相关论文: Variable stepsize Runge-Kutta methods for stochast…

In this paper, two new families of fourth-order explicit exponential Runge--Kutta (ERK) methods with four stages are studied for solving first-order differential systems $y'(t)+My(t)=f(y(t))$. By comparing the Taylor series of the exact…

In this paper, we study numerical approximations for stochastic differential equations (SDEs) that use adaptive step sizes. In particular, we consider a general setting where decisions to reduce step sizes are allowed to depend on the…

Runge-Kutta (RK) methods may exhibit order reduction when applied to stiff problems. For linear problems with time-independent operators, order reduction can be avoided if the method satisfies certain weak stage order (WSO) conditions,…

We consider a Runge--Kutta method for the numerical time integration of the nonstationary incompressible Navier--Stokes equations. This yields a sequence of nonlinear problems to be solved for the stages of the Runge--Kutta method. The…

This paper continues to study the explicit two-stage fourth-order accurate time discretiza- tions [5, 7]. By introducing variable weights, we propose a class of more general explicit one-step two-stage time discretizations, which are…

In this paper we discuss the use of implicit Runge-Kutta schemes for the time discretization of optimal control problems with evolution equations. The specialty of the considered discretizations is that the discretizations schemes for the…

In this paper we propose a numerical scheme for partitioned systems of index 2 DAEs, such as those arising from nonholonomic mechanical problems and prove the order of a certain class of Runge-Kutta methods we call of Lobatto-type. The…

We present the formulation and optimization of a Runge-Kutta-type time-stepping scheme for solving the shallow water equations, aimed at substantially increasing the effective allowable time-step over that of comparable methods. This…

Next-generation exascale machines with extreme levels of parallelism will provide massive computing resources for large scale numerical simulations of complex physical systems at unprecedented parameter ranges. However, novel numerical…

This paper proposes an implicit family of sub-step integration algorithms grounded in the explicit singly diagonally implicit Runge-Kutta (ESDIRK) method. The proposed methods achieve third-order consistency per sub-step and thus the…

In [Baeza et al., Computers and Fluids, 159, 156--166 (2017)] a new method for the numerical solution of ODEs is presented. This methods can be regarded as an approximate formulation of the Taylor methods and it follows an approach that has…

This work constructs the first-ever sixth-order exponential Runge--Kutta (ExpRK) methods for the time integration of stiff parabolic PDEs. First, we leverage the exponential B-series theory to restate the stiff order conditions for ExpRK…

Mixed-precision methods combine low and high precision arithmetics to exploit low precision computational speed and high precision accuracy. Large ODE systems that contain many heterogeneous interactions lead to a high computational cost…

A fourth-order exponential time differencing (ETD) Runge-Kutta scheme with dimensional splitting is developed to solve multidimensional non-linear systems of reaction-diffusion equations (RDE). By approximating the matrix exponential in the…

Since the introduction of the Black-Scholes model stochastic processes have played an increasingly important role in mathematical finance. In many cases prices, volatility and other quantities can be modeled using stochastic ordinary…

A new preconditioner based on a block $LDU$ factorization with algebraic multigrid subsolves for scalability is introduced for the large, structured systems appearing in implicit Runge-Kutta time integration of parabolic partial…

This paper explores the problem of selecting sensor nodes for a general class of nonlinear dynamical networks. In particular, we study the problem by utilizing altered definitions of observability and open-loop lifted observers. The…

In this paper, we develop a class of robust numerical methods for solving dynamical systems with multiple time scales. We first represent the solution of a multiscale dynamical system as a transformation of a slowly varying solution. Then,…

We revisit the numerical stability of four well-established explicit stochastic integration schemes through a new generic benchmark stochastic differential equation designed to assess asymptotic statistical accuracy and stability…

Purely dispersive partial differential equations as the Korteweg-de Vries equation, the nonlinear Schr\"odinger equation and higher dimensional generalizations thereof can have solutions which develop a zone of rapid modulated oscillations…