Neural, Parallel, and Scientific Computations 17 (2009) 123-134

UNIFORM CONVERGENCE OF MONOTONE DIFFERENCE SCHEME FOR A SINGULARLY PERTURBED THIRD-ORDER CONVECTION-DIFFUSION EQUATION
ZHONGDI CEN Institute of Mathematics, Zhejiang Wanli University, Ningbo 315100, China ABSTRACT. A singularly perturbed third-order convection-diusion problem is considered. The third-order boundary value problem is transformed into a system of weakly coupled system of two dierential equations. Then the problem is solved numerically using a monotone dierence scheme on a Bakhvalov-Shishkin mesh. We use appropriate estimates of the discrete Greens function to obtain error estimates of the monotone dierence scheme. Numerical experiments support our theoretical results. Key Words. convection-diusion problem, singularly perturbed, Bakhvalov-Shishkin mesh, nite dierence scheme, Greens function.

1. INTRODUCTION Singular perturbation problems appear in many branches of applied mathematics, and for more than two decades quite a good number of research works on the qualitative and quantitative analysis of these problems for both ordinary dierential equations and partial dierential equations have been reported in the literature. Most of the papers connected with computational aspects are conned to second order equation. But only few authors have developed numerical methods for singularly perturbed higher-order dierential equations. In this paper, we treat the following third-order singularly perturbed ordinary dierential equations (1.1) (1.2) y (x) a(x)y (x) + b(x)y (x) c(x)y (x) = f (x), x D, y (0) = p, y (0) = q, y (1) = r,

where 0 < 1 is a small positive parameter, a(x), b(x), c(x) and f (x) are suciently smooth functions satisfying the following conditions: (1.3) (1.4) (1.5)
Received June 1, 2009

a(x) > 0, b(x) 0, 0 c(x) , > 0,

1061-5369 $15.00 c Dynamic Publishers, Inc.

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(1.6)

(1 + 3 ) > 0 for some and ,

= [0, 1] and y C (3) (D ) C (1) (D ). with D = (0, 1), D0 = (0, 1], D In [1], Niederdrenk and Yserentant considered higher order convection-diusion type problems and derived conditions for the uniform stability of discrete and continuous problems. The works of Gartland [2] are connected with exponentially tted higher order dierence scheme with identity expansion method. Recently, Valarmathi and Ramanujam [3] proposed a method, boundary value technique, to nd a numerical solution for the third-order problem (1.1)-(1.2). Also, Semper [4] and Roos et al. [5] considered fourth order equations and applied a standard nite element method. The aim of this work is to illustrate an application of a priori estimates of the solutions of discrete problems, which are obtained using Greens function, to analyze the accuracy of nite dierence schemes in the discrete maximum norm. The present work is an extension of L1 norm stability inequality technique for second-order singularly perturbed boundary value problem to third-order singularly perturbed problem subject to a particular type of boundary conditions. An outline of the paper is as follows.In the next section we derive bounds for the derivatives of the solution of (1.1). In section 3 we introduce a upwind dierence scheme and a Bakhvalov-Shishkin mesh. We analyze the convergence properties of the scheme in section 4. Finally numerical results are presented in section 5. Notation. Throughout the paper, C will denote a generic positive constant that is independent of and of the mesh. Note that C is not necessarily the same at each occurence. Assumption 1. Throughout the paper we shall also assume that CN 1 as is generally the case. 2. THE CONTINUOUS PROBLEM In this section we will present a priori bounds on the solution of (1.1)-(1.2) and its derivatives.These bounds will be used in the error analysis in later sections.The singularly perturbed boundary value problem (1.1)-(1.2) can be transformed into an equivalent problem of the form (2.1) P1 y y 1 (x) y2 (x) = 0, Ay = F P2 y y2 (x) a(x)y2 (x) + b(x)y2 (x) + c(x)y1 (x) = f (x), x D, y1 (0) = p, y2 (0) = q, y2 (1) = r, where y = (y1 , y2). Lemma 1. (Maximum principle [3]) Consider the boundary value problem (2.1).Assume that P1 u 0, P2 u 0 in D , u1 (0) 0, u2 (0) 0, and u2 (1) 0. . Then u(x) 0 in [0, 1]. Here u(x) = (u1 (x), u2 (x)) for all x D

