Showing papers on "Finite difference method published in 2005"

Improved analytical fit of gold dispersion: Application to the modeling of extinction spectra with a finite-difference time-domain method

Abstract: We propose an accurate description for the dispersion of gold in the range of 1.24--2.48 eV. We implement this improved model in an FDTD algorithm and evaluate its efficiency by comparison with an analytical method. Extinction spectra of gold nanoparticle arrays are then calculated.

A family of mimetic finite difference methods on polygonal and polyhedral meshes

Abstract: A family of inexpensive discretization schemes for diffusion problems on unstructured polygonal and polyhedral meshes is introduced. The material properties are described by a full tensor. The theoretical results are confirmed with numerical experiments.

Convergence of the Mimetic Finite Difference Method for Diffusion Problems on Polyhedral Meshes

Abstract: The stability and convergence properties of the mimetic finite difference method for diffusion-type problems on polyhedral meshes are analyzed. The optimal convergence rates for the scalar and vector variables in the mixed formulation of the problem are proved.

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

Abstract: We present a finite difference method for solving parabolic partial integro-differential equations with possibly singular kernels which arise in option pricing theory when the random evolution of the underlying asset is driven by a Levy process or, more generally, a time-inhomogeneous jump-diffusion process. We discuss localization to a finite domain and provide an estimate for the localization error under an integrability condition on the Levy measure. We propose an explicit-implicit finite difference scheme which can be used to price European and barrier options in such models. We study stability and convergence of the scheme proposed and, under additional conditions, provide estimates on the rate of convergence. Numerical tests are performed with smooth and nonsmooth initial conditions.

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

Abstract: We present a finite difference method for solving parabolic partial integro-differential equations with possibly singular kernels which arise in option pricing theory when the random evolution of the underlying asset is driven by a Levy process or, more generally, a time-inhomogeneous jump-diffusion process. We discuss localization to a finite domain and provide an estimate for the localization error under an integrability condition on the Levy measure. We propose an explicit-implicit finite difference scheme which can be used to price European and barrier options in such models. We study stability and convergence of the scheme proposed and, under additional conditions, provide estimates on the rate of convergence. Numerical tests are performed with smooth and nonsmooth initial conditions.

Comparison of finite difference and boundary integral solutions to three-dimensional spontaneous rupture

Abstract: The spontaneously propagating shear crack on a frictional interface has proven to be a useful idealization of a natural earthquake. The corresponding boundary value problems are nonlinear and usually require computationally intensive numerical methods for their solution. Assessing the convergence and accuracy of the numerical methods is challenging, as we lack appropriate analytical solutions for comparison. As a complement to other methods of assessment, we compare solutions obtained by two independent numerical methods, a finite difference method and a boundary integral (BI) method. The finite difference implementation, called DFM, uses a traction-at-split-node formulation of the fault discontinuity. The BI implementation employs spectral representation of the stress transfer functional. The three-dimensional (3-D) test problem involves spontaneous rupture spreading on a planar interface governed by linear slip-weakening friction that essentially defines a cohesive law. To get a priori understanding of the spatial resolution that would be required in this and similar problems, we review and combine some simple estimates of the cohesive zone sizes which correspond quite well to the sizes observed in simulations. We have assessed agreement between the methods in terms of the RMS differences in rupture time, final slip, and peak slip rate and related these to median and minimum measures of the cohesive zone resolution observed in the numerical solutions. The BI and DFM methods give virtually indistinguishable solutions to the 3-D spontaneous rupture test problem when their grid spacing Δx is small enough so that the solutions adequately resolve the cohesive zone, with at least three points for BI and at least five node points for DFM. Furthermore, grid-dependent differences in the results, for each of the two methods taken separately, decay as a power law in Δx, with the same convergence rate for each method, the calculations apparently converging to a common, grid interval invariant solution. This result provides strong evidence for the accuracy of both methods. In addition, the specific solution presented here, by virtue of being demonstrably grid-independent and consistent between two very different numerical methods, may prove useful for testing new numerical methods for spontaneous rupture problems.

