Implicit-explicit Runge-Kutta Research Articles

Oscillation-free implicit pressure explicit concentration discontinuous Galerkin methods for compressible miscible displacements with applications in viscous fingering

The system of compressible miscible displacements is widely adopted to model surfactant flooding in enhanced oil recovery techniques, where a low-viscosity fluid is injected underground to replace the high-viscosity oil. When the mobility ratio of the injected fluid to oil is high, the waterflood front tends to be unstable and exhibits a finger-like growth pattern, known as viscous fingering. Due to its unstable nature, the viscous fingering phenomenon is sensitive to mesh orientation and numerical discretization. Therefore, high-order numerical methods are preferable to reduce numerical artifacts and mesh dependence. In this paper, we propose a high-order discontinuous Galerkin method for the coupled nonlinear system of compressible miscible displacements to simulate the viscous fingering fluid instability in porous media. We adopt the IMplicit Pressure Explicit Concentration time marching approach based on implicit-explicit Runge-Kutta methods to achieve high-order temporal accuracy. Additionally, we introduce an oscillation-free damping term to control the spurious oscillations encountered in the waterflood front due to the large gradient of saturation. We have conducted ample numerical tests in two space dimensions to demonstrate the effectiveness and robustness of the proposed schemes in recovering viscous fingering.

Implicit-explicit Runge-Kutta for radiation hydrodynamics I: Gray diffusion

Radiation hydrodynamics are a challenging multiscale and multiphysics set of equations. To capture the relevant physics of interest, one typically must time step on the hydrodynamics timescale, making explicit integration the obvious choice. On the other hand, the coupled radiation equations have a scaling such that implicit integration is effectively necessary in non-relativistic regimes. A first-order Lie-Trotter-like operator split is the most common time integration scheme used in practice, alternating between an explicit hydrodynamics step and an implicit radiation solve and energy deposition step. However, such a scheme is limited to first-order accuracy, and nonlinear coupling between the radiation and hydrodynamics equations makes a more general additive partitioning of the equations non-trivial. Here, we develop a new formulation and partitioning of radiation hydrodynamics with gray diffusion that allows us to apply (linearly) implicit-explicit Runge-Kutta time integration schemes. We prove conservation of total energy in the new framework, and demonstrate 2nd-order convergence in time on multiple radiative shock problems, achieving error 3–5 orders of magnitude smaller than the first-order Lie-Trotter operator split at the hydrodynamic CFL, even when Lie-Trotter applies a 3rd-order TVD Runge-Kutta scheme to the hydrodynamics equations.

A new class of efficient high order semi-Lagrangian IMEX discontinuous Galerkin methods on staggered unstructured meshes

In this paper we present a new high order semi-implicit discontinuous-Galerkin (DG) scheme on two-dimensional staggered triangular meshes applied to different nonlinear systems of hyperbolic conservation laws such as advection-diffusion models, incompressible Navier-Stokes equations and natural convection problems. While the temperature and pressure field are defined on a triangular main grid, the velocity field is defined on a quadrilateral edge-based staggered mesh. A semi-implicit time discretization is proposed, which separates slow and fast time scales by treating them explicitly and implicitly, respectively. The nonlinear convection terms are evolved explicitly using a semi-Lagrangian approach, whereas we consider an implicit discretization for the diffusion terms and the pressure contribution. High-order of accuracy in time is achieved using a new flexible and general framework of IMplicit-EXplicit (IMEX) Runge-Kutta schemes specifically designed to operate with semi-Lagrangian methods. To improve the efficiency in the computation of the DG divergence operator and the mass matrix, we propose to approximate the numerical solution with a less regular polynomial space on the edge-based mesh, which is defined on two sub-triangles that split the staggered quadrilateral elements. This allows for a fast computation of the DG operators and matrices without any need to store them for each mesh element. Due to the implicit treatment of the fast scale terms, the resulting numerical scheme is unconditionally stable for the considered governing equations because the semi-Lagrangian approach is the only explicit discretization for convection terms that does not need any stability restriction on the maximum admissible time step. Contrarily to a genuinely space-time discontinuous-Galerkin scheme, the IMEX discretization permits to preserve the symmetry and the positive semi-definiteness of the arising linear system for the pressure that can be solved at the aid of an efficient matrix-free implementation of the conjugate gradient method. We present several convergence results, including nonlinear transport and density currents, up to third order of accuracy in both space and time.

