Questions tagged [numerics]

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Numerically estimating expected value of f(x) when x is normally distributed

I need to estimate $$ \mathbb{E}_x[f_i(x)] = \int_{\mathbb{R}^n} f_i(x) p(x) dx $$ for many functions $f_i(x)$, where $p(x)$ is the density of a normal distribution. The evaluation of all the ...
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0answers
17 views

Evaluate Nth root of a rational to a correctly rounded float

Excuse my lack of vocabulary for I have no formal training in this field, which is also why I ask this question - it may be trivial or it may be impossible. I want to evaluate an expression in the ...
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2answers
236 views

Boundary conditions for streamlines in enclosed flow

I am trying to solve Lid driven square cavity flow problem of Stokes equation using finite element method. I have boundary conditions for velocity as zeros on every boundary but u=1 on top boundary. ...
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0answers
23 views

How to compute the following Crank-Nicolson scheme for the viscous Burgers' Equation?

I am attempting to replicate results from this article. I'm not sure why but my results are wrong. Is anyone able to spot my mistake? I've included my code (in R) below. The Thomas algorithm was ...
7
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1answer
527 views

Time discretization of the variational formulation of the Navier-Stokes equation

I've asked this question on mathoverflow too. Let $T>0$ $I:=(0,T]$ $d\in\mathbb N$ $\Lambda\subseteq\mathbb R^d$ be nonempty and open, $$\mathcal V:=\left\{\phi\in C_c^\infty(\Lambda,\mathbb R^d):...
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1answer
94 views

Benchmark problems for eigenvalue reordering algorithms sought

Every real matrix $A$ can be reduce to real Schur form $T = U^T A U$ using an orthogonal similiary transform $U$. Here the matrix $T$ is quasi-triangular form with 1 by 1 or 2 by 2 blocks on the main ...
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2answers
282 views

(FEM) 1D time-dependent heat equation convergence problem

I'm simulating a simple 3-node bar with convection BCs at the edges to validate my FEM code. The following data was used: Initial temperature = 25 ºC Temperature surrounding the rod = 10 ºC Thermal ...
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1answer
55 views

How do I get power from gaussian beam numerically?

I would like to get the power from a Gaussian beam given a set of points at which electric field is evaluated. Please follow my reasoning and tell me what assumption maybe are wrong Power definition ...
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0answers
73 views

What's the more efficient way to solve this matrix equation?

This is intended to be a more generic question not about a specific system. Given a hermitian matrix $H(x_1,\dots,x_n)$ depending non-linearly on some real parameters $x_1,\dots,x_n$. We want these to ...
3
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0answers
68 views

Integrators for Nonlinear/Stiff PDE

It was suggested I ask this question in this section. Anyway: I have a particular nonlinear PDE of the form $$ u_t(x,t)=iu_{xx}(x,t)+f(x,u(x,t)) \tag{1} $$ Where f is some nonlinear function. With ...
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0answers
44 views

WENO scheme on curvilinear coordinates

I've been developing a curvilinear FVM code. So far I've implemented the PPM scheme and am looking into adding WENO schemes. So far I've been discretizing the grid metrics using a second-order central....
4
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1answer
237 views

Interpolating a mathematical function using a Hermite Cubic Finite Element Space

I have a Hermite Cubic Finite Element Space on a computer in the form of Matlab m-files. More specifically, I can evaluate four "shape functions" $N_1, N_2, N_3,$ and $N_4$, for which the following ...
2
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1answer
896 views

4th Order Runge Kutta: Integration of Differential Equations for Planetary Orbit

I'm supposed to integrate differential equations for $r$ and $\theta$ in order to simulate orbital motion. The differential equation I used for $r$ is second order and $\theta$ is first order. The end ...
3
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1answer
137 views

Computing expectations

I want to compute the following conditional expectation $E_{t}[\phi(A_{t+1}, \eta_{t+1})| A_t]$ where $\log A_{t}=\rho \log A_{t-1} + e_{t}$ and $e_{t}$ is IID $N~(0,\sigma_e)$ and $\eta_{t}$ is ...
1
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1answer
255 views

1-D turbulent energy spectra in homogeneous direction (non-isotropic)

I am trying to compute the one-dimensional energy spectra for my channel-flow simulation. I have already written a post-processing script to achieve this; however, I need to validate my code before ...
1
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1answer
56 views

How to get started with numerically solving a Stochastic Navier Stokes equation

I originally posted the question on the math stackexchange, and was told I should try here. I’m researching Stochastic PDE, in particular the Navier Stokes Equation, and would like to estimate the ...
6
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1answer
418 views

Inverse advection-diffusion problem, solving for a drift coefficient with experimental data?

