Related papers: Explicit stabilized integrators for stiff optimal …
In this paper we investigate a new class of implicit-explicit (IMEX) two-step methods of Peer type for systems of ordinary differential equations with both non-stiff and stiff parts included in the source term. An extrapolation approach…
Most numerical methods for time integration use real-valued time steps. Complex time steps, however, can provide an additional degree of freedom, as we can select the magnitude of the time step in both the real and imaginary directions. We…
This paper concerns the numerical procedure for solving hybrid optimal control problems with sliding modes. The proposed procedure has several features which distinguishes it from the other procedures for the problem. First of all a sliding…
Viewing optimization methods as numerical integrators for ordinary differential equations (ODEs) provides a thought-provoking modern framework for studying accelerated first-order optimizers. In this literature, acceleration is often…
Exact discrete-time models of nonlinear systems are difficult or impossible to obtain, and hence approximate models may be employed for control design. Most existing results provide conditions under which the stability of the approximate…
Review of implicit methods of integrating system of stiff ordinary differential equations is presented. Defines and graphically presents absolute stability region for Gears methods (backward differentiation formula) used to solve system of…
In this work, we aim at constructing numerical schemes, that are as efficient as possible in terms of cost and conservation of invariants, for the Vlasov--Fokker--Planck system coupled with Poisson or Amp\`ere equation. Splitting methods…
A general high-order fully explicit scheme based on projective integration methods is here presented to solve systems of degenerate parabolic equations in general dimensions. The method is based on a BGK approximation of the…
We present second-order optimally stable Implicit-Explicit (IMEX) Runge-Kutta (RK) schemes with application to a modified set of shallow water equations that can be used to model the dynamics of lava flows. The schemes are optimally stable…
The numerical approximation of an inverse problem subject to the convection--diffusion equation when diffusion dominates is studied. We derive Carleman estimates that are on a form suitable for use in numerical analysis and with explicit…
Variational integrators are well-suited for simulation of mechanical systems because they preserve mechanical quantities about a system such as momentum, or its change if external forcing is involved, and holonomic constraints. While they…
The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible nonlinearities in the source and advection terms. The spatial…
We consider the class of stationary-increment harmonizable stable processes with infinite control measure, which most notably includes real harmonizable fractional stable motions. We give conditions for the integrability of the paths of…
We study the singular stochastic optimal control problem with model uncertainty, where the necessary conditions determined by the corresponding maximum principle are trivial. Robust integral form and pointwise second order necessary…
A wide range of implicit time integration methods, including multi-step, implicit Runge-Kutta, and Galerkin finite-time element schemes, is evaluated in the context of chaotic dynamical systems. The schemes are applied to solve the Lorenz…
We present novel entropy-conservative and entropy-stable multirate Runge-Kutta methods based on Paired Explicit Runge-Kutta (P-ERK) schemes with relaxation for conservation laws and related systems of partial differential equations.…
Set-based integration methods allow to prove properties of differential systems, which take into account bounded disturbances. The systems (either time-discrete, time-continuous or hybrid) satisfying such properties are said to be "robust".…
As the main contribution, this document provides a consistent discretization of a class of fixed-time stable systems, namely predefined-time stable systems. In the unperturbed case, the proposed approach allows obtaining not only a…
On the basis of the previous work by Tang \& Zhang (Appl. Math. Comput. 323, 2018, p. 204--219), in this paper we present a more effective way to construct high-order symplectic integrators for solving second order Hamiltonian equations.…
This work considers multirate generalized-structure additively partitioned Runge-Kutta (MrGARK) methods for solving stiff systems of ordinary differential equations (ODEs) with multiple time scales. These methods treat different partitions…