NM Ln3 4 PDE-2slides Page

I.
Popescu:Numerical Methods I 1/25/2012

1
Hydroinformatics y
Module 4: Numerical Methods I
Lecture 3 and 4: PDE, Hyperbolic
PDE, Stability, Accuracy
1/25/2012 Numerical Methods 1
I.Popescu
5-Partial Differential Equations
I.Popescu:Numerical Methods I 1/25/2012
2
PDEs
parabolic
PDEs
hyperbolic
eliptic
1 + n
x A
n
t
) 1 , ( + n j
eliptic
1 n
1 j
0
j
1 + j
0
j
t A
) , ( n j
Solving PDEs
Method of characteristics
Finite Difference method
Explicit schemes
Implicit schemes
Upwind, forward/backward space/time
FTCS
CTCS
Other schemes
MoC ( 1-st and 2-nd order)
Preissmann scheme
Abbott-Ionescu scheme
3
PDEs - Examples
The 1D advection-diffusion equation:
2
2
x
u
d
x
u
a
t
u
c
c
=
c
c
+
c
c
This PDE is first order in time and second order in space.
Simplify further (drop the second order diffusion or
dissipation term):
0 =
c
c
+
c
c
x
u
a
t
u
x x t c c c
This PDE is first order in time and first order in space
It describes the time dependent shifting of the function u(x) along x with
a velocity a
Volunteer to solve this equation analytically?
Simple wave equation/ Advection equation
0 =
c
c
+
c
c
x
u
a
t
u
Represents
Kinematic wave
u water depth (m)
a (celerity (m/s)
Transport of a polutant in a river
Transport of a polutant in a river
u concentration ( mg/l)
a flow velocity (m/s)
Saint Venant equation a system of two
advection equations
4
Necessary Information to Solve the IBVP
The Initial, Boundary Value Problem
represented by the PDE
c c
requires extra information in order to to be
solvable.
What do we need?
0 =
c
c
+
c
c
x
u
a
t
u
What do we need?
IBVP
Because of the hyperbolic nature of the PDE (solution travels
from right to left with increasing time), we need to supply:
Extent of solution domain
What is the solution at start of the solution process: u(x,0)
Boundary data: u(b,t), or u(a,t)
Final integration time Final integration time.
t
we need to specify
boundary ( e.g. inflow)
data
x
Need to specify the solution at t=0
x=a x=b
5
Analytical solution of Hyperbolic PDEs
1
=
c
c
+
c
c
) ( ) 0 (
0
f IC
x
u
a
t
u
Advection equation:
it describes the time dependent shifting
of the function u(x,0) along x with a velocity a

t
u
u
= ) ( ) 0 , ( : x f x u IC

x
u
t
The solution at any time t > t
0
can be described as a function of the state at time t
0
:
) 0 , ( ) , ( x u t at x u = +
This is a so-called initial value problem in which the state at any time t > t
0
can be uniquely
found when the state at time t = t
0
is fully given.
2

