Fractional differential equations are becoming increasingly used as a powerful modelling approach for understanding the many aspects of nonlocality and spatial heterogeneity. However, the numerical approximation of these models is demanding and imposes a number of computational constraints. In this paper, we introduce Fourier spectral methods as an attractive and easy-to-code alternative for the integration of fractional-in-space reaction-diffusion equations described by the fractional Laplacian in bounded rectangular domains of $$\mathbb {R}^n$$ R n . The main advantages of the proposed schemes is that they yield a fully diagonal representation of the fractional operator, with increased accuracy and efficiency when compared to low-order counterparts, and a completely straightforward extension to two and three spatial dimensions. Our approach is illustrated by solving several problems of practical interest, including the fractional Allen–Cahn, FitzHugh–Nagumo and Gray–Scott models, together with an analysis of the properties of these systems in terms of the fractional power of the underlying Laplacian operator.

The long-time near-conservation of the total and oscillatory energies of numerical integrators for Hamiltonian systems with highly oscillatory solutions is studied in this paper. The numerical methods considered are symmetric trigonometric integrators and the Störmer–Verlet method. Previously obtained results for systems with a single high frequency are extended to the multi-frequency case, and new insight into the long-time behaviour of numerical solutions is gained for resonant frequencies. The results are obtained using modulated multi-frequency Fourier expansions and the Hamiltonian-like structure of the modulation system. A brief discussion of conservation properties in the continuous problem is also included.

In tensor completion, the goal is to fill in missing entries of a partially known tensor under a low-rank constraint. We propose a new algorithm that performs Riemannian optimization techniques on the manifold of tensors of fixed multilinear rank. More specifically, a variant of the nonlinear conjugate gradient method is developed. Paying particular attention to efficient implementation, our algorithm scales linearly in the size of the tensor. Examples with synthetic data demonstrate good recovery even if the vast majority of the entries are unknown. We illustrate the use of the developed algorithm for the recovery of multidimensional images and for the approximation of multivariate functions.

In high accuracy long-time integration of differential equations, round-off errors may dominate truncation errors. This article studies the influence of round-off on the conservation of first integrals such as the total energy in Hamiltonian systems. For implicit Runge-Kutta methods, a standard implementation shows an unexpected propagation. We propose a modification that reduces the effect of round-off and shows a qualitative and quantitative improvement for an accurate integration over long times.

We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the required error tolerance is satisfied. CMLMC assumes discretization hierarchies that are defined a priori for each level and are geometrically refined across levels. The actual choice of computational work across levels is based on parametric models for the average cost per sample and the corresponding variance and weak error. These parameters are calibrated using Bayesian estimation, taking particular notice of the deepest levels of the discretization hierarchy, where only few realizations are available to produce the estimates. The resulting CMLMC estimator exhibits a non-trivial splitting between bias and statistical contributions. We also show the asymptotic normality of the statistical error in the MLMC estimator and justify in this way our error estimate that allows prescribing both required accuracy and confidence in the final result. Numerical results substantiate the above results and illustrate the corresponding computational savings in examples that are described in terms of differential equations either driven by random measures or with random coefficients.

In this paper we introduce higher order numerical methods for solving fractional differential equations. We use two approaches to this problem. The first approach is based on a direct discretisation of the fractional differential operator: we obtain a numerical method for solving a linear fractional differential equation with order 00. The order of convergence of the numerical method is O(h 3) for α≥1 and O(h 1+2α ) for 0<α≤1 for sufficiently smooth solutions. Numerical examples are given to show that the numerical results are consistent with the theoretical results.

The theory of splines is a well studied topic, but the kinship of splines with fractals is novel. We introduce a simple explicit construction for a -cubic Hermite Fractal Interpolation Function (FIF). Under some suitable hypotheses on the original function, we establish a priori estimates (with respect to the L p -norm, 1≤p≤∞) for the interpolation error of the -cubic Hermite FIF and its first derivative. Treating the first derivatives at the knots as free parameters, we derive suitable values for these parameters so that the resulting cubic FIF enjoys global smoothness. Consequently, our method offers an alternative to the standard moment construction of -cubic spline FIFs. Furthermore, we identify appropriate values for the scaling factors in each subinterval and the derivatives at the knots so that the graph of the resulting -cubic FIF lies within a prescribed rectangle. These parameters include, in particular, conditions for the positivity of the cubic FIF. Thus, in the current article, we initiate the study of the shape preserving aspects of fractal interpolation polynomials. We also provide numerical examples to corroborate our results.

The aim of this paper is to contribute a new second-order pseudo-spectral method via a non-uniform distribution of the computational nodes for solving multi-asset option pricing problems. In such problems, the prices are required to be as accurately as possible around the strike price. Accordingly, the proposed modification of the Chebyshev-Gauss-Lobatto points would concentrate on this area. This adaptation is also fruitful for the non-smooth payoffs which cause discontinuities in the strike price. The proposed scheme competes well with the existing methods such as finite difference, meshfree, and adaptive finite difference methods on several benchmark problems.

The spectral deferred correction (SDC) method is an iterative scheme for computing a higher-order collocation solution to an ODE by performing a series of correction sweeps using a low-order timestepping method. This paper examines a variation of SDC for the temporal integration of PDEs called multi-level spectral deferred corrections (MLSDC), where sweeps are performed on a hierarchy of levels and an FAS correction term, as in nonlinear multigrid methods, couples solutions on different levels. Three different strategies to reduce the computational cost of correction sweeps on the coarser levels are examined: reducing the degrees of freedom, reducing the order of the spatial discretization, and reducing the accuracy when solving linear systems arising in implicit temporal integration. Several numerical examples demonstrate the effect of multi-level coarsening on the convergence and cost of SDC integration. In particular, MLSDC can provide significant savings in compute time compared to SDC for a three-dimensional problem.

