Parabolic Equation

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Parabolic Equation

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LONG CHEN

As a model problem of general parabolic equations, we shall mainly consider the following heat equation and study corresponding finite difference methods and finite element

methods

in (0, T ),

ut u = f

u = 0

on (0, T ),

(1)

u(, 0) = u0

in .

Here u = u(x, t) is a function of spatial variable x and time variable t (0, T ).

The Laplace differential operator is taking with respect to the spatial variable. For the

simplicity of exposition, we consider only homogenous Dirichlet boundary condition and

comment on the adaptation to Neumann and other type of boundary conditions. Comparing

with elliptic equation, we also need to assign the value at time t = 0 which is called

initial condition. The ending time T could be +. For parabolic equations, the boundary

(0, T ) {t = 0} is called the parabolic boundary. Therefore the initial condition

can be also thought as a boundary condition.

1. BACKGROUND ON HEAT EQUATION

For the homogenous Dirichlet boundary condition without source term, in the steady

state, i.e., ut = 0, we obtain the Laplace equation

u = 0 in and u| = 0.

So u = 0 no matter what the initial condition is. Indeed the solution will decay to zero

exponentially. Let us consider the simple 1-D problem

ut = uxx in R1 (0, T ),

u(, 0) = u0 .

Z

u

(k, t) =

R

2

Then u

cx = (ik)

u, u

d

, and ubt = u

t . So we get the following ODE for each

xx = k u

Fourier coefficient u

(k, t)

u

t = k 2 u

, u

(, 0) = u

0

2

(k, t) = u

0 ek t . We apply inverse Fourier transform back to (x, t) coordinate and get

Z

(xy)2

1

e 4t u0 (y) dy.

u(x, t) =

4t R

For a general bounded domain , we cannot apply Fourier transform. Instead we can

use the eigenfunctions of A = 0 (Laplace operator with zero Dirichlet boundary condition). Since A is SPD, we know there exists an orthogonormal basis formed by eigen2

functions of

function in such bases

PA, i.e., L = span{1 , 2 , . . . , }. We expand the

u(x, t) = k uk (t)k (x). The heat equation then becomes ukt (t) = k uk , uk (0) = uk0

1

LONG CHEN

and the solution is uk = uk0 ek t for k = 1, 2, . . .. Again each component will exponentially decay to zero since the eigenvalue k of A is positive. And the larger the eigenvalue

is, the faster the decay rate. In practice, however, it is much harder to finding out all eigenvalue and eigenfunctions than solving the heat equation numerically. We will talk about

finite difference and finite element methods for solving the heat equation.

2. F INITE DIFFERENCE METHODS FOR 1-D HEAT EQUATION

In this section, we consider a simple 1-D heat equation

(2)

(3)

ut = uxx + f

in (0, 1) (0, T ),

to illustrate the main issues in the numerical methods for solving parabolic equations.

Let = (0, 1) be decomposed into a uniform grid {0 = x0 < x1 < . . . < xN +1 = 1}

with xi = ih, h = 1/N , and time interval (0, T ) be decomposed into {0 = t0 < t1 <

. . . < tM = T with tn = nt, t = T /M . The tensor product of these two grids give a

two dimensional rectangular grid for the domain (0, T ). We now introduce three finite

difference methods by discretizing the equation (2) on grid points.

2.1. Forward Euler method. We shall approximate the function value u(xi , tn ) by Uin

and uxx by second order central difference

n

n

Ui1

+ Ui+1

2Uin

.

2

h

For the time derivative, we use the forward Euler scheme

uxx (xi , tn )

(4)

ut (xi , tn )

Uin+1 Uin

.

t

Together with the initial condition and the source Fin = f (xi , tn ), we then end with a

system

(5)

(6)

n

U n + Ui+1

2Uin

Uin+1 Uin

= i1

+ Fin ,

t

h2

Ui0 = u0 (xi ),

1 i N, 1 n M

1 i N, n = 0.

To write (5) in a compact form, we introduce the parameter = t/h2 and the vector

n t

) . Then (5) can be written as, for n = 0, , M

U n = (U1n , U2n , . . . , UN

U n+1 = AU n + tF n ,

where

A = I + h =

1 2

...

0

0

1 2

...

...

1 2

0

0

...

1 2

Starting from t = 0, we can evaluate point values at grid points from the initial condition

and thus obtain U 0 . After that, the unknown at next time step is computed by one matrixvector multiplication and vector addition which can be done very efficiently without storing

the matrix. This method is also called time marching.

Remark 2.1. Because of the homogenous Dirichlet boundary condition, the boundary

index i = 0, N + 1 is not included. For Neumann boundary condition, we do need to

impose equations on these two boundary nodes and introduce ghost points for accurately

discretize the Neumann boundary condition; See Chapter: Finite difference methods for

elliptic equations.

The first issue is on the stability in time. When f = 0, i.e., heat equation without

source, in the continuous level, the solution should exponential decay. In the discrete level,

we have U n+1 = AU n and want to control the magnitude of U in certain norm.