t
u
u
u
t
u
t
t
1
t
2
t
3
t
4
t
5
x
6
3
=
c
c
+
c
c
) ( ) 0 (
0
f IC
x
u
a
t
u
Advection equation:
u
= ) ( ) 0 , ( : x f x u IC
) 0 , ( ) , ( at x u t x u =
1. This is a so-called initial value problem in which the state at any time t > t
0
can be
uniquely found when the state at time t = t
0
is fully given.
2. The initial value problem is quite trivial, yet, as we will see below, this problem
stands at the basis of numerical methods of hydrodynamics and is numerically surprisingly
challenging to solve!
Brief Summary
There is a checklist of conditions we will
need to consider to obtain a unique
solution of a PDE: solution of a PDE:
1) The PDE
2) Boundary values (also known as boundary conditions)
3) Initial values (if there is a time-like variable)
4) Solution domain
7
(A)Hyperbolic PDEs
(A)Hyperbolic PDEs
Method of Characteristics
8
The method of characteristics
The method of characteristics is a method
which can be used to solve the initial value
problem(IVP) for general first order PDEs problem (IVP) for general first order PDEs
by transforming them in ODEs.
Consider the first order linear equation :
(5 1)
0 ) , ( ) , ( ) , ( ) , ( = +
c
c
+
c
c
t x u t x c
t
u
t x b
u
t x a
(5.1)
With initial condition
c c t x
) ( ) 0 , ( x f x u =
Goal
Change coordinates from (x,t) to new coordinate
system (x
o
,s) so that PDE becomes ODE along
certain curves in (x,t) plane.
Such curves, along which the solution of the PDE
reduces to an ODE, are called the characteristic
curves or just the characteristics.
The new variable s will vary, and the new variable
x
0
will be constant along the characteristics. The
variable x
0
will change along the initial curve in
the x-t plane (along the line t=0).
How do we find the characteristic curves?
9
Finding characteristic curves
Notice that if we choose
(5.2)
) , ( and ) , ( t x b
d
dt
t x a
d
dx
= =
Then
t
u
ds
dt
x
u
ds
dx
ds
du
c
c
+
c
c
=
) ( ) (
ds ds
And along the characteristic curves
(5.3) -ODE
0 ) ( ) , ( = + s u t x c
ds
du
Application steps
Solve the two characteristic equations, (5.2).
Find the constants of integration by setting x(0)=x
0
(these will be
points along the t=0 axis in the x-t plane) and t(0)=0. We now have
the transformation from (x,t) to (x
0
,s), x=x(x
0
,s) and t=t(x
0
,s)
x
o x
t
Characteristic curve
Solve the ODE (5.3) with initial condition u(0)=f(x
0
), where x
0
are
the initial points on the characteristic curves along the t=0 axis in the
x-t plane.
We now have a solution u(x
0
,s) . Solve for s and x
0
in terms of x and t
(using the results of step 1) and substitute these values in u(x
0
,s) to
get the solution to the original PDE as u(x,t)
10
The MoC summary
0 ) , ( ) , ( ) , ( ) , ( = +
c
c
+
c
c
t x u t x c
t
u
t x b
x
u
t x a
) ( ) 0 , ( x f x u =
) , ( and ) , ( t x b
ds
dt
t x a
ds
dx
= =
t
u
ds
dt
x
u
ds
dx
ds
du
c
c
+
c
c
=
For the selection :
and
) ( t d
0 ) ( ) , ( = + s u t x c
ds
du
holds along the characteristic curves
) , (
) , (
t x b
t x a
dt
dx
=
Cases
Depending on values of a(x,t), b(x,t) and c(x,t)
there are 3 different PDEs:
the constant coefficient advection equation, the constant coefficient advection equation,