A Structure-Preserving Semi-implicit IMEX Finite Volume Scheme for Ideal Magnetohydrodynamics at all Mach and Alfvén Numbers

We present a divergence-free semi-implicit finite volume scheme for the simulation of the ideal magnetohydrodynamics (MHD) equations which is stable for large time steps controlled by the local transport speed at all Mach and Alfvén numbers. An operator splitting technique allows to treat the convective terms explicitly while the hydrodynamic pressure and the magnetic field contributions are integrated implicitly, yielding two decoupled linear implicit systems. The linearity of the implicit part is achieved by means of a semi-implicit time linearization. This structure is favorable as second-order accuracy in time can be achieved relying on the class of semi-implicit IMplicit–EXplicit Runge–Kutta (IMEX-RK) methods. In space, implicit cell-centered finite difference operators are designed to discretely preserve the divergence-free property of the magnetic field on three-dimensional Cartesian meshes. The new scheme is also particularly well suited for low Mach number flows and for the incompressible limit of the MHD equations, since no explicit numerical dissipation is added to the implicit contribution and the time step is scale independent. Likewise, highly magnetized flows can benefit from the implicit treatment of the magnetic fluxes, hence improving the computational efficiency of the novel method. The convective terms undergo a shock-capturing second order finite volume discretization to guarantee the effectiveness of the proposed method even for high Mach number flows. The new scheme is benchmarked against a series of test cases for the ideal MHD equations addressing different acoustic and Alfvén Mach number regimes where the performance and the stability of the new scheme is assessed.

High order well-balanced asymptotic preserving IMEX RKDG schemes for the two-dimensional nonlinear shallow water equations

In this paper, a high order well-balanced asymptotic preserving scheme is presented for the two-dimensional nonlinear shallow water equations over variable bottom topography in all Froude number regimes. To obtain the well-balanced property, the system is first reformulated as a new form by introducing an auxiliary parameter. The flux is then split into a linear stiff part to be treated implicitly and a nonlinear non-stiff part to be treated explicitly, and the source term is treated explicitly. An implicit-explicit Runge-Kutta discontinuous Galerkin scheme is designed for solving the equations. The proposed scheme can be proved to be well-balanced, asymptotic preserving and asymptotically accurate. Finally, several numerical tests are carried out to validate the performance of our proposed scheme.

Uniform accuracy of implicit-explicit Runge-Kutta (IMEX-RK) schemes for hyperbolic systems with relaxation

Implicit-explicit Runge-Kutta (IMEX-RK) schemes are popular methods to treat multiscale equations that contain a stiff part and a non-stiff part, where the stiff part is characterized by a small parameter ε \varepsilon . In this work, we prove rigorously the uniform stability and uniform accuracy of a class of IMEX-RK schemes for a linear hyperbolic system with stiff relaxation. The result we obtain is optimal in the sense that it holds regardless of the value of ε \varepsilon and the order of accuracy is the same as the design order of the original scheme, i.e., there is no order reduction.

Implicit-explicit Runge–Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models

Implicit-explicit Runge–Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models

Enhancing accuracy and efficiency: A novel implicit–explicit approach for fluid dynamics simulation