Theorem 2.2. When the time step t h2 /2, the forward Euler method is stable in the

maximum norm in the sense that if U n+1 = AU n then

kU n k kU 0 k ku0 k .

Proof. By the definition of the norm of a matrix

kAk =

max

i=1, ,N

N

X

|aij | = 2 + |1 2|.

j=1

kU n k kAk kU n1 k kU n1 k .

Exercise 2.3. Construct an example to show, numerically or theoretically, that if t >

h2 /2, then

kU n k > kU 0 k .

Theorem 2.2 and Exercise 2.3 imply that to ensure the stability of the forward Euler

method, we have to choose the time step t in the size of h2 which is very restrictive, say,

h = 103 then t = 106 . Although in one step, it is efficient, it will be very expensive

to reach the solution at the ending time T by moving at such tiny time step. For time

dependent equations, we shall consider not only the computational cost for one single time

step but also the total time to arrive a certain stopping time.

The second issue is the accuracy. We first consider the consistency error. Define unI =

(u(x1 , tn ), u(x2 , tn ), , u(xN , tn ))t . We denote a general differential operator as L and

its discritization as Lnh . Note that the action Lu is the operator L acting on a continuous

function u while Lnh is applied to vectors such as U n or unI . The consistent error or

so-called truncation error is to pretend we know the exact function values and see what

the error from the approximation of the differential operator. More precisely, for the heat

equation we define Lu = ut u and Lnh V = (V n+1 V n )/t h /h2 V n and the

truncation error

n = Lnh unI (Lu)nI

as the truncation error. The error is denoted by

E n = U n unI .

The estimate of the truncation error is straightforward using Taylor expansion.

Lemma 2.4. Suppose u is smooth enough. For the forward Euler method, we have

k n k C1 t + C2 h2 .

LONG CHEN

The convergence or the estimate of the error E n is a consequence of the stability and

consistency. The method can be written as

Lnh U n = F n = fIn = (Lu)nI .

We then obtain the error equation

Lnh (U n unI ) = (Lu)nI Lnh unI ,

(7)

Theorem 2.5. For the forward Euler method, when t h2 /2 and the solution u is smooth

enough, we have

kU n unI k Ctn (t + h2 ).

Proof. We write out the specific error equation for the forward Euler method

E n+1 = AE n t n .

Consequently

E n = An E 0 t

n1

X

Anl1 l .

l=1

0

kE n k t

n1

X

k l k Cnt(t + h2 ) = Ctn (t + h2 ).

l=1

2.2. Backward Euler method. Now we study backward Euler to remove the strong constrain of the time step for the stability. The method is simply using backward difference to

approximate the time derivative. We list the system below:

(8)

(9)

n

U n + Ui+1

2Uin

Uin Uin1

= i1

+ Fin ,

t

h2

Ui0 = u0 (xi ),

1 i N, 1 n M

1 i N, n = 0.

(10)

(I h )U n = U n1 + tF n .

Starting from U 0 , to compute the value at the next time step, we need to solve an algebraic

equation to obtain

U n = (I h )1 (U n1 + tF n ).

The inverse of the matrix, which involves the stiffness matrix of Laplacian operator, is not

easy in high dimensions. For 1-D problem, the matrix is tri-diagonal and can be solved

very efficiently by the Thomas algorithm.

The gain is the unconditional stability.

Theorem 2.6. For the backward Euler method without source term, i.e., (I h )U n =

U n1 , we always have the stability

kU n k kU n1 k ku0 k .

n

n

(1 + 2)Uin = Uin1 + Ui1

+ Ui+1

.

(1 + 2)|Uin | kU n1 k + 2kU n k ,

which implies

(1 + 2)kU n k kU n1 k + 2kU n k ,

The truncation error of the backward Euler method can be obtained similarly.

Lemma 2.7. Suppose u is smooth enough. For the backward Euler method, we have

k n k C1 t + C2 h2 .

We then use stability and consistency to give error analysis of the backward Euler

method.

Theorem 2.8. For backward Euler method, when the solution u is smooth enough, we

have

kU n unI k Ctn (t + h2 ).

Proof. We write the error equation for the backward Euler method as

n

n

(1 + 2)Ein = Ein1 + Ei1

+ Ei+1

t in .

kE n k kE n1 k + tk n k

Consequently, we obtain

kE n k t

n1

X

k l k Ctn (t + h2 ).

l=1

Exercise 2.9. Apply backward Euler to the example you constructed in Exercise 2.3 to

show numerically the scheme is stable.

From the error analysis, to have optimal convergent order, we also need t h2 which

is still restrictive. Next we shall give a unconditional stable scheme with second order

truncation error O(t2 + h2 ).

2.3. Crank-Nicolson method. To improve the truncation error, we need to use central

difference for time discritization. We keep the forward discretization as (Uin+1 Uin )/t

but now treat it is an approximation of ut (xi , tn+1/2 ). That is we discretize the equation

n+1/2

is taken as average of Uin and Uin+1 . We then end with

the scheme: for 1 i N, 1 n M

n+1

n+1

n+1

n

n

+ Ui+1

2Uin

1 Ui1

1 Ui1 + Ui+1 2Ui

Uin+1 Uin

n+1/2

=

+

+ Fi

,

t

2

h2

2

h2

and for 1 i N, n = 0

Ui0 = u0 (xi ).

