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在准静态弹性力学中常遇到求解带有非局部边界条件的抛物方程初边值问题.本文构造了一个数值求解带有非局部边界条件的非线性抛物方程的隐式差分格式,利用离散泛函分析的知识和不动点定理证明了差分解是存在的,且在离散最大模意义下关于时间步长一阶收敛,关于空间步长二阶收敛,并给出了数值算例. 相似文献
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时间分数阶期权定价模型(时间分数阶Black-Scholes方程)数值解法的研究具有重要的理论意义和实际应用价值.对时间分数阶Black-Scholes方程构造了显-隐格式和隐-显差分格式,讨论了两类格式解的存在唯一性,稳定性和收敛性.理论分析证实,显-隐格式和隐-显格式均为无条件稳定和收敛的,两种格式具有相同的计算量.数值试验表明:显-隐和隐-显格式的计算精度与经典Crank-Nicolson(C-N)格式的计算精度相当,其计算效率(计算时间)比C-N格式提高30%.数值试验验证了理论分析,表明本文的显-隐和隐-显差分方法对求解时间分数阶期权定价模型是高效的,证实了时间分数阶Black-Scholes方程更符合实际金融市场. 相似文献
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色散方程的一类新的并行交替分段隐格式 总被引:14,自引:0,他引:14
本文给出了一组逼近色散方程的非对称差分格式,并用这组格式和对称的Crank-Nicolson型格式构造了求解色散方程的并行交替分段差分隐格式.这个格式是无条件稳定的,能直接在并行计算机上使用.数值试验表明,这个格式有很好的精度. 相似文献
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本文首先分析线性Schroedinger方程一种高阶差分格式的构造方法,得到方程的耗散项.在此基础上对三次非线性Schroedinger方程,提出了一种精度为O(r^2 h^2)的差分格式,证明了该格式保持了连续方程的两个守恒量,且是收敛的与稳定的.并通过数值例子与已有隐格式进行了比较,结果表明,本文格式在计算量类似的情况下,提高了数值精度. 相似文献
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多项时间分数阶对流扩散方程在地下水运输,热传导,空气污染等领域有着广泛的应用,其数值方法的研究具有重要的科学意义和应用价值.针对多项时间分数阶对流扩散方程,基于经典的显式和隐式格式,文中构造一类显式-隐式(E-I)差分格式和隐式-显式(I-E)差分格式,利用傅里叶方法证明了这类格式的无条件稳定性()和Oτ2-α+h2(α=max{α0,α1,···,αm})阶收敛性.数值试验表明,E-I和I-E差分格式具有省时性,计算效率高于经典的隐式格式.同样,E-I和I-E差分格式适用于求()解具有初始奇性的多项时间分数阶对流扩散问题,格式的收敛阶为Oτα+h2.证实E-I和I-E差分格式求解多项时间分数阶对流扩散方程是高效的. 相似文献
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根据移位的Grnwald方法,得到求解分数阶扩散方程的三类隐差分格式.利用分数阶von Neumann方法,证明了求解亚扩散方程的两类差分格式是无条件稳定的,而求解超扩散方程的差分格式是条件稳定的,同时也给出了相应差分格式的局部截断误差估计.最后,通过两个数值例子证实了所提出的差分格式的正确性和有效性. 相似文献
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修正晶体相场模型是一类六阶非线性广义阻尼波动方程.首先,基于CrankNicolson格式,利用降阶方法对方程建立线性化隐式差分格式.非线性项通过二阶外推方法进行处理.其次,利用能量分析方法和数学归纳法,对差分格式进行理论分析,证明差分格式的唯一可解性及L~∞范数下的收敛性.收敛阶在时空方向均为二阶.最后,数值算例表明差分格式的有效性及数值收敛阶在L~∞范数下达到二阶. 相似文献
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考虑数值求解Heston随机波动率美式期权定价问题,通过在空间方向采用中心差分格式离散二维偏微分算子,在时间方向利用隐式交替方向格式,将美式期权定价问题转化成求解每个时间层上的若干个线性互补问题.针对一般美式期权定价模型离散得到的线性互补问题,构造出投影三角分解法进行求解,并在理论上给出算法的收敛条件.数值实验表明,所构造的数值方法对于求解美式期权定价问题是有效的,并且优于经典的投影超松弛迭代法和算子分裂方法. 相似文献
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The immersed boundary (IB) method is an approach to fluid-structure interaction that uses Lagrangian variables to describe the deformations and resulting forces of the structure and Eulerian variables to describe the motion and forces of the fluid. Explicit time stepping schemes for the IB method require solvers only for Eulerian equations, for which fast Cartesian grid solution methods are available. Such methods are relatively straightforward to develop and are widely used in practice but often require very small time steps to maintain stability. Implicit-time IB methods permit the stable use of large time steps, but efficient implementations of such methods require significantly more complex solvers that effectively treat both Lagrangian and Eulerian variables simultaneously. Several different approaches to solving the coupled Lagrangian-Eulerian equations have been proposed, but a complete understanding of this problem is still emerging. This paper presents a geometric multigrid method for an implicit-time discretization of the IB equations. This multigrid scheme uses a generalization of box relaxation that is shown to handle problems in which the physical stiffness of the structure is very large. Numerical examples are provided to illustrate the effectiveness and efficiency of the algorithms described herein. These tests show that using multigrid as a preconditioner for a Krylov method yields improvements in both robustness and efficiency as compared to using multigrid as a solver. They also demonstrate that with a time step 100–1000 times larger than that permitted by an explicit IB method, the multigrid-preconditioned implicit IB method is approximately 50–200 times more efficient than the explicit method. 相似文献
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The multigrid method is compared to ICCG/MICCG methods for solvingsymmetric systems of linear equations arising from approximationsto differential equations with jump discontinuities in the coefficients.An optimal multigrid algorithm for these types of problems isdeveloped. It includes pattern relaxation and acceleration.Optimization of ICCG/MICCG algorithms is investigated. Thisincludes the effect of adding extra (up to ten) bands to theapproximate factorization and of different grid ordering schemes.Numerical results are presented comparing the scalar work ofthe algorithms. For large problems the multigrid algorithm issuperior. The optimal multigrid scheme can be highly vectorized. 相似文献
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Finite difference method is an important methodology in the approximation of waves.
