Chapter 10

Nonlinear
Convection-Dominated
Problems
10.1 Burgers Equation
One-dimensional Burgers equation


Conservative form



0
x
u
x
u
u
t
u
2
2
=
c
c

c
c
+
c
c
v
2
2
2
2
2 2
u 0.5 F ; 0
x
u
x
F
t
u
0
x
u
2
u
x t
u
= =
c
c

c
c
+
c
c
=
c
c

|
|
.
|

\
|
c
c
+
c
c
v
v
Inviscid Burgers Equation
One-dimensional inviscid Burgers equation




Larger values of convect faster and overtake
slower
Multi-valued solution may occur
Postulate a shock to allow the development of
discontinuous solutions
0
x
u
u
t
u
=
c
c
+
c
c
u
u
Inviscid Burgers Equation
Formation of multi-valued solution





The nonlinearity allows discontinuous
solutions to develop
Shock-fitting
a
b
shock
t = t
0
t = t
1
t = t
2
Viscous Burgers Equation
Viscous term reduces the amplitude in
high gradient regions
Prevents multi-valued solutions from
developing (second derivative increases
faster than first derivative)

t = t
0
t = t
1
t = t
2
10.1.2 Explicit Schemes
FTCS scheme (non-conservative)



FTCS (conservative form)

0
x 2
u u 2 u
x 2
u u u
t
u u
n
1 j
n
j
n
1 j
n
1 j
n
1 j
n
j
n
j
1 n
j
=
A
+

+
A

+ +
+
) ( ) ( v
2
n
1 j
n
j
n
1 j
n
1 j
n
1 j
n
j
1 n
j
u 5 0 F
0
x 2
u u 2 u
x 2
F F
t
u u
.
) (
=
=
A
+

+
A

+ +
+
v
Explicit Schemes
Four-point Upwind Scheme




Truncation errors
O(Ax
2
) if q = 0.5
O(Ax
3
) if q = 0.5

A
+
+
A

= <
A
+
+
A

= >
+ + +
+ +
x 3
F F 3 F 3 F q
x 2
F F
F L 0 u
x 3
F F 3 F 3 F q
x 2
F F
F L 0 u
2 j 1 j j 1 j 1 j 1 j
(4)
x
1 j j 1 j 2 j 1 j 1 j
(4)
x
) (
,
) (
,
Lax-Wendroff Scheme
Inviscid Burgers equation for unsteady one-
dimensional shock flows


Replace temporal derivative by equivalent spatial
derivative (more complicated for nonlinear case)



2
u 0.5 F ; 0
x
F
t
u
= =
c
c
+
c
c
u
F
A
x
F
A
x t
F
x t
u
x
F
A
x
F
u
F
t
u
u
F
t
F
t
F
x x
F
t t
u
2
2
2
2
c
c
= |
.
|

\
|
c
c
c
c
= |
.
|

\
|
c
c
c
c
=
c
c

c
c
=
c
c
|
.
|

\
|
c
c
=
c
c
|
.
|

\
|
c
c
=
c
c
|
.
|

\
|
c
c
c
c
= |
.
|

\
|
c
c
c
c
=
c
c
;
Chain rule
Lax-Wendroff Scheme
Central-difference discretization








For Burgers equation

2
n
1 j
n
j 2 1 j
n
j
n
1 j 2 1 j
2 1 j 2 1 j
1 j j
n
1 j
n
j
2 1 j
j 1 j
n
j
n
1 j
2 1 j
2 1 j 2 1 j
2 1 j
2 1 j
2 1 j
2 1 j
x
F F A F F A
x x
x x
F F
A
x x
F F
A
x x
x
F
A
x
F
A
x
F
A
x
A

=

|
|
.
|

\
|

|
|
.
|

\
|

|
.
|

\
|
c
c
|
.
|

\
|
c
c
= |
.
|

\
|
c
c
c
c
+ +
+

+
+
+
+

+
+
) ( ) (
/ /
/ /
/ /
/ /
/
/
/
/
u u 5 0 A & u u 5 0 A u A
1 j j 1/2 j 1 j j 1/2 j
) ( . ) ( .
+ +
+ = + = =
Lax-Wendroff Scheme
Temporal derivative



