Stability and convergence of an effective numerical method for the time-space fractional Fokker-Planck equation with a nonlinear source term

Fractional Fokker-Planck equations (FFPEs) have gained much interest recently for describing transport dynamics in complex systems that are governed by anomalous diffusion and nonexponential relaxation patterns. However, effective numerical methods and analytic techniques for the FFPE are still in their embryonic state. In this paper, we consider a class of time-space fractional Fokker-Planck equations with a nonlinear source term (TSFFPE-NST), which involve the Caputo time fractional derivative (CTFD) of order α ∈ (0, 1) and the symmetric Riesz space fractional derivative (RSFD) of order μ ∈ (1, 2). Approximating the CTFD and RSFD using the L1-algorithm and shifted Grunwald method, respectively, a computationally effective numerical method is presented to solve the TSFFPE-NST. The stability and convergence of the proposed numerical method are investigated. Finally, numerical experiments are carried out to support the theoretical claims.

Computationally efficient numerical methods for time- and space-fractional Fokker–Planck equations

Fractional Fokker–Planck equations have been used to model several physical situations that present anomalous diffusion. In this paper, a class of time- and space-fractional Fokker–Planck equations (TSFFPE), which involve the Riemann–Liouville time-fractional derivative of order 1-α (α(0, 1)) and the Riesz space-fractional derivative (RSFD) of order μ(1, 2), are considered. The solution of TSFFPE is important for describing the competition between subdiffusion and Lévy flights. However, effective numerical methods for solving TSFFPE are still in their infancy. We present three computationally efficient numerical methods to deal with the RSFD, and approximate the Riemann–Liouville time-fractional derivative using the Grünwald method. The TSFFPE is then transformed into a system of ordinary differential equations (ODE), which is solved by the fractional implicit trapezoidal method (FITM). Finally, numerical results are given to demonstrate the effectiveness of these methods. These techniques can also be applied to solve other types of fractional partial differential equations.

Analytical and numerical solutions for the time and space-symmetric fractional diffusion equation

We consider a time and space-symmetric fractional diffusion equation (TSS-FDE) under homogeneous Dirichlet conditions and homogeneous Neumann conditions. The TSS-FDE is obtained from the standard diffusion equation by replacing the first-order time derivative by the Caputo fractional derivative and the second order space derivative by the symmetric fractional derivative. Firstly, a method of separating variables is used to express the analytical solution of the tss-fde in terms of the Mittag–Leffler function. Secondly, we propose two numerical methods to approximate the Caputo time fractional derivative, namely, the finite difference method and the Laplace transform method. The symmetric space fractional derivative is approximated using the matrix transform method. Finally, numerical results are presented to demonstrate the effectiveness of the numerical methods and to confirm the theoretical claims.

Asymptotic and numerical results for a model of solvent-dependent drug diffusion through polymeric spheres

A model for drug diffusion from a spherical polymeric drug delivery device is considered. The model contains two key features. The first is that solvent diffuses into the polymer, which then transitions from a glassy to a rubbery state. The interface between the two states of polymer is modelled as a moving boundary, whose speed is governed by a kinetic law; the same moving boundary problem arises in the one-phase limit of a Stefan problem with kinetic undercooling. The second feature is that drug diffuses only through the rubbery region, with a nonlinear diffusion coefficient that depends on the concentration of solvent. We analyse the model using both formal asymptotics and numerical computation, the latter by applying a front-fixing scheme with a finite volume method. Previous results are extended and comparisons are made with linear models that work well under certain parameter regimes. Finally, a model for a multi-layered drug delivery device is suggested, which allows for more flexible control of drug release.

Novel numerical methods for time-space fractional reaction diffusion equations in two dimensions

We consider time-space fractional reaction diffusion equations in two dimensions. This equation is obtained from the standard reaction diffusion equation by replacing the first order time derivative with the Caputo fractional derivative, and the second order space derivatives with the fractional Laplacian. Using the matrix transfer technique proposed by Ilic, Liu, Turner and Anh [Fract. Calc. Appl. Anal., 9:333--349, 2006] and the numerical solution strategy used by Yang, Turner, Liu, and Ilic [SIAM J. Scientific Computing, 33:1159--1180, 2011], the solution of the time-space fractional reaction diffusion equations in two dimensions can be written in terms of a matrix function vector product $f(A)b$ at each time step, where $A$ is an approximate matrix representation of the standard Laplacian. We use the finite volume method over unstructured triangular meshes to generate the matrix $A$, which is therefore non-symmetric. However, the standard Lanczos method for approximating $f(A)b$ requires that $A$ is symmetric. We propose a simple and novel transformation in which the standard Lanczos method is still applicable to find $f(A)b$, despite the loss of symmetry. Numerical results are presented to verify the accuracy and efficiency of our newly proposed numerical solution strategy.

Alternating direction implicit numerical method for the space and time fractional Bloch-Torrey equation in 3-D

Recently, some authors have considered a new diffusion model–space and time fractional Bloch-Torrey equation (ST-FBTE). Magin et al. (2008) have derived analytical solutions with fractional order dynamics in space (i.e., _ = 1, β an arbitrary real number, 1 < β ≤ 2) and time (i.e., 0 < α < 1, and β = 2), respectively. Yu et al. (2011) have derived an analytical solution and an effective implicit numerical method for solving ST-FBTEs, and also discussed the stability and convergence of the implicit numerical method. However, due to the computational overheads necessary to perform the simulations for nuclear magnetic resonance (NMR) in three dimensions, they present a study based on a two-dimensional example to confirm their theoretical analysis. Alternating direction implicit (ADI) schemes have been proposed for the numerical simulations of classic differential equations. The ADI schemes will reduce a multidimensional problem to a series of independent one-dimensional problems and are thus computationally efficient. In this paper, we consider the numerical solution of a ST-FBTE on a finite domain. The time and space derivatives in the ST-FBTE are replaced by the Caputo and the sequential Riesz fractional derivatives, respectively. A fractional alternating direction implicit scheme (FADIS) for the ST-FBTE in 3-D is proposed. Stability and convergence properties of the FADIS are discussed. Finally, some numerical results for ST-FBTE are given.

