High-order Compact Finite Difference Method Research Articles

Compact difference scheme for the two-dimensional semilinear wave equation

In this article, we investigate the use of a high-order compact finite difference method for solving a two-dimensional damped semilinear wave equation. We use a new iterative method that employs compact finite difference operators to approximate the second-order spatial derivatives and achieve fourth-order convergence. We establish the stability and convergence of the compact finite difference scheme in the sense of the discrete H1-norm. Finally, we present numerical results to demonstrate the accuracy and efficiency of the proposed scheme.

Fast High-Order Compact Finite Difference Methods Based on the Averaged L1 Formula for a Time-Fractional Mobile-Immobile Diffusion Problem

Fast High-Order Compact Finite Difference Methods Based on the Averaged L1 Formula for a Time-Fractional Mobile-Immobile Diffusion Problem

Solving Lane–Emden equations with boundary conditions of various types using high-order compact finite differences

In this study, a high-order compact finite difference method is used to solve Lane–Emden equations with various boundary conditions. The norm is to use a first-order finite difference scheme to approximate Neumann and Robin boundary conditions, but that compromises the accuracy of the entire scheme. As a result, new higher-order finite difference schemes for approximating Robin boundary conditions are developed in this work. We test the applicability and performance of the method using different examples of Lane–Emden equations. Convergence analysis is provided, and it is consistent with the numerical results. The results are compared with the exact solutions and published results from other methods. The method produces highly accurate results, which are displayed in tables and graphs.

High-Order Compact Finite Difference Methods for Solving the High-Dimensional Helmholtz Equations

Abstract In this paper, the sixth-order compact finite difference schemes for solving two-dimensional (2D) and three-dimensional (3D) Helmholtz equations are proposed. Firstly, the sixth-order compact difference operators for the second-order derivatives are applied to approximate the Laplace operator. Meanwhile, with the original differential equation, the sixth-order compact difference schemes are proposed. However, the truncation errors of the proposed scheme obviously depend on the unknowns, source function and wavenumber. Thus, we correct the truncation error of the sixth-order compact scheme to obtain an improved sixth-order compact scheme that is more accurate. Theoretically, the convergence and stability of the present improved method are proved. Finally, numerical tests verify that the improved schemes are more accurate.

Highly Accurate Compact Finite Difference Schemes for Two-Point Boundary Value Problems with Robin Boundary Conditions

In this study, a high-order compact finite difference method is used to solve boundary value problems with Robin boundary conditions. The norm is to use a first-order finite difference scheme to approximate Neumann and Robin boundary conditions, but that compromises the accuracy of the entire scheme. As a result, new higher-order finite difference schemes for approximating Robin boundary conditions are developed in this work. Six examples for testing the applicability and performance of the method are considered. Convergence analysis is provided, and it is consistent with the numerical results. The results are compared with the exact solutions and published results from other methods. The method produces highly accurate results, which are displayed in tables and graphs.

A computational technique for solving the time‐fractional Fokker‐Planck equation

In this paper, a high‐order computational scheme is constructed for the time‐fractional Fokker‐Planck (TFFP) equation. The formula is used to approximate the fractional derivative in the model problem. The space derivatives in the resulting semi‐discrete equation are approximated by a collocation technique based on quartic B‐spline (QBS) basis functions. The method is rigorously analyzed for its convergence. Two examples are provided to show the applicability and robustness of the present method. Our results are compared with the results obtained using finite difference method (FDM) and high‐order compact finite difference method (HCFDM).

High-Order Compact Difference Method for Solving Two- and Three-Dimensional Unsteady Convection Diffusion Reaction Equations

In this paper, a type of high-order compact (HOC) finite difference method is developed for solving two- and three-dimensional unsteady convection diffusion reaction (CDR) equations with variable coefficients. Firstly, an HOC difference scheme is derived to solve the two-dimensional (2D) unsteady CDR equation. Discretization in time is carried out by Taylor series expansion and correction of the truncation error remainder, while discretization in space is based on the fourth-order compact difference formulas. The scheme is second-order accuracy in time and fourth-order accuracy in space. The unconditional stability is obtained by the von Neumann analysis method. Then, this scheme is extended to solve the three-dimensional (3D) unsteady CDR equation. It needs only a five-point stencil for 2D problems and a seven-point stencil for 3D problems. Moreover, the present schemes can solve the nonlinear Burgers equation. Finally, numerical experiments are conducted to show the good performances of the new schemes.

The design of new high-order group iterative method in the solution of two-dimensional fractional cable equation

In this article, a new high-order explicit group iterative scheme is developed for the solution of the two-dimensional time fractional cable equation. The proposed scheme is derived from the Crank-Nicolson (C-N) high-order compact finite difference method, where the Caputo discretization and C-N high-order approximations are used for the time fractional and space derivative respectively. The stability and convergence of the proposed scheme are also established. Finally, two numerical examples are presented to show the accuracy and efficiency of the scheme.

