Super Time Stepping Research Articles

Advancing parabolic operators in thermodynamic MHD models II: Evaluating a Practical Time Step Limit for Unconditionally Stable Methods

Unconditionally stable time stepping schemes are useful and often practically necessary for advancing parabolic operators in multi-scale systems. However, serious accuracy problems may emerge when taking time steps that far exceed the explicit stability limits. In our previous work, we compared the accuracy and performance of advancing parabolic operators in a thermodynamic MHD model using an implicit method and an explicit super time-stepping (STS) method. We found that while the STS method outperformed the implicit one with overall good results, it was not able to damp oscillatory behavior in the solution efficiently, hindering its practical use. In this follow-up work, we evaluate an easy-to-implement method for selecting a practical time step limit (PTL) for unconditionally stable schemes. This time step is used to ‘cycle’ the operator-split thermal conduction and viscosity parabolic operators. We test the new time step with both an implicit and STS scheme for accuracy, performance, and scaling. We find that, for our test cases here, the PTL dramatically improves the STS solution, matching or improving the solution of the original implicit scheme, while retaining most of its performance and scaling advantages. The PTL shows promise to allow more accurate use of unconditionally stable schemes for parabolic operators and reliable use of STS methods.

Comparison of Finite Difference Schemes for Fluid Flow in Unsaturated Porous Medium (Soil)

Water movement in an unsaturated porous medium (soil) can be expressed by Richards equation with the mass conservation law and Darcy-Buckingham's law. This equation can be expressed in three different forms as pressure head-based, moisture content based and mixed from. In this study, we solve one dimensional Richards Equation in mixed form numerically using finite difference method with various time-stepping schemes: Forward Euler, Backward Euler, Crank-Nicolson and a Stabilized Runge-Kutta-Legendre Super Time-Stepping and we compare their performances using Dirichlet boundary condition on an isotropic homogeneous vertical soil column.

An Explicit Stabilized Runge–Kutta–Legendre Super Time-Stepping Scheme for the Richards Equation

We solve one-dimensional Kirchhof transformed Richards equation numerically using finite difference method with various time-stepping schemes, forward in time central in space (FTCS), backward in time central in space (BTCS), Crank–Nicolson (CN), and a stabilized Runge–Kutta–Legendre super time-stepping (RKL), and compare their performances.

Super-Time-Stepping Scheme for Option Pricing

We solve the Black - Scholes equation for option pricing numerically using an Explicit finite difference method. To overcome the stability restriction of the explicit scheme for parabolic partial differential equations in the time step size Courant-Friedrichs-Lewy (CFL) condition, we employ a Super Time Stepping (STS) strategy based on modified Chebyshev polynomial. The numerical results show that the STS scheme boasts of large efficiency gains compared to the standard explicit Euler method.

Ambipolar diffusion in the Bifrost code

Context. Ambipolar diffusion is a physical mechanism related to the drift between charged and neutral particles in a partially ionized plasma that is key to many different astrophysical systems. However, understanding its effects is challenging due to basic uncertainties concerning relevant microphysical aspects and the strong constraints it imposes on the numerical modeling. Aims. Our aim is to introduce a numerical tool that allows us to address complex problems involving ambipolar diffusion in which, additionally, departures from ionization equilibrium are important or high resolution is needed. The primary application of this tool is for solar atmosphere calculations, but the methods and results presented here may also have a potential impact on other astrophysical systems. Methods. We have developed a new module for the stellar atmosphere Bifrost code that improves its computational capabilities of the ambipolar diffusion term in the generalized Ohm’s law. This module includes, among other things, collision terms adequate to processes in the coolest regions in the solar chromosphere. As the main feature of the module, we have implemented the super time stepping (STS) technique, which allows an important acceleration of the calculations. We have also introduced hyperdiffusion terms to guarantee the stability of the code. Results. We show that to have an accurate value for the ambipolar diffusion coefficient in the solar atmosphere it is necessary to include as atomic elements in the equation of state not only hydrogen and helium, but also the main electron donors like sodium, silicon, and potassium. In addition, we establish a range of criteria to set up an automatic selection of the free parameters of the STS method that guarantees the best performance, optimizing the stability and speed for the ambipolar diffusion calculations. We validate the STS implementation by comparison with a self-similar analytical solution.

