Finite Differences for Differential Equations 28 PART II. Finite Difference Methods for Differential Equations
|
|
- Dorthy Cook
- 5 years ago
- Views:
Transcription
1 Finite Differences for Differential Equations 28 PART II Finite Difference Methods for Differential Equations
2 Finite Differences for Differential Equations 29 BOUNDARY VALUE PROBLEMS (I) Solving a TWO POINT BOUNDARY VALUE PROBLEM with DIRICHLET BOUNDARY CONDITIONS : Finite difference approximation: d 2 y dx 2 = g for x (0,2π) y(0) = y(2π) = 0 Second order center difference formula for the interior nodes: y j+1 2y j + y j 1 h 2 = g j for j = 1,...,N where h = 2π N+1 and x j = jh Endpoint nodes: y 0 = 0 = y 2 2y 1 = h 2 g 1 y N+1 = 0 = 2y N + y N 1 = h 2 g N Tridiagonal algebraic system solved very efficiently with the THOMAS ALGORITHM (a version of the Gaussian elimination)
3 Finite Differences for Differential Equations 30 BOUNDARY VALUE PROBLEMS (II) Solving a TWO POINT BOUNDARY VALUE PROBLEM with NEUMANN BOUNDARY CONDITIONS : Finite difference approximation: d 2 y dx 2 = g for x (0,2π) dy dy (0) = dx dx (2π) = 0 Second order center difference formula for the interior nodes: y j+1 2y j + y j 1 h 2 = g j for j = 1,...,N First order Forward/Backward Difference formulae to re express endpoint values: y 1 y 0 h y N+1 y N h = 0 = y 0 = y 1 = 0 = y N+1 = y N First order only DEGRADED ACCURACY! Tridiagonal algebraic system Is there any problem? Where?
4 Finite Differences for Differential Equations 31 BOUNDARY VALUE PROBLEMS (III) In order to retain the SECOND ORDER ACCURACY in the approximation of the Neumann problem need to use higher-order formulae at endpoints, e.g. y 0 = y 2 + 4y 1 3y 0 2h = 0 = y 0 = 1 3 ( y 2 + 4y 1 ) The first row thus becomes 2 3 y y 1 = h 2 g 1 SECOND ORDER ACCURACY RECOVERED!
5 Finite Differences for Differential Equations 32 BOUNDARY VALUE PROBLEMS (IV) COMPACT STENCILS stencils based on three grid points (in every direction) only: {x j+1,x j,x j 1 } at the j th node Is is possible to obtain higher (then second) order of accuracy on compact stencils? YES! Consider the central difference approximation to the equation d2 y dy 2 = g y j+1 2y j + y j 1 h 2 h2 12 y(iv) j +O(h 4 ) = g j Re-express the error term h2 h 2 12 y(iv) j 12 y(iv) j = h2 12 g j = h2 12 using the equation in question: [ g j+1 2g j + g j 1 Inserting into the original finite difference equation: y j+1 2y j + y j 1 h 2 Slight modification of the RHS = h 2 = g j + g j+1 2g j + g j 1 12 ] h2 12 g(iv) j +O(h 4 ) +O(h 4 ) FOURTH ORDER ACCURACY!!!
6 Finite Differences for Differential Equations 33 BOUNDARY VALUE PROBLEMS (V) COMPACT FINITE DIFFERENCE SCHEMES ADVANTAGES: Increased accuracy on compact grids DRAWBACKS: need to be tailored to the specific equation solved can get fairly complicated for more complex equations
7 Finite Differences for Differential Equations 34 GENERAL REMARKS Consider the following CAUCHY PROBLEM : dy dt = f(y,t) with y(t 0) = y 0 The independent variable t is usually referred to as TIME. Equations with higher order derivatives can be reduced to systems of first order equations Generalizations to systems of ODEs straightforward When the RHS function does not depend on y, i.e., f(y,t) = f(t), solution obtained via a QUADRATURE Assume uniform time steps ( h is constant )
8 Finite Differences for Differential Equations 35 CHARACTERIZATION OF INTEGRATION METHODS ACCURACY unlike in the Boundary Value Problems, there is no terminal condition and approximation errors may accumulate in time; consequently, a relevant characterization of accuracy is provided by the GLOBAL ERROR rather than the LOCAL ERROR. (global error) = (local error) (# of time steps), STABILITY unlike in the Boundary Value Problems, where boundedness of the solution at final time is enforced via a suitable terminal condition, in Initial Value Problems there is a priori no guarantee that the solution will remain bounded.
9 Finite Differences for Differential Equations 36 MODEL PROBLEM STABILITY of various numerical schemes is usually analyzed by applying these schemes to the following LINEAR MODEL : which is stable when λ r <= 0. EXACT SOLUTION: y(t) = y 0 e λt = dy dt = λy = (λ r + iλ i )y with y(t 0 ) = y 0, (1+λh+ λ2 h λ3 h 3 6 ) +... y 0 MOTIVATION consider the following ADVECTION DIFFUSION PDE : u t + c u x a 2 u x 2 = 0 Taking Fourier transform yields (k is the wavenumber): dû k dt + cik û k + ak 2 û k = 0 where the real term ak 2 û k represents DIFFUSION the imaginary term cik û k represents ADVECTION
10 Finite Differences for Differential Equations 37 EXPLICIT EULER SCHEME (I) Consider a Taylor series expansion Using the ODE we obtain y(t n+1 ) = y(t n )+hy (t n )+ h2 2 y (t n )+... y = dy dt y = dy dt = f = d f dt = f t + f f y Neglecting terms proportional to second and higher powers of h yields the EXPLICIT EULER METHOD y n+1 = y n + h f(y n,t n ) Retaining higher order terms is inconvenient, as it requires differentiation of f and does not lead to schemes with desirable stability properties.