Inviscid Burgers equation

Rearrange


2
n
1 j
n
j 2 1 j
n
j
n
1 j 2 1 j
n
j
1 n
j
n
j
1 n
j
2
2
n
j
1 n
j
x
F F A F F A
2
t
t
u u
x
F
A
x 2
t
t
u u
t
u
2
t
t
u u
t
u
A

|
.
|

\
|
A
+
A

=
c
c
c
c A
+
A

~
c
c A
+
A

~
c
c
+ +
+
+ +
) ( ) (
) (
/ /
0
x 2
F F
x
F F A F F A
2
t
t
u u
x
F
t
u
n
1 j
n
1 j
2
n
1 j
n
j 2 1 j
n
j
n
1 j 2 1 j
n
j
1 n
j
=
A

+
A

|
.
|

\
| A
+
A

=
c
c
+
c
c
+ + +
+
) ( ) (
/ /
| | ) ( ) ( . ) ( .
/ /
n
1 j
n
j 2 1 j
n
j
n
1 j 2 1 j
2
n
1 j
n
1 j
n
j
1 n
j
F F A F F A
x
t
5 0 F F
x
t
5 0 u u
+ + +
+

|
.
|

\
|
A
A
+
A
A
=
Lax-Wendroff Scheme
Linear pure convection equation



Nonlinear - inviscid Burgers equation


Equivalent two-stage algorithm (more economical)

| | ) ( ) ( . ) ( .
/ /
n
1 j
n
j 2 1 j
n
j
n
1 j 2 1 j
2
n
1 j
n
1 j
n
j
1 n
j
F F A F F A
x
t
5 0 F F
x
t
5 0 u u
+ + +
+

|
.
|

\
|
A
A
+
A
A
=
) ( . ) ( .
) ( . ) ( .
n
1 j
n
j
n
1 j
2 n
1 j
n
1 j
n
j
1 n
j
n
1 j
n
j
n
1 j
2
n
1 j
n
1 j
n
j
1 n
j
T T 2 T C 5 0 T T C 5 0 T T
T T 2 T
x
t u
5 0 T T
x
t u
5 0 T T
+ +
+
+ +
+
+ + =
+
|
.
|

\
|
A
A
+
A
A
=

A
A
=

A
A
+ =
+
+
+ + +
) (
) ( . ) ( .
*
/
*
/
*
/
2 1 j 2 1 j
n
j
1 n
j
n
j
n
1 j
n
1 j
n
j 2 1 j
F F
x
t
u u
F F
x
t
5 0 u u 5 0 u
Burgers Equation
Thommens extension of Lax-Wendroff
scheme for viscous flow problems





Error in textbook
Stability limit
2
n
1 j
n
j
n
1 j 2 1 j 2 1 j
n
j
1 n
j
n
2 j
n
1 j
n
j
n
1 j
n
j
n
1 j
n
j
n
1 j
n
1 j
n
j 2 1 j
x
t
s where
u u 2 u s F F
x
t
u u
u u 2 u 5 0 u u 2 u 5 0 s 5 0
F F
x
t
5 0 u u 5 0 u
A
A
=

+ +
A
A
=
+ + + +

A
A
+ =
+ +
+
+ + +
+ + +
v
) ( ) (
)] ( . ) ( . [ .
) ( . ) ( .
*
/
*
/
*
/
) /( ) ( x A 2 x t or x 2 t A t
2 2 2
A + A s A A s + A A v v
10.1.3 Implicit Schemes
Burgers equation (viscous)
Crank-Nicolson implicit formulation



Thomas algorithm for tridiagonal matrices
cannot be used directly due to the appearance
of nonlinear implicit term
Use Taylor series expansion of at n
th
time-
level to convert to tridiagonal form

2
xx x
n
j
1 n
j
1 n
j
1 n
j
n
j xx
1 n
j
n
j x
1 n
j
x 1 2 1 L x 2 1 0 1 L u u u
u u L 5 0 F F L 5 0
t
u
A = A = = A
+ + + =
A
A
+ +
+ +
+
/ ) , , ( ), /( ) , , ( ,
) ( . ) ( . v
1 n
j
F
+
1 n
j
F
+
Crank-Nicolson Scheme
Taylor-series expansion (linearlization of F)






