Structural Analysis and CAD

Numerical dissipation in time-step integration algorithms for structural dynamic analysis

T C Fung School of Civil and Environmental Engineering, Nanyang Technological University, Singapore

Summary
To damp out spurious high-frequency responses, time-step integration algorithms for structural dynamic analysis should have controllable numerical dissipation in the high-frequency regime. The algorithms should also be unconditionally stable so that the time-step size is governed by the accuracy requirement only. This paper reviews several recently developed frameworks that can be used to construct unconditionally stable dissipative time-step integration algorithms. The continuous displacement (single-field) formulations are considered here. The algorithmic parameters that can be used to control the numerical dissipation in time-step integration algorithms are also discussed.

Key words: algorithmic damping; unconditional stability; higher order algorithms; single-field/displacement formulation; approximations generalized Pade Prog. Struct. Engng Mater. 2003; 5:167180 (DOI: 10.1002/pse.149)

1 Introduction
After appropriate spatial discretization (for example, by finite difference or finite element methods), the equations of motion for structural dynamic problems are second-order ordinary differential equations in time. Time-step integration algorithms are widely used to obtain the time history of the transient responses. Different types of time-step integration algorithms can be found in the textbooks by Wood[1], Hughes[2], Zienkiewicz & Taylor[3], Hairer, Nrsett & Wanner[4], Hairer & Wanner[5] and the two survey papers by Dokainish & Subbaraj[6,7].

1.1 NUMERICAL
RADIUS

DISSIPATION AND SPECTRAL

For structural dynamic problems, there are advantages if a step-by-step time integration algorithm includes algorithmic damping, as the spatial resolution of the high-frequency modes is poor when using standard finite differences/finite elements to discretize the spatial domain. The algorithmic damping (or numerical dissipation) in the high-frequency range could help to damp out the spurious high-frequency responses. Besides, it has been found that the algorithmic damping in the high-frequency range can improve the
Copyright & 2003 John Wiley & Sons, Ltd.

convergence of iterative equation solvers in nonlinear problems. Also, algorithmic damping is helpful in solving problems involving constraints, e.g. contact. Hence, it is desirable for an algorithm to have controllable numerical dissipation in the highfrequency range. In other words, the low-frequency responses should be preserved while the highfrequency responses should be damped in a controllable way. The dissipation can be measured by the spectral radius (which is defined as the largest magnitude of the eigenvalues of the numerical amplification matrix). Some typical spectral radius plots are shown in Fig. 1. Wood[1] suggested that the curve of the spectral radius against Dt/T (where T is the undamped natural period and Dt is the time step) should stay close to unity level as long as possible and should decrease to about 0.50.8 as Dt/T tends to infinity. The corresponding spectral radius as Dt/T ! 1 is known as the ultimate spectral radius, and will be denoted by m in this paper. In the extreme case, the ultimate spectral radius approaches zero so that the highfrequency responses are eliminated in one time step. This property is known as asymptotic annihilation. The most well-known asymptotically annihilating algorithm is properly the implicit Euler method (or the backward difference method). However, it is inappropriate for structural dynamic problems as it is
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1.0

STRUCTURAL ANALYSIS AND CAD

Newmark (=1/2)
0.9 0.8 0.7 Spectral Radius 0.6 0.5 0.4 0.3 0.2 0.1 0.0 0.01

Gen- (=0.75) HHT (=0.75) Newmark (=9/14, =16/49) Newmark (=4/9, =5/6) Gen- (=0.25) Houbolt & Gen- (=0) Park HHT & Gen- (=0.5)

Newmark (=1, =3/2)

0.1

1 t/T

10

100

Fig. 1 Spectral radii for Newmark, HHT, Generalized a, Houbolt and Park methods

accurate only to first order and is very dissipative in the low-frequency range. The Houbolt method[8] (which can be cast as a three-step linear multi-step method) is more commonly used, but the asymptotic annihilation is achieved at the expense of introducing too much dissipation in the low-frequency range. Hence, smaller time steps are required to achieve the same accuracy as the other commonly used algorithms. Another asymptotically annihilating algorithm is the Park method[9]. However, the use of the Park method may not be so convenient as it is equivalent to a six-step linear multi-step method and a special start-up procedure may be required.

if high accuracy is needed. The higher-order interpolation schemes can also be utilized to perform partial refinement in the integration process[12,13].

1.3 UNCONDITIONAL

STABILITY

1.2 HIGHER

ORDER ACCURACY

It can be shown that both the Houbolt and Park linear methods are multi-step algorithms and are accurate only to second order. In fact, it has been shown that linear multi-step algorithms can achieve only second-order accuracy if the algorithms are to be unconditionally stable[10]. In other words, third and higher order accurate linear multi-step algorithms are only conditionally stable. Algorithms of higher order accuracy give very accurate numerical results and are good for long-term prediction of system responses and preservation of system invariants, (such as energy and momentum). Fast and accurate algorithms are useful for dynamical design, analysis and control of mechanical and structural systems. With higher order algorithms, larger time steps can be used without compromising accuracy. As an alternative to the h-type refinement (decreasing time step), the higher order algorithms can be regarded as the p-type refinement (increasing the order of approximating polynomials). Peters & Izadpanah[11] pointed out that the p-version finite elements in time can be made competitive with conventional time-marching algorithms, particularly
Copyright & 2003 John Wiley & Sons, Ltd.