11 Finite Differences for Differential Equations 38 EXPLICIT EULER SCHEME (II) LOCAL ERROR analysis: GLOBAL ERROR analysis: Thus, the scheme is locally second order accurate y n+1 = (1+λh)y n +[O(h 2 )] (global error) = Ch 2 N = Ch 2 T h = C h globally (over the interval [t 0,t 0 + Nh]) first order accurate
12 Finite Differences for Differential Equations 39 EXPLICIT EULER SCHEME (III) Stability (for the model problem) Thus, the solution after n time steps y n+1 = y n + λhy n = (1+λh)y n y n = (1+λh) n y 0 σ n y 0 = σ = 1+λh For large n, the numerical solution remains stable iff σ 1 = (1+λ r h) 2 +(λ i h) 2 1 CONDITIONALLY STABLE for real λ UNSTABLE for imaginary λ
13 Finite Differences for Differential Equations 40 IMPLICIT EULER SCHEME (I) IMPLICIT SCHEMES based on approximation of the RHS that involve f(y n+1,t), where y n+1 is the unknown to be determined IMPLICIT EULER SCHEME obtained by neglecting second and higher order terms in the expansion: Upon substitution dy dt The scheme is y(t n ) = y(t n+1 ) hy (t n+1 )+ h2 2 y (t n+1 )... tn+1 = f(y n+1,t n+1 ) we obtain locally SECOND ORDER accurate y n+1 = y n + h f(y n+1,t n+1 ) globally (over the interval [t 0,t 0 + Nh]) FIRST ORDER accurate
14 Finite Differences for Differential Equations 41 IMPLICIT EULER SCHEME (II) Stability (for the model problem): y n+1 = y n+1 = y n + λhy n+1 ( 1 1 λh Implicit Euler scheme is thus stable for all stable model problems most unstable model problems = y n+1 = (1 λh) 1 y n ) n y 0 σ n y 0 = σ = 1 1 λh σ 1 = (1 λ r h) 2 +(λ i h) 2 1 REMARK: When solving systems of ODEs of the form y =A(t)y, each implicit step requires solution of an algebraic system: y n+1 = (I ha) 1 y n Implicit schemes are generally hard to implement for nonlinear problems
15 Finite Differences for Differential Equations 42 CRANK NICHOLSON SCHEME (I) Obtained by approximating the formal solution of the ODE y n+1 = y n + R t n+1 t n f(y,t)dt using the TRAPEZOIDAL QUADRATURE : The scheme is locally THIRD ORDER accurate y n+1 = y n + h 2 [ f(y n,t n )+ f(y n+1,t n+1 )] globally (over the interval [t 0,t 0 + Nh]) SECOND ORDER accurate Stability (for the model problem): y n+1 = y n + λh 2 (y n+1 + y n ) = y n+1 = ( ) 1+ λh n 2 1 λh y 0 σ n y 0 = σ = 2 y n+1 = 1+ λh 2 1 λh 2 σ 1 = R(λh) 0 STABLE for all model ODEs with stable solutions ( 1+ λh 2 1 λh 2 ) y n
16 Finite Differences for Differential Equations 43 LEAPFROG SCHEME (I) LEAPFROG as an example of a TWO STEP METHOD : y n+1 = y n 1 + 2hλy n CHARACTERISTIC EQUATION for the AMPLIFICATION FACTOR (y n = σ n y 0 ) σ 2 2hλσ 1 = 0 where roots give the amplification factors: σ 1 = λh+ 1+λ 2 h 2 1+λh+ λ2 h 2 2 σ 2 = λh 1+λ 2 h 2 (1 λh+ λ2 h 2 2 Thus, the scheme is locally THIRD ORDER accurate +... = e λh +O(h 3 )...) = e λh +O(h 3 ) globally (over the interval [t 0,t 0 + Nh]) SECOND ORDER accurate
17 Finite Differences for Differential Equations 44 LEAPFROG SCHEME (II) Stability for diffusion problems ( λ = λ r ): σ 1 = λh+ 1+λ 2 r h 2 > 1 for all h > 0 Thus the scheme is UNCONDITIONALLY UNSTABLE for diffusion problems! Stability for advection problems ( λ = iλ i ): σ 2 1/2 = 1 (!!!) for h < 1 λ i Thus, the scheme is CONDITIONALLY UNSTABLE and NON DIFFUSIVE for advection problems! QUESTION analyze dispersive (i.e., related to arg(σ)) errors of the leapfrog scheme.
18 Finite Differences for Differential Equations 45 MULTISTEP PROCEDURES General form of a MULTISTEP PROCEDURE : p j=1 α j y n+ j = h q j=1 β j f(y n+ j,t n+ j ) with characteristic polynomials ξ p (z) = α p z p + α p 1 z p 1 + +α 0 if p > q EXPLICIT SCHEME if p q IMPLICIT SCHEME ζ q (z) = β q z q + β q 1 z q 1 + +β 0 A (ξ,ζ) procedure converges uniformly in [a,b], i.e., lim h 0 max tn [a,b] y n y(t n ) = 0 if: the following consistency conditions are verified: ξ(1) = 0 and ξ (1) = ζ(1) ( CONSISTENCY CONDITION ) all roots of the polynomial ξ(z) are such that z i 1 and the roots with z k = 1 are simple ( STABILITY CONDITION )
19 Finite Differences for Differential Equations 46 RUNGE KUTTA METHODS (I) General form of a FRACTIONAL STEP METHOD : y n+1 = y n + γ 1 hk 1 + γ 2 hk 2 + γ 3 hk where k 1 = f(y n,t n ) k 2 = f(y n + β 1 hk 1,t n + α 1 h) k 3 = f(y n + β 2 hk 1 + β 3 hk 2,t n + α 2 h). Choose γ i, β i and α i to match as many expansion coefficients as possible in y(t n+1 ) = y(t n )+hy (t n )+ h2 2 y (t n )+ h3 6 y (t n )... y = f y = f t + f f y y = f tt + f t f y 2 f f yt + f 2 f yt + f 2 f yy Runge Kutta methods are SELF STARTING with fairly good stability and accuracy properties.
