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High-dimensional two-sided space fractional diffusion equations with variable diffusion coefficients are discussed. The problems can be solved by an implicit finite difference scheme that is proven to be uniquely solvable, unconditionally stable and first-order convergent in the infinity norm. A nonsingular multilevel circulant pre-conditoner is proposed to accelerate the convergence rate of the Krylov subspace linear system solver efficiently. The preconditoned matrix for fast convergence is a sum of the identity matrix, a matrix with small norm, and a matrix with low rank under certain conditions. Moreover, the preconditioner is practical, with an O(N logN) operation cost and O(N) memory requirement. Illustrative numerical examples are also presented.
This article is devoted to the study of some high-order difference schemes for the distributed-order time-fractional equations in both one and two space dimensions. Based on the composite Simpson formula and Lubich second-order operator, a difference scheme is constructed with convergence in the L1(L∞)-norm for the one-dimensional case, where τ,h and σ are the respective step sizes in time, space and distributed-order. Unconditional stability and convergence are proven. An ADI difference scheme is also derived for the two-dimensional case, and proven to be unconditionally stable and convergent in the L1(L∞)-norm, where h1 and h2 are the spatial step sizes. Some numerical examples are also given to demonstrate our theoretical results.
An efficient adaptive time stepping method is proposed for transient dynamic response analysis, which is frequently encountered in civil engineering and elsewhere. The reduced problem following the spatial discretisation can be discretised in the time by a C0-continuous discontinuous Galerkin method, and the adaptive time stepping strategy is based on optimal a posteriori error estimates developed using the energy method. Some numerical experiments demonstrate the effectiveness of our approach.
Various numerical methods have been developed in order to solve complex systems with uncertainties, and the stochastic collocation method using l1-minimisation on low discrepancy point sets is investigated here. Halton and Sobol' sequences are considered, and low discrepancy point sets and random points are compared. The tests discussed involve a given target function in polynomial form, high-dimensional functions and a random ODE model. Our numerical results show that the low discrepancy point sets perform as well or better than random sampling for stochastic collocation via l1-minimisation.
A generalized preconditioned modified Hermitian and skew-Hermitian splitting (GPMHSS) real-valued iteration method is proposed for a class of complex symmetric indefinite linear systems. Convergence theory is established and the spectral properties of an associated preconditioned matrix are analyzed. We also give several variants of the GPMHSS preconditioner and consider the spectral properties of the preconditioned matrices. Numerical examples illustrate the effectiveness of our proposed method.
We consider perturbation bounds and condition numbers for a complex indefinite linear algebraic system, which is of interest in science and engineering. Some existing results are improved, and illustrative numerical examples are provided.
An optimal selection problem for bid and ask quotes subject to a stock inventory constraint is investigated, formulated as a constrained utility maximisation problem over a finite time horizon. The arrivals of buy and sell orders are governed by Poisson processes, and a diffusion approximation is employed on assuming the Poisson arrivals intensity is sufficiently large. Using the dynamic programming principle, we adopt an efficient numerical procedure to solve this constrained utility maximisation problem based on a successive approximation algorithm, and conduct numerical experiments to analyse the impacts of the inventory constraint on a dealer's terminal profit and stock inventory level. It is found that the stock inventory constraint significantly affects the terminal stock inventory level.