(11)

LONG CHEN

1

1

(I h )U n+1 = (I + h )U n + F n+1/2 .

2

2

It can be easily verify that this time the truncation error is improved as

Lemma 2.10. Suppose u is smooth enough. For Crank-Nicolson method, we have

k n k C1 t2 + C2 h2 .

Exercise 2.11. Prove the maximum norm stability of Crank-Nicolson method with assumption on . What is the weakest assumption on you need?

In the next section, we shall prove Crank-Nicolson method is unconditionally stable in

the l2 norm and thus obtain the following second order convergence; See Exercise 13.

Theorem 2.12. For Crank-Nicolson method, we have

kE n k Ctn (C1 t2 + C2 h2 ).

3. VON N EUMANN ANALYSIS

One way to study the L2 stability of the heat equation is through Fourier analysis and

its discrete version. When = R, we can use Fourier analysis. For = (0, 1), we can

use eigenfunctions of Laplacian operator. To study the matrix equation, we establish the

discrete counter part.

Lemma 3.1. If A = diag(b, a, b) be a N N matrix, then the eigenvalue of A is

k = a + 2b cos k ,

k = 1, , N

where

k = k =

k

.

N +1

We then define a scaling of l2 inner product of two vectors as

(U , V )h = h U t V = h

N

X

Ui Vi ,

i=1

the values of corresponding functions at xi .

N

It is straightforward to verify the eigenvectors

{k }k=1 forms an orthonormal basis of

N

R with respect to (, )h . Indeed the scaling 2 is introduced for the normalization. For

any vector V RN , we expand it in this new basis

V =

N

X

vk k .

k=1

kV kh = k

v k,

where v

= (

v1 , , vN )t is the vector formed by the coefficients. Thein the coefficient

indicates this is a mimic of Fourier transform in the discrete level.

Suppose

U n+1 = AU n ,

with A = diag(b, a, b). Then the stability in k kh is related to the spectrum radius of A.

That is

kU n+1 kh kAkh kU n kh ,

and since A is symmetric with respect to (, )h ,

kAkh = (A) = max |k (A)|.

1kN

1/2

k k norm. The scaling h is chosen to be consistent with the scaling of discrete Laplace

operator.

Now we analyze stability of the three numerical methods we have discussed. Recall

that = /h2 .

Forward Euler.

U n+1 = AU n ,

A = diag(, 1 2, ).

Thus

(A) = max |1 2 + 2 cos k |.

1kN

1/2 = (A) 1.

Let us write A = AN , the uniform stable with respect to the dimension N implies 1/2

sup (AN ) 1 = 1/2.

N

Therefore we obtain the same condition as that for the maximum norm stability.

Backward Euler.

U n+1 = A1 U n ,

Thus

(A1 ) =

A = diag(, 1 + 2, ).

1

1

= max

,

(A) 1kN |1 + 2 2 cos k |

and

(A1 ) 1 for any > 0.

Therefore backward Euler is also unconditionally stable in l2 norm.

Crank-Nicolson.

U n+1 = A1 BU n , where

1

A = diag(, 2 + 2, ),

2

1

B = diag(, 2 2, )

2

Since A and B have the same eigenvectors, we have

(A1 B) = max

1kN

k (B)

|1 + cos k |

= max

,

k (A) 1kN |1 + cos k |

LONG CHEN

and

(A1 B) 1

Question 3.3. Is Crank-Nicolson method unconditional stable in the maximum norm?

For general schemes, one can write out the matrix form and plug in the coefficients to

do the stability analysis. This methodology is known as von Neumann analysis. Formally

we replace

(12)

Ujn n eij

in the scheme and obtain a formula of the amplification factor = (). The stability is

obtained by considering

max ().

0

To fascinate the calculation, one can factor out n eij and consider only the difference of

indices.

In (12), a more precise notation is = k which represents the frequency of eigenvect

tors k = eik (1:N ) which can take care of more general boundary conditions. The U n

is expanded in this basis with a coefficient vkn = nk . We skip the index k and take the

maximum of over [0, ] while h k (1 h).

As an example, the readers are encouraged to do the following exercise. Use as an

example not exercise.

Exercise 3.4 (The method). For [0, 1], we use the scheme: for 1 i N, 1 n

M

n+1

n+1

n

Ui1

+ Ui+1

2Uin+1

U n + Ui+1

2Uin

Uin+1 Uin

= (1 ) i1

+

,

t

h2

h2

and for 1 i N, n = 0

Ui0 = u0 (xi ).

(13)

Give a complete error analysis (stability, consistency, and convergence) of the method.

Note that = 0 is forward Euler, = 1 is backward Euler, and = 1/2 is Crank-Nicolson

method.

