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Mathematical Computation
September 2013, Volume 2, Issue 3, PP.40-47
An Alternating Direct Implicit Method for Time-
Fractional Diffusion Equation in Two Space
Dimensions
J ing Gao, Huanzhen Chen
#
School of Mathematical Sciences, Shandong Normal University, Jinan Shandong 250014, China
#Email: chhzh@sdnu.edu.cn
Abstract
In this paper, an alternating direct implicit method is proposed to approximate a kind of time-fractional diffusion equation, which
possesses simple calculation and higher stability. By means of the Fourier analysis, the unconditional stability of discretization
schemes as well as the optimal convergence accuracy of the format concerning the time and space has been verified.
Keywords: Time-fractional Diffusion Equation; Alternating Direct I mplicit Method; Unconditional Stability; The Optimal
Convergence Accuracy

*


250014


;; ;


( ) ( ) ( )
( ) ( ) ( |
( ) ( ) ( ) ( ) ( |
( ) ( ) ( )
2 2
2 2
, , , , , ,
, , , , , 0, ,
0, , , 0, 1, , ,1, 0, 0, ,
, , 0 , , 0,1 .
u x y t u x y t u x y t
f x y t x y t T
t x y
u y t u x t u y t u x t t T
u x y x y
o
o
o
c c c
= + + eO

c c c

= = = = e

= e

(1)

2
[0,1] O= , ( , ) x y , ( , ) , f x y t
( ) , , u x y t
t
o
o
c
c
Caputo

[8]

( )
( )
( )
( ) ( )
0
, , , ,
1
, 0 , 0,1 ,
1
t
u x y t u x y s
t s ds t T
t s
o
o
o
o
o

c c
= s s e
}
c I c
( ) I gamma (2)

*
(10971254, 11171193),(ZR2009AZ003, ZR2011AM016)

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Green
[13,14]
-Legendre
[12]

[6,7,9,12]

2
( ) O M N
2 2
( ) O M N

(ADI)

3 2
( ) O M N
2 2
( ) O M N
2 ADI ADI 3
4 5
1
(1)
M N
1
h
M
=
T
N
t = ,
i
x ih = ,
j
y jh = ,
n
t nt = ,
( , , )
i j n
x y t , , 0,1, , ; 0,1, , . i j M n N = =
( )
, ,
n
ij i j n
u u x y t = ,
( )
, ,
n
ij i j n
f f x y t =
(2)
( )
( )
( )
( )
( )
( )
( )
( )
( )
( ) ( )
( )
( ) ( ) ( )
0
1 1
1 1 1 1
1 2
1 1
, , , ,
1
1
, ,
1
1
1 1
1 O 1 .
2 2
n
t
i j n i j
n
l n
i j
l l
n n
l l
ij ij
l l
u x y t u x y s
t s ds
t s
u x y s
n s ds
s
u u n l n l n l n l
o
o
o
t
o
t
o o o o
o o
o
t
o
t t
o o

=


= =
c c
=
}
c I c
c
= }
I c
( (
( = + + +


I I
(3)

( )
( )
( )
,
1
1
1
,
2
1
l
l l
o
o t
o
o o
o t
o
e


N T t = (3)
( )
( )
( )
( )
( )
( )
( )
( )
1 2 (1 )
, 1
1
1
,
1
, ,
1
O
2
O .
n
i j n
l l
ij ij n l
l
n
n l n l
ij ij l
l
u x y t
u u N
t
u u
o
o o o
o t
o
o
o t
o e t
o
o e t

+
=
+
=
c
= +
c I
= +
(4)

( )
, ,
i j n
u x y t
t
o
o
c
c

( ) n
t ij
D u
o

( )
( )
( ) ( )
( ) ( ) 1 1 1
, 1 , ,
1 2
n n
n l l n n n l n l
t ij ij ij n l ij ij ij ij l
l l
D u u u u u u u
o o o
o t o t o t
o e o o e
+
+
= =
= = +
(5)

( )
( )
( )
, ,
O .
i j n
n
t ij
u x y t
D u
t
o
o
o
t
c
= +
c


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( ) n
t ij
D u
o

( )
, ,
i j n
u x y t
t
o
o
c
c
( ) O . t

2 2
1, 1, , 1 , 1
2 , 2
x ij i j ij i j y ij i j ij i j
U U U U U U U U o o
+ +
= + = + x
y
(1)
n=1
1 1 1
0 2 2 0
2 2 2
,
1 1
1 2 2 1 1
2 2
,
1
,
2 2 2
1
.
2 2 2
ij ij x ij y ij ij
ij ij x ij y ij ij
U U U U f
U U U U f
o t
o t

o o
o

o o
o

= + +

= + +


1
1
2
2
2
x ij
U
h
o

xx
u
1
2
2
2
y ij
U
h
o

yy
u
1
2

1
2
2
2
x ij
U
h
o

xx
u
1
2
2
2
y ij
U
h
o

yy
u 1
1 n >
1 1 1
1 2 2 1
2 2 2
,
1 1
2 2
2 2
,
1 1
,
2 2 2 2
1 1
, 1.
2 2 2 2
n n n
n n n
ij ij x ij y ij ij U
n n
n n n n
ij ij x ij y ij ij U
U U U U f
U U U U f n
o t
o t

o o |
o

o o |
o


= + +

= + + >

(6)

