conditioned stable variational formulations that support trial spaces with anisotropic refinements with arbitrary directionalities. We prove that they provide tight error-residual relations which are used to contrive rigorously founded adaptive refinement schemes which converge in $L_2$. Moreover, in the context of parameter dependent problems we discuss two approaches serving different purposes and working under different regularity assumptions. For frequent query problems, making essential use of the novel well-conditioned variational formulations, a new Reduced Basis Method is outlined which exhibits a certain rate-optimal performance for indefinite, unsymmetric or singularly perturbed problems. For the radiative transfer problem with scattering a sparse tensor method is presented which mitigates or even overcomes the curse of dimensionality under suitable (so far still isotropic) regularity assumptions. Numerical examples for both methods illustrate the theoretical findings

An anisotropic mesh adaptation method for the finite element solution of heterogeneous anisotropic diffusion problems

Heterogeneous anisotropic diffusion problems arise in the various areas of science and engineering including plasma physics, petroleum engineering, and image processing. Standard numerical methods can produce spurious oscillations when they are used to solve those problems. A common approach to avoid this difficulty is to design a proper numerical scheme and/or a proper mesh so that the numerical solution validates the discrete counterpart (DMP) of the maximum principle satisfied by the continuous solution. A well known mesh condition for the DMP satisfaction by the linear finite element solution of isotropic diffusion problems is the non-obtuse angle condition that requires the dihedral angles of mesh elements to be non-obtuse. In this paper, a generalization of the condition, the so-called anisotropic non-obtuse angle condition, is developed for the finite element solution of heterogeneous anisotropic diffusion problems. The new condition is essentially the same as the existing one except that the dihedral angles are now measured in a metric depending on the diffusion matrix of the underlying problem. Several variants of the new condition are obtained. Based on one of them, two metric tensors for use in anisotropic mesh generation are developed to account for DMP satisfaction and the combination of DMP satisfaction and mesh adaptivity. Numerical examples are given to demonstrate the features of the linear finite element method for anisotropic meshes generated with the metric tensors.Comment: 34 page

The non-locality of Markov chain approximations to two-dimensional diffusions

In this short paper, we consider discrete-time Markov chains on lattices as approximations to continuous-time diffusion processes. The approximations can be interpreted as finite difference schemes for the generator of the process. We derive conditions on the diffusion coefficients which permit transition probabilities to match locally first and second moments. We derive a novel formula which expresses how the matching becomes more difficult for larger (absolute) correlations and strongly anisotropic processes, such that instantaneous moves to more distant neighbours on the lattice have to be allowed. Roughly speaking, for non-zero correlations, the distance covered in one timestep is proportional to the ratio of volatilities in the two directions. We discuss the implications to Markov decision processes and the convergence analysis of approximations to Hamilton-Jacobi-Bellman equations in the Barles-Souganidis framework.Comment: Corrected two errata from previous and journal version: definition of R in (5) and summations in (7

Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations

Stochastic Galerkin methods for non-affine coefficient representations are known to cause major difficulties from theoretical and numerical points of view. In this work, an adaptive Galerkin FE method for linear parametric PDEs with lognormal coefficients discretized in Hermite chaos polynomials is derived. It employs problem-adapted function spaces to ensure solvability of the variational formulation. The inherently high computational complexity of the parametric operator is made tractable by using hierarchical tensor representations. For this, a new tensor train format of the lognormal coefficient is derived and verified numerically. The central novelty is the derivation of a reliable residual-based a posteriori error estimator. This can be regarded as a unique feature of stochastic Galerkin methods. It allows for an adaptive algorithm to steer the refinements of the physical mesh and the anisotropic Wiener chaos polynomial degrees. For the evaluation of the error estimator to become feasible, a numerically efficient tensor format discretization is developed. Benchmark examples with unbounded lognormal coefficient fields illustrate the performance of the proposed Galerkin discretization and the fully adaptive algorithm

Pointwise gradient bounds for entire solutions of elliptic equations with non-standard growth conditions and general nonlinearities

We give pointwise gradient bounds for solutions of (possibly non-uniformly) elliptic partial differential equations in the entire Euclidean space. The operator taken into account is very general and comprises also the singular and degenerate nonlinear case with non-standard growth conditions. The sourcing term is also allowed to have a very general form, depending on the space variables, on the solution itself, on its gradient, and possibly on higher order derivatives if additional structural conditions are satisfied