Parallel Implementation of a High Order Implicit Collocation Method for the Heat Equation

We combine a high order compact finite difference approximation and collocation techniques to numerically solve the two dimensional heat equation. The resulting method is implicit arid can be parallelized with a strategy that allows parallelization across both time and space. We compare the parallel implementation of the new method with a classical implicit method, namely the Crank-Nicolson method, where the parallelization is done across space only. Numerical experiments are carried out on the SGI Origin 2000.