Critical assessment of efficient numerical methods for a long-term simulation of heat and moisture transfer in porous materials

The issue to predict the behavior of building materials during wide horizons of time is still challenging. Experimental set-ups, since they require to perform tests for several years, are costly, never at the full scale and inconvenient. Building Performance Simulation (BPS) programs are designed to perform predictions on computational machines and cut experimental costs significantly. Nonetheless, in the recent review of state–of–the–art, it was indicated that despite the wide range of programs, there are still some drawbacks in terms of the accuracy and the high computational cost. This paper investigates the application of an innovative numerical method, called Super–Time–Stepping (STS) method. It allows performing accurate simulations with time-steps much larger than with standard explicit approaches. These “super” time-steps also enable us to reduce the computational cost. In addition to that, the design of the method allows easier application for models in higher dimensions and with nonlinear parameters. The efficiency of the method is tested on linear and nonlinear academic cases. Further study for the reliability of the model is performed on an experimental case study. The experiment has been carried out on a rammed earth wall during almost 14 months. Obtained data is presented in this article and implemented into proposed model. As a result of the case studies, it is shown that in comparison to the euler explicit method, the STS methods can cut costs by more than five times while maintaining high accuracy and efficiency. A very fine analysis of the physical phenomena is also performed.

MHDSTS: a new explicit numerical scheme for simulations of partially ionised solar plasma

The interaction of plasma with magnetic field in the partially ionised solar atmosphere is frequently modelled via a single-fluid approximation, which is valid for the case of a strongly coupled collisional media, such as solar photosphere and low chromosphere. Under the single-fluid formalism the main non-ideal effects are described by a series of extra terms in the generalised induction equation and in the energy conservation equation. These effects are: Ohmic diffusion, ambipolar diffusion, the Hall effect, and the Biermann battery effect. From the point of view of the numerical solution of the single-fluid equations, when ambipolar diffusion or Hall effects dominate can introduce severe restrictions on the integration time step and can compromise the stability of the numerical scheme. In this paper we introduce two numerical schemes to overcome those limitations. The first of them is known as super time-stepping (STS) and it is designed to overcome the limitations imposed when the ambipolar diffusion term is dominant. The second scheme is called the Hall diffusion scheme (HDS) and it is used when the Hall term becomes dominant. These two numerical techniques can be used together by applying Strang operator splitting. This paper describes the implementation of the STS and HDS schemes in the single-fluid codeMANCHA3D. The validation for each of these schemes is provided by comparing the analytical solution with the numerical one for a suite of numerical tests.

Scalable explicit implementation of anisotropic diffusion with Runge–Kutta–Legendre super-time stepping

An important ingredient in numerical modelling of high temperature magnetised astrophysical plasmas is the anisotropic transport of heat along magnetic field lines from higher to lower temperatures.Magnetohydrodynamics (MHD) typically involves solving the hyperbolic set of conservation equations along with the induction equation. Incorporating anisotropic thermal conduction requires to also treat parabolic terms arising from the diffusion operator. An explicit treatment of parabolic terms will considerably reduce the simulation time step due to its dependence on the square of the grid resolution ($\Delta x$) for stability. Although an implicit scheme relaxes the constraint on stability, it is difficult to distribute efficiently on a parallel architecture. Treating parabolic terms with accelerated super-time stepping (STS) methods has been discussed in literature but these methods suffer from poor accuracy (first order in time) and also have difficult-to-choose tuneable stability parameters. In this work we highlight a second order (in time) Runge Kutta Legendre (RKL) scheme (first described by Meyer et. al. 2012) that is robust, fast and accurate in treating parabolic terms alongside the hyperbolic conversation laws. We demonstrate its superiority over the first order super time stepping schemes with standard tests and astrophysical applications. We also show that explicit conduction is particularly robust in handling saturated thermal conduction. Parallel scaling of explicit conduction using RKL scheme is demonstrated up to more than $10^4$ processors.

