We propose a numerical approach, of the BGK kinetic type, that is able to approximate with a given, but arbitrary, order of accuracy the solution of linear and non-linear convection-diffusion type problems: scalar advection-diffusion, non-linear scalar problems of this type and the compressible Navier-Stokes equations. Our kinetic model can use \emph{finite} advection speeds that are independent of the relaxation parameter, and the time step does not suffer from a parabolic constraint. Having finite speeds is in contrast with many of the previous works about this kind of approach, and we explain why this is possible: paraphrasing more or less \cite{golse:hal-00859451}, the convection-diffusion like PDE is not a limit of the BGK equation, but a correction of the same PDE without the parabolic term at the second order in the relaxation parameter that is interpreted as Knudsen number. We then show that introducing a matrix collision instead of the well-known BGK relaxation makes it possible to target a desired convection-diffusion system. Several numerical examples, ranging from a simple pure diffusion model to the compressible Navier-Stokes equations illustrate our approach
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