Exercise 3.5 (Leap-frog method). The scheme is an explicit version of Crank-Nicolson.

For 1 i N, 1 n M

(14)

n

U n + Ui+1

2Uin

Uin+1 Uin1

= i1

.

2t

h2

Namely it is an explicit scheme. To start the computation, we need two initial values.

One is the real initial condition

Ui0 = u0 (xi ),

1 i N.

The other U 1 , so-called computational initial condition, can be computed using one step

forward or backward Euler method.

Give a complete error analysis (stability, consistency, and convergence) of the leap-frog

method.

The first try is to multiply a test function v H01 () and apply the integration by part.

We obtain a variational formulation of the heat equation (1): given an f L2 () (0, T ],

for any t > 0, find u(, t) H01 (), ut L2 () such that

(15)

We then refine the weak formulation (15). The right hand side could be generalized to

f H 1 (). Since map H01 () to H 1 (), we can treat ut (, t) H 1 () for a

fixed t. We then introduce the Sobolev space for the time dependent functions

!1/q

Z

T

ku(, t)kqk,p dt

< }.

Our refined weak formulation will be: given f L2 (0, T ; H 1 ()) and u0 H01 (),

find u L2 (0, T ; H01 ()) and ut L2 (0, T ; H 1 ()) such that

hut , vi + a(u, v) = hf, vi,

v H01 (), and a.e.t (0, T )

(16)

u(, 0) = u0

We assume the equation (16) is well posed. For the existence and uniqueness of the solution

(u, ut ), we refer to [1].

Remark 4.1. The topology for the time variable should be also treat in L2 sense. But in

(15) and (16) we still pose the equation point-wise in time. In particular, one has to justify

the point value u(, 0) does make sense for a L2 type function. This can be justified by the

regularity theory.

To easy the stability analysis, we treat t as a parameter and the function u = u(x, t) as

a mapping

u : [0, T ] H01 (),

defined as

u(t)(x) := u(x, t)

(x , 0 t T ).

With a slight abuse of the notation, here we still use u(t) to denote the map. The norm

ku(t)k or ku(t)k1 is taken with respect to the spatial variable.

We then introduce the differential operator

L : L2 (0, T ; H01 ()) L2 (0, T ; H 1 ()) H01 ()

as

(Lu)(, t) = t u u in H 1 (), for t (0, T ] a.e.

(Lu)(, 0) = u(, 0).

Then the equation (16) can be written as

Lu = (f, u0 ).

Here we explicitly include the initial condition. Note that the spatial boundary condition is

build into the space H01 ().

We shall prove the stability result of L. It is known as energy estimate following [3].

10

LONG CHEN

Theorem 4.2. Suppose (u, ut ) is the solution of (16) and ut L2 (0, T ; L2 ()), then for

t (0, T ] a.e.

Z t

(17)

ku(t)k ku0 k +

kf (s)k ds

0

(18)

|u(s)|21

ku(t)k +

|u(t)|21 +

kf (s)k21 ds,

ds ku0 k +

(19)

Z

0

kf (s)k2 ds.

Proof. The solution is defined via the action of all test function. The art of the energy

estimate is to choose a correct test function to extract desirable information.

We first choose v = u to obtain

(ut , u) + a(u, u) = (f, u).

We manipulate these three terms as:

Z

1 2

1 d

d

(ut , u) =

(u )t =

kuk2 = kuk kuk;

2

2

dt

dt

a(u, u) = |u|21 ;

1

|(f, u)| kf kkuk or |(f, u)| kf k1 |u|1 (kf k21 + |u|21 ).

2

The inequality (17) is an easy consequence of the following inequality

kuk

d

kuk kf kkuk.

dt

From

1 d

1

kuk2 + |u|21 (kf k21 + |u|21 ),

2 dt

2

we get

d

kuk2 + |u|21 kf k21 .

dt

Integrating over (0, t), we obtain (18).

The inequality (19) can be proved similarly by choosing v = ut and left as an exercise.

From (18), we can obtain the right stability for the operator

L : L2 (0, T ; H01 ()) L2 (0, T ; H 1 ()) H01 ()

as

kukL2 (0,T ;H01 ()) kuk0 + kf kL2 (0,T ;H 1 ()) .

Since the equation is posed a.e for t, we could obtain maximum type estimate in time. For

example, (17) can be formulated as

kukL (0,T ;L2 ()) ku0 k + kf kL1 (0,T ;L2 ()) ,

and (19) implies

kukL (0,T ;H01 ()) |u0 |1 + kf kL2 (0,T ;L2 ()) .

Exercise 4.3. Prove the stability result (19).

11

(20)

kuk et ku0 k +

e(ts)) kf k1 ds,

where = min () > 0. The estimate (20) shows that the effect of the initial data is

exponential decay.

5. F INITE ELEMENT METHODS : SEMI - DISCRETIZATION IN SPACE

Let {Th , h 0} be a quasi-uniform family of triangulations of . The semi-discretized

finite element method is: given f V0h (0, T ], u0,h Vh , find uh L2 (0, T ; Vh ) such

that

(t uh , vh ) + a(uh , vh ) = hf, vh i,

vh Vh , t R+ .

