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.

Lie group symmetry analysis for granular media stress equations

The Airy stress function, although frequently employed in classical linear elasticity, does not receive similar usage for granular media problems. For plane strain quasi-static deformations of a cohesionless Coulomb–Mohr granular solid, a single nonlinear partial differential equation is formulated for the Airy stress function by combining the equilibrium equations with the yield condition. This has certain advantages from the usual approach, in which two stress invariants and a stress angle are introduced, and a system of two partial differential equations is needed to describe the flow. In the present study, the symmetry analysis of differential equations is utilised for our single partial differential equation, and by computing an optimal system of one-dimensional Lie algebras, a complete set of group-invariant solutions is derived. By this it is meant that any group-invariant solution of the governing partial differential equation (provided it can be derived via the classical symmetries method) may be obtained as a member of this set by a suitable group transformation. For general values of the parameters (angle of internal friction and gravity g) it is found there are three distinct classes of solutions which correspond to granular flows considered previously in the literature. For the two limiting cases of high angle of internal friction and zero gravity, the governing partial differential equation admit larger families of Lie point symmetries, and from these symmetries, further solutions are derived, many of which are new. Furthermore, the majority of these solutions are exact, which is rare for granular flow, especially in the case of gravity driven flows.

High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

In recent years considerable attention has been paid to the numerical solution of stochastic ordinary differential equations (SODEs), as SODEs are often more appropriate than their deterministic counterparts in many modelling situations. However, unlike the deterministic case numerical methods for SODEs are considerably less sophisticated due to the difficulty in representing the (possibly large number of) random variable approximations to the stochastic integrals. Although Burrage and Burrage [High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Applied Numerical Mathematics 22 (1996) 81-101] were able to construct strong local order 1.5 stochastic Runge-Kutta methods for certain cases, it is known that all extant stochastic Runge-Kutta methods suffer an order reduction down to strong order 0.5 if there is non-commutativity between the functions associated with the multiple Wiener processes. This order reduction down to that of the Euler-Maruyama method imposes severe difficulties in obtaining meaningful solutions in a reasonable time frame and this paper attempts to circumvent these difficulties by some new techniques. An additional difficulty in solving SODEs arises even in the Linear case since it is not possible to write the solution analytically in terms of matrix exponentials unless there is a commutativity property between the functions associated with the multiple Wiener processes. Thus in this present paper first the work of Magnus [On the exponential solution of differential equations for a linear operator, Communications on Pure and Applied Mathematics 7 (1954) 649-673] (applied to deterministic non-commutative Linear problems) will be applied to non-commutative linear SODEs and methods of strong order 1.5 for arbitrary, linear, non-commutative SODE systems will be constructed - hence giving an accurate approximation to the general linear problem. Secondly, for general nonlinear non-commutative systems with an arbitrary number (d) of Wiener processes it is shown that strong local order I Runge-Kutta methods with d + 1 stages can be constructed by evaluated a set of Lie brackets as well as the standard function evaluations. A method is then constructed which can be efficiently implemented in a parallel environment for this arbitrary number of Wiener processes. Finally some numerical results are presented which illustrate the efficacy of these approaches. (C) 1999 Elsevier Science B.V. All rights reserved.

A banded preconditioner for the two-sided, nonlinear space-fractional diffusion equation

The method of lines is a standard method for advancing the solution of partial differential equations (PDEs) in time. In one sense, the method applies equally well to space-fractional PDEs as it does to integer-order PDEs. However, there is a significant challenge when solving space-fractional PDEs in this way, owing to the non-local nature of the fractional derivatives. Each equation in the resulting semi-discrete system involves contributions from every spatial node in the domain. This has important consequences for the efficiency of the numerical solver, especially when the system is large. First, the Jacobian matrix of the system is dense, and hence methods that avoid the need to form and factorise this matrix are preferred. Second, since the cost of evaluating the discrete equations is high, it is essential to minimise the number of evaluations required to advance the solution in time. In this paper, we show how an effective preconditioner is essential for improving the efficiency of the method of lines for solving a quite general two-sided, nonlinear space-fractional diffusion equation. A key contribution is to show, how to construct suitable banded approximations to the system Jacobian for preconditioning purposes that permit high orders and large stepsizes to be used in the temporal integration, without requiring dense matrices to be formed. The results of numerical experiments are presented that demonstrate the effectiveness of this approach.