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Lemma 2. (Stability result [3]) Consider the boundary value problem (2.1). If y is a smooth function, then y(x) C max{|y1 (0)|, |y2(0)|, |y2(1)|, max |P1 y|, max |P2 y|} for all x D,
xD xD

where y(x) = max{|y1 (x)|, |y2(x)|}. The construction of layer-adapted meshes and the analysis of numerical methods for singularly perturbed problems require precise knowledge about the behavior of the derivatives of the exact solution. The following lemma provides that information. ), then the solution y(x) of (1.1)Lemma 3. If a(x), b(x), c(x) and f (x) C (j ) (D (1.2) has the representation y = v + w on [0, 1], where the smooth part v satises P1 v(x) = 0, P2v(x) = f (x) and v(k) (x) C, for all k j , x D, while the layer part w satises P1 w(x) = 0, P2 w(x) = 0, w(0) C, w(1) C exp(/) and
(k ) (k ) |w1 (x)| C1k exp(x/) , |w2 (x)| Ck exp(x/) for all k j , x D.

Proof. The bounds can be obtained using results of reference [3]. 3. MESH AND SCHEME Our mesh is a modication of the Shishkin mesh:Bakhvalov-Shishkin mesh combined the Bakhvalov mesh in the boundary layer with the Shishkin-type transition point. Let N , our discretization parameter, be an even positive integer. We choose the transition point as Shishkin does: (3.1) Then our mesh is (3.2) Let D N = {xi |i = 1, 2, , N 1}, N = {xi |i = 0, 1, , N }. D The following lemma gives some estimates of the mesh sizes that will be used later. Lemma 4. The step sizes of the mesh D N satisfy hi 8 CN 1 , hN/2+i 2N 1 , for i = 1, 2, , N/2. (N/2 i + 1)
N D0 = {xi |i = 0, 1, , N 1},

1 2 = min{ , ln N }. 2
i ln[1 2(1 N 1 ) N ] for i = 0, 1, , N/2, 2 2(N i) 2 1 (1 ln N ) N for i = N/2 + 1, , N.

xi =

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Proof. These can be easily calculated. See [7]. Now we consider the upwind dierence scheme (3.3) (3.4) (3.5) where D + vi = vi vi1 vi+1 vi vi+1 vi , D vi = , Dvi = and hi+1 hi i
i N N N N P1 yi Dy1 ,i y2,i = 0, i = 0, 1, , N 1, N N N N N N P2 yi D + D y2 ,i ai Dy2,i + bi y2,i + ci y1,i = fi , i = 1, 2, , N 1, N N N y1 ,0 = p, y2,0 = q, y2,N = r,

hi + hi+1 , 2

= h1 .

4. ANALYSIS OF THE METHOD Analogous to the continuous problem (2.1), we can get results for the discrete problem. Lemma 5. (Discrete maximum principle [3]) Consider the discrete problem N (3.3)-(3.5). If y1,0 0, y2,0 0, y2,N 0, P1 yi 0 for i = 0, 1, , N 1, and N P2 yi 0 for i = 1, 2, , N 1, then yi 0 for i = 0, 1, , N . Lemma 6. (Stability result ) If yi is any mesh function, then
N |y1,i| C max{|y1,0|, max |P1 yi |}, for i = 0, 1, , N, 1iN 1 N |y2,i| C max{|y2,0|, |y2,N |, max |P2 yi |}, for i = 1, , N. 1iN 1

Proof. The proof is analogous with that of Lemma 2.1 in [3]. 4.1 Discrete Greens function and its properties For any mesh function w N , we use we dene a discrete L1 norm by w
N 1

for the standard maximum norm, and

N 1

=
i=1

N i |wi |.

We also dene the scalar product in RN +1 by

N 1

(v N , w N ) =
j =1

N N vj wj

j,

v N , w N RN 1 .

Consider the Greens function GN (xi , j ) of problem (3.3)-(3.4). As a function of xi for xed j this function is dened by the relations (4.1) (4.2) (4.3)
N N N P1 G (xi , j ) = 0 , xi D0 , j D N , N N P2 G (xi , j ) = N (xi , j ) , xi D N , j D N , N N N GN 1 (0, j ) = G2 (0, j ) = G2 (1, j ) = 0 , j D ,

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where N (xi , j ) =
1 i

for xi = j , for xi = j .