Propagation, Observation, and Control of Waves Approximated by Finite Difference Methods

Abstract: This paper surveys several topics related to the observation and control of wave propagation phenomena modeled by finite difference methods. The main focus is on the property of observability, corresponding to the question of whether the total energy of solutions can be estimated from partial measurements on a subregion of the domain or boundary. The mathematically equivalent property of controllability corresponds to the question of whether wave propagation behavior can be controlled using forcing terms on that subregion, as is often desired in engineering applications. Observability/controllability of the continuous wave equation is well understood for the scalar linear constant coefficient case that is the focus of this paper. However, when the wave equation is discretized by finite difference methods, the control for the discretized model does not necessarily yield a good approximation to the control for the original continuous problem. In other words, the classical convergence (consistency + stability) property of a numerical scheme does not suffice to guarantee its suitability for providing good approximations to the controls that might be needed in applications. Observability/controllability may be lost under numerical discretization as the mesh size tends to zero due to the existence of high-frequency spurious solutions for which the group velocity vanishes. This phenomenon is analyzed and several remedies are suggested, including filtering, Tychonoff regularization, multigrid methods, and mixed finite element methods. We also briefly discuss these issues for the heat, beam, and Schrodinger equations to illustrate that diffusive and dispersive effects may help to retain the observability/controllability properties at the discrete level. We conclude with a list of open problems and future subjects for research.

Advances in the Applications of Nonstandard Finite Difference Schemes

Abstract: * Applications of Mickens Discretizations to Boundary Value Problems of Bratu, Gelfand and Others (R Buckmire) * Nonstandard Finite Difference Time Domain Algorithms for Computational Electromagnetics: Applications to Current Topics in Optics and Photonics (J B Cole) * Reliable Finite Difference Schemes with Applications in Mathematical Ecology (D T Dimitrov et al.) * Application of the Nonstandard Finite Difference Method in Non-Smooth Mechanics (Y Dumont) * Finite Difference Schemes on Unbounded Domains (M Ehrhardt) * Dynamically-Consistent Nonstandard Finite Difference Methods for Epidemic Models (A Gumel & K C Patidar) * Nonstandard Finite Difference Methods and Biological Models (S R-J Jang) * Contribution to the Theory of Nonstandard Finite Difference Methods and Applications to Singular Perturbation Problems (J M-S Lubuma & K C Patidar) * Nonstandard Discretization Methods on Lotka-Volterra Differential Equations (L-I W Roeger)

Dynamic consistency: a fundamental principle for constructing nonstandard finite difference schemes for differential equations

Abstract: The need often arises to analyze the dynamics of a system in terms of a discrete formulation. This can occur by using an a priori discrete model of the system or by discretizing a continuous model. For the latter case, the continuous model is represented by differential equations and the discrete forms come from the requirement to numerically integrate these equations. The concept of “dynamic consistency” plays an essential role in the construction of such discrete models which usually are expressed as finite difference equations. We define this concept and illustrate its application to the construction of nonstandard finite difference schemes.

A Fast Algorithm for the Electromagnetic Scattering from a Large Cavity

Abstract: A fast algorithm is presented for solving electromagnetic scattering from a rectangular open cavity embedded in an infinite ground plane The medium inside the cavity is assumed to be (vertically) layered By introducing a transparent (artificial) boundary condition, the problem in the open cavity is reduced to a bounded domain problem A simple finite difference method is then applied to solve the model Helmholtz equation The fast algorithm is designed for solving the resulting discrete system in terms of the discrete Fourier transform in the horizontal direction, a Gaussian elimination in the vertical direction, and a preconditioning conjugate gradient method with a complex diagonal preconditioner for the indefinite interface system The existence and uniqueness of the finite difference solution are established for arbitrary wave numbers Our numerical experiments for large numbers of mesh points, up to 16 million unknowns, and for large wave numbers, eg, between 100 and 200 wavelengths, show that the algorithm is extremely efficient The cost for calculating the radar cross section, which is of significant interest in practice, is O(M2) for an $M \times M$ mesh The proposed algorithm may be extended easily to solve discrete systems from other discretization methods of the model problem

Three-dimensional filling flow into a model left ventricle

Abstract: A numerical study of the three-dimensional fluid dynamics inside a model left ventricle during diastole is presented. The ventricle is modelled as a portion of a prolate spheroid with a moving wall, whose dynamics is externally forced to agree with a simplified waveform of the entering flow. The flow equations are written in the meridian body-fitted system of coordinates, and expanded in the azimuthal direction using the Fourier representation. The harmonics of the dependent variables are normalized in such a way that they automatically satisfy the high-order regularity conditions of the solution at the singular axis of the system of coordinates. The resulting equations are solved numerically using a mixed spectral–finite differences technique. The flow dynamics is analysed by varying the governing parameters, in order to understand the main fluid phenomena in an expanding ventricle, and to obtain some insight into the physiological pattern commonly detected. The flow is characterized by a well-defined structure of vorticity that is found to be the same for all values of the parameters, until, at low values of the Strouhal number, the flow develops weak turbulence.

