Search results for "Multigrid method"
showing 10 items of 29 documents
Building blocks for odd–even multigrid with applications to reduced systems
2001
Abstract Building blocks yielding an efficient implementation of the odd–even multigrid method for the Poisson problem in the reference domain (0,1) d , d=2,3, are described. Modifications needed to transform these techniques to solve reduced linear systems representing boundary value problems in arbitrary domains are given. A new way to define enriched coarser subspaces in the multilevel realization is proposed. Numerical examples demonstrating the efficiency of developed multigrid methods are included.
Qualitative Theory of Differential Equations, Difference Equations, and Dynamic Equations on Time Scales
2016
We are pleased to present this special issue. This volume reflects an increasing interest in the analysis of qualitative behavior of solutions to differential equations, difference equations, and dynamic equations on time scales. Numerous applications arising in the engineering and natural sciences call for the development of new efficient methods and for the modification and refinement of known techniques that should be adjusted for the analysis of new classes of problems. The twofold goal of this special issue is to reflect both the state-of-the-art theoretical research and important recent advances in the solution of applied problems.
Two-level Schwarz method for unilateral variational inequalities
1999
The numerical solution of variational inequalities of obstacle type associated with second-order elliptic operators is considered. Iterative methods based on the domain decomposition approach are proposed for discrete obstacle problems arising from the continuous, piecewise linear finite element approximation of the differential problem. A new variant of the Schwarz methodology, called the two-level Schwarz method, is developed offering the possibility of making use of fast linear solvers (e.g., linear multigrid and fictitious domain methods) for the genuinely nonlinear obstacle problems. Namely, by using particular monotonicity results, the computational domain can be partitioned into (mes…
A Projected Algebraic Multigrid Method for Linear Complementarity Problems
2011
We present an algebraic version of an iterative multigrid method for obstacle problems, called projected algebraic multigrid (PAMG) here. We show that classical AMG algorithms can easily be extended to deal with this kind of problem. This paves the way for efficient multigrid solution of obstacle problems with partial differential equations arising, for example, in financial engineering.
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
2014
Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…
Multiscale Particle Method in Solving Partial Differential Equations
2007
A novel approach to meshfree particle methods based on multiresolution analysis is presented. The aim is to obtain numerical solutions for partial differential equations by avoiding the mesh generation and by employing a set of particles arbitrarily placed in problem domain. The elimination of the mesh combined with the properties of dilation and translation of scaling and wavelets functions is particularly suitable for problems governed by hyperbolic partial differential equations with large deformations and high gradients.
Efficient numerical methods for pricing American options under stochastic volatility
2007
Five numerical methods for pricing American put options under Heston's stochastic volatility model are described and compared. The option prices are obtained as the solution of a two-dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M-matrices is proposed. The projected SOR, a projected multigrid method, an operator splitting method, a penalty method, and a componentwise splitting method are considered. The last one is a direct method while all other methods are iterative. The resulting systems of linear equations in the operator splitting method and in the penalty method are solved u…
Numerical Study of Two Sparse AMG-methods
2003
A sparse algebraic multigrid method is studied as a cheap and accurate way to compute approximations of Schur complements of matrices arising from the discretization of some symmetric and positive definite partial differential operators. The construction of such a multigrid is discussed and numerical experiments are used to verify the properties of the method.
Controllability method for the Helmholtz equation with higher-order discretizations
2007
We consider a controllability technique for the numerical solution of the Helmholtz equation. The original time-harmonic equation is represented as an exact controllability problem for the time-dependent wave equation. This problem is then formulated as a least-squares optimization problem, which is solved by the conjugate gradient method. Such an approach was first suggested and developed in the 1990s by French researchers and we introduce some improvements to its practical realization. We use higher-order spectral elements for spatial discretization, which leads to high accuracy and lumped mass matrices. Higher-order approximation reduces the pollution effect associated with finite elemen…
Mott transitions in the half-filled SU(2M) symmetric Hubbard model
2012
The Hubbard model with large orbital degeneracy has recently gained relevance in the context of ultracold earth alkali like atoms. We compute its static properties in the SU(2M) symmetric limit for up to M=8 bands at half filling within dynamical mean-field theory, using the numerically exact multigrid Hirsch-Fye quantum Monte Carlo approach. Based on this unbiased data, we establish scaling laws which predict the phase boundaries of the paramagnetic Mott metal-insulator transition at arbitrary orbital degeneracy M with high accuracy.