Search Results - subject:"Numerical stability"

A massively parallel exact solution algorithm for the balanced minimum evolution problem

Catanzaro, Daniele; Frohn, Martin; Pesenti, Raffaele - 2021

Persistent link: https://www.econbiz.de/10012821214

Numerical stability of a hybrid method for pricing options

Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46

Persistent link: https://www.econbiz.de/10012153319

Nonlinear stability of direct quadrature methods for Volterra integral equations

Messina, E.; Vecchio, A. - In: Mathematics and Computers in Simulation (MATCOM) 110 (2015) C, pp. 155-164

An important topic in the numerical analysis of Volterra integral equations is the stability theory. The main results known in the literature have been obtained on linear test equations or, at least, on nonlinear equations with convolution kernel. Here, we consider Volterra integral equations...

Persistent link: https://www.econbiz.de/10011264173

On the Numerical Stability of Simulation Methods for SDES

Platen, Eckhard; Shi, Lei - Finance Discipline Group, Business School - 2008

When simulating discrete time approximations of solutions of stochastic differential equations (SDEs), numerical … stability is clearly more important than numerical efficiency or some higher order of convergence. Discrete time approximations … �� Quantitative Finance Research Centre Research Paper 234 August 2008 On the Numerical Stability of Simulation Methods for …

Persistent link: https://www.econbiz.de/10004984500

Enhancement of the stability of lattice Boltzmann methods by dissipation control

Gorban, A.N.; Packwood, D.J. - In: Physica A: Statistical Mechanics and its Applications 414 (2014) C, pp. 285-299

Artificial dissipation is a well known tool for the improvement of stability of numerical algorithms. However, the use of this technique affects the accuracy of the computation. We analyse various approaches proposed for enhancement of the Lattice Boltzmann Methods’ (LBM) stability. In...

Persistent link: https://www.econbiz.de/10011060829

Strange behaviors of interior-point methods for solving semidefinite programming problems in polynomial optimization

Waki, Hayato; Nakata, Maho; Muramatsu, Masakazu - In: Computational Optimization and Applications 53 (2012) 3, pp. 823-844

We observe that in a simple one-dimensional polynomial optimization problem (POP), the ‘optimal’ values of semidefinite programming (SDP) relaxation problems reported by the standard SDP solvers converge to the optimal value of the POP, while the true optimal values of SDP relaxation...

Persistent link: https://www.econbiz.de/10010847466

Numerical stability of symmetric solitary-wave-like waves of a two-layer fluid—Forced modified KdV equation

Kim, Hongjoong; Bae, Won-Soung; Choi, Jeongwhan - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 7, pp. 1219-1227

Forced internal waves at the interface of a two-layer incompressible fluid in a two-dimensional domain with rigid horizontal boundaries are studied. The lower boundary is assumed to have a small obstruction. We derive a time-dependent forced modified KdV equation when the KdV theory fails and...

Persistent link: https://www.econbiz.de/10011050884

A mass conserving boundary condition for the lattice Boltzmann method for tangentially moving walls

Coupanec, Erwan Le; Verschaeve, Joris C.G. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 12, pp. 2632-2645

In the present discussion a no-slip boundary condition for walls with a tangential movement is derived. The resulting closure is local, conserves mass exactly and is second order accurate with respect to the grid spacing. In addition it avoids the numerical instabilities observed for other types...

Persistent link: https://www.econbiz.de/10010870688

On stable and explicit numerical methods for the advection–diffusion equation

Witek, Marcin L.; Teixeira, Joao; Flatau, Piotr J. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 3, pp. 561-570

In this paper two stable and explicit numerical methods to integrate the one-dimensional (1D) advection–diffusion equation are presented. These schemes are stable by design and follow the main general concept behind the semi-Lagrangian method by constructing a virtual grid where the explicit...

Persistent link: https://www.econbiz.de/10011051236

Numerical study of an evolutive model for magnetostrictive materials

Cerimele, M.M.; Pistella, F.; Valente, V. - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 22-33

materials is proposed and results concerning the numerical stability are established. Experiments on a specific test problem are …

Persistent link: https://www.econbiz.de/10010749958