Alternating-direction implicit method: Difference between revisions

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In [[numerical linear algebra]], the '''alternating-direction implicit (ADI) method''' is an iterative method used to solve [[Sylvester equation|Sylvester matrix equations]]. It is a popular method for solving the large matrix equations that arise in [[systems theory]] and [[Control theory|control]],<ref name=":1">{{Cite journal |last=Simoncini |first=V. |s2cid=17271167 |date=2016 |title=Computational Methods for Linear Matrix Equations |journal=SIAM Review |language=en |volume=58 |issue=3 |pages=377–441 |doi=10.1137/130912839 |issn=0036-1445|hdl=11585/586011 |hdl-access=free }}</ref> and can be formulated to construct solutions in a memory-efficient, factored form.<ref name=":2">{{Cite journal |last1=Li |first1=Jing-Rebecca |author1-link=Jing-Rebecca Li |last2=White |first2=Jacob |date=2002 |title=Low Rank Solution of Lyapunov Equations |journal=SIAM Journal on Matrix Analysis and Applications |language=en |volume=24 |issue=1 |pages=260–280 |doi=10.1137/s0895479801384937 |issn=0895-4798}}</ref><ref name=":3">{{Cite journal |last1=Benner |first1=Peter |last2=Li |first2=Ren-Cang |last3=Truhar |first3=Ninoslav |date=2009 |title=On the ADI method for Sylvester equations |journal=Journal of Computational and Applied Mathematics |volume=233 |issue=4 |pages=1035–1045 |doi=10.1016/j.cam.2009.08.108 |issn=0377-0427 |bibcode=2009JCoAM.233.1035B |doi-access=free}}</ref> It is also used to numerically solve [[Parabolic partial differential equation|parabolic]] and [[Elliptic partial differential equation|elliptic]] partial differential equations, and is a classic method used for modeling [[heat conduction]] and solving the [[diffusion equation]] in two or more dimensions.<ref name=":0">{{Citation |title=The numerical solution of parabolic and elliptic differential equations |year=1955 |last1=Peaceman |last2=Rachford Jr. |first1=D. W. |first2=H. H. |journal=Journal of the Society for Industrial and Applied Mathematics |volume=3 |issue=1 |pages=28–41 |doi=10.1137/0103003 |mr=0071874 |hdl=10338.dmlcz/135399 |hdl-access=free}}.</ref> It is an example of an [[operator splitting]] method.<ref>*{{Cite book | last1=Press | first1=W. H. | last2=Teukolsky | first2=S. A. | last3=Vetterling | first3=W. T. | last4=Flannery | first4=B. P. | year=2007 | title=Numerical Recipes: The Art of Scientific Computing | edition=3rd | publisher=Cambridge University Press | ___location=New York | isbn=978-0-521-88068-8 | chapter=Section 20.3.3. Operator Splitting Methods Generally | chapter-url=http://apps.nrbook.com/empanel/index.html#pg=1052 | access-date=2011-08-18 | archive-date=2011-08-11 | archive-url=https://web.archive.org/web/20110811154417/http://apps.nrbook.com/empanel/index.html#pg=1052 | url-status=dead }}</ref>

The method was developed at [[Humble Oil]] in the mid-1950s by Jim Douglas, Jr, Henry Rachford, and Don Peaceman.<ref name=PurdueObit-Douglas>{{cite web|accessdate=March 25, 2025

|url=https://www.math.purdue.edu/news/2016/douglas_obit.html

|publisher=Purdue University|title=Prof. Jim Douglas