( ) ( ) ( )
( )
( ) 1 1 0
2 1
3
0, 1
, 2.
n
n
U n n l
ij l l ij ij n
l
n
U U U n
o o o o
|
e e e e
+

=
=

=

+ >

(7)
0 0
0
0, , 0,1, , ; 0,1, , .
, , 0,1, , .
n n n n
j i Mj iM
ij ij
U U U U i j M n N
U i j M
= = = = = =
= =
(8)
2

[6]
ADI (6)
1 1, 2, , l = (6)
( )
l
o
e
( ) ( ) ( )
1
0, .
l l l
o o o
e e e

> >
1

n
ij
U (6)-(8) , 0,1, ; 0,1, , , i j M n N = =
n
ij
U
( )
( )
1 1 1 1
2 2 2 2
, , , , ,
,
0, .
n
ij n
i i j j
U x y x x y y
U x y
+ +
| | | |
e

| |
=
\ . \ .



( ) ,
n
U x y
( ) ( )
( )
, , .
p q
I i h j h n n
p q
U x y p q e
| u

=+ =+
+
= =
=
(9)

1 1
( )
0 0
( , ) ( , ) .
n n I i h j h
p q U x y e
| u

+
=
} }

2 2 p q
L L
t t
u | = = 1 I = n
( )
n n
ij
M M
U U

=

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( ) ( )
2 2 2 2
1 1
2
0 0
2 2
0 0
, , .
M M
n n n n
ij
i j
U h U U x y U x y
= =
= = =
} }
Parseval
[6]

( )
2
2
2
2
| , | .
p q
n n
p q
U p q
=+ =+
= =
=
(10)
2
n
:
0
| | | | .
n
s (11)
0, f = ADI (6)
1
2 2 1
2
1
2 2
2
1
,
2 2 2
1
, 1.
2 2 2
n
n n
x ij y ij U
n
n n
y ij x ij U
E U E U
E U E U n

o o |

o o |

| | | |
= +
| |
\ . \ .

| | | |

= + >
| |

\ . \ .
(12)

2
x
o
2
y
o E (12)
1
2
n
1
2
n
ij
U


2 2 2 2 1
, 1.
2 2 2 2
n n n
x y ij x y ij U
E E U E E U n

o o o o |

| || | | || |
= + + >
| | | |
\ .\ . \ .\ .
(13)
(10)(13)
( )
,
1 ( )
,
1 ( ) ( )
, 2
(1 ( 2))(1 ( 2))
2 2
(1 ( 2))(1 ( 2))
2 2
( . )
n Ii h Ii h Ij h Ij h I i h j h
p q
n Ii h Ii h Ij h Ij h I i h j h
p q
n
n l n l I i h j h
l
p q l
e e e e e
e e e e e
e
| | | | | u
| | | | | u
o | u

e
+
+
=
+
+
=
+
+ +
= =
+ +
= + + + +
+
(14)
(14)
2 2
1 0
2 2
1 2 sin 1 2 sin
2 2
.
1 2 sin 1 2 sin
2 2
y
x
y
x
h
h
h
h
u
|


u
|

| |
| |

| |
\ .
\ .
=
| |
| |
+ +
| |
\ .
\ .
(15)
( ) ( ) ( )
( )
( )
2 2
1 1 0
2 1
1 3
2 2 2 2
1 2 sin 1 2 sin
2 2
, 2.
1 2 sin 1 2 sin 1 2 sin 1 2 sin
2 2 2 2
y
x n
n n l
l l n
n n l
y y
x x
h
h
n
h h
h h
o o o o
u
|

e e e e

u u
| |

+

=
| |
| |

| |
+ +
\ .
\ .
= + >
| | | |
| | | |
+ + + +
| | | |
\ . \ .
\ . \ .
(16)
(11)
1 0
| | | | s
1 0
| | | |
n

s 1, 2, n =
(15)1
( ) ( ) ( )
( )
( )
( ) ( ) ( )
( )
( )
2 2
2 2 1 1 0
2 1
3
2 2 2 2 2 0 0
2 1
3
1 2 sin 1 2 sin | |
2 2
1 2 sin 1 2 sin | | | | | |
2 2
1 2 sin 2 sin 4 sin sin | | | | |
2 2 2 2
y n x
n
y n n l x
l l n
l
n
y y
x x
l l n
l
h
h
h
h
h h
h h
o o o o
o o o o
u
|

u
|
e e e e
u u
| |
e e e e
+

=
| |
| |
+ +
| |
\ .
\ .
| |
| |
s + +
| |
\ .
\ .
| |
s + + + + +
|
\ .
0
2 2 0
|
1 2 sin 1 2 sin | |
2 2
y
x
h
h

u
|

| |
| |
s + +
| |
\ .
\ .