Linear tridiagonal system (in terms of Au or u)


n
j
n
j
2 1 n
j
n
j
1 n
j
n
j
2
2
2
n
j
n
j
1 n
j
u
u
F
A t O u A F F
or
t
F
t 5 0
t
F
t F F
=
(

c
c
= A + A + =
+
(

c
c
A +
(

c
c
A + =
+ +
+
), (
.
| |
n
j xx
n
j
1 n
j xx
1 n
j
n
j x
1 n
j
1 n
j
n
j xx
1 n
j
n
j
n
j x
1 n
j
u L 5 0 u u L u u L t 5 0 u
or u u L 5 0 u u F 2 L 5 0
t
u
v v
v
. ) ( .
) ( . ) ( .
+ = A +
+ + A + =
A
A
+ + +
+ +
+
Crank-Nicolson Scheme
Thomas algorithm








The matrix coefficients must be reevaluated at every
time step (to recover nonlinearity of the equation)
Truncation error O(At
2
, Ax
2
)
Unconditionally stable in Von Neumann sense (linear)

+ + =

A
A
=
+ =

A
A
=
= + +
+
+

+
+
+ +

n
1 j
n
j
n
1 j
n
j
n
1 j
n
j
n
j
n
1 j
n
j
n
j
1 n
1 j
n
j
1 n
j
n
j
1 n
1 j
n
j
su 5 0 u s 1 su 5 0 d
s 5 0 u
x
t
25 0 c
s 1 b
s 5 0 u
x
t
25 0 a
d u c u b u a
. ) ( .
. .
. .
Generalized Crank-Nicolson
Mass operator and four-point upwind








Truncation error O(At
2
, Ax
2
)

A
+
=
A
+
+
A

= >
=
+ + A + =
|
|
.
|

\
|
A
A
+
+ +
+ +
+
2
n
1 j
n
j
n
1 j n
j xx
1 j j 1 j 2 j 1 j 1 j (4)
x
x
1 n
j
n
j xx
1 n
j
n
j
n
j
4
x
1 n
j
x
x
u u 2 u
u L
x 3
F F 3 F 3 F q
x 2
F F
F L 0 u
2 1 M
u u L 5 0 u u F 2 L 5 0
t
u
M
) (
,
), , , (
) ( . ) ( .
) (
o o o
v
Generalized Crank-Nicolson
Quadridiagonal system of equations can be
solved using generalized Thomas algorithm

+ + + + =
+
A
A
=
+
A
A
+ =
+
A
A
+ =
A
A
=
= + + +
+
+

+
+
+ +

n
1 j
n
j
n
1 j
n
j
n
1 j
n
j
n
j
n
j
n
1 j
n
j
n
2 j
n
j
n
j
1 n
1 j
n
j
1 n
j
n
j
1 n
1 j
n
j
1 n
2 j
n
j
u s 5 0 u s 2 1 u s 5 0 d
s 5 0 u
x
t
6
q
25 0 c
s 2 u
x
t
q 5 0 1 b
s 5 0 u
x
t
q 5 0 25 0 a
u
x
t
6
q
e
d u c u b u a u e
) . ( ) ( ) . (
. ) . (
.
. ) . . (
o o o
o
o
o
Artificial Dissipation
Crank-Nicolson with additional dissipation
For small values of viscosity (high-Re), it is
desirable to add some artificial dissipation


Modified Crank-Nicolson



Choose v
a
empirically

) ( .
1 n
j
n
j xx a
F F tL 5 0
+
+ A v
| |
n
j xx
n
j x
1 n
j
n
j xx a
1 n
j xx
1 n
j
n
j
4
x
1 n
j x
u tL 5 0 u M
u u tL u L u u L t 5 0 u M
A + =
A A +
+ + + +
v
v v
.
) ( ) ( .
) (
10.1.4 BURG:
Numerical Comparison
Propagation of a shock wave governed by
viscous Burgers equation


