Methods For Differential Equations Research Articles

Convergence of Modified Truncated Euler-Maruyama Method for Stochastic Differential Equations with Hölder Diffusion Coefficients

Convergence of Modified Truncated Euler-Maruyama Method for Stochastic Differential Equations with Hölder Diffusion Coefficients

Continuous-discrete extended Kalman filtering based on the neural ordinary differential equations method

In bearings-only tracking (BOT), the accuracy of state estimation significantly diminishes when confronted with an unknown target motion model. Therefore, this study proposed a novel continuous-discrete filtering algorithm, the neural ordinary differential equations-based continuous-discrete extended Kalman filtering (NODE-CD-EKF). The approach utilizes the neural ordinary differential equation (NODE) to build the target's system model, which is then used in the time update to precisely predict the target state at the next time point within the continuous-discrete Kalman framework. The NODE concisely and accurately describes the motion model in the form of ordinary differential equations in a data-driven way. This approach addresses the limitations of traditional Kalman filters, which suffer from degraded performance due to a lack of a precise mathematical model of target states. Our method is evaluated and compared to existing multiple-model and other data-driven algorithms in simulations of BOT and another scenario using the Accumulated Root Mean Square Error (ARMSE) of position. The ARMSE of our method is only 16.30 % of the multiple-model methods at least. Overall, this approach outperforms other multiple-model and data-driven algorithms and possesses the potential for solving other nonlinear tasks in real-world applications.

Finite Elements with Switch Detection for direct optimal control of nonsmooth systems

AbstractThis paper introduces Finite Elements with Switch Detection (FESD), a numerical discretization method for nonsmooth differential equations. We consider the Filippov convexification of these systems and a transformation into dynamic complementarity systems introduced by Stewart (Numer Math 58(1):299–328, 1990). FESD is based on solving nonlinear complementarity problems and can automatically detect nonsmooth events in time. If standard time-stepping Runge–Kutta (RK) methods are naively applied to a nonsmooth ODE, the accuracy is at best of order one. In FESD, we let the integrator step size be a degree of freedom. Additional complementarity conditions, which we call cross complementarities, enable exact switch detection, hence FESD can recover the high order accuracy that the RK methods enjoy for smooth ODE. Additional conditions called step equilibration allow the step size to change only when switches occur and thus avoid spurious degrees of freedom. Convergence results for the FESD method are derived, local uniqueness of the solution and convergence of numerical sensitivities are proven. The efficacy of FESD is demonstrated in several simulation and optimal control examples. In an optimal control problem benchmark with FESD, we achieve up to five orders of magnitude more accurate solutions than a standard time-stepping approach for the same computational time.

Analysis of Natural Daftardar–Jafari Method for Fractional Delay Differential Equations

Analysis of Natural Daftardar–Jafari Method for Fractional Delay Differential Equations

An adaptive certified space-time reduced basis method for nonsmooth parabolic partial differential equations

In this paper, a nonsmooth semilinear parabolic partial differential equation (PDE) is considered. For a reduced basis (RB) approach, a space-time formulation is used to develop a certified a-posteriori error estimator. This error estimator is adopted to the presence of the discrete empirical interpolation method (DEIM) as approximation technique for the nonsmoothness. The separability of the estimated error into an RB and a DEIM part then guides the development of an adaptive RB-DEIM algorithm, combining both offline phases into one. Numerical experiments show the capabilities of this novel approach in comparison with classical RB and RB-DEIM approaches.

Near mass-shell double boxes

Two-loop multi-leg form factors in off-shell kinematics require knowledge of planar and nonplanar double box Feynman diagrams with massless internal propagators. These are complicated functions of Mandelstam variables and external particle virtualities. The latter serve as regulators of infrared divergences, thus making these observables finite in four space-time dimensions. In this paper, we use the method of canonical differential equations for the calculation of (non)planar double box integrals in the near mass-shell kinematical regime, i.e., where virtualities of external particles are much smaller than the Mandelstam variables involved. We deduce a basis of master integrals with uniform transcendental weight based on the analysis of leading singularities employing the Baikov representation as well as an array of complementary techniques. We dub the former asymptotically canonical since it is valid in the near mass-shell limit of interest. We iteratively solve resulting differential equations up to weight four in terms of multiple polylogarithms.

