BVP - F D T: S Inite Ifference Echnique

Review
Finite Difference
Solving Finite Difference Problems
Summary
BVP S – F INITE D IFFERENCE T ECHNIQUE
Dr. Johnson
School of Mathematics
Semester 1 2008
Dr. Johnson MATH65241

Review
Finite Difference
Summary
O UTLINE
1 R EVIEW
2 F INITE D IFFERENCE
Discretising the Problem
3 S OLVING F INITE D IFFERENCE P ROBLEMS

Iterative Methods
Linearisation
Direct Methods
4 S UMMARY

Review
Finite Difference
Summary
O UTLINE
1 R EVIEW

Iterative Methods
Linearisation
Direct Methods
4 S UMMARY

Review
Finite Difference
Summary
O UTLINE
1 R EVIEW

Iterative Methods
Linearisation
Direct Methods
4 S UMMARY

Review
Finite Difference
Summary
O UTLINE
1 R EVIEW

Iterative Methods
Linearisation
Direct Methods
4 S UMMARY

Review
Finite Difference
Summary
M ULTIPLE S HOOTING AND E XTRAPOLATION
If we have a vector of guesses, the correction can be

written as:
dg = −J−1 (g )φ(g )
We can use either the Secant method or solve the

augmented system to generate the Jacobian J.
If we know the order of a scheme, we can exploit it to
generate better approximations at low expense.
The general formula for Richardson extrapolation is:
³ ´
h
km A k − A(h)
∗
A (h) = m
k −1
Review
Finite Difference
Summary
M ULTIPLE S HOOTING AND E XTRAPOLATION
If we have a vector of guesses, the correction can be

written as:
dg = −J−1 (g )φ(g )
We can use either the Secant method or solve the

augmented system to generate the Jacobian J.
If we know the order of a scheme, we can exploit it to
generate better approximations at low expense.
The general formula for Richardson extrapolation is:
³ ´
h
km A k − A(h)
∗
A (h) = m
k −1
Review
Finite Difference
Summary
O UTLINE
1 R EVIEW

Iterative Methods
Linearisation
Direct Methods
4 S UMMARY

Review
Finite Difference
Summary
T HE P ROBLEM
Let us consider
d2 y
µ ¶
1 dy
= 32 + 2x3 − y , 1 ≤ x ≤ 3,
dx2 8 dx
with the boundary conditions
43
y(1) = 17, y(3) = 3.
The solution y satisfies the equation for every 1 ≤ x ≤ 3.

The exact solution is y(x) = x2 + (16/x).

Review
Finite Difference
Summary
T HE P ROBLEM
Let us consider
d2 y
µ ¶
1 dy
= 32 + 2x3 − y , 1 ≤ x ≤ 3,
dx2 8 dx
with the boundary conditions
43
y(1) = 17, y(3) = 3.
The solution y satisfies the equation for every 1 ≤ x ≤ 3.

The exact solution is y(x) = x2 + (16/x).

Review
Finite Difference
Summary
D ISCRETISATION
Define a uniform grid (x0 , x1 , . . . , xn ) with n + 1 points.

Grid spacing h = (xn − x0 )/n, with xj = x0 + jh, for
j = 0, 1, . . . , n.
Find a relationship between wi and surrounding points
wi = f(wi ,wi−1,w i+1 ) wn

w0
wi−1 wi+1
wi
h
a b
x0 x1 x2 ... xi ... xn

Review
Finite Difference
Summary
D ISCRETISATION
Define a uniform grid (x0 , x1 , . . . , xn ) with n + 1 points.

Grid spacing h = (xn − x0 )/n, with xj = x0 + jh, for
j = 0, 1, . . . , n.
Find a relationship between wi and surrounding points
wi = f(wi ,wi−1,w i+1 ) wn

w0
wi−1 wi+1
wi
h
a b
x0 x1 x2 ... xi ... xn

Review
Finite Difference
Summary
A PPROXIMATING D ERIVATIVES
Approximate y at each of the nodes x = xi by wi

The derivatives of y in the ODE are approximated in
finite-difference form as:
¯
dy ¯¯ w − wi−1
= i+1 + O(h2 ),
dx x=xi
¯ 2h
and
d2 y ¯¯
¯
w − 2wi + wi−1
2
= i+1 + O ( h2 ) .
dx x=xi
¯ h2

Review
Finite Difference
Summary
Approximate y at each of the nodes x = xi by wi

The derivatives of y in the ODE are approximated in
finite-difference form as:
¯
dy ¯¯ w − wi−1
= i+1 + O(h2 ),
dx x=xi
¯ 2h
and
d2 y ¯¯
¯
w − 2wi + wi−1
2
= i+1 + O ( h2 ) .
dx x=xi
¯ h2

Review
Finite Difference
Summary
We can generate the approximations by adding and

subtracting Taylor series approximations around xi
For yi+1 we have
1 2 d2 y ¯¯
¯ ¯
dy ¯¯
yi+1 = yi + h ¯ + h +...
dx x=xi 2 dx2 ¯x=xi
and for yi−1 we have
1 2 d2 y ¯¯
¯ ¯
dy ¯¯
yi−1 = yi − h ¯ + h −...