I am investigating a physical process where I believe the 1-D advection-diffusion equation: \begin{equation} \frac{\partial u}{\partial t} = -\frac{\partial}{\partial x}[\mu(x,t) u(x,t)] + \frac{\...
2
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1answer
51 views

Computing face fluxes in FVM

In FVM, we have to compute fluxes at some face of a cell. There are many ways to compute this face flux value, but the most common and easiest way involves some simple averaging at the face. However, ...
4
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0answers
64 views

Complex differentiation of linear solvers

I have a linear system $$Ax=b$$ which I'm solving approximately, and I need to take the frechet derivative of x with respect to z. Were I solving the problem exactly (either analytically or to machine ...
1
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1answer
175 views

How I could calculate L2 norm of an unstructured grid?

I want to calculate L2 norm of a 3D unstructured grid to compare my simulation results in two different mesh sizes as coarse and fine. I read this answer and it seems in three-dimensional space, I ...
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38 views

Techniques to optimise the integral of a function of known analytical form

I need to compute repeatedly a function that depends on an integral. The integral is not solvable analytically, but it depends on the argument of the function parametrically, like this: $$ f(x) = \...
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3answers
3k views

Scientific computing vs numerical analysis

I'm a double major in computer science and mathematics. I love both subjects. I'm thinking in taking a graduate career, perhaps in scientific computing. What's the real difference between scientific ...
5
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2answers
489 views

Solving PDE with spatial and temporal derivatives on left hand side

I wish to solve an equation of the form, $$ \frac{\partial}{\partial t} \left( \frac{\partial \phi}{\partial x} \right) = -\frac{\partial}{\partial x}(\mathcal{F}) $$ for the variable $\phi$ (e.g. ...
1
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1answer
185 views

What does “strongly conservative” mean in the context of numerical methods?

I have a homework problem that asks me to show that 1st order unwinding or central differencing can give a strongly conservative, consistent scheme for the 1-D Burger's Equation using a finite volume ...
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0answers
58 views

How to use Wolfe-Powell step-size control in quasi-Newton method?

I'm trying to find the minimum of a function using the quasi-Newton method with the Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm. But I want to change the following implementation, so that: 1) ...
6
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1answer
88 views

Going back in time in an initial value problem

Consider an initial value problem (IVP) $y'=f(t,y)$ with the initial value given by $y(t=0) = 0$. If I need to find $y(t^*)$, hence finding the path for $y$ in $t \in [0,t^*]$ and $t^*<0$; is the ...
3
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1answer
72 views

How to show the stability of $L^2$ projection?

If $\mathcal{T}_h$ is a regular and quasi-uniform triangulation of $\Omega$, and $V_h$ is the $H^1$-conforming linear finite element space. Moreover, let $P_h$ be the $L^2$ projection to $V_h\subset H^...
3
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1answer
422 views

ground state from the Schroedinger equation with a central potential what happens to the origin

I have code that attempts to implement a solution to the Schrödinger equation where there is a central potential (more or less im thinking of hydrogen), in 1-D using the numerov method to construct ...
2
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1answer
139 views

In iterative methods, are matrix decompositions considered useful for implementation?

When we study an iterative method from textbooks, for example, see the Gauss-Seidel Method, the given matrix is decomposed with suitable splittings. In the example, $A = L+U$. So we can proceed with ...
7
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1answer
3k views

computing turbulent energy spectrum from isotropic turbulence flow field in a box

I have my 3 dimensional velocity flow-field u, v and w at a given instant of time from DNS using pseudo-spectral method. I need to calculate the energy spectrum ( in Fourier space ) as a function of ...
4
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1answer
153 views

Accurate way of getting the square root inverse of a positive definite symmetric matrix

What is the most accurate algorithm to get the square root inverse of a positive definite symmetric matrix? I am not looking as much for efficiency, though using quadruple precision computation is out ...
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27 views

Fit exponential convergence

I'm working with a numerical algorithm whose output $y$ asymptotically approaches a certain unknown value $a$. I expect an exponential convergence, i.e. the data $y$ given by my algorithm should be ...
3
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1answer
45 views

Stability region of explicit midpoint method

Consider the explicit midpoint method, i.e $$y_{n+1}-y_{n-1} = 2hf(y_n).$$ I'm asked to apply this method to the linear test equation, $f(y_n) = \lambda y_n,$ in order to find the method's stability ...
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0answers
31 views

How to show equivalence between two programs?