Higher-loop integrated negative geometries in ABJM

In the three-dimensional \\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$\\mathcal{N}$$\\end{document} = 6 Chern-Simons matter (ABJM) theory, the integrand for the logarithm of the scattering amplitude admits a decomposition in terms of negative geometries, which implies that all the infrared divergences concentrate in the last loop integration. We compute the infrared-finite functions that arise from performing a three-loop integration over the four-loop integrand for the logarithm of the four-point amplitude, for which we use the method of differential equations. Our results provide a direct computation of the four-loop cusp anomalous dimension of the theory, in agreement with the current all-loop integrability-based proposal. We find an apparent simplicity in the leading singularities of the integrated results, provided one works in the frame in which the unintegrated loop variable goes to infinity. Finally, our results suggest an alternating sign pattern for the integrated negative geometries in the Euclidean region.

A Collocation Method for Nonlinear Stochastic Differential Equations Driven by Fractional Brownian Motion and its Application to Mathematical Finance

A Collocation Method for Nonlinear Stochastic Differential Equations Driven by Fractional Brownian Motion and its Application to Mathematical Finance

Alleviated Shifted Gegenbauer Spectral Method for Ordinary and Fractional Differential Equations

This article introduces two numerical methods to address boundary value problems associated with secondorder and fractional differential equations. These methods employ two parameters related to shifted Gegenbauer polynomials as their basis functions. The process involves establishing a differentiation operational matrix for the shifted Gegenbauer polynomials. Subsequently, the initial/boundary value problems for ordinary and fractional differential equations are transformed into a system of equations through the Galerkin, collocation, and tau methods. The convergence analysis is ensured by leveraging theorems pertaining to the shifted Gegenbauer polynomials. To validate the accuracy of the approach, numerous numerical examples are presented.

Analog quantum simulation of partial differential equations

Abstract Quantum simulators were originally proposed for simulating one partial differential equation in particular -- Schrodinger's equation. Can quantum simulators also efficiently simulate other partial differential equations? While most computational methods for partial differential equations -- both classical and quantum -- are digital (they must be discretised first), partial differential equations have continuous degrees of freedom. This suggests that an analog representation can be more natural. While digital quantum degrees of freedom are usually described by qubits, the analog or continuous quantum degrees of freedom can be captured by qumodes. Based on a method called Schrodingerisation, we show how to directly map D-dimensional linear partial differential equations onto a (D+1)-qumode quantum system where analog or continuous-variable Hamiltonian simulation on D+1 qumodes can be used. This very simple methodology does not require one to discretise partial differential equations first, and it is not only applicable to linear partial differential equations but also to some nonlinear partial differential equations and systems of nonlinear ordinary differential equations. We show some examples using this method, including the Liouville equation, heat equation, Fokker-Planck equation, Black-Scholes equations, wave equation and Maxwell's equations. We also devise new protocols for linear partial differential equations with random coefficients, important in uncertainty quantification, where it is clear how the analog or continuous-variable framework is most natural. This also raises the possibility that some partial differential equations may be simulated directly on analog quantum systems by using Hamiltonians natural for those quantum systems.

Two-loop non-planar four-point topology with massive internal loop

We study a set of two-loop non-planar master integrals needed for the NNLO QCD corrections to diphoton and dijet production at hadron colliders. The top-sector topology contains an internal massive fermion loop and is known to contain elliptic curves. Leveraging the method of differential equations, we provide a comprehensive discussion for deriving an ϵ-factorized differential equation related to the most intricate sector within the Feynman integral family. Despite the dependence on multiple scales and the presence of two elliptic sectors, we demonstrate how to leverage the properties of their maximal cuts and the factorization of the Picard-Fuchs operator to deal with the complexity of the analytic computation. In particular, we construct a transformation matrix that brings the differential equations into a format enabling the convenient expression of analytic results in terms of Chen’s iterated integrals.

On the convergence of the Galerkin method for random fractional differential equations

On the convergence of the Galerkin method for random fractional differential equations

On minimum vertex bisection of random d-regular graphs

Minimum vertex bisection is a graph partitioning problem in which the aim is to find a partition of the vertices into two equal parts that minimizes the number of vertices in one partition set that has a neighbor in the other set. In this work we are interested in providing asymptotically almost surely upper bounds on the minimum vertex bisection of random d-regular graphs, for constant values of d. Our approach is based on analyzing a greedy algorithm by using the Differential Equations Method. In this way, we obtain the first known non trivial upper bounds for the vertex bisection number in random regular graphs. The numerical approximations of these theoretical bounds are compared with the emprical ones, and with the lower bounds from Kolesnik and Wormald (2014) [30].