(21)

uh (, 0) = u0,h

The scheme (21) is called semi-discretization since uh is still a continuous function of

t. The initial condition u0 is approximated by u0,h Vh and the choice of u0,h is not

unique.

PN

We can expand uh = i=1 ui (t)i (x), where i is the standard hat basis at the vertex

xi for i = 1, , N , the number of interior nodes, and the corresponding coefficient ui (t)

now is a function of time t. The solution uh can be computed by solving an ODE system

u + Au = f ,

where u = (u1 , , uN )t , A is the stiffness matrix, and f = (f1 , , fN )t .

We shall apply our abstract error analysis to estimate the error u uh in certain norm.

The setting is

R

1/2

T

X = L2 (0, T ; H01 ()), and kukX = 0 |u(t)|21 dt

R

1/2

T

Y = L2 (0, T ; H 1 (), and kf kY = 0 kf (t)k21 dt

R

1/2

T

Xh = L2 (0, T ; Vh ), and kuh kXh = 0 |uh (t)|21 dt

R

1/2

T

Yh = L2 (0, T ; V0h ), and kfh kYh = 0 kfh (t)k21,h dt

. Recall the dual

norm

hfh , vh i

, for fh V0h .

kfh k1,h = sup

vh Vh |vh |1

Ih = Rh (t) : H01 () Vh is the Ritz-Galerkin projection, i.e., Rh u Vh such

that

a(Rh u, vh ) = a(u, vh ), vh Vh .

h = Qh (t) : H 1 () V0h is the projection

hQh f, vh i = hf, vh i,

vh Vh .

L : X Y H01 () is Lu = t u u, Lu(, 0) = u(, 0), and Lh = L|Xh :

Xh Yh Vh . The equation we are solving is

Lh uh = Qh f,

uh (, 0) = u0,h .

12

LONG CHEN

5.1. Stability. Adapt the proof of the energy estimate for L, we will obtain similar stability results for Lh .

Theorem 5.1. Suppose uh satisfy Lh uh = fh , uh (, 0) = u0,h , then

Z t

(22)

kfh (s)k ds

kuh (t)k ku0,h k +

0

Z t

Z t

(23)

kfh (s)k21,h ds,

|uh (s)|21 ds ku0,h k2 +

kuh (t)k2 +

0

0

Z t

Z t

2

2

2

(24)

|uh (t)|1 +

kt uh (s)k ds |u0,h |1 +

kfh (s)k2 ds.

0

Note that in the energy estimate (23), the k k1 is replaced by a weaker norm k k1,h

since we can apply the inequality

hfh , uh i kfh k1,h |uh |1 .

The weaker norm k k1,h can be estimated by

kf k1,h kf k1 Ckf k.

5.2. Consistency. Recall that the consistency error is defined as Lh Ih uLh uh = Lh Ih u

h Lu. The choice of Ih = Rh simplifies the consistency error analysis.

Lemma 5.2. For the semi-discretization, we have the error equation

Lh (Rh u uh ) = t (Rh u u), t > 0, in V0h ,

(25)

(26)

Proof. Let A = . By our definition of consistency, the error equation is: for t > 0

Lh (Ih u uh ) = Lh Ih u h Lu = Lh Rh u Qh Lu = t (Rh u u) + (ARh u Qh Au).

The desired result then follows by noting that ARh = Qh A in V0h .

The error equation (25) holds in V0h which is a weak topology. The motivation we

choose Ih = Rh is that in this weak topology

hARh u, vh i = (Rh u, vh ) = (u, v) = hAu, vh i = hQh Au, vh i,

or in operator form

ARh = Qh A.

This technique is firstly proposed by Wheeler [4].

Apply the stability to the error equation, we obtain the following estimate on discrete

error.

Theorem 5.3. The solution uh of (21) satisfy the following error estimate

Z t

(27)

kRh u uh k ku0,h Rh u0 k +

kt u t Rh uk ds

0

2

|(uh Rh u)|21

(29)

kt ut Rh uk21,h ds,

t

2

kt (Rh uuh )k ds

0

ds ku0,h Rh u0 k +

|u0,h Rh u0 |21 +

Z

0

kt ut Rh uk2 ds.

13

We then estimate the two terms in these error estimates. The first issue is on the choice

of u0,h . An optimal one is obviously u0,h = Rh u0 so that no error from the the initial

condition. However, this choice requires the inversion of a stiffness matrix which is not

cheap. A simple choice would be the nodal interpolation, i.e. u0,h (xi ) = u0 (xi ) or any

other choice with optimal approximation property

ku0,h Rh u0 k ku0 u0,h k + ku0 Rh u0 k . h2 ku0 k2 ,

(30)

and similarly

|u0,h Rh u0 |1 . hku0 k2 .

According to (20), the affect of the initial boundary error will be exponentially decay to

zero as t gros. So in practice, we can choose the simple nodal interpolation.

