Number Of Grid Points In Space Research Articles

OpenMP Fortran programs for solving the time-dependent dipolar Gross-Pitaevskii equation

OpenMP Fortran programs for solving the time-dependent dipolar Gross-Pitaevskii equation

A Fast Preconditioned Semi-Implicit Difference Scheme for Strongly Nonlinear Space-Fractional Diffusion Equations

In this paper, we propose a semi-implicit difference scheme for solving one-dimensional nonlinear space-fractional diffusion equations. The method is first-order accurate in time and second-order accurate in space. It uses a fractional central difference formula and the backward Euler method to approximate its space and time derivatives, respectively. Stability and convergence properties of the proposed scheme are proved with the help of a discrete Grönwall inequality. Moreover, we extend the method to the solution of two-dimensional nonlinear models. A fast matrix-free implementation based on preconditioned Krylov subspace methods is presented for solving the discretized linear systems. The resulting fast preconditioned semi-implicit difference scheme reduces the memory requirement of conventional semi-implicit difference schemes from O(Ns2) to O(Ns) and the computational complexity from O(Ns3) to O(NslogNs) in each iterative step, where Ns is the number of space grid points. Experiments with two numerical examples are shown to support the theoretical findings and to illustrate the efficiency of our proposed method.

The numerical simulation of the tempered fractional Black–Scholes equation for European double barrier option

In recent years, the Finite Moment Log Stable(FMLS), KoBoL and CGMY models, which follow a jump process or a Lévy process, have become the most popular modeling frameworks in the financial field because they can capture some of the important characteristics in the dynamic process of stock price changes, such as large movements or jumps over small time steps. In this paper, we consider the numerical simulation of these three models. We construct a discrete implicit numerical scheme with second order accuracy, and provide a stability and convergence analysis of the numerical scheme. Furthermore, a fast bi-conjugate gradient stabilized method (FBi-CGSTAB) is used to reduce the storage space from O(M2) to O(M) and the computational cost from O(M3) to O(Mlog M) per iteration, where M is the number of space grid points. Some numerical examples are chosen in order to demonstrate the accuracy and efficiency of the proposed method and technique. Finally, as an application, we use the above numerical technique to price a European double-knock-out barrier option, and then the characteristics of the three fractional Black–Scholes (B–S) models are analyzed through comparison with the classical B–S model.

Computational Challenge of Fractional Differential Equations and the Potential Solutions: A Survey

We present a survey of fractional differential equations and in particular of the computational cost for their numerical solutions from the view of computer science. The computational complexities of time fractional, space fractional, and space-time fractional equations areO(N2M),O(NM2), andO(NM(M+N)) compared withO(MN) for the classical partial differential equations with finite difference methods, whereM,Nare the number of space grid points and time steps. The potential solutions for this challenge include, but are not limited to, parallel computing, memory access optimization (fractional precomputing operator), short memory principle, fast Fourier transform (FFT) based solutions, alternating direction implicit method, multigrid method, and preconditioner technology. The relationships of these solutions for both space fractional derivative and time fractional derivative are discussed. The authors pointed out that the technologies of parallel computing should be regarded as a basic method to overcome this challenge, and some attention should be paid to the fractional killer applications, high performance iteration methods, high order schemes, and Monte Carlo methods. Since the computation of fractional equations with high dimension and variable order is even heavier, the researchers from the area of mathematics and computer science have opportunity to invent cornerstones in the area of fractional calculus.

A pseudo‐spectral method that uses an overlapping multidomain technique for the numerical solution of sine‐Gordon equation in one and two spatial dimensions

In this article, we study an explicit scheme for the solution of sine‐Gordon equation when the space discretization is carried out by an overlapping multidomain pseudo‐spectral technique. By using differentiation matrices, the equation is reduced to a nonlinear system of ordinary differential equations in time that can be discretized with the explicit fourth‐order Runge–Kutta method. To achieve approximation with high accuracy in large domains, the number of space grid points must be large enough. This yields very large and full matrices in the pseudo‐spectral method that causes large memory requirements. The domain decomposition approach provides sparsity in the matrices obtained after the discretization, and this property reduces storage for large matrices and provides economical ways of performing matrix–vector multiplications. Therefore, we propose a multidomain pseudo‐spectral method for the numerical simulation of the sine‐Gordon equation in large domains. Test examples are given to demonstrate the accuracy and capability of the proposed method. Numerical experiments show that the multidomain scheme has an excellent long‐time numerical behavior for the sine‐Gordon equation in one and two dimensions. Copyright © 2013 John Wiley & Sons, Ltd.

Use of dynamically adaptive grid techniques for the solution of electrochemical kinetic equations: Part 1. Introductory exploration of the finite-difference adaptive moving grid solution of the one-dimensional fast homogeneous reaction-diffusion problem with a reaction layer

An effective finite difference solution of extremely fast homogeneous reaction-diffusion problems in electrochemical kinetics might well be achieved by using dynamically adaptive grid techniques, instead of considering limiting cases resulting from steady- state or equilibrium assumptions and traditional calculations on fixed grids. A simple adaptive moving-grid strategy has been applied to the example of linear potential scan voltammetry and a catalytic mechanism in one-dimensional geometry. Although not entirely satisfactory at present, the strategy permits homogeneous rate constants greater by as much as 20 orders of magnitude than the maximum possible values in corresponding fixed-grid calculations using the same number of space grid points at not much greater computational cost.