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    Numerical Time-Dependent Partial Differential Equations for Scientists and Engineers
    Numerical Time-Dependent Partial Differential Equations for Scientists and Engineers
    Numerical Time-Dependent Partial Differential Equations for Scientists and Engineers
    Ebook446 pages4 hours

    Numerical Time-Dependent Partial Differential Equations for Scientists and Engineers

    By Moysey Brio, Gary M. Webb and Aramais R. Zakharian

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    About this ebook

    It is the first text that in addition to standard convergence theory treats other necessary ingredients for successful numerical simulations of physical systems encountered by every practitioner. The book is aimed at users with interests ranging from application modeling to numerical analysis and scientific software development. It is strongly influenced by the authors research in in space physics, electrical and optical engineering, applied mathematics, numerical analysis and professional software development. The material is based on a year-long graduate course taught at the University of Arizona since 1989. The book covers the first two-semesters of a three semester series. The second semester is based on a semester-long project, while the third semester requirement consists of a particular methods course in specific disciplines like computational fluid dynamics, finite element method in mechanical engineering, computational physics, biology, chemistry, photonics, etc.

    The first three chapters focus on basic properties of partial differential equations, including analysis of the dispersion relation, symmetries, particular solutions and instabilities of the PDEs; methods of discretization and convergence theory for initial value problems. The goal is to progress from observations of simple numerical artifacts like diffusion, damping, dispersion, and anisotropies to their analysis and management technique, as it is not always possible to completely eliminate them.

    In the second part of the book we cover topics for which there are only sporadic theoretical results, while they are an integral part and often the most important part for successful numerical simulation. We adopt a more heuristic and practical approach using numerical methods of investigation and validation. The aim is teach students subtle key issues in order to separate physics from numerics. The following topics are addressed: Implementation of transparent and absorbing boundary conditions; Practical stability analysis in the presence of the boundaries and interfaces; Treatment of problems with different temporal/spatial scales either explicit or implicit; preservation of symmetries and additional constraints; physical regularization of singularities; resolution enhancement using adaptive mesh refinement and moving meshes.
    • Self contained presentation of key issues in successful numerical simulation
    • Accessible to scientists and engineers with diverse background
    • Provides analysis of the dispersion relation, symmetries, particular solutions and instabilities of the partial differential equations
    LanguageEnglish
    PublisherAcademic Press
    Release dateSep 21, 2010
    ISBN9780080917047
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      Book preview

      Numerical Time-Dependent Partial Differential Equations for Scientists and Engineers - Moysey Brio

      Numerical Time-Dependent Partial Differential Equations for Scientists and Engineers

      First Edition

      Moysey Brio

      Department of Mathematics, University of Arizona, Tucson, Arizona, USA

      Aramais Zakharian

      Corning Incorporated, SP TD 01-1, Corning, NY 14831, USA

      Gary M. Webb

      Center for Space Plasma and Aeronomic Research (CSPAR), The University of Alabama in Huntsville, Huntsville, AL 35805, USA

