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

1 R EVIEW

2 R EVISITING S TABILITY
Consistency, Stability and Convergence

3 D ISCRETISING PDE S
Difference Formula
Centering of Approximations

4 S UMMARY

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Dr. Johnson MATH65241

 Review
Revisiting Stability
Discretising PDEs
Summary

C LASSIFICATION

PDEs may be classified 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
Consistency, Stability and Convergence
Discretising PDEs
Summary

C ONSISTENCY

D EFINITION
A discrete approximation to a partial differential 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
Consistency, Stability and Convergence
Discretising PDEs
Summary

S TABILITY

D EFINITION
If we define the error to be the difference 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
Consistency, Stability and Convergence
Discretising PDEs
Summary

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 sufficient condition for
convergence.

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Dr. Johnson MATH65241

 Review
Revisiting Stability Difference Formula
Discretising PDEs Centering of Approximations
Summary

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.

y (i + 1, j + 1)
∆y
(i, j )
(i − 1, j − 1)
∆x

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x
Dr. Johnson MATH65241
 Review
Revisiting Stability Difference Formula
Discretising PDEs Centering of Approximations
Summary

D ERIVATIVES ON THE GRID

Let the function φ(x, y ) be approximated by wi,j
Then we can approximate the second derivatives as

∂2 φ wi −1,j − 2wi,j + wi +1,j

2
= + O (∆x 2 )
∂x ∆x 2

(i − 1, j ) (i, j ) (i + 1, j )

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Dr. Johnson MATH65241

 Review
Revisiting Stability Difference Formula
Discretising PDEs Centering of Approximations
Summary

D ERIVATIVES ON THE GRID

Let the function φ(x, y ) be approximated by wi,j
Then we can approximate the second derivatives as

∂2 φ wi,j −1 − 2wi,j + wi,j +1

2
= + O (∆y 2 )
∂y ∆y 2

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

(i, j − 1)

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Dr. Johnson MATH65241

 Review
Revisiting Stability Difference Formula
Discretising PDEs Centering of Approximations
Summary

D ERIVATIVES ON THE GRID

Let the function φ(x, y ) be approximated by wi,j

Then we can approximate the first derivatives as

∂φ wi +1,j − wi −1,j
= + O (∆x 2 )
∂x 2∆x

∂φ wi,j +1 − wi,j −1
= + O (∆y 2 )
∂y 2∆y

These approximations are centered at the node (i, j ).

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Dr. Johnson MATH65241

 Review
Revisiting Stability Difference Formula
Discretising PDEs Centering of Approximations
Summary

M IXED D ERIVATIVES

For finding suitable discrete approximations for mixed

derivatives use a multidimensional Taylor expansion.
Thus for example second order approximations to ∂2 φ/∂x ∂y
at the point (i, j ) are given

∂2 φ wi +1,j +1 − wi −1,j +1 + wi −1,j −1 − wi +1,j −1

= + O (∆x 2 , ∆y 2 )
∂x ∂y 4∆x ∆y

or in stencil form
 
−1 0 1
1  0 0 0 
4∆x ∆y
1 0 −1 university-logo

Dr. Johnson MATH65241

 Review
Revisiting Stability Difference Formula
Discretising PDEs Centering of Approximations
Summary

M IXED D ERIVATIVES

An alternate stencil for the mixed derivative is

 
0 −1 1
1  −1 2 −1 
4∆x ∆y
1 −1 0

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Dr. Johnson MATH65241

 Review
Revisiting Stability Difference Formula
Discretising PDEs Centering of Approximations
Summary

F IRST D ERIVATIVES

We can also construct one-sided approximations to derivatives

Thus for example a second-order forward approximation to
∂φ/∂x at the node (i, j ) is given by

∂φ −3wi,j + 4wi +1,j − wi +2,j

= + O (∆x 2 )
∂x 2∆x

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Dr. Johnson MATH65241

 Review
Revisiting Stability Difference Formula
Discretising PDEs Centering of Approximations
Summary

F IRST D ERIVATIVES

A first order forward approximation to ∂φ/∂x at the node

(i, j ) is given by
¯
∂φ ¯¯ wi +1,j − wi,j
= + O (∆x )
∂x ¯i,j ∆x

However, if we take it as approximation at (xi + 1/2∆x, yj )

then it becomes second order
¯
∂φ ¯¯ wi +1,j − wi,j
= + O (∆x 2 )
∂x i +1/2,j
¯ ∆x

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Dr. Johnson MATH65241

 Review
Revisiting Stability Difference Formula
Discretising PDEs Centering of Approximations
Summary

W HERE TO CENTER APPROXIMATIONS

Where you center approximations can have a big effect on the

errors
Changing the center of the approximation gives rise to
different 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 difference formula for derivatives
Change the centering of the approximation:
to increase stability
or the order of the scheme
See notes for more differencing formulas

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Dr. Johnson MATH65241