Spectral method

Spectral methods are a class of techniques used in applied mathematics and scientific computing to numerically solve certain differential equations, often involving the use of the Fast Fourier Transform. The idea is to write the solution of the differential equation as a sum of certain "basis functions" (for example, as a Fourier series which is a sum of sinusoids) and then to choose the coefficients in the sum in order to satisfy the differential equation as well as possible.

Spectral methods and finite element methods are closely related and built on the same ideas; the main difference between them is that spectral methods use basis functions that are nonzero over the whole domain, while finite element methods use basis functions that are nonzero only on small subdomains. In other words, spectral methods take on a global approach while finite element methods use a local approach. Partially for this reason, spectral methods have excellent error properties, with the so-called "exponential convergence" being the fastest possible, when the solution is smooth. However, there are no known three-dimensional single domain spectral shock capturing results (shock waves are not smooth). In the finite element community, a method where the degree of the elements is very high or increases as the grid parameter h decreases to zero is sometimes called a spectral element method.

Spectral methods can be used to solve ordinary differential equations (ODEs), partial differential equations (PDEs) and eigenvalue problems involving differential equations. When applying spectral methods to time-dependent PDEs, the solution is typically written as a sum of basis functions with time-dependent coefficients; substituting this in the PDE yields a system of ODEs in the coefficients which can be solved using any numerical method for ODEs. Eigenvalue problems for ODEs are similarly converted to matrix eigenvalue problems.

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