Stability analysis of the two-dimensional advection equation via multidimensional spatial stencils II: initial-boundary-value problem

Abstract The rst part analyzed the stability of the initial-value problem using the Fourier analysis. In this second part the asymptotic stability and the Lax-Richtmyer stability of the semidiscrete and discrete approximations of the two-dimensional linear advection equation are analyzed. It is found that the boundary fourth order multidimensional stencils provide asymptotic stability, as oposed to conventional stencils. The discrete initial-boundary-value problem is also analyzed. Various numerical tests seem to show that the multidimensional stencils are ecent, despite the number of grid points used. Key words: Finite dierence methods, Numerical Anisotropy, Stability and convergence of numerical methods

Introduction

The interest in long time integration for solving complex multidimensional problems in areas like uid dynamics, aeroacoutics or electromagnetics, for example, has grown in the last years. Unfortunately, closed form solutions to realistic problems governed by partial dierential equations hardly exist, and the alternative is to use numerical tools. The method of lines is one such tool in which the spatial discretization is independently performed by using, for example, nite dierence/volume or spectral methods, and then the time integration is carried out using a specic time marching method. Both spatial and time discretizations introduce errors of dierent kinds. One kind is the numerical anisotropy which can seriously aect the accuracy of the wave propagation in multidimensions. A multidimensional optimization of nite dierence stencils for Computational Aeroacoustics was performed (Sescu et al. [9]). Multidimensional optimized nite dierence stencils were derived which are designed to have improved isotropy compared to existing stencils. In this work
Preprint submitted to Journal of Computational Physics 24 June 2008

the stability of the semidiscrete and discrete initial-boundary-value problems using multidimensional spatial stencils are analyzed. Part I contains a broad discussion on the stability of the semi- and fully-discrete approximations with references. In this paper stability investigations are carried out for both the semidiscrete and discrete approximations of the two-dimensional linear advection equation on a rectangular domain with Dirichlet. The spatial derivatives are discretized by using both conventional and multidimensional stencils of dierent order of accuracy. The Lax-Richtmyer stability (as the mesh size is descresed at a xed time) and the asymptotic stability (as the time is increased at a xed mesh size) of the semidiscrete approximation are analyzed rst. The eigenvalues of the resulting dierentition matrix are numerically calculated, and it is found that the conventional fourth order explicit boundary stencils do not provide asymptotic stability - there are eigenvalues located at the right half complex plane. The use of the multidimensional fourth order boundary stencils for the points located at the inow boundaries make the semidiscrete approximation asymptotic stable - all the eigenvalues are located at the left half complex plane; the results are compared to those obtained using conventional schemes. The discrete initial-boundary-value problem is considered next which includes the interior stencils, the analytical boundary conditions and the numerical boundary schemes ...........insert more........... In section II the multidimensional optimized stencils are described for both interior and boundary grid points; special attention is paid to the boundary and corner stencils. In section III the semidiscrete approximation of the two-dimensional advection equation with Dirichlet boundary conditions is investigated by using conventional and multidimensional fourth order stencils. Section IV discusses the stability of the discrete approximation of the twodimensional advection equation with Dirichlet boundary conditions. Section V is reserved to some numerical tests, and the last section V to conclusions.

Description of the boundary multidimensional stencils

The interior multidimensional stencils were described in part I, and only the multidimensional boundary stencils are considered here. Let = {(x, y ), 0 < x < l1 , 0 < y < l2 } be a rectangular domain in the real two-dimensional space R2 with l1 and l2 chosen such that there exist a real non-negative number h = l1 /N1 = l2 /N2 called space step; N1 and N2 are non-negative integers. Next, lets introduce a uniform equally-spaced grid xi,j = (ih, jh) and yi,j = (ih, jh), 0 i N1 , 0 j N2 , and a gridfunction v (xi,j , yi,j ) also denoted by vi,j . Such a grid is accepted, because 2

a realistic, physical domain, under specic conditions, can be mapped into the computational domain which is discretized using a uniform equally-spaced grid. The process of deriving the fourth order boundary stencils for the y-derivative at y = l2 boundary is outlined next. The boundary stencils are needed at the rst and the second rows of grid points because the interior points cannot be applied here (they require two grid neighbor grid points). Dene the boundary-interior points those points on the grid row whose optimized stencils are derived in the same way as for the interior points. The optimized biased multidimensional stencils at the second row of boundary-interior points have the general form: v y =
i,N2 1 =M 1 1 1 b vi,j + (vi,j + vi+,j ) h(1 + ) =K1 2