The numerical stability of an algorithm is also related to its spectral radius. If the spectral radius exceeds unity for some Dt/T, numerical instability with exponentially increasing error may occur when the time integration is carried out with that particular time step Dt. It is therefore desirable for an algorithm to have its spectral radius less than unity for all Dt/T. Such an algorithm is termed unconditionally stable and has no time step restriction (i.e. time steps of any size can be used without introducing numerical instability). The ability in using a large time step is of advantage to structural dynamic problems where the responses are contributed mainly by the low-frequency modes. The time-step sizes need not be too small to resolve the very-high-frequency responses accurately, as long as the algorithm remains numerically stable.

1.4 GENERAL

FRAMEWORKS

Many general frameworks are available for the construction of time-step integration algorithms, for example, via finite difference methods, RungeKutta methods, weighted residual methods, Taylor series collocation methods, Hamiltons principle, Hamiltons law, and least-squares methods[15]. It is relative easy to construct higher order accurate algorithms by employing higher order polynomials for interpolation. However, it is more difficult to ensure that the algorithms are unconditionally stable. It certainly needs more effort to introduce controllable numerical dissipation in the high-frequency regime. It can be verified that a simple application of Hamiltons principle/law or the weighted residual
Prog. Struct. Engng Mater. 2003; 5:167180

TIME-STEP INTEGRATION
method would not give unconditionally stable algorithms[14]. To construct unconditionally stable algorithms, the most commonly used frameworks would transform the second-order equations into an equivalent first-order form. This results in a mixed two-field formulation as the displacement and velocity are treated independently. In other words, the displacementvelocity compatibility is satisfied weakly. Unconditionally stable algorithms can then be easily obtained from the weighted residual method[12,15]. The main disadvantage is that the number of unknowns and bandwidth of the matrices are doubled. Alternatively, conditionally stable algorithms can be stabilized by weakly enforcing the initial conditions[1621]. This gives a discontinuous formulation, and the calculated responses may have discontinuous jumps across two consecutive time steps. In this paper, these special techniques are not considered.

169

2 Equations of motion
The equations of motion for linear structural dynamic problems after spatial discretization by finite element methods can be written as tg Cfu tg Kfutg fFtg Mfu (1) where [M], [C], [K] are the mass, damping and stiffness matrices respectively; {F(t)} is the applied load vector, {u(t)} is the unknown displacement vector which in general is a function of time t, and dots denote differentiation with respect to time t. For transient responses analysis, the initial conditions at 0g fv0 g. t 0 are given by {u(0)} {u0} and fu To investigate the characteristics of a time-step integration algorithm, it is common practice to apply the algorithm to a single-degree-of-freedom system governed by t 2xou t o2 ut f t u (2) where x, o and f are the damping ratio, undamped natural frequency of the system and the (modal) forcing excitation respectively; u(t) is the unknown displacement and the initial conditions at t 0 are 0 v0 . u(0) u0 and u For most one-step integration algorithms, the displacement u1 and velocity v1 at the end of a time step (i.e. when t Dt) can be related to u0 and v0 at the initial time (i.e. when t 0) as ( ) " #( ) ( ) u1 A11 Dt A12 Dt up Dt u0 A21 Dt A22 Dt vp Dt v1 v0 ( ) ( ) u0 up Dt A (3) vp Dt v0 where [A] is the numerical amplification matrix and up and vp are the particular solutions related to the forcing function. To advance a time step, the results at the end of a time step can be used as initial conditions for the next time step. The procedure is repeated until the time domain of interested is covered. Hence, without loss of generality, the investigation can be concentrated on the first time step from t 0 to t Dt. The algorithmic characteristics are determined by the numerical amplification matrix [A]. The accuracy of the algorithm can be measured from the differences between the numerical amplification matrix and the exact amplification matrix. If the leading error terms are of the order of Dtk, i.e. O(Dtk), the order of accuracy for that particular algorithm is k. The stability of the algorithm can be investigated by studying the eigenvalues of the numerical amplification matrix. A plot of the maximum magnitude of the eigenvalues (i.e. the spectral radius) against Dt/T (or oDt in some cases) would reveal the stability characteristics of the algorithm. If the spectral radius exceeds unity when Dt/T exceeds a certain critical value, the algorithm is conditionally stable. In this case, Dt/T should be kept below that critical value
Prog. Struct. Engng Mater. 2003; 5:167180

1.5 ORGANIZATION

OF THE PAPER

The objective of this paper is to review time-step integration algorithms that operate on the governing second-order equations directly. The equations are not transformed into an equivalent first-order form and the initial conditions are incorporated in the approximate solutions directly. Hence, the solutions are continuous across two time steps. The manuscript is organized as follows. In Section 2, the governing equations for linear structural dynamic problems are presented. The Newmark method is discussed in Section 3. In Section 4, several dissipative algorithms accurate to second order are presented. The generalized a-method is found to have good characteristics with controllable numerical dissipation. In Section 5, algorithms accurate to higher order constructed from algorithms accurate to second order are discussed. The complex time-step methods are unconditionally stable and accurate to higher order. Time-step integration algorithms constructed from Hamiltons principle and Hamiltons law are discussed in Section 6. It is shown that unconditionally stable algorithms are possible if the variations are chosen carefully. In Section 7, the weighted residual methods are considered. Again, unconditionally stable algorithms are possible if appropriate weighting functions are chosen. The collocation method is considered in Section 8. It is normally not possible to constructed unconditionally stable algorithms from the collocation method directly. However, if one more residual is included in the formulation, unconditionally stable algorithms become possible. In Section 9, a relatively new differential quadrature method is discussed. A numerical example to illustrate the usefulness of numerical dissipation is given in Section 10. Conclusions are then given in Section 11.
Copyright & 2003 John Wiley & Sons, Ltd.