This paper discusses the numerical solution of linear 1-D singularly perturbed parabolic convection-diffusion-reaction problems with two small parameters using a moving mesh-adaptive algorithm which adapts meshes to boundary layers. The meshes are generated by the equidistribution of a special positive monitor function. Parameter independent uniform convergence is shown for a class of model problems and the obtained result hold even for the limiting case where the perturbation parameters are zero. Numerical experiments are presented that illustrate the first-order parameter uniform convergence, and also show that the new approach has better accuracy compared with current methods.

For generalized saddle point problems, we propose a simplified Hermitian and skew-Hermitian splitting (SHSS) preconditioner which is much closer to the generalized saddle point matrix than the HSS preconditioner. It is proved that all eigenvalues of the SHSS preconditioned matrix are real and nonunit eigenvalues are located in a positive interval. We also study the eigenvector distribution and the degree of the minimal polynomial of the preconditioned matrix. Numerical examples of a model Stokes problem show the effectiveness of the SHSS preconditioner.

We present a practical implementation of an optimal first-order method, due to Nesterov, for large-scale total variation regularization in tomographic reconstruction, image deblurring, etc. The algorithm applies to μ-strongly convex objective functions with L-Lipschitz continuous gradient. In the framework of Nesterov both μ and L are assumed known—an assumption that is seldom satisfied in practice. We propose to incorporate mechanisms to estimate locally sufficient μ and L during the iterations. The mechanisms also allow for the application to non-strongly convex functions. We discuss the convergence rate and iteration complexity of several first-order methods, including the proposed algorithm, and we use a 3D tomography problem to compare the performance of these methods. In numerical simulations we demonstrate the advantage in terms of faster convergence when estimating the strong convexity parameter μ for solving ill-conditioned problems to high accuracy, in comparison with an optimal method for non-strongly convex problems and a first-order method with Barzilai-Borwein step size selection.

This paper proposes and analyzes a high-order implicit-explicit difference scheme for the nonlinear complex fractional Ginzburg-Landau equation involving the Riesz fractional derivative. For the time discretization, the second-order backward differentiation formula combined with the explicit second-order Gear's extrapolation is adopted. While for the space discretization, a fourth-order fractional quasi-compact method is used to approximate the Riesz fractional derivative. The scheme is efficient in the sense that, at each time step, only a linear system with a coefficient matrix independent of the time level needs to be solved. Despite of the explicit treatment of the nonlinear term, the scheme is shown to be unconditionally convergent in the l2 h norm, semi-H-h(alpha/2) norm and l(h)(infinity) norm at the order of O(tau(2) + h(4)) with tau time step and h mesh size. Numerical tests are provided to confirm the accuracy and efficiency of the scheme.

We propose a class of regularized Hermitian and skew-Hermitian splitting methods for the solution of large, sparse linear systems in saddle-point form. These methods can be used as stationary iterative solvers or as preconditioners for Krylov subspace methods. We establish unconditional convergence of the stationary iterations and we examine the spectral properties of the corresponding preconditioned matrix. Inexact variants are also considered. Numerical results on saddle-point linear systems arising from the discretization of a Stokes problem and of a distributed control problem show that good performance can be achieved when using inexact variants of the proposed preconditioners.

We prove convergence of a finite difference scheme to the unique entropy solution of a general form of the Ostrovsky–Hunter equation on a bounded domain with non-homogeneous Dirichlet boundary conditions. Our scheme is an extension of monotone schemes for conservation laws to the equation at hand. The convergence result at the center of this article also proves existence of entropy solutions for the initial-boundary value problem for the general Ostrovsky–Hunter equation. Additionally, we show uniqueness using Kružkov’s doubling of variables technique. We also include numerical examples to confirm the convergence results and determine rates of convergence experimentally.

In this work, we investigate the spectra of “flipped” Toeplitz sequences, i.e., the asymptotic spectral behaviour of $$\{Y_nT_n(f)\}_n$$ { Y n T n ( f ) } n , where $$T_n(f)\in \mathbb {R}^{n\times n}$$ T n ( f ) ∈ R n × n is a real Toeplitz matrix generated by a function $$f\in L^1([-\pi ,\pi ])$$ f ∈ L 1 ( [ - π , π ] ) , and $$Y_n$$ Y n is the exchange matrix, with 1s on the main anti-diagonal. We show that the eigenvalues of $$Y_nT_n(f)$$ Y n T n ( f ) are asymptotically described by a $$2\times 2$$ 2 × 2 matrix-valued function, whose eigenvalue functions are $$\pm \, |f|$$ ± | f | . It turns out that roughly half of the eigenvalues of $$Y_nT_n(f)$$ Y n T n ( f ) are well approximated by a uniform sampling of |f| over $$[-\,\pi ,\pi ]$$ [ - π , π ] , while the remaining are well approximated by a uniform sampling of $$-\,|f|$$ - | f | over the same interval. When f vanishes only on a set of measure zero, this motivates that the spectrum is virtually half positive and half negative. Some insights on the spectral distribution of related preconditioned sequences are provided as well. Finally, a wide number of numerical results illustrate our theoretical findings.