On the convergence of spectral deferred correction methods

In this work we analyze the convergence properties of the Spectral Deferred Correction (SDC) method originally proposed by Dutt et al. [BIT, 40 (2000), pp. 241--266]. The framework for this high-order ordinary differential equation (ODE) solver is typically described wherein a low-order approximation (such as forward or backward Euler) is lifted to higher order accuracy by applying the same low-order method to an error equation and then adding in the resulting defect to correct the solution. Our focus is not on solving the error equation to increase the order of accuracy, but on rewriting the solver as an iterative Picard integral equation solver. In doing so, our chief finding is that it is not the low-order solver that picks up the order of accuracy with each correction, but it is the underlying quadrature rule of the right hand side function that is solely responsible for picking up additional orders of accuracy. Our proofs point to a total of three sources of errors that SDC methods carry: the error at the current time point, the error from the previous iterate, and the numerical integration error that comes from the total number of quadrature nodes used for integration. The second of these two sources of errors is what separates SDC methods from Picard integral equation methods; our findings indicate that as long as difference between the current and previous iterate always gets multiplied by at least a constant multiple of the time step size, then high-order accuracy can be found even if the underlying "solver" is inconsistent the underlying ODE. From this vantage, we solidify the prospects of extending spectral deferred correction methods to a larger class of solvers to which we present some examples.Comment: 29 page

Jet schemes for advection problems

We present a systematic methodology to develop high order accurate numerical approaches for linear advection problems. These methods are based on evolving parts of the jet of the solution in time, and are thus called jet schemes. Through the tracking of characteristics and the use of suitable Hermite interpolations, high order is achieved in an optimally local fashion, i.e. the update for the data at any grid point uses information from a single grid cell only. We show that jet schemes can be interpreted as advect-and-project processes in function spaces, where the projection step minimizes a stability functional. Furthermore, this function space framework makes it possible to systematically inherit update rules for the higher derivatives from the ODE solver for the characteristics. Jet schemes of orders up to five are applied in numerical benchmark tests, and systematically compared with classical WENO finite difference schemes. It is observed that jet schemes tend to possess a higher accuracy than WENO schemes of the same order.Comment: 26 pages, 6 figures; based on a poster presentation at the conference Fluid Dynamics, Analysis, and Numerics 201

Particle tracking methods for residence time calculations in incompressible flow

Numerical methods are presented for the calculation of residence time distributions in steady incompressible fluid flow using a given set of normal fluid fluxes, defined across the cell faces of a cartesian tensor product mesh. A particle tracking approach is adopted involving the construction of a piecewise polynomial representation of the velocity distribution, and subsequent integration of this representation for the determination of individual particle trajectories

Derivation of new staggered compact schemes with application to navier-stokes equations

A method is proposed for the derivation of new classes of staggered compact derivative and interpolation operators. The algorithm has its roots in an implicit interpolation theory consistent with compact schemes and reduces to the computation of the required staggered derivatives and interpolated quantities as a combination of nodal values and collocated compact derivatives. The new approach is cost-effective, simplifies the imposition of boundary conditions, and has improved spectral resolution properties, on equal order of accuracy, with respect to classical schemes. The method is applied to incompressible Navier-Stokes equations through the implementation into a staggered flow solver with a fractional step procedure, and tested on classical benchmarks.Postprint (published version

Adaptive time-integration for goal-oriented and coupled problems

We consider efficient methods for the partitioned time-integration of multiphysics problems, which commonly exhibit a multiscale behavior, requiring independent time-grids. Examples are fluid structure interaction in e.g., the simulation of blood-flow or cooling of rocket engines, or ocean-atmosphere-vegetation interaction. The ideal method for solving these problems allows independent and adaptive time-grids, higher order time-discretizations, is fast and robust, and allows the coupling of existing subsolvers, executed in parallel. We consider Waveform relaxation (WR) methods, which can have all of these properties. WR methods iterate on continuous-in-time interface functions, obtained via suitable interpolation. The difficulty is to find suitable convergence acceleration, which is required for the iteration converge quickly. We develop a fast and highly robust, second order in time, adaptive WR method for unsteady thermal fluid structure interaction (FSI), modelled by heterogeneous coupled linear heat equations. We use a Dirichlet-Neumann coupling at the interface and an analytical optimal relaxation parameter derived for the fully-discrete scheme. While this method is sequential, it is notably faster and more robust than similar parallel methods.We further develop a novel, parallel WR method, using asynchronous communication techniques during time-integration to accelerate convergence. Instead of exchanging interpolated time-dependent functions at the end of each time-window or iteration, we exchange time-point data immediately after each timestep. The analytical description and convergence results of this method generalize existing WR theory.Since WR methods allow coupling of problems in a relative black-box manner, we developed adapters to PDE-subsolvers implemented using DUNE and FEniCS. We demonstrate this coupling in a thermal FSI test case.Lastly, we consider adaptive time-integration for goal-oriented problems, where one is interested in a quantity of interest (QoI), which is a functional of the solution. The state-of-the-art method is the dual-weighted residual (DWR) method, which is extremely costly in both computation and implementation. We develop a goal oriented adaptive method based on local error estimates, which is considerably cheaper in computation. We prove convergence of the error in the QoI for tolerance to zero under a controllability assumption. By analyzing global error propagation with respect to the QoI, we can identify possible issues and make performance predictions. Numerical results verify these results and show our method to be more efficient than the DWR method

A delay differential model of ENSO variability: Parametric instability and the distribution of extremes

We consider a delay differential equation (DDE) model for El-Nino Southern Oscillation (ENSO) variability. The model combines two key mechanisms that participate in ENSO dynamics: delayed negative feedback and seasonal forcing. We perform stability analyses of the model in the three-dimensional space of its physically relevant parameters. Our results illustrate the role of these three parameters: strength of seasonal forcing $b$, atmosphere-ocean coupling $\kappa$, and propagation period $\tau$ of oceanic waves across the Tropical Pacific. Two regimes of variability, stable and unstable, are separated by a sharp neutral curve in the $(b,\tau)$ plane at constant $\kappa$. The detailed structure of the neutral curve becomes very irregular and possibly fractal, while individual trajectories within the unstable region become highly complex and possibly chaotic, as the atmosphere-ocean coupling $\kappa$ increases. In the unstable regime, spontaneous transitions occur in the mean ``temperature'' ({\it i.e.}, thermocline depth), period, and extreme annual values, for purely periodic, seasonal forcing. The model reproduces the Devil's bleachers characterizing other ENSO models, such as nonlinear, coupled systems of partial differential equations; some of the features of this behavior have been documented in general circulation models, as well as in observations. We expect, therefore, similar behavior in much more detailed and realistic models, where it is harder to describe its causes as completely.Comment: 22 pages, 9 figure