Amplitude equations and asymptotic expansions for multi-scale problems

In this paper we introduce a new technique to obtain the slow-motion dynamics in nonequilibrium and singularly perturbed problems characterized by multiple scales. Our method is based on a straightforward asymptotic reduction of the order of the governing differential equation and leads to amplitude equations that describe the slowly-varying envelope variation of a uniformly valid asymptotic expansion. This may constitute a simpler and in certain cases a more general approach toward the derivation of asymptotic expansions, compared to other mainstream methods such as the method of Multiple Scales or Matched Asymptotic expansions because of its relation with the Renormalization Group. We illustrate our method with a number of singularly perturbed problems for ordinary and partial differential equations and recover certain results from the literature as special cases. © 2010 - IOS Press and the authors. All rights reserved.

Reduction of amplitude equations by the renormalization group approach

This article elucidates and analyzes the fundamental underlying structure of the renormalization group (RG) approach as it applies to the solution of any differential equation involving multiple scales. The amplitude equation derived through the elimination of secular terms arising from a naive perturbation expansion of the solution to these equations by the RG approach is reduced to an algebraic equation which is expressed in terms of the Thiele semi-invariants or cumulants of the eliminant sequence { Zi } i=1 . Its use is illustrated through the solution of both linear and nonlinear perturbation problems and certain results from the literature are recovered as special cases. The fundamental structure that emerges from the application of the RG approach is not the amplitude equation but the aforementioned algebraic equation. © 2008 The American Physical Society.

The renormalization group and the implicit function theorem for amplitude equations

This article lays down the foundations of the renormalization group (RG) approach for differential equations characterized by multiple scales. The renormalization of constants through an elimination process and the subsequent derivation of the amplitude equation [Chen, Phys. Rev. E 54, 376 (1996)] are given a rigorous but not abstract mathematical form whose justification is based on the implicit function theorem. Developing the theoretical framework that underlies the RG approach leads to a systematization of the renormalization process and to the derivation of explicit closed-form expressions for the amplitude equations that can be carried out with symbolic computation for both linear and nonlinear scalar differential equations and first order systems but independently of their particular forms. Certain nonlinear singular perturbation problems are considered that illustrate the formalism and recover well-known results from the literature as special cases. © 2008 American Institute of Physics.

Differential Games of Mixed Type with Control and Stopping Times

We study a zero sum differential game of mixed type where each player uses both control and stopping times. Under certain conditions we show that the value function for this problem exists and is the unique viscosity solution of the corresponding variational inequalities. We also show the existence of saddle point equilibrium for a special case of differential game.

3-D kinematical conservation laws (KCL): Evolution of a surface in R-3 - in particular propagation of a nonlinear wavefront

3-D KCL are equations of evolution of a propagating surface (or a wavefront) Omega(t), in 3-space dimensions and were first derived by Giles, Prasad and Ravindran in 1995 assuming the motion of the surface to be isotropic. Here we discuss various properties of these 3-D KCL.These are the most general equations in conservation form, governing the evolution of Omega(t) with singularities which we call kinks and which are curves across which the normal n to Omega(t) and amplitude won Omega(t) are discontinuous. From KCL we derive a system of six differential equations and show that the KCL system is equivalent to the ray equations of 2, The six independent equations and an energy transport equation (for small amplitude waves in a polytropic gas) involving an amplitude w (which is related to the normal velocity m of Omega(t)) form a completely determined system of seven equations. We have determined eigenvalues of the system by a very novel method and find that the system has two distinct nonzero eigenvalues and five zero eigenvalues and the dimension of the eigenspace associated with the multiple eigenvalue 0 is only 4. For an appropriately defined m, the two nonzero eigenvalues are real when m > 1 and pure imaginary when m < 1. Finally we give some examples of evolution of weakly nonlinear wavefronts.

