Related papers: Numerical analysis of the master equation
The Master equation describes the time evolution of the probabilities of a system with a discrete state space. This time evolution approaches for long times a stationary state that will in general depend on the initial probability…
Advances in information technology have led to extremely large datasets that are often kept in different storage centers. Existing statistical methods must be adapted to overcome the resulting computational obstacles while retaining…
In this paper a new Runge-Kutta type scheme is introduced for nonlinear stochastic partial differential equations (SPDEs) with multiplicative trace class noise. The proposed scheme converges with respect to the computational effort with a…
The evaluation of the performance of adiabatic annealers is hindered by lack of efficient algorithms for simulating their behaviour. We exploit the analyticity of the standard model for the adiabatic quantum process to develop an efficient…
High order energy-preserving methods for Hamiltonian systems are presented. For this aim, an energy-preserving condition of continuous stage Runge--Kutta methods is proved. Order conditions are simplified and parallelizable conditions are…
This letter studies symmetric and symplectic exponential integrators when applied to numerically computing nonlinear Hamiltonian systems. We first establish the symmetry and symplecticity conditions of exponential integrators and then show…
Singly-TASE operators for the numerical solution of stiff differential equations were proposed by Calvo et al. in J.Sci. Comput. 2023 to reduce the computational cost of Runge-Kutta-TASE (RKTASE) methods when the involved linear systems are…
In this article we develop a numerical scheme to deal with interfaces between touching numerical grids when solving the second-order wave equation. We show that it is possible to implement an interface scheme of "penalty" type for 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,…
Stochastic optimization methods have been hugely successful in making large-scale optimization problems feasible when computing the full gradient is computationally prohibitive. Using the theory of modified equations for numerical…
Multirate time integration methods apply different step sizes to resolve different components of the system based on the local activity levels. This local selection of step sizes allows increased computational efficiency while achieving the…
We study symplectic numerical integration of mechanical systems with a Hamiltonian specified in non-canonical coordinates and its application to guiding-center motion of charged plasma particles in magnetic confinement devices. The…
We note a fact that stiff systems or differential equations that have highly oscillatory solutions cannot be solved efficiently using conventional methods. In this paper, we study two new classes of exponential Runge-Kutta (ERK) integrators…
We construct a family of embedded pairs for optimal strong stability preserving explicit Runge-Kutta methods of order $2 \leq p \leq 4$ to be used to obtain numerical solution of spatially discretized hyperbolic PDEs. In this construction,…
The parametric instability arising when ordinary differential equations (ODEs) are numerically integrated with Runge-Kutta-Nystr\"om (RKN) methods with varying step sizes is investigated. It is shown that when linear constant coefficient…
We present a comparison of different numerical techniques for the integration of variational equations. The methods presented can be applied to any autonomous Hamiltonian system whose kinetic energy is quadratic in the generalized momenta,…
Numerical integrators could be used to form interpolation conditions when training neural networks to approximate the vector field of an ordinary differential equation (ODE) from data. When numerical one-step schemes such as the Runge-Kutta…
This work constructs a new class of multirate schemes based on the recently developed generalized additive Runge-Kutta (GARK) methods (Sandu and Guenther, 2013). Multirate schemes use different step sizes for different components and for…
Using existing, forward-in-time integration schemes, we demonstrate that it is possible to compute unstable, saddle-type fixed points of stiff systems of ODEs when the stable compenents are fast (i.e., rapidly damped) while the unstable…
We present a C++ implementation of a fifth order semi-implicit Runge-Kutta algorithm for solving Ordinary Differential Equations. This algorithm can be used for studying many different problems and in particular it can be applied for…