DKSDK

Lecture 8:
Stiff systems and Finite Differences

J.K. Ryan@tudelft.nl
WI3097TU
Delft Institute of Applied Mathematics
Delft University of Technology
22 October 2012
()
22 October 2012
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Outline
Review
Application of methods
Truncation error
Stiff Differential Equations
Finite Difference Methods
()
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Global vs. Local Truncation Error
The global truncation error is related to the local truncation

error by
en+1 = hn+1 + Q(h)en
which can further be written as
en+1 = h
n
X
[Q(h)]j n+1j
j=0
()
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Higher Order Methods

4th order Runge-Kutta (RK4)
The 4th order Runge-Kutta scheme is:

k1 = hf (tn , wn ) (Forward Euler)
k1
h
k2 = hf (tn + , wn + )
2
2
h
k2
k3 = hf (tn + , wn + )
2
2
k4 = hf (tn + h, wn + k3 )
RK4 is the average of these slopes
wn+1 = wn +
()
1
(k1 + 2(k2 + k3 ) + k4 )
6
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Higher Order Methods

4th order Runge-Kutta (RK4)
RK4:
Uses an average of different slopes (called predictors).
The amplification factor is
1
1
1
Q(h) = 1 + h + (h)2 + (h)3 + (h)4
2
6
24
The stability condition is
h<
2.8
||
This is a 4th order method, n+1 O(h4 ).
()
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ODE Systems
Numerical methods for systems are derived similar to the scalar

case, but we use vector notation:
Test system:
y0 =
A
y + g(t)
|{z}
A k k matrix
where
y=
y1 (t)
y2 (t)
yk (t)
is a vector of length k (as is g(t)) .
()
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ODE Systems
Euler Forward
Euler forward for systems is written as:

wn+1 = wn + hf(tn , wn ).
Or, componentwise:
(j)
wn+1 = wn(j) + hf (i) (tn , wn(1) , wn(2) , . . . , wn(k) ),

for j = 1, . . . , k.
which is just the scalar method.
wn+1 =
(I + hA)
|
{z
wn + hg(tn )
Amplification matrix
()
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ODE Systems
Euler Backward
Backward Euler can be written as

wn+1 = wn + hf(tn+1 , wn+1 ).
Or
wn+1 =
(I hA)1
|
{z
(wn + hg(tn+1 ))
()
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ODE Systems
Truncation Error
The application of single-step methods to ODE systems is done

componentwise.
Similarly, the global and local truncation error is also
componentwise.
(j)
n+1 =
(j)
1 (j)
(j)
(y (tn+1 ) zn+1 )
h
(j)
en+1 = y (j) (tn+1 ) wn+1
(Local)
(Global)
for j = 1, . . . , k.
Note: This is the coupled global truncation error.
()
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ODE Systems
Truncation Error
The relation between global and local truncation error depends

on the numerical method.
For Forward Euler, we have
en+1 = hn+1 +
(I + hA)
|
{z
en
This is the coupled global truncation error. Given, A = SS 1 ,

and n+1 = S 1 en+1 . this is
n+1 = hn+1 + (I + h)n
This is the equation for the decoupled global error.
()
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ODE Systems
Stability
For stability of the system, the eigenvalues,

j = + i,
must have negative real part,
< 0.
()
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ODE Systems
Stability
For the Euler Forward method, the requirement that

|Q(h)| = |I + hA| < 1
means that each eigenvalue must satisfy
(1 + h)2 + (h)2 < 1.
The system is stable if
h < min
j
()
2|(j) |
,
((j) )2 + ( (j) )2
j = 1, . . . , k
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Test Equation
For stiff equations, consider the equation

y 0 = (y F (t)) + F 0 (t)
y (0) = y0
where < 0 and F (t) is smooth.
This has solution
y (t) = (y0 F (0))e t +
|
()
{z
rapidly decays
F (t)
| {z }
quasi-stationary
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Recall, for stability: |Q(h)| < 1
Forward or Modified Euler: h < 2/||
RK4: h < 2.8/||
The global truncation error at step n + 1 is given by
:0

:0

n1
[Q(h)]
en+1 =h
[Q(h)]
n 1 + h
2 + . . .
+ hQ(h)n1 + h
n
|{z}
has more influence
because
lim [Q(h)]n = 0.
()
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lim en+1 = hn
For stiff equations

