Matrix method stability and robustness of compact schemes for parabolic PDEs
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2022
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| _version_ | 1866914654784061440 |
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| author | Goswami, Anindya Patel, Kuldip Singh |
| author_facet | Goswami, Anindya Patel, Kuldip Singh |
| contents | The fully discrete problem for convection-diffusion equation is considered. It comprises compact approximations for spatial discretization, and Crank-Nicolson scheme for temporal discretization. The expressions for the entries of inverse of tridiagonal Toeplitz matrix, and Gerschgorin circle theorem have been applied to locate the eigenvalues of the amplification matrix. An upper bound on the condition number of a relevant matrix is derived. It is shown to be of order $\mathcal{O}\left(\frac{δv}{δz^2}\right)$, where $δv$ and $δz$ are time and space step sizes respectively. Some numerical illustrations have been added to complement the theoretical findings. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2201_05854 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Matrix method stability and robustness of compact schemes for parabolic PDEs Goswami, Anindya Patel, Kuldip Singh Computational Finance The fully discrete problem for convection-diffusion equation is considered. It comprises compact approximations for spatial discretization, and Crank-Nicolson scheme for temporal discretization. The expressions for the entries of inverse of tridiagonal Toeplitz matrix, and Gerschgorin circle theorem have been applied to locate the eigenvalues of the amplification matrix. An upper bound on the condition number of a relevant matrix is derived. It is shown to be of order $\mathcal{O}\left(\frac{δv}{δz^2}\right)$, where $δv$ and $δz$ are time and space step sizes respectively. Some numerical illustrations have been added to complement the theoretical findings. |
| title | Matrix method stability and robustness of compact schemes for parabolic PDEs |
| topic | Computational Finance |
| url | https://arxiv.org/abs/2201.05854 |