An optimal algorithm for certain boundary value problem (Q1372105)

This paper deals with the following system of differential equations, \(-u''= g(x,u)\), \(a\leq x\leq b\), with the boundary condition \(u(a)= u_0\), \(u(b)= u_{n+1}\). The authors approximate this system by the following finite difference scheme with the global error \(O(h^4)\): \(-L_hv_i= g(x_i, v_i)\), \(i=1,2,\dots, n\); \(v_0= u_0\), \(v_{n+1}= u_{n+1}\), where \(v_i= v(x_i)\), \(x_i= a+ih\), \(i= 0,1,\dots,n+1\), \(h= (b-a)/(n+1)\), and the finite difference operator \(L_h\) is given by \[ \begin{aligned} L_hv_i & = (v_{i-1}- 2v_i+ v_{i+1})/h^2\quad\text{for } i=1,n;\\ L_hv_i & = (-v_{i-2}+ 16v_{i-1}- 30v_i+ 16v_{i+1}- v_{i+2})/12h^2\quad\text{for }i=2,\dots,n- 1.\end{aligned} \] The factorization is used to derive an optimal algorithm for solving a linear system of equations with the pentadiagonal matrix. A Mathematica module designed for the purpose of testing and using the method is attached.