This study presents an innovative implicit–explicit time-stepping algorithm based on a first-order temporal accuracy method, addressing challenges in simulating all-regimes of fluid flows. The algorithm's primary focus is on mitigating stiffness inherent in the density-based “Roe” method, pivotal in finite volume approaches employing unstructured meshes. The objective is to comprehensively evaluate the method's efficiency and robustness, contrasting it with the explicit fourth-order Runge–Kutta method. This evaluation encompasses simulations across a broad spectrum of Mach numbers, including scenarios of incompressible and compressible flow. The scenarios investigated include the Sod Riemann problem to simulate compressible Euler equations, revealing the algorithm's versatility, and the low Mach number Riemann problem to analyze system stiffness in incompressible flow. Additionally, Navier–Stokes equations are employed to study viscous and unsteady flow patterns around stationary cylinders. The study scrutinizes two time-stepping algorithms, emphasizing accuracy, stability, and computational efficiency. The results demonstrate the implicit–explicit Runge–Kutta algorithm's superior accuracy in predicting flow discontinuities in compressible flow. This advantage arises from the semi-implicit nature of the equations, reducing numerical errors. The algorithm significantly enhances accuracy and stability for low Mach number Riemann problems, addressing increasing stiffness as Mach numbers decrease. Notably, the algorithm optimizes computational efficiency for both low Mach number Riemann problems and viscous flows around cylinders, reducing computational costs by 38%–68%. The investigation extends to a two dimensional hypersonic inviscid flow over cylinder and double Mach reflection case, showcasing the method's proficiency in capturing complex and hypersonic flow behavior. Overall, this research advances the understanding of time discretization techniques in computational fluid dynamics, offering an effective approach for handling a wide range of Mach numbers while improving accuracy and efficiency.

Energy diminishing implicit-explicit Runge–Kutta methods for gradient flows

This study focuses on the development and analysis of a group of high-order implicit-explicit (IMEX) Runge–Kutta (RK) methods that are suitable for discretizing gradient flows with nonlinearity that is Lipschitz continuous. We demonstrate that these IMEX-RK methods can preserve the original energy dissipation property without any restrictions on the time-step size, thanks to a stabilization technique. The stabilization constants are solely dependent on the minimal eigenvalues that result from the Butcher tables of the IMEX-RKs. Furthermore, we establish a simple framework that can determine whether an IMEX-RK scheme is capable of preserving the original energy dissipation property or not. We also present a heuristic convergence analysis based on the truncation errors. This is the first research to prove that a linear high-order single-step scheme can ensure the original energy stability unconditionally for general gradient flows. Additionally, we provide several high-order IMEX-RK schemes that satisfy the established framework. Notably, we discovered a new four-stage third-order IMEX-RK scheme that reduces energy. Finally, we provide numerical examples to demonstrate the stability and accuracy properties of the proposed methods.

A Well-Balanced Semi-implicit IMEX Finite Volume Scheme for Ideal Magnetohydrodynamics at All Mach Numbers

We propose a second-order accurate semi-implicit and well-balanced finite volume scheme for the equations of ideal magnetohydrodynamics including gravitational source terms. The scheme treats all terms associated with the acoustic pressure implicitly while keeping the remaining terms part of the explicit sub-system. This semi-implicit approach makes the method particularly well suited for problems in the low Mach regime. We combine the semi-implicit scheme with the deviation well-balancing technique and prove that it maintains equilibrium solutions for the magnetohydrostatic case up to rounding errors. In order to preserve the divergence-free property of the magnetic field enforced by the solenoidal constraint, we incorporate a constrained transport method in the semi-implicit framework. Second order of accuracy is achieved by means of a standard spatial reconstruction technique with total variation diminishing property, and by an asymptotic preserving time stepping algorithm built upon the implicit-explicit Runge–Kutta time integrators. Numerical tests in the low Mach regime and near magnetohydrostatic equilibria support the low Mach and well-balanced properties of the numerical method.

Implicit-explicit Runge-Kutta methods for Landau-Lifshitz equation with arbitrary damping

Implicit-explicit Runge-Kutta methods for Landau-Lifshitz equation with arbitrary damping

Phase-field modeling and linearly energy-stable Runge–Kutta algorithm of colloidal crystals on curved surfaces

In this work, we develop an efficient and unconditionally energy-stable numerical method for solving a generalized H−1-gradient flow based Swift–Hohenberg equation for colloidal crystal on surfaces. By introducing an appropriate truncated nonlinear potential, we construct linear and temporally second-order accurate scheme based on the linear convex splitting and implicit-explicit Runge–Kutta approaches. The surface is discretized by a set of triangles. The spatial approximation is performed based on the finite volume type method. During every time step, our task simply involves solving a set of elliptic-type equations that have constant coefficients. We analytically prove the energy dissipation law and unique solvability. Numerical examples indicate that the proposed scheme not only works well on various surfaces but also has desired accuracy and energy stability. We also provide the MATLAB code for generating triangular mesh on the curved surface in the link: http://github.com/yang521/MATLAB-distmesh.

