A two-weight scheme for a time-dependent advection-diffusion problem

Abstract

We consider a family of two-weight finite difference schemes for a time-dependent advection-diffusion problem. For a given uniform grid-spacing in time and space, and for a fixed value of advection and diffusion parameters, we demonstrate how to optimally choose these weights by means of the notion of an equivalent differential equation. We also provide a geometric interpretation of the weights. We present numerical results that demonstrate that the approach is superior to other commonly used methods that also fit into the framework of a two-weight scheme.