the variable coefficient advection equation,
inviscid Burgers' equation.
For all three examples, the initial conditions are
specified as
) ( ) 0 ( f
) ( ) 0 , ( x f x u =
11
Case 1: c(x,t)=0 and b(x,t)=1
0 =
ds
du
) , (
) , (
t x a
t x a dx
= =
const t x u = ) , (
) , ( t x a
dx
=
along
) ( ) 0 , ( x f x u =
) , (
) , (
t x a
t x b dt
) , (
dt
) ( ) 0 , ( x f x u =
=
c
c
+
c
c
0
x
u
a
t
u
Constant coefficient advection equation
t
= ) ( ) 0 , ( x f x u I.C.
Application steps:
dx/dt =a =>x=x
0
+at
du/dt =0 =>u(t) =f(x
0
)
u(t)=f(x-at)
x
o
x
Characteristics of first-order PDEs
u = f(s ) along the characteristic direction u =constant
Characteristic
t
t = t
1
t = t
2
t = t
3
line
s= s
1
s = s
2
s = s
3
d 0
t
1/25/2012 I.Popescu: Numerical Methods 22
a dx
dt
slope
1
= =
t = t
0
du = 0
x
12
Characteristics of first-order PDEs
Along the characteristic direction:
du =0, u =constant
u = f(s ) = constant
h l i i h
Non-characteristic
The solution remains the same
along the characteristic direction
An observer moving with
s =constant
sees no changes the form of u
The profile will change if the
observer movesfaster or slower than
t t
t = t
2
t = t
3
Characteristic line
line
t
observer moves faster or slower than
the characteristic line
t = t
0
t = t
1
x
Case 2: Variable coefficient advection equation
Application steps:
dx/dt =a =>x=G(a)
du/dt =0 =>u(t) =f(x
0
)
U(t)
=
=
c
c
+
c
c
) , (
0
t x g a
x
u
a
t
u
U(t)
= ) ( ) 0 , ( : x f x u IC
t
h
x
o
x
13
Case 2 Application: Saint Venant equations
Characteristic form of Saint Venant eq
=
c
+ c
+ +
c
+ c
0
) 2 (
) (
) 2 ( c u
c u
t
c u
=
c
c
+
c
c
c c
0
) 2 (
) (
) 2 (
x
c u
c u
t
c u
x t
+ =
+
) (
dx
C c u
dt
dx
=
+ =
) 2 (
) 2 (
) (
c u J
c u J
C c u
dt
dx
Characteristic directions
A B
P
unique
solution
A B
14
Characteristic directions
P
P
P
Flow characteristics: Fr number
A B
Sub critical flow Super critical flow
A B
Physical Plane
Hyperbolic equation propagation problem with no dissipation
t
C
-
= x ct
C
+
= x + ct
Domain of
D d
Domain of
Influence
P(x,t)
x
Dependence
Initial conditions
15
Characteristics - Propagation
Domain of Dependence
P
3
: t = t
3
B d
P
2
: t = t
2
Boundary
Conditions
Boundary
Conditions
E
F
P
1
: t = t
1
Initial conditions C
D
A
B
Characteristics - Propagation
Domain of Influence
P
B d
P
2
: t = t
2
P
3
: t = t
3
Boundary
Conditions
Boundary
Conditions
E
F
P
1
: t = t
1
Initial conditions C
D
A
B
16
Characteristics: Boundary conditions
Summary
The conditions derived along characteristics enable us to
compute solutions from known conditions at an earlier
point in time
Example
If state of fluid in A is U=1m/s and h=5m, in B
u=1.2m/s and h=4.8 m, compute u and h in P
t
x
t
C
-
= x ct
C
+
= x + ct
P(x,t)
A B
17
(A)Hyperbolic PDEs
Finite difference method
FDM to hyperbolic PDE
Notations
F- forward
B b d B- bacward
T-time
S space
Schemes
FTBS explicit
FTBS explicit
BTBS implicit
FTCS in n
CTCS in n
18
FDM-Hyperbolic PDE-Explicit schemes
FTBS
0 =
c
c
+
c
c
x
U
a
t
U
t
U U
t
U
n
j
n
j
A
~
c
c
+1
x
U U
x
U
n
j
n
j
A
~
c
c 1
x A
1 + n
t
t A
) , ( n j
) 1 , ( + n j
n
FT:
BS:
( )
n
j
n
j
n
j
U Cr CrU U + =