A semi-implicit finite volume method for the Exner model of sediment transport

The aim of this work is to construct efficient finite volume schemes for the numerical study of sediment transport in shallow water, in the framework of the Exner model [7,10]. In most cases, the velocity related to the sediment is much lower that the fluid velocity, which, in turn, may be much lower that the free-surface wave speed. Explicit methods that resolve all waves require small time steps due to the CFL stability restriction because of fast surface waves. Furthermore, if Rusanov flux is adopted, slow sediment waves may be affected by the large numerical diffusion. The objective of the present work is to drastically improve the efficiency in the computation of the evolution of the sediment by treating water waves implicitly, thus allowing much larger time steps than the one required by fully explicit schemes. The goal is reached by suitably semi-implicit schemes obtained by the use of implicit-explicit Runge-Kutta methods.

Efficient pricing of options in jump–diffusion models: Novel implicit–explicit methods for numerical valuation

This paper presents novel implicit–explicit Runge–Kutta type methods for numerically simulating partial integro-differential equations that arise when pricing options under jump–diffusion models. These methods offer an alternative approach that avoids the need for numerical or analytical inversion of the coefficient matrix. The pricing of European options is formulated as a partial integro-differential equation, while the pricing of American options are treated as a linear complementarity problem. The developed implicit–explicit Runge–Kutta type method is combined with an operator splitting technique to efficiently solve the linear complementarity problem. Stability and convergence analysis of the proposed methods are established using discrete ℓ2-norm. To validate their efficiency and accuracy, the methods are applied to pricing European and American options under Merton’s and Kou’s models, and the computed results are compared with those reported in the literature.

Unconditionally energy-stable linear convex splitting algorithm for the L2 quasicrystals

Quasicrystals have extensive applications in material sciences. In this article, we develop an unconditional energy-dissipation-preserving, temporally second-order accurate, and linear method for solving a L2-gradient flow-based quasicrystal model. A truncated technique is introduced to regularize the nonlinear terms so that their second derivative is upper bounded. Based on the idea of the convex splitting method, we split free energy into the difference between two convex functionals. The convexity provides an appropriate choice of linear stabilization parameter. A linear and temporally second-order accurate algorithm is constructed utilizing the implicit-explicit Runge–Kutta method. In each time step, we can analytically prove that the proposed scheme satisfies the energy dissipation law. The Fourier spectral method is used to perform spatial discretization. Through numerical experiments, the accuracy, energy stability, and capability of the proposed method for quasicrystals are verified.

On the Stability of IMEX Upwind gSBP Schemes for 1D Linear Advection-Diffusion Equations

AbstractA fully discrete energy stability analysis is carried out for linear advection-diffusion problems discretized by generalized upwind summation-by-parts (upwind gSBP) schemes in space and implicit-explicit Runge-Kutta (IMEX-RK) schemes in time. Hereby, advection terms are discretized explicitly, while diffusion terms are solved implicitly. In this context, specific combinations of space and time discretizations enjoy enhanced stability properties. In fact, if the first- and second-derivative upwind gSBP operators fulfill a compatibility condition, the allowable time step size is independent of grid refinement, although the advective terms are discretized explicitly. In one space dimension it is shown that upwind gSBP schemes represent a general framework including standard discontinuous Galerkin (DG) schemes on a global level. While previous work for DG schemes has demonstrated that the combination of upwind advection fluxes and the central-type first Bassi-Rebay (BR1) scheme for diffusion does not allow for grid-independent stable time steps, the current work shows that central advection fluxes are compatible with BR1 regarding enhanced stability of IMEX time stepping. Furthermore, unlike previous discrete energy stability investigations for DG schemes, the present analysis is based on the discrete energy provided by the corresponding SBP norm matrix and yields time step restrictions independent of the discretization order in space, since no finite-element-type inverse constants are involved. Numerical experiments are provided confirming these theoretical findings.

