The Hierarchical Poincare-Steklov (HPS) solver for elliptic PDEs: A tutorial

Abstract

A numerical method for variable coefficient elliptic problems on two dimensional domains is described. The method is based on high-order spectral approximations and is designed for problems with smooth solutions. The resulting system of linear equations is solved using a direct solver with $O(N^{1.5})$ complexity for the pre-computation and $O(N \log N)$ complexity for the solve. The fact that the solver is direct is a principal feature of the scheme, and makes it particularly well suited to solving problems for which iterative solvers struggle; in particular for problems with highly oscillatory solutions. This note is intended as a tutorial description of the scheme, and draws heavily on previously published material.