20 Finite Differences for Differential Equations 47 RUNGE KUTTA METHODS (II) RK4 an ODE workhorse : The amplification factor: Thus, stability iff σ 1 ACCURACY: Thus, the scheme is y n+1 = y n + h 6 k 1 + h 3 (k 2 + k 3 )+ h 6 k 4 k 1 = f(y n,t n ) k 2 = f(y n + h 2 k 1,t n+1/2 ) k 3 = f(y n + h 2 k 2,t n+1/2 ) k 4 = f(y n + hk 3,t n+1 ) σ = 1+λh+ λ2 h 2 locally FIFTH ORDER accurate 2 + λ3 h 3 6 e λh = σ+o(h 5 ) + λ4 h 4 24 globally (over the interval [t 0,t 0 + Nh]) FOURTH ORDER accurate
21 Finite Differences for Differential Equations 48 RUNGE S PRINCIPLE Let (k+1) be the order of the local truncation error; denote Y(t,h) an approximation of the exact solution y(t) computed with the step size h; then at t = t 0 + 2nh: y(t) Y(t,h) C 2nh k+1 = C(t t 0 )h k y(t) Y(t,2h) C n(2h) k+1 = C(t t 0 )2 k h k Subtracting: Y(t,2h) Y(t,h) C(t t 0 )(1 2 k )h k Thus, we can obtain an estimate of the ABSOLUTE ERROR based on solution with two step sizes only: y(t) Y(t,h) Y(t,h) Y(t,2h) 2 k 1 Runge s principle is very useful for ADAPTIVE STEP SIZE REFINEMENT
22 Finite Differences for Differential Equations 49 LAX EQUIVALENCE THEOREM a Consider an INITIAL VALUE PROBLEM du dt =Lu with u(t 0) = u 0 and assume that it is well posed, i.e., it admits solutions which are unique and stable Consider a numerical method defined by a finite difference operator C(h) such that the approximate solution is given by u h (nh) =C(h) n u 0, n = 1,2,... The above method is CONSISTENT iff C(h) I h of the operatorl is a convergent approximation LAX THEOREM For a CONSISTENT difference method STABILITY is equivalent to CONVERGENCE a For a more technical discussion, see $ 5.2 in Atkinson & Han (2001)
23 Finite Differences for Differential Equations 50 CONSERVATION PROPERTIES (I) Is ACCURACY and STABILITY all that matters? CONSERVATION PROPERTIES conservation by the numerical method (i.e., in the discrete sense) of various invariants the original equation may possess REMARK conservation properties are particularly relevant for solution of Hamiltonian / hyperbolic systems Example conservation of the solution norm: In the continuous setting (assume u = u e iϕ ) du dt = iλ iu d u = 0 = u(t) = u 0, dt dϕ = λ i, dt In the discrete setting: u h (nh) = u h ((n 1)h) = = u h (0) Necessary and sufficient condition for discrete conservation: h, σ(h) = 1
24 Finite Differences for Differential Equations 51 Implicit Euler CONSERVATION PROPERTIES (II) 1 σ = = 1 iλ i h 1 1+λ 2 i h2 = λ2 i h 2 + < 1 for all h The scheme is thus DISSIPATIVE (i.e., not conservative) Fourth Order Runge Kutta σ = 1+iλ ih λ2 i h2 2 i λ3 i h3 6 + λ4 i h4 24 = 1 24 = λ6 i h 6 + < 1 for small h The scheme is thus DISSIPATIVE (i.e., not conservative) 576 8λ 6 i h6 + λ 8 i h8 Leapfrog σ 1/2 1 for all h < 1 λ i The scheme is thus CONSERVATIVE for all time steps for which it is stable!!! Leapfrog is an example of a SYMPLECTIC INTEGRATOR which are designed to have good conservation properties.
25 Finite Differences for Differential Equations 52 FINITE DIFFERENCES FOR PDES REVIEW Classification of linear PDEs in 2D: consider u : Ω 2 R and A,B,C R such that ELLIPTIC PROBLEMS : B 2 4AC < 0 Poisson equation: A 2 u x 2 + B 2 u x y +C 2 u y 2 + f(x,y,u) = 0 2 u x u y 2 = g(x,y) PARABOLIC PROBLEMS : B 2 4AC = 0 Heat equation: ( u 2 ) t = a u x u y 2 + g(x,y) HYPERBOLIC PROBLEMS : B 2 4AC > 0 Wave equation: 2 ( u 2 ) t 2 = a u x u y 2 + g(x,y)
26 Finite Differences for Differential Equations 53 FINITE DIFFERENCES FOR PDES ELLIPTIC PROBLEMS See Homework Assignment # 1...
