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Quantitative Finance · Glosarium

Apa itu Alternating direction implicit method?

Definition 27.11 Quantitative Methods · Bab 27 — Finite-Difference Methods

An alternating direction implicit method (Peaceman and Rachford, 1955; Douglas and Rachford, 1956) splits a multi-dimensional operator L=A0+A1+A2L = A_0 + A_1 + A_2, with A1A_1 and A2A_2 acting along one coordinate each and A0A_0 the mixed-derivative part, and treats one direction implicitly at a time. The Douglas scheme is Y0=Un+ΔτLUnY_0 = U^n + \Delta\tau LU^n, Yj=Yj−1+θΔτAj(Yj−Un)Y_j = Y_{j-1} + \theta\Delta\tau A_j(Y_j - U^n) for j=1,2j = 1, 2, Un+1=Y2U^{n+1} = Y_2.

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