Convergence of the compact finite difference method for second-order elliptic equations (Q858814)

The authors give a fourth-order compact finite difference scheme for one-dimensional two point boundary value problems and two-dimensional elliptic partial differential equations. By decomposing the coefficient matrix into a sum of several matrices after discretizing the original problem, they obtain a lower bound for the smallest eigenvalue of the coefficient matrix. Thus they prove that the scheme is convergent and has fourth-order accuracy. In order to solve the discretized tri-diagonal matrix equations for 2D elliptic PDEs, the authors develop an efficient iterative method: The full multigrid method. Numerical experiments confirm that the compact difference scheme is an accurate, efficient and convergent method.