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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…
In this short note we provide a quantitative version of the classical Runge approximation property for second order elliptic operators. This relies on quantitative unique continuation results and duality arguments. We show that these…
We study the construction and convergence of semi-explicit and iterative decoupling schemes for an elliptic-parabolic problem using higher-order Runge-Kutta methods. For the semi-explicit schemes, which are constructed using a nearby delay…
We determine the Lagrange function in Taylor polynomial approximation by solving an appropriate initial-value problem. Hence, we determine the remainder term which we then approximate by means of a natural cubic spline. This results in a…
We propose a method of estimating the uncertainty of a result obtained through extrapolation to the complete basis set limit. The method is based on an ensemble of random walks which simulate all possible extrapolation outcomes that could…
In this paper, we develop a higher order symmetric partitioned Runge-Kutta method for a coupled system of differential equations on Lie groups. We start with a discussion on partitioned Runge-Kutta methods on Lie groups of arbitrary order.…
In standard balanced truncation model order reduction, the initial condition is typically ignored in the reduction procedure and is assumed to be zero instead. However, such a reduced-order model may be a bad approximation to the full-order…
The application of Runge-Kutta schemes designed to enjoy a large region of absolute stability can significantly increase the efficiency of numerical methods for PDEs based on a method of lines approach. In this work we investigate the…
Direct shooting is an efficient method to solve numerical optimal control. It utilizes the Runge-Kutta scheme to discretize a continuous-time optimal control problem making the problem solvable by nonlinear programming solvers. However,…
We compare the three main types of high-order one-step initial value solvers: extrapolation, spectral deferred correction, and embedded Runge--Kutta pairs. We consider orders four through twelve, including both serial and parallel…
We derive optimal order a posteriori error estimates for fully discrete approximations of the initial-boundary value problem for the heat equation. For the discretization in time we apply the fractional-step $\vartheta$-scheme and for the…
Linearly implicit Runge-Kutta methods with approximate matrix factorization can solve efficiently large systems of differential equations that have a stiff linear part, e.g. reaction-diffusion systems. However, the use of approximate…
In this paper we propose a method for computing the Faddeeva function $w(z) := e^{-z^2}\mathrm{erfc}(-i z)$ via truncated modified trapezoidal rule approximations to integrals on the real line. Our starting point is the method due to Matta…
In the existing literature, the Redheffer inequality is typically proven using mathematical induction. In this short paper, we present a straightforward proof of this inequality by leveraging trigonometric substitution. We then extend the…
We present a novel and general methodology for building second-order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two-dimensional financial parabolic PDEs with mixed derivatives. The methods achieve second-order…
The value-at-risk of a delta-gamma approximated derivatives portfolio can be computed by numerical integration of the characteristic function. However, while the choice of parameters in any numerical integration scheme is paramount, in…
The numerical efficiency of different schemes for solving the Liouville-von Neumann equation within multilevel Redfield theory has been studied. Among the tested algorithms are the well-known Runge-Kutta scheme in two different…
This paper is devoted to examining the stability of Runge-Kutta methods for solving nonlinear Volterra delay-integro-differential-algebraic equations (DIDAEs) with constant delay. Hybrid numerical schemes combining Runge-Kutta methods and…
This article is a review on basic concepts and tools devoted to a posteriori error estimation for problems solved with the Finite Element Method. For the sake of simplicity and clarity, we mostly focus on linear elliptic diffusion problems,…
This paper considers a nonconvex optimization problem that evolves over time, and addresses the synthesis and analysis of regularized primal-dual gradient methods to track a Karush-Kuhn-Tucker (KKT) trajectory. The proposed regularized…