On the estimate of the second term, we assume ut H 2 () to get

kt u t Rh uk = k(I Rh )ut k . h2 kut k2 .

(31)

When the H 2 regularity result holds for operator (for example, the domain is smooth or

convex), the negative norm is estimated as

kt u t Rh uk1,h kt u t Rh uk1 Ckt u t Rh uk . h2 kut k2 .

5.3. Convergence. The convergence of the discrete error comes from the stability and

consistency. For functions in finite element space, the H 1 semi-norm can be estimate by a

simple inverse inequality

|Rh u uh |1 Ch1 kRh u uh k.

Theorem 5.4. Suppose the solution u to (16) satisfying ut L2 (0, T ; H 2 ()) and the H 2

regularity holds. Let uh be the solution of (21) with u0,h satisfying (30). We then have

Z t

1

2

(32)

h |Rh u uh |1 + kRh u uh k Ch ku0 k2 +

kut k2 ds .

0

To estimate the true error u uh , we need the approximation error estimate of the

projection Rh

h1 ku Rh uk + |u Rh u|1 Chkuk2 .

Theorem 5.5. Suppose the solution u to (16) satisfying ut L2 (0, T ; H 2 ()). Then

the solution uh of (21) with u0,h having optimal approximation property (30) satisfy the

following optimal order error estimate:

Z t

(33)

h1 |u uh |1 + ku uh k Ch2 ku0 k2 +

kut k2 ds .

0

5.4. *Superconvergence and maximum norm estimate. Recall that the error eh = Rh u

uh satisfies the evolution equation (25) with eh (0) = 0

t eh + Ah eh = Qh t (Rh u u).

(34)

Therefore

Z

eh (t) =

Due to the smoothing effect of the semi-group eAh t , we have the following estimate.

Here we follow the work by Garcia-Archilla and Titi [2].

14

LONG CHEN

Z t

Ah (ts)

e

(35)

max

A

ds

h h
C| log h| max kh k.

0tT

0tT

0

Proof. Let m and M be the minimal and maximal eigenvalue of Ah . Then it is easy to

check

M eM (ts) if (t s) 1

M ,

Ah (ts)

Ah
(t s)1

if 1

(t

s) 1

e

m ,

M

m (ts)

1

m e

if (t s) m .

Note that m = O(1) and M Ch2 . We get

Z t

Ah (ts)

e

max

A

ds

h h
C| log h| max kh k.

0tT

0tT

Theorem 5.7 (Superconvergence in H 1 -norm). Suppose the solution u to (16) satisfying

ut L (0, T ; H 2 ()). Let uh be the solution of (21) with u0,h = Rh u0 . Then

max |Rh u uh |1 C| log h| h2 max kut k2 .

(36)

0tT

2

0tT

(37)

|Rh u uh |1 Ch2

Z

1/2

.

kut k22 ds

Z

T

1/2

Ah (T s) 1/2

|eh (T )|1 = kAh eh (T )k =

e

Ah h ds

0

Z

T

1/2

eAh (T s) Ah ds max kAh h k

0

0tT

C| log h|h2 max kut k2 .

0tT

1/2

To get (37), we use the energy estimate (29).

Since the optimal convergent rate for |u Rh u|1 or |u uh |1 is only first order, the

estimate (36) and (37)) are called superconvergence.

To control the maximum norm, we use the discrete embedding result (for 2-D only)

kRh u uh k C| log h||Rh u uh |1 ,

and the error estimate of Rh in the maximum norm

ku Rh uk C| log h|h2 kuk2, ,

to obtain the following result.

Theorem 5.8 (Maximum norm estimate for linear element in two dimensions). Suppose

the solution u to (16) satisfying u L (0, T ; W 2, ) and ut L2 (0, T ; W 2, ) or ut

15

L (0, T ; W 2, ()). Let uh be the solution of (21) with u0,h = Rh u0 . Then in two

dimensions

"

Z t

1/2 #

2

2

k(u uh )(t)k C| log h|h kuk2, +

kut k2 ds

(38)

,

0

(39)

2 2

0tT

0tT

For high order elements, we could get superconvergence in L2 norm too. Let us define

the order of the polynomial as the degree plus 1, which is the optimal order when measuring

the approximation property in Lp norm. For example, the order of the linear polynomial is

2. When the order of polynomial r is bigger than 3 (,i.e., quadratic and above polynomial),

we can prove a stronger estimate for the negative norm

ku Rh uk1 Chr+1 kukr .

(40)

Using the technique in Lemma 5.6 and Theorem 5.7, we have the following estimate on

the L2 norm.

Theorem 5.9 (Superconvergence in L2 -norm). Suppose the solution u to (16) satisfying

ut L (0, T ; H 2 ()). Let uh be the solution of (21) with u0,h = Rh u0 . Then

(41)

0tT

0tT

(42)

kRh u uh k Chr+1

Z

1/2

.

kut k2r ds

Z

T

Ah (T s)

keh (T )k =

e

h ds

0

Z

T

1/2

Ah (T s) 1/2

e

Ah

ds max kAh h k

0tT

0

C| log h|kh k1 .

