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In this article, we propose an implicit finite difference scheme for a two-dimensional parabolic stochastic partial differential equation (SPDE) of Zakai type. The scheme is based on a Milstein approximation to the stochastic integral and…
The key difficulty to develop efficient high-order methods for integrating stochastic differential equations lies in the calculations of the multiple stochastic integrals. This letter suggests a scheme to compute the stochastic integrals…
Recent applications (e.g. active gels and self-assembly of elastic sheets) motivate the need to efficiently simulate the dynamics of thin elastic sheets. We present semi-implicit time stepping algorithms to improve the time step constraints…
We give an algorithm for efficient step size control in numerical integration of non-stiff initial value problems, based on a formula tailormade to methods where the numerical solution is compared with a solution of lower order.
Many interfacial phenomena in physical and biological systems are dominated by high order geometric quantities such as curvature. Here a semi-implicit method is combined with a level set jet scheme to handle stiff nonlinear advection…
This paper develops validated computational methods for studying infinite dimensional stable manifolds at equilibrium solutions of parabolic PDEs, synthesizing disparate errors resulting from numerical approximation. To construct our…
We present a numerical method for convergence acceleration for multifidelity models of parameterized ordinary differential equations. The hierarchy of models is defined as trajectories computed using different timesteps in a time…
The multiplicative Newton-like method developed by the author et al. is extended to the situation where the dynamics is restricted to the orthogonal group. A general framework is constructed without specifying the cost function. Though the…
Recently, a new class of BDF schemes proposed in [F. Huang and J. Shen, SIAM J Numer. Anal., 62.4, 1609--1637] for the parabolic type equations are studied in this paper. The basic idea is based on the Taylor expansions at time…
This paper presents a first-order convex splitting hybridizable/embedded discontinuous Galerkin method for the phase field crystal equation written in mixed form. Since the sixth-order phase field crystal equation is rewritten as a…
A practical and efficient scheme for the higher order integration of the Landau-Lifschitz-Gilbert (LLG) equation is presented. The method is based on extrapolation of the two-step explicit midpoint rule and incorporates adaptive time step…
We develop a stochastic algorithm for independent component analysis that incorporates multi-trial supervision, which is available in many scientific contexts. The method blends a proximal gradient-type algorithm in the space of invertible…
It is well known that in the first-discretize-then-optimize approach in the control of ordinary differential equations the adjoint method may converge under additional order conditions only. For Peer two-step methods we derive such adjoint…
Algorithmic differentiation (AD) has become increasingly capable and straightforward to use. However, AD is inefficient when applied directly to solvers, a feature of most engineering analyses. We can leverage implicit differentiation to…
In this paper we devise and analyze an unconditionally stable, second-order-in-time numerical scheme for the Cahn-Hilliard equation in two and three space dimensions. We prove that our two-step scheme is unconditionally energy stable and…
A sequential quadratic programming method is designed for solving general smooth nonlinear stochastic optimization problems subject to expectation equality constraints. We consider the setting where the objective and constraint function…
Considered herein is a modified Newton method for the numerical solution of nonlinear equations where the Jacobian is approximated using a complex-step derivative approximation. We show that this method converges for sufficiently small…
In this paper, we construct efficient schemes based on the scalar auxiliary variable (SAV) block-centered finite difference method for the modified phase field crystal (MPFC) equation, which is a sixth-order nonlinear damped wave equation.…
This paper introduces alternating-direction implicit (ADI) solvers of higher order of time-accuracy (orders two to six) for the compressible Navier-Stokes equations in two- and three-dimensional curvilinear domains. The higher-order…
We provide new gradient-based methods for efficiently solving a broad class of ill-conditioned optimization problems. We consider the problem of minimizing a function $f : \mathbb{R}^d \rightarrow \mathbb{R}$ which is implicitly…