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All sourcesNASA NTRSDOE OSTI
DOE OSTI2018

A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models

A front-fixing finite element method is applied to solve the partial integro-differential equations (PIDEs) arising in pricing American options under Markov-modulated jump-diffusion models with the free boundaries feature. For this purpose, we used a front-fixing method to transform the pricing problem into a nonlinear parabolic integro-differential equation on a fixed domain. Then the variational form of the resulting problem is solved by a finite element method. Under some appropriate assumptions, we establish the stability of the method and illustrate some numerical results to examine the rate of convergence of the proposed method for the pricing problem and compare its accuracy to some recent works on pricing American options under regime-switching jump-diffusion models.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2017

A Continuous-Discontinuous Hybrid Finite Element Method for S{sub N} Transport

Particle transport phenomenon for neutral particles, such as neutrons and photons, is governed by the linear Boltzmann equation, which is a first-order partial differential equation (PDE). In order to solve the transport equation, discontinuous finite element method (DFEM) is heavily developed. However, the large memory consumption due to the extra degrees of freedom is problematic in multi-D calculations. Another path is to recast the transport equation to a second-order form, such as the well-known self-adjoint angular flux equation (SAAF) and the even parity equations, and spatially discretize the equation using continuous finite element method (CFEM). Yet, such forms generally have problems in void situation as the streaming operator contains a 1/σ{sub t} term and becomes singular in void, which draws numerous efforts on developing void-treatment methods. An intuition to mitigate the shortcomings of both methods is then to develop a method that utilizes DFEM in part of the problem where CFEM has issues while in the other part, CFEM is employed to avoid DFEM's high cost. In this work, we present a novel continuous-discontinuous finite element method (CDFEM) for solving the discrete-ordinates (S{sub N}) transport equations. We perform the hybridization between 1/σ{sub t}-weighted least-squares finite element methods (1/σ{sub t}-LSFEM), with continuous basis functions, and first-order solver. Different solvers are defined in different regions, or subdomains, of the problem. The resulting scheme is such that CFEM-SAAF is performed in subdomains with continuous basis functions while upwinding based DFEM solver is utilized in subdomains with discontinuous basis functions. The connection between subdomains is through an upwinding operation on the interface, which can be performed via the sweep procedure. A foreseeable benefit is such a scheme is compatible with void as first-order DFEM solver can be used in void. On the other hand, as DFEM is only used in part of the problem, CDFEM can effectively avoid the notorious memory consumption of DFEM in multi-D calculation for the future work.

73 NUCLEAR PHYSICS AND RADIATION PHYSICS↗
DOE OSTI2013

An angularly refineable phase space finite element method with approximate sweeping procedure

An angularly refineable phase space finite element method is proposed to solve the neutron transport equation. The method combines the advantages of two recently published schemes. The angular domain is discretized into small patches and patch-wise discontinuous angular basis functions are restricted to these patches, i.e. there is no overlap between basis functions corresponding to different patches. This approach yields block diagonal Jacobians with small block size and retains the possibility for S{sub n}-like approximate sweeping of the spatially discontinuous elements in order to provide efficient preconditioners for the solution procedure. On the other hand, the preservation of the full FEM framework (as opposed to collocation into a high-order S{sub n} scheme) retains the possibility of the Galerkin interpolated connection between phase space elements at arbitrary levels of discretization. Since the basis vectors are not orthonormal, a generalization of the Riemann procedure is introduced to separate the incoming and outgoing contributions in case of unstructured meshes. However, due to the properties of the angular discretization, the Riemann procedure can be avoided at a large fraction of the faces and this fraction rapidly increases as the level of refinement increases, contributing to the computational efficiency. In this paper the properties of the discretization scheme are studied with uniform refinement using an iterative solver based on the S{sub 2} sweep order of the spatial elements. The fourth order convergence of the scalar flux is shown as anticipated from earlier schemes and the rapidly decreasing fraction of required Riemann faces is illustrated. (authors)

