Explicit stabilized implementation of singly diagonally implicit Runge-Kutta methods

Implicit methods are a natural approach for the integration of stiff differential equations, to avoid time-step restrictions faced by standard explicit integrators.

Explicit stabilised integrators are an alternative to implicit methods, which can be particularly efficient in high-dimensional applications with diffusive terms.

Towards the best of both worlds, we introduce a new explicit stabilised implementation of a class of diagonally implicit Runge-Kutta methods.

This allows us to implement high-order singly-diagonally-implicit Runge-Kutta methods for advection-diffusion-reaction PDEs with a provable computational cost analogous to that of standard explicit stabilised methods.

The main ingredient is to recast the implicit Runge-Kutta update as the steady state of a modified auxiliary system, which is then computed using a partitioned Runge-Kutta-Chebyshev method inspired by optimisation techniques.