It is easy to see that using Greens function, we can give the following formula for the solution of problem (3.3)-(3.4)
i1

(4.4)

N y1 ,i

=
j =1 N 1

N N y2 ,i + y1,0 ,

(4.5)

N y2 ,i

=
j =1

GN 2 (xi , j )fj

, xi D N .

Indeed, taking into account (3.6)-(3.7), we obtain

N + N N N N (G N 2 (xi , j ), fj ) = (G2 (xi , j ), D D y2,j aj Dy2,j + bj y2,j + cj y1,j ) N N N N N N N = (P2 G , y2 ,j ) + (G2 (xi , j ), cj y1,j ) (G1 (xi , j ), cj y2,j ) N + N N N N = ( N (xi , j ), y2 ,j ) + (D D G1 (xi , j ), cj y1,j ) (G1 (xi , j ), cj y2,j ) N N + N N N N N = y2 ,i + (G1 (xi , j ), cj D D y1,j ) (G1 (xi , j ), cj y2,j ) = y2,i , for xi D .

The Greens function GN (xi , j ) as the function of a variable j for xed xi is the solution of the adjoint problem: (4.6) (4.7) (4.8)
N, N N P1 G (xi , j ) = 0 , j D0 , xi D N , N, N P2 G (xi , j ) = N (xi , j ) , j D N , xi D N , N N N GN 1 (xi , 0) = G2 (xi , 0) = G2 (xi , 1) = 0 , xi D .

This arises from the following arguments: using (4.5),(3.3) and (3.4), and the fact N, N, N N is adjoint to P1 , P2 respectively,we have , P2 that P1
N, N G (xi , j ) = 0 P1

and
N 1 N y2 ,i N 1

=
j =1

GN 2 (xi , j )fj j
N, N N P2 G (xi , j )y2 ,j

=
j =1

N N GN 2 (xi , j )P2 yj

N 1

=
j =1

N, N = P2 G (xi , j ) = N (xi , j ),

where we have used (4.6)-(4.7). Lemma 7. The Greens function GN (xi , j ) is nonnegative and bounded uniformly in : 1 0 GN (xi , j ) .

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Proof. From Lemma 5, we can easily get the nonnegativity of the Greens function. We now wish to prove the upper bound. Let the point j0 D N be such that
j D N N N max GN 2 (xi , j ) = G2 (xi , j0 ) , xi D .

Multiply (4.7) by j and sum with respect to j from 1 to j0 . Taking into account that GN 2 (xi , 0) = 0, we obtain
j0 N, N P2 G (xi , j ) j =1 j0 j + N N = D G2 (xi , j0 ) + D G2 (xi , 1 )

(4.9)

+aj0 GN 2 (xi , j0 )

+
j =1

(bj GN 2 (xi , j )

+ cj G N 1 (xi , j ) j ).

Because of the choice of j0 , (4.10)

+ N N D G2 (xi , j0 ) = (GN 2 (xi , j0 +1 ) G2 (xi , j0 ))hj0 +1 0,

and as GN 2 (xi , j ) is nonnegative then (4.11)

N 1 D G2 (xi , 1 ) = GN 2 (xi , 1 )h1 0.

On the other hand, from (4.6) we can get

j 1

GN 2 (xi , k )
k =0

= GN 1 (xi , j ).

So (4.12)
N GN 1 (xi , j ) G2 (xi , j0 ).

Combining (4.9)-(4.12), we obtain

j0

(4.13)

)G N 2 (xi , j0 )

j =1

N (xi , j )

1.

Also, from (4.6),(4.9) we have

j 1

(4.14)

GN 1 (xi , j )

=
k =1

G2 (xi , j ) k .

From (4.13) and (4.14) we can obtain the desired results.

N Lemma 8. The operator P2 satises N y2

1 P N yN 2

1.

Proof. The proof follows directly from the representation of the solution in (4.5) and Lemma 7.

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4.2 Truncation error on a Bakhvalov-Shishkin mesh

N Let yi be the solution of the discrete problem (3.3)-(3.5) and yi be the values N . Then of the solution of the original continuous problem at the nodes of mesh D N N zi = yi yi is the accuracy of the solution.Substituting yi = zi + yi into (3.3)-(3.4). We see that zi is the solution of the following problem

(4.15) (4.16) (4.17)

N N P1 zi = P1 yi = D + y1,i + y2,i 1,i , N N P2 zi = fi P2 yi = fi + D + D y2,i + ai D + y2,i bi y2,i ci y1,i 2,i ,

z1,0 = z2,0 = z2,N = 0.