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2017

A simple finite element method for non-divergence form elliptic equation

Here, we develop a simple finite element method for solving second order elliptic equations in non-divergence form by combining least squares concept with discontinuous approximations. This simple method has a symmetric and positive definite system and can be easily analyzed and implemented. We could have also used general meshes with polytopal element and hanging node in the method. We prove that our finite element solution approaches to the true solution when the mesh size approaches to zero. Numerical examples are tested that demonstrate the robustness and flexibility of the method.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2019

A high-order multiscale finite-element method for time-domain elastic wave modeling in strongly heterogeneous media

Efficient and accurate numerical methods for elastic wave modeling in complex media have many important applications. However, it is fairly challenging to model elastic wave propagation in strongly heterogeneous media with high computational efficiency and high-order accuracy simultaneously. We develop a novel high-order multiscale finite-element method to model elastic wave propagation in strongly heterogeneous media in the time domain. The most important feature of our method is a generalization of standard multiscale finite element method by using high-order multiscale finite-element basis functions to capture the fine-scale heterogeneities on the coarse mesh, in contrast to conventional finite-element basis functions that are merely determined by the order of polynomials. These multiscale basis functions leads to a system matrix with significantly reduced dimension, thus enable us to solve the elastic wave equation on the coarse mesh with high-order accuracy and very low computational time cost. In conclusion, we use 2D and 3D numerical examples to demonstrate the superior efficiency and accuracy of our new modeling method compared with the conventional spectral-element method.

58 GEOSCIENCES↗
DOE OSTI2020

Modular Finite Element Methods

MFEM is a free, lightweight, scalable C++ library for finite element methods. The goal of MFEM is to enable research and development of scalable finite element discretization and solver algorithms through general finite element abstractions, accurate and flexible visualization, and tight integration with the hypre library. Conceptually, MFEM can be viewed as a finite element toolbox that provides the building blocks for developing finite element algorithms in a manner similar to that of MATLAB for linear algebra methods.

ECP↗
DOE OSTI2015

Peridynamic Multiscale Finite Element Methods

The problem of computing quantum-accurate design-scale solutions to mechanics problems is rich with applications and serves as the background to modern multiscale science research. The prob- lem can be broken into component problems comprised of communicating across adjacent scales, which when strung together create a pipeline for information to travel from quantum scales to design scales. Traditionally, this involves connections between a) quantum electronic structure calculations and molecular dynamics and between b) molecular dynamics and local partial differ- ential equation models at the design scale. The second step, b), is particularly challenging since the appropriate scales of molecular dynamic and local partial differential equation models do not overlap. The peridynamic model for continuum mechanics provides an advantage in this endeavor, as the basic equations of peridynamics are valid at a wide range of scales limiting from the classical partial differential equation models valid at the design scale to the scale of molecular dynamics. In this work we focus on the development of multiscale finite element methods for the peridynamic model, in an effort to create a mathematically consistent channel for microscale information to travel from the upper limits of the molecular dynamics scale to the design scale. In particular, we first develop a Nonlocal Multiscale Finite Element Method which solves the peridynamic model at multiple scales to include microscale information at the coarse-scale. We then consider a method that solves a fine-scale peridynamic model to build element-support basis functions for a coarse- scale local partial differential equation model, called the Mixed Locality Multiscale Finite Element Method. Given decades of research and development into finite element codes for the local partial differential equation models of continuum mechanics there is a strong desire to couple local and nonlocal models to leverage the speed and state of the art of local models with the flexibility and accuracy of the nonlocal peridynamic model. In the mixed locality method this coupling occurs across scales, so that the nonlocal model can be used to communicate material heterogeneity at scales inappropriate to local partial differential equation models. Additionally, the computational burden of the weak form of the peridynamic model is reduced dramatically by only requiring that the model be solved on local patches of the simulation domain which may be computed in parallel, taking advantage of the heterogeneous nature of next generation computing platforms. Addition- ally, we present a novel Galerkin framework, the 'Ambulant Galerkin Method', which represents a first step towards a unified mathematical analysis of local and nonlocal multiscale finite element methods, and whose future extension will allow the analysis of multiscale finite element methods that mix models across scales under certain assumptions of the consistency of those models.

