Arbitrary order of convergence for Riesz fractional derivative via central difference method
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Publication:6374792
arXiv2108.03772MaRDI QIDQ6374792FDOQ6374792
Authors: Pui Ho Lam, H. C. So, C. F. Chan 
Publication date: 8 August 2021
Abstract: We propose a novel method to compute a finite difference stencil for Riesz derivative for artibitrary speed of convergence. This method is based on applying a pre-filter to the Gr"unwald-Letnikov type central difference stencil. The filter is obtained by solving for the inverse of a symmetric Vandemonde matrix and exploiting the relationship between the Taylor's series coefficients and fast Fourier transform. The filter costs Oleft(N^{2}
ight) operations to evaluate for Oleft(h^{N}
ight) of convergence, where h is the sampling distance. The higher convergence speed should more than offset the overhead with the requirement of the number of nodal points for a desired error tolerance significantly reduced. The benefit of progressive generation of the stencil coefficients for adaptive grid size for dynamic problems with the Gr"unwald-Letnikov type difference scheme is also kept because of the application of filtering. The higher convergence rate is verified through numerical experiments.
Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for integral transforms (65R10) Acceleration of convergence in numerical analysis (65B99)
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