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A Domain Decomposition Method for Stochastic Evolution Equations 随机演化方程的领域分解法
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-11-20 DOI: 10.1137/24m1629845
Evelyn Buckwar, Ana Djurdjevac, Monika Eisenmann
SIAM Journal on Numerical Analysis, Volume 62, Issue 6, Page 2611-2639, December 2024.
Abstract. In recent years, stochastic partial differential equations (SPDEs) have become a well-studied field in mathematics. With their increase in popularity, it becomes important to efficiently approximate their solutions. Thus, our goal is a contribution towards the development of efficient and practical time-stepping methods for SPDEs. Operator splitting schemes provide powerful, efficient, and flexible numerical methods for deterministic and stochastic differential equations. An example is given by domain decomposition schemes, where one splits the domain into subdomains and constructs the numerical approximation in a divide-and-conquer strategy. Instead of solving one expensive problem on the entire domain, one then deals with cheaper problems on the subdomains. This is particularly useful in modern computer architectures, as the subproblems may often be solved in parallel. While splitting methods have already been used to study domain decomposition methods for deterministic PDEs, this is a new approach for SPDEs. This implies that the existing convergence analysis is not directly applicable, even though the building blocks of the operator splitting domain decomposition method are standard. We provide an abstract convergence analysis of a splitting scheme for stochastic evolution equations and state a domain decomposition scheme as an application of the setting. The theoretical results are verified through numerical experiments.
SIAM 数值分析期刊》,第 62 卷第 6 期,第 2611-2639 页,2024 年 12 月。 摘要。近年来,随机偏微分方程(SPDEs)已成为数学中研究得很透彻的领域。随着随机偏微分方程的普及,如何有效地近似求解随机偏微分方程变得非常重要。因此,我们的目标是为开发高效实用的 SPDEs 时步法做出贡献。算子分裂方案为确定性和随机微分方程提供了强大、高效和灵活的数值方法。域分解方案就是一个例子,它将域分割成子域,并以分而治之的策略构建数值近似方法。这样就不用解决整个域上一个昂贵的问题,而是处理子域上更便宜的问题。这在现代计算机架构中特别有用,因为子问题通常可以并行求解。虽然拆分方法已被用于研究确定性 PDEs 的域分解方法,但这是 SPDEs 的一种新方法。这意味着,尽管算子拆分域分解方法的构件是标准的,但现有的收敛性分析并不直接适用。我们对随机演化方程的分裂方案进行了抽象的收敛分析,并将域分解方案作为该设置的一个应用进行了阐述。我们通过数值实验验证了理论结果。
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引用次数: 0
New Time Domain Decomposition Methods for Parabolic Optimal Control Problems II: Neumann–Neumann Algorithms 抛物线最优控制问题的新时域分解方法 II:诺伊曼-诺伊曼算法
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-11-19 DOI: 10.1137/24m1634424
Martin J. Gander, Liu-Di Lu
SIAM Journal on Numerical Analysis, Volume 62, Issue 6, Page 2588-2610, December 2024.
Abstract. We propose to use Neumann–Neumann algorithms for the time parallel solution of unconstrained linear parabolic optimal control problems. We study nine variants, analyze their convergence behavior, and determine the optimal relaxation parameter for each. Our findings indicate that while the most intuitive Neumann–Neumann algorithms act as effective smoothers, there are more efficient Neumann–Neumann solvers available. We support our analysis with numerical experiments.
SIAM 数值分析期刊》,第 62 卷,第 6 期,第 2588-2610 页,2024 年 12 月。 摘要。我们建议使用 Neumann-Neumann 算法对无约束线性抛物线最优控制问题进行时间并行求解。我们研究了九种变体,分析了它们的收敛行为,并确定了每种变体的最佳松弛参数。我们的研究结果表明,虽然最直观的诺伊曼-诺伊曼算法是有效的平滑器,但还有更高效的诺伊曼-诺伊曼求解器可用。我们通过数值实验来支持我们的分析。
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引用次数: 0
The Mean-Field Ensemble Kalman Filter: Near-Gaussian Setting 平均场集合卡尔曼滤波器:近高斯背景
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-11-15 DOI: 10.1137/24m1628207
J. A. Carrillo, F. Hoffmann, A. M. Stuart, U. Vaes
SIAM Journal on Numerical Analysis, Volume 62, Issue 6, Page 2549-2587, December 2024.