42 ENGINEERING↗
DOE OSTI2013

An implementation analysis of the linear discontinuous finite element method

This paper provides an implementation analysis of the linear discontinuous finite element method (LD-FEM) that spans the space of (l, x, y, z). A practical implementation of LD includes 1) selecting a computationally efficient algorithm to solve the 4 x 4 matrix system Ax = b that describes the angular flux in a mesh element, and 2) choosing how to store the data used to construct the matrix A and the vector b to either reduce memory consumption or increase computational speed. To analyze the first of these, three algorithms were selected to solve the 4 x 4 matrix equation: Cramer's rule, a streamlined implementation of Gaussian elimination, and LAPACK's Gaussian elimination subroutine dgesv. The results indicate that Cramer's rule and the streamlined Gaussian elimination algorithm perform nearly equivalently and outperform LAPACK's implementation of Gaussian elimination by a factor of 2. To analyze the second implementation detail, three formulations of the discretized LD-FEM equations were provided for implementation in a transport solver: 1) a low-memory formulation, which relies heavily on 'on-the-fly' calculations and less on the storage of pre-computed data, 2) a high-memory formulation, which pre-computes much of the data used to construct A and b, and 3) a reduced-memory formulation, which lies between the low - and high-memory formulations. These three formulations were assessed in the Jaguar transport solver based on relative memory footprint and computational speed for increasing mesh size and quadrature order. The results indicated that the memory savings of the low-memory formulation were not sufficient to warrant its implementation. The high-memory formulation resulted in a significant speed advantage over the reduced-memory option (10-50%), but also resulted in a proportional increase in memory consumption (5-45%) for increasing quadrature order and mesh count; therefore, the practitioner should weigh the system memory constraints against any required runtime constraints to determine which option is more suitable for his or her specific applications. (authors)

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2018

Mixed finite-element method for multi-term time-fractional diffusion and diffusion-wave equations

In this paper, numerical theory based on the mixed finite-element method and finite difference analog of the Caputo fractional derivative for multi-term time-fractional diffusion equations and diffusion-wave equations is analyzed. The unconditional stability and convergence results are proved for the two resulting fully discrete schemes. Finally, the obtained results are supported by numerical experiments carried out for some test problems.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2018

Galerkin finite element method for time-fractional stochastic diffusion equations

In this paper, Galerkin finite element method for solving the time-fractional stochastic diffusion equations with multiplicative noise is proposed and investigated. The pathwise regularity properties of solutions to the semidiscrete Galerkin approximations are demonstrated and the convergence of optimal rates are derived. And also we construct the fully discrete scheme which is based on the approximations of the Mittag–Leffler function and analyze the error estimates of convergence in L{sub 2}-norm space. Finally, numerical results are conducted to confirm our theoretical findings.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2019

Initial study of notch sensitivity of Grade 91 using mechanisms motivated crystal plasticity finite element method

This report describes the development of a crystal plasticity finite element method (CPFEM) model for the multiaxial creep rupture of Grade 91 steel. The report demonstrates that core blocks in heat pipe reactor designs will see significantly different stress states than those typically found in conventional advanced reactor components where structures can often be represented as thin-walled pressure vessels. Current design practice uses effective stress measures calibrated to biaxial creep test data to account for the effect of stress multiaxiality on rupture life. Because these models rely on biaxial data they may not be accurate for the truly 3D, triaxial states found in heat pipe microreactor core blocks. A physically-based model, like the CPFEM model developed here, may be able to more accurately represent creep rupture under triaxial stresses when compared to conventional, empirical methods. This report describes the development, implementation, and validation of such a model and then applies the model to predict the effect of stress triaxiality on rupture in Grade 91 steel. The model results are used to assess the effective stress measures currently used in high temperature design codes and makes specific recommendations on improving these effective stresses to better account for the effect of 3D stress states on rupture in Grade 91. The validation and then implementation of these recommendations in design codes and standards could lead to safer, more effective heat pipe microreactor core block designs.