A high-order compact finite difference method on nonuniform time meshes for variable coefficient reaction–subdiffusion problems with a weak initial singularity

A high-order compact finite difference method on nonuniform time meshes is proposed for solving a class of variable coefficient reaction–subdiffusion problems. The solution of such a problem in general has a typical weak singularity at the initial time. Alikhanov’s high-order approximation on a uniform time mesh for the Caputo time fractional derivative is generalised to a class of nonuniform time meshes, and a fourth-order compact finite difference scheme is used for approximating the spatial variable coefficient differential operator. A full theoretical analysis of the stability and convergence of the method is given for the general case of the variable coefficients by developing an analysis technique different from the one for the constant coefficient problem. Taking the weak initial singularity of the solution into account, a sharp error estimate in the discrete $$L^{2}$$ -norm is obtained. It is shown that the proposed method attains the temporal optimal second-order convergence provided a proper mesh parameter is employed. Numerical results demonstrate the sharpness of the theoretical error analysis result.

Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models

We propose a time-adaptive high-order compact finite difference scheme for option pricing in a family of stochastic volatility models. We employ a semi-discrete high-order compact finite difference method for the spatial discretisation, and combine this with an adaptive time discretisation, extending ideas from [LSRHF02] to fourth-order multistep methods in time.

A high-order compact difference method on fitted meshes for Neumann problems of time-fractional reaction–diffusion equations with variable coefficients

This paper is concerned with numerical methods for a class of nonhomogeneous Neumann problems of time-fractional reaction–diffusion equations with variable coefficients. The solutions of this kind of problems often have weak singularity at the initial time. This makes the existing numerical methods with uniform time mesh often lose accuracy. In this paper, we propose and analyze a high-order compact finite difference method with nonuniform time mesh. The time-fractional derivative is approximated by Alikhanov’s high-order approximation on a class of fitted time meshes. For the spatial variable coefficient differential operator, a new fourth-order boundary discretization is developed under the nonhomogeneous Neumann boundary condition, and then a new fourth-order compact finite difference approximation on a space uniform mesh is obtained. Under the assumption of the weak initial singularity of solution, we prove that for the general case of the variable coefficients, the proposed method is unconditionally stable and the numerical solution converges to the solution of the problem under consideration. The convergence result also gives an optimal error estimate of the numerical solution in the discrete L2-norm, which shows that the method has the spatial fourth-order convergence, while it attains the temporal optimal second-order convergence provided a proper mesh grading parameter is employed. Numerical results that confirm the sharpness of the error analysis are presented.

A high-order compact alternating direction implicit method for solving the 3D time-fractional diffusion equation with the Caputo–Fabrizio operator

In this paper, a high-order compact finite difference method (CFDM) with an operator-splitting technique for solving the 3D time-fractional diffusion equation is considered. The Caputo–Fabrizio time operator is evaluated by the $$L_1$$ approximation, and the second-order space derivatives are approximated by the compact CFDM to obtain a discrete scheme. Alternating direction implicit method (ADI) is used to split the problem into three separate one-dimensional problems. The local truncation error analysis is discussed. Moreover, the convergence and stability of the numerical method are investigated. Finally, some numerical examples are presented to demonstrate the accuracy of the compact ADI method.

An efficient high-order compact finite difference method for the Helmholtz equation

This paper is devoted to applying the sixth-order compact finite difference approach to the Helmholtz equation. Instead of using matrix inversion, a discrete sinusoidal transform is used as a quick solver to solve the discretized system resulted from the compact finite difference method. Through this way, the computational costs of the method with large numbers of nodes are greatly reduced. The efficiency and accuracy of the scheme are investigated by solving some illustrative examples, having the exact solutions.

Analysis of a high-order compact finite difference method for Robin problems of time-fractional sub-diffusion equations with variable coefficients

This paper is concerned with the construction and analysis of a high-order compact finite difference method for a class of time-fractional sub-diffusion equations under the Robin boundary condition. The diffusion coefficient of the equation may be spatially variable and the time-fractional derivative is in the Caputo sense with the order α∈(0,1). A (3−α)th-order numerical formula (called the L2 formula here) without any sub-stepping scheme for the approximation at the first-time level is applied to the discretization of the Caputo time-fractional derivative. A new fourth-order compact finite difference operator is constructed to approximate the variable coefficient spatial differential operator under the Robin boundary condition. By developing a technique of discrete energy analysis, the unconditional stability of the proposed method and its convergence of (3−α)th-order in time and fourth-order in space are rigorously proved for the general case of variable coefficient and for all α∈(0,1). Further approximations are considered for enlarging the applicability of the method while preserving its high-order accuracy. Numerical results are provided to demonstrate the theoretical analysis results.

