Related papers: Variable Step Size Multiscale Methods for Stiff an…
The computation time required by standard finite difference methods with fixed timesteps for solving fractional diffusion equations is usually very large because the number of operations required to find the solution scales as the square of…
Two-step hybrid methods specially adapted to the numerical integration of perturbed oscillators are obtained. The formulation of the methods is based on a refinement of classical Taylor expansions due to Scheifele [{\em Z. Angew. Math.…
Time integration methods for solving initial value problems are an important component of many scientific and engineering simulations. Implicit time integrators are desirable for their stability properties, significantly relaxing…
By combining a standard symmetric, symplectic integrator with a new step size controller, we provide an integration scheme that is symmetric, reversible and conserves the values of the constants of motion. This new scheme is appropriate for…
We propose a new Monte Carlo method for efficiently sampling trajectories with fixed initial and final conditions in a system with discrete degrees of freedom. The method can be applied to any stochastic process with local interactions,…
This paper considers flow problems in multiscale heterogeneous porous media. The multiscale nature of the modeled process significantly complicates numerical simulations due to the need to compute huge and ill-conditioned sparse matrices,…
In this paper, we propose, analyze, and test a new fully discrete, efficient, decoupled, stable, and practically second-order time-stepping algorithm for computing MHD ensemble flow averages under uncertainties in the initial conditions and…
We present a multirate method that is particularly suited for integrating the systems of Ordinary Differential Equations (ODEs) that arise in step models of surface evolution. The surface of a crystal lattice, that is slightly miscut from a…
Fluid dynamical simulations are often performed using cheap macroscopic models like the Euler equations. For rarefied gases under near-equilibrium conditions, however, macroscopic models are not sufficiently accurate and a simulation using…
This article presents a formulation that extends the variational multiscale modelling for compressible large-eddy simulation to a vast family of compact nodal numerical methods represented by the high-order flux reconstruction scheme. The…
A minimal requirement for simulating multi-scale systems is to reproduce the statistical behavior of the slow variables. In particular, a good numerical method should accurately aproximate the probability density function of the…
In this paper, two multiscale time integrators (MTIs), motivated from two types of multiscale decomposition by either frequency or frequency and amplitude, are proposed and analyzed for solving highly oscillatory second order differential…
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical results. Finally, we provide an outlook on…
This research explores the development and application of the High-Order Dynamic Integration Method for solving integro-differential equations, with a specific focus on turbulent fluid dynamics. Traditional numerical methods, such as the…
This paper studies multistep methods for the integration of reversible dynamical systems, with particular emphasis on the planar Kepler problem. It has previously been shown by Cano & Sanz-Serna that reversible linear multisteps for…
Efficient fourth order symplectic integrators are proposed for numerical integration of separable Hamiltonian systems H(p,q)=T(p)+V(q). Symmetric splitting coefficients with five to nine stages are obtained by higher order decomposition of…
This paper is dedicated to the rigorous numerical analysis of a Multiscale Finite Element Method (MsFEM) for the Stokes system, when dealing with highly heterogeneous media, as proposed in [B.P.~Muljadi et al., arXiv:1404.2837]. The method…
We present adaptive gradient methods (both basic and accelerated) for solving convex composite optimization problems in which the main part is approximately smooth (a.k.a. $(\delta, L)$-smooth) and can be accessed only via a (potentially…
This paper extends split variational inclusion problems to dynamic, stochastic, and multi-agent systems in Banach spaces. We propose novel iterative algorithms to handle stochastic noise, time-varying operators, and coupled variational…
We study numerical methods for sampling probability measures in high dimension where the underlying model is only approximately identified with a gradient system. Extended stochastic dynamical methods are discussed which have application to…