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0
| | | |
n
s (11)

1 (6)-(8)

n
ij
U
n
ij
u (6)-(8)
, , 0,1, , ; 0,1, ,
n n n
ij ij ij
U u i j M n N c = = =
(6)-(8)
1 1
2 2 1
2 2
1 1
2 2
2 2
1
,
2 2 2
1
, 2.
2 2 2
n n
n n n
ij ij x ij y ij
n n
n n n
ij ij x ij y ij
n
c
c

c c o c o c |

c c o c o c |


= +

= + >

(17)
0 0
0, , 0,1, , ; 0,1, , .
n n n n
j i Mj iM
i j M n N c c c c = = = = = =

( )
n n
ij
M M
c c

= 2
( ) ( )
2 2 2 2
0 0
2 2
, , .
p q p q
n n
p q p q
p q p q c c
=+ =+ =+ =+
= = = =
= s =


3
(6)
(6)
1 1
1 2 2 1
2 2
,
1
( ) ( ) .
2 2
n n
n n n n n n
ij ij x ij y ij ij ij ij U
U U U U U f f
o t

o o |
o


= + + + + (18)
1 1
1 2 1
2 2
,
1
2 ( ) ( ).
2 2
n n
n n n n n
ij ij ij y ij ij ij ij
U U U U U f f
o t

o
o


= + + (19)
(19)(18)
( )
1 2 2 1 1
1
,
2 1 1
2 2 1 1 2
2 2
, ,
1
( )( ) ( )
2 2
1
( ) ( ) ( ), 1.
4 2 4
n
n l n l n n n n
ij ij l x y ij ij ij ij
l
n n
n n n n
x y ij ij ij ij x ij ij
U U U U f f
U U f f f f n
o
o t
o t o t

e o o
o

o o o
o o
+
=


= + + + +
+ + >
(20)

n n n
ij ij ij
u U q =
( )
2
1 2 2 1 2 2 1
2
1
,
1
( )( ) ( ) ,
2 4
n
n l n l n n n n n
ij ij l x y ij ij x y ij ij ij
l
R
h
o
o t

q q e o o q q o o q q
o
+
=
= + + + (21)

( )
1 2 2 1 1
1
,
2 1 1
1 2 2 1 2
2 2
, ,
1
( )( ) ( )
2 2
1
( ) ( ) ( ).
2 4 4
n
n n l n l n n n n
ij ij ij l x y ij ij ij ij
l
n n
n n n n
ij ij x y ij ij x ij ij
R u u u u f f
f f u u f f
o
o t
o t o t

e o o
o

o o o
o o
+
=


= + + +
+ +
(22)
Taylor
2 2
2
2 2
2 2
2
2 2
( , , )
( ),
( , , )
( ),
n
x ij i j n
n
y ij i j n
u u x y t
O h
h x
u u x y t
O h
h y
o
o
c
= +
c
c
= +
c


- 45 -
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2 2 4
2
4 2 2
( , , )
( ),
n
x y ij i j n
u u x y t
O h
h x y
o o c
= +
c

1
2
2
( , , )
( ),
2
n
i j n n
ij ij
u x y t
u u O
t
t
t
c
= +
c

(4)(1)
2 1 2 1
2 1
2 2
, ,
1 1
5 3
2 2
2 2 2 2 2
2 2 2 2 2
, , ,
,
( ) ( )
1 1
( ( )) ( ( ) )
2
1 1 1
( ( )) ( ( )) ( ( ))
2 2 4
1
(
n n n n n
ij ij ij ij ij n n n
ij ij ij
n n
n
ij ij ij
n
ij
u u u u u
R O O h f f
t x y
f u f
O O h O h
t x y t x t
u
t
o
o
o t o t
o t o t o t
o
o
o t
t
o o
t t t t t t
o o o
o


c c + c +
= + + + + +
c c c
c c c
+ + + + + + +
c c c c c c
c
=
c
2 1 2 1
2 1
2 2
1 2 1 1 2 2 2
1 2
( ) ( )
1
( ( ) ))
2
( ) ( )
( ).
n n n n
ij ij ij ij n n
ij ij
u u u u
O h f f
x y
O h O h
O h
o o o o o
o o
t t t t t
t t

