AWeighted Average Finite Difference Scheme for the Numerical Solution of Stochastic Parabolic Partial Differential Equations

In the present paper,the numerical solution of It?type stochastic parabolic equation with a timewhite noise process is imparted based on a stochastic finite difference scheme.At the beginning,an implicit stochastic finite difference scheme is presented for this equation.Some mathematical analyses of the scheme are then discussed.Lastly,to ascertain the efficacy and accuracy of the suggested technique,the numerical results are discussed and compared with the exact solution.

Comments on Three-point explicit compact difference scheme with arbitrary order of accuracy and its application in CFD

The explicit compact difference scheme, proposed in Three-point explicit compact difference scheme with arbitrary order of accuracy and its application in CFD by Lin et al., published in Applied Mathematics and Mechanics （English Edition）, 2007, 28（7）, 943-953, has the same performance as the conventional finite difference schemes. It is just another expression of the conventional finite difference schemes. The proposed expression does not have the advantages of a compact difference scheme. Nonetheless, we can more easily obtain and implement compared with the conventional expression in which the coefficients can only be obtained by solving equations, especially for higher accurate schemes.

A Numerical Solution of Heat Equation for Several Thermal Diffusivity Using Finite Difference Scheme with Stability Conditions

The heat equation is a second-order parabolic partial differential equation, which can be solved in many ways using numerical methods. This paper provides a numerical solution that uses the finite difference method like the explicit center difference method. The forward time and centered space (FTCS) is used to a problem containing the one-dimensional heat equation and the stability condition of the scheme is reported with different thermal conductivity of different materials. In this study, results obtained for different thermal conductivity of distinct materials are compared. Also, the results reveal the well-behavior properties of the materials in good agreement.

A CONSERVATIVE DIFFERENCE SCHEME FOR CONSERVATIVE DIFFERENTIAL EQUATION WITH PERIODIC BOUNDARY

The conservative form and singular perturbed ordinary differential equation with periodic boundary value problem were studied, and a conservative difference scheme was constructed. Using the method of decomposing the singular term from its solution and combining an asymptotic expansion of the equation, it is proved that the scheme converges uniformly to the solution of differential equation with order one.

A CLASS OF COMPACT UPWIND TVD DIFFERENCE SCHEMES

A new method was proposed for constructing total variation diminishing （TVD） upwind schemes in conservation forms. Two limiters were used to prevent nonphysical oscillations across discontinuity. Both limiters can ensure the nonlinear compact schemes TVD property. Two compact TVD （CTVD） schemes were tested, one is thirdorder accuracy, and the other is fifth-order. The performance of the numerical algorithms was assessed by one-dimensional complex waves and Riemann problems, as well as a twodimensional shock-vortex interaction and a shock-boundary flow interaction. Numerical results show their high-order accuracy and high resolution, and low oscillations across discontinuities.

A CLASS OF TWO-LEVEL EXPLICIT DIFFERENCE SCHEMES FOR SOLVING THREE DIMENSIONAL HEAT CONDUCTION EQUATION

A class of two-level explicit difference schemes are presented for solving three-dimensional heat conduction equation. When the order of truncation error is 0(Deltat + (Deltax)(2)), the stability condition is mesh ratio r = Deltat/(Deltax)(2) = Deltat/(Deltay)(2) = Deltat/(Deltaz)(2) less than or equal to 1/2, which is better than that of all the other explicit difference schemes. And when the order of truncation error is 0((Deltat)(2) + (Deltax)(4)), the stability condition is r less than or equal to 1/6, which contains the known results.

A Crank-Nicolson Difference Scheme for Generalized Rosenau Equation

Much effort has been devoted to researching the common Rosenau equation, but the numerical method of it has not been studied. In this paper, a conservative Crank-Nicolson difference scheme for an initial-boundary value problem of the generalized Rosenau equation is proposed. Existence and uniqueness of numerical solutions are derived. By method of discrete energy, the second order convergence and stability are discussed. Numerical examples demonstrate the theoretical results.