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to avoid numerical instability. If the spectral radius is less than unity for all Dt/T, the algorithm is unconditionally stable.

STRUCTURAL ANALYSIS AND CAD

frequency numerical dissipation. Some of the well known algorithms include the Wilson y-method[23], collocation method[24], Houbolt method[8], Park method[9], HHT a-method[2526], WBZ a-method[27], BazziAnderheggen r-method[28] and the generalized a-method[29]. All these methods are linear multi-step algorithms and can be re-derived from generalized single-step algorithms[13]. A brief summary of the characteristics of the algorithms is given below. More details can be found in the appropriate references.

3 Newmark method
The Newmark method[22] is probably the most popular algorithm for numerical solutions of structural dynamic problems. The numerical tg solutions {u1} and {v1} approximating {u(t)} and fu respectively at the end of a time step t Dt can be obtained from {u0} and {v0} at the initial time t 0 by fu1 g fu0 g Dtfv0 g Dt2 122b=2fa0 g Dt2 bfa1 g (4a) fv1 g fv0 g Dt1 gfa0 g Dtgfa1 g Mfa0 g Cfv0 g Kfu0 g fFt0 g Mfa1 g Cfv1 g Kfu1 g fFt1 g (4b) (4c) (4d)

4.1 WILSON h-METHOD

The Wilson y-method[23] is a one-parameter algorithm with cubic variation in displacement and differential equation collocation at time (n+y)Dt. The algorithm is accurate to second order, unconditionally stable and dissipative if y51.37. The curve of the spectral radius against Dt/T for y 1.4 decreases initially, but increases again after Dt/T 2.4 owing to the emergence of the real eigenvalues. The spectral radius plot has a cusp and does not decrease progressively. Hence, the mid-frequency responses are subjected to higher algorithmic damping than the high-frequency responses.

where b and g are the algorithmic parameters. The accuracy and stability properties of the Newmark method are well known[13]. The algorithm is unconditionally stable and dissipative if the two algorithmic parameters b and g satisfy the relation 2b5g41/2. To achieve maximal high-frequency numerical dissipation to filter out the spurious high-frequency responses, b (g+1/2)2/4 is recommended. With this b value, the eigenvalues of the numerical amplification matrix are complex conjugates. It can also be shown that the ultimate spectral radius as Dt ! 1 is then given by |12/ (g+1/2)|. However, it can be shown, by comparing the numerical amplification matrix with the exact amplification matrix, that the algorithm is accurate only to first order. For the algorithm to be accurate to second order and unconditionally stable, g 1/2 and b51/4 are required. The algorithm is, however, nondissipative, i.e. the ultimate spectral radius is unity for all b. As a result, the high-frequency dissipation in the Newmark method incurs a loss of accuracy and introduces excessive algorithmic damping in the low-frequency range. It can be shown that the algorithm is unconditionally stable and asymptotically annihilating (i.e. the ultimate spectral radius approaches zero as Dt approaches infinity) if b 1 and g 3/2. Similarly, the ultimate spectral radius is 1/2 when b 4/9 and g 5/6 and is 3/4 when b 9/14 and g 16/49. Fig. 1 shows the spectral radii for the Newmark methods with various algorithmic parameters. It can be seen that the algorithms are very dissipative in the low-frequency range.

4.2 COLLOCATION

METHOD

The collocation method[24] combines aspects of the Newmark method and the Wilson y-method. There are three parameters and the algorithms are accurate to second order and unconditionally stable if g 1/2, y 51, y/(2y+2)5b5(2y21)/(8y34). Optimal y values for given b have been derived[24]. Various levels of dissipation can be achieved by varying b.

4.3 HOUBOLT

METHOD

The Houbolt method[8] uses the idea of constructing a cubic curve passing through four successive values of the displacement. It is essentially a two-step backward-difference method. As shown in Fig. 1, the Houbolt method is asymptotically annihilating and is known to be too dissipative in the low-frequency range, even though it is accurate to second order. Hulbert[30] showed that a three-step linear multi-step asymptotically annihilating algorithm must have the same spectral characteristics as the Houbolt method. Chung & Hulbert[31] derived a family of unconditionally stable, second-order accurate, asymptotically annihilating Houbolt algorithms for structural dynamic problems.

4.4 PARK

METHOD

4 Algorithms accurate to second order

A lot of research has been done to construct algorithms accurate to second order with highCopyright & 2003 John Wiley & Sons, Ltd.

Asymptotically annihilating algorithms with smaller low-frequency dissipation can be constructed by using four or more steps. The Park method[9] is accurate to second order, unconditionally stable and asymptotically annihilating. It combines Gears two-step and three-step stiffly stable algorithms.
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TIME-STEP INTEGRATION
It is a three-step two-stage (or six-step) algorithm for structural dynamic problems. However, the method is not self-starting and requires a special starting procedure. dissipation if af m=m 1; am 2m 1=m 1; b 1 am a f 2 = 4 ; g 1 = 2 a m a f

171

(7)

4.5 q-METHOD
Bazzi & Anderheggen[28] proposed the r-method with the ultimate spectral radius r (between 0 and 1) as an algorithmic parameter. The algorithm is unconditionally stable if 04r41. The algorithm is accurate to second order if there is no physical damping, and only to first-order otherwise.

where 04m41 is the ultimate spectral radius. Fig. 1 shows the spectral radii when m 0, 0.25, 0.5 and 0.75. It can be seen that when m 0, the spectral radius is the same as that for the Houbolt method. When m 0.5, the spectral radius is the same as that for the HHT a-method with a 1/3.

