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We give an algorithm to compute $N$ steps of a convolution quadrature approximation to a continuous temporal convolution using only $O(N\, \log N)$ multiplications and $O(\log N)$ active memory. The method does not require evaluations of the convolution kernel, but instead $O(\log N)$ evaluations of its Laplace transform, which is assumed sectorial. The algorithm can be used for the stable numerical solution with quasi-optimal complexity of linear and nonlinear integral and integro-differential equations of convolution type. In a numerical example we apply it to solve a subdiffusion equation with transparent boundary conditions.
MEXX (short for MEXanical systems eXtrapolation integrator) is a Fortran code for time integration of constrained mechanical systems. MEXX is suited for direct integration of the equations of motion in descriptor form. It is based on extrapolation of a time stepping method that is explicit in the differential equations and linearly implicit in the nonlinear constraints. It only requires the solution of well--structured systems of linear equations which can be solved with a computational work growing linearly with the number of bodies, in the case of multibody systems with few closed kinematic loops. Position and velocity constraints are enforced throughout the integration interval, whereas acceleration constraints need not be formulated. MEXX has options for time--continuous solution representation (useful for graphics) and for the location of events such as impacts. The present article describes MEXX and its underlying concepts.
To approximate convolutions which occur in evolution equations with memory terms, a variable-stepsize algorithm is presented for which advancing $N$ steps requires only $O(N\log N)$ operations and $O(\log N)$ active memory, in place of $O(N^2)$ operations and $O(N)$ memory for a direct implementation. A basic feature of the fast algorithm is the reduction, via contour integral representations, to differential equations which are solved numerically with adaptive step sizes. Rather than the kernel itself, its Laplace transform is used in the algorithm. The algorithm is illustrated on three examples: a blow-up example originating from a Schrödinger equation with concentrated nonlinearity, chemical reactions with inhibited diffusion, and viscoelasticity with a fractional order constitutive law.
The result after $N$ steps of an implicit Runge-Kutta time discretization of an inhomogeneous linear parabolic differential equation is computed, up to accuracy $\varepsilon$, by solving only $$O\Big(\log N\, \log \frac1\varepsilon \Big) $$ linear systems of equations. We derive, analyse, and numerically illustrate this fast algorithm.