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AND
H. H. RACHFORD, JR.
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29
(1)
02T
02T
cOT
OX
Oy
Ot
where T is the temperature, x and y are the distances from the center of the
square in the two perpendicular directions, and is the time. The boundary
conditions are
Ix= 1,
(2)
Ix
T=0.
--1,
0.
ly= 1,
T=0.
[,y
--1,
0.
(3)
t=0,
T= 1.
(4)
OT
Ox
-0.
x: 1,
T=O.
[y =0,
-0.
1,
T=0.
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30
D. W. PEACEMAN AND H. H.
T,.,,,+- T,.,,,
T_,.,,
RACHFORD
JR.
()
T,_,
2T,,
(Ay)
(6)
(ax)
(ay)
At
At
(7)
T,,+
T,+,.
4T,,].
(8)
e,,.+
e.,
_1 [ei_,,.
P
e,i,
e,i-,
e,i+,
4e,,].
Because e obeys both the difference equation (8) and the boundary conditions (4), it may be expanded in a finite double series of orthogonal functions that also satisfy both the difference equation (8) and the boundary
conditions, namely
--1
1o)
or
A,q,n
For stability, this ratio must have an absolute value less than or equal to
unity for all p and q. This requires that
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(12)
--1<1
< 1.
(13)
-> 4.
At <
(14)
(Ax)
1
4N "
Thus, a total of 4Nt time steps are required to calculate the solution to
time t. Since 7 arithmetic operations are required for each of the N points
at each time step, a total of 28 N4t operations is necessary for the complete
solution. For example, if it is desired to carry out the solution to time
1.5, when T is everywhere less than 0.001,420,000 operations are required for a ten-by-ten net; the situation rapidly becomes worse for a finer
mesh,.
It has been shown [4] for the heat flow equation in one dimension that
the restriction on the size of At arising from stability can be removed by
the use of .an implicit procedure in which the second derivatives are approximated by second differences evaluated in terms of the unknown temperatures, Tn+l. An extension of this idea to the problem in two dimensions
yields the following equation:
(15)
At
1+4(sinhx; + sinks)"
2
For all values of p, this ratio has an absolute value less than unity, so that
the procedure is stable for all size time steps.
Other stable implicit procedures similar to equation (15) might be proposed. However, they lead to large sets of N linear simultaneous equations
with N: unknowns. In particular, the simultaneous equations that arise
from Equation (15) may be written as follows:
(17)
T_,.,+
--
T,.+I,.+I
-pT,,,,
(0
<= n <= N-
1).
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RACHFORD
JR.
T(m/l)
rp(m)
rrr(m+l)
(18)
rr(m-{-1)
r/(m)
TCm)
,.-+1.,+1
(4 -{- p) TCm)
,.i.,,+ -{"
2u
(19)
where
(20)
- --
+ p)a+ 1
(4
2 cos
4N
K*
(4 -t- p)
1.
(22)
(23)
-K*
(21)
(8p
p2
..}_
47r2/N2)l/2
(8p
+ p)
(24)
v/log0 (l/K*).
-,
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33
7vN/logo (l/K*)
operations are required for each time step.
In any case where an implicit procedure is used, p will be considerably
less than 4, inasmuch as the explicit procedure may be used for p => 4. As
a minimum estimate of the number of iterations required, we may consider the case of p
1, with N sufficiently large that the term containing
it may be ignored. Then K*
0.25, and 5 cycles of iteration are required
to reduce the errors by a factor of 10 For larger time steps, corresponding
to smaller values of p, more cycles of iteration are required.
-.
(x)
(25)
T...+
T..+:
(6)
+ T.-I.
at
T_..:+
2T..:,+
(x)
T._.+
2T..
Ti..+.
(Ay)
T+..+
2T..:+:
T.+.+
(ny)
These equations may be arranged in the following form, more suitable for
calculation.
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(28)
D. W. PEACEMAN AND H.
Ti,i-l,2n+2
(2
RACI-IFORD, JR.
(29)
ArTr_l
BoTo CoT
BrTr -t- CrTr+
Do,
Dr
(1 __< r -< N
2),
Dv-1.
(30)
(31)
{w0
B0,
br-
Cr
(1 -< r
(0
Wr
=< N-
1),
and
g0--
(32)
Do
00
gr--
Wr
The solution is
(33)
A,q,[-2 costqAy + (2
A,q,n+l[-2 cosAx + (2
p)]
p)].
If equation (27) were used for every time step, the amplification factor for
each step would be
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A,,q,2n+l
Ap,q,2n
(36)
p
p
35
4 sin (q Ay/2)
4 sin (Ax/2)
For some values of p, q, and p, this ratio has an absolute value considerably
greater than unity. Hence, such a procedure is highly unstable. When
equations (27) and (28) are used alternately, however, the amplification
factor for the two-step procedure is
(37)
A p,
,2n+2
Ap,q,2n
p
p
4 sin (fAx/2)
p
Xp
4 sin (fl,Ax/2)
4 sin (qAy/2)
4 sin (qAy/2)
This ratio has an absolute value less than unity for all p, q, and p. Note that
it is necessary that p and, therefore, At, be the same for two time steps.
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36
D.
PEACEMAN AND H. H.
RACHFORD
JR.
1.5. The exact solution was calculated by the series given in Carslaw and
was 0.0042 at
0.1. It may be
seen that this error is due to truncation by repeating the calculation with
a smaller value of zt and comparing the errors. First, the exact solution at
0.06 was taken for the initial condition, and the solution at
0.1
was calculated in two steps using At
0.02. The maximum error was
0.0032. Then, with the same initial condition, the solution at
0.1 was
calculated in ten steps, using At 0.004. The maximum absolute error in
this case was only 0.0004.
