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Runge-Kutta schemes for backward stochastic differential equations  [PDF]
Jean-Fran?ois Chassagneux,Dan Crisan
Mathematics , 2014, DOI: 10.1214/13-AAP933
Abstract: We study the convergence of a class of Runge-Kutta type schemes for backward stochastic differential equations (BSDEs) in a Markovian framework. The schemes belonging to the class under consideration benefit from a certain stability property. As a consequence, the overall rate of the convergence of these schemes is controlled by their local truncation error. The schemes are categorized by the number of intermediate stages implemented between consecutive partition time instances. We show that the order of the schemes matches the number $p$ of intermediate stages for $p\le3$. Moreover, we show that the so-called order barrier occurs at $p=3$, that is, that it is not possible to construct schemes of order $p$ with $p$ stages, when $p>3$. The analysis is done under sufficient regularity on the final condition and on the coefficients of the BSDE.
Implicit Runge-Kutta schemes for optimal control problems with evolution equations  [PDF]
Thomas G. Flaig
Mathematics , 2013,
Abstract: In this paper we discuss the use of implicit Runge-Kutta schemes for the time discretization of optimal control problems with evolution equations. The specialty of the considered discretizations is that the discretizations schemes for the state and adjoint state are chosen such that discretization and optimization commute. It is well known that for Runge-Kutta schemes with this property additional order conditions are necessary. We give sufficient conditions for which class of schemes these additional order condition are automatically fulfilled. The focus is especially on implicit Runge-Kutta schemes of Gauss, Radau IA, Radau IIA, Lobatto IIIA, Lobatto IIIB and Lobatto IIIC collocation type up to order six. Furthermore we also use a SDIRK (singly diagonally implicit Runge-Kutta) method to demonstrate, that for general implicit Runge-Kutta methods the additional order conditions are not automatically fulfilled. Numerical examples illustrate the predicted convergence rates.
Acceleration of Runge-Kutta integration schemes  [PDF]
Phailaung Phohomsiri,Firdaus E. Udwadia
Discrete Dynamics in Nature and Society , 2004, DOI: 10.1155/s1026022604311039
Abstract: A simple accelerated third-order Runge-Kutta-type, fixed time step, integration scheme that uses just two function evaluations per step is developed. Because of the lower number of function evaluations, the scheme proposed herein has a lower computational cost than the standard third-order Runge-Kutta scheme while maintaining the same order of local accuracy. Numerical examples illustrating the computational efficiency and accuracy are presented and the actual speedup when the accelerated algorithm is implemented is also provided.
Classification of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations  [PDF]
Kristian Debrabant,Andreas R??ler
Mathematics , 2013, DOI: 10.1016/j.matcom.2007.04.016
Abstract: In the present paper, a class of stochastic Runge-Kutta methods containing the second order stochastic Runge-Kutta scheme due to E. Platen for the weak approximation of It\^o stochastic differential equation systems with a multi-dimensional Wiener process is considered. Order one and order two conditions for the coefficients of explicit stochastic Runge-Kutta methods are solved and the solution space of the possible coefficients is analyzed. A full classification of the coefficients for such stochastic Runge-Kutta schemes of order one and two with minimal stage numbers is calculated. Further, within the considered class of stochastic Runge-Kutta schemes coefficients for optimal schemes in the sense that additionally some higher order conditions are fulfilled are presented.
Error Analysis of Explicit Partitioned Runge-Kutta Schemes for Conservation Laws  [PDF]
Willem Hundsdorfer,David I. Ketcheson,Igor Savostianov
Mathematics , 2013,
Abstract: An error analysis is presented for explicit partitioned Runge-Kutta methods and multirate methods applied to conservation laws. The interfaces, across which different methods or time steps are used, lead to order reduction of the schemes. Along with cell-based decompositions, also flux-based decompositions are studied. In the latter case mass conservation is guaranteed, but it will be seen that the accuracy may deteriorate.