      ELSEVIER

      Amsterdam  –  Boston  –  Heidelberg  –  London  –  New York  –  Oxford

      Paris  –  San Diego  –  San Francisco  –  Singapore  –  Sydney  –  Tokyo

      Table of Contents

      Cover image

      Title page

      Copyright page

      Preface

      Chapter 1: Overview of Partial Differential Equations

      1.1 Examples of Partial Differential Equations

      1.2 Linearization and Dispersion Relation

      1.3 Well-posedness, Regularity and the Solution Operator

      1.4 Physical Instabilities

      1.5 Group Velocity, Wave Action and Wave Energy Equations

      1.6 Project Assignment

      1.7 Project Sample

      Chapter 2: Discretization Methods

      2.1 Polynomial Interpolation and Finite Differences

      2.2 Compact Finite Differences and Dispersion Preserving Schemes

      2.3 Spectral Differentiation

      2.4 Method of Weighted Residuals, Finite Element and Finite Volume Methods

      2.5 Project Assignment

      2.6 Project Sample

      Chapter 3: Convergence Theory for Initial Value Problems

      3.1 Introduction to Convergence Theory

      3.2 Lax-Richtmyer Equivalence Theorem

      3.3 Von Neumann Analysis and Courant-Friedrichs-Levy Necessary Stability Condition

      3.4 Project Assignment

      3.5 Project Sample

      Chapter 4: Numerical Boundary Conditions

      4.1 Introduction to Numerical Boundary and Interface Conditions

      4.2 Transparent Boundary Conditions for Hyperbolic and Dispersive Systems

      4.3 Berenger’s Perfectly Matched Layer Boundary Conditions

      4.4 Matrix Stability Analysis in the Presence of Boundaries and Interfaces

      4.5 Project Sample

      Chapter 5: Problems with Multiple Temporal and Spatial Scales

      5.1 Examples of Weakly and Strongly Interacting Multiple Scales

      5.2 Stiff Ordinary Differential Equation Solvers

      5.3 Long-Time Integrators for Hamiltonian Systems

      5.4 Hyperbolic Conservation Laws

      5.5 Methods of Fractional Steps, Time-Split and Approximate Factorization Algorithms

      5.6 Project Sample

      Chapter 6: Numerical Grid Generation

      6.1 Non-uniform Static Grids, Stability and Accuracy Issues

      6.2 Adaptive and Moving Grids Based on Equidistribution Principle

      6.3 Level Set Methods

      6.4 The Front Tracking Method

      6.5 Project Sample

      Bibliography

      Index

      Recent titles

      Copyright

      Preface

      M. Brio; G.M. Webb; A.R. Zakharian

      Physical experiments and numerical simulations are the primary tools for validation of scientific theories and engineering designs. The aim of this book is to provide the reader with solid understanding of the universal principles that are necessary for successful application and development of numerical methods for partial differential equations. The material presented is based on a year-long graduate course taught over the last two decades at the University of Arizona to the students who are beginning to work on their PhD dissertations. The prerequisites assume familiarity with numerical analysis and partial differential equations on the senior undergraduate or first year graduate level, as currently taught in US universities. In addition to this course, the students in the computational sciences track would normally also take at least one more course covering numerical methods specific to their discipline, e.g. computational electrodynamics, finite element methods in hydrology, direct numerical simulation of turbulent flows, etc.

      Our goal is to instill in students the following facts of numerical analysis that are well-known to every practitioner:

      –Even though numerical analysis is a very diverse subject, there are universal principles that form the foundation of the field, and lead to time-tested methods that perform well on particular types of problems. Each method has its region of validity, advantages, disadvantages, limitations, difficulties, etc.

      –On the physical level, one has to clearly understand what physical scales should be resolved to achieve the convergence regime and which ones will remain unresolved and will be treated phenomenologically or otherwise. Numerical method should treat the unresolved scales/singularities consistently with the appropriate physical laws.

      –The total error in the numerical solution will have contributions from all approximations involved: geometry, boundaries and interfaces, initial conditions, sources, material properties, etc. The choice of the numerical method depends on the choice of the key properties that need to be approximated more accurately than the others.

      –The stability of a numerical method is usually known only a posteriori, unless the method enforces symmetries, conservation laws, etc., that are sufficient to deduce the stability beforehand.

      The question of whether the results of the code make physical sense must be asked. Usually results that defy common sense are suspect. However, sometimes surprising results can be correct. As Ortega y Gasset has observed: If we examine more closely our ordinary notion of reality, perhaps we should find that we do not consider real what actually happens but a certain manner of happening that is familiar. In this vague sense, then, the real is not so much what is seen as forseen; not so much what we see as what (we think) we know.

      The first three chapters of the book are suitable for a one-semester course allocating approximately 4 weeks per chapter. In Chapter One, we focus on basic properties of partial differential equations, including analysis of the dispersion relation, symmetries, particular solutions and linear instabilities. The sections on modulational instabilities and resonant wave interaction are intended as additional reading for the interested students. In Chapter Two we discuss various discretization methods, including finite differences, compact finite differences, finite elements, finite volume and spectral methods. In Chapter Three we present Lax-Richtmyer convergence theory for the initial value problems. After each chapter we provide a sample of the project-like homework assignments allowing students about 3-4 weeks per assignment. The problems are designed to progress the students from the simple task of collecting facts and observations of the properties of the partial differential equations and corresponding numerical methods to the analysis and validation of numerical methods, as well as control and management techniques of the numerical artifacts. Specifically, we focus on such properties as diffusion, damping, dispersion, anisotropies, symmetries, conservation, etc.

      The remaining chapters of the book are suitable for a second semester of the course. Here the available theoretical results are not as systematic as for the material covered in the first three chapters. Nevertheless, the understanding of these topics is vital for many numerical applications. In this part of the course we adopt a more heuristic and practical approach. In particular, the following questions are addressed: implementation of transparent and absorbing boundary conditions; practical stability analysis in the presence of the boundaries and interfaces; treatment of problems with different temporal/spatial scales; preservation of symmetries and additional constraints; physical regularization of singularities; resolution enhancement using adaptive mesh refinement; and moving meshes.

