arXiv subjects

Guanglian Li

Publications and source records attributed to Guanglian Li.

At least 37 records · Page 2Linked to original sources

arXiv2024

Wavelet-based Edge Multiscale Finite Element Methods for Singularly Perturbed Convection-Diffusion Equations

We propose a novel efficient and robust Wavelet-based Edge Multiscale Finite Element Method (WEMsFEM) motivated by \cite{MR3980476,GL18} to solve the singularly perturbed convection-diffusion equations. The main idea is to first establish a local splitting of the solution over a local region by a local bubble part and local Harmonic extension part, and then derive a global splitting by means of Partition of Unity. This facilitates a representation of the solution as a summation of a global bubble part and a global Harmonic extension part, where the first part can be computed locally in parallel. To approximate the second part, we construct an edge multiscale ansatz space locally with hierarchical bases as the local boundary data that has a guaranteed approximation rate \noteLg{both inside and outside of the layers}. The key innovation of this proposed WEMsFEM lies in a provable convergence rate with little restriction on the mesh size. Its convergence rate with respect to the computational degree of freedom is rigorously analyzed, which is verified by extensive 2-d and 3-d numerical tests.

math.NA↗

arXiv2024

Predicting band structures for 2D Photonic Crystals via Deep Learning

Photonic crystals (PhCs) are periodic dielectric structures that exhibit unique electromagnetic properties, such as the creation of band gaps where electromagnetic wave propagation is inhibited. Accurately predicting dispersion relations, which describe the frequency and direction of wave propagation, is vital for designing innovative photonic devices. However, traditional numerical methods, like the Finite Element Method (FEM), can encounter significant computational challenges due to the multiple scales present in photonic crystals, especially when calculating band structures across the entire Brillouin zone. To address this, we propose a supervised learning approach utilizing U-Net, along with transfer learning and Super-Resolution techniques, to forecast dispersion relations for 2D PhCs. Our model reduces computational expenses by producing high-resolution band structures from low-resolution data, eliminating the necessity for fine meshes throughout the Brillouin zone. The U-Net architecture enables the simultaneous prediction of multiple band functions, enhancing efficiency and accuracy compared to existing methods that handle each band function independently. Our findings demonstrate that the proposed model achieves high accuracy in predicting the initial band functions of 2D PhCs, while also significantly enhancing computational efficiency. This amalgamation of data-driven and traditional numerical techniques provides a robust framework for expediting the design and optimization of photonic crystals. The approach underscores the potential of integrating deep learning with established computational physics methods to tackle intricate multiscale problems, establishing a new benchmark for future PhC research and applications.

math.NA↗

arXiv2024

A deep primal-dual BSDE method for optimal stopping problems

We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which consists of subnetwork parameterization of a continuation value and spatial gradients from present up to the stopping time. Notable features of the method include: (i) The martingale part in the loss function reduces the variance of stochastic gradients, which facilitates the training of the neural networks as well as alleviates the error propagation of value function approximation; (ii) this martingale approximates the martingale in the Doob-Meyer decomposition, and thus leads to a true upper bound for the optimal value in a non-nested Monte Carlo way. We test the proposed method in American option pricing problems, where the spatial gradient network yields the hedging ratio directly.

q-fin.CP↗

arXiv2024

On Edge Multiscale Space based Hybrid Schwarz Preconditioner for Helmholtz Problems with Large Wavenumbers

