Theory and Modern Applications
From: High order locally one-dimensional methods for solving two-dimensional parabolic equations
h
r = τ/h
P–R scheme
Fourth order scheme (22)
Sixth order scheme (33)
Error
1/40
8
1.85(−3)
2.94(−5)
3.39(−7)
1/80
16
3.07(−4)
2.97(−6)
5.02(−9)
1/160
32
8.47(−4)
1.32(−7)
1.46(−10)