A local Crank-Nicolson method for solving the heat equation (Q1327726)

The classical Crank-Nicolson method for the numerical solution of boundary value problems connected with the heat equation has, as is pointed out by the authors, one serious draw-back: It involves a huge coefficient matrix. By factorizing the semigroup generated by this matrix in terms of the Trotter product [cf. \textit{H. F. Trotter}, Proc. Am. Math. Soc. 10, 545-551 (1959; Zbl 0099.104)] one is led to a splitting of the matrix and a formulation of a scheme -- a local Crank-Nicolson method -- which is explicit and shown to be unconditionally stable. In a numerical test the method also yields better approximations than the classical Crank-Nicolson method.