In this work, we develop a novel hybrid Schwarz method, termed as edge multiscale space based hybrid Schwarz (EMs-HS), for solving the Helmholtz problem with large wavenumbers. The problem is discretized using $H^1$-conforming nodal finite element methods on meshes of size $h$ decreasing faster than $k^{-1}$ such that the discretization error remains bounded as the wavenumber $k$ increases. EMs-HS consists of a one-level Schwarz preconditioner (RAS-imp) and a coarse solver in a multiplicative way. The RAS-imp preconditioner solves local problems on overlapping subdomains with impedance boundary conditions in parallel, and combines the local solutions using partition of unity. The coarse space is an edge multiscale space proposed in [13]. The key idea is to first establish a local splitting of the solution over each subdomain by a local bubble part and local Helmholtz harmonic extension part, and then to derive a global splitting by means of the partition of unity. This facilitates representing the solution as the sum of a global bubble part and a global Helmholtz harmonic extension part. We prove that the EMs-HS preconditioner leads to a convergent fixed-point iteration uniformly for large wavenumbers, by rigorously analyzing the approximation properties of the coarse space to the global Helmholtz harmonic extension part and to the solution of the adjoint problem. Distinctly, the theoretical convergence analysis are valid in two extreme cases: using minimal overlapping size among subdomains (of order $h$), or using coarse spaces of optimal dimension (of magnitude $k^d$, where $d$ is the spatial dimension). We provide extensive numerical results on the sharpness of the theoretical findings and also demonstrate the method on challenging heterogeneous models.

math.NA↗

arXiv2024

An hp-Adaptive Sampling Algorithm for Dispersion Relation Reconstruction of 3D Photonic Crystals

In this work we investigate the computation of dispersion relation (i.e., band functions) for three-dimensional photonic crystals, formulated as a parameterized Maxwell eigenvalue problem, using a novel hp-adaptive sampling algorithm. We develop an adaptive sampling algorithm in the parameter domain such that local elements with singular points are refined at each iteration, construct a conforming element-wise polynomial space on the adaptive mesh such that the distribution of the local polynomial spaces reflects the regularity of the band functions, and define an element-wise Lagrange interpolation operator to approximate the band functions. We rigorously prove the convergence of the algorithm. To illustrate the significant potential of the algorithm, we present two numerical tests with band gap optimization.

math.NA↗

arXiv2024

Wavelet-based Edge Multiscale Parareal Algorithm for subdiffusion equations with heterogeneous coefficients in a large time domain

We present the Wavelet-based Edge Multiscale Parareal (WEMP) Algorithm, recently proposed in [Li and Hu, {\it J. Comput. Phys.}, 2021], for efficiently solving subdiffusion equations with heterogeneous coefficients in long time. This algorithm combines the benefits of multiscale methods, which can handle heterogeneity in the spatial domain, and the strength of parareal algorithms for speeding up time evolution problems when sufficient processors are available. Our algorithm overcomes the challenge posed by the nonlocality of the fractional derivative in previous parabolic problem work by constructing an auxiliary problem on each coarse temporal subdomain to completely uncouple the temporal variable. We prove the approximation properties of the correction operator and derive a new summation of exponential to generate a single-step time stepping scheme, with the number of terms of $\mathcal{O}(|\log{τ_f}|^2)$ independent of the final time, where $τ_f$ is the fine-scale time step size. We establish the convergence rate of our algorithm in terms of the mesh size in the spatial domain, the level parameter used in the multiscale method, the coarse-scale time step size, and the fine-scale time step size. Finally, we present several numerical tests that demonstrate the effectiveness of our algorithm and validate our theoretical results.

math.NA↗

arXiv2024

Neural option pricing for rough Bergomi model

The rough Bergomi (rBergomi) model can accurately describe the historical and implied volatilities, and has gained much attention in the past few years. However, there are many hidden unknown parameters or even functions in the model. In this work, we investigate the potential of learning the forward variance curve in the rBergomi model using a neural SDE. To construct an efficient solver for the neural SDE, we propose a novel numerical scheme for simulating the volatility process using the modified summation of exponentials. Using the Wasserstein 1-distance to define the loss function, we show that the learned forward variance curve is capable of calibrating the price process of the underlying asset and the price of the European-style options simultaneously. Several numerical tests are provided to demonstrate its performance.

q-fin.CP↗

arXiv2023

An hp-Adaptive Sampling Algorithm on Dispersion Relation Reconstruction for 2D Photonic Crystals

Computing the dispersion relation for two-dimensional photonic crystals is a notoriously challenging task: It involves solving parameterized Helmholtz eigenvalue problems with high-contrast coefficients. To resolve the challenge, we propose a novel hp-adaptive sampling scheme that can detect singular points via adaptive mesh refinement in the parameter domain, and meanwhile, allow for adaptively enriching the local polynomial spaces on the elements that do not contain singular points. In this way, we obtain an element-wise interpolation on an adaptive mesh. We derive an exponential convergence rate when the number of singular points is finite, and a first-order convergence rate otherwise. Numerical tests are provided to illustrate its performance.