In the second step, we have used the estimate

Z

T

1/2

eAh (T s) Ah

ds C| log h|,

0

1/2

To prove (42), we simply use the energy estimate (28) and (40).

obtain the superconvergence in the maximum norm

Z t

1/2

(43)

kRh u uh k Chr+1/2

kut k2r ds

.

0

Again using the inverse inequality kuh Rh uk Ch1 kuh Rh uk,, the superconvergence of L2 norm, and the maximum norm estimate of Ritz-Galerkin projection, for

r 3 ku Rh uk Chr kukr, , we can improve the maximum norm error estimate.

16

LONG CHEN

Theorem 5.10 (Maximum norm estimate for high order elements in two dimensions). Suppose the solution u to (16) satisfying u L (0, T ; W 2, ) and ut L2 (0, T ; W 2, ) or

ut L (0, T ; W 2, ()). Let uh be the solution of (21) with u0,h = Rh u0 . Then in two

dimensions and for r 3

"

Z t

1/2 #

kut k2r ds

(44)

k(u uh )(t)k Chr kukr, +

.

0

We consider the semi-discretization in time. We first discretize the time interval (0, T )

by a uniform grid with size t = T /N and denoted by tn = nt for n = 0, . . . N . A

continuous function in time will be interpolated into a vector by (I n f )(, tn ) = f (, tn ).

Recall that A = : H01 H 1 . We list three schemes in operator form.

Forward Euler. u0 = u0

un un1

+ Aun1 = f n1 .

t

Backward Euler. u0 = u0

un un1

+ Aun = f n .

t

Crank-Nicolson. u0 = u0

un un1

+ A(un + un1 )/2 = f n1/2 .

t

Note that these equations hold in H 1 sense. Taking Crank-Nicolson as an example, the

equation reads

1

1 n

(u un1 , v) + (un + un1 , v) = (f n1/2 , v), for all v H01 .

t

2

We now study the stability of these schemes. We rewrite the Backward Euler method as

(45)

(I + tA)un = un1 + tf n .

Since A is SPD, min (I + tA) 1 and consequently, max ((I + tA)1 ) 1. This

implies the L2 stability

kun k kun1 k + tkf n k ku0 k +

(46)

n

X

tkf k k.

k=1

The stability (47) is the discrete counter part of (17): discretize the integral

a Riemann sum.

Similarly one can derive the L2 stability for the C-N scheme

kun k ku0 k +

(47)

n

X

R tn

0

kf k ds by

tkf k1/2 k.

k=1

The integral

R tn

0

Remark 6.1. For C-N method, the right hand side can be also chosen as (f n + f n1 )/2.

It corresponds to the trapezoid rule of the integral. For nonlinear problem A(u), it can be

A((un + un1 )/2) or (A(un ) + A(un1 ))/2. The choice is problem dependent.

17

The energy method can be adapted to the semi-discretization in time too. We chose

v = (un + un1 )/2 in (45) to get

1 n 2 1 n1 2

ku k ku

k + t|un1/2 |21 = t(f n1/2 , un1/2 ),

2

2

which implies the counter part of (18)

n

n

X

X

(48)

kun k2 +

t|uk1/2 |21 ku0 k2 +

tkf k1/2 k21 .

k=1

k=1

We then study the convergence. We use C-N as a typical example. We apply the discrete

operator Ln to the error I n u un

Ln (I n u un ) = Ln I n u I n Lu =

t u(, tn1/2 ).

t

u(, tn ) u(, tn1 )

t u(, tn1/2 ) C(t)2 .

(49)

t

By the stability result, we then get

kI n u un k Ctn t2 .

From the consistency error estimate (49), one can easily see the Backward Euler is only

first order in time. And high order schemes can be constructed by using a high order

difference for the time derivative.

7. F INITE E LEMENT M ETHOD OF PARABOLIC EQUATION : FULL DISCRETIZATION

The full discretization is simply a combination of discretization in space and time. We

consider the following three schemes:

Forward Euler. u0h = u0,h

(50)

unh un1

h

, vh ) + a(uhn1 , vh ) = hfhn1 , vh i,

t

vh Vh , 1 n N

(51)

unh un1

h

, vh ) + a(unh , vh ) = hfhn , vh i,

t

vh Vh , 1 n N

unh un1

1

n1/2

h

, vh )+a( (unh +un1

), vh ) = hfh

, vh i, vh Vh , 1 n N

h

t

2

We write the semi-discretization and the full discretization as

(52) (

L Lh Lnh .

The discrete error is Rh u(tn ) unh . The setting is

1/2

R

T

X = L2 (0, T ; H01 ()), and kukX = 0 |u(t)|21 dt

R

1/2

T

Y = L2 (0, T ; H 1 (), and kf kY = 0 kf (t)k21 dt

P

1/2

N

k 2

Xht = Vh Vh Vh , and kuh kXht =

k=0 t|uh |1

18

LONG CHEN

n

P

N

k=0

tkfhk k21

1/2

I Rh : L

Vh Vh Vh is the composition of the nodal

interpolation in time and Ritz projection in space

I n Rh u = Rh I n u = (Rh u)(tn ).