27 Finite Differences for Differential Equations 54 FINITE DIFFERENCES FOR PDES PARABOLIC PROBLEMS u t = 2 u x 2 (I) CRANK NICHOLSON METHOD (x j = j x, j = 1,...,M, t = n t, n = 1,...,N): spatial derivative: time derivative: ( u t ) n+1 j = un+1 j t u n j ( 2 u x 2 ) n j = un j+1 2un j +un j 1 ( x) 2 +O(( x) 2 ) +O( t) = 1 2 [ ( 2 ) n+1 u x 2 + j ( 2 u x 2 u n+1 j u n j = t 2( x) 2 ( u n+1 j+1 2un+1 j + u n+1 j 1 + un j+1 2un j + u n j 1 ) n j ] +O(( t) 2 ) )+O ( ( x) 2 +( t) 2) thus, defining r = t ( x) 2,we have at every time step n ru n+1 j+1 + 2(1+r)un+1 j ru n+1 j 1 = run j+1 + 2(1 r)un j + ru n j 1 which for U n = [u n 1,...,un M ]T can be written as an algebraic system (2I A)U n+1 = (2I+A)U n, where A is a tridiagonal matrix
28 Finite Differences for Differential Equations 55 θ METHOD FINITE DIFFERENCES FOR PDES PARABOLIC PROBLEMS u t = 2 u x 2 (II) allow for a more general approximation in time of the RHS (θ [0,1]) ( ) u n+1 t j special cases Stability: = un+1 j t u n j +O( t) = 1 2 [ θ ( 2 ) n+1 ( u 2 u x 2 +(1 θ) j x 2 θ = 0 = EXPLICIT METHOD: U n+1 = A 0 U n θ = 1 2 = CRANK NICHOLSON METHOD (see previous slide) θ = 1 = IMPLICIT METHOD: A 1 U n+1 = U n ) n j ] +O( t) The EXPLICIT SCHEME is STABLE for r = t 2( x) 2 < 1 2 The CRANK NICHOLSON and IMPLICIT SCHEME are STABLE for all r
29 Finite Differences for Differential Equations 56 FINITE DIFFERENCES FOR PDES HYPERBOLIC PROBLEMS 2 u = 2 u t 2 Spatial derivative: Time derivative: ( 2 u t 2 u n+1 j ) n j = un+1 j ( 2 u x 2 ) n j = un j+1 2un j +un j 1 ( x) 2 +O(( x) 2 ) 2u n j + un 1 j ( t) 2 +O(( t) 2 ) = = ( t)2 ( u n ( x) 2 j+1 + u n ) j 1 u n 1 j + 2 Stability for ( t)2 ( x) 2 1 REMARK: need two initial conditions! ( 2 ) n u x 2 (1 ( t)2 ( x) 2 j x 2 (I) +O(( t) 3 ) ) u n j +O ( ( x) 2 +( t) 4)
FDM for parabolic equations
FDM for parabolic equations Consider the heat equation where Well-posed problem Existence & Uniqueness Mass & Energy decreasing FDM for parabolic equations CNFD Crank-Nicolson + 2 nd order finite difference
More informationTutorial 2. Introduction to numerical schemes
236861 Numerical Geometry of Images Tutorial 2 Introduction to numerical schemes c 2012 Classifying PDEs Looking at the PDE Au xx + 2Bu xy + Cu yy + Du x + Eu y + Fu +.. = 0, and its discriminant, B 2
More informationIntroduction to numerical schemes
236861 Numerical Geometry of Images Tutorial 2 Introduction to numerical schemes Heat equation The simple parabolic PDE with the initial values u t = K 2 u 2 x u(0, x) = u 0 (x) and some boundary conditions
More informationIndex. higher order methods, 52 nonlinear, 36 with variable coefficients, 34 Burgers equation, 234 BVP, see boundary value problems
Index A-conjugate directions, 83 A-stability, 171 A( )-stability, 171 absolute error, 243 absolute stability, 149 for systems of equations, 154 absorbing boundary conditions, 228 Adams Bashforth methods,
More informationNumerical Methods - Initial Value Problems for ODEs
Numerical Methods - Initial Value Problems for ODEs Y. K. Goh Universiti Tunku Abdul Rahman 2013 Y. K. Goh (UTAR) Numerical Methods - Initial Value Problems for ODEs 2013 1 / 43 Outline 1 Initial Value
More informationNumerical Solutions to Partial Differential Equations
Numerical Solutions to Partial Differential Equations Zhiping Li LMAM and School of Mathematical Sciences Peking University The Implicit Schemes for the Model Problem The Crank-Nicolson scheme and θ-scheme
More informationNumerical Solutions to Partial Differential Equations
Numerical Solutions to Partial Differential Equations Zhiping Li LMAM and School of Mathematical Sciences Peking University A Model Problem and Its Difference Approximations 1-D Initial Boundary Value
More informationNumerical Methods for PDEs
Numerical Methods for PDEs Problems 1. Numerical Differentiation. Find the best approximation to the second drivative d 2 f(x)/dx 2 at x = x you can of a function f(x) using (a) the Taylor series approach
More informationMathematics for chemical engineers. Numerical solution of ordinary differential equations
Mathematics for chemical engineers Drahoslava Janovská Numerical solution of ordinary differential equations Initial value problem Winter Semester 2015-2016 Outline 1 Introduction 2 One step methods Euler
More information7 Hyperbolic Differential Equations
Numerical Analysis of Differential Equations 243 7 Hyperbolic Differential Equations While parabolic equations model diffusion processes, hyperbolic equations model wave propagation and transport phenomena.