Error Bounds for Monotone Approximation Schemes for Hamilton-Jacobi-Bellman Equations

Abstract: We obtain error bounds for monotone approximation schemes of Hamilton--Jacobi--Bellman equations. These bounds improve previous results of Krylov and the authors. The key step in the proof of these new estimates is the introduction of a switching system which allows the construction of approximate, (almost) smooth supersolutions for the Hamilton--Jacobi--Bellman equation.

Hybrid Finite-Volume Finite-Difference Scheme for the Solution of Boussinesq Equations.

Abstract: A hybrid scheme composed of finite-volume and finite-difference methods is introduced for the solution of the Boussinesq equations. While the finite-volume method with a Riemann solver is applied to the conservative part of the equations, the higher-order Boussinesq terms are discretized using the finite-difference scheme. Fourth-order accuracy in space for the finite-volume solution is achieved using the MUSCL-TVD scheme. Within this, four limiters have been tested, of which van-Leer limiter is found to be the most suitable. The Adams-Basforth third-order predictor and Adams-Moulton fourth-order corrector methods are used to obtain fourth-order accuracy in time. A recently introduced surface gradient technique is employed for the treatment of the bottom slope. A new model HYWAVE, based on this hybrid solution, has been applied to a number of wave propagation examples, most of which are taken from previous studies. Examples include sinusoidal waves and bi-chromatic wave propagation in deep water, sinusoidal wave propagation in shallow water and sinusoidal wave propagation from deep to shallow water demonstrating the linear shoaling properties of the model. Finally, sinusoidal wave propagation over a bar is simulated. The results are in good agreement with the theoretical expectations and published experimental results. Copyright © 2005 John Wiley & Sons, Ltd.

On the use of nonstandard finite difference methods

Abstract: Many real life problems are modelled by differential equations, for which analytical solutions are not always easy to find. One of the most difficult problems is how to solve these differential equations efficiently. Several researchers have tried to do this in various different ways (e.g. via Finite Element Methods, Standard Finite Difference Methods, Spline Approximation Methods, etc.). In recent years, to get reliable results with less effort, researchers have applied nonstandard finite difference methods (NSFDMs) and obtained competitive results to those obtained with other methods. In this survey article, the author tries to provide as much stimulating information as available regarding these NSFDMs to the researchers, which will be helpful for them as the research proceeds in this direction. While the author made the utmost efforts to include whatever he could, he would like to apologize if there are any omissions which are totally unintentional.

Parallel Octree-Based Finite Element Method for Large-Scale Earthquake Ground Motion Simulation

Abstract: We present a parallel octree-based finite element method for large-scale earthquake ground motion simulation in realistic basins. The octree representation combines the low memory per node and good cache performance of finite difference methods with the spatial adaptivity to local seismic wavelengths characteristic of unstructured finite element methods. Several tests are provided to verify the numerical performance of the method against Green’s function solutions for homogeneous and piecewise homogeneous media, both with and without anelastic attenuation. A comparison is also provided against a finite difference code and an unstructured tetrahedral finite element code for a simulation of the 1994 Northridge Earthquake. The numerical tests all show very good agreement with analytical solutions and other codes. Finally, performance evaluation indicates excellent single-processor performance and parallel scalability over a range of 1 to 2048 processors for Northridge simulations with up to 300 million degrees of freedom. keyword: Earthquake ground motion modeling, octree, parallel computing, finite element method, elastic wave propagation

Numerical Study of the Cahn-Hilliard Equation in One, Two and Three Dimensions

Abstract: The Cahn–Hilliard (CH) equation is related with a number of interesting physical phenomena like the spinodal decomposition, phase separation and phase ordering dynamics. On the other hand this equation is very stiff and the difficulty to solve it numerically increases with the dimensionality and therefore, there are several published numerical studies in one dimension (1D), dealing with different approaches, and much fewer in two dimensions (2D). In three dimensions (3D) there are very few publications, usually concentrate in some specific result without the details of the used numerical scheme. We present here a stable and fast conservative finite difference scheme to solve the CH with two improvements: a splitting potential into an implicit and explicit in time part and the use of free boundary conditions. We show that gradient stability is achieved in one, two and three dimensions with large time marching steps than normal methods.

