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Computational Fluid Dynamics
http://www.nd.edu/~gtryggva/CFD-Course/!

Wave equation!
2 f
2 f
c2 2 = 0
t 2
x
Wave Equation!
First write the equation as a system of first order equations!

Introduce!
yielding!
Grtar Tryggvason!
Spring 2013!

Wave equation!
To find the characteristics!
u 2 v
c
=0
t
x
v u
=0
t x

det A T I = det
2
c
= c
We can also use!
1
b b 2 4ac with!
2a
v
u
l1
c2
= 0
t
x
v u
+l2
= 0
t x
from the pde!

since!
2 f 2 f
=
tx xt
dt
1 dt
1
=+ ;
=
dx
c dx
c
dt
1
=+
dx
c
P

dt
1
=
dx
c
b = 0; a = 1; c = c 2

Wave equation!
To find the solution we need
to find the eigenvectors!
u 2 v
c
=0
t
x
v u
=0
t x
Two characteristic lines!
1
2
2
= c =0

f
f
; v= ;
t
x

Wave equation!
2
x
0
c
+
=0
1 0 v
u
t
v
t
u=
= c

2
c
l1
=0
l2
Take l1=1!
For! = +c
c l1 l2 = 0 l2 = c
For! = c
+c l1 l2 = 0 l2 = +c

Wave equation!
For!
= +c
l1 = 1 l2 = c
u 2 v
v u
1 c
= 0 c = 0
t
t x
u
u v
v
+ c c + c = 0
t
x t
x
du
dv
c
= 0 on
dt
dt
Similarly:!
For! = c
dx
= +c
dt
l1 = 1 l2 = +c
du
dv
dx
+c
= 0 on
= c
dt
dt
dt
Add the
equations!
Relation
between the
total derivative
on the
characteristic!

Wave equation!
du
dv
c
= 0 on
dt
dt
dx
= +c
dt
du
dv
+c
= 0 on
dt
dt
dx
= c
dt
The general solution can

therefore be written as:!
f ( x,t ) = r1 ( x ct ) + r2 ( x + ct )
where!
For constant c!
dr1
dx
= 0 on
= +c where r1 = u cv
dt
dt
dr2
dx
= 0 on
= c where r2 = u + cv
dt
dt

Wave equation-general!
Two characteristic lines!
f
f
r1 ( x ) = c
t
x t= 0
f
f
r2 ( x ) = + c
t
x t= 0
Can also be verified by direct substitution!
r1 and r2 are called the Rieman invariants!

Wave equation!

dt
1 dt
1
=+ ;
=
dx
c dx
c
Domain of !
Influence!
dt
1
=+
dx
c
P

Domain of !
Dependence

Ill-posed
problems!
dt
1
=
dx
c

Ill-posed Problems!
Consider the initial value problem:!
2 f
2f
2 =
t
x 2
This is simply Laplaces equation!
2 f 2 f
+
=0
t 2 x 2
which has a solution if f/t or f are given on
the boundaries!

Ill-posed Problems!
Here, however, this equation appeared as an initial

value problem, where the only boundary conditions
available are at t = 0. Since this is a second order
equation we will need two conditions, which we may
assume are that f and f/x are specified at t =0.!

Ill-posed Problems!

Ill-posed Problems!
d 2 ak
= k 2 ak
dt 2
The general solution can be written as:!
f ( x,t ) = ak (t)e
ikx
where the as depend

on the initial conditions!
Look for solutions of the type:!
f = ak (t)e ikx
Substitute into:!
2 f 2 f
+
=0
t 2 x 2
to get:!
d 2 ak
= k 2 ak
dt 2

Ill-posed Problems!
Long wave with short wave perturbations!
General solution!
ak (t) = Ae kt + Bekt
A, B
determined by initial conditions ! a (0);
ika(0)
Generally, both A and B are non-zero!

Therefore:! a (t )
as!
Ill-posed Problem!

Ill-posed Problems!
Similarly, it can be shown that the diffusion
equation with a negative diffusion coefficient!
f
2 f
= D 2 ; D<0
t
x
has solutions with unbounded growth rate for high wave
number modes and is therefore an ill-posed problem!

Ill-posed Problems!
Ill-posed problems generally appear when the initial or
boundary data and the equation type do not match.!
!
Frequently arise because small but important higher order
effects have been neglected!
!
Ill-posedness generally manifests itself in the exponential
growth of small perturbations so that the solution does not
depend continuously on the initial data !
!
Inviscid vortex sheet rollup, multiphase flow models and
some viscoelastic constitutive models are examples of
problems that exhibit ill-posedness. !

