Acta Mathematica Scientia 2018,38B(6):1689–1711

http://actams.wipm.ac.cn

ALTERNATING DIRECTION IMPLICIT OSC

SCHEME FOR THE TWO-DIMENSIONAL
FRACTIONAL EVOLUTION EQUATION WITH
A WEAKLY SINGULAR KERNEL∗

Haixiang ZHANG ( Ü°‰) Xuehua YANG ( Ès) †

Laboratory of Computational Physics, Institute of Applied Physics and Computational Mathematics,

P.O. Box 8009, Beijing 100088, China;
School of Science, Hunan University of Technology, Zhuzhou 412007, China
E-mail : hassenzhang@163.com; hunanshidayang@163.com

Da XU ( MŒ)
Department of Mathematics, Hunan Normal University, Changsha 410081, China
E-mail : daxu@hunnu.edu.cn

Abstract In this paper, a new kind of alternating direction implicit (ADI) Crank-Nicolson-
type orthogonal spline collocation (OSC) method is formulated for the two-dimensional frac-
tional evolution equation with a weakly singular kernel arising in the theory of linear viscoelas-
ticity. The novel OSC method is used for the spatial discretization, and ADI Crank-Nicolson-
type method combined with the second order fractional quadrature rule are considered for the
temporal component. The stability of proposed scheme is rigourously established, and nearly
optimal order error estimate is also derived. Numerical experiments are conducted to support
the predicted convergence rates and also exhibit expected super-convergence phenomena.
Key words fractional equation; orthogonal spline collocation scheme; alternating direction
implicit; stability; convergence
2010 MR Subject Classification 65M70; 65M12; 35R11

1 Introduction
In this paper, we study ADI OSC method for two-dimensional fractional evolution equation
with a weakly singular kernel [1–4]
Z t
β(t − s)
ut = ∆u(x, y, s)ds + f (x, y, t), (x, y, t) ∈ ΩT ≡ Ω × (0, T ] (1.1)
0 Γ(α)
∗ Received August 31, 2017; revised March 6, 2018. This research was supported by National Nature Science

Foundation of China (11701168, 11601144 and 11626096), Hunan Provincial Natural Science Foundation of China
(2018JJ3108, 2018JJ3109 and 2018JJ4062), Scientific Research Fund of Hunan Provincial Education Department
(16K026 and YB2016B033), and China Postdoctoral Science Foundation (2018M631403).
† Corresponding author: Xuehua YANG.
1690 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

with the initial conditions

u(x, y, 0) = ϕ(x, y), (x, y) ∈ Ω = Ω ∪ ∂Ω, (1.2)
and boundary conditions
u(x, y, t) = 0, (x, y, t) ∈ ∂Ω × (0, T ]. (1.3)
Here ut = ∂u∂t , the kernel β(t − s) = (t − s)
α−1
is singular at t = s, 0 < α < 1, ∆ is the two-
dimensional Laplacian operator, Ω = (0, 1) × (0, 1) with boundary ∂Ω, ϕ(x, y) and f (x, y, t)
are given sufficiently smooth functions in their respective domains. Equation of form (1.1)
arises in problems concerned with heat flow in materials with memory and in linear viscoelastic
problems [5, 6]. For example, in linear viscoelasticity, when we consider the propagation of some
properties such as singularities in the boundary data into a medium, this equation is regarded
as a model problem called the Rayleigh problem [5, 7]. However, because β(t − s) = (t − s)α−1
has a strong singularity at the origin, that is, lim β(t−s) = ∞, eq. (1.1) can only be regarded
t−s→0
as intermediate between parabolic and hyperbolic [5]. This case is particularly interesting in
viscoelasticity because it might be smooth the solution when the boundary data is discontinuous
[5]. As we all know that the first term in the right-hand side of (1.1) is the Riemann-Liouville
fractional integral of order α [8]. In linear viscoelasticity, the Riemann-Liouville fractional
integral term represents the viscosity part of the equation.
The potential applications of model (1.1) motivate the design and analysis of numerical
schemes that have optimal convergence rates. Li and Xu [2] presented an ADI-Euler finite
differences methods (FDM) for (1.1)–(1.3) and obtained first-order accuracy in time and second-
order accuracy in space. Chen et al. [1] formulated fractional trapezoidal rule ADI FDM for
(1.1)–(1.3) and proved that the methods are second-order accuracy in space and 1 + α in time.
Xu [9, 10] presented finite element methods (FEM) for a partial integro-differential equation
with a weakly singular kernel. Chen et al. [11–13] developed a spectral and pseudospectral
scheme for the fractional evolution equations on a infinite spatial domain. Liu et al. [14–
16] discussed finite element method for the fractional evolution equations. Fairweather et al.
[17, 18] examined spline collocations for (1.1)–(1.3) where the kernel β(t) is assumed to be
smooth for t ≥ 0 and β(0) > 0. However, their analysis does not extent to equations (1.1)–(1.3)
with a strong singularity at the origin. In this paper, we extend OSC method to (1.1)–(1.3)
with lim β(t − s) = ∞. A Crank-Nicolson-type strategy is combined with a second order
t−s→0
fractional convolution quadrature rule to overcome the aforementioned singularity.
The popularity of OSC method is due in part to their conceptual simplicity, wide applica-
bility, and ease of implementation [19]. One obvious advantage of spline collocation methods is
that the calculation of the coefficients in the equations determining the approximate solution
is very efficient, since no integrals need to be evaluated or approximated unlike finite element
Galerkin methods. Also OSC method can show continuous approximations to the solution
and its spatial derivatives at all points of the domain of the problem and allow for arbitrarily
high-order accuracy in the spatial approximation unlike finite difference methods. Recently,
we formulated OSC and ADI OSC methods to solve fractional partial differential equations
[20, 21].
A brief outline of the remainder of this paper is as follows. In Section 2, standard notations
and basic lemmas are presented. The Crank-Nicolson-type ADI OSC method is formulated
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1691

in Section 3, followed by a stability analysis of the scheme in Section 4. In Section 5, we

derive error estimates in the L2 norm. In Section 6, we present several numerical experiments
which confirm the analytical rates of convergence and exhibit superconvergence. Moreover, we
compare the present ADI OSC method with the high-order ADI FDM proposed in [1, 2, 22].
Some concluding remarks are provided at last.

2 Mathematical Preliminaries
In this section we present several results needed in the sequel. For positive integers r, Nx ,
Ny
Ny , let δx = {xi }N
i=0 and δy = {yj }j=0 be two partitions of I = [0, 1] such that
x

0 = x0 < x1 < · · · < xNx = 1, 0 = y0 < y1 < · · · < yNy = 1.

Set
Ikx = (xk−1 , xk ), hxk = xk − xk−1 , 1 ≤ k ≤ Nx ,

Ily = (yl−1 , yl ), hyl = yl − yl−1 , 1 ≤ l ≤ Ny ,

 
and h = max max hxk , max hyl . It is assumed that the collection of partitions δ = δx × δy
1≤k≤Nx 1≤l≤Ny
of Ω is quasi-uniform [23].
Let M(r, δx ) and M(r, δy ) be the spaces of piecewise polynomials of degree ≤ r, r ≥ 3,
defined by
n o
¯ v| x ∈ Pr , k = 1, 2, · · · , Nx , v(0) = v(1) = 0 ,
M(r, δx ) = v|v ∈ C 1 (I), Ik
n o
¯ v| y ∈ Pr , l = 1, 2, · · · , Ny , v(0) = v(1) = 0 ,
M(r, δy ) = v|v ∈ C 1 (I), I l

where Pr denotes the set of polynomials of degree at most r. Then we let M(δ) be the space
of piecewise polynomials in x and y given by

M(δ) = M(r, δx ) ⊗ M(r, δy ),

that is, the set of all functions that are finite linear combinations of products v x (x)v y (y), where
v x ∈ M(r, δx ), v y ∈ M(r, δy ), dim M(δ) = (r − 1)2 Nx Ny .
r−1
Let {λk }k=1 , with 0 < λ1 < λ2 < · · · < λr−1 < 1, denote the nodes of the (r − 1)-
point Gauss quadrature rule on the interval I with corresponding weights {ωk }r−1 k=1 , and let
x Nx ,r−1 y Ny ,r−1
Λx = {ξi,k }i,k=1 and Λy = {ξj,l }j,l=1 be the sets of Gauss points in the x- and y-directions,
respectively, where
x
ξi,k = xi−1 + λk hxi , 1 ≤ k ≤ r − 1, 1 ≤ i ≤ Nx ,
y
ξj,l = yj−1 + λl hyj , 1 ≤ l ≤ r − 1, 1 ≤ j ≤ Ny .

