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The horizontally diagonalize and fit (HDF) method is proposed to solve the ill-posed Cauchy problem for the three-dimensional Poisson equation with data given on the part of the boundary (a continuation problem). The HDF method consists in discretization over horizontal variables and transformation of the system of differential equations to a diagonal form. This allows to uncouple the original three-dimensional continuation problem into a moderate number of one-dimensional problems in the vertical dimension. The problem size reduction can be carried taking into account the noise level, so that the number  k  of one-dimensional problems appears to be a regularization parameter. Our experiments show that HDF is applicable to large-scale problems and forn≤2500{n\leq 2500}is significantly more efficient than Landweber iteration.

The Cauchy problem for the 3D Poisson equation: Landweber iteration vs. horizontally diagonalize and fit method