In this paper, we will study two implicit finite difference schemes
for the simulation of waves. They are the weighted
alternating direction implicit (ADI) scheme and the
locally one-dimensional (LOD) scheme. The approximation errors,
stability conditions, and dispersion relations for both schemes
are investigated. Our analysis shows that the LOD implicit scheme
has less dispersion error than that of the ADI scheme. Moreover, the
unconditional stability for both schemes with arbitrary spatial accuracy
is established for the first time. In order to improve
computational efficiency, numerical algorithms based on message
passing interface (MPI) are implemented. Numerical examples of wave propagation
in a three-layer model and a standard complex model are presented.
Our analysis and comparisons show that both ADI and LOD schemes
are able to efficiently and accurately simulate wave propagation
in complex media. 相似文献
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Frank C. Thames 《Applied mathematics and computation》1984,15(4):325-342
The multigrid algorithm was applied to solve the coupled set of elliptic quasilinear partial differential equations associated with three-dimensional coordinate generation. The results indicate that the multigrid scheme is more than twice as fast as conventional relaxation schemes on moderate-size grids. Convergence factors of order 0.90 per work unit were achieved on 36,000-point grids. The paper covers the form of transformation, develops the set of generation equations, and gives details on the multigrid approach used. Included are a development of the full-approximation storage scheme, details of the smoothing-rate analysis, and a section devoted to rational programming techniques applicable to the multigrid algorithm. 相似文献
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M. E. Ladonkina O. Yu. Milyukova V. F. Tishkin 《Computational Mathematics and Mathematical Physics》2010,50(8):1367-1390
A new numerical algorithm based on multigrid methods is proposed for solving equations of the parabolic type. Theoretical
error estimates are obtained for the algorithm as applied to a two-dimensional initial-boundary value model problem for the
heat equation. The good accuracy of the algorithm is demonstrated using model problems including ones with discontinuous coefficients.
As applied to initial-boundary value problems for diffusion equations, the algorithm yields considerable savings in computational
work compared to implicit schemes on fine grids or explicit schemes with a small time step on fine grids. A parallelization
scheme is given for the algorithm. 相似文献
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Nine‐point fourth‐order compact finite difference scheme, central difference scheme, and upwind difference scheme are compared for solving the two‐dimensional convection diffusion equations with boundary layers. The domain is discretized with a stretched nonuniform grid. A grid transformation technique maps the nonuniform grid to a uniform one, on which the difference schemes are applied. A multigrid method and a multilevel preconditioning technique are used to solve the resulting sparse linear systems. We compare the accuracy of the computed solutions from different discretization schemes, and demonstrate the relative efficiency of each scheme. Comparisons of maximum absolute errors, iteration counts, CPU timings, and memory cost are made with respect to the two solution strategies. © 2000 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 16: 379–394, 2000 相似文献
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We derive a fourth-order compact finite difference scheme for a two-dimensional elliptic problem with a mixed derivative and constant coefficients. We conduct experimental study on numerical solution of the problem discretized by the present compact scheme and the traditional second-order central difference scheme. We study the computed accuracy achieved by each scheme and the performance of the Gauss-Seidel iterative method, the preconditioned GMRES iterative method, and the multigrid method, for solving linear systems arising from the difference schemes. 相似文献
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Xia CuiJing-yan Yue Guang-wei Yuan 《Journal of Computational and Applied Mathematics》2011,235(12):3527-3540
A nonlinear finite difference scheme with high accuracy is studied for a class of two-dimensional nonlinear coupled parabolic-hyperbolic system. Rigorous theoretical analysis is made for the stability and convergence properties of the scheme, which shows it is unconditionally stable and convergent with second order rate for both spatial and temporal variables. In the argument of theoretical results, difficulties arising from the nonlinearity and coupling between parabolic and hyperbolic equations are overcome, by an ingenious use of the method of energy estimation and inductive hypothesis reasoning. The reasoning method here differs from those used for linear implicit schemes, and can be widely applied to the studies of stability and convergence for a variety of nonlinear schemes for nonlinear PDE problems. Numerical tests verify the results of the theoretical analysis. Particularly it is shown that the scheme is more accurate and faster than a previous two-level nonlinear scheme with first order temporal accuracy. 相似文献
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Korteweg-de Vries equation is a nonlinear evolutionary partial differential equation that is of third order in space. For the approximation to this equation with the initial and boundary value conditions using the finite difference method, the difficulty is how to construct matched finite difference schemes at all the inner grid points. In this paper, two finite difference schemes are constructed for the problem. The accuracy is second-order in time and first-order in space. The first scheme is a two-level nonlinear implicit finite difference scheme and the second one is a three-level linearized finite difference scheme. The Browder fixed point theorem is used to prove the existence of the nonlinear implicit finite difference scheme. The conservation, boundedness, stability, convergence of these schemes are discussed and analyzed by the energy method together with other techniques. The two-level nonlinear finite difference scheme is proved to be unconditionally convergent and the three-level linearized one is proved to be conditionally convergent. Some numerical examples illustrate the efficiency of the proposed finite difference schemes. 相似文献