Implicit stochastic Runge-Kutta methods for stochastic differential equations

In this paper we construct implicit stochastic Runge-Kutta (SRK) methods for solving stochastic differential equations of Stratonovich type. Instead of using the increment of a Wiener process, modified random variables are used. We give convergence conditions of the SRK methods with these modified random variables. In particular, the truncated random variable is used. We present a two-stage stiffly accurate diagonal implicit SRK (SADISRK2) method with strong order 1.0 which has better numerical behaviour than extant methods. We also construct a five-stage diagonal implicit SRK method and a six-stage stiffly accurate diagonal implicit SRK method with strong order 1.5. The mean-square and asymptotic stability properties of the trapezoidal method and the SADISRK2 method are analysed and compared with an explicit method and a semi-implicit method. Numerical results are reported for confirming convergence properties and for comparing the numerical behaviour of these methods.

On functionally-fitted Runge-Kutta methods

Functionally-fitted methods are generalizations of collocation techniques to integrate an equation exactly if its solution is a linear combination of a chosen set of basis functions. When these basis functions are chosen as the power functions, we recover classical algebraic collocation methods. This paper shows that functionally-fitted methods can be derived with less restrictive conditions than previously stated in the literature, and that other related results can be derived in a much more elegant way. The novelty in our approach is to fully retain the collocation framework without reverting back into derivations based on cumbersome Taylor series expansions.

Analysis of trigonometric implicit Runge-Kutta methods

Using generalized collocation techniques based on fitting functions that are trigonometric (rather than algebraic as in classical integrators), we develop a new class of multistage, one-step, variable stepsize, and variable coefficients implicit Runge-Kutta methods to solve oscillatory ODE problems. The coefficients of the methods are functions of the frequency and the stepsize. We refer to this class as trigonometric implicit Runge-Kutta (TIRK) methods. They integrate an equation exactly if its solution is a trigonometric polynomial with a known frequency. We characterize the order and A-stability of the methods and establish results similar to that of classical algebraic collocation RK methods. (c) 2006 Elsevier B.V. All rights reserved.

Numerical methods for strong solutions of stochastic differential equations: an overview

This paper gives a review of recent progress in the design of numerical methods for computing the trajectories (sample paths) of solutions to stochastic differential equations. We give a brief survey of the area focusing on a number of application areas where approximations to strong solutions are important, with a particular focus on computational biology applications, and give the necessary analytical tools for understanding some of the important concepts associated with stochastic processes. We present the stochastic Taylor series expansion as the fundamental mechanism for constructing effective numerical methods, give general results that relate local and global order of convergence and mention the Magnus expansion as a mechanism for designing methods that preserve the underlying structure of the problem. We also present various classes of explicit and implicit methods for strong solutions, based on the underlying structure of the problem. Finally, we discuss implementation issues relating to maintaining the Brownian path, efficient simulation of stochastic integrals and variable-step-size implementations based on various types of control.

Adaptive stepsize based on control theory for stochastic differential equations

The numerical solution of stochastic differential equations (SDEs) has been focussed recently on the development of numerical methods with good stability and order properties. These numerical implementations have been made with fixed stepsize, but there are many situations when a fixed stepsize is not appropriate. In the numerical solution of ordinary differential equations, much work has been carried out on developing robust implementation techniques using variable stepsize. It has been necessary, in the deterministic case, to consider the best choice for an initial stepsize, as well as developing effective strategies for stepsize control-the same, of course, must be carried out in the stochastic case. In this paper, proportional integral (PI) control is applied to a variable stepsize implementation of an embedded pair of stochastic Runge-Kutta methods used to obtain numerical solutions of nonstiff SDEs. For stiff SDEs, the embedded pair of the balanced Milstein and balanced implicit method is implemented in variable stepsize mode using a predictive controller for the stepsize change. The extension of these stepsize controllers from a digital filter theory point of view via PI with derivative (PID) control will also be implemented. The implementations show the improvement in efficiency that can be attained when using these control theory approaches compared with the regular stepsize change strategy. (C) 2004 Elsevier B.V. All rights reserved.

Effective cell-centred time-domain Maxwell's equations numerical solvers

This research work analyses techniques for implementing a cell-centred finite-volume time-domain (ccFV-TD) computational methodology for the purpose of studying microwave heating. Various state-of-the-art spatial and temporal discretisation methods employed to solve Maxwell's equations on multidimensional structured grid networks are investigated, and the dispersive and dissipative errors inherent in those techniques examined. Both staggered and unstaggered grid approaches are considered. Upwind schemes using a Riemann solver and intensity vector splitting are studied and evaluated. Staggered and unstaggered Leapfrog and Runge-Kutta time integration methods are analysed in terms of phase and amplitude error to identify which method is the most accurate and efficient for simulating microwave heating processes. The implementation and migration of typical electromagnetic boundary conditions. from staggered in space to cell-centred approaches also is deliberated. In particular, an existing perfectly matched layer absorbing boundary methodology is adapted to formulate a new cell-centred boundary implementation for the ccFV-TD solvers. Finally for microwave heating purposes, a comparison of analytical and numerical results for standard case studies in rectangular waveguides allows the accuracy of the developed methods to be assessed. © 2004 Elsevier Inc. All rights reserved.