4.9 GENERALIZED

SINGLE-STEP ALGORITHMS

4.6 HHT a-METHOD

The HHT a-method makes use of the Newmark update equations, but modifies the collocation equation. It is accurate to second order and unconditionally stable if 05a41/2, b51/4a/2, g 1/2a. It has been shown that there is no point in trying to make the spectral radius less than 1/2 as the spurious root takes over. To prevent the spurious real eigenvalue from dominating, a should be greater than 1/3. For a given ultimate spectral radius m between 1 and 1/2, the algorithmic parameters are suggested to be a (m1)/(m+1), g 1/2a, b (1a)2/4.

All these dissipative algorithms can be generated from the generalized single-step algorithm SS32[1,3] or the y1-method proposed by Hoff & Pahl[32,33]. Higher accuracy can be obtained by using higher order interpolation polynomials. In fact, very general p-step and p-stage integration algorithms, such as the generalized Newmark algorithms (GNpj) and the generalized single-step algorithms (SSpj), can be used to derive higher order algorithms systematically using the weighted residual approach[1,3]. However, all these algorithms are linear multi-step algorithms[1,2] and therefore are conditionally stable only if the order of accuracy is higher than two.

4.7 WBZ a-METHOD

The WBZ a-method[27] is very similar to the HHT amethod. The a-parameter is related to the mass matrix, instead of the damping and stiffness matrices as in the HHT a-method. However, the second-order accuracy WBZ a-algorithms are only conditionally stable.

5 Constructing higher order algorithms from second-order algorithms

It is possible to construct higher order accurate algorithms from a given second-order accuracy algorithm. For example, Austin[34] used the Romberg extrapolation technique to improve the results obtained from the Newmark method. Tarnow & Simo[35] proposed a sub-marching technique to improve a second-order accuracy algorithm to fourth-order accuracy. Fung[36] proposed a sub-stepping procedure to construct time-step integration algorithms with arbitrary order of accuracy. When the sub-steps chosen are complex, the complex time-step method is obtained[3740].

4.8 GENERALIZED a-METHOD

Chung & Hulbert[29] combined the HHT a-method and the WBZ a-method to construct the generalized amethod. The displacement and velocity update equations are given by eqs (4a) and (4b). The collocation equations arising from the governing equations are given by Mfaam g Cfvaf g Kfuaf g fFtaf g where fuaf g 1 af fd1 g af fd0 g fvaf g 1 af fv1 g af fv0 g faam g 1 am fa1 g am fa0 g taf 1 af Dt (6a) (6b) (6c) (6d) (5)

5.1 ROMBERG

EXTRAPOLATION

The HHT a-method is recovered if am 0. The WBZ method is recovered if af 0. The Newmark method is recovered if am af 0. It has been established that the method is unconditionally stable, accurate to second-order with controllable high-frequency
Copyright & 2003 John Wiley & Sons, Ltd.

Higher-order algorithms can be constructed by using the Romberg extrapolation technique[34]. The accuracy of the solutions obtained from the second-order accuracy Newmark method is improved by evaluating the results at the end of the time step a few times with different sub-step sizes. The fourth-, sixth- and eighth-order algorithms can be constructed with 3, 7 and 15 evaluations. The numerical results are very accurate. However, as shown in Fig. 2, these extrapolated Newmark methods are unconditionally unstable, i.e. the spectral radius is greater than unity, even for very small time steps. Very small time-step sizes are required to maintain numerical stability for a short period of time.
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2.0

STRUCTURAL ANALYSIS AND CAD

1.8

4th order
1.6 Spectral Radius

6th order

1.4

8th order
1.2

1.0

0.8 0.01

0.1

1 t/T

10

100

Fig. 2 Spectral radii for extrapolated Newmark methods

5.2 TARNOW & SIMO

PROCEDURE

SUB- MARCHING

Tarnow & Simo[35] presented a sub-marching procedure to construct fourth-order accuracy algorithms from a fairly general class of second-order accuracy algorithms. In their procedure, a sequential sub-marching (forward aDt, backward (12a)Dt and then forward aDt, with a (2+21/3+21/3)/3 % 1.3512) of three evaluations is required to advance one timestep Dt. The stability, conservative properties and implementation of the underlying second-order algorithm are retained. When the procedure is applied to the second-order Newmark method, the resultant algorithm is non-dissipative. To introduce highfrequency dissipation, the post-process filtering of the solution is suggested. The procedure, however, is not very general and can be used only to construct fourthorder accuracy algorithms.

various sub-step locations are independent of each other, the evaluations can be computed in parallel. Besides, the high-frequency dissipation is controllable by adjusting the algorithmic parameters aj and bj[36]. The algorithms can be unconditionally stable and the order of accuracy can be improved by using more sub-steps.

5.4 COMPLEX

TIME-STEP METHOD

If aj and bj in eq. (8) are complex, the complex timestep method is obtained[37,38]. The algorithmic parameters aj and bj depend on an algorithmic parameter m. If b1,. . ., bn are the roots of the following nth degree polynomial xn S1 xn1 S2 xn2 Sn1 x Sn 0 where Sk 1k 2k Cn k and Cn k n! n k!k! (10) 2n 1 k!n n km 2n 1!n nm (9)

