The Mathematical Institute, University of Oxford, Eprints Archive

Optimizing Talbot's Contours for the Inversion of the Laplace Transform

Weideman, J. A. C. (2005) Optimizing Talbot's Contours for the Inversion of the Laplace Transform. Technical Report. Unspecified. (Submitted)



Talbot's method for the numerical inversion of the Laplace Transform consists of numerically integrating the Bromwich integral on a special contour by means of the trapezoidal or midpoint rules. In this paper we address the issue of how to choose the parameters that define the contour, for the particular situation when parabolic PDEs are solved. In the process the well known subgeometric convergence rate O(e -c \sqrt N) of this method is improved to the geometric rate O(e -cN) with N the number of nodes in the integration rule. The value of the maximum decay rate c is explicitly determined. Numerical results involving two versions of the heat equation are presented. With the choice of parameters derived here, the rule-of-thumb is that to achieve an accuracy of 10 -l at any given time t, the associated elliptic problem has to be solved no more that l times.

Supported by the National Research Foundation in South Africa under grant NRF5289

Item Type:Technical Report (Technical Report)
Subjects:H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:1148
Deposited By: Lotti Ekert
Deposited On:13 May 2011 07:18
Last Modified:29 May 2015 18:50

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