相关论文: Factorized Runge-Kutta-Chebyshev Methods

Runge-Kutta methods are a popular class of numerical methods for solving ordinary differential equations. Every Runge-Kutta method is characterized by two basic parameters: its order, which measures the accuracy of the solution it produces,…

This paper investigates the competitiveness of semi-implicit Runge-Kutta (RK) and spectral deferred correction (SDC) time-integration methods up to order six for incompressible Navier-Stokes problems in conjunction with a high-order…

In this paper we generalize the polynomial time integration framework to additively partitioned initial value problems. The framework we present is general and enables the construction of many new families of additive integrators with…

High order spatial discretizations with monotonicity properties are often desirable for the solution of hyperbolic PDEs. These methods can advantageously be coupled with high order strong stability preserving time discretizations. The…

The Butcher theory provides a powerful tool for analyzing order conditions of Runge-Kutta schemes for ordinary differential equations (ODEs); however, such a theory has not yet been well established for backward stochastic differential…

CholeskyQR2 and shifted CholeskyQR3 are two state-of-the-art algorithms for computing tall-and-skinny QR factorizations since they attain high performance on current computer architectures. However, to guarantee stability, for some…

We present a new method for developing time step controllers based on a technique from the field of machine learning. This method is applicable to stable time integrators that have an embedded scheme, i.e., that have local error estimation…

Integration of Ordinary Differential Equations (ODEs) using Backward Difference formula (BDF) methods with p backward steps achieves order p accuracy if specific conditions are met. This work extends the composition technique with complex…

Runge-Kutta (RK) methods may exhibit order reduction when applied to certain stiff problems. While fully implicit RK schemes exist that avoid order reduction via high-stage order, DIRK (diagonally implicit Runge-Kutta) schemes are…

In this paper, we construct explicit nonstandard Runge-Kutta (ENRK) methods which have higher accuracy order and preserve two important properties of autonomous dynamical systems, namely, the positivity and linear stability. These methods…

Floquet multipliers (characteristic multipliers) play significant role in the stability of the periodic equations. Based on the iterative method, we provide a unified algorithm to compute the Floquet multipliers (characteristic multipliers)…

In this work modified Patankar-Runge-Kutta (MPRK) schemes up to order four are considered and equipped with a dense output formula of appropriate accuracy. Since these time integrators are conservative and positivity preserving for any time…

This paper proposes a new second-order symmetric algorithm for solving decoupled forward-backward stochastic differential equations. Inspired by the alternating direction implicit splitting method for partial differential equations, we…

We study the convergence of a class of Runge-Kutta type schemes for backward stochastic differential equations (BSDEs) in a Markovian framework. The schemes belonging to the class under consideration benefit from a certain stability…

In this paper, we introduce second order and fourth order space discretization via finite difference implementation of the finite element method for solving Fokker-Planck equations associated with irreversible processes. The proposed…

Our main objective in this paper is to develop a second-order stochastic numerical method which generalizes the well-known deterministic TR-BDF2 scheme. Since most stochastic techniques used for approximating the solution of a stochastic…

In this paper, exponential Runge-Kutta methods of collocation type (ERKC) which were originally proposed in (Appl Numer Math 53:323-339, 2005) are extended to semilinear parabolic problems with time-dependent delay. Two classes of the ERKC…

We provide a new theoretical framework for the variable-step deferred correction (DC) methods based on the well-known BDF2 formula. By using the discrete orthogonal convolution kernels, some high-order BDF2-DC methods are proven to be…

Multirate integration is an increasingly relevant tool that enables scientists to simulate multiphysics systems. Existing multirate methods are designed for equations whose fast and slow variables can be linearly separated using additive or…

The Kubo formula is a cornerstone in our understanding of near-equilibrium transport phenomena. While conceptually elegant, the application of Kubo's linear-response theory to interesting problems is hindered by the need for algorithms that…