Classical Methods!
for Hyperbolic!
Equations!

Methods for Advection!
u 2 v
c
=0
t
x
v u
=0
t x
The wave equation:!
2 f
2 f
c2 2 = 0
t 2
x
Write as:!
In general:!
u
t
v
t
a
a
+ 11 12
a21 a22


u
x
v
x
Forward in Time,
Centered in Space
(FTCS) and
Upwind!
=0
Most of the issues involved can be addressed by examining:!
f
f
+U =0
t
x


We will start by examining the linear advection equation:!
f
f
+U
=0
t
x
f
f
+U
=0
t
x
A simple forward in time, centered in space

discretization yields!
The characteristic for this equation are:!
dx
= U;
dt
df
= 0;
dt
t
f

Showing that the

initial conditions are
simply advected by a
constant velocity U!
fj
n+1
= fj
n
t
n
n
U ( f j +1 f j 1)
2h
n+1

x

n

j-1

j+1


Another scheme for!
f
f
+U
=0
t
x
This scheme is O(t, h2) accurate, but a stability

analysis shows that the error grows as!
n+1
Ut
= 1 i
sin kh
n
2h
Since the amplification
factor has the form 1+i()
the absolute value of this
complex number is always
larger than unity and the
method is unconditionally
unstable for this case.!
n+1
A simple forward in time but upwind in space

discretization yields!
f jn+1 = f jn
Ut
sinkh
2h
Flow direction!
This scheme
is O(t, h)
accurate. !
n+1

n

t
U ( f jn f jn1)
h
j-1


To examine the stability we use the von Neumans method:!

!
The
evolution of the error is governed by:!
U
+ ( nj nj 1) = 0
t
h
n
n ikx j
Write the error as:! j = e
n+1
j
n
j
n+1 n
n
+ U (1 e ikh ) = 0
t
h
Amplification factor!
Or:! G = 1 + e
ikh
G = 1 + eikh ,
Ut
h
Im(G)
Ut
=
h
Need to find when! G < 1
Ut
1
h
Stable!
This restriction was first

derived by Courant, Fredrik,
and Levy in 1932, and is
usually called the Courant
condition, or the CFL
condition. !

kh
1
1-

Another way: Find the absolute value of the amplification factor!

G = 1 + eikh = 1 + cos kh i sin kh
The CFL condition implies that a signal has to travel

less than one grid spacing in one time step!
G = (1 + cos kh ) + 2 sin 2 kh
2
Stability condition: <1!
n +1
Ut
= 1
(1 eikh )
n
h
n +1
G = n = 1 (1 eikh ),
Graphically:!
Ut h
= (1 ) + 2(1 ) cos kh + 2 cos2 kh + 2 sin 2 kh

2
Allowable characteristics!
= (1 ) + 2(1 ) cos kh +
2
= 1 2 + 2 + 2(1 ) cos kh
n+1

G = 1 2 (1 )
2
if cos kh = 0
if cos kh = 1
G =1
G = 1 ( 4 3 )
2
Flow direction!
1!
if cos kh = 1
G 1

The Upwind Scheme!

For the linear advection equation:!
f jn+1 = f jn
f
f
+U =0
t
x
t
U ( f jn f jn1)
h
Flow direction! n+1

U

n

j-1
O(t, h)
accurate. !
Ut
1
h
cos kh = 1
1!
if
cos kh = 0
j-1
Not allowable characteristics!

dt=0.25*h!
1.5
Although the
upwind
Upwind
method is
1
exceptionally
robust, its low
accuracy in
0.5
space and
time makes it
unsuitable for
0
most serious
computations !
-0.5
20
40
60
80


Finite Volume point of view:!
f jn +1 = f jn
t n
t
n
n
n
(F j +1/ 2 F j1/
U( f jn f j1
)
2) = f j
h
h
n
F j1/ 2=Uf j1
F j +1/ 2=Uf jn
f j 1
fj
f j +1
x!
xj-1/2 xj+1/2 !
Generalized Upwind Scheme (for both U > 0 and U < 0 )!