Accelerated leap methods for simulating discrete stochastic chemical kinetics

Biologists are increasingly conscious of the critical role that noise plays in cellular functions such as genetic regulation, often in connection with fluctuations in small numbers of key regulatory molecules. This has inspired the development of models that capture this fundamentally discrete and stochastic nature of cellular biology - most notably the Gillespie stochastic simulation algorithm (SSA). The SSA simulates a temporally homogeneous, discrete-state, continuous-time Markov process, and of course the corresponding probabilities and numbers of each molecular species must all remain positive. While accurately serving this purpose, the SSA can be computationally inefficient due to very small time stepping so faster approximations such as the Poisson and Binomial τ-leap methods have been suggested. This work places these leap methods in the context of numerical methods for the solution of stochastic differential equations (SDEs) driven by Poisson noise. This allows analogues of Euler-Maruyuma, Milstein and even higher order methods to be developed through the Itô-Taylor expansions as well as similar derivative-free Runge-Kutta approaches. Numerical results demonstrate that these novel methods compare favourably with existing techniques for simulating biochemical reactions by more accurately capturing crucial properties such as the mean and variance than existing methods.

Numerical simulation of stochastic ordinary differential equations in biomathematical modelling

In this work we discuss the effects of white and coloured noise perturbations on the parameters of a mathematical model of bacteriophage infection introduced by Beretta and Kuang in [Math. Biosc. 149 (1998) 57]. We numerically simulate the strong solutions of the resulting systems of stochastic ordinary differential equations (SDEs), with respect to the global error, by means of numerical methods of both Euler-Taylor expansion and stochastic Runge-Kutta type. (C) 2003 IMACS. Published by Elsevier B.V. All rights reserved.

Kinetic energy conserving integrators for Gaussian thermostatted SLLOD

A new integration scheme is developed for nonequilibrium molecular dynamics simulations where the temperature is constrained by a Gaussian thermostat. The utility of the scheme is demonstrated by its application to the SLLOD algorithm which is the standard nonequilibrium molecular dynamics algorithm for studying shear flow. Unlike conventional integrators, the new integrators are constructed using operator-splitting techniques to ensure stability and that little or no drift in the kinetic energy occurs. Moreover, they require minimum computer memory and are straightforward to program. Numerical experiments show that the efficiency and stability of the new integrators compare favorably with conventional integrators such as the Runge-Kutta and Gear predictor-corrector methods. (C) 1999 American Institute of Physics. [S0021-9606(99)50125-6].

Nonlinear dynamics of a satellite with deployable solar panel arrays

The multibody dynamics of a satellite in circular orbit, modeled as a central body with two hinge-connected deployable solar panel arrays, is investigated. Typically, the solar panel arrays are deployed in orbit using preloaded torsional springs at the hinges in a near symmetrical accordion manner, to minimize the shock loads at the hinges. There are five degrees of freedom of the interconnected rigid bodies, composed of coupled attitude motions (pitch, yaw and roll) of the central body plus relative rotations of the solar panel arrays. The dynamical equations of motion of the satellite system are derived using Kane's equations. These are then used to investigate the dynamic behavior of the system during solar panel deployment via the 7-8th-order Runge-Kutta integration algorithms and results are compared with approximate analytical solutions. Chaotic attitude motions of the completely deployed satellite in circular orbit under the influence of the gravity-gradient torques are subsequently investigated analytically using Melnikov's method and confirmed via numerical integration. The Hamiltonian equations in terms of Deprit's variables are used to facilitate the analysis. (C) 2003 Published by Elsevier Ltd.

On the chaotic instability of a nonsliding liquid-filled top with a small spheroidal base via Melnikov-Holmes-Marsden integrals

Chaotic orientations of a top containing a fluid filled cavity are investigated analytically and numerically under small perturbations. The top spins and rolls in nonsliding contact with a rough horizontal plane and the fluid in the ellipsoidal shaped cavity is considered to be ideal and describable by finite degrees of freedom. A Hamiltonian structure is established to facilitate the application of Melnikov-Holmes-Marsden (MHM) integrals. In particular, chaotic motion of the liquid-filled top is identified to be arisen from the transversal intersections between the stable and unstable manifolds of an approximated, disturbed flow of the liquid-filled top via the MHM integrals. The developed analytical criteria are crosschecked with numerical simulations via the 4th Runge-Kutta algorithms with adaptive time steps.