This book is a tutorial written by researchers and developers behind the FEniCS Project and explores an advanced, expressive approach to the development of mathematical software. The presentation spans mathematical background, software design and the use of FEniCS in applications. Theoretical aspects are complemented with computer code which is available as free/open source software. The book begins with a special introductory tutorial for beginners. Followingare chapters in Part I addressing fundamental aspects of the approach to automating the creation of finite element solvers. Chapters in Part II address the design and implementation of the FEnicS software. Chapters in Part III present the application of FEniCS to a wide range of applications, including fluid flow, solid mechanics, electromagnetics and geophysics.

Automated Solution of Differential Equations by the Finite Element Method: The FEniCS Book

Large linear systems of saddle point type arise in a wide variety of applications throughout computational science and engineering. Due to their indefiniteness and often poor spectral properties, such linear systems represent a significant challenge for solver developers. In recent years there has been a surge of interest in saddle point problems, and numerous solution techniques have been proposed for this type of system. The aim of this paper is to present and discuss a large selection of solution methods for linear systems in saddle point form, with an emphasis on iterative methods for large and sparse problems.

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Numerical solution of saddle point problems

http://www.inf.ufes.br/~luciac/comcie/JFNK-Knoll.pdf

Jacobian-free Newton-Krylov methods: a survey of approaches and applications

We show that multigrid ideas can be used to reduce the computational complexity of estimating an expected value arising from a stochastic differential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and a Euler discretisation, the computational cost to achieve an accuracy of O(e) is reduced from O(e-3) to O(e-2 (log e)2). The analysis is supported by numerical results showing significant computational savings.

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Multilevel Monte Carlo Path Simulation

Finite difference approximations -- Steady states and boundary value problems -- Elliptic equations -- Iterative methods for sparse linear systems -- The initial value problem for ordinary differential equations -- Zero-stability and convergence for initial value problems -- Absolute stability for ordinary differential equations -- Stiff ordinary differential equations -- Diffusion equations and parabolic problems -- Addiction equations and hyperbolic systems -- Mixed equations -- Appendixes: A. Measuring errors -- B. Polynomial interpolation and orthogonal polynomials -- C. Eigenvalues and inner-product norms -- D. Matrix powers and exponentials -- E. Partial differential equations.

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Finite Difference Methods for Ordinary and Partial Differential Equations: Steady-State and Time-dependent Problems

These notes were written for an introductory course on the application of multigrid methods to elliptic and hyperbolic partial differential equations for engineers, physicists and applied mathematicians. The use of more advanced mathematical tools, such as functional analysis, is avoided. The course is intended to be accessible to a wide audience of users of computational methods. We restrict ourselves to finite volume and finite difference discretization. The basic principles are given. Smoothing methods and Fourier smoothing analysis are reviewed. The fundamental multigrid algorithm is studied. The smoothing and coarse grid approximation properties are discussed. Multigrid schedules and structured programming of multigrid algorithms are treated. Robustness and efficiency are considered.

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An Introduction to Multigrid Methods

A mass-conserving Level-Set method to model bubbly flows is presented. The method can handle high density-ratio flows with complex interface topologies, such as flows with simultaneous occurrence of bubbles and droplets. Aspects taken into account are: a sharp front (density changes abruptly), arbitrarily shaped interfaces, surface tension, buoyancy and coalescence of droplets/bubbles. Attention is paid to mass-conservation and integrity of the interface. The proposed computational method is a Level-Set method, where a Volume-of-Fluid function is used to conserve mass when the interface is advected. The aim of the method is to combine the advantages of the Level-Set and Volume-of-Fluid methods without the disadvantages. The flow is computed with a pressure correction method with the Marker-and-Cell scheme. Interface conditions are satisfied by means of the continuous surface force methodology and the jump in the density field is maintained similar to the ghost fluid method for incompressible flows

A mass‐conserving Level‐Set method for modelling of multi‐phase flows

Geometric multigrid with applications to computational fluid dynamics

A conservative pressure-correction method for flow at all speeds

A multigrid method is described A novel item is the use of incomplete $LU$ decomposition for smoothing Numerical experiments show that its speed and robustness compare favorably with other multigrid methods A fairly simple rate of convergence proof is presented

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P. Wesseling

Papers

An Introduction to Multigrid Methods

A mass‐conserving Level‐Set method for modelling of multi‐phase flows

Geometric multigrid with applications to computational fluid dynamics

A conservative pressure-correction method for flow at all speeds

Theoretical and Practical Aspects of a Multigrid Method