Fast operator splitting methods for obstacle problems

TL;DR

This paper introduces two efficient operator-splitting methods for solving linear and nonlinear obstacle problems, transforming them into unconstrained problems and employing explicit schemes that are easy to implement and computationally advantageous.

Contribution

The paper presents novel operator-splitting techniques that convert obstacle problems into unconstrained forms and introduce a new explicit method for heat equations with obstacles, improving efficiency and simplicity.

Findings

Methods are easy to implement and do not require solving linear systems.

Proposed methods are more efficient than existing numerical approaches.

Achieve similar accuracy with reduced computational effort.

Abstract

The obstacle problem is a class of free boundary problems which finds applications in many disciplines such as porous media, financial mathematics and optimal control. In this paper, we propose two operator-splitting methods to solve the linear and nonlinear obstacle problems. The proposed methods have three ingredients: (i) Utilize an indicator function to formularize the constrained problem as an unconstrained problem, and associate it to an initial value problem. The obstacle problem is then converted to solving for the steady state solution of an initial value problem. (ii) An operator-splitting strategy to time discretize the initial value problem. After splitting, a heat equation with obstacles is solved and other subproblems either have explicit solutions or can be solved efficiently. (iii) A new constrained alternating direction explicit method, a fully explicit method, to solve heat equations with obstacles. The proposed methods are easy to implement, do not require to solve any linear systems and are more efficient than existing numerical methods while keeping similar accuracy. Extensions of the proposed methods to related free boundary problems are also discussed.