(1)

For the fourth order boundary stencils considered, K1 = 1, M1 = 3, b1 = 1/4, b0 = 5/6, b1 = 3/2, b2 = 1/2, b3 = 1/2 and = 0.16. The optimized onesided multidimensional stencils at the rst row of boundary-interior points are given by the general form v y =
i,N2 =M 1 1 1 c vi,j + (vi,j + vi+,j ) h(1 + ) =0 2

(2)

where M1 = 4, c0 = 25/12, c1 = 4, c2 = 3, c3 = 4/3, c4 = 1/4. Figure 1 depicts the boundary-interior points for the second row of grid points, near the y = l2 boundary. The remainig points, called near-corner points, located in the vicinity of the corner points (x0,N2 , y0,N2 ) and (xN1 ,N2 , yN1,N2 ) require special stencils. For example, consider the near-corner point (x0,N2 1 , y0,N21 ); the stencil (1) cannot be applied to this point because there are no available grid points at the left side, namely those points required to discretize the derivative along x = y direction. Instead, the x = y derivative is written as a function of x and y derivative using the transformation matrix between two reference frames, one aligned with the grid lines and the other aligned with the x = y direction. The resulting stencil is v y =
0,N2 1

1 h

=M 1

b vi,j +
=K 1

2 h

=M 2

c (vi+,j vi+,j )
=0

(3)

where 1 = (1 + 0.5 )/(1 + ) and 2 = 0.5/(1 + ). In the same manner the multidimensional stencils can be derived for the other ve points, (x1,N2 1 , y2,N2 1 ), (x2,N2 1 , y3,N2 1 ) at the left corner and (xN1 2,N2 1 , yN1 2,N2 1 ), 3

(xN1 1,N2 1 , yN1 1,N2 1 ), (xN1 ,N2 1 , yN1 ,N2 1 ) at the right corner, belonging to the second grid line considered above. The resulting ve stencils are: v y v y v y v y v y 1 =M 1 = b [1 vi,j + 2 (vi+,j vi+,j )] , h =K 1 =
2,N2 1

(4)

1,N2 1

1 =M 1 2 b (1 vi,j + 2 vi+,j ) + h =K 1 h =

=M

a vi+,j ,
=M =M

(5)

N1 2,N2 1

1 =M 1 2 b (1 vi,j + 2 vi,j ) h =K 1 h

a vi+,j ,(6)
=M

=
N1 1,N2 1

1 =M 1 b [1 vi,j + 2 (vi+,j + vi,j )] , h =K 1

=M 1

(7)

=
N1 ,N2 1

1 h

b vi,j +
=K 1

2 h

=M 2

c (vi,j + vi+,j )
=0

(8)

Fig. 1. Boundary-interior points and near-corner points.

The multidimensional boundary stencils for the near-corner points located on the rst grid line j = N2 , in the vicinity of the left and right corners are given by v y v y v y =
0,N2

1 =M 1 c [1 vi,j + 2 (vi+,j vi+,j )] , h =0 2 1 =M 2 c (1 vi,j + 2 vi+,j ) h =0 h 2 1 =M 2 c (1 vi,j + 2 vi+,j ) + h =0 h 4

=M 1

(9)

=
1,N2

b vi+,j ,
=K 1 =M

(10)

=
2,N2

a vi+,j ,
=M

(11)

v y v y v y v y v y

=
3,N2

v y

,
2,N2 =M

(12)

N1 3,N2

2 1 =M 2 c (1 vi,j + 2 vi,j ) = h =0 h = v y ,
N1 3,N2

a vi+,j , (13)
=M

(14)
=M 1

(N1 2,N2

=
N1 1,N2

2 1 =M 2 c (1 vi,j + 2 vi,j ) + h =0 h

b vi+,j , (15)
=K 1

=
N1 ,N2

1 =M 1 c [1 vi,j + 2 (vi,j + vi+,j )] , h =0

(16)

