An efficient SQP algorithm for solving nonlinear degenerate problems is proposed in the paper. At each iteration of the algorithm, a quadratic programming subproblem, which is always feasible by introducing a slack va...An efficient SQP algorithm for solving nonlinear degenerate problems is proposed in the paper. At each iteration of the algorithm, a quadratic programming subproblem, which is always feasible by introducing a slack variable, is solved to obtain a search direction. The steplength along this direction is computed by employing the 1∞ exact penalty function through Armijo-type line search scheme. The algorithm is proved to be convergent globally under mild conditions.展开更多
In this paper, the evaluation of discretely sampled Asian options was considered by numerically solving the associated partial differential equations with the Legendre spectral method. Double average options were disc...In this paper, the evaluation of discretely sampled Asian options was considered by numerically solving the associated partial differential equations with the Legendre spectral method. Double average options were discussed as examples. The problem is a parabolic one on a finite domain whose equation degenerates into ordinary differential equations on the boundaries. A fully discrete scheme was established by using the Legendre spectral method in space and the Crank-Nicolson finite difference scheme in time. The stability and convergence of the scheme were analyzed. Numerical results show that the method can keep the spectral accuracy in space for such degenerate problems.展开更多
In this work we present a family of relaxation schemes for nonlinear convection diffusion problems,which can tackle also the cases of degenerate diffusion and of convection dominated regimes.The schemes proposed can a...In this work we present a family of relaxation schemes for nonlinear convection diffusion problems,which can tackle also the cases of degenerate diffusion and of convection dominated regimes.The schemes proposed can achieve any order of accuracy,give non-oscillatory solutions even in the presence of singularities and their structure depends only weakly on the particular PDE being integrated.One and two dimensional results are shown,and a nonlinear stability estimate is given.展开更多
Partition property plays a central role in domain decomposition methods. Existing theory essentially assumes certain ellipticity. We prove the partition property for prod lems without ellipticity which are of practica...Partition property plays a central role in domain decomposition methods. Existing theory essentially assumes certain ellipticity. We prove the partition property for prod lems without ellipticity which are of practical importance. Example applications include implicit schemes applied to degenerate parabolic partial differential equations arising from superconductors, superfluids and liquid crystals. With this partition property, Schwarz algorithms can be applied to general non-elliptic problems with an h-independent optimal convergence rate. Application to the time-dependent Ginzburg-Landau model of superconductivity is illustrated and numerical results are presented.展开更多
基金Supported by the National Natural Science Foundation of China(No.10671060)the Specialized Research Found for the Doctoral Program of Higher Education(No.20030532006)
文摘An efficient SQP algorithm for solving nonlinear degenerate problems is proposed in the paper. At each iteration of the algorithm, a quadratic programming subproblem, which is always feasible by introducing a slack variable, is solved to obtain a search direction. The steplength along this direction is computed by employing the 1∞ exact penalty function through Armijo-type line search scheme. The algorithm is proved to be convergent globally under mild conditions.
文摘In this paper, the evaluation of discretely sampled Asian options was considered by numerically solving the associated partial differential equations with the Legendre spectral method. Double average options were discussed as examples. The problem is a parabolic one on a finite domain whose equation degenerates into ordinary differential equations on the boundaries. A fully discrete scheme was established by using the Legendre spectral method in space and the Crank-Nicolson finite difference scheme in time. The stability and convergence of the scheme were analyzed. Numerical results show that the method can keep the spectral accuracy in space for such degenerate problems.
基金This work was supported by MIUR/PRIN2005 project“Modellistica numerica per il cal-colo scientifico ed applicazioni avanzate”.
文摘In this work we present a family of relaxation schemes for nonlinear convection diffusion problems,which can tackle also the cases of degenerate diffusion and of convection dominated regimes.The schemes proposed can achieve any order of accuracy,give non-oscillatory solutions even in the presence of singularities and their structure depends only weakly on the particular PDE being integrated.One and two dimensional results are shown,and a nonlinear stability estimate is given.
基金This work was supported in part by Hong Kong RGC DAG93/94 SC10, Competitive Earmarked ResearchGrant HKUST593/94E and the speci
文摘Partition property plays a central role in domain decomposition methods. Existing theory essentially assumes certain ellipticity. We prove the partition property for prod lems without ellipticity which are of practical importance. Example applications include implicit schemes applied to degenerate parabolic partial differential equations arising from superconductors, superfluids and liquid crystals. With this partition property, Schwarz algorithms can be applied to general non-elliptic problems with an h-independent optimal convergence rate. Application to the time-dependent Ginzburg-Landau model of superconductivity is illustrated and numerical results are presented.