36 MATERIALS SCIENCE↗
DOE OSTI2016

A new weak Galerkin finite element method for elliptic interface problems

We introduce and analyze a new weak Galerkin (WG) finite element method in this paper for solving second order elliptic equations with discontinuous coefficients and interfaces. Comparing with the existing WG algorithm for solving the same type problems, the present WG method has a simpler variational formulation and fewer unknowns. Moreover, the new WG algorithm allows the use of finite element partitions consisting of general polytopal meshes and can be easily generalized to high orders. Optimal order error estimates in both H1 and L2 norms are established for the present WG finite element solutions. We conducted extensive numerical experiments in order to examine the accuracy, flexibility, and robustness of the proposed WG interface approach. In solving regular elliptic interface problems, high order convergences are numerically confirmed by using piecewise polynomial basis functions of high degrees. Moreover, the WG method is shown to be able to accommodate very complicated interfaces, due to its flexibility in choosing finite element partitions. Finally, in dealing with challenging problems with low regularities, the piecewise linear WG method is capable of delivering a second order of accuracy in L∞ norm for both C1 and H2 continuous solutions.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2024

A Characteristics Approach to the Finite Element Method

Herein, we present a new method for solving the linear Boltzmann transport equation. Two commonly used and well-understood methods for solving partial differential equations are the method of characteristics (MOC) and the finite element method (FEM). We propose a new method that combines the fundamental concept of the FEM with the analytic solution from the MOC to obtain coefficients for the FEM basis function expansion. Traditionally, coefficients for the FEM basis function expansion are obtained via matrix inversion. Instead, we solve for the coefficients with the MOC and represent the underlying fields with the basis function expansion using these coefficients. We provide a convergence study for our method with results from two sets of FEM basis functions: Gauss-Legendre and Gauss-Lobatto sets. We also compare two different variations of our method categorized as short characteristics and intermediate characteristics.

42 ENGINEERING↗
DOE OSTI2018

Generalized Multiscale Finite Element Methods with energy minimizing oversampling

In this work, we propose a general concept for constructing multiscale basis functions within Generalized Multiscale Finite Element Method, which uses oversampling and stable decomposition. The oversampling refers to using larger regions in constructing multiscale basis functions and stable decomposition allows estimating the local errors. The analysis of multiscale methods involves decomposing the error by coarse regions, where each error contribution is estimated. In this estimate, we often use oversampling techniques to achieve a fast convergence. We demonstrate our concepts in the mixed, the Interior Penalty Discontinuous Galerkin, and Hybridized Discontinuous Galerkin discretizations. One of the important features of the proposed basis functions is that they can be used in online Generalized Multiscale Finite Element Method, where one constructs multiscale basis functions using residuals. In these problems, it is important to achieve a fast convergence, which can be guaranteed if we have a stable decomposition. In our numerical results, we present examples for both offline and online multiscale basis functions. Our numerical results show that one can achieve a fast convergence when using online basis functions. Moreover, we observe that coupling using Hybridized Discontinuous Galerkin provides a better accuracy compared with Interior Penalty Discontinuous Galerkin, which is due to using multiscale glueing functions.

42 ENGINEERING↗
DOE OSTI2016

A blended continuous–discontinuous finite element method for solving the multi-fluid plasma model

The multi-fluid plasma model represents electrons, multiple ion species, and multiple neutral species as separate fluids that interact through short-range collisions and long-range electromagnetic fields. The model spans a large range of temporal and spatial scales, which renders the model stiff and presents numerical challenges. To address the large range of timescales, a blended continuous and discontinuous Galerkin method is proposed, where the massive ion and neutral species are modeled using an explicit discontinuous Galerkin method while the electrons and electromagnetic fields are modeled using an implicit continuous Galerkin method. This approach is able to capture large-gradient ion and neutral physics like shock formation, while resolving high-frequency electron dynamics in a computationally efficient manner. The details of the Blended Finite Element Method (BFEM) are presented. The numerical method is benchmarked for accuracy and tested using two-fluid one-dimensional soliton problem and electromagnetic shock problem. The results are compared to conventional finite volume and finite element methods, and demonstrate that the BFEM is particularly effective in resolving physics in stiff problems involving realistic physical parameters, including realistic electron mass and speed of light. The benefit is illustrated by computing a three-fluid plasma application that demonstrates species separation in multi-component plasmas.

