Abstract
The explicit semi-Lagrangian method for solution of Lagrangian transport equations as developed in Natarajan and Jacobs (2020) is adopted for the solution of stochastic differential equations that is consistent with Discontinuous Spectral Element Method (DSEM) approximations of Eulerian conservation laws. The method extends the favorable properties of DSEM that include its high-order accuracy, its local and boundary fitted properties and its high performance on parallel platforms for the concurrent Monte-Carlo, semi-Lagrangian and Eulerian solution of a class of time-dependent problems that can be described by coupled Eulerian–Lagrangian formulations. Such formulations include the probabilistic models used for the simulation of chemically reacting turbulent flows or particle-laden flows. Consistent with an explicit, DSEM discretization, the semi-Lagrangian method seeds particles at Gauss quadrature collocation nodes within a spectral element. The particles are integrated explicitly in time according to a drift velocity and a Wiener increment forcing and form the nodal basis for an advected interpolant. This interpolant is mapped back in a semi-Lagrangian fashion to the Gauss quadrature points through a least squares fit using constraints for element boundary values. Stochastic Monte-Carlo samples are averaged element-wise on the quadrature nodes. The stable explicit time step Wiener increment is sufficiently small to prevent particles from leaving the element’s bounds. The semi-Lagrangian method is hence local and parallel and does not have the grid complexity, and parallelization challenges of the commonly used Lagrangian particle solvers in particle-mesh methods for solution of Eulerian–Lagrangian formulations. Formal proof is presented that the semi-Lagrangian algorithm evolves the solution according to the Eulerian Fokker–Planck equation. Numerical tests in one and two dimensions for drift–diffusion problems show that the method converges exponentially for constant and non-constant advection and diffusion velocities.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: Computer Methods in Applied Mechanics and Engineering
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.