It is possible to make an exact comparison between the labor involved
in using the alternating-direction implicit method for the solution of this
problem and that which would have been involved if either the explicit
method or the implicit method with iteration had been used. Since 36
time steps were used, the alternating-direction method required approximately (36)(9)(14)
63,500 arithmetic operations. The explicit procedure
would have required about 28(14)4(1.5)
1,610,000 operations, or about
25 times as much work. The implicit procedure, with extrapolated Liebmann iteration, would have required for each of the 36 time steps the
number of iterations, 7, shown in Table 1, or a total of 326 iterations. This
implicit procedure, then, would have required about (326) (7) (14)2
447,000 arithmetic operations, or about seven times as much work.
LAPLACES EQUATION
In this section, the numerical solution of steady-state heat flow and
diffusion problems in two dimensions is discussed. The typical problem
considered here is that of determining the temperature distribution in a
square in which two opposite faces are at zero temperature while the remaining two faces have a temperature of unity. Because of symmetry, it is
SOLUTION OF
TABLE 1.--Time Steps Used in the Solution of the Heat Flow Problem.
No. of times used
0.001
.002
.003
.005
:01
.02
.03
.05
.1
.25
6
4
2
4
2
4
2
4
6
2
5 .102
2 .551
.701
.020
0.5102
0.2551
0.1701
0.1020
0.05102
0.02041
3
3
4
5
7
9
11
13
17
21
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37
OT. OT
(38)
The boundary conditions are
OT
x=O,
(39)
Ox
-0
x=l,
T=O
y =0,
OT
-0
Oy
y-l,
T-1.
(40)
Ti-l,j
T,+- 4Ti,
Ti,_
T+I,j
(41)
(42)
K*
-/N
4
/N.
(43)
2.3vN/r.
Iteration by alternating-direction implicit method. The alternatingdirection implicit method may also be used to iterate to the solution of
Laplaces equation. In this case, each stage of iteration may be regarded
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38
RACHFORD
JR.
(44)
4 sin
x
2
4 sin
(2p
+ 1)Tr
4N
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39
+
+
p
4 sin
p -[- 4 sin
4 sin (2p+1
p
4 sin ((2p + 1) /4N)
1) r/4N)
4 sin (2p+1
p
((2p + 1)r/4N)
1)r/4N)
where p is the iteration parameter associated with that group. It is thus
possible to group the ps in such a way that every component is acted upon
at least once by an amplification factor whose magnitude is less than or
equal to some quantity, R. To have as few groups as possible, and therefore
the minimum number of iterations, p, p+, and p for each group must
satisfy the following relationship:
p
p
+ 4 sin
(45)
p
p
1) r/4N)
4 sin ((2p
4 sin ((2p, -{- 1)r/4N)
R.
It is assumed, for purposes of setting up the groups, that p, may have nonintegral values. By eliminating p from equation (45), we have for each
group,
(46)
sin
(11 + RR)
sin
(2p,
+ 1)
4N
(47)
sin
4N
sm
4--"
For large N,
(48)
(49)
log N
2R
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40
D, W,
PEACEA.N" AND I. H,
RACHFORD
0
1
2
3
4
5
6
0.012576
0.11223
0.30655
0.58579
0.93596
1.3394
1.7761
2.2239
2.6606
3.0642
3.4142
3.6935
3.8878
3.9874
8
9
10
11
12
13
JR.
14.
0.40571
04546
01664
.008710
005451
003809
.00287
.00229
.00192
.00166
.00149
.00138
.00131
.00128
(50)
1 -x
2 --x--y
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41
log N
3.8 log N,
log 14
and the total work to be about (3.8 log N)(9)N or 34N log N operations.
The extrapolated Liebmann method requires 15N operations, so that the
new method is better by a factor of about N/(2 log N) over the next best
iterative method.
Since this paper was submitted, several examples involving more complex regions and less simple boundary conditions have been solved by means
of the alternating-direction-implicit method [7]; however, no proofs of the
validity of the procedure in these cases have been obtained.
10
REFERENCES
1. Bruce, G. H., Peaceman, D. W., Rachford, H. H., and Rice, J. D., Calculation of
unsteady-state gas flow through porous media, Trans. Amer. Inst. Mining
and Met. Engrs. 198(1953), p. 79.
2. Carslaw, H. S., and Jaeger, J. C., Conduction of Heat in Solids, 1st ed., p. 152,
Oxford University Press, London, (1948).
3. Frankel, S. P., Convergence rates of iterative treatments of partial differential equations, Mathematical Tables and Other Aids to Computation, 4 (1950), pp.
65-75.
4. OBrien, G. G., Hyman, M. A., and Kaplan, S., A study of the numerical solution of
partial differential equations, J. Math. Physics, 29 (1951), pp. 223-251.
02u/Oy
5. Douglas, J., Jr., On the numerical integration of Ou/Ox
Ou/Ot by implicit methods, this journal, 3 (1955), pp. 42-65.
6. Douglas, J., Jr., and Gallic, T. M., Jr., Variable time steps in the solution of the
heat flow equation by a difference equation, submitted to Proc. Amer. Math.
7. Douglas, J., Jr., and Peaceman, D. W., Numerical solution of two-dimensional heat
flow problems, to be presented at the May, 1955 meeting of The American
Institute of Chemical Engineers at Houston, Texas.