Bifurcation and nonlinear evolution of convection in binary fluid mixtures with weak Soret effect

Rayleigh-Bénard (RB) convection in binary fluid mixtures, which shows rich and interesting pattern formation behavior, is a paradigm for understanding instabilities, bifurcations, self-organization with complex spatiotemporal behavior and turbulence, with many applications in atmospheric and environmental physics, astrophysics, and process technology. In this paper, by using a high-order compact finite difference method to solve the full hydrodynamic field equations, we study numerically the RB convection in binary fluid mixtures such as ethanol-water with a very weak Soret effect (separation ratio <inline-formula><tex-math id="M2">\begin{document}$\psi=-0.02$\end{document}</tex-math><alternatives><graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="7-20191836_M2.jpg"/><graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="7-20191836_M2.png"/></alternatives></inline-formula>) in a rectangular container heated uniformly from below. The direct numerical simulations are conducted in the rectangular container with aspect ratio of <inline-formula><tex-math id="M3">\begin{document}$\varGamma=12$\end{document}</tex-math><alternatives><graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="7-20191836_M3.jpg"/><graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="7-20191836_M3.png"/></alternatives></inline-formula> and with four no-slip and impermeable boundaries, isothermal horizontal and perfectly insulated vertical boundaries. The bifurcation and the origin and evolution of pattern in RB convection for the considered physical parameters are studied, and the bifurcation diagram is presented. By performing two-dimensional simulations, we observe three stable states of Blinking state, localized traveling wave and stationary overturning convection (SOC) state, and discuss the transitions between them. The results show that there is a hysteresis in the transition from the Blinking state to the localized traveling wave state for the considered separation ratio, and the evolution of the oscillation frequency, convection amplitude and Nusselt number are discontinuous. Near the lower bound of the Rayleigh number range where the Blinking state exists, a asymmetric initial disturbance is the inducement for the formation of the Blinking state. Inside the range, its inducing effect is weakened, and the oscillatory instability becomes the main reason. It is further confirmed that reflections of lateral walls are responsible for the survival of the stable Blinking state. With the increase of the Rayleigh number, the critical SOC state undergoes multiple bifurcations and forms multiple SOC states with different wave numbers, and then transitions to a chaotic state. There are no stable undulation traveling wave states at both ends of the critical SOC branch.

Oscillatory flow of Maxwell fluid in a tube of isosceles right triangular cross section

In the present study, the oscillatory flow of a Maxwell fluid in a long tube of isosceles right triangular cross section is considered. The analytical expressions for the velocity and phase difference for the flow driven by the periodic pressure gradient are obtained explicitly. The numerical solutions are calculated by using a high-order compact finite difference method. The effects of relaxation time and the Deborah number on the velocity and phase difference are discussed numerically and graphically.

A high-order compact difference method for fractional sub-diffusion equations with variable coefficients and nonhomogeneous Neumann boundary conditions

In a recent paper, Ren and Liu proposed and analyzed a high-order compact finite difference method for a class of fractional sub-diffusion equations with variable coefficients and nonhomogeneous Neumann boundary conditions. In this paper, we point out some deficiencies and errors found in that paper and make the corresponding revisions.

An Efficient Compact Difference Method for Temporal Fractional Subdiffusion Equations

In this paper, a high-order compact finite difference method is proposed for a class of temporal fractional subdiffusion equation. A numerical scheme for the equation has been derived to obtain 2-α in time and fourth-order in space. We improve the results by constructing a compact scheme of second-order in time while keeping fourth-order in space. Based on the L2-1σ approximation formula and a fourth-order compact finite difference approximation, the stability of the constructed scheme and its convergence of second-order in time and fourth-order in space are rigorously proved using a discrete energy analysis method. Applications using two model problems demonstrate the theoretical results.

A new higher order compact finite difference method for generalised Black–Scholes partial differential equation: European call option

This paper presents a high order numerical method based on a uniform mesh to obtain a highly accurate result for generalized Black–Scholes equation arising in the financial market. We first semi-discretize the underlying problem in the temporal direction by using Crank–Nicolson scheme and then discretize the resulting set of equations by using a high order compact finite difference method (HOCFDM). The stability of the scheme is analyzed. Convergence of the suggested method is proved. It is shown that the method is of order O ( Δ t 2 + h 4 ) . Some numerical experiments are carried out in order to illustrate the applicability and accuracy of the proposed method and to validate the theoretical results as well. It is shown that HOCFDM solution matches very well with the exact solution. Further, the rate of convergence predicted theoretically is the same as that obtained numerically. The computational time for our method in Matlab programming language is provided.

A high-order compact difference method for time fractional Fokker–Planck equations with variable coefficients

A high-order compact finite difference method is proposed for time fractional Fokker–Planck equations with variable convection coefficients. This method leads to a very simple and yet efficient compact finite difference scheme with high-order accuracy. It is also very convenient for us to give the corresponding analysis of stability and convergence using a discrete energy method. The proposed method is unconditionally stable and convergent with the convergence order $$\mathcal{O}(\tau ^{2}+h^{4})$$, where $$\tau $$ and h are the step sizes in time and space, respectively. Thus, it improves the convergence order of some recently developed methods. Numerical results confirm the theoretical analysis and demonstrate the high efficiency of this novel method.