Exact solution
0 t x u 0 1 t x u s B.C.
x x 0 , 0
0 x x , 1
0 x u x u
max
0
= =

s <
s s
= =
) , ( , . ) , (
) , ( ) (
max max
max
v

1

t
x 5 0
d u t x G

d e
d e
t
x
u
0
2
0
G 5 0
G 5 0
=

+ ' ' =

=
}
}
}

Re ;
) ( .
) ( ) , ; (
Re .
Re .
Burgers Equation
BURG: Numerical Comparison
ME = 1, FTCS scheme
ME = 2, two-stage Lax-Wendroff scheme
ME = 3, Explicit four-point upwind scheme
ME = 4, Crank-Nicolson (CN-FDM): o = 0, q = 0
ME = 4, Crank-Nicolson (CN-FEM): o = 1/6, q = 0
ME = 4, Crank-Nicolson, Mass Operator (CN-MO): o = 1/12, q = 0
ME = 4, Crank-Nicolson, 4-pt. Upwind (CN-4PU): o = 0, q = 0.5
ME = 5, Crank-Nicolson plus additional dissipation

Note: Optimum o and q (locally freezing nonlinear coefficients)

2
j
opt
2
j
opt
x
t u
4
1
2
1
q
x
t u
12
1
6
1
|
|
.
|

\
|
A
A
+ =
|
|
.
|

\
|
A
A
+ = o
Burgers Equation
Burgers Equation
Propagating Shock Solution
R
cell
= 1.0, C = 0.25
Burgers Equation: Propagating Shock
R
cell
= 100, C = 1.0
R
cell
= 3.33, C = 1.0
Velocity distribution at t = 2.0; R
cell
= 100
10.2 Systems of Equations
Continuity equation
Momentum equations
Energy equation
Equation of state (compressible flows)
Turbulent kinetic energy equation
Rate of turbulent energy dissipation equation
Reynolds stresses equations
Multiphase flows
Chemical reactions

Systems of Equations
1D unsteady compressible inviscid flow
Continuity equation, x-momentum equation,
energy equation

v
p
2
2
2
C
C
;
u u 5 0
1
p
p
u
u
F ;
u 5 0
1
p
u q
0
x
F
t
q
=
|
|
|
|
|
|
|
.
|

\
|
+

+ =
|
|
|
|
|
|
.
|

\
|
+

=
=
c
c
+
c
c

) . (
.
) (

Two-Stage Lax-Wendroff
Single equation



System of equations

A
A
=

A
A
+ =
+
+
+ + +
) (
) ( . ) ( .
*
/
*
/
*
/
2 1 j 2 1 j
n
j
1 n
j
n
j
n
1 j
n
1 j
n
j 2 1 j
F F
x
t
q q
F F
x
t
5 0 q q 5 0 q

A
A
=

A
A
+ =
+
+
+ + +
) (
) ( . ) ( .
*
/
*
/
*
/
2 1 j 2 1 j
n
j
1 n
j
n
j
n
1 j
n
1 j
n
j 2 1 j
F F
x
t
u u
F F
x
t
5 0 u u 5 0 u
Lax-Wendroff Scheme with
Artificial Viscosity
Continuity equation
X-momentum equation
Energy equation
Crank-Nicolson Scheme
System of equations


Linearization



33 block tridiagonal system (solved by block
Thomas algorithm)
| | ) ( ) ( .
1 n
1 j
1 n
1 j
n
1 j
n
1 j
n
j
1 n
j
F F F F
x
t
25 0 q q
+

+
+ +
+
+
A
A
=
q
F
A
q A F F
1 n n 1 n

c
c
=
+ A + =
+ +
(33 matrix)
1 n
j
n
j
1 n
j
n
1 j
n
1 j
1 n
1 j 1 j
1 n
j
1 n
1 j 1 j
q q q
F F
x
t
5 0 q A
x
t
25 0 q I q A
x
t
25 0
+ +
+
+
+ +
+ +