Numerical Partial Differential Equations for Environmental Scientists and Engineers : A First Practical Course

Abstract: The Finite Difference Method.- Introduction.- Finite Difference Calculus.- Elliptic Equations.- Elliptic Iterations.- Parabolic Equations.- Hyperbolic Equations.- The Finite Element Method.- General Principles.- A 10D Tutorial.- Multi-Dimensional Elements.- Time-Dependent Problems.- Vector Problems.- Numerical Analysis.- Inverse Methods.- Inverse Noise, SVD, and LLS.- Fitting Models to Data.- Dynamic Inversion.- Time Conventions for Real-Time Assimilation.- Skill Assessment for Data Assimilative Models.- Statistical Interpolation.- Appendices.- Bibliography.- Index.

Combining spectral and shock-capturing methods: A new numerical approach for 3D relativistic core collapse simulations

Abstract: We present a new three-dimensional general relativistic hydrodynamics code which is intended for simulations of stellar core collapse to a neutron star, as well as pulsations and instabilities of rotating relativistic stars. Contrary to the common approach followed in most existing three-dimensional numerical relativity codes which are based in Cartesian coordinates, in this code both the metric and the hydrodynamics equations are formulated and solved numerically using spherical polar coordinates. A distinctive feature of this new code is the combination of two types of accurate numerical schemes specifically designed to solve each system of equations. More precisely, the code uses spectral methods for solving the gravitational field equations, which are formulated under the assumption of the conformal flatness condition (CFC) for the three-metric. Correspondingly, the hydrodynamics equations are solved by a class of finite difference methods called high-resolution shock-capturing schemes, based upon state-of-the-art Riemann solvers and third-order cell-reconstruction procedures. We demonstrate that the combination of a finite difference grid and a spectral grid, on which the hydrodynamics and metric equations are, respectively, solved, can be successfully accomplished. This approach, which we call Mariage des Maillages (French for grid wedding), results in high accuracy of the metric solver and, in practice, allows for fully three-dimensional applications using computationally affordable resources, along with ensuring long-term numerical stability of the evolution. We compare our new approach to two other, finite difference based, methods to solve the metric equations which we already employed in earlier axisymmetric simulations of core collapse. A variety of tests in two and three dimensions is presented, involving highly perturbed neutron star spacetimes and (axisymmetric) stellar core collapse, which demonstrate the ability of the code to handle spacetimes with and without symmetries in strong gravity. These tests are also employed to assess the gravitational waveform extraction capabilities of the code, which is based on the Newtonian quadrupole formula. The code presented here is not limited to approximations of the Einstein equations such as CFC, but it is also well suited, in principle, to recent constrained formulations of the metric equations where elliptic equations have a preeminence over hyperbolic equations.

Generalised homogenisation procedures for granular materials

Abstract: Engineering materials are generally non-homogeneous, yet standard continuum descriptions of such materials are admissible, provided that the size of the non-homogeneities is much smaller than the characteristic length of the deformation pattern. If this is not the case, either the individual non-homogeneities have to be described explicitly or the range of applicability of the continuum concept is extended by including additional variables or degrees of freedom. In the paper the discrete nature of granular materials is modelled in the simplest possible way by means of finite-difference equations. The difference equations may be homogenised in two ways: the simplest approach is to replace the finite differences by the corresponding Taylor expansions. This leads to a Cosserat continuum theory. A more sophisticated strategy is to homogenise the equations by means of a discrete Fourier transformation. The result is a Kunin-type non-local theory. In the following these theories are analysed by considering a model consisting of independent periodic 1D chauns of solid spheres connected by shear translational and rotational springs. It is found that the Cosserat theory offers a healthy balance between accuracy and simplicity. Kunin’s integral homogenisation theory leads to a non-local Cosserat continuum description that yields an exact solution, but does not offer any real simplification in the solution of the model equations as compared to the original discrete system. The rotational degree of freedom affects the phenomenology of wave propagation considerably. When the rotation is suppressed, only one type of wave, viz. a shear wave, exists. When the restriction on particle rotation is relaxed, the velocity of this wave decreases and another, high velocity wave arises.

The Rate of Convergence of Finite-Difference Approximations for Bellman Equations with Lipschitz Coefficients

Abstract: We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h1/2 for certain types of finite-difference schemes are obtained.