70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗
DOE OSTI2013

A multiscale modeling technique for bridging molecular dynamics with finite element method

In computational mechanics, molecular dynamics (MD) and finite element (FE) analysis are well developed and most popular on nanoscale and macroscale analysis, respectively. MD can very well simulate the atomistic behavior, but cannot simulate macroscale length and time due to computational limits. FE can very well simulate continuum mechanics (CM) problems, but has the limitation of the lack of atomistic level degrees of freedom. Multiscale modeling is an expedient methodology with a potential to connect different levels of modeling such as quantum mechanics, molecular dynamics, and continuum mechanics. This study proposes a new multiscale modeling technique to couple MD with FE. The proposed method relies on weighted average momentum principle. A wave propagation example has been used to illustrate the challenges in coupling MD with FE and to verify the proposed technique. Furthermore, 2-Dimensional problem has also been used to demonstrate how this method would translate into real world applications. -- Highlights: •A weighted averaging momentum method is introduced for bridging molecular dynamics (MD) with finite element (FE) method. •The proposed method shows excellent coupling results in 1-D and 2-D examples. •The proposed method successfully reduces the spurious wave reflection at the border of MD and FE regions. •Big advantages of the proposed method are simplicity and inexpensive computational cost of multiscale analysis.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2019

Unified Geometric Multigrid Algorithm for Hybridized High-Order Finite Element Methods

In this paper, we consider a standard elliptic partial differential equation and propose a geometric multigrid algorithm based on Dirichlet-to-Neumann (DtN) maps for hybridized high-order finite element methods. The proposed unified approach is applicable to any locally conservative hybridized finite element method including multinumerics with different hybridized methods in different parts of the domain. For these methods, the linear system involves only the unknowns residing on the mesh skeleton, and constructing intergrid transfer operators is therefore not trivial. The key to our geometric multigrid algorithm is the physics-based energy-preserving intergrid transfer operators which depend only on the fine scale DtN maps. Thanks to these operators, we completely avoid upscaling of parameters and no information regarding subgrid physics is explicitly required on coarse meshes. Moreover, our algorithm is agglomeration-based and can straightforwardly handle unstructured meshes. We perform extensive numerical studies with hybridized mixed methods, hybridized discontinuous Galerkin methods, weak Galerkin methods, and hybridized versions of interior penalty discontinuous Galerkin methods on a range of elliptic problems including subsurface flow through highly heterogeneous porous media. We compare the performance of different smoothers and analyze the effect of stabilization parameters on the scalability of the multigrid algorithm.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2019

Modeling curved interfaces without element‐partitioning in the extended finite element method

Summary In this paper, we model holes and material interfaces (weak discontinuities) in two‐dimensional linear elastic continua using the extended finite element method on higher‐order (spectral) finite element meshes. Arbitrary parametric curves such as rational Bézier curves and cubic Hermite curves are adopted in conjunction with the level set method to represent curved interfaces. Efficient computation of weak form integrals with polynomial integrands is realized via the homogeneous numerical integration scheme—a method that uses Euler's homogeneous function theorem and Stokes' theorem to reduce integration to the boundary of the domain. Numerical integration on cut elements requires the evaluation of a one‐dimensional integral over a parametric curve, and hence, the need to partition curved elements is eliminated. To improve stiffness matrix conditioning, ghost penalty stabilization and the Jacobi preconditioner are used. For material interface problems, we develop an enrichment function that captures weak discontinuities on spectral meshes. Taken together, we show through numerical experiments that these advances deliver optimal algebraic rates of convergence with h ‐refinement ( p =1,2,…,5) and exponential rates of convergence with p ‐refinement ( p =1,2,…,7) for elastostatic problems with holes and material inclusions on Cartesian p th‐order spectral finite element meshes.

Chin, Eric B.↗