Review
Finite Difference
Summary
We can generate the approximations by adding and

subtracting Taylor series approximations around xi
For yi+1 we have
1 2 d2 y ¯¯
¯ ¯
dy ¯¯
yi+1 = yi + h ¯ + h +...
and for yi−1 we have
1 2 d2 y ¯¯
¯ ¯
dy ¯¯
yi−1 = yi − h ¯ + h −...

Review
Finite Difference
Summary
T HE D ISCRETISED P ROBLEM
Replace y and it’s derivatives in the ODE by

approximations:
x3i
µ ¶
wi+1 − 2wi + wi−1 wi+1 − wi−1
= 4 + − wi ,
h2 4 16h
for i = 1, 2, . . . , n − 1.
Boundary conditions are w0 = 17 and wn = 43/3.
These equations are nonlinear.

Review
Finite Difference
Summary
T HE D ISCRETISED P ROBLEM
Replace y and it’s derivatives in the ODE by

approximations:
x3i
µ ¶
wi+1 − 2wi + wi−1 wi+1 − wi−1
= 4 + − wi ,
h2 4 16h
for i = 1, 2, . . . , n − 1.
Boundary conditions are w0 = 17 and wn = 43/3.
These equations are nonlinear.

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
O UTLINE
1 R EVIEW

Iterative Methods
Linearisation
Direct Methods
4 S UMMARY

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
S OLVING A NONLINEAR PROBLEM
Given such an equation we may iterate toward the

solution.
(k )
Let wi be the kth iteration at xi .
We wish to rearrange with all w(k) ’s on the LHS;
(k −1) (k −1)
Ã !
1 (k ) wi+1 − wi−1 2 (k ) 1 (k ) x3i
w + − 2 wi + w = 4 + ,
h2 i+1 16h h h2 i−1 4
Cannot solve if there is w(k) multiplied by a w(k) . . .

so some w’s moved to the LHS must be k − 1, i.e. already be
known

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
S OLVING A NONLINEAR PROBLEM
Given such an equation we may iterate toward the

solution.
(k )
Let wi be the kth iteration at xi .
An alternative rearrangement may be;
(k −1) (k −1)
Ã ! Ã !
1 w (k ) 2 (k ) 1 w (k ) x3i
2
+ i wi+1 − 2 wi + 2
− i wi−1 = 4 +
h 16h h h 16h 4

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
O UTLINE
1 R EVIEW

Iterative Methods
Linearisation
Direct Methods
4 S UMMARY

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
N EWTON L INEARISATION
Suppose that we have a guess for the solution Wi ∼ wi .
Seek a correction δwi such that wi = Wi + δwi satisfies the
system.
Substituting wi = Wi + δwi into equations and linearising
gives:

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
system.
gives:
δwi+1 − 2δwi + δwi−1

= Fi
h2 µ ¶
Wi+1 − Wi−1
− δwi
16h
µ ¶
δwi+1 − δwi−1
− Wi + O(δw2 )
16h

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
system.
gives:
µ ¶ µ ¶
1 W Wi+1 − Wi−1 2
2
+ i δwi+1 + − 2 δwi
h 16h 16h h
µ ¶
1 W
+ − i δwi−1 = Fi + O(δw2 )
h2 16h

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
system.
gives:
x3
µ ¶
Wi+1 − Wi−1 Wi+1 − 2Wi + Wi−1
Fi = 4 + i − Wi − ,
4 16h h2
When Fi = 0 the system is solved. This is like our φ from

before.

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
O UTLINE
1 R EVIEW

Iterative Methods
Linearisation
Direct Methods
4 S UMMARY

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
G ENERAL SYSTEM OF EQUATIONS
Both of the methods above lead to a tridiagonal system of

linear equations of the form
αi ui−1 + β i ui + γi ui+1 = δi , i = 0, 1, . . . , n.
where αi , β i , γi , and δi are the coefficients from the

difference equation.
For example previously we had:
1 Wi Wi + 1 − W i − 1 2 1 Wi
αi = h2
+ 16h , βi = 16h − h2
, γi = h2
− 16h , and δi = Fi .

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
Both of the methods above lead to a tridiagonal system of

linear equations of the form
where αi , β i , γi , and δi are the coefficients from the

difference equation.
For example previously we had:
1 Wi Wi + 1 − W i − 1 2 1 Wi
αi = h2
+ 16h , βi = 16h − h2
, γi = h2
− 16h , and δi = Fi .