Then Λ = {ξ|ξ = (ξ x , ξ y ), ξ x ∈ Λx , ξ y ∈ Λy } is the set of Gauss collocation points in Ω.

For u and v defined on Λ, we define the discrete inner product h·, ·i and norm k · kD by
Nx
X r−1
X
hu, vix (y) = hxi x
ωk (uv)(ξi,k , y), y ∈ I,
i=1 k=1
1692 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

Ny r−1
X X
hu, viy (x) = hyj y
ωl (uv)(x, ξj,l ), x ∈ I,
j=1 l=1

Ny
Nx X r−1 X
r−1
X X
hu, vi = hxi hyj x
ωk ωl (uv)(ξi,k y
, ξj,l ), kvk2D = hv, vi.
i=1 j=1 k=1 l=1

For ℓ a nonnegative integer, we denote by

α +α 2 ! 21
X ∂ 1 2f
kf kH ℓ = (2.1)
∂xα1 ∂y α2
0≤α1 +α2 ≤ℓ

the norm on the Sobolev space H ℓ (Ω), where k·k denotes the usual L2 norm, sometimes written
as k · kH 0 for convenience.
If X is a normed space with norm k ·kX , then we denote by C ([0, T ], X) the set of functions
f ∈ C(ΩT ) ≡ C 0,0,0 (ΩT ) such that f (·, t) ∈ X for t ∈ [0, T ], and

kf kC([0,T ],X) = max kf (·, t)kX < ∞.

0≤t≤T

i+j+n
∂ f
Let C p,q,s (ΩT ) denote the set of functions f (x, y, t) such that ∂x i ∂y j ∂tn is continuous on

ΩT for 0 ≤ i ≤ p, 0 ≤ j ≤ q, and 0 ≤ n ≤ s. If f ∈ C p,q,s (ΩT ), then kf kC p,q,s is defined by

 i+j+n 
 ∂ f 
kf kC p,q,s = max max  i j l  .
0≤i≤p,0≤j≤q,0≤n≤s (x,y,t)∈ΩT ∂x ∂y ∂t

Next we present several lemmas required in the stability and convergence analyses.
Lemma 2.1 (see [17, Lemma 3.3]) For U, V ∈ M(δ), then
Z   Z   X
Nx
∂U ∂V ∂U ∂V
h−∆U, V i = , + , + Cr (xi − xi−1 )2r−1
x ∂x ∂x y y ∂y ∂y x i=1
  X
Ny  r  
∂rU ∂rV 2r−1 ∂ U ∂rV
× , (yj − yj−1 ) , , (2.2)
∂xr ∂xr y j=1 ∂y r ∂y r x
R
where Cr is positive constant that depends only on r, and the x and y subscript to indicate
the variable of integration.
Lemma 2.2 If we choose a tensor product basis for M(δ), when U, V ∈ M(δ) are of the
form U = U1 (x)U2 (y) and V = V1 (x)V2 (y), then
 2   2 
∂ U1 ∂ U2
h−∆U, V i = − , V1 hU2 , V2 iy − hU1 , V1 ix , V2 , (2.3)
∂x2 x ∂y 2 y

see [24, eq. (3.7)];

     
∂4V ∂ 2 V1 ∂ 2 V2
,V = , V1 , V2 ≤ C kV k2H 1 , (2.4)
∂x2 ∂y 2 ∂x2 x ∂y 2 y

see [25, Lemma 3.1].

Lemma 2.3 (see [25]) The norms k · kD and k · k are equivalent on M(δ).
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1693

3 The Discrete-time OSC Methods

Let {tn }M
n=0 be a uniform partition of [0, T ] such that tn = nτ , τ = T /M , where M is a
positive integer, and τ is the time step size, and we set tn−1/2 = (n − 1/2)τ , 1 ≤ n ≤ M . Next
we introduce the following notations

V n (·, ·) = V (·, ·, tn ), 0 ≤ n ≤ M,

V n − V n−1 1 1 n
δt V n = , V n− 2 = (V + V n−1 ), 1 ≤ n ≤ M.
τ 2
First, we consider the approximation of convolution integral term with a similar type as that
in (1.1),
Z tn
(α) 1
Itn (φ) = (tn − s)α−1 φ(s)ds
Γ(α) 0
Xn
(α) (α)
= τα ωn−j φj + τ α ω
en(α) φ0 + R1 (φ)(tn ), n ≥ 0. (3.1)
j=0

(α)
We now let Tn (φ) be the second-order fractional convolution quadrature rule [26, 27]:
n
X (α)
Tn(α) (φ) = τ α ωn−j φj + τ α ω
en(α) φ0 , (3.2)
j=0

(α)
where the quadrature weights ωn are determined by their generating power series:
 −α X ∞
b −α 11+z (α)
δ(z) = [δ(z)] = = ωj z j , (3.3)
21−z j=0

here, the symbol b denotes the Laplace transform of the convolution kernel and δ(z) is a
(α)
rational function. ω
en is the correction quadrature weights considered in order to approximate
the integral formally to second order and can be determined by the following way. We first let
polynomial φ = 1 in (3.1), then the quadrature formula becomes exact for polynomial φ = 1,
namely
n
X (α) (α)
Tn(α) (1) = τ α ωn−j + τ α ω
en(α) = Itn (1)
j=0
Z tn
1 tα
n
= (tn − s)α−1 ds = , (3.4)
Γ(α) 0 Γ(α + 1)
which is equivalent to
n
X (α) nα
en(α) =
ωn−j + ω , (3.5)
j=0
Γ(α + 1)

hence,
X (α) n
nα
en(α) =
ω − ω . (3.6)
Γ(α + 1) j=0 n−j

(α)
Next we show an estimate result for the truncation error R1 (φ)(tn ) in (3.1).
1694 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

Lemma 3.1 (see [27, Lemma 7.2]) Let φ(t) be a real twice differentiable function and φtt
(α)
be integrable. Then, the error of the second-order fractional convolution quadrature R1 (φ)(tn )
can be bounded by
Z tn
(α)
|R1 (φ)(tn )| ≤ Cτ 2 tα−1
n |φt (0)| + Cτ 1+α
|φtt (s)|ds
tn−1
Z tn−1
+Cτ 2 (tn − s)α−1 |φtt (s)|ds, (3.7)
0

where the constant C does not depend on τ .

The following result which is concerted with the nonnegative character of certain real
quadratic forms with the second-order fractional convolution structure, is due to Lopez-Marcos
[3, 28] and will play an important role in our stability and convergence analysis.
Lemma 3.2 (see [27, Proposition 3.5]) If {a0 , a1 , · · · , an , · · · } is a sequence of real num-
∞
P
bers such that F (z) = aj z −j is analytic in the open unit disk {z ∈ C : |z| > 1}; then for any
j=0
positive integer M , and for any (V0 , V1 , V2 , · · · , VM ) ∈ RM+1 ,
M X
X j 
aj−k V k V j ≥ 0 (3.8)
j=0 k=0

if and only if

Re F (z) ≥ 0 for z ∈ D. (3.9)

We now turn to prove the generating function defined by (3.3) satisfies conditions (3.9) of
Lemma 3.2. First, we can write the z-transform of the quadrature rule (3.2),
∞
X (α) (α) (α)
Tj (φ)z −j = τ α ω(α) (z)Φ(z) + τ α (W (z) − ω0 )φ0 , (3.10)
j=1

where
(α) (α) (α)
ω (α) (z) = ω0 + ω1 z −1 + · · · + ωj z −j + · · ·
X∞  −α
(α) 1 1 + z −1
= ωj z −j = , (3.11)
j=0
2 1 − z −1

Φ(z) = φ0 + φ1 z −1 + · · · + φj z −j + · · · ,
(α) (α) (α) (α)
W e1 z −1 + ω
(z) = ω e2 z −2 + · · · + ωj z −j + · · · ,
−1
1+z
when z = es0 +iη with s0 > 0, we have that Re[ 21 1−z −1 ] > 0, since β(t) is positive type, then,
−1
Re[ 12 1+z
1−z −1 ]
−α
> 0, that is, Re ω(α) (z) ≥ 0.
Therefore, the generating function defined by (3.3) satisfies conditions (3.9), the convolution
quadrature rule (3.2) is positive. That is, for any positive integer M , and for any {Vi }i=M
i=0 , we
have
M X
X j 
(α)
ωj−k V k V j ≥ 0. (3.12)
j=0 k=0
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1695

According to the approximation of convolution integral term given by (3.2), then the second
order fractional quadrature rule OSC method for the solution of (1.1) consists in finding Uhn ∈
M(δ), n = 1, 2, · · · , M , such that
 n Xn
∂Uh (α) (α)
= τα ωn−j ∆Uhj + τ α ω
en(α) ∆Uh0 + f n + (R1 )n on Λ. (3.13)
∂t j=0

By Lemma 3.1, we have

Z tn
(α)
|(R1 )n | ≤ Cτ 2 tα−1
n |∆ut (0)| + Cτ 1+α
|∆utt (s)|ds
tn−1
Z tn−1
+Cτ 2 (tn − s)α−1 |∆utt (s)|ds, (3.14)
0

noticing (3.13) also holds for 2 ≤ n ≤ M that

 n−1 n−1
X (α)
∂Uh (α) (α)
=τ α
ωn−1−j ∆Uhj + τ α ω
en−1 ∆Uh0 + f n−1 + (R1 )n−1 . (3.15)
∂t j=0


∂Uh 0
Let t = 0 in (1.1), it holds that ∂t = f 0 , which implies that (3.15) holds for n = 1, and
(α) (α)
(R1 )0 = 0, ωe0 = 0.
j− 12
So combining (3.13) and (3.15), and noticing the notation Uh = 21 (Uhj + Uhj−1 ), we obtain
n
X (α) j− 12 (α)
δt Uhn = τ α ωn−j ∆Uh en− 1 ∆Uh0
+ τ αω
2
j=0
1 (α) 1
+f n− 2 + (R1 )n + (R2 )n− 2 , on Λ, 1 ≤ n ≤ M, (3.16)
(α) (α) (α)
n− 12 1 j− 1
where ωen− 1 = 12 (e
ωn + ωen−1 ), ∂U
∂t
h
= δt Uhn + (R2 )n− 2 , and ∆Uh 2 = ∆Uh0 with j = 0.
2
According to the following lemma, we can derive an estimate for the truncation error
1
(R2 )n− 2 .
Lemma 3.3 (see [29]) Let g ∈ C 3 [tk−1 , tk ], it holds that
1 ′ 1
[g (tk ) + g ′ (tk−1 )] = [g(tk ) − g(tk−1 )]
2 τ
Z  
τ 2 1 (3) sτ sτ
+ g (tk− 12 + ) + g (3) (tk− 12 − ) (1 − s2 )ds,
16 0 2 2
where tk− 12 = tk − τ2 .
Then, utilizing Lemma 3.3 results in
   τ 2 Z 1 sτ sτ


 1
(R2 )n− 2  =  [uttt (·, tn− 12 + ) + uttt (·, tn− 12 − )](1 − s2 )ds
16 0 2 2
≤ Cτ 2 . (3.17)
(α) 1
Let Rn = (R1 )n +(R2 )n− 2 , omitting the small term Rn , the Crank-Nicolson-type method
combined with the second order fractional convolution quadrature rule OSC method for the
solution of (1.1) consists in find Uhn ∈ M(δ), n = 1, 2, · · · , M , such that
n
X (α) j− 12 (α) 1
δt Uhn = τ α ωn−j ∆Uh + τ αω
en− 1 ∆Uh0 + f n− 2 on Λ, 1 ≤ n ≤ M, (3.18)
2
j=0
1696 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

where Uh0 is a suitable approximation to the initial condition ϕ(x, y); see [17]. Let Ehn =
Uhn − Uhn−1 , we may rewrite (3.18) as
(α) n−1
X (α)
ω0 (α) j− 1
E n − τ 1+α ∆E n = τ 1+α ω0 ∆Uhn−1 + τ 1+α ωn−j ∆Uh 2
2 j=0
(α) 1
+τ 1+α ω
en− 1 ∆Uh0 + τ f n− 2 on Λ, 1 ≤ n ≤ M. (3.19)
2

(α)
∂ E ω 4 n
Now we add the small term τ 2+2α ( 02 )2 ∂x 2 ∂y 2 into (3.19), then the Crank-Nicolson-

type method combined with the second order fractional convolution quadrature rule ADI OSC
method can be given as follow:
 (α) (α) 
1+α ω0 2+2α ω0 2 ∂4
1−τ ∆+τ ( ) E n = F n on Λ, 1 ≤ n ≤ M, (3.20)
2 2 ∂x2 ∂y 2
where
n−1
X
(α) (α) j− 21
F n = τ 1+α ω0 ∆Uhn−1 + τ 1+α ωn−j ∆Uh
j=0
(α)
(α) 1 ω0 2 ∂ 4 E n
en− 1 ∆Uh0 + τ f n− 2 + τ 2+2α (
+τ 1+α ω ) . (3.21)
2 2 ∂x2 ∂y 2
Note that a unique feature of this method is the use of a term from the fractional convolution
(α)
ω
quadrature rule in its formulation. Denoting µ = τ 1+α 02 , we now rewrite (3.20) in a more
familiar ADI matrix-vector form.
My
Let {χi }M
i=1 and {ψj }j=1 be bases for the subspaces M(r, δx ) and M(r, δy ), respectively,
x

where Mx = (r − 1)Nx and My = (r − 1)Ny , and set

My
Mx X
X (n)
Uhn (x, y) = γij χi (x)ψj (y).
i=1 j=1

We denote
h iT
(n) (n) (n) (n) (n) (n) (n) (n)
Υ(n) = γ11 , γ12 , · · · , γ1My , γ21 , γ22 , · · · , γ2My , γ31 , · · · , γMx My ,
h iT
F(n) = F n (ξ1x , ξ1y ), · · · , F n (ξ1x , ξM
y
y
), F n x y
(ξ ,
2 1ξ ), · · · , F n x
(ξ , ξ
Mx My
y
) ,

and define the matrices

 Mx  My
Ax = −χ′′j (ξix ) i,j=1 , Ay = −ψj′′ (ξiy ) i,j=1 ,
M M
Bx = [χj (ξix )]i,j=1
x
, By = [ψj (ξiy )]i,j=1
y
.