+
1
1
1
x
t a
Cr
n
j
A
A
=
1 j
0
j
1 + j
0
j
Courant number
FTBS- boundary and initial conditions
0 =
c
c
+
c
c
x
U
a
t
U
( )
1
( )
n
j
n
j
n
j
U Cr CrU U + =

+
1
1
1
x A
1 + n
t
t A
) 1 , ( + n j
Boundary
1 j
0
j
1 + j
0
j
t A
) , ( n j
n
conditions
Initial conditions
19
FTBS- boundary and initial conditions
0 =
c
c
+
c
c
x
U
a
t
U
( )
n n n
U C C U U +
+
1
1
( )
n
j
n
j
n
j
U Cr CrU U + =

+
1
1
1
For a given point, a stencil is a fixed
subset of nearest neighbors
A stencil code updates every point in
a regular grid by applying a stencil
FDM-Hyperbolic PDE-Implicit schemes
BTBS
0 =
c
c
+
c
c
x
U
a
t
U
( )
1 1
( ) 0 ) 1 (
1 1
1
= + + +
+ +
n
j
n
j
n
j
U Cr U Cr CrU
x
t a
Cr
n
j
A
A
=
x A
1 + n
t
t A
) 1 , ( + n j
1 j
0
j
1 + j
0
j
t A
) , ( n j
n
20
FDM-Hyperbolic PDE-Implicit schemes
BTBS- boundary and initial conditions
0 =
c
c
+
c
c
x
U
a
t
U
( ) 0 ) 1 (
1 1 + + n n n
U C U C C U
x A
1 + n
t
t A
) 1 , ( + n j
Boundary
( ) 0 ) 1 (
1 1
1
= + + +
+ +
n
j
n
j
n
j
U Cr U Cr CrU
1 j
0
j
1 + j
0
j
t A
) , ( n j
n
conditions
Initial conditions
FDM-Hyperbolic PDE (Explicit)Schemes
FTCS
0 =
c
c
+
c
c
x
U
a
t
U
x A
1 + n
t
t A
) , ( n j
) 1 , ( + n j
n
FT: CS:
t
U U
n
j
n
j
A
+1
x
U U
n
j
n
j
A
+
2
1 1
0
2
1 1
1
=
A
+
A
+
+
x
U U
a
t
U U
n
j
n
j
n
j
n
j
1 j
0
j
1 + j
0
j
( )
n
j
n
j
n
j
n
j
U U Cr U U
1 1
1
2
1
+
+
=
unconditionally unstable
used to compute very first time steps
21
FDM-Hyperbolic PDE-Upwind schemes
Any BS scheme is also called upwind schemes, because
information comes from the upstream
Similarly the CS schemes are called centered schemes
The CTCS scheme
c c U U
0 =
c
c
+
c
c
x
U
a
t
U
x A
1 + n
t
t A
0
2 2
1 1
1 1
=
A
+
A
+
+
x
U U
a
t
U U
n
j
n
j
n
j
n
j
( )
n n n n
U U
t a
U U
1 1 +
A
1 j
0
j
1 + j
0
j
t A
n
( )
n
j
n
j
n
j
n
j
U U
x
U U
1 1 +

