Sylvester Equations and the numerical solution of partial fractional differential equations

Abstract

We develop a new matrix-based approach to the numerical solution of partial differential equations (PDE) and apply it to the numerical solution of partial fractional differential equations (PFDE). The proposed method is to discretize a given PFDE as a Sylvester Equation, and parameterize the integral surface using matrix algebra. The combination of these two notions results in an algorithm which can solve a general class of PFDE efficiently and accurately by means of an O(n3) algorithm for solving the Sylvester Matrix Equation (over an m×n grid with m∼n). The proposed parametrization of the integral surface allows for the solution with the more general Robin boundary conditions, and allows for high-order approximations to derivative boundary conditions. To achieve our ends, we also develop a new matrix-based approximation to fractional order derivatives. The proposed method is demonstrated by the numerical solution of the fractional diffusion equation with fractional derivatives in both the temporal and spatial directions.