Tamed Stochastic Runge-Kutta-Chebyshev Methods for Stochastic Differential Equations with Non-Globally Lipschitz Coefficients

Tamed Stochastic Runge-Kutta-Chebyshev Methods for Stochastic Differential Equations with Non-Globally Lipschitz Coefficients

Galerkin-Finite Difference Method for Fractional Parabolic Partial Differential Equations

Galerkin-Finite Difference Method for Fractional Parabolic Partial Differential Equations

Convergence order of one point large deviations rate functions for backward Euler method of stochastic delay differential equations with small noise

The present work focuses on the convergence order of one point large deviations rate functions for the backward Euler method of stochastic delay differential equations (SDDEs) with small noise. The drift and diffusion coefficients of SDDEs are allowed to grow super-linearly with respect to both the state variables and the delay variables. It is shown that the backward Euler method satisfies the one point large deviations principle (LDP) with good rate function. Further, the local uniform convergence orders of the one point large deviations rate function are derived by means of the equivalent characterizations for the original and numerical rate functions. These theoretical results are finally supported by a series of numerical experiments.

A SHORT SOLUTION OF THE LOCAL FRACTIONAL (2+1)-DIMENSIONAL DISPERSIVE LONG WATER WAVE SYSTEM

In this paper, a local fractional Riccati differential equation method is applied. A new travelling wave solution to the nonlinear local fractional [Formula: see text]-dimensional dispersive long water wave system is investigated. After travelling wave transformation, the governing model studied is converted into nonlinear ordinary differential equation. Some properties with the strain conditions are also reported.

A Streamline Upwind Petrov-Galerkin Reduced Order Method for Advection-Dominated Partial Differential Equations Under Optimal Control

Abstract In this paper we will consider distributed Linear-Quadratic Optimal Control Problems dealing with Advection-Diffusion PDEs for high values of the Péclet number. In this situation, computational instabilities occur, both for steady and unsteady cases. A Streamline Upwind Petrov–Galerkin technique is used in the optimality system to overcome these unpleasant effects. We will apply a finite element method discretization in an optimize-then-discretize approach. Concerning the parabolic case, a stabilized space-time framework will be considered and stabilization will also occur in both bilinear forms involving time derivatives. Then we will build Reduced Order Models on this discretization procedure and two possible settings can be analyzed: whether or not stabilization is needed in the online phase, too. In order to build the reduced bases for state, control, and adjoint variables we will consider a Proper Orthogonal Decomposition algorithm in a partitioned approach. It is the first time that Reduced Order Models are applied to stabilized parabolic problems in this setting. The discussion is supported by computational experiments, where relative errors between the FEM and ROM solutions are studied together with the respective computational times.

Runge-Kutta Method Based on the Linear Combination of Arithmetic Mean, Geometric Mean, and Centroidal Mean: A Numerical Solution for the Hybrid Fuzzy Differential Equation

Objectives: To find the absolute error of the Hybrid fuzzy differential equation with triangular fuzzy number since its membership function has a triangular form. Methods: The third order runge-kuttta method based on the linear combination of Arithmetic mean, Geometric mean and Centroidal mean is introduced to solve Hybrid fuzzy differential equation. Seikkala’s derivatives are considered, and Numerical example is given to demonstrate the effectiveness of the proposed method. Findings: The comparative study have been done between the proposed method and the existing third order runge-kutta method based on Arithmetic mean. The proposed method gives better error tolerance than the third order runge-kutta method based on Arithmetic mean. Novelty: In this study a new formula has been developed by combining three means Arithmetic Mean, Geometric Mean and Centroidal Mean using Khattri’s formula and it is solved by the third order runge-kutta method for the first order hybrid fuzzy differential equation. The error tolerance has been calculated for the proposed method and the Arithmetic mean and it is seen that the error tolerance is better for the proposed method. Keywords: Hybrid fuzzy differential equations, Triangular fuzzy number, Seikkala’s derivative, Third order runge-kutta method, Initial value problem

The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations

The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations