A new favorable iterative algorithm named as PBiCGSTAB （preconditioned bi-conjugate gradient stabilized） algorithm is presented for solving large sparse complex systems. Based on the orthogonal list, the special tec...A new favorable iterative algorithm named as PBiCGSTAB （preconditioned bi-conjugate gradient stabilized） algorithm is presented for solving large sparse complex systems. Based on the orthogonal list, the special technique of only storing non-zero elements is carried out. The incomplete LU factorization without fill-ins is adopted to reduce the condition number of the coefficient matrix. The BiCGSTAB algorithm is extended from the real system to the complex system and it is used to solve the preconditioned complex linear equations. The locked-rotor state of a single-sided linear induction machine is simulated by the software programmed with the finite element method and the PBiCGSTAB algorithm. Then the results are compared with those from the commercial software ANSYS, showing the validation of the proposed software. The iterative steps required for the proposed algorithm are reduced to about one-third, when compared to the BiCG method, therefore the algorithm is fast.展开更多
The goal of this paper is to study an output stabilization problem: the gradient stabilization for linear distributed systems. Firstly, we give definitions and properties of the gradient stability. Then we characteriz...The goal of this paper is to study an output stabilization problem: the gradient stabilization for linear distributed systems. Firstly, we give definitions and properties of the gradient stability. Then we characterize controls which stabilize the gradient of the state. We also give the stabilizing control which minimizes a performance given cost. The obtained results are illustrated by simulations in the case of one-dimensional distributed systems.展开更多
We develop a fast stochastic Galerkin method for an optimal control problem governed by a random space-fractional diffusion equation with deterministic constrained control. Optimal control problems governed by a fract...We develop a fast stochastic Galerkin method for an optimal control problem governed by a random space-fractional diffusion equation with deterministic constrained control. Optimal control problems governed by a fractional diffusion equation tends to provide a better description for transport or conduction processes in heterogeneous media. Howev- er, the fractional control problem introduces significant computation complexity due to the nonlocal nature of fractional differential operators, and this is further worsen by the large number of random space dimensions to discretize the probability space. We ap- proximate the optimality system by a gradient algorithm combined with the stochastic Galerkin method through the discretization with respect to both the spatial space and the probability space. The resulting linear system can be decoupled for the random and spatial variable, and thus solved separately. A fast preconditioned Bi-Conjugate Gradient Stabilized method is developed to efficiently solve the decoupled systems derived from the fractional diffusion operators in the spatial space. Numerical experiments show the utility of the method.展开更多
In this paper,a two dimensional(2D)fractional Black-Scholes(FBS)model on two assets following independent geometric Lévy processes is solved numerically.A high order convergent implicit difference scheme is const...In this paper,a two dimensional(2D)fractional Black-Scholes(FBS)model on two assets following independent geometric Lévy processes is solved numerically.A high order convergent implicit difference scheme is constructed and detailed numerical analysis is established.The fractional derivative is a quasidifferential operator,whose nonlocal nature yields a dense lower Hessenberg block coefficient matrix.In order to speed up calculation and save storage space,a fast bi-conjugate gradient stabilized(FBi-CGSTAB)method is proposed to solve the resultant linear system.Finally,one example with a known exact solution is provided to assess the effectiveness and efficiency of the presented fast numerical technique.The pricing of a European Call-on-Min option is showed in the other example,in which the influence of fractional derivative order and volatility on the 2D FBS model is revealed by comparing with the classical 2D B-S model.展开更多
文摘A new favorable iterative algorithm named as PBiCGSTAB （preconditioned bi-conjugate gradient stabilized） algorithm is presented for solving large sparse complex systems. Based on the orthogonal list, the special technique of only storing non-zero elements is carried out. The incomplete LU factorization without fill-ins is adopted to reduce the condition number of the coefficient matrix. The BiCGSTAB algorithm is extended from the real system to the complex system and it is used to solve the preconditioned complex linear equations. The locked-rotor state of a single-sided linear induction machine is simulated by the software programmed with the finite element method and the PBiCGSTAB algorithm. Then the results are compared with those from the commercial software ANSYS, showing the validation of the proposed software. The iterative steps required for the proposed algorithm are reduced to about one-third, when compared to the BiCG method, therefore the algorithm is fast.
文摘The goal of this paper is to study an output stabilization problem: the gradient stabilization for linear distributed systems. Firstly, we give definitions and properties of the gradient stability. Then we characterize controls which stabilize the gradient of the state. We also give the stabilizing control which minimizes a performance given cost. The obtained results are illustrated by simulations in the case of one-dimensional distributed systems.
基金This work was supported by the National Natural Science Foundation of China under grants 11371229, 11571026 and 11501326, and by the China Scholarship Council （File No. 2013083Y0102）.
文摘We develop a fast stochastic Galerkin method for an optimal control problem governed by a random space-fractional diffusion equation with deterministic constrained control. Optimal control problems governed by a fractional diffusion equation tends to provide a better description for transport or conduction processes in heterogeneous media. Howev- er, the fractional control problem introduces significant computation complexity due to the nonlocal nature of fractional differential operators, and this is further worsen by the large number of random space dimensions to discretize the probability space. We ap- proximate the optimality system by a gradient algorithm combined with the stochastic Galerkin method through the discretization with respect to both the spatial space and the probability space. The resulting linear system can be decoupled for the random and spatial variable, and thus solved separately. A fast preconditioned Bi-Conjugate Gradient Stabilized method is developed to efficiently solve the decoupled systems derived from the fractional diffusion operators in the spatial space. Numerical experiments show the utility of the method.
基金supported by the Natural Science Foundation of Fujian Province2017J01555,2017J01502,2017J01557 and 2019J01646the National NSF of China 11201077+1 种基金China Scholarship Fundthe Natural Science Foundation of Fujian Provincial Department of Education JAT160274
文摘In this paper,a two dimensional(2D)fractional Black-Scholes(FBS)model on two assets following independent geometric Lévy processes is solved numerically.A high order convergent implicit difference scheme is constructed and detailed numerical analysis is established.The fractional derivative is a quasidifferential operator,whose nonlocal nature yields a dense lower Hessenberg block coefficient matrix.In order to speed up calculation and save storage space,a fast bi-conjugate gradient stabilized(FBi-CGSTAB)method is proposed to solve the resultant linear system.Finally,one example with a known exact solution is provided to assess the effectiveness and efficiency of the presented fast numerical technique.The pricing of a European Call-on-Min option is showed in the other example,in which the influence of fractional derivative order and volatility on the 2D FBS model is revealed by comparing with the classical 2D B-S model.