Ut n
n
f jn +1 = f jn
( f j f j1
), U > 0
h
Ut
f jn +1 = f jn
( f jn+1 f jn ), U < 0
h
1
1
+
Define:! U = (U + U ), U = (U U )
2
2
The two cases can be combined into a single expression:!
t
n
f jn +1 = f jn [U + ( f jn f j1
) + U ( f jn+1 f jn )]
h
+
Or, substituting! U , U
U t n
t
n
n
f jn +1 = f jn U ( f jn+1 f j1
)+
( f j +1 2 f jn + f j1
)
2h
2h
Uh
Dnum =
central difference + numerical viscosity!
2


Implicit (Backward Euler) Method!
f jn +1 f jn
t
Other First Order Schemes!
U n +1
(f j +1 f jn+11 )= 0
2h
- Unconditionally stable!
- 1st order in time, 2nd order in space!
- Forms a tri-diagonal matrix (Thomas algorithm)!
U n +1 1 n +1 U n +1 1 n
f j +1 +
fj
f j 1 =
fj
2h
t
2h
t
a j f jn++11 + d j f jn +1 + b j f jn+11 = C j


Lax-Fredrichs method!
f jn +1
1
2
(f
n
j +1
+ f jn1
)+ U (f
2h
n
j +1
f jn1 = 0
- stable for < 1!

- 1st order in time, 1nd order in space!
- Conditionally consistent!
Error term:!
Uh 1
Uh 2
(1 2 )f xxx
f xx +
2
3
Ut
h
h
h2
=
Ut
Second Order Schemes!


Leap Frog Method!
Lax-Wendroffs Method (LW-I)!
The simplest stable second-order accurate (in time) method:!
f n +1 f jn 1
f
= j
+ O(t 2 )
t
2t
Ut n
(f j +1 f jn1 )
f jn +1 = f jn 1
h
Modified equation!
f
f Uh 2 2
( 1)f xxx +
+U
=
t
x
6
- Stable for ! < 1

- Dispersive (no dissipation) error will not damp out!
- Initial conditions at two time levels !
- Oscillatory solution in time (alternating) !
Ut
h
First expand the solution in time!
f (t + t ) = f (t ) +
f
2 f t 2 3 f t 3
t + 2
+ 3
+
t
t 2
t 6
Then use the original equation to rewrite the time derivatives!
f
f
= U
t
x
2 f
f
f
f
2 f
= = U = U
=U2 2
t 2 t t
t x
x t
x


Substituting!
Two-Step Lax-Wendroffs Method (LW-II)!
f
2 f t 2
f (t + t ) = f (t ) U
t + U 2 2
+ O(t 3 )
x
x 2
LW-I into two steps:!
f jn++11/ /22 ( f jn+1 + f jn ) / 2

t / 2
Using central differences for the spatial derivatives!
Ut n
U t
f jn +1 = f jn
( f j +1 f j1n ) + 2h 2
2h
2
(f
n
j +1
n
2 f jn + f j1
)
2nd order accurate in space and time!

Stable for!
Ut
<1
h
n +1
j
=0
=0
Step 1 (Lax)!
Step 2 (Leapfrog)!

Second-Order Upwind Method!
Similar to LW-II, without ! j + 1 / 2, j 1 / 2
- A fractional step method!

!- Predictor: forward differencing!
!- Corrector: backward differencing!
-For linear problems, accuracy and stability !
properties are identical to LW-I. !
n +1 / 2
j 1 / 2
For the linear equations, LW-II is identical to LW-I!
MacCormack Method!
t n
(f j +1 f jn )
h
1
t
f jn +1 = f jn + f jt U (f jt f jt1 )
2
h
+U
n +1 / 2
j +1 / 2
f jn+1 f jn
- Stable for U
! t / h < 1
- Second order accurate in time and space !

f jt = f jn U
n
j
+U
Warming and Beam (1975) Upwind for both steps!

Predictor!
f jt = f jn U
Corrector!
n+1
j
t n
(f j f jn1 )
h
Predictor!
Corrector!
1
t t
t n
= f jn + f jt U
f f jt1 U
f 2 f jn1 + f jn 2
2
h j
h j
Combining the two:!
1
f jn+1 = f jn f jn f jn1 + ( 1) f jn 2 f jn1 + f jn 2
2
- Stable if! 0 2
- Second-order accurate in time and space !


Summary!
The one-step Lax-Wendroff is not easily extended to

non-linear or multi-dimensional problems. The split
version is.!
!
In the Lax-Wendroff and the MacCormack methods
the spatial and the temporal discretization are not
independent.!
!
Other methods have been developed where the time
integration is independent of the spatial discretization,
such as the Beam-Warming and various Runge-Kutta
methods!
f t + Uf x = 0
FTCS!
f jn +1 f jn
t
+U
f jn+1 f jn1
Implicit!
f jn +1 f jn
t
+U
+U
(f
f jn f jn1
h
n +1
j +1
t
+U