Solution methods for advection-diffusion-reaction equations on growing domains and subdomains, with application to modelling skin substitutes

Problems involving the solution of advection-diffusion-reaction equations on domains and subdomains whose growth affects and is affected by these equations, commonly arise in developmental biology. Here, a mathematical framework for these situations, together with methods for obtaining spatio-temporal solutions and steady states of models built from this framework, is presented. The framework and methods are applied to a recently published model of epidermal skin substitutes. Despite the use of Eulerian schemes, excellent agreement is obtained between the numerical spatio-temporal, numerical steady state, and analytical solutions of the model.

Simulation of phosphine flow in vertical grain storage : a preliminary numerical study

To fumigate grain stored in a silo, phosphine gas is distributed by a combination of diffusion and fan-forced advection. This initial study of the problem mainly focuses on the advection, numerically modelled as fluid flow in a porous medium. We find satisfactory agreement between the flow predictions of two Computational Fluid Dynamics packages, Comsol and Fluent. The flow predictions demonstrate that the highest velocity (>0.1 m/s) occurs less than 0.2m from the inlet and reduces drastically over one metre of silo height, with the flow elsewhere less than 0.002 m/s or 1% of the velocity injection. The flow predictions are examined to identify silo regions where phosphine dosage levels are likely to be too low for effective grain fumigation.

Efficient solution of two-sided nonlinear space-fractional diffusion equations using fast Poisson preconditioners

We develop a fast Poisson preconditioner for the efficient numerical solution of a class of two-sided nonlinear space fractional diffusion equations in one and two dimensions using the method of lines. Using the shifted Gr¨unwald finite difference formulas to approximate the two-sided(i.e. the left and right Riemann-Liouville) fractional derivatives, the resulting semi-discrete nonlinear systems have dense Jacobian matrices owing to the non-local property of fractional derivatives. We employ a modern initial value problem solver utilising backward differentiation formulas and Jacobian-free Newton-Krylov methods to solve these systems. For efficient performance of the Jacobianfree Newton-Krylov method it is essential to apply an effective preconditioner to accelerate the convergence of the linear iterative solver. The key contribution of our work is to generalise the fast Poisson preconditioner, widely used for integer-order diffusion equations, so that it applies to the two-sided space fractional diffusion equation. A number of numerical experiments are presented to demonstrate the effectiveness of the preconditioner and the overall solution strategy.

Two novel numerical methods for solving the two-dimensional fractional Fitzhugh-Nagumo-monodomain model

Fractional mathematical models represent a new approach to modelling complex spatial problems in which there is heterogeneity at many spatial and temporal scales. In this paper, a two-dimensional fractional Fitzhugh-Nagumo-monodomain model with zero Dirichlet boundary conditions is considered. The model consists of a coupled space fractional diffusion equation (SFDE) and an ordinary differential equation. For the SFDE, we first consider the numerical solution of the Riesz fractional nonlinear reaction-diffusion model and compare it to the solution of a fractional in space nonlinear reaction-diffusion model. We present two novel numerical methods for the two-dimensional fractional Fitzhugh-Nagumo-monodomain model using the shifted Grunwald-Letnikov method and the matrix transform method, respectively. Finally, some numerical examples are given to exhibit the consistency of our computational solution methodologies. The numerical results demonstrate the effectiveness of the methods.

Numerical solutions for thin film flow down the outside and inside of a vertical cylinder

We consider a model for thin film flow down the outside and inside of a vertical cylinder. Our focus is to study the effect that the curvature of the cylinder has on the gravity-driven instability of the advancing contact line and to simulate the resulting fingering patterns that form due to this instability. The governing partial differential equation is fourth order with a nonlinear degenerate diffusion term that represents the stabilising effect of surface tension. We present numerical solutions obtained by implementing an efficient alternating direction implicit scheme. When compared to the problem of flow down a vertical plane, we find that increasing substrate curvature tends to increase the fingering instability for flow down the outside of the cylinder, whereas flow down the inside of the cylinder substrate curvature has the opposite effect. Further, we demonstrate the existence of nontrivial travelling wave solutions which describe fingering patterns that propagate down the inside of a cylinder at constant speed without changing form. These solutions are perfectly analogous to those found previously for thin film flow down an inclined plane.

A finite volume method with linearisation in time for the solution of advection-reaction-diffusion systems

The numerical solution in one space dimension of advection--reaction--diffusion systems with nonlinear source terms may invoke a high computational cost when the presently available methods are used. Numerous examples of finite volume schemes with high order spatial discretisations together with various techniques for the approximation of the advection term can be found in the literature. Almost all such techniques result in a nonlinear system of equations as a consequence of the finite volume discretisation especially when there are nonlinear source terms in the associated partial differential equation models. This work introduces a new technique that avoids having such nonlinear systems of equations generated by the spatial discretisation process when nonlinear source terms in the model equations can be expanded in positive powers of the dependent function of interest. The basis of this method is a new linearisation technique for the temporal integration of the nonlinear source terms as a supplementation of a more typical finite volume method. The resulting linear system of equations is shown to be both accurate and significantly faster than methods that necessitate the use of solvers for nonlinear system of equations.