      We suggest to structure the lectures so as to leave approximately 10 hours of the class time for monthly student presentations. The first two 15-minute presentations should be devoted to the statement of the physical problem and its mathematical model. The choice of the numerical algorithm and its performance on the simplest examples possible, e.g. using advection equation instead of Euler equations of fluid dynamics to illustrate dispersive/diffusive properties of a particular method, are the subject of the second round of student presentations. In the final 20-minute talks the students present the results and conclusion of their study. The papers for the projects that students choose with the consent of the instructor should be on the level of the papers published in Journal of Computational Physics, SIAM Journal on Scientific Computing, or similar high quality computational journals. The only restriction imposed is that the numerical methods in articles have to be related to the material of the course and the proposed work (reproducing the paper or part of it) can realistically be accomplished within a 3-month framework. The oral presentations are accompanied by written reports for each presentation. In the end, the final project reports accumulate to about 15-20 pages total. After each chapter we are providing abbreviated versions of sample projects. Our choice was strongly influenced by our research in space physics, electrical and optical engineering, applied mathematics, numerical analysis and professional software development. These sample projects are intended to serve only as a guide for the students and the instructors.

      M.B. would like to acknowledge his family Alina, Ariel and Ashley for their patience and support. We would like to express our gratitude to Prof. Jerry Moloney, director of the Arizona Center of Mathematical Sciences (ACMS), for many years of fruitful collaboration that have presented us with ample opportunities to practice what we preach. We would like to thank Prof. Masud Mansuripur and ACMS members Krishna Mohan Gundu, Colm Dineen, Jorg Hader, Miroslav Kolesik, Patrick Kano, and Hongbo Li for many useful discussions of various numerical analysis issues. We are grateful to Jinjie Liu, who contributed the last two sections of the book on level set and front tracking grid generation methods. A.Z. would also like to acknowledge Prof. Charles Sonett for kindly providing support and mentoring during those first years of his graduate studies at the University of Arizona. G.M.W. acknowledges both stimulating and/or practical discussions (not necessarily both) with colleagues at the University of Arizona (Chuck Sonett, Randy Jokipii, Jozsef Kota, Joe Giacalone) and at the University of California Riverside (Gary Zank, Kobus le Roux, Jim McKenzie, Roma Ratkiewicz, Ming Ko, Nick Pogorelov, Vladimir Florinski, Gang Li, Jacob Heerikhuisen, Dastgeer Shaikh, Brahma Dasgupta, Qiang Hu, Haru Washimi, Olga Verkhoglyadova).

      Chapter 1

      Overview of Partial Differential Equations

      M. Brio; G.M. Webb; A.R. Zakharian

      1.1 Examples of Partial Differential Equations

      Partial differential equations (PDEs) are equations that involve partial derivatives of the unknown quantities. In general, a system of PDEs can be written in the form:

      , and

      The order of the highest derivative involved defines the order of the system of the PDEs.

      Below we describe common ways PDEs are derived and illustrate them with several examples. In applications, PDEs arise from first principles, which are experimental laws that hold for a wide variety of physical phenomena, like conservation laws conservation of mass, momentum and energy, Newton’s laws of motion, variational principles, etc. Phenomenological principles, are laws that are not as universal as first principles, for example, the amount of business between two cities is inversely proportional to the geographical distance between them. Balance laws in population dynamics, which express the rates of change of population size and age distributions (dependent variables) as functions of the limited resources, species competition, cannibalism, etc., are further examples of phenomenological laws. Similarly, equations of state in gas dynamics and constitutive relations in elasticity are some other examples of such laws. However, some phenomenological principles can, in many cases, be thought of as a consequence of a physical theory; for example, the ideal gas law can be derived from the kinetic theory of gases.

      Asymptotic reduction of PDEs in order to single out particular mechanisms, such as wave interactions, instabilities, and propagation, often leads to canonical PDEs such as Burgers equation, the nonlinear Schrödinger (NLS) equation, the Korteweg deVries (KdV) equation, the Benjamin Ono equation, the Boussinesq equation, three-wave interaction systems, etc. These asymptotic equations are, in general, more amenable to analysis, and are of interest in elucidating the behavior of the system.

      , would be analogous to the familiar relation in mechanics that the stress due tension in a string is proportional to the curvature of the string. In the context of general relativity, the Einstein tensor is formed by contraction of the Riemann curvature tensor, which in turn can be expressed in terms of the metric tensor, and describes the gravitational field (see e.g. [131,188,197]).