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
In matrix form, we are solving
Au = b
and the solution is
u = A−1 b

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
T HOMAS ’ S TRIDIAGONAL ALGORITHM
The matrix A looks like
 
β 0 γ0
 α1 β 1 γ1 
 

 α2 β 2 γ2 

A=
 .. .. .. 
 . . . 


 α n−2 β n−2 γn−2


 αn−1 β n−1 γn−1 
αn βn

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
The Thomas algorithm is based on Gaussian elimination
 
β 0 γ0
 α1 β 1 γ1 
 

 α2 β 2 γ2 

A=
 .. .. .. 
 . . . 


 α n−2 β n−2 γn−2


 αn−1 β n−1 γn−1 
αn βn

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
1. Create zeros below the diagonal
 
β 0 γ0
 0 β 1 γ1 
 

 0 β2 γ2 

A=
 .. .. .. 
 . . . 


 0 β n−2 γn−2 

 0 β n−1 γn−1 
0 βn

Review
Iterative Methods
Finite Difference
Linearisation
Direct Methods
Summary
1. Create zeros below the diagonal

2. Back substitute
 
β 0 γ0
 0 β 1 γ1 
 

 0 β2 γ2 

A=
 .. .. .. 
 . . . 


 0 β n−2 γn−2 

 0 β n−1 γn−1 
0 βn

Review
Finite Difference
Summary
Finite difference solutions are normally the preferred

method when
Boundary conditions at both ends,
The problem is second order.
We have used three point approximations to get second
order truncation.
This can be extended to higher order but at great expense.
We reduce problems to the form:
From which we can use a direct method to solve

Review
Finite Difference
Summary
Finite difference solutions are normally the preferred

method when
Boundary conditions at both ends,
The problem is second order.
We have used three point approximations to get second
order truncation.
This can be extended to higher order but at great expense.
We reduce problems to the form:
From which we can use a direct method to solve

BVP - F D T: S Inite Ifference Echnique

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Review

BVP S – F INITE D IFFERENCE T ECHNIQUE

Dr. Johnson MATH65241

3 S OLVING F INITE D IFFERENCE P ROBLEMS

Dr. Johnson MATH65241

3 S OLVING F INITE D IFFERENCE P ROBLEMS

Dr. Johnson MATH65241

3 S OLVING F INITE D IFFERENCE P ROBLEMS

Dr. Johnson MATH65241

3 S OLVING F INITE D IFFERENCE P ROBLEMS

Dr. Johnson MATH65241

M ULTIPLE S HOOTING AND E XTRAPOLATION

If we have a vector of guesses, the correction can be

We can use either the Secant method or solve the

M ULTIPLE S HOOTING AND E XTRAPOLATION

If we have a vector of guesses, the correction can be

We can use either the Secant method or solve the

3 S OLVING F INITE D IFFERENCE P ROBLEMS

Dr. Johnson MATH65241

with the boundary conditions

The solution y satisfies the equation for every 1 ≤ x ≤ 3.

Dr. Johnson MATH65241

with the boundary conditions

The solution y satisfies the equation for every 1 ≤ x ≤ 3.

Dr. Johnson MATH65241

Define a uniform grid (x0 , x1 , . . . , xn ) with n + 1 points.

wi = f(wi ,wi−1,w i+1 ) wn

Dr. Johnson MATH65241

Define a uniform grid (x0 , x1 , . . . , xn ) with n + 1 points.

wi = f(wi ,wi−1,w i+1 ) wn

Dr. Johnson MATH65241

Approximate y at each of the nodes x = xi by wi

Dr. Johnson MATH65241

Approximate y at each of the nodes x = xi by wi

Dr. Johnson MATH65241

We can generate the approximations by adding and

and for yi−1 we have

Dr. Johnson MATH65241

We can generate the approximations by adding and

and for yi−1 we have

Dr. Johnson MATH65241

Replace y and it’s derivatives in the ODE by

Dr. Johnson MATH65241

Replace y and it’s derivatives in the ODE by

Dr. Johnson MATH65241

3 S OLVING F INITE D IFFERENCE P ROBLEMS

Dr. Johnson MATH65241

S OLVING A NONLINEAR PROBLEM

Given such an equation we may iterate toward the

We wish to rearrange with all w(k) ’s on the LHS;

Cannot solve if there is w(k) multiplied by a w(k) . . .

Dr. Johnson MATH65241

S OLVING A NONLINEAR PROBLEM

Given such an equation we may iterate toward the

An alternative rearrangement may be;

Dr. Johnson MATH65241

3 S OLVING F INITE D IFFERENCE P ROBLEMS

Dr. Johnson MATH65241

Dr. Johnson MATH65241

δwi+1 − 2δwi + δwi−1

Dr. Johnson MATH65241

Dr. Johnson MATH65241

When Fi = 0 the system is solved. This is like our φ from