Then, the algebraic problem (3.20) can be written as

  
Bx ⊗ By + µ (Ax ⊗ By + Bx ⊗ Ay ) + µ2 Ax ⊗ Ay Υ(n) − Υ(n−1) = F(n) ,

set

ν (n) = Υ(n) − Υ(n−1) , 1 ≤ n ≤ M, (3.22)

we have
 
(Bx + µAx ) ⊗ IMy [IMx ⊗ (By + µAy )] ν (n) = F(n) , (3.23)
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1697

where ⊗ denotes the matrix tensor product, meanwhile IMx and IMy are unit matrices of orders
Mx and My , respectively.
b (n) , (3.23) is then equivalent to
By introducing an auxiliary vector ν
  (n)
(Bx + µAx ) ⊗ IMy ν b = F(n) (3.24)

and

b (n) .
[IMx ⊗ (By + µAy )] ν (n) = ν (3.25)

So we determine ν (n) by solving two sets of independent one-dimensional problems. Firstly,

we solve the following one-dimensional problems in the x-direction for fixed j ∈ {1, 2, · · · , My }:
(n) (n)
(Bx + µAx ) ν b j = Fj , j = 1, 2, · · · , My , (3.26)
h iT n o
(n) (n) (n) (n) (n)
where νb j = ν 1j , ν 2j , · · · , ν Mx j . Once ν bj is available, we solve the following system
in the y-direction for fixed i ∈ {1, 2, · · · , Mx } :
(n) (n)
(By + µAy ) ν i = ν b i , i = 1, 2, · · · , Mx , (3.27)
h iT
(n) (n) (n) (n)
where ν
bi = ν i1 , ν i2 , · · · , ν iMy . Finally, according to (3.22), we can attain Υ(n) = ν (n) +
Υ(n−1) .
Because µ > 0, the matrices Bx + µAx and By + µAy are nonsingular [25]. Then there
exists a unique Crank-Nicolson fractional quadrature rule ADI OSC method. With standard
choices of bases for the spaces M(r, δx ) and M(r, δy ), these linear systems have an almost block
diagonal structure, and can be solved efficiently using algorithms described in [30], for example.

4 Stability Analysis
In this section, the L2 stability result for the new Crank-Nicolson-type ADI OSC approxi-
mation is given in the following theorem.
Theorem 4.1 The new Crank-Nicolson-type ADI OSC method (3.20) is stable with re-
spect to L2 norm. Specifically, for Uhn ∈ M(δ), 1 ≤ n ≤ M ,
M
X
M 0 n− 21
Uh ≤ Uh + Cτ 1+α h−1 Uh0 + 2τ f . (4.1)
H1 D
n=1

Proof First note that (3.20) can be rewritten as

(α) Xn
ω0 2 ∂ 4 δt Uhn (α) j− 1 (α)
δt Uhn + τ 2+2α ( ) 2 2
− τ α
ωn−j ∆Uh 2 − τ α ω
en− 1 ∆Uh0
2 ∂x ∂y j=0
2

1
= f n− 2 on Λ, 1 ≤ n ≤ M. (4.2)
n− 1
Take the inner product of the above equation with Uh 2 , we have
D E (α)  4 
n n− 12 2+2α ω0 2 ∂ δt Uhn n− 21
δt U h , U h +τ ( ) ,U
2 ∂x2 ∂y 2 h
X n D E D E
(α) j− 1 n− 1 (α) n− 1
−τ α ωn−j ∆Uh 2 , Uh 2 + ω en− 1 ∆Uh0 , Uh 2
2
j=0
1698 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B
D E
1 n− 1
= f n− 2 , Uh 2 . (4.3)

Note that the first two terms on left-hand side of (4.3) can be written as
D E 1
n− 1
δt Uhn , Uh 2 = δt hUhn , Uhn i (4.4)
2
and
   
∂ 4 [δt Uhn ] n− 12 1 ∂ 4 Uhn
, Uh = δt , Un . (4.5)
∂x2 ∂y 2 2 ∂x2 ∂y 2 h
On substituting (4.4) and (4.5) into (4.3), multiplying the result equation by 2τ , and then
summing from n = 1 to n = m, 1 ≤ m ≤ M , we obtain
(α)  4 m  Xm X n D E
m 2 2+2α ω0 2 ∂ Uh m α+1 (α) j− 21 n− 21
kUh kD + τ ( ) , U h + 2τ ω n−j −∆U h , U h
2 ∂x2 ∂y 2 n=1 j=0
(α)  4 0 
0 2 ω ∂ Uh
= Uh D + τ 2+2α ( 0 )2 , U0
2 ∂x2 ∂y 2 h
Xm D E Xm D E
(α) n− 1 1 n− 1
+2τ α+1 en− 1 ∆Uh0 , Uh 2 + 2τ
ω f n− 2 , Uh 2 . (4.6)
2
n=1 n=1

From Lemma 3.4 of [24], the second term on the left-hand side of (4.6) can be estimated as
(α)  4 m  (α) 2 m 2
ω ∂ Uh 2+2α ω0

2 ∂ Uh
τ 2+2α ( 0 )2 , U m
≥ τ ( ) ≥ 0. (4.7)
2 2
∂x ∂y 2 h
2 ∂x∂y
To show that the third term on the left-hand side of (4.6) is non-negative, we first use
Lemma 2.1, Lemma 2.2 and then apply (3.12) and the results in [27, Section 7], it can be shown
that,
m X
X n D E
(α) j− 1 n− 1
2τ α+1 ωn−j −∆Uh 2 , Uh 2 ≥ 0, 1 ≤ m ≤ M. (4.8)
n=1 j=0

It remains to estimate the terms on the right-hand side of (4.6). If we choose a tensor
product basis for M(δ), it suffices to consider the case where Uh0 (x, y) = Uh,1 0
(x)Uh,20
(y). Then,
by using (2.4) of Lemma 2.2, the second term can be estimated as
 4 0  * + * +
(α) (α)
2+2α ω0 2 ∂ Uh 0 2+2α ω0 2
∂ 2 Uh,1
0
0
∂ 2 Uh,2
0
0
τ ( ) ,U =τ ( ) , Uh,1 , Uh,2
2 ∂x2 ∂y 2 h 2 ∂x2 ∂y 2
x y
(α) 2
2+2α ω0
≤ Cτ ( 2
) Uh0 H 1 , (4.9)
2
using Lemma 2.3 and the inverse inequality in [24, eq. (2.4b)], we have
(α)  4 0 
2+2α ω0 ∂ Uh
τ ( )2
,U 0
≤ Cτ 2+2α h−1 Uh0 H 1 Uh0 D . (4.10)
2 ∂x2 ∂y 2 h
Also, applying the Cauchy-Schwarz inequality to the third terms on the right-hand side of
(4.6), we have
m
X (α)
D
n− 1
E m
X (α)
n− 1
2τ α+1 en− 1 ∆Uh0 , Uh 2 ≤ Cτ α+1
ω ωn− 1 | Uh0 H 1 Uh 2
|e , (4.11)
2 2 H1
n=1 n=1
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1699

using the inverse inequality in [24, eq. (2.4b)], and the equivalence of the norms in Lemma
2.3, (4.11) can be rewritten as
m
X D E
(α) n− 1
2τ α+1 en− 1 ∆Uh0 , Uh 2
ω
2
n=1
m
X (α)


≤ Cτ α+1
ωn− 1 | Uh0 H 1 kUhn kH 1 + Uhn−1 H 1
|e
2
n=1
m
X (α)


