Book•
Spectral Methods in MATLAB
01 Jan 2000-
TL;DR: This paper presents a meta-analyses of Chebyshev differentiation matrices using the DFT and FFT as a guide to solving fourth-order grid problems.
Abstract: Preface 1 Differentiation matrices 2 Unbounded grids: the semidiscrete Fourier transform 3 Periodic grids: the DFT and FFT 4 Smoothness and spectral accuracy 5 Polynomial interpolation and clustered grids 6 Chebyshev differentiation matrices 7 Boundary value problems 8 Chebyshev series and the FFT 9 Eigenvalues and pseudospectra 10 Time-stepping and stability regions 11 Polar coordinates 12 Integrals and quadrature formulas 13 More about boundary conditions 14 Fourth-order problems Afterword Bibliography Index
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TL;DR: The article is built around $10$ MATLAB programs, and the topics covered include stochastic integration, the Euler--Maruyama method, Milstein's method, strong and weak convergence, linear stability, andThe stochastics chain rule.
Abstract: A practical and accessible introduction to numerical methods for stochastic differential equations is given. The reader is assumed to be familiar with Euler's method for deterministic differential equations and to have at least an intuitive feel for the concept of a random variable; however, no knowledge of advanced probability theory or stochastic processes is assumed. The article is built around $10$ MATLAB programs, and the topics covered include stochastic integration, the Euler--Maruyama method, Milstein's method, strong and weak convergence, linear stability, and the stochastic chain rule.
2,655 citations
Cites methods from "Spectral Methods in MATLAB"
...The best way to learn is by example, so we have based this article around 10 MATLAB [3, 13] programs, using a philosophy similar to [14]....
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Book•
24 Feb 2012
TL;DR: 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.
Abstract: 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.
2,372 citations
TL;DR: This work surveys the quadratic eigenvalue problem, treating its many applications, its mathematical properties, and a variety of numerical solution techniques.
Abstract: We survey the quadratic eigenvalue problem, treating its many applications, its mathematical properties, and a variety of numerical solution techniques. Emphasis is given to exploiting both the structure of the matrices in the problem (dense, sparse, real, complex, Hermitian, skew-Hermitian) and the spectral properties of the problem. We classify numerical methods and catalogue available software.
1,369 citations
Cites methods from "Spectral Methods in MATLAB"
...20) using a suitable numerical method such as a spectral collocation method [98], [144] or a finite difference scheme [71]....
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Book•
06 Sep 2007
TL;DR: This book discusses infinite difference approximations, Iterative methods for sparse linear systems, and zero-stability and convergence for initial value problems for ordinary differential equations.
Abstract: 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.
1,349 citations
Cites background from "Spectral Methods in MATLAB"
...m in [90], which also computes the weights for the associated Gauss quadrature rules):...
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...See, for example, [10], [14], [29], [38], or [90] for more thorough introductions to spectral methods....
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TL;DR: A class of numerical methods for stiff systems, based on the method of exponential time differencing, is developed, with schemes with second- and higher-order accuracy, and new Runge?Kutta versions of these schemes are introduced.
1,189 citations
Cites background or methods from "Spectral Methods in MATLAB"
...which is becoming a standard test for spectral solvers [6, 16, 21]....
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...Standard Integrating Factor Methods: IFAB2 and IFRK2 Standard integrating factor (IF) methods [3, 4, 6, 21] are obtained by rewriting (1) as...
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References
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Book•
01 Jan 1974
TL;DR: In this paper, a general overview of the nonlinear theory of water wave dynamics is presented, including the Wave Equation, the Wave Hierarchies, and the Variational Method of Wave Dispersion.
Abstract: Introduction and General Outline. HYPERBOLIC WAVES. Waves and First Order Equations. Specific Problems. Burger's Equation. Hyperbolic Systems. Gas Dynamics. The Wave Equation. Shock Dynamics. The Propagation of Weak Shocks. Wave Hierarchies. DISPERSIVE WAVES. Linear Dispersive Waves. Wave Patterns. Water Waves. Nonlinear Dispersion and the Variational Method. Group Velocities, Instability, and Higher Order Dispersion. Applications of the Nonlinear Theory. Exact Solutions: Interacting Solitary Waves. References. Index.
8,808 citations
TL;DR: A reconciliation of findings with the traditional analysis is presented based on the "pseudospectra" of the linearized problem, which imply that small perturbations to the smooth flow may be amplified by factors on the order of 105 by a linear mechanism even though all the eigenmodes decay monotonically.
Abstract: Fluid flows that are smooth at low speeds become unstable and then turbulent at higher speeds. This phenomenon has traditionally been investigated by linearizing the equations of flow and testing for unstable eigenvalues of the linearized problem, but the results of such investigations agree poorly in many cases with experiments. Nevertheless, linear effects play a central role in hydrodynamic instability. A reconciliation of these findings with the traditional analysis is presented based on the "pseudospectra" of the linearized problem, which imply that small perturbations to the smooth flow may be amplified by factors on the order of 105 by a linear mechanism even though all the eigenmodes decay monotonically. The methods suggested here apply also to other problems in the mathematical sciences that involve nonorthogonal eigenfunctions.
1,773 citations
01 Jan 1915
TL;DR: In this article, the authors consider a function of a variable x such that its Taylor expansion in any part of the plane of the complex variable x can be derived from its Taylor's expansion in another part by the process of analytic continuation.
Abstract: Let ƒ(x) be a given function of a variable x. We shall suppose that ƒ(x) is a one-valued analytic function, so that its Taylor's expansion in any part of the plane of the complex variable x can be derived from its Taylor's expansion in any other part of the plane by the process of analytic continuation.
753 citations
TL;DR: Ten examples of computed pseudospectra of thirteen highly nonnormal matrices arising in various applications are presented, each chosen to illustrate one or more mathematical or physical principles.
Abstract: If a matrix or linear operator A is far from normal, its eigenvalues or, more generally, its spectrum may have little to do with its behavior as measured by quantities such as ||An|| or ||exp(tA)||. More may be learned by examining the sets in the complex plane known as the pseudospectra of A, defined by level curves of the norm of the resolvent, ||(zI - A)-1||. Five years ago, the author published a paper that presented computed pseudospectra of thirteen highly nonnormal matrices arising in various applications. Since that time, analogous computations have been carried out for differential and integral operators. This paper, a companion to the earlier one, presents ten examples, each chosen to illustrate one or more mathematical or physical principles.
507 citations