Preconditioned iterative methods for space-time fractional advection-diffusion equations

In this paper, we propose practical numerical methods for solving a class of initial-boundary value problems of space-time fractional advection-diffusion equations. First, we propose an implicit method based on two-sided Grünwald formulae and discuss its stability and consistency. Then, we develop the preconditioned generalized minimal residual (preconditioned GMRES) method and preconditioned conjugate gradient normal residual (preconditioned CGNR) method with easily constructed preconditioners. Importantly, because resulting systems are Toeplitz-like, fast Fourier transform can be applied to significantly reduce the computational cost. We perform numerical experiments to demonstrate the efficiency of our preconditioners, even in cases with variable coefficients.