By J. Douglas, Jr., R. B. Kellogg, and R. S. Varga We consider the iterative solution of the system of linear equations (1 ) (Xi + X-, + • ■ ■ + Xn)z = /, n 2; 2, where each Xj, 1 | j | n, is a Hermitian and positive definite N X N matrix. If n = 2, the iterative methods of Peaceman-Rachford [1, Chapter 7], or D'yakonov [2] and Kellogg [3], may be used to solve (1). In this paper these methods ...

This paper describes a new unconditionally stable numerical method for the full-wave physical modeling of semiconductor devices by a combination of the finite-difference Laguerre time-domain (FDLTD) and alternative direction implicit finite-difference time-domain (ADI-FDTD) approaches. The unconditionally stable method by using FDLTD scheme for the electromagnetic model and semi-implicit ADI-FD...

This paper is concerned with accurate and efficient numerical methods for solving viscous and nonviscous wave problems. The paper first introduces a new second-order PR-ADI like scheme. For an efficient simulation, the scheme is also extended to a highorder compact PRADI likemethod. Both of them have the advantages of unconditional stability, less impact of the perturbing terms on the accuracy,...

We propose a fast and stable numerical method to evaluate two-dimensional partial differential equation (PDE) for pricing arithmetic average Asian options. The numerical method is deduced by combining an alternating-direction technique and the central difference scheme on a piecewise uniform mesh. The numerical scheme is stable in the maximum norm, which is true for arbitrary volatility and arb...

This study was suggested by previous work on the simulation of evolution equations with scale-dependent processes, e.g., wave-propagation or heat-transfer, that are modeled by wave equations or heat equations. Here, we study both parabolic and hyperbolic equations. We focus on ADI (alternating direction implicit) methods and LOD (locally one-dimensional) methods, which are standard splitting me...

By J. Douglas, Jr., R. B. Kellogg, and R. S. Varga We consider the iterative solution of the system of linear equations (1 ) (Xi + X-, + • ■ ■ + Xn)z = /, n 2; 2, where each Xj, 1 | j | n, is a Hermitian and positive definite N X N matrix. If n = 2, the iterative methods of Peaceman-Rachford [1, Chapter 7], or D'yakonov [2] and Kellogg [3], may be used to solve (1). In this paper these methods ...

The modified Szabo wave equation is one of the various models that have been developed to model the power law frequency-dependent attenuation phenomena in lossy media. The purpose of this study is to develop two different efficient numerical methods for the two-dimensional Szabo equation and to compare the relative merits of each method. In both methods we employ the ADI scheme to split directi...

This study investigates the frequency-dependence of fluid flow in heterogeneous porous media using the theory of dynamic penneability and a finite-difference method. Given a penneability distribution, the dynamic penneability is applied locally to calculate the frequency-dependence of fluid flow at each local point. An iterative Alternating Direction Implicit finite-difference technique is appl...

The Peaceman-Rachford alternating direction implicit (ADI) scheme for linear time-dependent Maxwell equations is analyzed on a heterogeneous cuboid. Due to discontinuities of the material parameters, solution less than H2-regular in space. For ADI scheme, we prove rigorous time-discrete error bound with convergence rate that half an order lower classical one. Our statement imposes only assumpti...