I n Qh : L2 (0, T ; H 1 ()) Vh V0h V0h is the composition of the nodal

interpolation in time and L2 projection in space

I n Qh f = Qh I n f = (Qh f )(tn ).

Lnh : Xht Yht Vh is u0h = u0,h and for n 1

+ n

n

Forward Euler,

Dt uh uh

n n

n

Lh uh = Dt uh unh

Backward Euler,

n

n1

n

Dt uh (uh + uh )/2 Crank-Nicolson.

where Dt+ is the forward difference and Dt the backward difference in time. The

solution unh solves the full discrete equation:

Lnh unh = I n+s Qh f,

in V0h , for n 1,

u0h = u0,h ,

where s = 0 for backward Euler and forward Euler, and s = 1/2 C-N method.

7.1. Stability. We write the discretization using operator form and the stability in L2 norm

is very natural. Let A = |Vh .

Forward Euler.

(53)

unh = (I tA)un1

+ tfhn1 .

h

Backward Euler.

(54)

+ tfhn ).

h

Crank-Nicolson.

(55)

1

1

n1/2

unh = (I + tA)1 (I tA)un1

+

tf

.

h

h

2

2

we only need to study the spectral radius of these operators.

Forward Euler.

(I tA) = |1 tmax (A)| 1,

provided

t

2

max (A)

Note that max (A) = O(h2 ). We need the time step is in the size of h2 to make the

forward Euler stable.

Backward Euler. For any t > 0, since A is SPD, i.e., min (A) > 0

((I + tA)1 ) = (1 + tmin (A))1 1.

19

|1 12 t k (A)|

1

1

((I + tA)1 (I t A)) = max

1,

1kN 1 + 1 t k (A)

2

2

2

We summarize the stability as the following theorem which is a discrete version of (17).

Theorem 7.1. For forward Euler, when t < 1/max (A)

kunh k ku0h k +

(56)

n1

X

tkfhk k.

k=0

kunh k ku0h k +

(57)

n1

X

tkfhk+1 k.

k=0

kunh k ku0h k +

(58)

n1

X

k+1/2

tkfh

k.

k=0

It is interesting to note that the last term in the stability result (56), (57), and (58) are

different Riemann sums of the integral in the continuous level.

Exercise 7.2. Derive the discrete version of (18) and (19).

7.2. Consistency. The error equation will be

Lnh I n Rh u I n Qh Lu = Dtn I n Rh u I n t u = (Dtn I n u I n t u) + Dtn I n (Rh u u).

Forward Euler.

k(Dtn I n u I n t u)k = k

u(tn+1 ) u(tn )

t u(tn )k Ctktt uk,

t

and

kDtn I n (Rh u

tn+1

u)k = kt

1 2

(Rh ut ut ) dsk t

tn+1

kut k2 ds.

tn

tn

Backward Euler.

k(Dtn I n u I n t u)k = k

u(tn ) u(tn1 )

t u(tn )k Ctktt uk

t

and

kDtn I n (Rh u u)k = kt1

tn

tn1

(Rh ut ut ) dsk t1 h2

tn

kut k2 ds.

tn1

20

LONG CHEN

Lnh unh = I n1/2 Qh f.

So the error equation is

Rh u(tn ) Rh u(tn1 )

t u(tn1/2 )

t

1

+ ARh (u(tn ) + u(tn1 )) Qh Au(tn1/2 )

2

= Dt I n (Rh u u)

Lnh I n Rh u I n1/2 Qh Lu =

+ Dt I n u t u(tn1/2 )

1

+ Qh A (u(tn ) + u(tn1 )) u(tn1/2 )

2

= I1 + I2 + I3 .

We then estimate each term as

kI1 k = t1 h2

tn

kut k2 ds,

tn1

2

kI3 k Cktt ukt2 .

7.3. Convergence. The convergence is a consequence of stability, consistency, and the

approximation. For simplicity, we list the result for Crank-Nicolson and assume u0,h =

Rh u0 .

Theorem 7.3. Let u, unh be the solution of (16) and (52), respectively with u0,h = Rh u0 .

Then for n 0,

Z tn

Z tn

n

2

2

2

ku(tn ) uh k Ch

kut k ds + Ct

(kttt uk + ktt uk).

0

R EFERENCES

[1] L. C. Evans. Partial Differential Equations. American Mathematical Society, 1998.

[2] B. GarcIa-Archilla and E. S. Titi. Postprocessing the galerkin method: The finite-element case. SIAM J.

Numer. Anal., 37(2):470499, 2000.

[3] V. Thomee. Galerkin finite element methods for parabolic problems, volume 25 of Springer Series in Computational Mathematics. Springer-Verlag, Berlin, second edition, 2006.

[4] M. F. Wheeler. A priori L2 error estimates for Galerkin approximations to parabolic partial differential equations. SIAM J. Numer. Anal., 10:723759, 1973.

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