math.NA↗

arXiv2023

Dispersion relation reconstruction for 2D Photonic Crystals based on polynomial interpolation

Dispersion relation reflects the dependence of wave frequency on its wave vector when the wave passes through certain material. It demonstrates the properties of this material and thus it is critical. However, dispersion relation reconstruction is very time consuming and expensive. To address this bottleneck, we propose in this paper an efficient dispersion relation reconstruction scheme based on global polynomial interpolation for the approximation of 2D photonic band functions. Our method relies on the fact that the band functions are piecewise analytic with respect to the wave vector in the first Brillouin zone. We utilize suitable sampling points in the first Brillouin zone at which we solve the eigenvalue problem involved in the band function calculation, and then employ Lagrange interpolation to approximate the band functions on the whole first Brillouin zone. Numerical results show that our proposed methods can significantly improve the computational efficiency.

math.NA↗

arXiv2023

On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets

In this work, we develop a novel efficient quadrature and sparse grid based polynomial interpolation method to price American options with multiple underlying assets. The approach is based on first formulating the pricing of American options using dynamic programming, and then employing static sparse grids to interpolate the continuation value function at each time step. To achieve high efficiency, we first transform the domain from $\mathbb{R}^d$ to $(-1,1)^d$ via a scaled tanh map, and then remove the boundary singularity of the resulting multivariate function over $(-1,1)^d$ by a bubble function and simultaneously, to significantly reduce the number of interpolation points. We rigorously establish that with a proper choice of the bubble function, the resulting function has bounded mixed derivatives up to a certain order, which provides theoretical underpinnings for the use of sparse grids. Numerical experiments for American arithmetic and geometric basket put options with the number of underlying assets up to 16 are presented to validate the effectiveness of the approach.

math.NA↗

arXiv2021

On the Numerical Approximation of the Karhunen-Loève Expansion for Random Fields with Random Discrete Data

Many physical and mathematical models involve random fields in their input data. Examples are ordinary differential equations, partial differential equations and integro--differential equations with uncertainties in the coefficient functions described by random fields. They also play a dominant role in problems in machine learning. In this article, we do not assume to have knowledge of the moments or expansion terms of the random fields but we instead have only given discretized samples for them. We thus model some measurement process for this discrete information and then approximate the covariance operator of the original random field. Of course, the true covariance operator is of infinite rank and hence we can not assume to get an accurate approximation from a finite number of spatially discretized observations. On the other hand, smoothness of the true (unknown) covariance function results in effective low rank approximations to the true covariance operator. We derive explicit error estimates that involve the finite rank approximation error of the covariance operator, the Monte-Carlo-type errors for sampling in the stochastic domain and the numerical discretization error in the physical domain. This permits to give sufficient conditions on the three discretization parameters to guarantee that an error below a prescribed accuracy $\varepsilon$ is achieved.

math.NA↗

arXiv2020

Wavelet-based Edge Multiscale Parareal Algorithm for Parabolic Equations with Heterogeneous Coefficients

We propose in this paper the Wavelet-based Edge Multiscale Parareal (WEMP) Algorithm to efficiently solve parabolic equations with heterogeneous coefficients. This algorithm combines the advantages of multiscale methods that can deal with heterogeneity in the spacial domain effectively, and the strength of parareal algorithms for speeding up time evolution problems when sufficient processors are available. We derive the convergence rate of this algorithm in terms of the mesh size in the spatial domain, the level parameter used in the multiscale method, the coarse-scale time step and the fine-scale time step. Several numerical tests are presented to demonstrate the performance of our algorithm, which verify our theoretical results perfectly.

math.NA↗

arXiv2019

Relaxation Augmented Free Energy Perturbation

Inspired by the recent development on calculating the free energy change via a relaxation process [Nat. Phys. 14, 842 (2018)], we investigate the role of heat released in an irreversible relaxation following a large perturbation. Utilizing a derivation without microscopic reversibility, we arrive at a new free energy estimator that employs a volume term to account for missing important rare events. Applications to harmonic oscillators and particle insertion in Lennard-Jones fluid agree well with the (numerical) exact solutions. Our study hence suggests an alternative interpretation to the insufficient sampling problem in free energy calculations.