A
=
two solutions for special BC
Other schemes
Lax-Wendorf
Cranck Nicholson
22
FD Schemes for hyperbolic system of equations
Saint Venant equations: Unsteady, nearly
horizontal flow
c c
A Q
Where:
0
q
2
2
= +
c
c
+
c
|
|
.
|
\
|
c
+
c
c
=
c
c
+
c
c
AR C
Q gQ
x
h
gA
x
A
Q
t
Q
t
A
x
Q
o
Q - discharge, m
3
s
-1
A - flow area, m
2
q - lateral flow, m
2
s
-1
h - depth above datum, m
C - Chezy resistance coefficient, m
1/2
s
-1
R - hydraulic radius, m
o - momentum distribution coefficient
Variables Conditions for solution
two independent (x, t)
two dependent (Q, h)
2 point initial (Q, h)
1 point
up/downstream
h
Q
Q=f(h)
Fully dynamic
Diffusive wave no inertia
Kinematic wave- pure convective
23
Abbot Ionescu scheme
Structured, cartesian grid
Implicit scheme (Abbott-Ionescu)
C ti it ti h t d Continuity equation - h centered
Momentum equation - Q centered
Example discretization
24
Abbott Ionescu scheme
( ) 0
2
=
c
c
+
c
c
c
c
x
u
u gh
t
u
u
t
h
g ( ) 0
2
=
c
c
+
c
c
c
c
x
h
u gh
t
h
u
t
u
h
t
h h
t
h
n
j
n
j
A
~
c
c
+1
|
|
.
|
\
|
A
+
A
~
c
c +
+
+
+
t
u u
t
u u
t
u
n
j
n
j
n
j
n
j 1
1
1 1
1
1
2
1
|
|
|
c +
+ +
+
u u u u
u
n
j
n
j
n
j
n
j 1 1 1
1
1
1
1
t
u u
t
u
n
j
n
j
A
~
c
c +
+
+ 1
1
1
|
|
.
|
\
|
A
+
A
~
c
c +
+
+
+
t
u u
t
u u
t
h
n
j
n
j
n
j
n
j 2
1
2
1
2
1
|
|
|
c +
+ +
+
u u u u
h
n
j
n
j
n
j
n
j 1 2
1 1
2
|
|
.
\
A
+
A
~
c
c + +
x
u u
x
u u
x
u j j j j
2 2 2
1 1 1 1 1
|
|
.
\
A
+
A
~
c
c + +
x x x
h j j j j
2 2 2
1 2 2
Transformation into linear equations
j
n
j j
n
j j
n
j j
D Q C h B Q A 1 1 1 1
1
1
1 1
1
= + +
+
+ +
(mass)
j
n
j j
n
j j
n
j j
D h C Q B1 h A 1 1 1
1
1
1 1
1
= + +
+
+ +
j
n
j j
n
j j
n
j j
D C B A 1 1 1 1
1
1
1 1
1
= + +
+
+ +
| | |
Tri-diagonal matrix form of equation
A B C | D
n+1 n
(momentum)
A
0
B
0
C
0
A
1
B
1
C
1
A
2
B
2
C
2
. . .
. . .
A
jj
B
jj
C
jj
|
0
|
1
|
2
.
.
|
jj
D
0
D
1
D
2
.
.
D
jj
=
.
all
zeros
all
zeros
25
Less equation than unknowns
Use of suitable boundary conditions
I d i ddi i l i bl
Introducing additional variables
Substitution of into the linear equations
Derivation of recurrence relations
j
n
j j
n
j
F E
+ =
+ +
+
1 1
1
| |
j j j
j j j
j
j j j
j
j
B E A
C A D
F
B E A
C
E
+
=
+
1
1
4-points stencil (2 points in space, 2 levels in time)
t
|
.
|
c
c
x
f
Preismann scheme
0 =
c
c
+
c
c
x
f
a
t
f
f(x,t) can be either u, either h
n+1
1-u
u
1 +
.
c
n
x
( )
n n
x
f
x
f
x
f
|
.
|
c
c
+ |
.
|
c
c
~
c
c
+
u u 1
1
with
x
n
n
x
f
|
.
|
c
c
x
f f
x
f
n
j
n
j
n
A
~ |
.
|
c
c
1
with
j-1 j
26
4-points stencil (2 points in space, 2 levels in time)
Preismann scheme
0 =
c
c
+
c
c
x
f
a
t
f
f(x,t) can be either u, either h
t
( ) 1 |
.
|
c
c
+ |
.
|
c
c
~
c
c
t
f
t
f
t
f

t
n+1
1-
j
t
f
|
.
|
c
c
1
|
.
|
c
c
j
t
f
1
.
c
.
c c
j j
t t t
x
f f
t
f
n
j
n
j
j
A
~ |
.
|
c
c
+1
with
x
n
j-1 j

t
n+1
1
t
U
c
c
( )
f f f f
f
n
j
n
j
n
j
n
j

+
~
c
c

+
+
1
1
1
1
1
FDM-Hyperbolic PDE-Preismann scheme
0 =
c
c
+
c
c
x
f
a
t
f
x
n
j-1 j

t
n+1
u
1u
U c
( )
t t t A A c

( )
x
f f
x
f f
x
f
n
j
n
j
n
j
n
j
A
+
A
=
c
c

+
+
1
1
1
1
1 u u
x
n
j-1 j
u
x c
x x x A A c
u < 0.5 - fully unstable
u = 0, the scheme is explicit,
u = 1, the scheme is fully implicit

NM Ln3 4 PDE-2slides Page

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I.

Popescu:Numerical Methods I 1/25/2012

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