Abstract. The ensemble Kalman filter is widely used in applications because, for high-dimensional filtering problems, it has a robustness that is not shared, for example, by the particle filter; in particular, it does not suffer from weight collapse. However, there is no theory which quantifies its accuracy as an approximation of the true filtering distribution, except in the Gaussian setting. To address this issue, we provide the first analysis of the accuracy of the ensemble Kalman filter beyond the Gaussian setting. We prove two types of results: The first type comprises a stability estimate controlling the error made by the ensemble Kalman filter in terms of the difference between the true filtering distribution and a nearby Gaussian, and the second type uses this stability result to show that, in a neighborhood of Gaussian problems, the ensemble Kalman filter makes a small error in comparison with the true filtering distribution. Our analysis is developed for the mean-field ensemble Kalman filter. We rewrite the update equations for this filter and for the true filtering distribution in terms of maps on probability measures. We introduce a weighted total variation metric to estimate the distance between the two filters, and we prove various stability estimates for the maps defining the evolution of the two filters in this metric. Using these stability estimates, we prove results of the first and second types in the weighted total variation metric. We also provide a generalization of these results to the Gaussian projected filter, which can be viewed as a mean-field description of the unscented Kalman filter.
SIAM 数值分析期刊》,第 62 卷,第 6 期,第 2549-2587 页,2024 年 12 月。 摘要集合卡尔曼滤波在应用中被广泛使用,因为对于高维滤波问题,集合卡尔曼滤波具有粒子滤波所不具备的鲁棒性,特别是它不会出现权重崩溃。然而,除高斯分布外,目前还没有一种理论能量化它作为真实滤波分布近似值的准确性。为了解决这个问题,我们首次分析了高斯环境之外的集合卡尔曼滤波器的精度。我们证明了两类结果:第一类结果包括控制集合卡尔曼滤波器误差的稳定性估计,即真实滤波分布与邻近高斯分布之间的差值;第二类结果利用这一稳定性结果表明,在邻近高斯问题中,集合卡尔曼滤波器与真实滤波分布相比误差很小。我们的分析是针对均值场集合卡尔曼滤波器展开的。我们用概率度量的映射重写了该滤波器和真实滤波分布的更新方程。我们引入了一个加权总变化度量来估算两个滤波器之间的距离,并证明了在此度量中定义两个滤波器演化的映射的各种稳定性估计值。利用这些稳定性估计,我们证明了加权总变化度量中的第一和第二类结果。我们还将这些结果推广到了高斯投影滤波器,这可以看作是对无符号卡尔曼滤波器的均值场描述。
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引用次数: 0
The Lanczos Tau Framework for Time-Delay Systems: Padé Approximation and Collocation Revisited 时延系统的 Lanczos Tau 框架:帕代逼近与重新定位
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-11-13 DOI: 10.1137/24m164611x
Evert Provoost, Wim Michiels
SIAM Journal on Numerical Analysis, Volume 62, Issue 6, Page 2529-2548, December 2024.
Abstract. We reformulate the Lanczos tau method for the discretization of time-delay systems in terms of a pencil of operators, allowing for new insights into this approach. As a first main result, we show that, for the choice of a shifted Legendre basis, this method is equivalent to Padé approximation in the frequency domain. We illustrate that Lanczos tau methods straightforwardly give rise to sparse, self-nesting discretizations. Equivalence is also demonstrated with pseudospectral collocation, where the nonzero collocation points are chosen as the zeros of orthogonal polynomials. The importance of such a choice manifests itself in the approximation of the [math]-norm, where, under mild conditions, supergeometric convergence is observed and, for a special case, superconvergence is proved, both of which are significantly faster than the algebraic convergence reported in previous work.