Using (2.1), we have one more representation

1,i = (D + y1,i y1 ,i ), + 2,i = (D + D y2,i y2 ,i ) + ai (D y2,i y2,i ).

We now estimate the truncation error i on the Bakhvalov-Shishkin mesh. Lemma 9. The following estimates for the truncation error hold true: |1 (xi )| = Chi+1 1 exp(xi /) CN 1 for i = 0, 1, , N 1, xi 1 1 for i = 1, 2, , N/2 1, C (hi+1 + N exp( 2 ) xi1 2 |2 (xi )| = C (hi+1 + (hi + hi+1 ) exp( )) for i = N/2 + 1, , N 1, i C (hi+1 + hi exp( x ) + 1) for i = N/2, N/2 + 1.

Proof. For i = 0, 1, , N 1 we use a Taylor expansion for x = xi to get (4.18)

1 |1,i | = hi+1 |y1 (i )| Chi+1 1 exp(xi /) CN 1 , i (xi , xi+1 ), 2 where we have used hi exp(xi /) CN 1 for i = 1, 2, , N/2. Recalling the decomposition of Lemma 3, we have (4.19)
N N N |2,i | = |fi P2 yi | |P2 vi P2 vi | + |P2 wi P2 wi |

for i = 1, 2, , N 1. For the smooth part, we have (4.20) |P2 vi

N P2 vi | xi+1 xi+1 |v2 (t)|dt

2
xi1

+ ai
xi

|v2 (t)|dt Chi+1

for i = 1, 2, , N 1. For the truncation error of the method with respect to the layer part w we have
N | P 2 wi P 2 wi | 2 xi+1 xi1 |w2 (t)|dt + ai xi+1 xi+1 xi |w2 (t)|dt

(4.21)

C2

exp(t/)dt for i = 1, 2, , N 1.
xi1

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2 (t) = 2 ln[1 2(1 N 1 )t] and ti = 1 (xi ) for i = 1, 2, , N/2. ti+1 ti1 ti+1 ti+1

Let xi = Then

N N | P2 ( wi w i )| C1

exp(2(t)) (t)dt C1 exp(

exp((t))dt
ti1

(4.22) and (4.23)

xi1 xi1 )dt CN 1 1 exp( ) 2 2 ti1 xi ) for i = 1, 2, , N/2 1. CN 1 1 exp( 2 C1

N | P 2 wi P 2 wi | C2 (hi + hi+1 ) exp(xi1 /)

for i = N/2 + 1, , N 1.
N Next we estimate |P2 wN/2 P2 wN/2 |. N N |P2 wN/2 P2 wN/2 | = |P2 wN/2 |

= |D + D w2,N/2 + aN/2 D + w2,N/2 bN/2 w2,N/2 cN/2 w1,N/2 | 1 |(D + w2,N/2 D w2,N/2 ) + aN/2 (w2,N/2+1 w2,N/2 )| + C
N/2

= (4.24)

1
N/2

[(w2 (N/2 ) w2 (N/21 )) + aN/2 (w2,N/2+1 w2,N/2 )] + C

xN/21 ) + 1). Using similar reasoning, we obtain the following estimate C(

1 N/2

exp(

(4.25)

N 1 |P2 wN/2+1 P2 wN/2+1 | C (1 + h N/2+1 exp(

xN/2 )).

Combining (4.19)-(4.25) we can complete the local estimate of 2,i . We can now derive our main result. Theorem 1. The error of the dierence scheme on the Bakhvalov-Shishkin mesh satises
N yi yi CN 1 for i = 0, 1, , N,

where yi = max{|y1,i|, |y2,i|} for i = 0, 1, , N . Proof. By (4.5) and Lemma 8, we have the following a priori estimate for the accuracy N z2,i = y2 ,i y2,i of the solution in terms of the truncation error 2,i (4.26)
N |y2,i y2 ,i | C 2,i 1

for i = 1, 2, , N 1.