≤ Cτ α+1 h−1 ωn− 1 | Uh0 H 1 kUhn kD + Uhn−1 D .
|e (4.12)
2
n=1

Hence, substituting (4.7), (4.8), (4.10) and (4.12) into (4.6), dropping the non-negative
second and third terms on the left-hand side of (4.6), and then applying the Cauchy-Schwarz
inequality to the last term on the right-hand side of the resulting expression, we obtain
2 2
kUhm kD ≤ Uh0 D + Cτ 2+2α h−1 Uh0 H 1 Uh0 D
Xm
(α) 

+Cτ 1+α h−1 ωn− 1 | Uh0 H 1 Uhn−1 D + kUhn kD
|e
2
n=1
m
X
n− 21  
+τ f Uhn−1 D + kUhn kD ,
D
n=1

setting
2
kUhp kD = max kUhm k2D ,
0≤m≤M

then, we obtain

2 0
kUhp kD ≤ Uh + Cτ 2+2α h−1 Uh0 1
D H

M
X M
X 
(α) n− 12
+Cτ 1+α h−1 ωn− 1 | Uh0 H 1 + 2τ
|e f kUhp kD . (4.13)
2 D
n=1 n=1

(α)
ωn | = O(τ α nα−1 ) (see [31]), then
Since |e
M
X M
X M
X
(α)
τ 1+α ωn− 1 | ≤ τ 1+α
|e ωn(α) | ≤ Cτ 1+α
|e (τ α nα−1 )
2
n=1 n=0 n=0
≤ Cτ 1+α (τ α M M α−1 ) ≤ Cτ 1+α T α . (4.14)

Therefore, substituting (4.14) into (4.13), we have

M
U ≤ kU p k ≤ U 0 + Cτ 1+α h−1 T α U 0 1
h D h D h D h H
M
X

2+2α −1 0 n− 12
+Cτ h Uh H 1 + 2τ f ,
D
n=1

using the equivalence of the norm in Lemma 2.3, we have

M
X
M 0 n− 12
Uh ≤ Uh + Cτ 1+α h−1 Uh0 + 2τ f ,
H1 D
n=1

which completes the proof. 

1700 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

Remark 4.1 In the stability result (4.1), the unconditional stability is affected by the
inverse of the space step of the second terms in the right-hand sides. It is worthwhile noting
that similar discussions can be also found in [18]. From the subsequent convergence Theorem
5.3, we can see that this affection would not reduce the global accuracy for regular enough
solution. Meanwhile, our numerical tests do not need to satisfy the condition of Theorem 4.1
and remain completely unaffected.

5 Convergence Analysis
In this section, we give an analysis of the convergence of the method. For this purpose, we
require the following elliptic projection W of the exact solution u. Define: [0, T ] → M(δ) by

∆ (u − W ) = 0 on Λ × [0, T ], (5.1)

where u is the solution of (1.1)–(1.3). The following two lemmas provide estimates for u − W
and its time derivatives; see [17, eq. (2.45)] and [17, eq. (2.46)], respectively.
Lemma 5.1 If ∂ l u/∂tl ∈ H r+3−j , l = 0, 1, j = 0, 1, and W is defined by (5.1), then
there exists a constant C, independent of h, such that
l l
∂ (u − W )
≤ Chr+1−j ∂ u , j = 0, 1, l = 0, 1. (5.2)
∂t l ∂t H r+3−j
l
Hj

Lemma 5.2 If ∂ i u/∂ti ∈ H r+3 , for t ∈ [0, T ], i = 0, 1, then

l+i i
∂ (u − W )
≤ Chr+1−l ∂ u
∂xl1 ∂y l2 ∂ti ∂ti r+3 , (5.3)
D H

where 0 ≤ l = l1 + l2 ≤ 4.
The convergence result is given in the following theorem.
Theorem 5.3 Suppose u is the solution of (1.1)–(1.3), and Uhn , 1 ≤ n ≤ M , satisfies


(3.20) with Uh0 = W 0 . If u ∈ C 2,0,2 ∩ C 0,2,2 ∩ C 2,2,1 ∩ C 0,0,3 and ∂u
∂t ∈ C [0, T ], H
r+3
, then
there exists a positive constant C, independent of h and τ , such that


ku(tn ) − Uhn k ≤ C τ 2 + hr+1 . (5.4)

Proof With W defined in (5.1), we set

η n = un − W n , ζ n = Uhn − W n , 0 ≤ n ≤ M, (5.5)

so that
un − Uhn = η n − ζ n . (5.6)

Since estimates of η n are known from Lemmas 5.1 and 5.2, it is sufficient to bound ζ n , then
use the triangle inequality to bound un − Uhn .
First, note that (3.20) can be written as
(α) Xn
ω0 2 ∂ 4 δt Uhn (α) j− 1
δt Uhn + τ 2+2α ( ) 2 2
− τ α
ωn−j ∆Uh 2
2 ∂x ∂y j=0
(α) 1
−τ α ω
en− 1 ∆Uh0 = f n− 2 on Λ, 1 ≤ n ≤ M. (5.7)
2
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1701

Also from (1.1), (3.1) and (3.16), we have

(α) Xn
ω 0 2 ∂ 4 δt u n (α) 1 (α)
δt un + τ 2+2α ( ) 2 2
− τ α
ωn−j ∆uj− 2 − τ α ω
en− 1 ∆u0
2 ∂x ∂y j=0
2

(α)
1 ∂u ω ∂ 4 δt u n (α) 1
= f n− 2 + δt un − (tn− 12 ) + τ 2+2α ( 0 )2 2 2 + (R1 )n + (R2 )n− 2 . (5.8)
∂t 2 ∂x ∂y
Then, using (5.7), (5.8), (5.1) and (5.5), we obtain
(α) Xn
ω 0 2 ∂ 4 δt ζ n (α) 1
δt ζ n + τ 2+2α ( ) − τ α
ωn−j ∆ζ j− 2
2 ∂x2 ∂y 2 j=0
(α) n− 12
−τ α ω
en− 1 ∆ζ 0 = Ju on Λ, 1 ≤ n ≤ M, (5.9)
2

where
4
X
n− 21 n− 1
Ju = Jj,u 2 ,
j=1

n− 12 n− 12 ∂u
J1,u = δt η n , J2,u = (t 1 ) − δt un ,
∂t n− 2
n− 12 (α) 1
J3,u = −(R1 )n − (R2 )n− 2 ,
(α) (α)
n− 12 ω 0 2 ∂ 4 δt η n 2+2α ω0
4
2 ∂ δt u
n
J4,u = τ 2+2α ( ) − τ ( ) . (5.10)
2 ∂x2 ∂y 2 2 ∂x2 ∂y 2
We apply the stability result (4.1) of Theorem (4.1) to (5.9) to obtain
M
X
0 n− 12
n
kζ k ≤ ζ + Cτ 1+α −1 0
h ζ H 1 + 2τ Ju . (5.11)
D
n=1

n− 1
Since ζ 0 = 0, then we need only to derive estimates on Ju 2 to complete the proof.
D
According to (5.10), we have
4
X
n− 12 n− 21
Ju ≤ Jj,u . (5.12)
D D
j=1
R tn
n− 1 ∂η
We now turn to estimate Jj,u 2 , j = 1, 2, 3, 4. It is noted that δt η n = τ1 tn−1 ∂t (s)ds,
D
so we obtain
Z
1 t
n− 12 n n ∂η
J1,u = kδt η kD = (s)ds
D τ tn−1 ∂t
D
Z tn
1 ∂η
r+1 ∂u
≤
(s) ds ≤ Ch . (5.13)
τ tn−1 ∂t ∂t
D C([0,T ],H r+3 )