Global truncation errors adapts to local truncation error.
Gets smaller after passing through a transient region.
()
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Another way to look at this:
Consider a system with the solution as
y(t) = 1 (t)e 10t + 1 (t)e 1000t
The eigenvalues are 1 = 10 and 2 = 1000. The stability
of Forward Euler and Runge-Kutta is given as
Forward Euler
RK4
()
1 = 10
h < 2/| 10|
h < 2.8/| 10|
2 = 1000.
h < 2/| 1000|
h < 2.8/| 1000|
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Recall: The stability is given by the minimum h for all
eigenvalues.
Prohibitively restrictive
Requires more operations (smaller interval subdivisions)
More possibility for roundoff error
But is would be easier to integrate if we have a larger stability
region.
Therefore, we consider implicit methods.
()
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y0 = Ay
Trapezoidal method:
h
wn+1 =wn + (f (tn , wn ) + f (tn+1 , wn+1 ))
2
h
=wn + (Awn + Awn+1 )
2
h
h
(I A)wn+1 =(I + A)wn
2
2
This is the coupled approximation.
()
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If A is diagonalizable, then A = SS 1 . Then

h
(I A)wn+1
2
h
(I SS 1 )wn+1
2
h
S 1 (I SS 1 )wn+1
2
h
1
(S S 1 )wn+1
2
()
h
=(I + A)wn
2
h
=(I + SS 1 )wn
2
h
=S 1 (I + SS 1 )wn
2
h 1
1
=(S + S )wn
2
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This simplifies to
h
h
(S 1 S 1 )wn+1 =(S 1 + S 1 )wn
2
2
h
h
(I )S 1 wn+1 =(I + )S 1 wn
2
2
Let n+1 = S 1 wn+1 . Then
h
h
(I )n+1 = (I + )n
2
2
So that the decoupled scheme is
h
= I
2

n+1
()
1
h
I + n
2
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For the j th component,
n+1 =
1 h2 j
1 + h2 j
For stability, we need

1

1 +
or
h

2 j

h

2 j
< 1,
h
h
|1 j | < |1 + j |,
2
2
()
j = 1, . . . , k.
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Assume that j = + i. Then the stability condition is
h
h
|1 ( + i)| < |1 + ( + i)|,
2
2
j = 1, . . . , k,
which is the same as

h
1+
2
2
2
h
< 1
2

2
2
which always happens if < 0.

The Trapezoidal method is unconditionally stable.
()
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Performing the same analysis for Backward Euler, the stability
condition is:

1

|Q(h)| =
< 1,
1 hj
For complex eigenvalues, j = + i, this translates to
1
< 1,
(1 + h)2 + (h)2
which always happens when < 0.
The Backward Euler method is also unconditionally stable.
()
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Actually, we can say something more about theses implicit

methods.
Definition (Superstability)
A numerical method is called superstable if
lim
()
|Q(h)| < 1.
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For the Trapezoidal method,

1

lim |Q(h)| = lim
h
h 1 +
1

2 h

1

2 h
lim

1/2

1/2
| {z }
=1
Lhospitals rule
NOT superstable
For the Backward Euler method,

lim
|Q(h)| =

1

=0
h 1 h
lim
()
Superstable
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Plots of the amplification
factor,
Q(h) =
1 12 h
1+ 12 h
for the Trapezoidal method

and
Q(h) =
1
1h
for Backward Euler.

Backward Euler is superstable.
()
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Finite Difference Methods for Boundary Value Problems

Application: Stationary heat conduction
T (x ) = temperature in a bar
(K)
Q(x ) = heat production
(J/m3 s)
= heat condition coefficient
Model equation
d 2T
= Q(x ),
dx 2
T (0) = T0 ,
0 < x < L,
T (L) = TL
Alternatively, we could give the heat flow at one end:
A
()
dT
(L) = AqL .
dx
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General second order boundary value problem (BVP):

(p(x )y 0 )0 + r (x )y 0 + q(x )y = f (x ),
xL < x < xR
a0 y (xL ) + a1 y (xL ) = cL
b0 y (xR ) + b1 y 0 (xR ) = cR
where p(x ) > 0 and q(x ) > 0.
()
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Note: We have a nonunique solution if
a0 = b0 = 0,
q(x ) = 0
(p(x )y 0 )0 + r (x )y 0 = f (x ),
xL < x < xR
a1 y (xL ) = cL
b1 y 0 (xR ) = cR
Non-uniqueness means the equation is not well-posed.
()
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Possible boundary conditions

a0 y (xL ) + a1 y 0 (xL ) = cL
b0 y (xR ) + b1 y 0 (xR ) = cR
Dirichlet: a0 y (xL ) = cL a1 = 0
Neumann: b1 y 0 (xR ) = cR b0 = 0
Robin: a0 6= 0, b0 6= 0 (linear combination of Dirichlet &
Neumann)
()
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Begin with the easy case: r (x ) = 0, p(x ) = 1, and Dirichlet

