1. A parallel preconditioner for the all-at-once linear system from evolutionary PDEs with Crank-Nicolson discretization
- Author
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Zhao, Yong-Liang, Gu, Xian-Ming, Oosterlee, Cornelis W., Zhao, Yong-Liang, Gu, Xian-Ming, and Oosterlee, Cornelis W.
- Abstract
The Crank-Nicolson (CN) method is a well-known time integrator for evolutionary partial differential equations (PDEs) arising in many real-world applications. Since the solution at any time depends on the solution at previous time steps, the CN method is inherently difficult to parallelize. In this paper, we consider a parallel method for the solution of evolutionary PDEs with the CN scheme. Using an all-at-once approach, we can solve for all time steps simultaneously using a parallelizable over time preconditioner within a standard iterative method. Due to the diagonalization of the proposed preconditioner, we can prove that most eigenvalues of preconditioned matrices are equal to 1 and the others lie in the set: $\left\{z\in\mathbb{C}: 1/(1 + \alpha) < |z| < 1/(1 - \alpha)~{\rm and}~\Re{\rm e}(z) > 0\right\}$, where $0 < \alpha < 1$ is a free parameter. Besides, the efficient implementation of the proposed preconditioner is described. Given certain conditions, we prove that the preconditioned GMRES method exhibits a mesh-independent convergence rate. Finally, we will verify both theoretical findings and the efficacy of the proposed preconditioner via numerical experiments on financial option pricing PDEs., Comment: 18 pages, 5 figures and 4 tables (update some contexts)
- Published
- 2024