A NEW NND DIFFERENCE SCHEME OF SECOND-ORDER IN TIME AND SPACE

The study by H.X.Zhang shows that in order to suppress the spurious oscillation at both upstream and downstream of the shock, the coefficient of the third_order derivative on the right hand side of the modified equation of the difference scheme must be positive upstream and negative downstream of the shock. According to this principle, a new non_oscillatory, containing no free parameters and dissipative difference scheme of second_order both in time and space is proposed. It is proved that this scheme possesses TVD property and is generalized Gudunov scheme of second_order. In the presence of the shock wave in the flow field, this scheme is the generalization and improvement of the Lax_Wendroff scheme. Several numerical examples are given which demonstrate that the proposed scheme is non_oscillatory of high order accuracy and high resolution. It also has the advantages of compact form, greater maximum allowable Courant number and convenient to use.

Properties of High-Order Finite Difference Schemes and Idealized Numerical Testing

Construction of high-order difference schemes based on Taylor series expansion has long been a hot topic in computational mathematics, while its application in comprehensive weather models is still very rare. Here, the properties of high-order finite difference schemes are studied based on idealized numerical testing, for the purpose of their application in the Global/Regional Assimilation and Prediction System(GRAPES) model. It is found that the pros and cons due to grid staggering choices diminish with higher-order schemes based on linearized analysis of the one-dimensional gravity wave equation. The improvement of higher-order difference schemes is still obvious for the mesh with smooth varied grid distance. The results of discontinuous square wave testing also exhibits the superiority of high-order schemes. For a model grid with severe non-uniformity and non-orthogonality, the advantage of high-order difference schemes is inapparent, as shown by the results of two-dimensional idealized advection tests under a terrain-following coordinate. In addition, the increase in computational expense caused by high-order schemes can be avoided by the precondition technique used in the GRAPES model. In general, a high-order finite difference scheme is a preferable choice for the tropical regional GRAPES model with a quasi-uniform and quasi-orthogonal grid mesh.

DIFFERENCE SCHEME FOR AN INITIAL-BOUNDARY VALUE PROBLEM FOR LINEAR COEFFICIENT-VARIED PARABOLIC DIFFERENTIAL EQUATION WITH A NONSMOOTH BOUNDARY LAYER FUNCTION

In this paper, using nonuniform mesh and exponentially fitted difference method, a uniformly convergent difference scheme for an initial-boundary value problem of linear parabolic differential equation with the nonsmooth boundary layer function with respect to small parameter e is given, and error estimate and numerical result are also given.

THE 3-LAYERED EXPLICIT DIFFERENCE SCHEME FOR 2-D HEAT EQUATION

A 3-layered explicit difference scheme for the numerical solution of 2-D heat equation is proposed. Firstly, a general symmetric difference scheme is constructed and its optimal error is obtained. Then two kinds of condition for choosing the parameters for optimal error and stable difference scheme are given. Finally, some numerical results are presented to show the advantage of the schemes.

A SECOND ORDER UNIFORM DIFFERENCE SCHEME FOR A SINGULARLY PERTURBED TURNING POINT PROBLEM

We construct a positive type difference scheme for a singularly perturbed boundary value problem with a turning point. It's proved that this scheme is the second order convergence, uniformly in ? , to the solution of the singularly perturbed B. V.P. Numerical examples are provided.

AN EXPONENTIALLY FITTED DIFFERENCE SCHEME FOR THE HYPERBOLIC-HYPERBOLIC SINGULARLY PERTURBED INITIAL-BOUNDARY VALUE PROBLEM

In this paper we discuss, an initial-boundary value problem of hyperbolic type with first derivative with respect to x. The asymptotic solution is constructed and its uniform validity is proved under weader compatibility conditions. Then we develop an exponentially fitted difference scheme and establish discrete energy inequality. Finally, we prove that the solution of difference problem uniformly converges to the solution of the original problem.

High-resolution central difference scheme for the shallow water equations

A two-dimensional nonoscillatory central difference scheme was extended to the shallow water equations. A high-resolution numerical method for solving the shallow water equations was presented. In order to prevent oscillation, the nonlinear limiter is employed to approximate the discrete slopes. The main advantage of the presented method is simplicity comparable with the upwind schemes. This method does not require Riemann solvers or some form of flux difference splitting methods. Furthermore, the discrete derivatives of flux can be approximated by the component-wise approach and thus the computation of Jacobian can be avoided. The method retains high resolution and high accuracy similar to the upwind results. It is applied to simulating several tests, including circular dam-break problem, shock focusing problem and partial dam-break problem. The results are in good agreement with the numerical results obtained by other methods. The simulated results also demonstrate that the presented method is stable and efficient.

