Acta Numerica (2010), pp. 209–286 c Cambridge University Press, 2010 doi:10.1017/S0962492910000048 PrintedintheUnitedKingdom Exponential integrators Marlis Hochbruck Karlsruher Institut f¨ur Technologie, Institut f¨ur Angewandte und Numerische Mathematik, D-76128 Karlsruhe, Germany E-mail:
[email protected] Alexander Ostermann Institut f¨ur Mathematik, Universit¨at Innsbruck, A-6020 Innsbruck, Austria E-mail:
[email protected] In this paper we consider the construction, analysis, implementation and ap- plication of exponential integrators. The focus will be on two types of stiff problems. The first one is characterized by a Jacobian that possesses eigen- values with large negative real parts. Parabolic partial differential equations and their spatial discretization are typical examples. The second class con- sists of highly oscillatory problems with purely imaginary eigenvalues of large modulus. Apart from motivating the construction of exponential integrators for various classes of problems, our main intention in this article is to present the mathematics behind these methods. We will derive error bounds that are independent of stiffness or highest frequencies in the system. Since the implementation of exponential integrators requires the evaluation of the product of a matrix function with a vector, we will briefly discuss some possible approaches as well. The paper concludes with some applications, in which exponential integrators are used. CONTENTS 1Introduction 210 2 Parabolicproblems,smoothsolutions 213 3 Highlyoscillatoryproblems 244 4 Implementationissues 264 5 Applications 273 6 Historical remarks 277 References 279 210 M. Hochbruck and A. Ostermann 1. Introduction Exponential integrators constitute an interesting class of numerical methods for the time integration of stiff systems of differential equations, that is, ′ u (t)= F t,u(t) , u(0) = u0.