A + =

A
A
= A
A
A
+ A + A
A
A
) ( . . .
Crank-Nicolson Scheme
Use Von Neumann analysis for the
linearized equation


Amplification matrix



Numerical Stability
q
F
A ; 0
x
q
A
t
q

c
c
= =
c
c
+
c
c
u
u
sin .
sin .
A
x
t
i 5 0 1
A
x
t
i 5 0 1
G
A
A
+
A
A

=
m all for 0 1 satisfy G of igenvalues E
m
. s
10.3 Group Finite Element Method
Conventional finite element method introduces
a separation approximate solution (trial
function, interpolation function) for each
dependent variable
Galerkin method produces large numbers of
products of nodal values of dependent
variables, particularly from the nonlinear
convective terms
Inefficient, time-consuming
Group finite element formulation is effective
in dealing with convective nonlinearities
Group Finite Element Method
Group finite element formulation
1. The equations are cast in conservative form
2. A single approximation solution is used for
the group of terms in the differential terms
(i.e., approximate F directly instead of the
nonlinear convective term ucu/cx)

One-dimensional Group Formulation
F F & u u
l
l l
l
l l
= = | |
Group Finite Element Method
One-dimensional Group Formulation






Conventional finite element
) (
) ( .
2
1 j
2
1 j
1 j 1 j
1 j 1 j j x
j xx j x
j
x
u u
x 4
1

x 2
u u
u u 5 0 F L
0 u L F L
dt
du
M
+
+
+

A
=
)
`

+ =
= +
(

v
)
`

A
+ +
=
c
c
+ +
x 2
u u
3
u u u
x
u
u
1 j 1 j 1 j j 1 j
) (
Conservative
form
Non-conservative
form
One-dimensional Burgers equation
Conventional and group FEMs
10.4 2D Burgers Equation
Two-dimensional Burgers equation





Equivalent to 2D momentum equations
for incompressible laminar flow with
zero pressure gradient

|
|
.
|

\
|
c
c
+
c
c
=
c
c
+
c
c
+
c
c
|
|
.
|

\
|
c
c
+
c
c
=
c
c
+
c
c
+
c
c
2
2
2
2
2
2
2
2
y
v
x
v
y
v
v
x
v
u
t
v
y
u
x
u
y
u
v
x
u
u
t
u
v
v
2D Burgers Equation
Exact solution
Use Cole-Hopf transformation


Transform the 2D Burgers equation into one
single equation 2D diffusion equation
u
c
u c

=
u
c
u c

=
y
2
v ,
x
2
u
v
v
0
y x t
2
2
2
2
=
|
|
.
|

\
|
c
u c
+
c
u c

c
u c
2D Burgers Equation
Steady 2D Burgers equation


Exact solution

0
y x
2
2
2
2
=
c
u c
+
c
u c
{ }
{ }
) cos( ] [
) sin( ] [
) cos( ] [
) cos( ] [
) cos( ] [
) ( ) (
) ( ) (
) ( ) (
) ( ) (
) ( ) (
y e e a xy a y a x a a
y e e a x a a 2
v
y e e a xy a y a x a a
y e e a y a a 2
u
y e e a xy a y a x a a
0 0
0 0
0 0
0 0
0 0
x x x x
5 4 3 2 1
x x x x
5 4 3
x x x x
5 4 3 2 1
x x x x
5 4 2
x x x x
5 4 3 2 1

v

v

+ + + + +
+ +
=
+ + + + +
+ +
=
+ + + + + = u
Exact solution for 2D Burgers equation
2D Burgers Equation Exact u
a
1
= a
2
= 1.3*10
13,
a
3
= a
4
= 0, a
5
= 1, = 25, x
0
=1, v = 0.04
2D Burgers Equation Exact v
a
1
= a
2
= 1.3*10
13,
a
3
= a
4
= 0, a
5
= 1, = 25, x
0
=1, v = 0.04
Multidimensional Group FEM
Two-dimensional Burgers equation






Approximate solutions for (u,v), and groups (u
2
, uv, v
2
)
and the components of S
For example (bilinear for rectangular elements)
)
`