More informationTime stepping methods
Time stepping methods ATHENS course: Introduction into Finite Elements Delft Institute of Applied Mathematics, TU Delft Matthias Möller (m.moller@tudelft.nl) 19 November 2014 M. Möller (DIAM@TUDelft) Time
More informationFourth Order RK-Method
Fourth Order RK-Method The most commonly used method is Runge-Kutta fourth order method. The fourth order RK-method is y i+1 = y i + 1 6 (k 1 + 2k 2 + 2k 3 + k 4 ), Ordinary Differential Equations (ODE)
More informationChapter Two: Numerical Methods for Elliptic PDEs. 1 Finite Difference Methods for Elliptic PDEs
Chapter Two: Numerical Methods for Elliptic PDEs Finite Difference Methods for Elliptic PDEs.. Finite difference scheme. We consider a simple example u := subject to Dirichlet boundary conditions ( ) u
More informationConsistency and Convergence
Jim Lambers MAT 77 Fall Semester 010-11 Lecture 0 Notes These notes correspond to Sections 1.3, 1.4 and 1.5 in the text. Consistency and Convergence We have learned that the numerical solution obtained
More informationOrdinary Differential Equations
Ordinary Differential Equations We call Ordinary Differential Equation (ODE) of nth order in the variable x, a relation of the kind: where L is an operator. If it is a linear operator, we call the equation
More informationComputation Fluid Dynamics
Computation Fluid Dynamics CFD I Jitesh Gajjar Maths Dept Manchester University Computation Fluid Dynamics p.1/189 Garbage In, Garbage Out We will begin with a discussion of errors. Useful to understand
More informationNumerical Analysis of Differential Equations Numerical Solution of Parabolic Equations
Numerical Analysis of Differential Equations 215 6 Numerical Solution of Parabolic Equations 6 Numerical Solution of Parabolic Equations TU Bergakademie Freiberg, SS 2012 Numerical Analysis of Differential
More informationFinite difference methods for the diffusion equation
Finite difference methods for the diffusion equation D150, Tillämpade numeriska metoder II Olof Runborg May 0, 003 These notes summarize a part of the material in Chapter 13 of Iserles. They are based
More informationScientific Computing: An Introductory Survey
Scientific Computing: An Introductory Survey Chapter 9 Initial Value Problems for Ordinary Differential Equations Prof. Michael T. Heath Department of Computer Science University of Illinois at Urbana-Champaign
More informationENO and WENO schemes. Further topics and time Integration
ENO and WENO schemes. Further topics and time Integration Tefa Kaisara CASA Seminar 29 November, 2006 Outline 1 Short review ENO/WENO 2 Further topics Subcell resolution Other building blocks 3 Time Integration
More informationLecture Notes to Accompany. Scientific Computing An Introductory Survey. by Michael T. Heath. Chapter 9
Lecture Notes to Accompany Scientific Computing An Introductory Survey Second Edition by Michael T. Heath Chapter 9 Initial Value Problems for Ordinary Differential Equations Copyright c 2001. Reproduction
More informationCS 450 Numerical Analysis. Chapter 9: Initial Value Problems for Ordinary Differential Equations
Lecture slides based on the textbook Scientific Computing: An Introductory Survey by Michael T. Heath, copyright c 2018 by the Society for Industrial and Applied Mathematics. http://www.siam.org/books/cl80
More informationA Central Compact-Reconstruction WENO Method for Hyperbolic Conservation Laws
A Central Compact-Reconstruction WENO Method for Hyperbolic Conservation Laws Kilian Cooley 1 Prof. James Baeder 2 1 Department of Mathematics, University of Maryland - College Park 2 Department of Aerospace
More informationLecture 42 Determining Internal Node Values
Lecture 42 Determining Internal Node Values As seen in the previous section, a finite element solution of a boundary value problem boils down to finding the best values of the constants {C j } n, which
More informationFinite difference method for heat equation
Finite difference method for heat equation Praveen. C praveen@math.tifrbng.res.in Tata Institute of Fundamental Research Center for Applicable Mathematics Bangalore 560065 http://math.tifrbng.res.in/~praveen
More informationPDEs, part 3: Hyperbolic PDEs
PDEs, part 3: Hyperbolic PDEs Anna-Karin Tornberg Mathematical Models, Analysis and Simulation Fall semester, 2011 Hyperbolic equations (Sections 6.4 and 6.5 of Strang). Consider the model problem (the
More informationDo not turn over until you are told to do so by the Invigilator.
UNIVERSITY OF EAST ANGLIA School of Mathematics Main Series UG Examination 216 17 INTRODUCTION TO NUMERICAL ANALYSIS MTHE612B Time allowed: 3 Hours Attempt QUESTIONS 1 and 2, and THREE other questions.
More information4 Stability analysis of finite-difference methods for ODEs
MATH 337, by T. Lakoba, University of Vermont 36 4 Stability analysis of finite-difference methods for ODEs 4.1 Consistency, stability, and convergence of a numerical method; Main Theorem In this Lecture
More informationScientific Computing: An Introductory Survey
Scientific Computing: An Introductory Survey Chapter 11 Partial Differential Equations Prof. Michael T. Heath Department of Computer Science University of Illinois at Urbana-Champaign Copyright c 2002.
More informationFinite Difference Methods for Boundary Value Problems
Finite Difference Methods for Boundary Value Problems October 2, 2013 () Finite Differences October 2, 2013 1 / 52 Goals Learn steps to approximate BVPs using the Finite Difference Method Start with two-point
More informationChapter 8. Numerical Solution of Ordinary Differential Equations. Module No. 1. Runge-Kutta Methods
Numerical Analysis by Dr. Anita Pal Assistant Professor Department of Mathematics National Institute of Technology Durgapur Durgapur-71309 email: anita.buie@gmail.com 1 . Chapter 8 Numerical Solution of
More informationKINGS COLLEGE OF ENGINEERING DEPARTMENT OF MATHEMATICS ACADEMIC YEAR / EVEN SEMESTER QUESTION BANK
KINGS COLLEGE OF ENGINEERING MA5-NUMERICAL METHODS DEPARTMENT OF MATHEMATICS ACADEMIC YEAR 00-0 / EVEN SEMESTER QUESTION BANK SUBJECT NAME: NUMERICAL METHODS YEAR/SEM: II / IV UNIT - I SOLUTION OF EQUATIONS
More informationEvolution equations with spectral methods: the case of the wave equation
Evolution equations with spectral methods: the case of the wave equation Jerome.Novak@obspm.fr Laboratoire de l Univers et de ses Théories (LUTH) CNRS / Observatoire de Paris, France in collaboration with
More informationDepartment of Applied Mathematics Preliminary Examination in Numerical Analysis August, 2013
Department of Applied Mathematics Preliminary Examination in Numerical Analysis August, 013 August 8, 013 Solutions: 1 Root Finding (a) Let the root be x = α We subtract α from both sides of x n+1 = x
More informationECE539 - Advanced Theory of Semiconductors and Semiconductor Devices. Numerical Methods and Simulation / Umberto Ravaioli
ECE539 - Advanced Theory of Semiconductors and Semiconductor Devices 1 General concepts Numerical Methods and Simulation / Umberto Ravaioli Introduction to the Numerical Solution of Partial Differential
More informationMath 660 Lecture 4: FDM for evolutionary equations: ODE solvers
Math 660 Lecture 4: FDM for evolutionary equations: ODE solvers Consider the ODE u (t) = f(t, u(t)), u(0) = u 0, where u could be a vector valued function. Any ODE can be reduced to a first order system,
More informationAM 205: lecture 14. Last time: Boundary value problems Today: Numerical solution of PDEs
AM 205: lecture 14 Last time: Boundary value problems Today: Numerical solution of PDEs ODE BVPs A more general approach is to formulate a coupled system of equations for the BVP based on a finite difference
More informationDo not turn over until you are told to do so by the Invigilator.