The way of choosing the near-corner points for the general case is discussed next. Let oB be the order of accuracy of the boundary stencils. If oI -th order accurate explicit centered nite dierence stencils are used for the interior points, then oI /2 rows of grid points near the boundaries require one-sided or biased nite dierence stencils. At the boundaries oB + 1 points along the direction of derivative are required by a conventional boundary nite dierence stencil of oB -th order. For a multidimensional stencil the same number of points is required on both sides along the perpendicular direction. As a result, the number of points in the vicinity of a corner that require special stencils depends on the order of accuracy and on the position with respect to the boundary: at the rst row oB grid points near the corner require special stencils, at the second row oB 1 grid points near the corner require special stencils, and so on. For the purpose of including all four boundaries, the rst order multidimensional boundary stencils are written in the appendix for both x- and yderivatives. The corresponding interior second order multidimensional stencils are given in part I with M = 1, and the coecients a given in tabel 1 of part I.

Stability of the semidiscrete approximation

A semidiscrete approximation of a partial dierential equation is obtained by dierencing the space derivatives only, without approximating the time derivatives (Lomax et al. [?]) - this procedure is often called the method of lines. An essential requirement for a semidiscrete approximation is the convergence of 5

the approximate solution to the exact solution as the spatial mesh size is rened (Warming and Beam [13]) - this is referred to as Lax-Richtmyer stability of semidiscretizations. In addition, for long time dependent problems, this requirement is not enough (Carpenter et al. [5]): the semidiscrete approximation should also be asymptotic stable (the numerical solution remains bounded for long times). In this section, both the Lax-Richtmyer and the asymtotic stabilities of the semidiscrete approximation of the two-dimensional linear advection equation are treated by approximating the derivatives with conventional or multidimensional stencils. Consider the next scalar initial-boundary-value problem represented by the two-dimensional linear advection equation: u = c u ; t 0 x l1 , 0 y l2 , t0 (17) (18) (19) (20)

u(x, y, 0) = u0(x, y ) u(l1 , y, t) = g1 (y, t) u(x, l2 , t) = g2 (x, t)

where c = (cx cy ) is the velocity vector in the plane, = (/x /y )T and u0 (x, y ), g1 (y, t), g2 (x, t) are continuous, smooth functions, satisfying the compatibility conditions g1 (y, 0) = u0 (l1 , y ), g2 (x, 0) = u0 (x, l2 ) (21)

The rectangular domain = {(x, y ), 0 < x < l1 , 0 < y < l2 } is discretized as in section II with a uniform equally-spaced grid xi,j = (ih, jh) and yi,j = (ih, jh) with 0 i N1 and 0 j N2 . Next consider a semidiscretization of (17)(20) using conventional fourth order nite dierence stencils for the spatial derivatives at both the interior and boundary points. For the interior points: v x v y =
1<i<N1 1,1<j<N2 1

1 =M a vi+,j ; h =M 1 =M a vi,j + ; h =M

(22)

=
1<i<N1 1,1<j<N2 1

(23)

where the weights a given in table ?? and the grid function vi,j is an approximation of u(xi,j , yi,j ). For the boundary points the conventional stencils 6

are v x v x v y v y 1 =M 2 c vi+,j ; = h =0 =
N1 ,j

0,j

v x

1,j

1 =M 1 = b vi+,j h =K 1 =
N1 1,j

(24)

1 =M 2 c vi,j ; h =0 v y

v x

1 =M 1 b vi,j h =K 1

(25)

=
i,0

1 =M 2 c vi,j + ; h =0 1 =M 2 c vi,j ; h =0

=
i,1

1 =M 1 b vi,j + h =K 1 = 1 =M 1 b vi,j h =K 1

(26)

