Related papers: Split generalized-$\alpha$ method: A linear-cost s…
The advection-diffusion and wave equations are the fundamental equations governing any physical law and therefore arise in many areas of physics and astrophysics. For complex problems and geometries, only numerical simulations can give…
In this paper, we propose an iterative splitting method to solve the partial differential equations in option pricing problems. We focus on the Heston stochastic volatility model and the derived two-dimensional partial differential equation…
In this paper, we propose a primal-dual splitting algorithm for a broad class of structured composite monotone inclusions that involve finitely many set-valued operators, compositions of set-valued operators with bounded linear operators,…
We show how the standard (St{\"o}rmer-Verlet) splitting method for differential equations of Hamiltonian mechanics (with accuracy of order $\tau^2$ for a timestep of length $\tau$) can be improved in a systematic manner without using the…
In this paper we consider various splitting schemes for unsteady problems containing the grad-div operator. The fully implicit discretization of such problems would yield at each time step a linear problem that couples all components of the…
We consider high-order splitting schemes for large-scale differential Riccati equations. Such equations arise in many different areas and are especially important within the field of optimal control. In the large-scale case, it is critical…
We present a new and relatively elementary method for studying the solution of the initial-value problem for dispersive linear and integrable equations in the large-$t$ limit, based on a generalization of steepest descent techniques for…
In this paper we present an efficient active-set method for the solution of convex quadratic programming problems with general piecewise-linear terms in the objective, with applications to sparse approximations and risk-minimization. The…
We show that the second-order accurate generalized-$\alpha$ method on a uniform temporal mesh may be viewed as an implicit midpoint method on a shifted temporal mesh. With this insight, we demonstrate generalized-$\alpha$ time integration…
We construct high order symmetric volume-preserving methods for the relativistic dynamics of a charged particle by the splitting technique with processing. Via expanding the phase space to include time $t$, we give a more general…
We propose, analyze, and test new robust iterative solvers for systems of linear algebraic equations arising from the space-time finite element discretization of reduced optimality systems defining the approximate solution of hyperbolic…
In this work, we design and investigate contrast-independent partially explicit time discretizations for wave equations in heterogeneous high-contrast media. We consider multiscale problems, where the spatial heterogeneities are at subgrid…
In this work we develop a novel domain splitting strategy for the solution of partial differential equations. Focusing on a uniform discretization of the $d$-dimensional advection-diffusion equation, our proposal is a two-level algorithm…
An error analysis of a splitting method applied to the Zakharov system is given. The numerical method is a Lie-Trotter splitting in time that is combined with a Fourier collocation in space to a fully discrete method. First-order…
We present an adaptive finite element method for the incompressible Navier--Stokes equations based on a standard splitting scheme (the incremental pressure correction scheme). The presented method combines the efficiency and simplicity of a…
In earlier work we have studied a method for discretization in time of a parabolic problem which consists in representing the exact solution as an integral in the complex plane and then applying a quadrature formula to this integral. In…
We investigate time complexities of finite difference methods for solving the high-dimensional linear heat equation, the high-dimensional linear hyperbolic equation and the multiscale hyperbolic heat system with quantum algorithms (hence…
The partitioned approach for the numerical integration of power system differential algebraic equations faces inherent numerical stability challenges due to delays between the computation of state and algebraic variables. Such delays can…
We evaluate the performance of novel numerical methods for solving one-dimensional nonlinear fractional dispersive and dissipative evolution equations. The methods are based on affine combinations of time-splitting integrators and…
In this work, we explore the use of operator splitting algorithms for solving regularized structural topology optimization problems. The context is the classical structural design problems (e.g., compliance minimization and compliant…