Advancing parabolic operators in thermodynamic MHD models: Explicit super time-stepping versus implicit schemes with Krylov solvers

We explore the performance and advantages/disadvantages of using unconditionally stable explicit super time-stepping (STS) algorithms versus implicit schemes with Krylov solvers for integrating parabolic operators in thermodynamic MHD models of the solar corona. Specifically, we compare the second-order Runge-Kutta Legendre (RKL2) STS method with the implicit backward Euler scheme computed using the preconditioned conjugate gradient (PCG) solver with both a point-Jacobi and a non-overlapping domain decomposition ILU0 preconditioner. The algorithms are used to integrate anisotropic Spitzer thermal conduction and artificial kinematic viscosity at time-steps much larger than classic explicit stability criteria allow. A key component of the comparison is the use of an established MHD model (MAS) to compute a real-world simulation on a large HPC cluster. Special attention is placed on the parallel scaling of the algorithms. It is shown that, for a specific problem and model, the RKL2 method is comparable or surpasses the implicit method with PCG solvers in performance and scaling, but suffers from some accuracy limitations. These limitations, and the applicability of RKL methods are briefly discussed.

PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS

We present an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, called Super-Time-Stepping (STS). The technique is applied to the two-factor problem of option pricing under stochastic volatility. It is shown to significantly reduce the severity of the stability constraint known as the Courant-Friedrichs-Lewy condition whilst retaining the simplicity of the chosen underlying explicit method. For European and American put options under Heston's stochastic volatility model we demonstrate degrees of acceleration over standard explicit methods sufficient to achieve comparable, or superior, efficiency to benchmark implicit schemes. We conclude that STS accelerated methods are powerful numerical tools for the pricing of options which inherit the simplicity of explicit methods whilst achieving high accuracy at low computational cost and offer a compelling alternative to conventional implicit techniques.

A second-order accurate Super TimeStepping formulation for anisotropic thermal conduction

Astrophysical fluid dynamical problems rely on efficient numerical solution techniques for hyperbolic and parabolic terms. Efficient techniques are available for treating the hyperbolic terms. Parabolic terms, when present, can dominate the time for evaluating the solution, especially when large meshes are used. This stems from the fact that the explicit time-step for parabolic terms is proportional to the square of the mesh size and can become unusually small when the mesh is large. Multigrid-Newton–Krylov methods can help, but usually require a large number of iterations to converge. Super TimeStepping schemes are an interesting alternative, because they permit one to take very large overall time-steps for the parabolic terms while using only a modest number of explicit time-steps. Super TimeStepping schemes of the type used in astrophysics have, so far, been only first-order accurate in time and prone to instabilities. In this paper, we present a Runge–Kutta method that is based on the recursion sequence for Legendre polynomials, called the RKL2 method. RKL2 is a time-explicit method that permits us to treat non-linear parabolic terms robustly and with large, second-order accurate time-steps. An s-stage RKL2 scheme permits us to take a time-step that is ∼s2 times larger than a single explicit, forward Euler time-step for the parabolic operator. This permits an s-fold gain in computational efficiency over explicit time-step sub-cycling. For modest values of ‘s’, the advantage can be substantial. The stability properties of the new schemes are explored and they are shown to be stable and positivity preserving for linear operators. We document the method as it is applied to the anisotropic thermal conduction operator for dilute, magnetized, astrophysical plasmas. Implementation-related details are discussed. The RKL2 Super TimeStepping scheme has been implemented in the riemann code for computational astrophysics. We explain the method for picking an s-stage RKL2 scheme for the parabolic terms and show how it can be integrated with a hyperbolic system solver. The method’s simplicity makes it very easy to retrofit the s-stage RKL2 scheme to any problem with a parabolic part when a well-formed spatial discretization is available. Several stringent test problems involving thermal conduction in astrophysical plasmas are presented and the method is shown to perform robustly and efficiently on all of them.