=
i,N2

v y

(27)

i,N2 1

For homogeneous Dirichlet boundary conditions (g1 (t) = g2 (t) = 0) the semidiscrete form of the advection equation (17) is 1 dv(t) = Av(t) dt h (28)

where v is a vector of size N1 N2 containing (vi,j )0iN1 ,0j N2 as elements. A is a block quasi-Toeplitz matrix depending upon both the advection equation and the type of dierencing scheme. The stability of the semidiscrete approximation represented by (??) deal with two limit processes (Carpenter et al. [5]): one is the behavior of the solution as the spatial mesh is rened (h 0) for a xed time T (Warming and Beam [13]), and the other is the behavior of the solution for a xed mesh size h as the time t . The semidiscrete approximation (??) is said to be Lax-Richtmyer stable (related to the rst limit process, h 0, xed t) if there exist a constant K > 0 such that for any initial condition v(0) v(t) K v(0) (29)

for all N1 and N2 , N1 h = l1 and N2 h = l2 with l1 and l2 xed and for all t, 0 t T with T xed (Warming and Beam [13]). The conventional vector norm is used. In terms of the eigenvalues k , k = 1, 2, ..., N1 N2 of the matrix A, a necessary condition for Lax-Richtmyer stability can be stated as follow: for all N1 and N2 , N1 h = l1 and N2 h = l2 and for all t, 0 t T there exist a nonnegative constant w such that max Re(k )
k

w N1 N2 7

(30)

If the matrix A is a normal matrix (AA = A A) then (30) is both necessary and sucient for stability in the L2 norm. The important thing to realize here is that a Lax-Richtmyer stable semidiscrete approximation can have eigenvalues of the matrix A with Re(k ) > 0, but the real parts must approach zero as N1 N2 . The other limiting process (xed mesh size h and t ) is called the asymptotic stability which requires that the solution of the semidiscrete approximation must be bounded in time. For long time integration the condition (30) is weak because one needs an excesive number of grid points which is compuationally expensive. As a result, the condition for a semidiscrete approximation to be asympotic stable becomes max Re(k ) < 0
k

(31)

which assures that the solution of the semidiscrete approximation will be bounded in time. So, for asymptotic stability, the eigenvalues k of the matrix A must lie on the left half complex plane(Zingg [16], Lomax et al. [?], Zingg et al. [18]). Figure 2 shows that the semidiscretization (28) with cx = cy = 1 does not provide asymptotic stability because some of the eigenvalues of the matrix A are located in the right half complex plane. The problem is related to the x = l1 and y = l2 boundaries or, more precisely, to the one-sided and biased spatial stencils used in the vicinity of these boundaries.

Fig. 2. Spectrum of the matrix A by using conventional nite dierence stencils.

Now consider the same semidiscrete approximation, but with multidimensional optimized biased stencils used near the x = l1 and y = l2 boundaries. In this 8

Fig. 3. Spectrum of the matrix A by using multidimensional optimized nite dierence stencils.

case all the eigenvalues have moved to the left half complex plane (gure 3), meaning that the multidimensional stencils provide asymptotic stability. For the computation of the matrix As spectrum, a square domain discretized using 50 grid points along both x and y directions was considered. The eigenspectrum was numerically calculated using LAPACK library. For 50 grid points the maximum of Re(k ), k = 1, 2, ..., N1N2 is approximately equal to 0.0106 for conventional stencils and 0.00002984 for multidimensional stencils. Figures 2 and 3 show results for a number of 50 grid points on both spatial directions. The Lax-Richtmyer stability was tested next by decreasing the space step (increasing the number of grid points). For the multidimensional stencils, the spectrum of matrix A was perturbed by modifying the value of the ICF from 0.16 to 0.1; as a results, the matrix A admits eigenvalues with very small nonnegative real part. By increasing the number of grid points on both spatial directions, it was observed that the nonnegative real parts of the eigenvalues decrease. Figure ?? shows the rate of decrease of the maximum Re(k ) as a function of the number of grid points. It suggests that the multidimensional stencils provide Lax-Richtmyer stability because the nonpositive real parts of the eigenvalues approach the imaginary axis as the spatial mesh is rened. 9

