Related papers: Accelerated finite difference schemes for second o…
We study the convergence of the new family of mimetic finite difference schemes for linear diffusion problems recently proposed in [38]. In contrast to the conventional approach, the diffusion coefficient enters both the primary mimetic…
We consider a general linear parabolic problem with extended time boundary conditions (including initial value problems and periodic ones), and approximate it by the implicit Euler scheme in time and the Gradient Discretisation method in…
A multilevel adaptive refinement strategy for solving linear elliptic partial differential equations with random data is recalled in this work. The strategy extends the a posteriori error estimation framework introduced by Guignard and…
We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order $h^{1/2}$ for certain types of finite-difference schemes are obtained.
We study a second order BDF (Backward Differentiation Formula) scheme for the numerical approximation of parabolic HJB (Hamilton-Jacobi-Bellman) equations. The scheme under consideration is implicit, non-monotone, and second order accurate…
In this paper, we consider finite difference approximations of the second order wave equation. We use finite difference operators satisfying the summation-by-parts property to discretize the equation in space. Boundary conditions and grid…
We propose a novel second-order ODE as the continuous-time limit of a Riemannian accelerated gradient-based method on a manifold with curvature bounded from below. This ODE can be seen as a generalization of the ODE derived for Euclidean…
We consider approximations to the solutions of differential Riccati equations in the context of linear quadratic regulator problems, where the state equation is governed by a multiscale operator. Similarly to elliptic and parabolic…
We use the method of sliding paraboloids to establish a Harnack inequality for linear, degenerate and singular elliptic equation with unbounded lower order terms. The equations we consider include uniformly elliptic equations and linearized…
A linear implicit finite difference method is proposed for the approximation of the solution to a periodic, initial value problem for a Schrodinger-Hirota equation. Optimal, second order convergence in the discrete $H^1-$norm is proved,…
We formulate two classes of first-order algorithms more general than previously studied for minimizing smooth and strongly convex or, respectively, smooth and convex functions. We establish sufficient conditions, via new discrete Lyapunov…
A new class of non-monotone finite difference (FD) approximation methods for approximating solutions to non-degenerate stationary Hamilton-Jacobi problems with Dirichlet boundary conditions is proposed and analyzed. The new FD methods add a…
We propose a high-order version of the augmented Lagrangian method for solving convex optimization problems with linear constraints, which achieves arbitrarily fast -- and even superlinear -- convergence rates. First, we analyze the…
This paper detailedly discusses the locally one-dimensional numerical methods for efficiently solving the three-dimensional fractional partial differential equations, including fractional advection diffusion equation and Riesz fractional…
We build a simple and general class of finite difference schemes for first order Hamilton-Jacobi (HJ) Partial Differential Equations. These filtered schemes are convergent to the unique viscosity solution of the equation. The schemes are…
In this paper, by combining of fractional centered difference approach with alternating direction implicit method, we introduce a mixed difference method for solving two-dimensional Riesz space fractional advection-dispersion equation. The…
In this paper, we consider the shift-inverse method with Richardson iteration step for the eigenvalue problems. It will be shown that the convergence speed depends heavily on the eigenvalue gap between the desired eigenvalue and undesired…
Based on the weighted and shifted Gr\"{u}nwald difference (WSGD) operators [24], we further construct the compact finite difference discretizations for the fractional operators. Then the discretization schemes are used to approximate the…
Gradient restarting has been shown to improve the numerical performance of accelerated gradient methods. This paper provides a mathematical analysis to understand these advantages. First, we establish global linear convergence guarantees…
The aim of this work is to show an abstract framework to analyze the numerical approximation by using a finite element method in space and a Backward-Euler scheme in time of a family of degenerate parabolic problems. We deduce sufficient…