physics.chem-ph↗

arXiv2019

On the Numerical Approximation of the Karhunen-Loève Expansion for Lognormal Random Fields

The Karhunen-Loève (KL) expansion is a popular method for approximating random fields by transforming an infinite-dimensional stochastic domain into a finite-dimensional parameter space. Its numerical approximation is of central importance to the study of PDEs with random coefficients. In this work, we analyze the approximation error of the Karhunen-Loève expansion for lognormal random fields. We derive error estimates that allow the optimal balancing of the truncation error of the expansion, the Quasi Monte-Carlo error for sampling in the stochastic domain and the numerical approximation error in the physical domain. The estimate is given in the number $M$ of terms maintained in the KL expansion, in the number of sampling points $N$, and in the discretization mesh size $h$ in the physical domain employed in the numerical solution of the eigenvalue problems during the expansion. The result is used to quantify the error in PDEs with random coefficients. We complete the theoretical analysis with numerical experiments in one and multiple stochastic dimensions.

math.NA↗

arXiv2019

Wavelet-based Edge Multiscale Finite Element Method for Helmholtz problems in perforated domains

We introduce a new efficient algorithm for Helmholtz problems in perforated domains with the design of the scheme allowing for possibly large wavenumbers. Our method is based upon the Wavelet-based Edge Multiscale Finite Element Method (WEMsFEM) as proposed recently in [14]. For a regular coarse mesh with mesh size H, we establish O(H) convergence of this algorithm under the resolution assumption, and with the level parameter being sufficiently large. The performance of the algorithm is demonstrated by extensive 2-dimensional numerical tests including those motivated by photonic crystals.

math.NA↗

arXiv2019

Homogenization of time-fractional diffusion equations with periodic coefficients

We consider the initial boundary value problem for the time-fractional diffusion equation with a homogeneous Dirichlet boundary condition and an inhomogeneous initial data $a(x)\in L^{2}(D)$ in a bounded domain $D\subset \mathbb{R}^d$ with a sufficiently smooth boundary. We analyze the homogenized solution under the assumption that the diffusion coefficient $κ^ε(x)$ is smooth and periodic with the period $ε>0$ being sufficiently small. We derive that its first order approximation has a convergence rate of $\mathcal{O}(ε^{1/2})$ when the dimension $d\leq 2$ and $\mathcal{O}(ε^{1/6})$ when $d=3$. Several numerical tests are presented to show the performance of the first order approximation.

math.NA↗

arXiv2018

Edge Multiscale Methods for elliptic problems with heterogeneous coefficients

In this paper, we proposed two new types of edge multiscale methods motivated by \cite{GL18} to solve Partial Differential Equations (PDEs) with high-contrast heterogeneous coefficients: Edge spectral multiscale Finte Element method (ESMsFEM) and Wavelet-based edge multiscale Finite Element method (WEMsFEM). Their convergence rates for elliptic problems with high-contrast heterogeneous coefficients are demonstrated in terms of the coarse mesh size $H$, the number of spectral basis functions and the level of the wavelet space $\ell$, which are verified by extensive numerical tests.

math.NA↗

arXiv2018

On the Degree of Ill-Posedness of Multi-Dimensional Magnetic Particle Imaging

Magnetic particle imaging is an imaging modality of relatively recent origin, and it exploits the nonlinear magnetization response for reconstructing the concentration of nanoparticles. Since first invented in 2005, it has received much interest in the literature. In this work, we study one prototypical mathematical model in multi-dimension, i.e., the equilibrium model, which formulates the problem as a linear Fredholm integral equation of the first kind. We analyze the degree of ill-posedness of the associated linear integral operator by means of the singular value decay estimate for Sobolev smooth bivariate functions, and discuss the influence of various experimental parameters. In particular, applied magnetic fields with a field free point and a field free line are distinguished. The study is complemented with extensive numerical experiments.

math.NA↗