      Example. Heat Balance Law

      present within the region. Thus the conservation laws conservation of heat energy, assuming there is no mechanical work done on the system, can be written in the form:

      is the outward normal to the surface. To close the system we assume Fourier’s constitutive relation between the heat flux and the temperature, namely

      is the heat conduction coefficient. Fourier’s law can, in principle, be derived using kinetic theory (e.g. .

      Using Gauss’s divergence theorem on the surface integral above gives the integral form of the heat diffusion equation:

      , allow one to reduce the above equation locally to the heat conduction equation:

      [175].

      as well as simple computation of the weak derivatives, as described later when the finite element and finite volume approximations are discussed.

      . In this case the temperature distribution is found by solving the steady-state heat conduction equation:

      with appropriate boundary conditions at the edge of the control volume.

      Example. Advection-reaction-diffusion Equation

      , then the left-hand side of the integral equation can be expressed in an alternative form using the Reynolds transport theorem in fluid mechanics (e.g. [68,90]) to obtain the equation:

      changes in time. Application of the divergence theorem to the last integral yields the advection diffusion equation:

      (cubic reaction) are some of the popular modeling choices.

      , the control volume does not change as it is advected and the corresponding velocity field is incompressible, and leads to a simpler form of the heat transfer equation.

      Example. Maxwell-Cattaneo Heat Flux [153]

      Consider the one-dimensional (1D) case of the heat equation:

      (the relaxation time) for the gas to adjust to a new thermodynamic equilibrium, gives the Maxwell-Cattaneo heat flux:

      to be small and keeping only linear terms in the Taylor expansion modifies the heat equation to

      satisfies the telegrapher equation:

      [172]. The telegrapher equation has a finite propagation speed for disturbances and the dissipation of the wave depends on the wavelength. Telegrapher equations also describe energetic particle transport in the interplanetary medium (e.g. [65]). The diffusion equation, unlike the telegrapher equation, has an unphysical infinite speed for the propagation of disturbances (see next section). The telegrapher equation has two time scales present, dispersive and diffusive, and in the case where one is only interested in slow diffusive phenomena, the idealized model is much easier to solve numerically than the complete physical model [153].

      Example. Discrete Motion on a Lattice [177]

      .

      Suppose that evolution of the particle satisfies the Chapman-Kolmogorov equation:

      which gives the change in probability from one time to the next, due to a particle jumping from the left, right or staying in place.

      ,

      and assuming that such a limit exists, we get a PDE called the Fokker-Planck equation:

      Note that now we can go backwards and use the Chapman-Kolmogorov model as a discretization of the continuous model, noting again that the continuous model operates on the averaged (smoothed out) quantities. We will investigate in the following chapter the merits of such a discretization.

      It is interesting to note that the Fokker-Planck equation can be obtained (e.g. . Stochastic differential equations can be related to Monte Carlo methods. Both the Fokker-Planck equation and the Schrödinger equation can be studied using Feynman path integral formulations.

      , the equation has drift or diffusion (averaging) as its dominant effect.

      Example. Boundary Conditions

      would be an example of an initial condition. In the numerical solution, a variety of boundary conditions that are physical in nature, or purely numerical due to truncation of the infinite domain of the physical problem, are used. Some common physical boundary conditions for the heat equations are:

      );

      );

      (interface boundary with a source).

      , are encountered in practice.

      1.2 Linearization and Dispersion Relation

      A useful first step in the analysis of a complicated PDE, or a system of PDEs, is linearization about a known solution. This allows one to obtain information on the local behavior of the small amplitude perturbations with respect to the background solution and to classify the equations accordingly. The procedure consists of substituting the following expansion

      , we can write the linearized system in the form:

      .

      Next, consider the initial value problem with initial data consisting of a single harmonic

      The solution to the linear constant coefficient problem will be a plane wave solution

      satisfies the dispersion relation

      , respectively.

      The general initial data may be decomposed into Fourier harmonics and the solution due to linear superposition is given by the Fourier integral:

         (1.1)

      direction. In the 1D case, the integration path in the Fourier integral is square integrable so that Parseval’s theorem applies (for further discussion of the conditions for the Fourier inversion theorem to apply, in problems in mathematical physics, see e.g. [136]). Fourier transforms and generalized functions (e.g. Dirac delta distributions and their derivatives) are discussed by Lighthill [115] and Gelfand and Shilov [72].

      describes the

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