BC.
y 00 + q(x )y = f (x ),
xL < x < xR ,
y (xL ) = y (xR ) = 0
Take xL = 0 and xR = 1.
()
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Step 1
Subdivide the domain, [xL , xR ] = [0, 1] into N + 1 equal

elements:
h=
()
xR xL
1
Domain length
=
=
=h
Number elements
N +1
N +1
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Step 2
Define the nodal points as

xj = xL + jh,
j = 0, . . . , N + 1
which gives
xj = jh,
j = 0, . . . , N + 1
Note: x0 = xL = 0 and xN+1 = xR = 1
()
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Step 3
Discretize the equation, y 00 + q(x )y = f (x ).

Denote yj = y (xj ), qj = q(xj ), fj = f (xj ).
Need to approximate y 00 (x )
Choose 2nd order divided difference
yj00
()
wj+1 2wj + wj1

.
h2
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Step 3
The approximation to the equation, y 00 + q(x )y = f (x ),

becomes
()
1
(wj+1 2wj + wj1 ) + qj wj = fj
h2
w0 = wN+1 = 0
j = 1, . . . , N
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Plug in j = 1 :
1
(w2 2w1 + w0 ) + q1 w1 = f1
|{z}
h2
=0
()
1
2 (w2 2w1 ) + q1 w1 = f1
h
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Plug in j = N :
1
(wN+1 2wN + wN1 ) + qN wN = fN
h2 | {z }
=0
()
1
(2wN wN1 ) + qN wN = fN
h2
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Plug in j = 2, . . . , N 1 :
1
(wj+1 2wj + wj1 ) + qj wj = fj
h2
To solve this, we rewrite as a linear system:

Aw = f
where A is a N N matrix and w and f are vectors of length N
()
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Step 4
To find the form of A, write all the equations together

1
(2w1 w2 ) + q1 w1 = f1 ,
h2
1
(wj+1 2wj + wj1 ) + qj wj = fj ,
h2
1
2 (wN1 2wN ) + qN wN = fN ,
h
()
j =1
j = 2, . . . , N 1
j = N.
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Aw = f
with
A=
where
w=
()
w1
w2
wN1
wN
1
K +M
h2
f1
f2
f=
fN1
fN
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A=
1
K +M
h2
where
M = diag(q1 , q2 , . . . , qN )
and K is a tri-banded symmetric diagonal matrix
K =
()
2
1
0
0
0
1 0
0 0
2 1 0 0
1 2 1 0

0 1 2 1
0
0 1 2
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Example
Example
Consider the boundary value problem
y 00 (x ) = sin(x ),
y (0) = 0,
x [0, ],
y () = 0.
Determine the exact solution. Determine the numerical solution

w with N = 2. Compute y w.
()
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Example
Exact solution
We can integrate twice to determine the exact solution:

y 00 (x ) = sin(x )
y 0 (x ) =
sin(x ) dx = cos(x ) + C1
y (x ) =
(cos(x ) + C1 ) dx = sin(x ) + C1 x + C2 .
Plugging in the boundary values:

y (x = 0) = y (0) = sin(0) + C1 0 + C2 = 0,
y (x = ) = y (pi) = sin() + C1 + C2 = 0,
gives C1 = C2 = 0. So that the exact solution is
y (x ) = sin(x ).
()
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Example
Step 1: Subdivide the domain
In this case, xL = 0 and xR = .