5.3 SUB-STEPPING

PROCEDURE

Fung[36] proposed a sub-stepping procedure to construct higher order algorithms systematically from the underlying second-order accuracy Newmark algorithm. The numerical results at different sub-step locations are evaluated independently and then combined linearly to give higher order accuracy at the end of the time step. In other words, the numerical results {u1} and {v1} at the end of a time step are obtained by combining results at the initial time ({U0} {u0} and {V0} {v0} with b0 0) and {Uj} and {Vj} at n sub-step locations tj bjDt with the corresponding weighting factors aj as f u1 g
n X j0

aj fU j g

and

fv1 g

n X j 0

and aj a* j (Z 1) given in eq. (11) below. The algorithms are unconditionally stable and (2n1)th order accurate if 04m51 and 2nth order accurate if m 1. As before, the ultimate spectral radius is given by m. Fig. 3 shows the spectral radius of the algorithms with various n and m. In fact the algorithms are related approximation to the to the generalized Pade exponential function[37,38]. To obtain responses at ZDt (04Z41) within the time step, aj in eq. (8) should be replaced by a* j (Z) defined as[39] a j Z 1 i! 2 bj b1 bj bj1 bj bj1 bj bn
i 1 k 0

aj fV j g

(8)

P n  P n i

ik1 2i S k b n j

 Zi

As in the Tarnow & Simo procedure, there are no changes in the implementation of the underlying method. However, as the numerical results at the
Copyright & 2003 John Wiley & Sons, Ltd.

(11)
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TIME-STEP INTEGRATION
1.0 0.9 0.8 0.7 Spectral Radius 0.6

173

=1 =0.75

=0.5
0.5 0.4 0.3 0.2 0.1 0.0 0.01 n=2 n=3 n=4

=0.25

=0

0.1

1 t/T

10

100

Fig. 3 Spectral radii for the complex time-step, weighted residual, collocation and differential quadrature methods

The method has been extended to solve nonlinear problems[40].

step-by-step integration algorithms are conditionally stable only[43].

6.2 HAMILTONS 6 Hamiltons principle and Hamiltons law

Very general frameworks to construct time-step integration algorithms can be established from the variational method. In fact, the earlier attempts at construction of time finite elements are based on Hamiltons principle.

LAW OF VARYING ACTION

If dq does not vanish at the initial and/or final times, Hamiltons principle should be modified to Hamiltons law of varying action as Z d
0 Dt

Ldt

Z
0

Dt

X
k

fk dqk dt

X @T
k

  Dt  dq k  0  k @q
0

(13)

6.1 HAMILTONS

PRINCIPLE

Hamiltons principle with inclusion of nonconservative forces (also called Hamiltons extended principle) stipulates that Z d
0 Dt

L dt

Z
0

Dt

X
k

fk dqk dt 0

(12)

where L TV is the Lagrangian of the system, k ; qk and V(qk) are the kinetic energy and the T q potential energy of the system respectively, and fk are path-dependent non-conservative forces (which cannot be included in the potential energy), qk are the generalized coordinates and d is the variational operator. It is important to note that dqk (which can be interpreted as the variation of qk) must vanish at the initial and final times. Argyris & Scharpf[41] and Fried[42] pioneered the use of the Hamiltons extended principle to establish finite elements in time. The time finite elements can be used to integrate the equations of non-steady heat conduction and the dynamic equations of motion. The Hermitian interpolation can be used for the displacement over a time step, and very accurate results can be obtained. However, the resultant
Copyright & 2003 John Wiley & Sons, Ltd.

Bailey[44,45] used the Hamiltons law of varying action to evaluate the transient responses of dynamic systems. Since the initial position and initial velocity are imposed when constructing the approximate are set to zero in the solutions, the variations dq and dq formulation. In this case, the variations in the strict sense of calculus of variations are used to obtain numerical solutions[46]. Fig. 4 shows the spectral radii for algorithms using Hamiltons law of varying action with cubic and quadric interpolation functions (denoted as HLVA3 and HLVA4 respectively). It can be seen that the algorithms are conditionally stable only. Riff & Baruch[47,48] suggested that the variations could be interpreted as the weighting functions used in the PetrovGalerkin method (a kind of weighted residual method). More general types of variation can therefore be adopted. Effectively, the second derivatives of the cubic interpolation shape functions were used as the weighting functions, and 1 and t were included as variations. The algorithm was found to be accurate to fourth order and conditionally stable. Fig. 4 also shows the spectral radii for algorithms with cubic and quadric interpolation functions (denoted as PG-HLVA3 and PG-HLVA4 respectively). It can be seen clearly that the above algorithms are only conditionally stable.
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1.8 1.6 1.4

STRUCTURAL ANALYSIS AND CAD

PG-HLVA3 HLVA3 PG-HLVA4

1.2 Spectral Radius 1.0 0.8 0.6 0.4 0.2 0.0 0.1

HLVA4

PG-HLVA4 HLVA4

1 t/T

10

Fig. 4 Spectral radii for Hamiltons law of varying action

It has been mentioned that an unconditionally stable algorithm could be obtained by evaluating the algorithm over a slightly longer time interval and obtaining the solution at the particular time by interpolation. Strictly speaking, the algorithm would not be accurate to fourth order. Unconditionally stable algorithms can be obtained from Hamiltons principle if the variations are chosen carefully. If polynomials of order n+1 are used for the displacement interpolation, Fung[49] showed that the following stabilizing functions f1(t) and f2(t) should be included in the variations, where f1 t
n 2 X k 1 n 2 X k 1

{R(t)} is obtained by substituting the approximate solutions {u(t)} into the governing equations. The weighted residual method requires Z Dt ctfRtgdt 0 (16)
0

for a set of weighting functions c(t). The algorithmic characteristics of course depend on the choices of the trial and weighting functions. It can be verified that if simple polynomials are used, the algorithms are accurate to higher order, but only conditionally stable[1,3].

