Strang splitting

In applied mathematics Strang splitting is a numerical method for solving differential equations that are decomposable into a sum of differential operators. It is named after Gilbert Strang. It is used to speed up calculation for problems involving operators on very different time scales, for example, chemical reactions in fluid dynamics, and to solve multidimensional partial differential equations by reducing them to a sum of one-dimensional problems.

Fractional step methods

As a precursor to Strang splitting, consider a differential equation of the form

{\frac {d{y}}{dt}}=L_{1}({y})+L_{2}({y})

where $L_{1}$ , $L_{2}$ are differential operators. If $L_{1}$ and $L_{2}$ were constant coefficient matrices, then the exact solution to the associated initial value problem would be

y(t)=e^{(L_{1}+L_{2})t}y_{0}

.

If $L_{1}$ and $L_{2}$ commute, then by the exponential laws this is equivalent to

y(t)=e^{L_{1}t}e^{L_{2}t}y_{0}

.

If they do not, then by the Baker–Campbell–Hausdorff formula it is still possible to replace the exponential of the sum by a product of exponentials at the cost of a second order error:

e^{(L_{1}+L_{2})t}y_{0}=e^{L_{1}t}e^{L_{2}t}y_{0}+{\mathcal {O}}(t^{2})

.

This gives rise to a numerical scheme where one, instead of solving the original initial problem, solves both subproblems alternating:

{\tilde {y}}_{1}=e^{L_{1}\Delta t}y_{0}

y_{1}=e^{L_{2}\Delta t}{\tilde {y}}_{1}

{\tilde {y}}_{2}=e^{L_{1}\Delta t}y_{1}

y_{2}=e^{L_{2}\Delta t}{\tilde {y}}_{2}

etc.

In this context, $e^{L_{1}\Delta t}$ is a numerical scheme solving the subproblem

{\frac {d{y}}{dt}}=L_{1}({y})

to first order. The approach is not restricted to linear problems, that is, $L_{1}$ can be any differential operator.