SIAM 数值分析期刊》第 62 卷第 6 期第 2529-2548 页,2024 年 12 月。 摘要。我们用算子笔法重新表述了用于时延系统离散化的 Lanczos tau 方法,从而对这一方法有了新的认识。作为第一个主要结果,我们证明了在选择移位 Legendre 基时,该方法等同于频域中的 Padé 近似。我们说明,Lanczos tau 方法直接产生稀疏的自嵌套离散化。我们还证明了与伪谱配准法的等效性,在伪谱配准法中,非零配准点被选为正交多项式的零点。这种选择的重要性体现在[math]-norm 的近似上,在温和的条件下,可以观察到超几何收敛性,在特殊情况下,还证明了超收敛性,这两种收敛性都明显快于之前工作中报告的代数收敛性。
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引用次数: 0
Spherical Designs for Approximations on Spherical Caps 球形帽上的近似球形设计
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-11-11 DOI: 10.1137/23m1555417
Chao Li, Xiaojun Chen
SIAM Journal on Numerical Analysis, Volume 62, Issue 6, Page 2506-2528, December 2024.
Abstract. A spherical [math]-design is a set of points on the unit sphere, which provides an equal weight quadrature rule integrating exactly all spherical polynomials of degree at most [math] and has a sharp error bound for approximations on the sphere. This paper introduces a set of points called a spherical cap [math]-subdesign on a spherical cap [math] with center [math] and radius [math] induced by the spherical [math]-design. We show that the spherical cap [math]-subdesign provides an equal weight quadrature rule integrating exactly all zonal polynomials of degree at most [math] and all functions expanded by orthonormal functions on the spherical cap which are defined by shifted Legendre polynomials of degree at most [math]. We apply the spherical cap [math]-subdesign and the orthonormal basis functions on the spherical cap to non-polynomial approximation of continuous functions on the spherical cap and present theoretical approximation error bounds. We also apply spherical cap [math]-subdesigns to sparse signal recovery on the upper hemisphere, which is a spherical cap with [math]. Our theoretical and numerical results show that spherical cap [math]-subdesigns can provide a good approximation on spherical caps.
SIAM 数值分析期刊》,第 62 卷第 6 期,第 2506-2528 页,2024 年 12 月。 摘要。球面[math]设计是单位球面上的一组点,它提供了一个等权正交规则,可以精确地积分最多[math]度的所有球面多项式,并且对球面上的近似值有一个尖锐的误差约束。本文介绍了在由球面[数学]设计诱导的、以[数学]为中心、以[数学]为半径的球面盖[数学]上的一组称为球面盖[数学]子设计的点。我们证明,球帽[math]子设计提供了一个等权正交规则,可以精确积分所有至多[math]度的带状多项式和球帽上所有由至多[math]度的移位 Legendre 多项式定义的正交函数展开的函数。我们将球面帽 [math] 子设计和球面帽上的正交基函数应用于球面帽上连续函数的非多项式逼近,并提出了理论逼近误差边界。我们还将球帽[math]子设计应用于上半球的稀疏信号恢复,上半球是一个带有[math]的球帽。我们的理论和数值结果表明,球帽[math]子设计可以很好地近似球帽。
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引用次数: 0
An Operator Preconditioned Combined Field Integral Equation for Electromagnetic Scattering 电磁散射的算子预处理组合场积分方程
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-11-07 DOI: 10.1137/23m1581674
Van Chien Le, Kristof Cools
SIAM Journal on Numerical Analysis, Volume 62, Issue 6, Page 2484-2505, December 2024.
Abstract. This paper aims to address two issues of integral equations for the scattering of time-harmonic electromagnetic waves by a perfect electric conductor with Lipschitz continuous boundary: ill-conditioned boundary element Galerkin discretization matrices on fine meshes and instability at spurious resonant frequencies. The remedy to ill-conditioned matrices is operator preconditioning, and resonant instability is eliminated by means of a combined field integral equation. Exterior traces of single and double layer potentials are complemented by their interior counterparts for a purely imaginary wave number. We derive the corresponding variational formulation in the natural trace space for electromagnetic fields and establish its well-posedness for all wave numbers. A Galerkin discretization scheme is employed using conforming edge boundary elements on dual meshes, which produces well-conditioned discrete linear systems of the variational formulation. Some numerical results are also provided to support the numerical analysis.