Using Taylor’s theorem with integral remainder to expand un and un−1 about tn− 12 to
obtain
3
n− 12 ∂u
2 ∂ u

n
J2,u = (tn− 12 ) − δt u ≤ Cτ 3 . (5.14)
D ∂t D ∂t C (ΩT )

Using (3.14) and (3.17), we have

n− 12 (α) 1
J3,u = (R1 )n + (R2 )n− 2
D D D
1702 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

Z tn
≤ Cτ 2 tα−1
n k∆ut (0)kD + Cτ 1+α
k∆utt (s)kD ds
tn−1
Z tn−1
+Cτ 2 (tn − s)α−1 k∆utt (s)kD ds
0
Z  3 3 
τ2 T
∂ u (·, ·, tn− 1 + τ s ) + ∂ u (·, ·, tn− 1 − τ s ) (1 − s2 )ds
+
16 0 ∂t 3 2 2 D ∂t 3 2 2 D
X 2 j 3
∂ u
2 ∂ u

≤ Cτ 2 + Cτ . (5.15)
∂tj 2,0,0 0,2,0 ∂t3
j=1 C ∩C C (ΩT )

n− 12
Also, J4,u in (5.10) can be written as
 
 (α)  4
n− 12  2+2α ω0 2  ∂ δt η n ∂ 4 δt u n
J4,u = τ ( )  −
D  2  ∂x2 ∂y 2 ∂x2 ∂y 2 D
 
 (α)  4 4 n
 2+2α ω0 2  ∂ δt η n ∂ δt u
≤ τ (
)  2 2 + , (5.16)
 2  ∂x ∂y D ∂x2 ∂y 2 D
since
Z tn
∂ 4 δt η n 1 ∂5η
= (·, ·, s)ds, (5.17)
∂x2 ∂y 2 τ tn−1 ∂x2 ∂y 2 ∂t
using (5.3) in Lemma 5.2 and Taylor’s theorem, we obtain
4 n Z tn
∂ δt η ∂5η
≤ 1 (·, ·, s) ds ≤ Chr−3 ∂u , (5.18)
∂x2 ∂y 2 2 2
τ tn−1 ∂x ∂y ∂t ∂t
D D C([0,T ],H r+3 )

using (5.18) and Taylor’s theorem, we obtain

  4 n 
 (α)   4
n− 12  2+2α ω0 2  ∂ δt η n
+ ∂ δt u

J4,u ≤ τ ( ) 
D  2  2
∂x ∂y D 2 ∂x ∂y D
2 2
" #
∂u ∂u
≤ Cτ 2+2α
∂t 2,2,0 + h
r−3
∂t , (5.19)
C C([0,T ],H r+3 )

note that r ≥ 3, we have

" #
∂u
n− 12 2+2α ∂u
J4,u ≤ Cτ ∂t 2,2,0 + ∂t . (5.20)
D C C([0,T ],H r+3 )

If the hypotheses of Theorem 5.3 are satisfied, then noticing ζ 0 = 0 and substituting (5.12)–
(5.15) and (5.20) into (5.11), we have


kζ n k ≤ C τ 2 + hr+1 . (5.21)
Therefore, using (5.21), the triangle inequality and Lemma 5.1, we obtain


ku(tn ) − Uhn k ≤ C τ 2 + hr+1 ,
which completes the proof. 

6 Numerical Experiments
In this section, we present several numerical examples which support the analyses of previ-
ous sections. In the numerical experiments, we used the same number of uniform subintervals
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1703

in both x and y directions, that is, Nx = Ny = N , and we implemented the space of piecewise
Hermite bicubics (standard value and scaled slope) basis functions for M(r, δx ) = M(r, δy ).
The initial condition is approximated by choosing U 0 = W 0 , the OSC elliptic projection of ϕ,
as specified in Theorem 5.3. We present temporal and spatial errors in L∞ and L2 norms at
T = 1, and the corresponding convergence rates determined by the formula
log(em /em+1 )
Rate ≈ , (6.1)
log(hm /hm+1 )
where the step size h = 1/Nm is the step size with N = Nm , and em is the norm of the
corresponding error with h = hm .
In the following Example 6.1, we mainly compare present ADI OSC method with the ADI
FDM proposed by Chen et al. [1].
Example 6.1 We first consider the test problem which is given by the initial data
u(x, y, 0) = sin(πx) sin(πy), x, y ∈ [0, 1], and we choose the forcing function f (x, y, t) so that
tα+2
u(x, y, t) = sin(πx) sin(πy) − sin(2πx) sin(2πy)
Γ(α + 1)
is the exact solution (see [1]).
The numerical results for the first example are presented in Tables 1–3. The last two
columns present the numerical results obtained in [1]. In Table 1, we select the time step τ = h2
for different α, since from our theoretical estimates the error is expected to be O(τ 2 + h4 ) when
r = 3. We can observe the corresponding rates of convergence of our ADI OSC scheme in
space be approximately 4 as expected. In Table 3, we have τ = h (so that the error in time
is dominant) to verify the temporal convergence accuracy. We observe the corresponding rates
of convergence of our ADI OSC scheme in time are not changed for α = 0.25, 0.5, 0.75 and are
approximately 2.

Table 1 Comparison of L∞ error and convergence rate in spatial direction for

Example 6.1 with τ = h2
Present ADI OSC ADI FTR FDM [1]
α h L∞ error Rate L∞ error Rate
0.25 1/4 3.2051e-003 1.1490e-001
1/8 1.8921e-004 4.0823 2.6651e-002 2.1081
1/16 1.1531e-005 4.0364 6.5429e-003 2.0262
1/32 7.1364e-007 4.0142 1.6607e-003 1.9782
0.5 1/4 2.6103e-003 9.2581e-002
1/8 1.5407e-004 4.0825 2.1590e-002 2.1004
1/16 9.3848e-006 4.0371 5.3641e-003 2.0089
1/32 5.0849e-007 4.0150 1.3627e-003 1.9769
0.75 1/4 1.2715e-003 8.4413e-002
1/8 7.6958e-005 4.0463 2.0615e-002 2.0338
1/16 4.7907e-006 4.0058 5.1240e-003 2.0084
1/32 2.9903e-007 4.0019 1.2792e-003 2.0020
1704 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

Table 2 Nodal errors in u, ux , uy and convergence rate for Example 6.1

with τ = h2 , α = 0.5
h Nodal error in u Rate Nodal error in ux , uy Rate
1/4 3.4317e-003 2.5114-002
1/8 2.1451e-004 3.9998 1.6234e-003 3.9514
1/16 1.3438e-005 3.9967 1.0198e-004 3.9927
1/32 8.4093e-007 3.9982 6.3825e-006 3.9980

Table 3 Comparison of L∞ error and convergence rate in temporal direction for

Example 6.1 with τ = h
Present ADI OSC ADI FTR FDM [1]
∞
α h L error Rate L∞ error Rate
0.25 1/8 1.7003e-003 1.9115e-002
1/16 2.7849e-004 2.6101 3.4396e-003 2.4744
1/32 4.7824e-005 2.5418 6.0554e-003 2.5059
1/64 8.4688e-006 2.4975 9.8363e-005 2.6220
0.5 1/8 6.2011e-004 5.5057e-003
1/16 1.1212e-004 2.4675 7.7313e-004 2.8321
1/32 2.0193e-005 2.4731 1.1242e-004 2.7818
1/64 3.6170e-006 2.4810 1.9686e-005 2.5137
0.75 1/8 2.8504e-004 2.3071e-003
1/16 4.9492e-005 2.5259 3.7507e-004 2.6208
1/32 9.7278e-006 2.3470 7.1397e-005 2.3932
1/64 2.2413e-006 2.1178 1.7182e-005 2.2082

Choosing the same parameters, we compare present ADI OSC method with ADI FDM
proposed by Chen et al. [1]; the results are shown in Tables 1 and 3. We find that the method
in this paper show better performance than that in [1] for this example, since we use higher-order
approximation in space.
In the following Example 6.2, we mainly test and compare the numerical results obtained
present ADI OSC method with the ADI FDM proposed in [1, 2] when u is not sufficiently
smooth in time.
Example 6.2 In the second example, the initial data are u(x, y, 0) = sin(πx) sin(πy),
x, y ∈ [0, 1], and we choose the forcing function f (x, y, t) so that
tα+1
u(x, y, t) = sin(πx) sin(πy) − sin(2πx) sin(2πy)
Γ(α + 2)
is the exact solution (see [1, 2]).
We first choose the parameters α = 0.5 and τ = h2 . In Table 4, the numerical results of the
present ADI OSC method and ADI FDM [2] are compared. In Table 6, we choose α = 0.5, 0.75
and τ = h2 , we find that the rates of convergence in space is approximately 4. One can observe
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1705

that our methods exhibit much better numerical results than that in [1] since the present OSC
method achieve higher convergence rates in space in this example.