UNIVERSITY OF EAST ANGLIA School of Mathematics Main Series UG Examination 216 17 INTRODUCTION TO NUMERICAL ANALYSIS MTHE712B Time allowed: 3 Hours Attempt QUESTIONS 1 and 2, and THREE other questions.
More informationNumerical solution of ODEs
Numerical solution of ODEs Arne Morten Kvarving Department of Mathematical Sciences Norwegian University of Science and Technology November 5 2007 Problem and solution strategy We want to find an approximation
More informationApplied Mathematics 205. Unit III: Numerical Calculus. Lecturer: Dr. David Knezevic
Applied Mathematics 205 Unit III: Numerical Calculus Lecturer: Dr. David Knezevic Unit III: Numerical Calculus Chapter III.3: Boundary Value Problems and PDEs 2 / 96 ODE Boundary Value Problems 3 / 96
More informationPreliminary Examination in Numerical Analysis
Department of Applied Mathematics Preliminary Examination in Numerical Analysis August 7, 06, 0 am pm. Submit solutions to four (and no more) of the following six problems. Show all your work, and justify
More informationAPPLICATIONS OF FD APPROXIMATIONS FOR SOLVING ORDINARY DIFFERENTIAL EQUATIONS
LECTURE 10 APPLICATIONS OF FD APPROXIMATIONS FOR SOLVING ORDINARY DIFFERENTIAL EQUATIONS Ordinary Differential Equations Initial Value Problems For Initial Value problems (IVP s), conditions are specified
More informationMultistage Methods I: Runge-Kutta Methods
Multistage Methods I: Runge-Kutta Methods Varun Shankar January, 0 Introduction Previously, we saw that explicit multistep methods (AB methods) have shrinking stability regions as their orders are increased.
More informationNumerical Methods for Differential Equations
Numerical Methods for Differential Equations Chapter 2: Runge Kutta and Linear Multistep methods Gustaf Söderlind and Carmen Arévalo Numerical Analysis, Lund University Textbooks: A First Course in the
More informationOrdinary differential equations - Initial value problems
Education has produced a vast population able to read but unable to distinguish what is worth reading. G.M. TREVELYAN Chapter 6 Ordinary differential equations - Initial value problems In this chapter
More informationNumerical Analysis Preliminary Exam 10 am to 1 pm, August 20, 2018
Numerical Analysis Preliminary Exam 1 am to 1 pm, August 2, 218 Instructions. You have three hours to complete this exam. Submit solutions to four (and no more) of the following six problems. Please start
More informationOrdinary Differential Equations: Initial Value problems (IVP)
Chapter Ordinary Differential Equations: Initial Value problems (IVP) Many engineering applications can be modeled as differential equations (DE) In this book, our emphasis is about how to use computer
More informationPowerPoints organized by Dr. Michael R. Gustafson II, Duke University
Part 6 Chapter 20 Initial-Value Problems PowerPoints organized by Dr. Michael R. Gustafson II, Duke University All images copyright The McGraw-Hill Companies, Inc. Permission required for reproduction
More informationMath 7824 Spring 2010 Numerical solution of partial differential equations Classroom notes and homework
Math 7824 Spring 2010 Numerical solution of partial differential equations Classroom notes and homework Jan Mandel University of Colorado Denver May 12, 2010 1/20/09: Sec. 1.1, 1.2. Hw 1 due 1/27: problems
More informationOrdinary Differential Equations II
Ordinary Differential Equations II CS 205A: Mathematical Methods for Robotics, Vision, and Graphics Justin Solomon CS 205A: Mathematical Methods Ordinary Differential Equations II 1 / 29 Almost Done! No
More informationNUMERICAL METHODS FOR ENGINEERING APPLICATION
NUMERICAL METHODS FOR ENGINEERING APPLICATION Second Edition JOEL H. FERZIGER A Wiley-Interscience Publication JOHN WILEY & SONS, INC. New York / Chichester / Weinheim / Brisbane / Singapore / Toronto
More informationNumerical Differential Equations: IVP
Chapter 11 Numerical Differential Equations: IVP **** 4/16/13 EC (Incomplete) 11.1 Initial Value Problem for Ordinary Differential Equations We consider the problem of numerically solving a differential
More informationx n+1 = x n f(x n) f (x n ), n 0.
1. Nonlinear Equations Given scalar equation, f(x) = 0, (a) Describe I) Newtons Method, II) Secant Method for approximating the solution. (b) State sufficient conditions for Newton and Secant to converge.
More informationNumerical Methods for Differential Equations
Numerical Methods for Differential Equations Chapter 2: Runge Kutta and Multistep Methods Gustaf Söderlind Numerical Analysis, Lund University Contents V4.16 1. Runge Kutta methods 2. Embedded RK methods
More informationFinite Difference Method for PDE. Y V S S Sanyasiraju Professor, Department of Mathematics IIT Madras, Chennai 36
Finite Difference Method for PDE Y V S S Sanyasiraju Professor, Department of Mathematics IIT Madras, Chennai 36 1 Classification of the Partial Differential Equations Consider a scalar second order partial
More informationIntroduction to PDEs and Numerical Methods: Exam 1
Prof Dr Thomas Sonar, Institute of Analysis Winter Semester 2003/4 17122003 Introduction to PDEs and Numerical Methods: Exam 1 To obtain full points explain your solutions thoroughly and self-consistently
More information2.29 Numerical Fluid Mechanics Spring 2015 Lecture 13
REVIEW Lecture 12: Spring 2015 Lecture 13 Grid-Refinement and Error estimation Estimation of the order of convergence and of the discretization error Richardson s extrapolation and Iterative improvements
More informationIntroduction to the Numerical Solution of IVP for ODE
Introduction to the Numerical Solution of IVP for ODE 45 Introduction to the Numerical Solution of IVP for ODE Consider the IVP: DE x = f(t, x), IC x(a) = x a. For simplicity, we will assume here that
More informationAn Introduction to Numerical Methods for Differential Equations. Janet Peterson
An Introduction to Numerical Methods for Differential Equations Janet Peterson Fall 2015 2 Chapter 1 Introduction Differential equations arise in many disciplines such as engineering, mathematics, sciences
More informationApplied Numerical Analysis
Applied Numerical Analysis Using MATLAB Second Edition Laurene V. Fausett Texas A&M University-Commerce PEARSON Prentice Hall Upper Saddle River, NJ 07458 Contents Preface xi 1 Foundations 1 1.1 Introductory
More informationPart 1. The diffusion equation
Differential Equations FMNN10 Graded Project #3 c G Söderlind 2016 2017 Published 2017-11-27. Instruction in computer lab 2017-11-30/2017-12-06/07. Project due date: Monday 2017-12-11 at 12:00:00. Goals.