Generalized Burgers equations and Euler-Painlev transcendents. I

Initial-value problems for the generalized Burgers equation (GBE) ut+u betaux+lambdaualpha =(delta/2)uxx are discussed for the single hump type of initial data both continuous and discontinuous. The numerical solution is carried to the self-similar ``intermediate asymptotic'' regime when the solution is given analytically by the self-similar form. The nonlinear (transformed) ordinary differential equations (ODE's) describing the self-similar form are generalizations of a class discussed by Euler and Painlevé and quoted by Kamke. These ODE's are new, and it is postulated that they characterize GBE's in the same manner as the Painlev equations categorize the Kortweg-de Vries (KdV) type. A connection problem for some related ODE's satisfying proper asymptotic conditions at x=±[infinity], is solved. The range of amplitude parameter is found for which the solution of the connection problem exists. The other solutions of the above GBE, which display several interesting features such as peaking, breaking, and a long shelf on the left for negative values of the damping coefficient lambda, are also discussed. The results are compared with those holding for the modified KdV equation with damping. Journal of Mathematical Physics is copyrighted by The American Institute of Physics.

Nonlinear mode coupling of surface acoustic waves on an isotropic solid

The nonlinear mode coupling between two co-directional quasi-harmonic Rayleigh surface waves on an isotropic solid is analysed using the method of multiple scales. This procedure yields a system of six semi-linear hyperbolic partial differential equations with the same principal part governing the slow variations in the (complex) amplitudes of the two fundamental, the two second harmonic and the two combination frequency waves at the second stage of the perturbation expansion. A numerical solution of these equations for excitation by monochromatic signals at two arbitrary frequencies, indicates that there is a continuous transfer of energy back and forth among the fundamental, second harmonic and combination frequency waves due to mode coupling. The mode coupling tends to be more pronounced as the frequencies of the interacting waves approach each other.

Nonlinear surface acoustic waves on an isotropic solid

A systematic derivation of the approximate coupled amplitude equations governing the propagation of a quasi-monochromatic Rayleigh surface wave on an isotropic solid is presented, starting from the non-linear governing differential equations and the non-linear free-surface boundary conditions, using the method of mulitple scales. An explicit solution of these equations for a signalling problem is obtained in terms of hyperbolic functions. In the case of monochromatic excitation, it is shown that the second harmonic amplitude grows initially at the expense of the fundamental and that the amplitudes of the fundamental and second harmonic remain bounded for all time.

Approximation of the perturbation equations of a quasi-linear hyperbolic system in the neighborhood of a bicharacteristic

In 1956 Whitham gave a nonlinear theory for computing the intensity of an acoustic pulse of an arbitrary shape. The theory has been used very successfully in computing the intensity of the sonic bang produced by a supersonic plane. [4.] derived an approximate quasi-linear equation for the propagation of a short wave in a compressible medium. These two methods are essentially nonlinear approximations of the perturbation equations of the system of gas-dynamic equations in the neighborhood of a bicharacteristic curve (or rays) for weak unsteady disturbances superimposed on a given steady solution. In this paper we have derived an approximate quasi-linear equation which is an approximation of perturbation equations in the neighborhood of a bicharacteristic curve for a weak pulse governed by a general system of first order quasi-linear partial differential equations in m + 1 independent variables (t, x1,…, xm) and derived Gubkin's result as a particular case when the system of equations consists of the equations of an unsteady motion of a compressible gas. We have also discussed the form of the approximate equation describing the waves propagating upsteam in an arbitrary multidimensional transonic flow.

Application of D transforms in the analysis of nonlinear distributed parameter systems

The scope of application of Laplace transforms presently limited to the study of linear partial differential equations, is extended to the nonlinear domain by this study. This has been achieved by modifying the definition of D transforms, put forth recently for the study of classes of nonlinear lumped parameter systems. The appropriate properties of the new D transforms are presented to bring out their applicability in the analysis of nonlinear distributed parameter systems.

Nonlinear aeroelasticity of rotating and flapping wings - a review

The interaction between large deflections, rotation effects and unsteady aerodynamics makes the dynamic analysis of rotating and flapping wing a nonlinear aeroelastic problem. This problem is governed by nonlinear periodic partial differential equations whose solution is needed to calculate the response and loads acting on vehicles using rotary or flapping wings for lift generation. We look at three important problems in this paper. The first problem shows the effect of nonlinear phenomenon coming from piezoelectric actuators used for helicopter vibration control. The second problem looks at the propagation on material uncertainty on the nonlinear response, vibration and aeroelastic stability of a composite helicopter rotor. The third problem considers the use of piezoelectric actuators for generating large motions in a dragonfly inspired flapping wing. These problems provide interesting insights into nonlinear aeroelasticity and show the likelihood of surprising phenomenon which needs to be considered during the design of rotary and flapping wing vehicle