+ + +
+
c + c +
+ + + +
c c
+ + + + +
= +

1 2
| | ( ),
n
ij
R C h
o o
t t
+
s + C
4 4
4 4
, ,
n n n
ij ij ij
u u f
y x t
c c c
c c c
u
2
n
ij
U (6)
n
ij
u , 1, 2, , ; 1, 2, , i j M n N = = , C
2
| | ( ).
n n
ij ij
u U C h t s +

0 0
1 ,
| | max | |,
n n
i j ij
i j M
q q
s s
=
0 0 0 0
0 0 0 0
0 0 0 0
1 2 2 1
2 2 0 1
2 2 0 1
1 2
( )
1
| | | ( )( ) |
2 2
| ( )( ) |
2 2
| ( )( ) | | |
2 2
1
( ).
i j x y i j
x y i j i j
x y i j i j
E E
E E R
E E R
C h
o o
o

q o o q

o o q

o o q
t t
e
+
s
= + + +
s + + +
s +

0,1, , 1, k n =
0 0
1 2
( )
1
| | ( ),
k
i j
k
C h
o o
o
q t t
e
+
s +
( ) ( )
1 1
k n
o o
e e
s

0 0
1 2
( )
1
| | ( ).
n
i j
n
C h
o o
o
q t t
e
+
s +
0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
2 2
1
2 2 1 1
1
2
1
( ) ( ) 2 2 1 2 2 1
1
1
( ) (
1
| | | ( )( ) |
2 2
| ( )( ) ( ) |
2 2
| ( ) | | ( ) | | | | |
2 4
(
n n
i j x y i j
n
n n l n l n
x y i j i j i j l i j
l
n
n l n n n
l l i j x y i j x y i j i j
l
l l
E E
E E R
R
o
o o
o

q o o q

o o q q q e

e e q o o q o o q
e e

+
=


+
=
+
s
= + + +
s + + + +
s
0 0
1
) 1 2
1
1
( ) ( ) ( ) 1 2
1 ( )
1
1 2
( )
) | | ( )
1
( ( ) ) ( )
1
( ).
n
n l
i j
l
n
l l n
l
n
n
C h
C h
C h
o o o
o o o o o
o
o o
o
q t t
e e e t t
e
t t
e

+
=

+
+
=
+
+ +
s + +
= +



- 46 -
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( ) 1 1
1
( 1) ( 1) 1 1
lim lim lim
1
( 1) 1
(1 )(1 )
1
n n n
n
n n
n n
n
o o
o o o
o e o
o





= = =

+


( 1) n T
o o o
t s
0 0
2
| | ( ).
n
i j
C h q t s +

2
( ) O h t +
4

( ) ( ) ( )
( ) ( )
2 2
2
2 2
, , , , , ,
, , , , , [0,1] (0, ].
u x y t u x y t u x y t
f x y t x y t T
t x y
o
o
c c c
= + + e
c c c


( )
( )
( )
2
2 2
2
, , 2 1 sin sin .
3
t
f x y t t x y
o
t t t
o

| |
= + +
|
|
I
\ .

( , , 0) sin sin , u x y x y t t = ( ) ( ) ( ) ( ) 0, , , 0, 1, , ,1, 0, (0, ]. u y t u x t u y t u x t t T = = = = e


( )
2
( , , ) 1 sin sin . u x y t t x y t t = +

o
,

2
1
ln( )
ln(2)
h
h
u U
u U


1o
1
2

1
4
2
1
1 o 0.3, 0.5, 0.8, T=1
o =0.3 o =0.5 o =0.8
h t

|u-U| order |u-U| order |u-U| order
1/4 1/16 0.1327 \ 0.1314 \ 0.1315 \
1/8 1/64 0.0322 2.04 0.0319 2.04 0.0320 2.04
1/16 1/256 0.0080 2.01 0.0079 2.01 0.0079 2.01
1/32 1/1024 0.0020 2.00 0.0019 2.00 0.0020 2.00

( 1) o =
2
1
N
t
=

1
M
h
=

2


2
M N
2 2
M N

3
M N
3 2
M N

2
M N
2 2
M N
2
N


- 47 -
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REFERENCES
[1] C. M. Chen, F. Liu and K. Burrage. Finite Difference Methods and a Fourier Analysis for Fractional ReactionSubdiffusion
Equation. Appl. Math. Comput.198 (2008) 754 769.
[2] E. Scalas, R. Gorenflo, F. Mainardi. Fractional Calculus and Continuous-Time Finance. Physica A 284 (2000) 376 384.
[3] F. Mainardi, M. Raberto, R. Gorenflo, et al. Fractional Calculus and Continuous-Time Finance II: The Waiting-Time Distribution.
Physica A 287 (2000) 468 481.
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1
1988-


Email: gj_tengfei@163.com
2
1957-
1998
Email: chhzh@sdnu.edu.cn