Conservative solution of the Fokker–Planck equation for stochastic chemical reactions

In this paper we discuss multigrid methods for ill-conditioned symmetric positive definite block Toeplitz matrices. Our block Toeplitz systems are general in the sense that the individual blocks are not necessarily Toeplitz, but we restrict our attention to blocks of small size. We investigate how transfer operators for prolongation and restriction have to be chosen such that our multigrid algorithms converge quickly. We point out why these transfer operators can be understood as block matrices as well and how they relate to the zeroes of the generating matrix function. We explain how our new algorithms can also be combined efficiently with the use of a natural coarse grid operator. We clearly identify a class of ill-conditioned block Toeplitz matrices for which our algorithmic ideas are suitable. In the final section we present an outlook to well-conditioned block Toeplitz systems and to problems of vector Laplace type. In the latter case the small size blocks can be interpreted as degrees of freedom associated with a node. A large number of numerical experiments throughout the article confirms convincingly that our multigrid solvers lead to optimal order convergence. AMS subject classification (2000) 65N55, 65F10