Consider the following space $A = \{(x_1,x_2,x_3)\in \mathbb{R}^3|x_1+x_2+x_3 = 1\}.$ Then say that we want to minimize a function $J(y):\mathbb{R}^{3}\to \mathbb{R}$ subjected to the constraint that $...
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1answer
79 views

How to : numerical integration by quadrature in C language / remove NaN

What I wanna solve it the problem following ( by quadrature method ) I want to get two arrays of data ( z & tau ) from z[0], tau[0] to z[2249], tau[2249]. Since the integrand diverges at z=0.9, ...
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0answers
57 views

Growing error from a smooth initial condition for Fisher KPP equation

I'm studying the Fisker-KPP equation on the line (and in $]0, 100[$ numerically): $$ \partial_t u = \Delta_{xx} u + u(1-u) $$ I notice a behavior I don't understand with a smooth initial condition $...
0
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1answer
145 views

Solving $n$ coupled equations numerically in Matlab

I would like to solve the following equations simultaneously and numerically for all $X, Y, Z, W$ where i = 1:Nw, j = 1:Nl, k = 1:K. $W_\text{net1}$, $W_\text{net2}...
1
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1answer
82 views

Dirichlet to Neumann Operator

EDIT: I am trying to specify my Question. Also I am not going to clearify which spaces I use, because I am only interested in the basic idea. I am looking at a standard elliptic second order PDE: \...
2
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0answers
36 views

How to determine the order of convergence of the Euler-Maruyama method?

This question is originally posted in Quant.StackExchange but has been unanswered for some time so I ask in here. To make this simple let us consider the Geometric Brownian Motions (GBM). My ...
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0answers
257 views

Numerical integral with a weakly singular kernel with a satisfactory precision

I am working on a numerical method for time fractional PDE. One problem is that I must compute a numerical integral of the following form: $$ \begin{equation} \int_0^{t_m} (t_m-s)^{-\beta}f(s)ds \end{...
7
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1answer
139 views

Element-wise thresholding a low-rank matrix in O(n) time?

Define the element-wise thresholding operator $T_\tau(\cdot)$ with threshold $\tau$ as $$ [T_\tau(X)]_{i,j} = \begin{cases} X_{i,j} &\mbox{if } |X_{i,j}| \ge \tau, \\ 0 & \mbox{if } |X_{i,j}|...
1
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1answer
466 views

Proper boundary conditions for potential flow around cylinder

I am computing the stationary, incompressible, inviscid and irrotational flow around a circular cylinder using a discretization in general coordinates. I derived a PDE and proper boundary conditions ...
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0answers
41 views

Singular Spectrum Analysis Explanation

I need you to help me understand the Singular Spectrum Analysis algorithm. I already read a lot of articles about the subject but they never answered my questions like what is the mathematical reason ...
13
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1answer
2k views

How to Run MPI-3.0 in shared memory mode like OpenMP

I am parallelizing code to numerically solve a 5 Dimensional population balance model. Currently I have a very good MPICH2 parallelized code in FORTRAN but as we increase parameter values the arrays ...
2
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2answers
70 views

Stability of Crank-Nicolson for $u_t = iu_{xx}+2iu$

I want to use the Crank-Nicolson scheme to solve the equation $$u_t = iu_{xx}+2iu$$ Here's the analysis: Suppose we make a grid, with $k = dt$ and $h = dx$, the usual notation, and also $u_j^n = u(...
0
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1answer
59 views

Fast Poisson solver (with Dirichlet BC zero) on a *truncated* Cartesian 3D grid

I find myself in the position of having to solve $-\Delta u = f$ on a subset of Cartesian grid points that don't necessarily form a cuboid domain subject to a homogenious Dirichlet boundary condition ...
0
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0answers
55 views

The final Boundary Condition is Unknown, Is Backward Euler is still valid to be implemented?

I am working on conductive polymer modeling and supposed to do one-dimensional diffusion model in the thickness of the polymer, however, due to the small value of thickness in micro, when I use the ...
5
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0answers
78 views

Numerical methods for the continuity equation with Sobolev vector field

Consider the continuity equation $$ \partial_t \rho(x,t) + \operatorname{div} (b(x,t) \rho(x,t)) = 0, \qquad t \in [0,T], \quad x \in \mathbb R^N, $$ with $b \in L^1((0,T), W^{1,p}(\mathbb R^N))$. ...
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0answers
29 views

Why does the correlation function of this stochastic differential equation starts at different points?

I am working with the following differential equation: The equation is $$x=\beta +\sqrt{2D} \xi(t)$$ where $\xi(t)$ is a white noise term, with a reflecting wall boundary conditions. After solving ...
2
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0answers
58 views

How to implement adaptive step size Runge-Kutta Cash-Karp?

Trying to implement an adaptive step size Runge-Kutta Cash-Karp but failing with this error: ...