J1k tk 1 t

(14a)

7.1 GENERALIZED
APPROACH

TIME- WEIGHTED RESIDUAL

f2 t and

J2k tk 1 t

(14b)

J1i 1ni n 1 i!2n 4!n 2 i2n 5 n 3 in 3n 2 n 3!n 2!n 2 i!i!i 1!

15a

J2i 1ni

n 2 i!2n 5! n 3!n 2!n 2 i!i!i 1!

(15b)

The spectral radii for various n and m are also given in Fig. 3.

Tamma et al.[50] have proposed a general theory to classify, characterize and design time-step integration algorithms for structural dynamic problems. A generalized time-weighted residual philosophy[51] can be used to develop a wide variety of time-step integration algorithms. Both new and commonly used algorithms can be constructed systematically. As a result, a single analysis code with a variety of choices can be used for structural dynamics computations on a modern computing platform. The work can be extended to nonlinear applications as well[52]. Various higher order accuracy algorithms can also be constructed from the discrete numerically assigned algorithmic markers[53] and virtual-pulse timeintegral methodology[5456].

7 Weighted residual methods

The weighted residual method is a very general framework that can be used to find approximate solutions for differential equations. Approximate solutions {u(t)} satisfying the initial conditions are constructed from a set of trial functions. The residual
Copyright & 2003 John Wiley & Sons, Ltd.

7.2 WEIGHTING

PARAMETER METHOD

To find the weighting functions for unconditionally stable algorithms, Fung[57] evaluated the weighting parameters required to generate unconditionally stable algorithms instead. The weighting parameters for the unconditionally stable third- and fourth-order
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TIME-STEP INTEGRATION
accuracy algorithms based on the weighted residual method and Hermitian cubic polynomials in time can be found in the literature[5860]. To generate higher order accuracy unconditionally stable time-step integration algorithms, the polynomial weighting functions required should be given by[57] ck t tk1 ; and cn1 t nn2 121 m2 n3 1 9m1 mn2 4m4m 1n 12m2 tn2 12n 12n 12n 31 m n 2m ntn 482n 1 2n 31 mn n 1mtn1 cn t nn 121 m2 n3 1 9m1 mn2 4m4m 1n 12m2 tn1 8n 11 m3 n3 21 4m1 mn2 11m2 4m 1n 3m2m 1tn 1241 m2 n3 41 3m1 mn2 3 2m 13m2 n 6m1 mtn1 (17c) It can be seen that the algorithm is stabilized by using cn1(t) and cn(t) in eq. (17b,c). The ultimate spectral radius can be controlled by specifying m directly. The spectral radii for various n and m are given by Fig. 3. In most of the existing algorithms, tn2 and tn1are used as the weighting functions cn1(t) and cn(t) in the weighted residual method. The resultant algorithm is only conditionally stable. It was suggested that strongly enforcing continuity in time eliminates the stability provided by the weak continuity terms. Cannarozzi & Mancuso[14] showed that the single-field formulations enforcing a priori the initial conditions are conditionally stable. Unconditionally stable asymptotically annihilating algorithms are obtained by weakly enforcing the initial conditions. Similar conclusions can be drawn for the time-discontinuous Galerkin method. In the present weighted residual method, the stability is maintained by choosing the weighting functions carefully. In fact, the time-step integration algorithms can still be unconditionally stable, even if predetermined coefficients are included in the formulation[61]. (17b) for k 1; . . . ; n 2 (17a)

175

8 Collocation methods
The collocation method is easy to understand and also straightforward to implement. Nonlinear problems can be tackled directly. The approximate solutions are obtained by suppressing the residuals of the governing equations at selected collocation points in the domain. The selection of the collocation points is crucial in obtaining a well-conditioned system of
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equations, and ultimately in obtaining an accurate solution. The Wilson y-method, Houboldt method, HHT a-method, and the generalized a-method can all be derived from the collocation method. All these algorithms are accurate only to second-order. Conditionally stable higher order accuracy algorithms can also be derived systematically from the truncated Taylor series collocation algorithms[3]. Argyris et al.[62] used the Hermitian shape functions and point collocation to derive algorithms approximations. Gellert[63] corresponding to Pade used the cubic Hermitian shape functions and applied the method of collocation to the original differential equation, its first derivative and its first and second integrals at the end of the time interval. Four equations were obtained. Two linear independent combinations were used to solve for the final displacement and velocity from the given initial conditions. The algorithm was shown to be unconditionally stable and accurate to fourth order. Wood[1] showed that the method was approxiequivalent to the (2,2) diagonal Pade mations to the exponential function. However, it is not clear how to generalize the procedure to construct other unconditionally stable higher order algorithms. Kramarz[64] investigated the stability of direct collocation methods for the numerical solutions of second-order initial value problems. Houwen et al.[65] made further investigation and commented that the direct collocation methods using the Gauss, Radau or Lobatto quadrature points as collocation points were of limited value owing to the rather small stability or periodicity boundaries of the resultant algorithms. Unconditionally stable algorithms were constructed by preconditioning the stiff components or by combining several algorithms to form the composite methods. However, the order of accuracy of the proposed A-stable algorithms was not very high. Golley[66] used a cubic function satisfying the initial displacement and initial velocity to interpolate the displacement over a time interval. It was found that if the second-order Gauss quadrature points were used in the collocation method, the resultant approximate solutions would be accurate to fourth order. However, the algorithm was only conditionally stable. This algorithm is in fact equivalent to the algorithm presented by Fung[58] with W13 1/6. Unconditionally stable collocation algorithms for second-order initial value problems have been developed by Fung[67]. The approximate solution is expressed as a polynomial of degree n+1. There are n unknowns to be determined after taking into account the two given initial conditions. Linear combinations of the residuals at n+1 distinct collocation points are used to solve for the n unknowns. The n+1 collocation
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176
points are given by the roots of P t 1n n 1! dn 2 2n1 m n2 tn1 1 tn 1 m2n! dt