Summary!
f jn +1 f jn 1
2t
f jn +1 f jn
Lax-Wendroff I!
t
U t
2
Lax-Wendroff II!
+U
(f
f jn+1 f jn1
+U
n
j +1
2h
(f
t / 2
t
f jt f jn
MacCormack!
t
f
n +1
j
+U
+U
t
j
+U
=0
f jn+1 f jn
(f
n
j +1
f jn )
h
+U
(f
t
j
=0
Uh 2
1 2 f xxx
6
Uh 3
1 2 f xxxx
8
=0
Stable for!
! 1
Same as LW-I!
Stable for!
! 1
Same as LW-I!
Stable for!
! 1
=0
f jt1 )
h
U 2 t
1
1
f xx Uh 2 + U 3 t 2 f xxx
2
3
6
Unconditionally!
Stable!
Uh 1
Uh 2
(1 2 )f xxx
f xx +
2
3
Conditionally
consistent!
Stable for ! 1
f jn+11 )
=0
(f
n
j +1
f jn1 )
2h
=0

Summary!
Stable for!
!1
=0
f jn++11/ /22 f jn+11/ /22
(f + f )/ 2
n
j
f jn1 )
2h 2
f jn++11/ /22 ( f jn+1 + f jn ) / 2
f jn +1 f jn
n
j +1
2h
2 f jn + f jn1 )
Stable for!
! 1
f t + Uf x = 0
Uh 2 2
( 1)f xxx
6
=0
Uh
(1 )f xx
2
Uh 2
22 3 + 1 f xxx
6
2h
f t + Uf x = 0
Leap Frog!
=0
f jn +1 (f jn+1 + f jn1 )/ 2
Lax-Friedrichs!
Unconditionally
Unstable!
Upwind!
f jn +1 f jn
U2
Uh 2
(1 + 22 )f xxx
f xx
2
6
=0
2h
Beam-Warming! f
n +1
j
n
j
+U
(3 f
n
j
4f
n
j 1
+ f jn 2 )
2h
U t n
(f j 2 f jn1 + f jn2 )= 0
2h 2
2
QUICK!
Uh 2
(1 )(2 )f xxx
6
Uh 3
(1 )2 (2 )f xxxx
f jn +1 f jn
+
t
n
(3 f jn + 6 f j1n f j2
) (3 f jn+1 + 6 f jn f j1n )
U
8h
ENO!
WENO
!
A large
Stable for!
0 ! 2
Stable for!
!
And Many More!!
number of (conditionally) stable and

accurate methods exists for hyperbolic equations
with smooth solutions !

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Computational Fluid Dynamics

Computational Fluid Dynamics

First write the equation as a system of first order equations!

Computational Fluid Dynamics

We can also use!

from the pde!

Computational Fluid Dynamics

Two characteristic lines!

Computational Fluid Dynamics

Computational Fluid Dynamics

Computational Fluid Dynamics

The general solution can

Computational Fluid Dynamics

Can also be verified by direct substitution!

r1 and r2 are called the Rieman invariants!

Computational Fluid Dynamics

Computational Fluid Dynamics

Computational Fluid Dynamics

Consider the initial value problem:!

Computational Fluid Dynamics

Here, however, this equation appeared as an initial

Computational Fluid Dynamics

Computational Fluid Dynamics

The general solution can be written as:!

where the as depend

Look for solutions of the type:!

Computational Fluid Dynamics

determined by initial conditions ! a (0);

Generally, both A and B are non-zero!

Computational Fluid Dynamics

Computational Fluid Dynamics

Computational Fluid Dynamics

Computational Fluid Dynamics

The wave equation:!

Computational Fluid Dynamics

Most of the issues involved can be addressed by examining:!

Computational Fluid Dynamics

Computational Fluid Dynamics

We will start by examining the linear advection equation:!

A simple forward in time, centered in space

The characteristic for this equation are:!

Showing that the

Computational Fluid Dynamics

Computational Fluid Dynamics

This scheme is O(t, h2) accurate, but a stability

A simple forward in time but upwind in space

Computational Fluid Dynamics

Computational Fluid Dynamics

To examine the stability we use the von Neumans method:!

This restriction was first

Computational Fluid Dynamics

Computational Fluid Dynamics

Another way: Find the absolute value of the amplification factor!

The CFL condition implies that a signal has to travel

Stability condition: <1!

= (1 ) + 2(1 ) cos kh + 2 cos2 kh + 2 sin 2 kh

Computational Fluid Dynamics

The Upwind Scheme!

Flow direction! n+1

Not allowable characteristics!

Computational Fluid Dynamics

Computational Fluid Dynamics

Computational Fluid Dynamics