19,680 research outputs found
Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation
We present a numerical method for the Monte Carlo simulation of uncoupled
continuous-time random walks with a Levy alpha-stable distribution of jumps in
space and a Mittag-Leffler distribution of waiting times, and apply it to the
stochastic solution of the Cauchy problem for a partial differential equation
with fractional derivatives both in space and in time. The one-parameter
Mittag-Leffler function is the natural survival probability leading to
time-fractional diffusion equations. Transformation methods for Mittag-Leffler
random variables were found later than the well-known transformation method by
Chambers, Mallows, and Stuck for Levy alpha-stable random variables and so far
have not received as much attention; nor have they been used together with the
latter in spite of their mathematical relationship due to the geometric
stability of the Mittag-Leffler distribution. Combining the two methods, we
obtain an accurate approximation of space- and time-fractional diffusion
processes almost as easy and fast to compute as for standard diffusion
processes.Comment: 7 pages, 5 figures, 1 table. Presented at the Conference on Computing
in Economics and Finance in Montreal, 14-16 June 2007; at the conference
"Modelling anomalous diffusion and relaxation" in Jerusalem, 23-28 March
2008; et
A space-time pseudospectral discretization method for solving diffusion optimal control problems with two-sided fractional derivatives
We propose a direct numerical method for the solution of an optimal control
problem governed by a two-side space-fractional diffusion equation. The
presented method contains two main steps. In the first step, the space variable
is discretized by using the Jacobi-Gauss pseudospectral discretization and, in
this way, the original problem is transformed into a classical integer-order
optimal control problem. The main challenge, which we faced in this step, is to
derive the left and right fractional differentiation matrices. In this respect,
novel techniques for derivation of these matrices are presented. In the second
step, the Legendre-Gauss-Radau pseudospectral method is employed. With these
two steps, the original problem is converted into a convex quadratic
optimization problem, which can be solved efficiently by available methods. Our
approach can be easily implemented and extended to cover fractional optimal
control problems with state constraints. Five test examples are provided to
demonstrate the efficiency and validity of the presented method. The results
show that our method reaches the solutions with good accuracy and a low CPU
time.Comment: This is a preprint of a paper whose final and definite form is with
'Journal of Vibration and Control', available from
[http://journals.sagepub.com/home/jvc]. Submitted 02-June-2018; Revised
03-Sept-2018; Accepted 12-Oct-201
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