Finite Difference Method

Kush Bhatia Dept. of Computer Science & Engg. IIT Delhi

Tutors: Prof. U. Rde, Prof. G. Biswas

Contents
Introduction to Differential Equations Finite Difference Method : Overview Finite Difference Approximations Explicit and Implicit Methods Errors In Discretization Consistency, Convergence and Stability Analysis Fluid-Flow Modeling

Conservative Property

Differential Equations
Newton Cooling Model

1 Dimensional Wave Equation

Solving Differential Equations

Analytical Methods: Finding Closed form Solution

Numerical Methods: Approximating Numerical

Solutions to Differential Equations

Finite Difference Method

Finite Elements Method

Contents
Introduction to Differential Equations Finite Difference Method : Overview Finite Difference Approximations Explicit and Implicit Methods Errors In Discretization Consistency, Convergence and Stability Analysis Fluid-Flow Modeling

Conservative Property

Finite Difference Method: Overview

A finite difference method for solving differential

equations involves the following steps:

Grid Generation Derivative Substitution Solving System Of Algebraic Equation

Grid Generation

Contents
Introduction to Differential Equations Finite Difference Method : Overview Finite Difference Approximations Explicit and Implicit Methods Errors In Discretization Consistency, Convergence and Stability Analysis Fluid-Flow Modeling

Conservative Property

Finite Difference Approximations

Consider the following differential Equation:

Numerical Approximation requires replacing the

derivatives with Numerical approximations

Use Taylor Series Expansion for the approximation

Finite Difference Approximations

The Taylor Series:

On replacing by + and by

Combining higher order terms

Finite Difference Approximations

P Q

P1

P2

Forward/Backward Difference Approximation

Central Difference Approximation

Finite Difference Approximations

Forward Difference Approximation

Backward Difference Approximation

Central Difference Approximation

Finite Difference Approximations

Taylor Series Expansion for Function of 2 independent

variables

The Partial Derivative Approximations:

Forward :
Backward : Central

Finite Difference Approximations

As we approximated the first derivative, similarly by

considering higher order terms in the Taylor Series, we can approximate the higher order derivatives as well
Second Order Derivative:

Second Order Partial Derivative:

Contents
Introduction to Differential Equations Finite Difference Method : Overview Finite Difference Approximations Explicit and Implicit Methods Errors In Discretization Consistency, Convergence and Stability Analysis Fluid-Flow Modeling

Conservative Property

Explicit & Implicit Methods

On Substituting the approximations to the derivatives

in the differential equation, the following two cases may arrive:

Explicit Method

Implicit method

Where denotes the spacial dimension and denotes the temporal dimension

Explicit & Implicit Method : Example

Consider the Differential Equation:

Constructing the Grid: Consider a rectangular Mesh

( , ) with uniform time step size = +1 and uniform space step = +1 .

To denote the solution (, ) at the required point on
the grid, use , .

Explicit & Implicit Method : Example

Substituting the forward difference approximations in

the differential equation

Given that we know value of at all for time from

initial condition, can determine at for time +1 . Solutions takes the form of a marching in steps of time, also the Explicit Euler Method of Finite Difference

Explicit & Implicit Method : Example

Substituting the spatial difference on RHS by time

average of n and n+1 (Crank-Nicolson Method)

The unknown value at time + 1 is expressed in

terms of known values at time and unknown values at time + 1.

To solve this equation, we formulate it at all points

for time +1 to obtain a system of algebraic equations

Explicit & Implicit Method : Example

The equation can be rearranged as

With =

. 2

On applying equation at all points from = 1 + 1

and applying the boundary conditions, representation of the form B = can be obtained.

B is the coefficient Matrix and X is the Solution Vector

Explicit Vs Implicit Methods

Explicit Method
Solution Algorithm is

Implicit Method
Setting up Solution

simple to set up. Stability Constraint puts a restriction on time step given a spatial step. Computing time per time step is small.

Algorithm requires more involved process Stability can be maintained over larger values of . Computing time per step is larger.