Optimized explicit Runge-Kutta schemes for the spectral difference method applied to wave propagation problems  [PDF]
M. Parsani,D. I. Ketcheson,W. Deconinck
Computer Science , 2012,
Abstract: Explicit Runge-Kutta schemes with large stable step sizes are developed for integration of high order spectral difference spatial discretization on quadrilateral grids. The new schemes permit an effective time step that is substantially larger than the maximum admissible time step of standard explicit Runge-Kutta schemes available in literature. Furthermore, they have a small principal error norm and admit a low-storage implementation. The advantages of the new schemes are demonstrated through application to the Euler equations and the linearized Euler equations.
Preconditioning of fully implicit Runge-Kutta schemes for parabolic PDEs
Gunnar A. Staff,Kent-Andre Mardal,Trygve K. Nilssen
Modeling, Identification and Control , 2006, DOI: 10.4173/mic.2006.2.3
Abstract: Recently, the authors introduced a preconditioner for the linear systems that arise from fully implicit Runge-Kutta time stepping schemes applied to parabolic PDEs (9). The preconditioner was a block Jacobi preconditioner, where each of the blocks were based on standard preconditioners for low-order time discretizations like implicit Euler or Crank-Nicolson. It was proven that the preconditioner is optimal with respect to the timestep and the discretization parameter in space. In this paper we will improve the convergence by considering other preconditioners like the upper and the lower block Gauss-Seidel preconditioners, both in a left and right preconditioning setting. Finally, we improve the condition number by using a generalized Gauss-Seidel preconditioner.
Implicit-Explicit Runge-Kutta schemes for numerical discretization of optimal control problems  [PDF]
Michael Herty,Lorenzo Pareschi,Sonja Steffensen
Mathematics , 2012,
Abstract: Implicit-explicit (IMEX) Runge-Kutta methods play a major rule in the numerical treatment of differential systems governed by stiff and non-stiff terms. This paper discusses order conditions and symplecticity properties of a class of IMEX Runge-Kutta methods in the context of optimal control problems. The analysis of the schemes is based on the continuous optimality system. Using suitable transformations of the adjoint equation, order conditions up to order three are proven as well as the relation between adjoint schemes obtained through different transformations is investigated. Conditions for the IMEX Runge-Kutta methods to be symplectic are also derived. A numerical example illustrating the theoretical properties is presented.
Implicit-explicit Runge-Kutta schemes and applications to hyperbolic systems with relaxation  [PDF]
L. Pareschi,G. Russo
Physics , 2010,
Abstract: We consider new implicit-explicit (IMEX) Runge-Kutta methods for hyperbolic systems of conservation laws with stiff relaxation terms. The explicit part is treated by a strong-stability-preserving (SSP) scheme, and the implicit part is treated by an L-stable diagonally implicit Runge-Kutta methods (DIRK). The schemes proposed are asymptotic preserving (AP) in the zero relaxation limit. High accuracy in space is obtained by Weighted Essentially Non Oscillatory (WENO) reconstruction. After a description of the mathematical properties of the schemes, several applications will be presented.
Symplectic Runge-Kutta schemes for adjoint equations, automatic differentiation, optimal control and more  [PDF]
J. M. Sanz-Serna
Mathematics , 2015,
Abstract: It is well known that symplectic Runge-Kutta and Partitioned Runge-Kutta methods exactly preserve {\em quadratic} first integrals (invariants of motion) of the system being integrated. While this property is often seen as a mere curiosity (it does not hold for arbitrary first integrals), it plays an important role in the computation of numerical sensitivities, optimal control theory and Lagrangian mechanics, as described in this paper, which, together with some new material, presents in a unified way a number of results now scattered or implicit in the literature. Some widely used procedures, such as the direct method in optimal control theory and the computation of sensitivities via reverse accumulation imply "hidden" integrations with symplectic Partitioned Runge-Kutta schemes.
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