STRUCTURAL ANALYSIS AND CAD

functions to incorporate the initial conditions into the approximate solutions. It has been shown[75] that this approach is in fact equivalent to the conventional approach by using the differential quadrature analog equations of the initial conditions at the initial time. The algorithms are not unconditionally stable. Unconditionally stable algorithms can be constructed if the values of the first and second derivatives at the n sampling grid points can be related to the function values at the n sampling grid points and the initial conditions at t0 by 8 9 8 9 1 > u1 > u > > > > > = < = < > . . . fG0 gu0 G . or . . > > > > > > ; ; : > : > n u un g fG0 gu0 Gfug fu and 8 9 8 9 1 > 1 > u u > > > > = = < > < > . . . . f G g v G 0 0 . > . > fG 0 g v0 > > > > ; ; : > : > n n u u 8 9 u1 > > > = < > . GfG0 gu0 GG . . > > > ; : > un g fG0 gv0 GfG0 gu0 G2 u fu It can be seen that eq. (22) is quite different from the conventional approaches. From eq. (22), the n analog equations of the governing differential equation at the sampling grid points t1, t2,. . ., tn can be written as G2 2xoG o2 Ifug ffg u0 GfG0 g v0 fG0 g 2xou0 fG0 g (23) (22a)

dn 1 2m n1 tn 1 tn (18) dt It can be checked that one of the collocation points is at the initial time t 0. The relative weights between the residuals are available[67]. The spectral radii for various n and m are given by Fig. 3.

9 Differential quadrature method

The differential quadrature method can be used to solve initial and/or boundary value problems of physical and engineering science efficiently and accurately[68,69]. It has also been shown that the differential quadrature method is essentially equivalent to the general collocation method[70,71] and the highest order finite difference method[72]. In the differential quadrature method, the values of the derivatives at each sampling grid point are expressed as weighted linear sums of the function values at all sampling grid points within the domain under consideration, i.e.  n X  dr r  C x Aik Cxk for i 0; 1; 2; . . . ; n (19)  dxr x x i k 0 Eq. (19) relates the rth derivative of the function C(x) at a sampling grid point x xi to the function r value Ck C(xk) at x xk, with Aik denoting the corresponding weighting coefficient. For example, the 1 y t1 ; . . . ; y n first derivatives at the n locations y tn are related to y0 at t0, y1 y(t1),. . ., yn y(tn) by y 2 1 3 9 8 9 8 1 9 1 8 > A10 > A11 A1n > 1 > y1 > y > > > > > > > > = = < = < 6 7< > 6 7 . . . . . . . . . . y 6 7 0 . 5> . > or > > > . > > . > 4 . > > > ; > : ; > : > : 1 ; 1 1 n y yn An1 Ann A n0 fy g fG0 gy0 Gfyg (20) If t0( 0), t1,. . ., tn are the coordinates of the n+1 sampling grid points P ti 1 Aik for i 6 k; 04i; k4n ti tk Ptk where P ti
n Y j0 j6i 1 n X k 0 k6i 1

(22b)

The stability and accuracy properties of algorithms with various sampling grid points can be found in the literature[76]. It is shown that the commonly used ChebyshevGaussLobatto sampling grid points would not generate unconditionally stable algorithms. Unconditionally stable higher order accuracy timestep integration algorithms for the second-order equations can be obtained if tk/Dt are the roots of the equation[75]. tn W1 W2 t W3 t2 Wn tn1 0 where (24)

ti tj

(21a)

Aii

Aik

for i 0; 1; 2; . . . ; n

(21b)

Wk

1nk n!n!n k 2! 2n mk 1 k 1!k 1!n 1 k!2n! 1m (25)

The differential quadrature method has been extended to solve initial value problems. Wu & Liu[73,74] employed the Hermite interpolation
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The spectral radii for various n and m are also given in Fig. 3.
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TIME-STEP INTEGRATION 10 Numerical example

The usefulness of numerical dissipation has been discussed extensively[e.g. 7782]. In the following, consider a simple pendulum consisting of an object of mass m attached to a weightless extensible string of natural length L0 and stiffness k, as shown in Fig. 5. The configuration of the system can be described by the x and y coordinates of the mass with the origin attached at the fixed end of the string. The equation of motion can be written as
2 d2 X O2 2 2 Dt X O2 2 Dt X p 2 dt X2 Y2

177

(26)

d V 2 2 2 O2 1 Dt O2 Dt Y d t2

2 O2 2 Dt Y p X 2 Y2

where g is the acceleration due to gravity, X x/L0, 2 Y y/L0, O2 1 g=L0 , O2 k=m, t t/Dt and Dt is the time step. The angle of the string with the vertical is given by y cot1(Y/X). Besides, the total energy (kinetic energy+potential energy of the mass+strain energy in the string) of the system E can be expressed as 1 mL2 0 2 2 2O2 Dt2 Y E X Y 1 2 Dt2 p 2 2 2 2 O2 (27) 2 Dt X Y 1 E0 where E0 is a constant depending on the datum adopted in the calculation. Eq. (26) is nonlinear, but can be integrated by various time-step integration algorithms. If O1 and O2 are of the same order of magnitude, there is elongation in the string as the mass swings. However, as O2 increases, the elongation reduces and the stiffness in the problem increases. As O2 ! 1, the string is not extensible and the system effectively has one degree of freedom only. It is well known that these kind of stiff problems are difficult to handle. Consider a system with parameters O1 1, O2 10, mL2 0 1 and initial conditions X0 0, Y0 1, X0 1 0 0. The initial energy can be calculated as 1 and Y with E0 0. Fig. 6 shows the change of the energy (i.e. E+1) for the numerical results given by the differential

