A fast two-grid and finite section method for a class of integral equations on the real line with application to an acoustic scattering problem in the half-plane

We consider the numerical treatment of second kind integral equations on the real line of the form ∅(s) = ∫_(-∞)^(+∞)▒〖κ(s-t)z(t)ϕ(t)dt,s=R〗 (abbreviated ϕ= ψ+K_z ϕ) in which K ϵ L_1 (R), z ϵ L_∞ (R) and ψ ϵ BC(R), the space of bounded continuous functions on R, are assumed known and ϕ ϵ BC(R) is to be determined. We first derive sharp error estimates for the finite section approximation (reducing the range of integration to [-A, A]) via bounds on (1-K_z )^(-1)as an operator on spaces of weighted continuous functions. Numerical solution by a simple discrete collocation method on a uniform grid on R is then analysed: in the case when z is compactly supported this leads to a coefficient matrix which allows a rapid matrix-vector multiply via the FFT. To utilise this possibility we propose a modified two-grid iteration, a feature of which is that the coarse grid matrix is approximated by a banded matrix, and analyse convergence and computational cost. In cases where z is not compactly supported a combined finite section and two-grid algorithm can be applied and we extend the analysis to this case. As an application we consider acoustic scattering in the half-plane with a Robin or impedance boundary condition which we formulate as a boundary integral equation of the class studied. Our final result is that if z (related to the boundary impedance in the application) takes values in an appropriate compact subset Q of the complex plane, then the difference between ϕ(s)and its finite section approximation computed numerically using the iterative scheme proposed is ≤C_1 [kh log⁡〖(1⁄kh)+(1-Θ)^((-1)⁄2) (kA)^((-1)⁄2) 〗 ] in the interval [-ΘA,ΘA](Θ<1) for kh sufficiently small, where k is the wavenumber and h the grid spacing. Moreover this numerical approximation can be computed in ≤C_2 N log⁡N operations, where N = 2A/h is the number of degrees of freedom. The values of the constants C1 and C2 depend only on the set Q and not on the wavenumber k or the support of z.

A numerical method for solving the dynamic three-dimensional Ericksen-Leslie equations for nematic liquid crystals subject to a strong magnetic field

A finite difference technique, based on a projection method, is developed for solving the dynamic three-dimensional Ericksen-Leslie equations for nematic liquid crystals subject to a strong magnetic field. The governing equations in this situation are derived using primitive variables and are solved using the ideas behind the GENSMAC methodology (Tome and McKee [32]; Tome et al. [34]). The resulting numerical technique is then validated by comparing the numerical solution against an analytic solution for steady three-dimensional flow between two-parallel plates subject to a strong magnetic field. The validated code is then employed to solve channel flow for which there is no analytic solution. (C) 2009 Elsevier B.V. All rights reserved.

Assessment of a high-order finite difference upwind scheme for the simulation of convection-diffusion problems

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Bose-Einstein condensation dynamics in three dimensions by the pseudospectral and finite-difference methods

We suggest a pseudospectral method for solving the three-dimensional time-dependent Gross-Pitaevskii (GP) equation, and use it to study the resonance dynamics of a trapped Bose-Einstein condensate induced by a periodic variation in the atomic scattering length. When the frequency of oscillation of the scattering length is an even multiple of one of the trapping frequencies along the x, y or z direction, the corresponding size of the condensate executes resonant oscillation. Using the concept of the differentiation matrix, the partial-differential GP equation is reduced to a set of coupled ordinary differential equations, which is solved by a fourth-order adaptive step-size control Runge-Kutta method. The pseudospectral method is contrasted with the finite-difference method for the same problem, where the time evolution is performed by the Crank-Nicholson algorithm. The latter method is illustrated to be more suitable for a three-dimensional standing-wave optical-lattice trapping potential.

Fourth-order method for solving the Navier-Stokes equations in a constricting channel

A fourth-order numerical method for solving the Navier-Stokes equations in streamfunction/vorticity formulation on a two-dimensional non-uniform orthogonal grid has been tested on the fluid flow in a constricted symmetric channel. The family of grids is generated algebraically using a conformal transformation followed by a non-uniform stretching of the mesh cells in which the shape of the channel boundary can vary from a smooth constriction to one which one possesses a very sharp but smooth corner. The generality of the grids allows the use of long channels upstream and downstream as well as having a refined grid near the sharp corner. Derivatives in the governing equations are replaced by fourth-order central differences and the vorticity is eliminated, either before or after the discretization, to form a wide difference molecule for the streamfunction. Extra boundary conditions, necessary for wide-molecule methods, are supplied by a procedure proposed by Henshaw et al. The ensuing set of non-linear equations is solved using Newton iteration. Results have been obtained for Reynolds numbers up to 250 for three constrictions, the first being smooth, the second having a moderately sharp corner and the third with a very sharp corner. Estimates of the error incurred show that the results are very accurate and substantially better than those of the corresponding second-order method. The observed order of the method has been shown to be close to four, demonstrating that the method is genuinely fourth-order. © 1977 John Wiley & Sons, Ltd.

Alternate treatments of jacobian singularities in polar coordinates within finite-difference schemes

Jacobian singularities of differential operators in curvilinear coordinates occur when the Jacobian determinant of the curvilinear-to-Cartesian mapping vanishes, thus leading to unbounded coefficients in partial differential equations. Within a finite-difference scheme, we treat the singularity at the pole of polar coordinates by setting up complementary equations. Such equations are obtained by either integral or smoothness conditions. They are assessed by application to analytically solvable steady-state heat-conduction problems.

