1,713 research outputs found
On supraconvergence phenomenon for second order centered finite differences on non-uniform grids
In the present study we consider an example of a boundary value problem for a
simple second order ordinary differential equation, which may exhibit a
boundary layer phenomenon. We show that usual central finite differences, which
are second order accurate on a uniform grid, can be substantially upgraded to
the fourth order by a suitable choice of the underlying non-uniform grid. This
example is quite pedagogical and may give some ideas for more complex problems.Comment: 26 pages, 2 figures, 2 tables, 37 references. Other author's papers
can be downloaded at http://www.denys-dutykh.com
An -Adaptive Newton-Galerkin Finite Element Procedure for Semilinear Boundary Value Problems
In this paper we develop an -adaptive procedure for the numerical
solution of general, semilinear elliptic boundary value problems in 1d, with
possible singular perturbations. Our approach combines both a prediction-type
adaptive Newton method and an -version adaptive finite element
discretization (based on a robust a posteriori residual analysis), thereby
leading to a fully -adaptive Newton-Galerkin scheme. Numerical experiments
underline the robustness and reliability of the proposed approach for various
examples.Comment: arXiv admin note: text overlap with arXiv:1408.522
Singularly perturbed forward-backward stochastic differential equations: application to the optimal control of bilinear systems
We study linear-quadratic stochastic optimal control problems with bilinear
state dependence for which the underlying stochastic differential equation
(SDE) consists of slow and fast degrees of freedom. We show that, in the same
way in which the underlying dynamics can be well approximated by a reduced
order effective dynamics in the time scale limit (using classical
homogenziation results), the associated optimal expected cost converges in the
time scale limit to an effective optimal cost. This entails that we can well
approximate the stochastic optimal control for the whole system by the reduced
order stochastic optimal control, which is clearly easier to solve because of
lower dimensionality. The approach uses an equivalent formulation of the
Hamilton-Jacobi-Bellman (HJB) equation, in terms of forward-backward SDEs
(FBSDEs). We exploit the efficient solvability of FBSDEs via a least squares
Monte Carlo algorithm and show its applicability by a suitable numerical
example
Numerical simulation of conservation laws with moving grid nodes: Application to tsunami wave modelling
In the present article we describe a few simple and efficient finite volume
type schemes on moving grids in one spatial dimension combined with appropriate
predictor-corrector method to achieve higher resolution. The underlying finite
volume scheme is conservative and it is accurate up to the second order in
space. The main novelty consists in the motion of the grid. This new dynamic
aspect can be used to resolve better the areas with large solution gradients or
any other special features. No interpolation procedure is employed, thus
unnecessary solution smearing is avoided, and therefore, our method enjoys
excellent conservation properties. The resulting grid is completely
redistributed according the choice of the so-called monitor function. Several
more or less universal choices of the monitor function are provided. Finally,
the performance of the proposed algorithm is illustrated on several examples
stemming from the simple linear advection to the simulation of complex shallow
water waves. The exact well-balanced property is proven. We believe that the
techniques described in our paper can be beneficially used to model tsunami
wave propagation and run-up.Comment: 46 pages, 7 figures, 7 tables, 94 references. Accepted to
Geosciences. Other author's papers can be downloaded at
http://www.denys-dutykh.com
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