On the Acceleration of Explicit Finite Difference Methods for Option Pricing

Implicit finite difference methods are conventionally preferred over their explicit counterparts for the valuation of options. In large part the reason for this is a severe stability constraint known as the Courant-Friedrichs-Lewy (CFL) condition which limits the latters' efficiencies. Implicit methods, however, are difficult to implement for all but the most simple of pricing models whereas explicit techniques are easily adapted to complex problems. In this work we present an acceleration technique for explicit finite difference schemes called Super-Time-Stepping (STS) for the first time in a financial context. Furthermore, we introduce a novel method for describing the efficiencies of finite difference schemes as semi-empirical power laws relating the minimal walltime W required to attain a solution with an error of magnitude E. For European and American put option test cases we demonstrate degrees of acceleration over standard explicit methods resulting in efficiencies comparable, or superior, to a set of implicit scheme benchmarks. We conclude that STS is a powerful tool for the numerical pricing of options and propose it as the method-of-choice for exotic financial intruments such as those requiring multi-dimensional descriptions on adaptive meshes.

A three-dimensional numerical method for modelling weakly ionized plasmas

Astrophysical fluids under the influence of magnetic fields are often subjected to single-fluid or two-fluid approximations. In the case of weakly ionized plasmas however, this can be inappropriate due to distinct responses from the multiple constituent species to both collisional and non-collisional forces. As a result, in dense molecular clouds and proto-stellar accretion discs for instance, the conductivity of the plasma may be highly anisotropic leading to phenomena such as Hall and ambipolar diffusion strongly influencing the dynamics. Diffusive processes are known to restrict the stability of conventional numerical schemes which are not implicit in nature. Furthermore, recent work establishes that a large Hall term can impose an additional severe stability limit on standard explicit schemes. Following a previous paper which presented the one-dimensional case, we describe a fully three-dimensional method which relaxes the normal restrictions on explicit schemes for multifluid processes. This is achieved by applying the little known Super TimeStepping technique to the symmetric (ambipolar) component of the evolution operator for the magnetic field in the local plasma rest-frame, and the new Hall Diffusion Scheme to the skew-symmetric (Hall) component.

An explicit scheme for multifluid magnetohydrodynamics

When modeling astrophysical fluid flows, it is often appropriate to discard the canonical magnetohydrodynamic approximation thereby freeing the magnetic field to diffuse with respect to the bulk velocity field. As a consequence, however, the induction equation can become problematic to solve via standard explicit techniques. In particular, the Hall diffusion term admits fast-moving whistler waves which can impose a vanishing timestep limit. Within an explicit differencing framework, a multifluid scheme for weakly ionised plasmas is presented which relies upon a new approach to integrating the induction equation efficiently. The first component of this approach is a relatively unknown method of accelerating the integration of parabolic systems by enforcing stability over large compound timesteps rather than over each of the constituent substeps. This method, Super Time Stepping, proves to be very effective in applying a part of the Hall term up to a known critical value. The excess of the Hall term above this critical value is then included via a new scheme for pure Hall diffusion.

Multidomain pseudospectral time-domain algorithm based on super-time-stepping method

A new time-domain algorithm which combines the super-time-stepping (STS) method and the multidomain pseudospectral time-domain (PSTD) algorithm is presented. This algorithm not only maintains accuracy and flexibility of PSTD for an accurate treatment of arbitrarily curved objects but also relaxes the stability restriction for the explicit time integration scheme, establishing it for possible use in any implicit time integration scheme. Some numerical examples are given to illustrate the accuracy and efficiency of this proposed approach.