Comparison of predictive equations for resting energy expenditure in overweight and obese adults

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

Numerical coupling of thermal-electric network models and energy-transport equations including optoelectronic semiconductor devices

In this work the numerical coupling of thermal and electric network models with model equations for optoelectronic semiconductor devices is presented. Modified nodal analysis (MNA) is applied to model electric networks. Thermal effects are modeled by an accompanying thermal network. Semiconductor devices are modeled by the energy-transport model, that allows for thermal effects. The energy-transport model is expandend to a model for optoelectronic semiconductor devices. The temperature of the crystal lattice of the semiconductor devices is modeled by the heat flow eqaution. The corresponding heat source term is derived under thermodynamical and phenomenological considerations of energy fluxes. The energy-transport model is coupled directly into the network equations and the heat flow equation for the lattice temperature is coupled directly into the accompanying thermal network. The coupled thermal-electric network-device model results in a system of partial differential-algebraic equations (PDAE). Numerical examples are presented for the coupling of network- and one-dimensional semiconductor equations. Hybridized mixed finite elements are applied for the space discretization of the semiconductor equations. Backward difference formluas are applied for time discretization. Thus, positivity of charge carrier densities and continuity of the current density is guaranteed even for the coupled model.

Maximum principle preserving high order schemes for convection-dominated diffusion equations

The maximum principle is an important property of solutions to PDE. Correspondingly, it's of great interest for people to design a high order numerical scheme solving PDE with this property maintained. In this thesis, our particular interest is solving convection-dominated diffusion equation. We first review a nonconventional maximum principle preserving(MPP) high order finite volume(FV) WENO scheme, and then propose a new parametrized MPP high order finite difference(FD) WENO framework, which is generalized from the one solving hyperbolic conservation laws. A formal analysis is presented to show that a third order finite difference scheme with this parametrized MPP flux limiters maintains the third order accuracy without extra CFL constraint when the low order monotone flux is chosen appropriately. Numerical tests in both one and two dimensional cases are performed on the simulation of the incompressible Navier-Stokes equations in vorticity stream-function formulation and several other problems to show the effectiveness of the proposed method.

A comparison of estimated glomerular filtration rates using Cockcroft−Gault and the Chronic Kidney Disease Epidemiology Collaboration estimating equations in HIV infection

OBJECTIVES: The aim of this study was to determine whether the Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI)- or Cockcroft-Gault (CG)-based estimated glomerular filtration rates (eGFRs) performs better in the cohort setting for predicting moderate/advanced chronic kidney disease (CKD) or end-stage renal disease (ESRD). METHODS: A total of 9521 persons in the EuroSIDA study contributed 133 873 eGFRs. Poisson regression was used to model the incidence of moderate and advanced CKD (confirmed eGFR < 60 and < 30 mL/min/1.73 m(2) , respectively) or ESRD (fatal/nonfatal) using CG and CKD-EPI eGFRs. RESULTS: Of 133 873 eGFR values, the ratio of CG to CKD-EPI was ≥ 1.1 in 22 092 (16.5%) and the difference between them (CG minus CKD-EPI) was ≥ 10 mL/min/1.73 m(2) in 20 867 (15.6%). Differences between CKD-EPI and CG were much greater when CG was not standardized for body surface area (BSA). A total of 403 persons developed moderate CKD using CG [incidence 8.9/1000 person-years of follow-up (PYFU); 95% confidence interval (CI) 8.0-9.8] and 364 using CKD-EPI (incidence 7.3/1000 PYFU; 95% CI 6.5-8.0). CG-derived eGFRs were equal to CKD-EPI-derived eGFRs at predicting ESRD (n = 36) and death (n = 565), as measured by the Akaike information criterion. CG-based moderate and advanced CKDs were associated with ESRD [adjusted incidence rate ratio (aIRR) 7.17; 95% CI 2.65-19.36 and aIRR 23.46; 95% CI 8.54-64.48, respectively], as were CKD-EPI-based moderate and advanced CKDs (aIRR 12.41; 95% CI 4.74-32.51 and aIRR 12.44; 95% CI 4.83-32.03, respectively). CONCLUSIONS: Differences between eGFRs using CG adjusted for BSA or CKD-EPI were modest. In the absence of a gold standard, the two formulae predicted clinical outcomes with equal precision and can be used to estimate GFR in HIV-positive persons.

Difference schemes for numerical solutions of lagging models of heat conduction

Non-Fourier models of heat conduction are increasingly being considered in the modeling of microscale heat transfer in engineering and biomedical heat transfer problems. The dual-phase-lagging model, incorporating time lags in the heat flux and the temperature gradient, and some of its particular cases and approximations, result in heat conduction modeling equations in the form of delayed or hyperbolic partial differential equations. In this work, the application of difference schemes for the numerical solution of lagging models of heat conduction is considered. Numerical schemes for some DPL approximations are developed, characterizing their properties of convergence and stability. Examples of numerical computations are included.

Unified modified divided difference implementation of Adams and BDF formulas /

"March 1980."

Block envelope solution of finite difference systems /

"November, 1975."--T.p.

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.