Approximate factorization for time-dependent partial differential equations
The first application of approximate factorization in the numerical solution of time-dependent partial differential equations (PDEs) can be traced back to the celebrated papers of Peaceman and Rachford and of Douglas in 1955. For linear problems, the Peaceman-Rachford- Douglas method can be derived from the Crank-Nicolson method by the approximate factorization of the system matrix in the linear system to be solved. This factorization is based on a splitting of the system matrix. In the numerical solution of time-dependent PDEs we often encounter linear systems whose system matrix has a complicated structure, but can be split into a sum of matrices with a simple structure. In such cases, it is attractive to replace the system matrix by an approximate factorization based on this splitting. This contribution surveys various possibilities for applying approximate factorization to PDEs and presents a number of new stability results for the resulting integration methods.