quadrature method with n 3 and Dt 0.8426. In this case, there are around eight time steps within one oscillation. In fact, if the string is not extensible, the period of oscillation is given by 8 0.8426. Fig. 6 shows that, with m 1, the energy in the system oscillates. This is due to the energy associated with the high-frequency responses of the axial deformation in the string. The high-frequency responses can be suppressed by numerical dissipation. If m 0 is used to damp out the high-frequency responses, the loss of energy may be too large, as observed from Fig. 6. Using other values of m (for example, m 0.975 or 0.9) could reduce the energy oscillation and damped out the high-frequency responses. This demonstrates the usefulness of an algorithm with controllable numerical dissipation. As the stiffness of the problem increases, the numerical solutions may become unstable. Consider now O2 50, with the other system parameters and initial conditions unchanged. Fig. 7 shows the change of the energy in the system. It can be seen that the numerical solutions are unstable when m 1 and m 0.8. The energy in the system would increase indefinitely. Fig. 8 also shows the time history of the angle of rotation y. It can be seen that for the algorithms with m 1 and m 0.8, the responses are incorrect after some time steps. The numerical instability can be suppressed by increasing the numerical dissipation in the algorithms. For example, when m 0 is used, the solution is quite stable. However, the loss of energy may be quite large. In fact, it is sufficient to use m 0.7. This example shows that the numerical instability of stiff problems can also be suppressed by using the controllable numerical dissipation in the algorithms.

11 Conclusions
The equations of motion for structural dynamic problems are second-order ordinary differential equation in time. Unconditionally stable higher order accuracy time-step integration algorithms are usually obtained from the equivalent first-order equations or by weakly enforcing the initial conditions. However, recent developments show that unconditionally stable higher order accuracy time-step integration algorithms can also be established from the second-order equations directly with the initial conditions strongly enforced. In this paper, time-step integration algorithms operating directly on the second-order equations are reviewed. The equations are not transformed to an equivalent first-order form and the initial conditions are incorporated in the approximate solution directly. Hence, the formation could be classified as displacement (single-field) formulation. Besides, the solutions are continuous across two time steps.
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y, Y

x, X Natural length = L0 Stiffness = k

mass = m
Fig. 5 Simple pendulum with extensible string
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178
0.02

STRUCTURAL ANALYSIS AND CAD

=1.0

0.00 Change in Energy

-0.02

-0.04

=0.975 =0.9

-0.06

-0.08

=0.0
-0.10 0 10 20 30 40 50 Time Steps 60 70 80 90 100

Fig. 6 Energy in the numerical solutions (O2 10, n 3, Dt 0:8426)

0.10 0.08 0.06 0.04 Change in Energy 0.02 0.00 -0.02 -0.04 -0.06 -0.08 -0.10 0 10 20 30 40 50 Time Steps 60 70 80 90 100

=1.0 =0.8

=0.7

=0.0

Fig. 7 Energy in the numerical solutions (O2 50, n 3, Dt 0:8426)

2.50 2.00 1.50 1.00 Angle 0.50 0.00 -0.50 -1.00 -1.50 -2.00 0 10 20 30 40 50 Time Steps 60 70 80 90 100

=1.0 =0.0 & =0.7

=0.8

Fig. 8 Time history of y (O2 50, n 3, Dt 0:8426)

For algorithms accurate to second order, the generalized a-method is more versatile as it is unconditionally stable with controllable numerical dissipation. Unconditionally stable higher order
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accuracy time-step integration can be constructed from the complex time-step method, the weighted residual method with appropriate weighting functions, the collocation method with appropriate
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TIME-STEP INTEGRATION
collocation points, or the differential quadrature method. The numerical dissipation in these algorithms can be controllable by adjusting the algorithmic parameter m directly. The spectral radius decreases smoothly from 1 at Dt/T 0 to m as Dt/ T ! 1 as shown in Fig. 3. These algorithms with controllable numerical dissipation are useful in solving structural dynamic problems as the spurious high-frequency modes can be damped out progressively.

179

[23] Wilson EL. A computer program for the dynamic stress analysis of underground structures. SESM Report 68-1; Division of Structural Engineering and Structural Mechanics, University of California, Berkeley, 1968. [24] Hilber HM & Hughes TJR. Collocation, dissipation and overshoot for time integration schemes in structural dynamics. Earthquake Engineering and Structural Dynamics 1978: 6: 99118. [25] Hilber HM, Hughes TJR & Taylor RL. Improved numerical dissipation for time integration algorithms in structural dynamics, Earthquake Engineering and Structural Dynamics 1977: 5: 283292. [26] Hughes TJR. Transient algorithms and stability. In: Belytschko T, Hughes TJR (eds) Computational Methods for Transient Analysis, New Holland, New York, 1983. [27] Wood WL, Bossak M & Zienkiewicz OC. An alpha modification of Newmarks method. International Journal for Numerical Methods in Engineering 1980: 15: 15621566. [28] Bazzi G & Anderheggen E. The r-family of algorithms for time-step

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T C Fung School of Civil and Environmental Engineering, Nanyang Technological University, Singapore E-mail: ctcfung@ntu.edu.sg

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