Stability of the discrete approximation

This section treats the stability of the discrete initial-boundary-value problem which is referred to as a discrete approximation of a partial dierential equation including the interior dierence approximation together with the required analytical boundary conditions and the numerical boundary conditions (Warming and Beam [15]). Particularly, the discrete initial-boundary-value problem of the two-dimensional linear advection equation is considered with both conventional and multidimensional stencils used to discretized the spatial derivatives. It is shown that ... Consider again the initial-boundary-value problem (17)-(20). At this stage, the spatial derivatives are approximated with centered fourth order stencils at the interior points and one-sided or biased third order stencils at the boundary points. The time integration is carried out by the explicit Euler method. We are interested in the stability of the discrete approximation in vector-matrix form, vn+1 = Bvn (32)

which includes all the grid points; at the boundaries either analytical boundary conditions or numerical boundary schemes are applied. B is a [N1 N2 N1 N2 ] block matrix depending on the dierence scheme. A necesary condition for the stability of a initial-boundary-value problem is the stability of the corresponding pure initial-value problem which is usually demonstrated by von Neumann analysis. The necesary and sucient condition for stability is met by proving that the discrete initial-boundary-value problem is also Lax-Richtmyer stable. The Lax-Richtmyer stability of a discrete approximation can be stated as follow: there exist a constant K > 0 such that for any initial condition v0 vn K v0 (33)

for all n 0, 0 nk T with T xed and k/h xed. The necessary condition for Lax-Richtmyer stability is that there exist a nonnegative constant w such that (B) 1 + w N1 N2 (34)

for all n 0, 0 nk T with T xed and k/h xed (Warming and Beam [14]). Here (B) = max |k |, k = 1, 2, ..., N1N2 denotes the spectral radius of 10

B, and k are the eigenvalues of B. For long time integrations the stability condition (35) becomes a restricted one in the form (B) 1 (35)

which assures that the numerical solution will remain bounded for large times.

Numerical Tests

In this section three numerical tests are described that support the theory presented in previous sections. They all solve the two-dimensional linear advection equation with dierent boundary condtions or initial conditions.

5.1 Two-dimensional advection equation with non-homogeneous boundary conditions Consider the initial-boundary-value problem on a square [1] u = c u ; t 0 x 1, 0 y 1, t0 (36) (37) (38) (39)

u(x, y, 0) = sin[ (x + y 1)] u(1, y, t) = sin[ (y + 2t)] u(x, 1, t) = sin[ (x + 2t)]

where c = (1 1) is the velocity vector in the plane. The exact solution of this problem is given by u(x, y, t) = sin[ (x + y + 2t 1)] (40)

First the conventional explicit fourth order nite dierence stencils are used with the classical Runge-Kutta time marching scheme. It is known that third order boundary stencils are required to preserve the overall accuracy of the algorithm, but, in order to compare the optimized multidimensional stencils to the conventional stencils, fourth order boundary stencils were used (the third order conventional boundary stencils are asymptotically stable). The log10 of the L2 error as a function of time is shown in gure 4(a) for the conventional stencils. It is clear that the inow boundaries introduce spurious waves into 11

(a) 0.5 1 1.5 log10(L2error) 2 2.5 3 3.5 4 4.5 0 5 10 time 15 20 21x21 grid points 41x41 grid points 61x61 grid points log10(L2error) 0.5 1 1.5 2 2.5 3 3.5 4 4.5 0 50

(b) 21x21 grid points 41x41 grid points 61x61 grid points

100 time

150

200

Fig. 4. The L2 -error as a function of time for (a) fourth order conventional stencils and (b) multidimensional stencils; = 2 .

the domain. This is also seen in gure 5(a) which shows the numerical solution for t = 20. Next the same algorithm is used, but with multidimensional optimized boundary stencils at the inow boundary. Figures 4(b) and 5(b) show that the optimized stencils provide asymptotic stability: the solver runs forever without indroducing spurious waves into the domain. Figure 4(b) shows the L2 -error at a very large time t = 200. The number of grid points on both directions was 51.
(a) (b)

4 u(x,y,t=200) 1 0.5 1 x 0 y 0.5 u(x,y,t=20) 2 0 2 4 0

4 2 0 2 4 0 0.5 1 x 0 y 0.5 1

Fig. 5. Numerical solution at time (a) t = 20 using conventional stencils and (b) t = 200 using multidimensional stencils; = 2 .