More informationCS520: numerical ODEs (Ch.2)
.. CS520: numerical ODEs (Ch.2) Uri Ascher Department of Computer Science University of British Columbia ascher@cs.ubc.ca people.cs.ubc.ca/ ascher/520.html Uri Ascher (UBC) CPSC 520: ODEs (Ch. 2) Fall
More informationPartial Differential Equations
Partial Differential Equations Introduction Deng Li Discretization Methods Chunfang Chen, Danny Thorne, Adam Zornes CS521 Feb.,7, 2006 What do You Stand For? A PDE is a Partial Differential Equation This
More informationOrdinary Differential Equations
Chapter 13 Ordinary Differential Equations We motivated the problem of interpolation in Chapter 11 by transitioning from analzying to finding functions. That is, in problems like interpolation and regression,
More informationAdditive Manufacturing Module 8
Additive Manufacturing Module 8 Spring 2015 Wenchao Zhou zhouw@uark.edu (479) 575-7250 The Department of Mechanical Engineering University of Arkansas, Fayetteville 1 Evaluating design https://www.youtube.com/watch?v=p
More informationMASSACHUSETTS INSTITUTE OF TECHNOLOGY DEPARTMENT OF MECHANICAL ENGINEERING CAMBRIDGE, MASSACHUSETTS NUMERICAL FLUID MECHANICS FALL 2011
MASSACHUSETTS INSTITUTE OF TECHNOLOGY DEPARTMENT OF MECHANICAL ENGINEERING CAMBRIDGE, MASSACHUSETTS 02139 2.29 NUMERICAL FLUID MECHANICS FALL 2011 QUIZ 2 The goals of this quiz 2 are to: (i) ask some general
More informationLecture 4: Numerical solution of ordinary differential equations
Lecture 4: Numerical solution of ordinary differential equations Department of Mathematics, ETH Zürich General explicit one-step method: Consistency; Stability; Convergence. High-order methods: Taylor
More informationNumerical Solutions to Partial Differential Equations
Numerical Solutions to Partial Differential Equations Zhiping Li LMAM and School of Mathematical Sciences Peking University Numerical Methods for Partial Differential Equations Finite Difference Methods
More informationApplied Math for Engineers
Applied Math for Engineers Ming Zhong Lecture 15 March 28, 2018 Ming Zhong (JHU) AMS Spring 2018 1 / 28 Recap Table of Contents 1 Recap 2 Numerical ODEs: Single Step Methods 3 Multistep Methods 4 Method
More informationOrdinary Differential Equations
CHAPTER 8 Ordinary Differential Equations 8.1. Introduction My section 8.1 will cover the material in sections 8.1 and 8.2 in the book. Read the book sections on your own. I don t like the order of things
More informationAdvection / Hyperbolic PDEs. PHY 604: Computational Methods in Physics and Astrophysics II
Advection / Hyperbolic PDEs Notes In addition to the slides and code examples, my notes on PDEs with the finite-volume method are up online: https://github.com/open-astrophysics-bookshelf/numerical_exercises
More informationInitial value problems for ordinary differential equations
Initial value problems for ordinary differential equations Xiaojing Ye, Math & Stat, Georgia State University Spring 2019 Numerical Analysis II Xiaojing Ye, Math & Stat, Georgia State University 1 IVP
More informationChapter 4. MAC Scheme. The MAC scheme is a numerical method used to solve the incompressible Navier-Stokes. u = 0
Chapter 4. MAC Scheme 4.1. MAC Scheme and the Staggered Grid. The MAC scheme is a numerical method used to solve the incompressible Navier-Stokes equation in the velocity-pressure formulation: (4.1.1)
More information2 Numerical Methods for Initial Value Problems
Numerical Analysis of Differential Equations 44 2 Numerical Methods for Initial Value Problems Contents 2.1 Some Simple Methods 2.2 One-Step Methods Definition and Properties 2.3 Runge-Kutta-Methods 2.4
More informationNumerical methods Revised March 2001
Revised March 00 By R. W. Riddaway (revised by M. Hortal) Table of contents. Some introductory ideas. Introduction. Classification of PDE's.3 Existence and uniqueness.4 Discretization.5 Convergence, consistency
More informationDesign of optimal Runge-Kutta methods
Design of optimal Runge-Kutta methods David I. Ketcheson King Abdullah University of Science & Technology (KAUST) D. Ketcheson (KAUST) 1 / 36 Acknowledgments Some parts of this are joint work with: Aron
More informationNumerical Solutions to Partial Differential Equations
Numerical Solutions to Partial Differential Equations Zhiping Li LMAM and School of Mathematical Sciences Peking University Modified Equation of a Difference Scheme What is a Modified Equation of a Difference
More informationJim Lambers MAT 772 Fall Semester Lecture 21 Notes
Jim Lambers MAT 772 Fall Semester 21-11 Lecture 21 Notes These notes correspond to Sections 12.6, 12.7 and 12.8 in the text. Multistep Methods All of the numerical methods that we have developed for solving
More informationSolving Ordinary Differential equations
Solving Ordinary Differential equations Taylor methods can be used to build explicit methods with higher order of convergence than Euler s method. The main difficult of these methods is the computation
More information2tdt 1 y = t2 + C y = which implies C = 1 and the solution is y = 1
Lectures - Week 11 General First Order ODEs & Numerical Methods for IVPs In general, nonlinear problems are much more difficult to solve than linear ones. Unfortunately many phenomena exhibit nonlinear
More informationECE257 Numerical Methods and Scientific Computing. Ordinary Differential Equations