SIAM 数值分析期刊》,第 62 卷,第 6 期,第 2484-2505 页,2024 年 12 月。 摘要本文旨在解决具有 Lipschitz 连续边界的完美电导体时谐电磁波散射积分方程的两个问题:细网格上边界元 Galerkin 离散矩阵条件不良和杂散共振频率下的不稳定性。解决矩阵条件不良问题的方法是算子预处理,通过组合场积分方程消除共振不稳定性。对于纯虚数波,单层和双层电势的外部迹线由其内部对应迹线补充。我们在电磁场的自然迹空间中推导出相应的变分公式,并确定了其对所有波数的良好求解性。我们采用了一种 Galerkin 离散化方案,在对偶网格上使用保边边界元素,从而产生了条件良好的离散线性变式系统。还提供了一些数值结果,以支持数值分析。
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引用次数: 0
An Energy-Based Discontinuous Galerkin Method for the Nonlinear Schrödinger Equation with Wave Operator 带波算子的非线性薛定谔方程的基于能量的非连续伽勒金方法
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-11-04 DOI: 10.1137/23m1597496
Kui Ren, Lu Zhang, Yin Zhou
SIAM Journal on Numerical Analysis, Volume 62, Issue 6, Page 2459-2483, December 2024.
Abstract. This work develops an energy-based discontinuous Galerkin (EDG) method for the nonlinear Schrödinger equation with the wave operator. The focus of the study is on the energy-conserving or energy-dissipating behavior of the method with some simple mesh-independent numerical fluxes we designed. We establish error estimates in the energy norm that require careful selection of a weak formulation for the auxiliary equation involving the time derivative of the displacement variable. A critical part of the convergence analysis is to establish the [math] error bounds for the time derivative of the approximation error in the displacement variable by using the equation that determines its mean value. Using a special weak formulation, we show that one can create a linear system for the time evolution of the unknowns even when dealing with nonlinear properties in the original problem. Numerical experiments were performed to demonstrate the optimal convergence of the scheme in the [math] norm. These experiments involved specific choices of numerical fluxes combined with specific choices of approximation spaces.
SIAM 数值分析期刊》,第 62 卷,第 6 期,第 2459-2483 页,2024 年 12 月。 摘要。本文针对带波算子的非线性薛定谔方程开发了一种基于能量的非连续伽勒金(EDG)方法。研究的重点是该方法的能量守恒或能量消耗行为,以及我们设计的一些与网格无关的简单数值通量。我们建立了能量规范中的误差估计,这需要仔细选择涉及位移变量时间导数的辅助方程的弱表述。收敛分析的一个关键部分是利用确定位移变量均值的方程,建立位移变量近似误差时间导数的[数学]误差边界。通过使用一种特殊的弱公式,我们证明即使在处理原始问题中的非线性特性时,也可以为未知数的时间演化建立一个线性系统。我们进行了数值实验来证明该方案在 [math] 规范下的最佳收敛性。这些实验涉及数值通量的特定选择和近似空间的特定选择。
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引用次数: 0
An Equilibrated Flux A Posteriori Error Estimator for Defeaturing Problems 失效问题的平衡通量后验误差估算器
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-11-04 DOI: 10.1137/23m1627195
Annalisa Buffa, Ondine Chanon, Denise Grappein, Rafael Vázquez, Martin Vohralík
SIAM Journal on Numerical Analysis, Volume 62, Issue 6, Page 2439-2458, December 2024.
Abstract. An a posteriori error estimator based on an equilibrated flux reconstruction is proposed for defeaturing problems in the context of finite element discretizations. Defeaturing consists in the simplification of a geometry by removing features that are considered not relevant for the approximation of the solution of a given PDE. In this work, the focus is on a Poisson equation with Neumann boundary conditions on the feature boundary. The estimator accounts both for the so-called defeaturing error and for the numerical error committed by approximating the solution on the defeatured domain. Unlike other estimators that were previously proposed for defeaturing problems, the use of the equilibrated flux reconstruction allows us to obtain a sharp bound for the numerical component of the error. Furthermore, it does not require the evaluation of the normal trace of the numerical flux on the feature boundary: this makes the estimator well suited for finite element discretizations, in which the normal trace of the numerical flux is typically discontinuous across elements. The reliability of the estimator is proven and verified on several numerical examples. Its capability to identify the most relevant features is also shown, in anticipation of a future application to an adaptive strategy.
