Fast operator splitting methods for obstacle problems

Hao Liu, Dong Wang*

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review


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.

Original languageEnglish
Article number111941
Number of pages21
JournalJournal of Computational Physics
Early online date20 Jan 2023
Publication statusPublished - 15 Mar 2023

Scopus Subject Areas

  • Numerical Analysis
  • Modelling and Simulation
  • Physics and Astronomy (miscellaneous)
  • Physics and Astronomy(all)
  • Computer Science Applications
  • Computational Mathematics
  • Applied Mathematics

User-Defined Keywords

  • Obstacle problem
  • Operator splitting methods
  • Alternating direction explicit method
  • Nonlinear elliptic equations
  • Free boundary


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