Discrete spherical means of directional derivatives and Veronese maps

We describe and study geometric properties of discrete circular and spherical means of directional derivatives of functions, as well as discrete approximations of higher order differential operators. For an arbitrary dimension we present a general construction for obtaining discrete spherical means of directional derivatives. The construction is based on using the Minkowski's existence theorem and Veronese maps. Approximating the directional derivatives by appropriate finite differences allows one to obtain finite difference operators with good rotation invariance properties. In particular, we use discrete circular and spherical means to derive discrete approximations of various linear and nonlinear first- and second-order differential operators, including discrete Laplacians. A practical potential of our approach is demonstrated by considering applications to nonlinear filtering of digital images and surface curvature estimation

Efficient High-Order Space-Angle-Energy Polytopic Discontinuous Galerkin Finite Element Methods for Linear Boltzmann Transport

We introduce an $hp$-version discontinuous Galerkin finite element method (DGFEM) for the linear Boltzmann transport problem. A key feature of this new method is that, while offering arbitrary order convergence rates, it may be implemented in an almost identical form to standard multigroup discrete ordinates methods, meaning that solutions can be computed efficiently with high accuracy and in parallel within existing software. This method provides a unified discretisation of the space, angle, and energy domains of the underlying integro-differential equation and naturally incorporates both local mesh and local polynomial degree variation within each of these computational domains. Moreover, general polytopic elements can be handled by the method, enabling efficient discretisations of problems posed on complicated spatial geometries. We study the stability and $hp$-version a priori error analysis of the proposed method, by deriving suitable $hp$-approximation estimates together with a novel inf-sup bound. Numerical experiments highlighting the performance of the method for both polyenergetic and monoenergetic problems are presented.Comment: 27 pages, 2 figure

The Sparse Grid Combination Technique for Functionals with Applications

The sparse grid method is a special discretisation technique used to solve high dimensional problems. There are a wide range of applications of the sparse grid method in calculating high dimensional integrals and the solution of high dimensional PDEs. The sparse grid combination technique is a kind of method used to approximate the numerical result of the sparse grid method. The general idea of the sparse grid combination technique is to compute a linear combination of approximations of the solution of the problem. The approximations are computed on some anisotropic regular grids. The combination technique is based on the inclusion-exclusion principle. Compared with the sparse grid method, there are two advantages of the combination technique. First, only nodal basis functions are required in combination technique rather than the hierarchical basis functions in sparse grid method. Second, the combination technique is easier for parallelisation. Generalised combination techniques, e.g. the truncated combination technique, the dimension-adaptive combination technique etc, are developed to further reduce the cost when solving a high dimensional problem. For many real world problems, people are interested in some functionals related to the solution of the problem rather than the solution itself. These functionals which capture the important features of the problem are usually key for people to further understand it. When a high dimensional problem is considered, the computational cost of the functionals can be large since the numerical solution of a high dimensional partial differential equation is usually expensive to compute. We apply the generalised combination techniques to reducing the cost of computation of important functionals. Our method is based on the error models of the functionals. We build the error models for some special types of functionals when numerical schemes used to compute the PDEs and the functionals are known. We show the connection between the decay of the surpluses and the error models. By using the connection, we can also apply generalised combination techniques to functionals when we only know their computed surpluses. Numerical experiments are provided to illustrate error models for the functionals and the performance of our generalised combination techniques. Stochastic optimisation problems minimise expectations of random cost functions. Thus they require accurate quadrature methods in order to evaluate the objective, gradient and Hessian which appear in the computation. Two categories of methods are studied here. One is the discretise then optimise method, the other is the optimise then discretise method. For the methods in the first category, the application of the sparse grid methods leads to high quadrature accuracy in approximating the objective. However, the sparse grid surrogates have negative quadrature weights which potentially destroy the convexity of the objective and thus may lead to totally wrong results. We prove that the sparse grid surrogates maintain the convexity of the objective for sufficiently fine grids. For the methods in the second category, it is more flexible for us to choose the numerical schemes which used to approximate the objective, gradient and Hessian. Therefore, the application of the dimension adaptive method is possible and reasonable for optimise then discretise approaches. It further reduces the computational costs and has even better performance compared with the classical sparse grid method for many stochastic optimisation problems. Applications are provided to demonstrate the superiority of our approaches over the classical Monte Carlo and product rule based approaches

Higher-Order DGFEM Transport Calculations on Polytope Meshes for Massively-Parallel Architectures