ECE257 Numerical Methods and Scientific Computing Ordinary Differential Equations Today s s class: Stiffness Multistep Methods Stiff Equations Stiffness occurs in a problem where two or more independent
More informationA very short introduction to the Finite Element Method
A very short introduction to the Finite Element Method Till Mathis Wagner Technical University of Munich JASS 2004, St Petersburg May 4, 2004 1 Introduction This is a short introduction to the finite element
More informationBasic Aspects of Discretization
Basic Aspects of Discretization Solution Methods Singularity Methods Panel method and VLM Simple, very powerful, can be used on PC Nonlinear flow effects were excluded Direct numerical Methods (Field Methods)
More informationDevelopment and stability analysis of the inverse Lax-Wendroff boundary. treatment for central compact schemes 1
Development and stability analysis of the inverse Lax-Wendroff boundary treatment for central compact schemes François Vilar 2 and Chi-Wang Shu 3 Division of Applied Mathematics, Brown University, Providence,
More informationOrdinary Differential Equations II
Ordinary Differential Equations II CS 205A: Mathematical Methods for Robotics, Vision, and Graphics Justin Solomon CS 205A: Mathematical Methods Ordinary Differential Equations II 1 / 33 Almost Done! Last
More informationNumerical Analysis Preliminary Exam 10.00am 1.00pm, January 19, 2018
Numerical Analysis Preliminary Exam 0.00am.00pm, January 9, 208 Instructions. You have three hours to complete this exam. Submit solutions to four (and no more) of the following six problems. Please start
More informationLecture Notes on Numerical Differential Equations: IVP
Lecture Notes on Numerical Differential Equations: IVP Professor Biswa Nath Datta Department of Mathematical Sciences Northern Illinois University DeKalb, IL. 60115 USA E mail: dattab@math.niu.edu URL:
More informationOrdinary Differential Equations
Chapter 7 Ordinary Differential Equations Differential equations are an extremely important tool in various science and engineering disciplines. Laws of nature are most often expressed as different equations.
More informationPart IB Numerical Analysis
Part IB Numerical Analysis Definitions Based on lectures by G. Moore Notes taken by Dexter Chua Lent 206 These notes are not endorsed by the lecturers, and I have modified them (often significantly) after
More informationNumerical Integration of Linear and Nonlinear Wave Equations
University of Nebraska - Lincoln DigitalCommons@University of Nebraska - Lincoln Dissertations, Theses, and Student Research Papers in Mathematics Mathematics, Department of 12-2004 Numerical Integration
More informationThe family of Runge Kutta methods with two intermediate evaluations is defined by
AM 205: lecture 13 Last time: Numerical solution of ordinary differential equations Today: Additional ODE methods, boundary value problems Thursday s lecture will be given by Thomas Fai Assignment 3 will
More informationWhat we ll do: Lecture 21. Ordinary Differential Equations (ODEs) Differential Equations. Ordinary Differential Equations
What we ll do: Lecture Ordinary Differential Equations J. Chaudhry Department of Mathematics and Statistics University of New Mexico Review ODEs Single Step Methods Euler s method (st order accurate) Runge-Kutta
More informationThe method of lines (MOL) for the diffusion equation
Chapter 1 The method of lines (MOL) for the diffusion equation The method of lines refers to an approximation of one or more partial differential equations with ordinary differential equations in just
More informationPartial differential equations
Partial differential equations Many problems in science involve the evolution of quantities not only in time but also in space (this is the most common situation)! We will call partial differential equation
More informationNotes on Numerical Analysis
Notes on Numerical Analysis Alejandro Cantarero This set of notes covers topics that most commonly show up on the Numerical Analysis qualifying exam in the Mathematics department at UCLA. Each section
More informationName of the Student: Unit I (Solution of Equations and Eigenvalue Problems)
Engineering Mathematics 8 SUBJECT NAME : Numerical Methods SUBJECT CODE : MA6459 MATERIAL NAME : University Questions REGULATION : R3 UPDATED ON : November 7 (Upto N/D 7 Q.P) (Scan the above Q.R code for
More informationPartial Differential Equations II
Partial Differential Equations II CS 205A: Mathematical Methods for Robotics, Vision, and Graphics Justin Solomon CS 205A: Mathematical Methods Partial Differential Equations II 1 / 28 Almost Done! Homework
More information8.1 Introduction. Consider the initial value problem (IVP):
8.1 Introduction Consider the initial value problem (IVP): y dy dt = f(t, y), y(t 0)=y 0, t 0 t T. Geometrically: solutions are a one parameter family of curves y = y(t) in(t, y)-plane. Assume solution
More informationTHE METHOD OF LINES FOR PARABOLIC PARTIAL INTEGRO-DIFFERENTIAL EQUATIONS
JOURNAL OF INTEGRAL EQUATIONS AND APPLICATIONS Volume 4, Number 1, Winter 1992 THE METHOD OF LINES FOR PARABOLIC PARTIAL INTEGRO-DIFFERENTIAL EQUATIONS J.-P. KAUTHEN ABSTRACT. We present a method of lines
More informationLecture 5: Single Step Methods
Lecture 5: Single Step Methods J.K. Ryan@tudelft.nl WI3097TU Delft Institute of Applied Mathematics Delft University of Technology 1 October 2012 () Single Step Methods 1 October 2012 1 / 44 Outline 1
More information