General-relativistic Radiation Transport Scheme in Gmunu. I. Implementation of Two-moment-based Multifrequency Radiative Transfer and Code Tests

We present the implementation of a two-moment-based general-relativistic multigroup radiation transport module in the General-relativistic multigrid numerical (Gmunu) code. On top of solving the general-relativistic magnetohydrodynamics and the Einstein equations with conformally flat approximations, the code solves the evolution equations of the zeroth- and first-order moments of the radiations in the Eulerian-frame. An analytic closure relation is used to obtain the higher order moments and close the system. The finite-volume discretization has been adopted for the radiation moments. The advection in spatial space and frequency-space are handled explicitly. In addition, the radiation–matter interaction terms, which are very stiff in the optically thick region, are solved implicitly. The implicit–explicit Runge–Kutta schemes are adopted for time integration. We test the implementation with a number of numerical benchmarks from frequency-integrated to frequency-dependent cases. Furthermore, we also illustrate the astrophysical applications in hot neutron star and core-collapse supernovae modelings, and compare with other neutrino transport codes.

Linear and conservative IMEX Runge–Kutta finite difference schemes with provable energy stability for the Cahn–Hilliard model in arbitrary domains

The Cahn–Hilliard (CH) equation is a classical mathematical equation which models the spinodal decomposition in binary fluid mixtures. In the real world, the phase change in a two-phase system usually occurs in irregular domains. To efficiently and accurately simulate this dynamics, we herein develop linear temporally first- and second-order accurate methods for the CH equation in arbitrary domains. The implicit-explicit (IMEX) Runge–Kutta method is adopted to construct discrete schemes in time. By introducing a simple boundary control function, we transform the original equations into equivalent forms in irregular domains and discretize the space by using the standard second-order finite difference stencil. In each temporal step, the proposed numerical schemes are highly efficient and easy to implement because we only need to solve several linear elliptic type equations. The mass conservation and unconditional energy stability of the proposed schemes are analytically proved. The multigrid algorithm is adopted for fast computation. The numerical results confirm the desired accuracy in time and space, mass conservation, and energy dissipation property. Moreover, the extensive calculations in two- and three-dimensional spaces indicate that the proposed method has good capability to simulate spinodal decomposition in arbitrarily irregular domains.

Global high-order numerical schemes for the time evolution of the general relativistic radiation magneto-hydrodynamics equations

Modeling correctly the transport of neutrinos is crucial in some astrophysical scenarios such as core-collapse supernovae and binary neutron star mergers. In this paper, we focus on the truncated-moment formalism, considering only the first two moments (M1 scheme) within the grey approximation, which reduces Boltzmann seven-dimensional equation to a system of equations closely resembling the hydrodynamic ones. Solving the M1 scheme is still mathematically challenging, since it is necessary to model the radiation-matter interaction in regimes where the evolution equations become stiff and behave as an advection-diffusion problem. Here, we present different global, high-order time integration schemes based on Implicit-Explicit Runge-Kutta methods designed to overcome the time-step restriction caused by such behavior while allowing us to use the explicit Runge-Kutta commonly employed for the magneto-hydrodynamics and Einstein equations. Finally, we analyze their performance in several numerical tests.

High order asymptotic preserving finite difference WENO schemes with constrained transport for MHD equations in all sonic Mach numbers

In this paper, a high-order semi-implicit (SI) asymptotic preserving (AP) and divergence-free finite difference weighted essentially nonoscillatory (WENO) scheme is proposed for magnetohydrodynamic (MHD) equations. We consider the sonic Mach number ε ranging from 0 to O(1). High-order accuracy in time is obtained by SI implicit-explicit Runge–Kutta (IMEX-RK) time discretization. High-order accuracy in space is achieved by finite difference WENO schemes with characteristic-wise reconstructions. A constrained transport method is applied to maintain a discrete divergence-free condition. We formally prove that the scheme is AP. Asymptotic accuracy (AA) in the incompressible MHD limit is obtained if the implicit part of the SI IMEX-RK scheme is stiffly accurate. Numerical experiments are provided to validate the AP, AA, and divergence-free properties of our proposed approach. Besides, the scheme can well capture discontinuities such as shocks in an essentially non-oscillatory fashion in the compressible regime, while it is also a good incompressible solver with uniform large-time step conditions in the low sonic Mach limit.