Implicit-explicit Runge-Kutta Research Articles

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.

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.

Uniform stability for local discontinuous Galerkin methods with implicit-explicit Runge-Kutta time discretizations for linear convection-diffusion equation

In this paper, we consider the linear convection-diffusion equation in one dimension with periodic boundary conditions, and analyze the stability of fully discrete methods that are defined with local discontinuous Galerkin (LDG) methods in space and several implicit-explicit (IMEX) Runge-Kutta methods in time. By using the forward temporal differences and backward temporal differences, respectively, we establish two general frameworks of the energy-method based stability analysis. From here, the fully discrete schemes being considered are shown to have monotonicity stability, i.e. the L 2 L^2 norm of the numerical solution does not increase in time, under the time step condition τ ≤ F ( h / c , d / c 2 ) \tau \le \mathcal {F}(h/c, d/c^2) , with the convection coefficient c c , the diffusion coefficient d d , and the mesh size h h . The function F \mathcal {F} depends on the specific IMEX temporal method, the polynomial degree k k of the discrete space, and the mesh regularity parameter. Moreover, the time step condition becomes τ ≲ h / c \tau \lesssim h/c in the convection-dominated regime and it becomes τ ≲ d / c 2 \tau \lesssim d/c^2 in the diffusion-dominated regime. The result is improved for a first order IMEX-LDG method. To complement the theoretical analysis, numerical experiments are further carried out, leading to slightly stricter time step conditions that can be used by practitioners. Uniform stability with respect to the strength of the convection and diffusion effects can especially be relevant to guide the choice of time step sizes in practice, e.g. when the convection-diffusion equations are convection-dominated in some sub-regions.

Locally structure-preserving div-curl operators for high order discontinuous Galerkin schemes

We propose a novel Structure-Preserving Discontinuous Galerkin (SPDG) operator that recovers at the discrete level the algebraic property related to the divergence of the curl of a vector field, which is typically referred to as div-curl problem. A staggered Cartesian grid is adopted in 3D, where the vector field is naturally defined at the corners of the control volume, while its curl is evaluated as a cell-centered quantity. Firstly, the curl operator is rewritten as the divergence of a tensor, hence allowing compatible finite difference schemes to be devised and to be proven to mimic the algebraic div-curl property. Successively, a high order DG divergence operator is built upon integration by parts, so that the structure-preserving finite difference div-curl operator is exactly retrieved for first order discretizations. We further demonstrate that the novel SPDG schemes are capable of obtaining a zero div-curl identity with machine precision from second up to sixth order accuracy. Curl-grad operators follow as a consequence. In a second part, we show the applicability of these SPDG methods by solving the incompressible Navier-Stokes equations written in vortex-stream formulation. This hyperbolic system deals with divergence-free involutions related to the velocity and vorticity field as well as to the stream function, thus it provides an ideal setting for the validation of the novel schemes. A compatible discretization of the numerical viscosity is also proposed in order to maintain the structure-preserving property of the div-curl DG operators even in the presence of artificial or physical dissipative terms. Finally, to overcome the time step restriction dictated by the viscous sub-system, Implicit-Explicit (IMEX) Runge-Kutta time stepping techniques are tailored to handle the SPDG framework. Numerical examples show that the theoretical order of convergence is reached by this new class of methods, and prove the exact preservation of the incompressibility constraint.

New RK type time-integration methods for stiff convection–diffusion–reaction systems

Convection–diffusion–reaction equations (CDREs) are extensively used to model the various physical processes, which are generally stiff in both reaction and diffusion terms. This paper discusses a new class of implicit–explicit Runge–Kutta (IMEX RK) type methods for numerical simulations of the convection–diffusion–reaction systems. The developed approach does not need to invert the coefficient matrix, despite being implicit in nature. The Fourier stability analysis is performed to gauge the properties of the developed methods using one- and two-dimensional scalar CDRE as model systems. Additionally, numerical simulation of the one-dimensional inhomogeneous linear CDRE, contaminant transport with kinetic Langmuir sorption model, and two-dimensional chemotaxis model that incorporates volume-filling effect and nonlinear diffusion are used to validate the effectiveness and robustness of the developed methods. The numerical solutions match the exact solutions discussed in the literature very well.

Charge diffusion in relativistic resistive second-order dissipative magnetohydrodynamics

We study charge diffusion in relativistic resistive second-order dissipative magnetohydrodynamics. In this theory, charge diffusion is not simply given by the standard Navier-Stokes form of Ohm's law, but by an evolution equation which ensures causality and stability. This, in turn, leads to transient effects in the charge diffusion current, the nature of which depends on the particular values of the electrical conductivity and the charge-diffusion relaxation time. The ensuing equations of motion are of so-called stiff character, which requires special care when solving them numerically. To this end, we specifically develop an implicit-explicit Runge-Kutta method for solving relativistic resistive second-order dissipative magnetohydrodynamics and subject it to various tests. We then study the system's evolution in a simplified 1+1-dimensional scenario for a heavy-ion collision, where matter and electromagnetic fields are assumed to be transversely homogeneous, and investigate the cases of an initially non-expanding fluid and a fluid initially expanding according to a Bjorken scaling flow. In the latter case, the scale invariance is broken by the ensuing self-consistent dynamics of matter and electromagnetic fields. However, the breaking becomes quantitatively important only if the electromagnetic fields are sufficiently strong. The breaking of scale invariance is larger for smaller values of the conductivity. Aspects of entropy production from charge diffusion currents and stability are also discussed.

Unified preserving properties of kinetic schemes.

The kinetic theory provides a physical basis for developing multiscale methods for gas flows covering a wide range of flow regimes. A particular challenge for kinetic schemes is whether they can capture the correct hydrodynamic behaviors of the system in the continuum regime (i.e., as the Knudsen number ε≪1) without enforcing kinetic scale resolution. At the current stage, the main approach to analyze such a property is the asymptotic preserving (AP) concept, which aims to show whether a kinetic scheme reduces to a solver for the hydrodynamic equationsas ε→0, such as the shock capturing scheme for the Euler equations. However, the detailed asymptotic properties of the kinetic scheme are indistinguishable when ε is small but finite under the AP framework. To distinguish different characteristics of kinetic schemes, in this paper we introduce the concept of unified preserving (UP) aiming at assessing asymptotic orders of a kinetic scheme by employing the modified equationapproach and Chapman-Enskon analysis. It is shown that the UP properties of a kinetic scheme generally depend on the spatial and temporal accuracy and closely on the interconnections among three scales (kinetic scale, numerical scale, and hydrodynamic scale) and their corresponding coupled dynamics. Specifically, the numerical resolution and specific discretization of particle transport and collision determine the flow physics of the scheme in different regimes, especially in the near continuum limit. As two examples, the UP methodology is applied to analyze the discrete unified gas-kinetic scheme and a second-order implicit-explicit Runge-Kutta scheme in their asymptotic behaviors in the continuum limit.