Contents
Introduction to Differential Equations Finite Difference Method : Overview Finite Difference Approximations Explicit and Implicit Methods Errors In Discretization Consistency, Convergence and Stability Analysis Fluid-Flow Modeling

Conservative Property

Errors in Discretization
Numerical Solution of a differential Equation is

influenced by the following sources of errors:

Discretization Error = Truncation Error + Error due to

treatment of Boundary Conditions Round Off Error = Numerical Error induced due to finite precision of decimals in computer memory For implicit methods, there is an additional Algebraic Error induced by introducing an iterative method for the Linear System.
The errors can be controlled by controlling the grid

spacing in the chosen mesh.

Errors in Discretization

Contents
Introduction to Differential Equations Finite Difference Method : Overview Finite Difference Approximations Explicit and Implicit Methods Errors In Discretization Consistency, Convergence and Stability Analysis Fluid-Flow Modeling

Conservative Property

Consistency
A Finite Difference Scheme is said to be consistent if

the limit of the truncation error is zero as approaches zero. Example : Consider the Newton Cooling Law:
The Truncation Error is given by
And we observe that Thus, the finite difference scheme as employed on the

Newton Cooling Law is a consistent one.

Convergence
A Finite Difference scheme is said to be Convergent if

the approx. solution approaches the exact solution of the differential equation for each value of the independent variable as grid spacing approaches zero
Numerical approximation to the differential equation = , 0 = 1. The red line denotes the exact solution. For the blue line, value of grid spacing has been set to 1, while for the green line, the grid spacing is 0.25.

Stability Analysis

Unstable Finite Difference Scheme (Grid Size = 0.01)

Stable Finite Difference Scheme (Grid Size = 0.005)

Stability Analysis
Let be the error which occurs at time step . Amplification of this error at time step + 1 is

+1 = , where g = amplification factor. For the stability of the finite difference scheme, it is required that +1 or 1. To find the stability criteria, one can use Von Neumann technique to determine error explicitly. A Finite Difference Method Scheme Converges if it is stable and consistent and the discrete problem is uniquely solvable.

Contents
Introduction to Differential Equations Finite Difference Method : Overview Finite Difference Approximations Explicit and Implicit Methods Errors In Discretization Consistency, Convergence and Stability Analysis Fluid-Flow Modeling

Conservative Property

Application: Fluid Flow Modeling

Burgers presented a simple non-linear equation to

model fluid flow

2 2 .

In the equation above refers to the velocity, refers

to the coefficient of viscosity and refers to any property which can be transported or diffused.

If we neglect the viscous term, Burgers Equation

reduces to an analog of Eulers equation

=0

Contents
Introduction to Differential Equations Finite Difference Method : Overview Finite Difference Approximations Explicit and Implicit Methods Errors In Discretization Consistency, Convergence and Stability Analysis Fluid-Flow Modeling

Conservative Property

Conservative Property
Consider the following system with a property being

verified for conservation. We say that a property is conserved in the system if the net rate of accumulation of property in the system equals the net inflow net outflow.

Inflow of property

System Under Consideration

Outflow of property

Conservative Property
Consider the inviscid Burger Equation

().

Its Finite Difference analog is given by

+1

+1 +1 1 1

Consider a region running from = 1 = 2 .

On evaluating the integral 1 2 2 +1 n =1 = = 1 i

1 2 =1

1 2 +2

1 1 2

Thus the conservative property has been preserved.

Overview
Introduction to Differential Equations Finite Difference Method : Overview Finite Difference Approximations Explicit and Implicit Methods Errors In Discretization Consistency, Convergence and Stability Analysis Fluid-Flow Modeling

Conservative Property

References
High Performance Computing, K. Dowd & C.Severence Finite Difference Method Basics, Zhilin Li Numerical Methods: Finite Differences, Peter Olver 2-D Finite Difference Methods, Chris Johnson Numerical Methods for Elliptic and Parabolic Partial

Differential Equations, P. Knabner & L. Angermann Lecture Notes, Simulation and Scientific Computing, Christoph Pflaum Numerical Simulation in Fluid Dynamics, Michael Griebel, Thomas Dornseifer, Tilman Neunhoeffer

Thank You