Using Lemma 9, we obtain

N/21 N 1

2,i

=
i=1

|2,i |

+ |2,N/2 |

N/2

+ |2,N/2+1 |

N/2+1

+
i=N/2+2

|2,i |

THIRD-ORDER CONVECTION-DIFFUSION EQUATION

N/21 N 1

131

C(
i=1

hi+1

N/2

N/2+1

+
i=N/2+2

hi+1 i )

N/21

+CN

1 1

exp(
i=1

xi ) 2

+C (exp( (4.27) +C
2

xN/2 xN/21 ) + exp( )) (hi + hi+1 ) i exp( xi1 ) CN 1 .

N 1

i=N/2+2

Combining (4.26) and (4.27) we get (4.28)

N 1 |y2,i y2 for i = 0, 1, , N. ,i | CN

From Lemma 6 we have (4.29)

N 1 |y1,i y1 for i = 0, 1, , N. ,i | C |1,i | CN

By (4.28) and (4.29) we get the desired results. 5. NUMERICAL RESULTS In this section we verify experimentally the theoretically results obtained in the preceding section. We present two examples to illustrate the method described in this paper. Example 1. Consider the boundary value problem (5.1) (5.2) y (x) 2y (x) = 1 , for x (0, 1) y (0) = 1 , y (0) = 1 , y (1) = 1.

Example 2. Consider the boundary value problem (5.3) (5.4) y (x) 2(1 + x)y (x) + 4xy (x) y (x) = f (x), x (0, 1) y (0) = 1 , y (0) = 1 , y (1) = 1,

where f (x) is chosen such that (5.5) y (x) =

x+ 2 exp(2x/) + x x2 /2 + 1 . 1 exp(2/) 2(1 exp(2/))

For our tests we take = 108 which is a sucient small choice to bring out the singularly perturbed nature of the problem. We measure the accuracy in the discrete maximum norm eN = y yN
,

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Table 1. Monotone dierence scheme for Example 1 N 32 64 128 256 512 1024 error 4.6480e-2 2.3328e-2 1.1690e-2 5.8520e-3 2.9278e-3 1.4644e-3 rate constant 0.995 1.487 0.999 1.493 0.998 1.496 0.999 1.498 1.000 1.499 1.500

Table 2. Monotone dierence scheme for Example 2 N 32 64 128 256 512 1024 the convergence rate eN r = log2 ( 2N ) e and the constants in the error estimate
N,K

error 6.5625e-2 3.3750e-2 1.7129e-2 8.6317e-3 4.3275e-3 2.1717e-3

rate constant 0.959 2.100 0.978 2.160 0.989 2.193 0.996 2.210 0.995 2.216 2.224

C N = eN /N 1 . From Tables 1 and 2 we see that eN /e2N is close to 2, which supports the convergence estimate of Theorem 1. They indicate that the theoretical results are fairly sharp. Acknowledgement. I would like to thank the anonymous referees for several suggestions for the improvement of this paper. The work was supported by Zhejiang Province Natural Science Foundation of China (Grant No. Y607504) and Ningbo Natural Science Foundation (2009A610082) of China. REFERENCES
[1] K. Niederdrenk, H. Yserentant, The uniform stability of singularly perturbed discrete and continuous boundary value problems, Numer. Math., 41: 223-253, 1983. [2] E. C. Gartlend, Graded-mesh dierence schemes for singularly perturbed two-point boundary value problems, Math. Comput., 51: 631-657, 1988. [3] S. Valarmathi, N.Ramanujam, A computational methods for third order singularly perturbed ordinary dierntial equations, Appl. Math. Comput., 129: 345-373, 2002.

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[4] B. Semper, Locking in nite element approximation of long thin extensible beams, IMA J. Numer. Anal., 14: 97-109, 1994. [5] H.-G. Roos, M. Stynes, L. Tobiska, Numerical methods for singularly perturbed dierntial equations convection-diusion and ow problems, Springer, Berlin,1996. [6] J. J. H. Miller, E. ORiordan, G. I. Shishkin, Fitted numerical methods for singular perturbation problems.Error estimates in the maximum norm for linear problems in one and two dimensions, World Scientic, Singapore,1996. [7] H.-G. Roos, T. Lin, Sucient conditions for uniform convergence on layer-adapted grids , Computing, 63: 27-45, 1999.