5.2 Two-dimensional advection equation with homogeneous boundary conditions Consider the initial-boundary-value problem on a square, u = c u ; t 0 x 1, 0 y 1, t0 (41)

12

u(x, y, 0) = sin[ (x + y 1)] u(1, y, t) = 0 u(x, 1, t) = 0 where c = (1 1) is the velocity vector in the plane. Apendix

(42) (43) (44)

First order multidimensional boundary stencils

In the appendix the rst-order boundary stencils for the discretized rectangular domain considered in section II are written (all four boundaries are considered). The boundary-interior stencils for the x- and y-derivatives at y = 0 boundary are given by v x v y =
i,0

1 [3 (vi+1,j vi1,j ) + 2 (vi+1,j +1 vi1,j +1 )], h 1 [3 vi,j +1 vi,j + 2 (vi+1,j +1 + vi1,j +1 )], h

(A.1)

=
i,0

(A.2)

respectively, where 3 = 1/( + 1) and 2 is dened in section II. The boundary-interior stencils for the x- and y-derivatives at y = l2 boundary are given by v x v y =
i,N2

1 [3 (vi+1,j vi1,j ) + 2 (vi+1,j 1 vi1,j 1)], h 1 [vi,j 3 vi,j 1 2 (vi1,j 1 + vi+1,j 1 )], h

(A.3)

=
i,N2

(A.4)

respectively. The boundary-interior stencils for the x- and y-derivatives at x = 0 boundary are given by v x v y =
0,j

1 [3 vi+1,j vi,j + 2 (vi+1,j +1 + vi+1,j 1 )], h 1 [3 (vi,j +1 vi,j 1 ) + 2 (vi+1,j +1 vi+1,j 1 )] h 13

(A.5)

=
0,j

(A.6)

respectively. The boundary-interior stencils for the x- and y-derivatives at x = l1 boundary are given by v x v y =
N1 ,j

1 [vi,j 3 vi1,j 2 (vi1,j 1 + vi1,j +1 )], h 1 [3 (vi,j +1 vi,j 1 ) + 2 (vi1,j +1 vi1,j 1)] h

(A.7)

=
N1 ,j

(A.8)

respectively. Next the multidimensional stencils for the corner points are written for both x- and y-derivatives (only one point at a certain corner needs special stencils). The stencils corresponding to the four corners are: v x v y v x v y v x v y v x v y =
0,0

1 [1 (vi+1,j vi,j ) + 2 (vi+1,j +1 vi,j +1 )], h 1 [1 (vi,j +1 vi,j ) + 2 (vi+1,j +1 vi+1,j )], h 1 [1 (vi,j vi1,j ) + 2 (vi,j +1 vi1,j +1)], h 1 [1 (vi,j +1 vi,j ) + 2 (vi1,j +1 vi1,j )], h 1 [1 (vi,j vi1,j ) + 2 (vi,j 1 vi1,j 1 )], h 1 [1 (vi,j vi,j 1 ) + 2 (vi1,j vi1,j 1)], h

(A.9)

=
0,0

(A.10)

=
0,N2

(A.11)

=
0,N2

(A.12)

=
N1 ,N2

(A.13)

=
N1 ,N2

(A.14)

=
N1 , 0

1 [1 (vi+1,j vi,j ) + 2 (vi+1,j 1 vi,j 1)], h 1 [1 (vi,j vi,j 1 ) + 2 (vi+1,j vi+1,j 1 )], h

(A.15)

=
N1 , 0

(A.16)

respectively. The weight 1 is dened in section II. 14

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[15] R.F. Warming, R.M. Beam, An eigenvalue analysis of nite-dierence approximation for hyperbolic IBVPs II: The Auxiliary Dirichlet Problem, Third International Conference on Hyperbolic Problems, Uppsala, Sweden, June, 1990. [16] D.W. Zingg, Aspects of linear stability analysis for higher-order nite-dierence methods, AIAA Paper 97-1939, June 1997. [17] D.W. Zingg, M. Lederle, On linear stability analysis of higher-order nitedierence methods, AIAA Paper 2005-5249, 2005. [18] D.W. Zingg, H. Lomax, H.M. Jurgens, High-accuracy nite-dierence schemes for linear wave propagation, SIAM J. Sci. Comp. 17 (1996) 328-346.

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