Uniform convergence of V-cycle multigrid algorithms for two-dimensional fractional Feynman-Kac equation

In this paper we derive new uniform convergence estimates for the V-cycle MGM applied to symmetric positive definite Toeplitz block tridiagonal matrices, by also discussing few connections with previous results. More concretely, the contributions of this paper are as follows: (1) It tackles the Toeplitz systems directly for the elliptic PDEs. (2) Simple (traditional) restriction operator and prolongation operator are employed in order to handle general Toeplitz systems at each level of the recursion. Such a technique is then applied to systems of algebraic equations generated by the difference scheme of the two-dimensional fractional Feynman-Kac equation, which describes the joint probability density function of non-Brownian motion. In particular, we consider the two coarsening strategies, i.e., doubling the mesh size (geometric MGM) and Galerkin approach (algebraic MGM), which lead to the distinct coarsening stiffness matrices in the general case: however, several numerical experiments show that the two algorithms produce almost the same error behaviour.Comment: 26 page

Spectral behavior of preconditioned non-Hermitian multilevel block Toeplitz matrices with matrix-valued symbol

This note is devoted to preconditioning strategies for non-Hermitian multilevel block Toeplitz linear systems associated with a multivariate Lebesgue integrable matrix-valued symbol. In particular, we consider special preconditioned matrices, where the preconditioner has a band multilevel block Toeplitz structure, and we complement known results on the localization of the spectrum with global distribution results for the eigenvalues of the preconditioned matrices. In this respect, our main result is as follows. Let $I_k:=(-\pi,\pi)^k$, let $\mathcal M_s$ be the linear space of complex $s\times s$ matrices, and let $f,g:I_k\to\mathcal M_s$ be functions whose components $f_{ij},\,g_{ij}:I_k\to\mathbb C,\ i,j=1,\ldots,s,$ belong to $L^\infty$. Consider the matrices $T_n^{-1}(g)T_n(f)$, where $n:=(n_1,\ldots,n_k)$ varies in $\mathbb N^k$ and $T_n(f),T_n(g)$ are the multilevel block Toeplitz matrices of size $n_1\cdots n_ks$ generated by $f,g$. Then $\{T_n^{-1}(g)T_n(f)\}_{n\in\mathbb N^k}\sim_\lambda g^{-1}f$, i.e. the family of matrices $\{T_n^{-1}(g)T_n(f)\}_{n\in\mathbb N^k}$ has a global (asymptotic) spectral distribution described by the function $g^{-1}f$, provided $g$ possesses certain properties (which ensure in particular the invertibility of $T_n^{-1}(g)$ for all $n$) and the following topological conditions are met: the essential range of $g^{-1}f$, defined as the union of the essential ranges of the eigenvalue functions $\lambda_j(g^{-1}f),\ j=1,\ldots,s$, does not disconnect the complex plane and has empty interior. This result generalizes the one obtained by Donatelli, Neytcheva, Serra-Capizzano in a previous work, concerning the non-preconditioned case $g=1$. The last part of this note is devoted to numerical experiments, which confirm the theoretical analysis and suggest the choice of optimal GMRES preconditioning techniques to be used for the considered linear systems.Comment: 18 pages, 26 figure