Table 4 Comparison of L2 error and convergence rate in spatial direction for

Example 6.2 with τ = h2 , α = 0.5
Present ADI OSC ADI FDM [2]
2
h L error Rate L2 error Rate
1/5 1.4701e-003 0.0484
1/10 9.2890e-005 4.0825 0.0117 2.0485
1/20 6.4601e-006 4.0371 0.0029 2.0124
1/40 4.1166e-007 4.0150 7.2130e-004 2.0074

Table 5 Nodal errors in u, ux , uy and convergence rate for Example 6.2 with
τ = h2 , α = 0.5
h Nodal error in u Rate Nodal error in ux , uy Rate
1/5 3.0655e-003 2.1849-002
1/10 1.9380e-004 3.9835 1.4003e-003 3.9638
1/20 1.3486e-005 3.8450 8.8442e-005 3.9849
1/40 8.5398e-007 3.9811 5.4994e-006 4.0074

Table 6 Comparison of L∞ error and convergence rate in spatial direction for

Example 6.2 with τ = h2
Present ADI OSC ADI FTR FDM [1]
∞
α h L error Rate L∞ error Rate
0.5 1/8 3.1572e-004 4.0481 4.5517e-002 2.1211
1/16 2.1347e-005 3.8865 1.1151e-002 2.0292
1/32 1.3358e-006 3.9983 2.7739e-003 2.0072
0.75 1/4 5.2019e-003 1.6385e-001
1/8 3.1449e-004 4.0480 3.7565e-002 2.1249
1/16 2.1274e-005 3.8859 9.1945e-003 2.0305
1/32 1.3320e-006 3.9974 1.8058e-003 2.3481

In Tables 8–9, we have τ = h to verify the 1 + α order of accuracy in time. And we observe
the corresponding rates of convergence of our ADI OSC scheme in time are approximately
1.25, 1.5, 1.75 for α = 0.25, 0.5, 0.75. The results obtained by the present ADI OSC method and
ADI FDM [1, 2] are also compared in Tables 8–9.
With τ = h2 the maximum absolute value errors in u, ux and uy at partition nodes together
with the corresponding convergence rates for the two examples are tabulated in Tables 2 and
5, respectively. Herein, we observe a super-convergence phenomenon, a characteristic of OSC
methods, namely, the rates of convergence in the maximum norm at the nodes in ux and uy
are approximately 4 when r = 3 for each example.
1706 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

Table 7 Comparison of L∞ error and convergence rate in spatial direction for

Example 6.2 with τ = h2 , α = 0.75
Present ADI OSC ADI FTR FDM [1]
∞
h L error Rate L∞ error Rate
1/4 5.2019e-003 1.6385e-001
1/8 3.1449e-004 4.0480 3.7565e-002 2.1249
1/16 2.1274e-005 3.8859 9.1945e-003 2.0305
1/32 1.3320e-006 3.9974 1.8058e-003 2.3481

Table 8 Comparison of L2 error and convergence rate in temporal direction for

Example 6.2 with τ = h, α = 0.5
Present ADI OSC ADI FDM [2]
2
h L error Rate L2 error Rate
1/20 1.3557e-004 0.0053
1/40 4.6212e-005 1.5527 0.0029 0.8699
1/80 1.6223e-005 1.5102 0.0016 0.8580
1/160 5.7365e-006 1.4998 8.3799e-004 0.9331
1/320 2.0294e-006 1.4991 4.3045e-004 0.9611

Table 9 Comparison of L∞ error and convergence rate in temporal direction for

Example 6.2 with τ = h
Present ADI OSC ADI FTR FDM [1]
∞
α h L error Rate L∞ error Rate
0.25 1/8 3.1416e-003 2.4502e-002
1/16 1.2892e-003 1.2850 7.5345e-003 1.7013
1/32 5.3782e-004 1.2613 3.2571e-003 1.2099
1/64 2.2494e-004 1.2576 1.5587e-003 1.0632
0.5 1/8 1.0336e-003 8.9612e-003
1/16 2.7631e-004 1.9033 2.5654e-003 1.8045
1/32 9.1901e-005 1.5881 9.5029e-004 1.4327
1/64 3.2100e-005 1.5175 3.5381e-004 1.4254
0.75 1/8 7.4086e-004 4.0993e-003
1/16 1.8560e-004 1.9770 7.9994e-004 2.3574
1/32 5.1359e-005 1.8535 2.1181e-004 1.9171
1/64 1.5118e-005 1.7664 6.3834e-005 1.7304

Remark 6.1 The 1 + α order of temporal accuracy shown in the second example are
consistent with the quadrature error (3.7) in Lemma 3.1 (see [32]).
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1707

Example 6.3 In the example, we consider the following problem

Z t  
(t − s)α−1 4π 2 Γ(4 + α) 3+2α
ut = ∆uds + (α + 3)tα+2 + t sin(2πx) sin(2πy),
0 Γ(α) Γ(2α + 4)
u(x, y, 0) = 0.1 sin(2πx) sin(2πy), 0 ≤ x, y ≤ 1,
u(x, y, t) = 0, (x, y, t) ∈ ∂Ω × (0, 1], Ω = [0, 1] × [0, 1].
The exact solution u is unknown, we take the numerical solution with N = 320, M = 320
as the “true” solution when verifying the temporal accuracy and convergence rates for our
proposed method, and select τ = h (M = N ) so that the error stemming from the spatial
approximation is negligible. Table 10 verify 2 order accuracy in time for all three different
α, which are in keeping with the theoretical predictions. In order to confirm the expected
convergence rates in space, we take the numerical solution with N = 48, M = 2304 as the
“true” solution, and select τ = h2 (M = N 2 ). Just as we hope, the results in Table 6 affirm
the expected convergence rates of 4 (when r = 3) order in space. So, from the last two Tables
10–11, we can see that the scheme still works properly in this situation.
Table 10 Numerical convergence orders in temporal direction
with τ = h for Example 6.3
α N L2 error Rate L∞ error Rate
α = 0.01 10 2.4313e-04 3.4297e-04
20 4.7864e-05 2.3447 6.9362e-05 2.3059
40 1.1126e-05 2.1050 1.5931e-05 2.1223
80 2.6186e-06 2.0871 3.7270e-06 2.0958
α = 0.5 10 2.8855e-03 4.0704e-03
20 7.8181e-04 1.8839 1.1330e-03 1.8450
40 2.0186e-04 1.9535 2.8902e-04 1.9709
80 4.9148e-05 2.0382 6.9939e-05 2.0470
α = 0.95 10 2.3490e-03 3.3136e-03
20 6.6497e-04 1.8207 9.6363e-04 1.7818
40 1.7602e-04 1.9175 2.5202e-04 1.9349
80 4.3421e-05 2.0193 6.1790e-05 2.0281