In this dissertation, we develop improvements to the discrete ordinates (S_N) neutron transport equation using a Discontinuous Galerkin Finite Element Method (DGFEM) spatial discretization on arbitrary polytope (polygonal and polyhedral) grids compatible for massively-parallel computer architectures. Polytope meshes are attractive for multiple reasons, including their use in other physics communities and their ease in handling local mesh refinement strategies. In this work, we focus on two topical areas of research. First, we discuss higher-order basis functions compatible to solve the DGFEM S_N transport equation on arbitrary polygonal meshes. Second, we assess Diffusion Synthetic Acceleration (DSA) schemes compatible with polytope grids for massively-parallel transport problems. We first utilize basis functions compatible with arbitrary polygonal grids for the DGFEM transport equation. We analyze four different basis functions that have linear completeness on polygons: the Wachspress rational functions, the PWL functions, the mean value coordinates, and the maximum entropy coordinates. We then describe the procedure to extend these polygonal linear basis functions into the quadratic serendipity space of functions. These quadratic basis functions can exactly interpolate monomial functions up to order 2. Both the linear and quadratic sets of basis functions preserve transport solutions in the thick diffusion limit. Maximum convergence rates of 2 and 3 are observed for regular transport solutions for the linear and quadratic basis functions, respectively. For problems that are limited by the regularity of the transport solution, convergence rates of 3/2 (when the solution is continuous) and 1/2 (when the solution is discontinuous) are observed. Spatial Adaptive Mesh Refinement (AMR) achieved superior convergence rates than uniform refinement, even for problems bounded by the solution regularity. We demonstrated accuracy in the AMR solutions by allowing them to reach a level where the ray effects of the angular discretization are realized. Next, we analyzed DSA schemes to accelerate both the within-group iterations as well as the thermal upscattering iterations for multigroup transport problems. Accelerating the thermal upscattering iterations is important for materials (e.g., graphite) with significant thermal energy scattering and minimal absorption. All of the acceleration schemes analyzed use a DGFEM discretization of the diffusion equation that is compatible with arbitrary polytope meshes: the Modified Interior Penalty Method (MIP). MIP uses the same DGFEM discretization as the transport equation. The MIP form is Symmetric Positive De_nite (SPD) and e_ciently solved with Preconditioned Conjugate Gradient (PCG) with Algebraic MultiGrid (AMG) preconditioning. The analysis from previous work was extended to show MIP's stability and robustness for accelerating 3D transport problems. MIP DSA preconditioning was implemented in the Parallel Deterministic Transport (PDT) code at Texas A&M University and linked with the HYPRE suite of linear solvers. Good scalability was numerically verified out to around 131K processors. The fraction of time spent performing DSA operations was small for problems with sufficient work performed in the transport sweep (O(10^3) angular directions). Finally, we have developed a novel methodology to accelerate transport problems dominated by thermal neutron upscattering. Compared to historical upscatter acceleration methods, our method is parallelizable and amenable to massively parallel transport calculations. Speedup factors of about 3-4 were observed with our new method

Analytical Methods for Structured Matrix Computations

The design of fast algorithms is not only about achieving faster speeds but also about retaining the ability to control the error and numerical stability. This is crucial to the reliability of computed numerical solutions. This dissertation studies topics related to structured matrix computations with an emphasis on their numerical analysis aspects and algorithms. The methods discussed here are all based on rich analytical results that are mathematically justified. In chapter 2, we present a series of comprehensive error analyses to an analytical matrix compression method and it serves as a theoretical explanation of the proxy point method. These results are also important instructions on optimizing the performance. In chapter 3, we propose a non-Hermitian eigensolver by combining HSS matrix techniques with a contour-integral based method. Moreover, probabilistic analysis enables further acceleration of the method in addition to manipulating the HSS representation algebraically. An application of the HSS matrix is discussed in chapter 4 where we design a structured preconditioner for linear systems generated by AIIM. We improve the numerical stability for the matrix-free HSS construction process and make some additional modifications tailored to this particular problem

Efficient Numerical Methods for Pricing American Options under Lévy Models

Two new numerical methods for the valuation of American and Bermudan options are proposed, which admit a large class of asset price models for the underlying. In particular, the methods can be applied with Lévy models that admit jumps in the asset price. These models provide a more realistic description of market prices and lead to better calibration results than the well-known Black-Scholes model. The proposed methods are not based on the indirect approach via partial differential equations, but directly compute option prices as risk-neutral expectation values. The expectation values are approximated by numerical quadrature methods. While this approach is initially limited to European options, the proposed combination with interpolation methods also allows for pricing of Bermudan and American options. Two different interpolation methods are used. These are cubic splines on the one hand and a mesh-free interpolation by radial basis functions on the other hand. The resulting valuation methods allow for an adaptive space discretization and error control. Their numerical properties are analyzed and, finally, the methods are validated and tested against various single-asset and multi-asset options under different market models

Numerical Methods for Uncertainty Quantification in Gas Network Simulation

When modeling the gas flow through a network, some elements such as pressure control valves can cause kinks in the solution. In this thesis we modify the method of simplex stochastic collocation such that it is applicable to functions with kinks. First, we derive a system of partial differential and algebraic equations describing the gas flow through different elements of a network. Restricting the gas flow to an isothermal and stationary one, the solution can be determined analytically. After introducing some common methods for the forward propagation of uncertainty, we present the method of simplex stochastic collocation to approximate functions of uncertain parameters. By utilizing the information whether a pressure regulator is active or not in the current simulation, we improve the method such that we can prove algebraic convergence rates for functions with kinks. Moreover, we derive two new error estimators for an adaptive refinement and show that multiple refinements are possible. Conclusively, several numerical results for a real gas network are presented and compared with standard methods to demonstrate the significantly better convergence results