Review Revisiting Stability Discretising PDEs Summary

F INITE D IFFERENCE FOR PDE S

Dr. Johnson
School of Mathematics

Semester 1 2008

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

O UTLINE

R EVIEW R EVISITING S TABILITY

Consistency, Stability and Convergence

D ISCRETISING PDE S
Dierence Formula Centering of Approximations

S UMMARY

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

C LASSIFICATION

PDEs may be classied by their characteristic equation Elliptic equations tend to have smooth solutions Parabolic equations tend to smooth out solutions over time Hyperbolic equations may retain discontinuity by propagating it through the solution

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Consistency, Stability and Convergence

C ONSISTENCY

D EFINITION A discrete approximation to a partial dierential equation is said to be consistent if in the limit of the stepsize(s) going to zero, the original pde system is recovered, i.e. the truncation error approaches zero. Consistency is not as straightforward in PDEs as it is in ODEs

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Consistency, Stability and Convergence

S TABILITY

D EFINITION If we dene the error to be the dierence between the computed solutions and the exact solution of the discrete approximation, then the scheme is stable if the error remains uniformly bounded for successive iterations.

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Consistency, Stability and Convergence

C ONVERGENCE

D EFINITION A scheme is stable if the solution of the discrete equations approaches the solution of the pde in the limit that the step-sizes approach zero. L AX S E QUIVALENCE T HEOREM For a well posed initial-value problem and a consistent discretization, stability is the necessary and sucient condition for convergence.

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Dierence Formula Centering of Approximations

T HE G RID
Consider a PDE with the state variables x and y . Form a grid of points:
with equal mesh spacing x in the x -direction and equal spacing y in the y -direction.

(i + 1, j + 1)
y

(i , j ) (i 1, j 1)
x

x
Dr. Johnson MATH65241

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Review Revisiting Stability Discretising PDEs Summary

Dierence Formula Centering of Approximations

D ERIVATIVES ON THE GRID

Let the function (x , y ) be approximated by wi ,j Then we can approximate the second derivatives as wi 1,j 2wi ,j + wi +1,j 2 = + O ( x 2 ) 2 x x 2 y

(i 1, j ) (i , j ) (i + 1, j )

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Dierence Formula Centering of Approximations

D ERIVATIVES ON THE GRID

Let the function (x , y ) be approximated by wi ,j Then we can approximate the second derivatives as wi ,j 1 2wi ,j + wi ,j +1 2 = + O ( y 2 ) 2 y y 2 y

(i , j + 1) (i , j ) (i , j 1)

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Dierence Formula Centering of Approximations

D ERIVATIVES ON THE GRID

Let the function (x , y ) be approximated by wi ,j Then we can approximate the rst derivatives as wi +1,j wi 1,j = + O ( x 2 ) x 2x wi ,j +1 wi ,j 1 = + O ( y 2 ) y 2y These approximations are centered at the node (i , j ).

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Dierence Formula Centering of Approximations

M IXED D ERIVATIVES
For nding suitable discrete approximations for mixed derivatives use a multidimensional Taylor expansion. Thus for example second order approximations to 2 /x y at the point (i , j ) are given wi +1,j +1 wi 1,j +1 + wi 1,j 1 wi +1,j 1 2 = + O ( x 2 , y 2 ) x y 4x y or in stencil form 1 0 1 1 0 0 0 4x y 1 0 1
Dr. Johnson MATH65241

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Review Revisiting Stability Discretising PDEs Summary

Dierence Formula Centering of Approximations

M IXED D ERIVATIVES

An alternate stencil for the mixed derivative is 0 1 1 1 1 2 1 4x y 1 1 0

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Dierence Formula Centering of Approximations

F IRST D ERIVATIVES

We can also construct one-sided approximations to derivatives Thus for example a second-order forward approximation to /x at the node (i , j ) is given by

3wi ,j + 4wi +1,j wi +2,j = + O ( x 2 ) x 2x

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Dierence Formula Centering of Approximations

F IRST D ERIVATIVES
A rst order forward approximation to /x at the node (i , j ) is given by x

=
i ,j

wi +1,j wi ,j + O ( x ) x

However, if we take it as approximation at (xi + 1/2x , yj ) then it becomes second order x

=
i +1/2,j

wi +1,j wi ,j + O ( x 2 ) x

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

Dierence Formula Centering of Approximations

W HERE TO CENTER APPROXIMATIONS

Where you center approximations can have a big eect on the errors Changing the center of the approximation gives rise to dierent schemes It can change the stability of the scheme Be careful to approximate all terms at the same position!

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Dr. Johnson

MATH65241

Review Revisiting Stability Discretising PDEs Summary

D IFFERENCING

We need to know that a scheme is stable for it to be convergent Use stencils to generate dierence formula for derivatives Change the centering of the approximation:
to increase stability or the order of the scheme

See notes for more dierencing formulas

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Dr. Johnson

MATH65241