Equivalence of operator-splitting schemes for the integration of the Langevin equation

We investigate the equivalence of different operator-splitting schemes for the integration of the Langevin equation. We consider a specific problem, so called the directed percolation process, which can be extended to a wider class of problems. We first give a compact mathematical description of the operator-splitting method and introduce two typical splitting schemes that will be useful in numerical studies. We show that the two schemes are essentially equivalent through the map that turns out to be an automorphism. An associated equivalent class of operator-splitting integrations is also defined by generalizing the specified equivalence.Comment: 4 page

Testing weighted splitting schemes on a one-column transport-chemistry model

In many transport-chemistry models, a huge system of ODE’s of the advection-diffusion-reaction type has to be integrated in time. Typically, this is done with the help of operator splitting. Rosenbrock schemes combined with approximate matrix factorization (ROS-AMF) are an alternative to operator splitting which does not suffer from splitting errors. However, implementation of ROS-AMF schemes often requires serious changes in the code. In this paper we test another classical second order splitting introduced by Strang in 1963, which, unlike the popular Strang splitting, seemed to be forgotten and rediscovered recently (partially due to its intrinsic parallellism). This splitting, called symmetrically weighted sequential (SWS) splitting, is simple and straightforward to apply, independent of the order of the operators and has an operator-level parallelism. In the experiments, the SWS scheme compares favorably to the Strang splitting, but is less accurate than ROS-AMF

OSQP: An Operator Splitting Solver for Quadratic Programs

We present a general-purpose solver for convex quadratic programs based on the alternating direction method of multipliers, employing a novel operator splitting technique that requires the solution of a quasi-definite linear system with the same coefficient matrix at almost every iteration. Our algorithm is very robust, placing no requirements on the problem data such as positive definiteness of the objective function or linear independence of the constraint functions. It can be configured to be division-free once an initial matrix factorization is carried out, making it suitable for real-time applications in embedded systems. In addition, our technique is the first operator splitting method for quadratic programs able to reliably detect primal and dual infeasible problems from the algorithm iterates. The method also supports factorization caching and warm starting, making it particularly efficient when solving parametrized problems arising in finance, control, and machine learning. Our open-source C implementation OSQP has a small footprint, is library-free, and has been extensively tested on many problem instances from a wide variety of application areas. It is typically ten times faster than competing interior-point methods, and sometimes much more when factorization caching or warm start is used. OSQP has already shown a large impact with tens of thousands of users both in academia and in large corporations

Asymptotic wave-splitting in anisotropic linear acoustics

Linear acoustic wave-splitting is an often used tool in describing sound-wave propagation through earth's subsurface. Earth's subsurface is in general anisotropic due to the presence of water-filled porous rocks. Due to the complexity and the implicitness of the wave-splitting solutions in anisotropic media, wave-splitting in seismic experiments is often modeled as isotropic. With the present paper, we have derived a simple wave-splitting procedure for an instantaneously reacting anisotropic media that includes spatial variation in depth, yielding both a traditional (approximate) and a `true amplitude' wave-field decomposition. One of the main advantages of the method presented here is that it gives an explicit asymptotic representation of the linear acoustic-admittance operator to all orders of smoothness for the smooth, positive definite anisotropic material parameters considered here. Once the admittance operator is known we obtain an explicit asymptotic wave-splitting solution.Comment: 20 page

Application of Operator Splitting Methods in Finance

Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generalizations thereof. An overview of various operator splitting methods is presented for the efficient numerical solution of these problems. Splitting schemes of the Alternating Direction Implicit (ADI) type are discussed for multidimensional problems, e.g. given by stochastic volatility (SV) models. For jump models Implicit-Explicit (IMEX) methods are considered which efficiently treat the nonlocal jump operator. For American options an easy-to-implement operator splitting method is described for the resulting linear complementarity problems. Numerical experiments are presented to illustrate the actual stability and convergence of the splitting schemes. Here European and American put options are considered under four asset price models: the classical Black-Scholes model, the Merton jump-diffusion model, the Heston SV model, and the Bates SV model with jumps

Wave splitting of Maxwell's equations with anisotropic heterogeneous constitutive relations

The equations for the electromagnetic field in an anisotropic media are written in a form containing only the transverse field components relative to a half plane boundary. The operator corresponding to this formulation is the electromagnetic system's matrix. A constructive proof of the existence of directional wave-field decomposition with respect to the normal of the boundary is presented. In the process of defining the wave-field decomposition (wave-splitting), the resolvent set of the time-Laplace representation of the system's matrix is analyzed. This set is shown to contain a strip around the imaginary axis. We construct a splitting matrix as a Dunford-Taylor type integral over the resolvent of the unbounded operator defined by the electromagnetic system's matrix. The splitting matrix commutes with the system's matrix and the decomposition is obtained via a generalized eigenvalue-eigenvector procedure. The decomposition is expressed in terms of components of the splitting matrix. The constructive solution to the question on the existence of a decomposition also generates an impedance mapping solution to an algebraic Riccati operator equation. This solution is the electromagnetic generalization in an anisotropic media of a Dirichlet-to-Neumann map.Comment: 45 pages, 2 figure