Table 11 Numerical convergence orders in spatial direction

with τ = h2 for Example 6.3
α N L2 error Rate L∞ error Rate
α = 0.2 4 2.5147e-03 3.9761e-03
8 1.5616e-04 4.0093 2.3425e-04 4.0852
12 3.1018e-05 3.9863 4.5657e-05 4.0330
16 9.7914e-06 4.0081 1.4273e-05 4.0419
α = 0.8 4 1.3859e-03 2.1912e-03
8 9.5799e-05 3.8547 1.4370e-04 3.9306
12 1.9432e-05 3.9346 2.8603e-05 3.9811
16 6.1799-06 3.9822 9.0087e-06 4.0160
1708 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

In the following Example 6.4, we mainly compare the numerical results obtained by the
our proposed method with the compact finite difference method (CFDM) proposed by Wang
and Vong [22], in which time was discretized by the idea of weighted and shifted Grünwald
difference operator and space was approximated by the fourth-order CFDM.
Example 6.4 We consider the following problem in [22]
Z t
(t − s)α−1
ut = uxx (s)ds + f (x, t),
0 Γ(α)
u(x, 0) = 0, 0 ≤ x ≤ 1, u(0, t) = u(1, t) = 0, 0 ≤ t ≤ 1
with the exact solution given by u(x, t) = t2 sin(2πx).

Table 12 Comparison of the error and convergence rate in temporal direction

with h = 1/100 for Example 6.4
Present method CFDM[22]
∞
α τ L error 2
L error Rate L∞ error L2 error Rate
1
0.3 5
4.2047e-3 2.9732e-3 5.9575e-3 4.2126e-3
1
10
1.0319e-3 7.2964e-4 2.0267 1.4796e-3 1.0463e-3 2.0095
1
20
2.5790e-4 1.8236e-4 2.0004 3.6392e-4 2.5733e-4 2.0235
1
40
6.4454e-5 4.5576e-5 2.0005 9.1188e-5 6.4480e-5 1.9967
1
80
1.6104e-5 1.1387e-5 2.0009 2.2869e-5 1.6171e-5 1.9954
1
160
4.0174e-6 2.8407e-6 2.0031 5.7679e-6 4.0785e-6 1.9873
1
0.5 5
5.7920e-3 4.0956e-3 1.0436e-2 7.3790e-3
1
10
1.4934e-3 1.0560e-3 1.9555 2.6295e-3 1.8594e-3 1.9886
1
20
3.6933e-4 2.6116e-4 2.0156 6.5613e-4 4.6395e-4 2.0028
1
40
9.2148e-5 6.5159e-5 2.0029 1.6477e-4 1.1651e-4 1.9935
1
80
2.3018e-5 1.6276e-5 2.0012 4.1396e-5 2.9272e-5 1.9929
1
160
5.7452e-6 4.0624e-6 2.0023 1.0424e-5 7.3708e-6 1.9896
1
0.7 5
5.0679e-3 3.5835e-3 1.4850e-2 1.0500e-2
1
10
1.6865e-3 1.1925e-3 1.5874 3.8141e-3 2.6970e-3 1.9610
1
20
4.4225e-4 3.1272e-4 1.9311 9.6191e-4 6.8018e-4 1.9874
1
40
1.1147e-4 7.8821e-5 1.9882 2.4234e-4 1.7136e-4 1.9889
1
80
2.7920e-5 1.9742e-5 1.9973 6.1157e-5 4.3245e-5 1.9865
1
160
6.9768e-6 4.9334e-6 2.0007 1.5448e-5 1.0923e-5 1.9851

In Tables 12–13, we mainly compare the numerical results obtained by the our proposed
method with the compact finite difference method proposed by Wang and Vong [22]. We first
choose the same parameters α = 0.3, 0.5, 0.7 and h = 1/N = 1/100 as in [22]. Table 12
displays the errors and convergence orders of our proposed scheme in temporal direction. The
last three columns present the numerical results obtained in [22]. From Table 12, the results
of our method exhibit a slightly better accuracy than the published results. While in Table
13, choosing the same parameters, we also compare the error and convergence order in spatial
No.6 H.X. Zhang et al: ALTERNATING DIRECTION IMPLICIT OSC SCHEME 1709

direction with τ = 1/4000 and α = 0.5. Since the convergent rates of the maximum L∞ -norm
and the L2 -norm coincide for the digits listed, they are reported as the same Rate in the Tables
12–13. From Table 13, one can easily find that the present method shows better experimental
performance than that in [22] for this example. While in Table 14, the convergence order in
spatial direction with τ = 1/4000 and the different parameters α = 0.1, 0.9 are listed. Once
again, these tables confirm the theoretical result.
Table 13 Comparison of error and convergence rate in spatial direction for
Example 6.4 with τ = 1/4000, α = 0.5
Present method CFDM[22]
∞
h L error 2
L error Rate L∞ error L2 error Rate
1/4 4.3701e-3 3.0901e-3 2.7020e-2 1.9106e-2
1/8 2.4661e-4 1.7438e-4 4.1474 1.5651e-3 1.1067e-3 4.1097
1/16 1.5024e-5 1.0624e-5 4.0369 9.6041e-5 6.7911e-5 4.0265
1/32 9.3303e-7 6.5975e-7 4.0092 5.9906e-6 4.2360e-6 4.0029
1/64 5.8221e-8 4.1169e-8 4.0023 3.8961e-7 2.7549e-7 3.9426

Table 14 Numerical convergence orders in spatial direction for

Example 6.4 with τ = 1/4000
α h L2 error Rate L∞ error Rate
α = 0.1 1/4 3.3834e-03 4.7849e-03
1/8 1.9238e-04 4.1364 2.7207e-04 4.1364
1/16 1.1746e-05 4.0337 1.6612e-05 4.0337
1/32 7.2989e-07 4.0083 1.0322e-06 4.0084
1/64 4.5580e-08 4.0012 6.4459e-08 4.0012
α = 0.9 1/4 3.2355e-03 4.5757e-03
1/8 1.8149e-04 4.1560 2.5667e-04 4.1560
1/16 1.1053e-05 4.0374 1.5631e-05 4.0374
1/32 6.8639e-07 4.0093 9.7070e-07 4.0092
1/64 4.2831e-08 4.0023 6.0572e-08 4.0023

7 Concluding Remarks
In the paper, OSC method has been used for the spatial discretization and the alternating
direction implicit method based on the Crank-Nicolson-type method combined with the second
order fractional quadrature rule are considered in the temporal component for the approximate
solution of the two-dimensional fractional evolution equation with a weakly singular kernel. We
show that the proposed scheme is stable and derive optimal L2 error estimates. Numerical
experiments are conducted to demonstrate the predicted convergence rates and also exhibit
expected super-convergence phenomena. In fact, while super-convergence is frequently observed
in numerical implementations of OSC methods, very little analysis has been derived to justify
it.
1710 ACTA MATHEMATICA SCIENTIA Vol.38 Ser.B

We also present enough numerical experiments to verify the theoretical analysis, and the
comparisons with other methods are also given, which exhibit better accuracy than many of
the existing numerical methods.
The method can be extended to non-zero Dirichlet boundary conditions (BCs) and, in
fact, to Robin’s BCs; see [33]. It should be noted that Neumann BCs can be easily handled
in contrast to the finite difference approach of [34] which would require the derivative of high
accuracy approximations to such BCs.

Acknowledgements The authors wish to thank Professor Graeme Fairweather for his
stimulating discussions and constant supports during the preparation of this paper.

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