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Matrix decomposition algorithms for elliptic boundary value problems: a survey

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Abstract

We provide an overview of matrix decomposition algorithms (MDAs) for the solution of systems of linear equations arising when various discretization techniques are applied in the numerical solution of certain separable elliptic boundary value problems in the unit square. An MDA is a direct method which reduces the algebraic problem to one of solving a set of independent one-dimensional problems which are generally banded, block tridiagonal, or almost block diagonal. Often, fast Fourier transforms (FFTs) can be employed in an MDA with a resulting computational cost of O(N 2 logN) on an N × N uniform partition of the unit square. To formulate MDAs, we require knowledge of the eigenvalues and eigenvectors of matrices arising in corresponding two–point boundary value problems in one space dimension. In many important cases, these eigensystems are known explicitly, while in others, they must be computed. The first MDAs were formulated almost fifty years ago, for finite difference methods. Herein, we discuss more recent developments in the formulation and application of MDAs in spline collocation, finite element Galerkin and spectral methods, and the method of fundamental solutions. For ease of exposition, we focus primarily on the Dirichlet problem for Poisson’s equation in the unit square, sketch extensions to other boundary conditions and to more involved elliptic problems, including the biharmonic Dirichlet problem, and report extensions to three dimensional problems in a cube. MDAs have also been used extensively as preconditioners in iterative methods for solving linear systems arising from discretizations of non-separable boundary value problems.

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  1. Department of Mathematical and Computer Sciences, Colorado School of Mines, Golden, CO, 80401-1887, USA

    Bernard Bialecki

  2. Mathematical Reviews, American Mathematical Society, 416 Fourth Street, Ann Arbor, MI, 48103, USA

    Graeme Fairweather

  3. Department of Mathematics and Statistics, University of Cyprus, Nicosia, 1678, Cyprus

    Andreas Karageorghis

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  1. Bernard Bialecki
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Bialecki, B., Fairweather, G. & Karageorghis, A. Matrix decomposition algorithms for elliptic boundary value problems: a survey. Numer Algor 56, 253–295 (2011). https://doi.org/10.1007/s11075-010-9384-y

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