SIAM 数值分析期刊》,第 62 卷第 6 期,第 2439-2458 页,2024 年 12 月。 摘要。在有限元离散化的背景下,提出了一种基于均衡通量重构的后验误差估算器,用于失效问题。去耦包括通过去除与给定 PDE 近似解无关的特征来简化几何体。在这项工作中,重点是特征边界上具有诺伊曼边界条件的泊松方程。该估计器既考虑了所谓的失效误差,也考虑了在失效域上近似求解时产生的数值误差。与之前针对击穿问题提出的其他估算器不同,平衡通量重构的使用使我们能够获得误差数值部分的尖锐边界。此外,它不需要评估特征边界上数值通量的法线轨迹:这使得该估计器非常适合有限元离散化,因为在有限元离散化中,数值通量的法线轨迹在各元素之间通常是不连续的。该估算器的可靠性在多个数值示例中得到了证明和验证。此外,还展示了它识别最相关特征的能力,以备将来应用于自适应策略。
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引用次数: 0
The A Posteriori Error Estimates of the FE Approximation of Defective Eigenvalues for Non-Self-Adjoint Eigenvalue Problems 非自相交特征值问题的缺陷特征值 FE 近似的后验误差估计值
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-11-04 DOI: 10.1137/23m162065x
Yidu Yang, Shixi Wang, Hai Bi
SIAM Journal on Numerical Analysis, Volume 62, Issue 6, Page 2419-2438, December 2024.
Abstract. In this paper, we study the a posteriori error estimates of the FEM for defective eigenvalues of non-self-adjoint eigenvalue problems. Using the spectral approximation theory, we establish the abstract a posteriori error formulas for the weighted average of approximate eigenvalues and approximate eigenspace. We then apply the formulas to the defective eigenvalues of elliptic interface problem, derive the a posteriori error estimators, and analyze their reliability and effectiveness. We also provide numerical examples to confirm our theoretical findings.
SIAM 数值分析期刊》,第 62 卷,第 6 期,第 2419-2438 页,2024 年 12 月。 摘要本文研究了非自相交特征值问题的缺陷特征值有限元的后验误差估计。利用谱近似理论,我们建立了近似特征值加权平均和近似特征空间的抽象后验误差公式。然后,我们将这些公式应用于椭圆界面问题的缺陷特征值,推导出后验误差估计值,并分析其可靠性和有效性。我们还提供了数值实例来证实我们的理论发现。
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引用次数: 0
Erratum: Analysis and Numerical Approximation of Stationary Second-Order Mean Field Game Partial Differential Inclusions 勘误:静态二阶均值场博弈偏微分夹杂的分析与数值逼近
IF 2.9 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-10-22 DOI: 10.1137/24m165123x
Yohance A. P. Osborne, Iain Smears
SIAM Journal on Numerical Analysis, Volume 62, Issue 5, Page 2415-2417, October 2024.
Abstract. We correct the proofs of Theorems 3.3 and 5.2 in [Y. A. P. Osborne and I. Smears, SIAM J. Numer. Anal., 62 (2024), pp. 138–166]. With the corrected proofs, Theorems 3.3 and 5.2 are shown to be valid without change to their hypotheses or conclusions.
SIAM 数值分析期刊》第 62 卷第 5 期第 2415-2417 页,2024 年 10 月。 摘要。我们对定理 3.3 和 5.2 的证明进行了修正 [Y. A. P. Osborne and I. Smears, SIAM J. No.A. P. Osborne and I. Smears, SIAM J. Numer.Anal., 62 (2024), pp.]在修正证明后,定理 3.3 和 5.2 被证明是有效的,其假设和结论没有改变。
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引用次数: 0
期刊
SIAM Journal on Numerical Analysis
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