An optimal algorithm for certain boundary value problem

Nonlinear boundary value problems for ordinary differential equations (34B15) Numerical solution of boundary value problems involving ordinary differential equations (65L10) Finite difference and finite volume methods for ordinary differential equations (65L12) Error bounds for numerical methods for ordinary differential equations (65L70)

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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.

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