+ +
=
= = =
=
|
|
.
|

\
|
c
c
+
c
c

c
c
+
c
c
+
c
c
v v
v
) ( .
,
) ( .
} , { }, , { }, , {
2 2 2 2
2 2
2
2
2
2
v u v 5 0 v u u 5 0
S
v uv G uv u F v u q
0 S
y
q
x
q
y
G
x
F
t
q

=
=
4
1 l
l l
uv uv ) , ( ) ( q |
Galerkin Finite Element
Linear (Chapter 9)


Nonlinear (Group FE formulation)



The equations are treated as linear at the level at which
the discretization take place (but indeterminate)
Substitution for the nodal groups in terms of the unknown
nodal variables introduces the nonlinearity but also makes
the system determinate
S M M q L M L M G L M F L M RHS
RHS
t
q
M M
y x yy x xx y y x x y
k j
y x
+ + + =
=
(

c
c

) (
,
v
k j yy x y xx y x y x x y
k j
y x
T L M L M L vM L uM
t
T
M M
,
,
) [ + + =
(

c
c
o o
Split Schemes
Two-dimensional Burgers equations
Similar to those used in Chapters 8 and 9
Additional complication due to nonlinearity
Generalized FEM/FEM with mass
operators M
x
and M
y
T
y y y y
x x x x
2 1 M
2 1 M
) , , (
) , , (
o o o
o o o
=
=
Pseudo-Transient Formulation
Use pseudo-transient formulation (sect 6.4) for
steady-state solution
For steady-state problems, unsteady formulation
provides an equivalent underrelaxation parameter
for steady iterative schemes
For steady-state solutions, it is desirable to use a
simple time discretization (such as two-level fully
implicit scheme with | = 1) to simplify the
formulation

Pseudo-Transient Formulation
Two-level fully implicit scheme (| = 1)



Linearize the nonlinear terms F, G, and S in
(RHS)
n+1
1 n
1 n
k j
y x
RHS
t
q
M M
+
+
=
(

A
A

+ A + =
+ A + =
+ A + =
+ +
+ +
+ +
q C S S
q B G G
q A F F
1 n n 1 n
1 n n 1 n
1 n n 1 n

Pseudo-Transient Formulation
Linearization (Jacobian matrices A, B, C)






Approximate Factorization


(

+
+
|
.
|

\
|
=
c
c
=
(

=
c
c
=
(

=
c
c
=
)
`

+ +
=
= = =
) (
) ( .
) ( .
,
) ( .
}, , { }, , { }, , {
2 2
2 2
2 2 2 2
2 2
v 3 u uv 2
uv 2 v u 3 5 0
q
S
C
v 2 0
u v
q
G
B ,
u v
0 u 2
q
F
A
v u v 5 0 v u u 5 0
S
v uv G uv u F v u q
v
v v
*
, ,
*
,
)] . ( [
) ( )] . ( [
k j
1 n
k j y yy y y
n
k j x xx x x
q q C M 5 0 L B L t M
RHS t q C M 5 0 L A L t M
A = A A +
A = A A +
+
v
v
Pseudo-Transient Formulation
Further simplification to reduce CPU time






Use the same left-hand-side for each scalar
component
Perform only one factorization (BANFAC) for
different components
Does not affect the steady-state solution since
(RHS)
n
= 0 in the steady state limit
(

|
|
.
|

\
|
+
~
(

~
(

~
1 0
0 1
v u
C
,
1 0
0 1
v B ,
1 0
0 1
u A
2 2
v
TWBURG: Numerical Solution
Two-dimensional Burgers equations
Steady state solution with the following split algorithm




Solution domain
1s x s 1 , 0 s y s y
max
, y
max
= t/6

Use exact solution for the boundary conditions
Initial conditions obtained from linear interpolation of
the boundary condition in the x-direction
*
, ,
*
,
)] . ( [
) ( )] . ( [
k j
1 n
k j y yy y y
n
k j x xx x x
q q C M 5 0 L B L t M
RHS t q C M 5 0 L A L t M
A = A A +
A = A A +
+
v
v
Computer Program - TWBURG
Approximate Factorization
Error Distributions at y/y
max
= 0.4