26,679 research outputs found
Implicit-Explicit Runge-Kutta schemes for hyperbolic systems and kinetic equations in the diffusion limit
We consider Implicit-Explicit (IMEX) Runge-Kutta (R-K) schemes for hyperbolic
systems with stiff relaxation in the so-called diffusion limit. In such regime
the system relaxes towards a convection-diffusion equation. The first objective
of the paper is to show that traditional partitioned IMEX R-K schemes will
relax to an explicit scheme for the limit equation with no need of modification
of the original system. Of course the explicit scheme obtained in the limit
suffers from the classical parabolic stability restriction on the time step.
The main goal of the paper is to present an approach, based on IMEX R-K
schemes, that in the diffusion limit relaxes to an IMEX R-K scheme for the
convection-diffusion equation, in which the diffusion is treated implicitly.
This is achieved by an original reformulation of the problem, and subsequent
application of IMEX R-K schemes to it. An analysis on such schemes to the
reformulated problem shows that the schemes reduce to IMEX R-K schemes for the
limit equation, under the same conditions derived for hyperbolic relaxation.
Several numerical examples including neutron transport equations confirm the
theoretical analysis
A unified IMEX Runge-Kutta approach for hyperbolic systems with multiscale relaxation
In this paper we consider the development of Implicit-Explicit (IMEX)
Runge-Kutta schemes for hyperbolic systems with multiscale relaxation. In such
systems the scaling depends on an additional parameter which modifies the
nature of the asymptotic behavior which can be either hyperbolic or parabolic.
Because of the multiple scalings, standard IMEX Runge-Kutta methods for
hyperbolic systems with relaxation loose their efficiency and a different
approach should be adopted to guarantee asymptotic preservation in stiff
regimes. We show that the proposed approach is capable to capture the correct
asymptotic limit of the system independently of the scaling used. Several
numerical examples confirm our theoretical analysis
Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
In this article, we extend a Milstein finite difference scheme introduced in
[Giles & Reisinger(2011)] for a certain linear stochastic partial differential
equation (SPDE), to semi- and fully implicit timestepping as introduced by
[Szpruch(2010)] for SDEs. We combine standard finite difference Fourier
analysis for PDEs with the linear stability analysis in [Buckwar &
Sickenberger(2011)] for SDEs, to analyse the stability and accuracy. The
results show that Crank-Nicolson timestepping for the principal part of the
drift with a partially implicit but negatively weighted double It\^o integral
gives unconditional stability over all parameter values, and converges with the
expected order in the mean-square sense. This opens up the possibility of local
mesh refinement in the spatial domain, and we show experimentally that this can
be beneficial in the presence of reduced regularity at boundaries
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