We need to subdivide the domain using N = 2 :
h=
xR xL
=
= .
N +1
3
3
So that
h=
()
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Example
Step 2: Nodal Points
Now, we can define the nodal points. These are defined as

xj = xL + jh,
j = 0, . . . , N + 1
In this case, we have
xj = j ,
3
j = 0, . . . , 3
Or,
x0 = 0,
()
x1 =
,
3
x2 =
2
,
3
x3 = .
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Example
Step 3: Discretize Equation
Now, we must discretize the equation,

y 00 (x ) = sin(x ).
To do so, we need to approximate the second derivative, y(x).
Let us choose central differences,
y 00 (x )
()
1
(wj+1 2wj + wj1 )
h2
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Example
The discretized equation is then
1
(wj+1 2wj + wj1 ) = sin(xj ),
h2
j = 0, . . . , 3
with boundary conditions

w0 = 0,
()
w3 = 0.
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Example
Let us be more exact: for j = 1 we have
1
(w2 2w1 + w0 ) = sin(x1 ),
h2
with w0 = 0 and sin(x1 ) = sin
. Thus, we can write this as
h2 .
3

(2w1 w2 ) = sin
()
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Example
For j = 2 we have
1
(w3 2w2 + w1 ) = sin(x2 ),
h2
with w3 = 0 and sin(x2 ) = sin
2
3
. Then this becomes
2
(2w2 w1 ) = sin
h2
3

()
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Example
Step 4: Matrix Equation
We then have the system of equations

Aw = f
where
"
w=
()
w1
w2
"
f=
sin 3
sin 2
3
#
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Example
Step 4: Matrix Equation
A is a 2 2 matrix:
"
A=
2 1
1 2
So that we need to solve

"
()
2 1
1 2
#"
w1
w2
"
sin 3 h2
2
sin 2
3 h
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Example
Step 5: The approximation
The approximation is then

"
w1
w2
1
=
3
"
2 1
1 2
#"
sin 3 h2
2
sin 2
3 h
0.9497
0.9497
Plugging in h = 3 , we have
"
()
w1
w2
"
3
2
3
2
2
3
2
3
#
"
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Example
Step 6: The errors
Thus we have
y=
y0
y1
y2
y3
0
sin

3
=
sin 2
3
=
3
The error is then
yw =
()
y0
y1
y2
y3
w0
w1
w2
w3

3

2
=

23
0
0

0.9497
0.0837
0.9497 0.0837
22 October 2012
53 / 54
Material addressed
Review
Application of methods
Truncation error
()
Material in book:
Chapter 6, Sections 9-10
Chapter 7, Sections 1-2
Useful exercises:
Ch 6: 1-11; Ch7: 2a, 3
22 October 2012
54 / 54

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Lecture 8:

Stiff systems and Finite Differences

Stiff systems and Finite Differences

Stiff Differential Equations

Finite Difference Methods

Stiff systems and Finite Differences

Global vs. Local Truncation Error

The global truncation error is related to the local truncation

Stiff systems and Finite Differences

Higher Order Methods

The 4th order Runge-Kutta scheme is:

Stiff systems and Finite Differences

Higher Order Methods

This is a 4th order method, n+1 O(h4 ).

Stiff systems and Finite Differences

Numerical methods for systems are derived similar to the scalar

is a vector of length k (as is g(t)) .

Stiff systems and Finite Differences

Euler forward for systems is written as:

wn+1 = wn(j) + hf (i) (tn , wn(1) , wn(2) , . . . , wn(k) ),

Stiff systems and Finite Differences

Backward Euler can be written as

Stiff systems and Finite Differences

The application of single-step methods to ODE systems is done

en+1 = y (j) (tn+1 ) wn+1

Stiff systems and Finite Differences

The relation between global and local truncation error depends

This is the coupled global truncation error. Given, A = SS 1 ,

Stiff systems and Finite Differences

For stability of the system, the eigenvalues,

Stiff systems and Finite Differences

For the Euler Forward method, the requirement that

Stiff systems and Finite Differences

Stiff Differential Equations

For stiff equations, consider the equation

Stiff systems and Finite Differences

Stiff Differential Equations

has more influence

Stiff systems and Finite Differences

Stiff Differential Equations

For stiff equations

Stiff systems and Finite Differences

Stiff Differential Equations

Stiff systems and Finite Differences

Stiff Differential Equations

Stiff systems and Finite Differences

Stiff Differential Equations

This is the coupled approximation.

Stiff systems and Finite Differences

Stiff Differential Equations

If A is diagonalizable, then A = SS 1 . Then

Stiff systems and Finite Differences

Stiff Differential Equations

Stiff systems and Finite Differences

Stiff Differential Equations

For stability, we need

Stiff systems and Finite Differences

Stiff Differential Equations

which is the same as

which always happens if < 0.

Stiff systems and Finite Differences

Stiff Differential Equations

Stiff systems and Finite Differences