THE STABILITY OF DIFFERENCE SCHEMES OF A HIGHER DIMENSIONAL PARABOLIC EQUATION

This paper proposes a new method to improve the stability condition of difference scheme of a parabolic equation. Necessary and sufficient conditions of the stability of this new method are given and proved. Some numerical examples show that this method has some calculation advantages.

A Compact Explicit Difference Scheme of High Accuracy for Extended Boussinesq Equations

Presented here is a compact explicit difference scheme of high accuracy for solving the extended Boussinesq equations. For time discretization, a three-stage explicit Runge-Kutta method with TVD property is used at predicting stage, a cubic spline function is adopted at correcting stage, which made the time discretization accuracy up to fourth order; For spatial discretization, a three-point explicit compact difference scheme with arbitrary order accuracy is employed. The extended Boussinesq equations derived by Beji and Nadaoka are solved by the proposed scheme. The numerical results agree well with the experimental data. At the same time, the comparisons of the two numerical results between the present scheme and low accuracy difference method are made, which further show the necessity of using high accuracy scheme to solve the extended Boussinesq equations. As a valid sample, the wave propagation on the rectangular step is formulated by the present scheme, the modelled results are in better agreement with the experimental data than those of Kittitanasuan.

DIFFERENCE SCHEME AND NUMERICAL SIMULATION BASED ON MIXED FINITE ELEMENT METHOD FOR NATURAL CONVECTION PROBLEM

The non_stationary natural convection problem is studied. A lowest order finite difference scheme based on mixed finite element method for non_stationary natural convection problem, by the spatial variations discreted with finite element method and time with finite difference scheme was derived, where the numerical solution of velocity, pressure, and temperature can be found together, and a numerical example to simulate the close square cavity is given, which is of practical importance.

Reduced finite difference scheme and error estimates based on POD method for non-stationary Stokes equation

The proper orthogonal decomposition （POD） is a model reduction technique for the simulation Of physical processes governed by partial differential equations （e.g., fluid flows）. It has been successfully used in the reduced-order modeling of complex systems. In this paper, the applications of the POD method are extended, i.e., the POD method is applied to a classical finite difference （FD） scheme for the non-stationary Stokes equation with a real practical applied background. A reduced FD scheme is established with lower dimensions and sufficiently high accuracy, and the error estimates are provided between the reduced and the classical FD solutions. Some numerical examples illustrate that the numerical results are consistent with theoretical conclusions. Moreover, it is shown that the reduced FD scheme based on the POD method is feasible and efficient in solving the FD scheme for the non-stationary Stokes equation.

Two Energy-Preserving Compact Finite Difference Schemes for the Nonlinear Fourth-Order Wave Equation

In this paper,two fourth-order compact finite difference schemes are derived to solve the nonlinear fourth-order wave equation which can be viewed as a generalized model from the nonlinear beam equation.Differing from the existing compact finite difference schemes which preserve the total energy in a recursive sense,the new schemes are proved to per-fectly preserve the total energy in the discrete sense.By using the standard energy method and the cut-off function technique,the optimal error estimates of the numerical solutions are established,and the convergence rates are of O(h^(4)+τ^(2))with mesh-size h and time-step τ.In order to improve the computational efficiency,an iterative algorithm is proposed as the outer solver and the double sweep method for pentadiagonal linear algebraic equations is introduced as the inner solver to solve the nonlinear difference schemes at each time step.The convergence of the iterative algorithm is also rigorously analyzed.Several numerical results are carried out to test the error estimates and conservative properties.

LARGE TIME STEP GENERALIZATION OF RANDOM CHOICE FINITE DIFFERENCE SCHEME FOR HYPERBOLIC CONSERVATION LAWS

A natural generalization of random choice finite difference scheme of Harten and Lax for Courant number larger than 1 is obtained. We handle interactions between neighboring Riemann solvers by linear superposition of their conserved quantities. We show consistency of the scheme for arbitrarily large Courant numbers. For scalar problems the scheme is total variation diminishing.A brief discussion is given for entropy condition.