The 1D Diffusion Equation

10/02/2015
The 1D diffusion equation

Thefamousdiffusionequation,alsoknownastheheatequation,reads
u
=
t
where u(x, t) is the unknown function to be solved for, x is a coordinate in space, and t is time. The
coefficient isthediffusioncoefficientanddetermineshowfastuchangesintime.Aquickshortformforthe
diffusionequationisut = uxx .
Comparedtothewaveequation, utt = c2 uxx ,whichlooksverysimilar,butthediffusionequationfeatures
solutions that are very different from those of the wave equation. Also, the diffusion equation makes quite
differentdemandstothenumericalmethods.
Typical diffusion problems may experience rapid change in the very beginning, but then the evolution of u
becomesslowerandslower.Thesolutionisusuallyverysmooth,andaftersometime,onecannotrecognize
the initial shape of u. This is in sharp contrast to solutions of the wave equation where the initial shape is
2
preservedthesolutionisbasicallyamovinginitialcondition.Thestandardwaveequationutt = c uxx has

solutions that propagates with speed c forever, without changing shape, while the diffusion equation
converges to a stationary solution u
(x) as t . In this limit, ut = 0 , and u
is governed by
u
(x) = 0 .ThisstationarylimitofthediffusionequationiscalledtheLaplaceequationandarisesinavery
widerangeofapplicationsthroughoutthesciences.
Itispossibletosolvefor u(x, t) usingaexplicitscheme,butthetimesteprestrictionssoonbecomemuch
lessfavorablethanforanexplicitschemeforthewaveequation.Andofmoreimportance,sincethesolutionu
of the diffusion equation is very smooth and changes slowly, small time steps are not convenient and not
requiredbyaccuracyasthediffusionprocessconvergestoastationarystate.
The initial-boundary value problem for 1D diffusion

To obtain a unique solution of the diffusion equation, or equivalently, to apply numerical methods, we need
initialandboundaryconditions.Thediffusionequationgoeswithoneinitialconditionu(x, 0) = I(x) ,where
I is a prescribed function. One boundary condition is required at each point on the boundary, which in 1D
meansthatumustbeknown,ux mustbeknown,orsomecombinationofthem.
We shall start with the simplest boundary condition: u =
probleminonespacedimensioncanthenbespecifiedas
u
(1)
=
t
0 . The complete initialboundary value diffusion
x (0, L), t (0, T ]
x [0, L]
(2)
u(0, t) = 0,
t > 0,
(3)
u(L, t) = 0,
t > 0.
(4)
u(x, 0) = I(x),
Equation (28) is known as a onedimensional diffusion equation, also often referred to as a heat equation.
Withonlyafirstorderderivativeintime,onlyoneinitialconditionisneeded,whilethesecondorderderivative
inspaceleadstoademandfortwoboundaryconditions.Theparameter mustbegivenandisreferredtoas
thediffusioncoefficient.
Diffusionequationslike(28) have a wide range of applications throughout physical, biological, and financial
sciences. One of the most common applications is propagation of heat, where u(x, t) represents the
temperatureofsomesubstanceatpointxandtimet .Thesectiondiffu:appgoesintoseveralwidelyoccurring
applications.
http://hplgit.github.io/num-methods-for-PDEs/doc/pub/diffu/sphinx/._main_diffu001.html
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Forward Euler scheme

Thefirststepinthediscretizationprocedureistoreplacethedomain[0, L]
Hereweapplyequallyspacedmeshpoints
xi = ix,
[0, T ] byasetofmeshpoints.
i = 0, , N x ,
and
t n = nt,
Moreover,
n
i
n = 0, , N t .
denotes the mesh function that approximates u(xi , t n ) for i = 0, , Nx

.RequiringthePDE(28)tobefulfilledatameshpoint(xi , t n ) leadstotheequation
and
n = 0, , N t
u(xi , t n ) =
(5)
u(xi , t n ),
Thenextstepistoreplacethederivativesbyfinitedifferenceapproximations.Thecomputationallysimplest
methodarisesfromusingaforwarddifferenceintimeandacentraldifferenceinspace:
+
[D
u = Dx Dx u]
n
i
(6)
Writtenout,
u
n+1
i
n
i
u
=
n
i+1
2u
+ u
(7)
n
i1
WehaveturnedthePDEintoalgebraicequations,alsooftencalleddiscreteequations.Thekeypropertyof
theequationsisthattheyarealgebraic,whichmakesthemeasytosolve.Asusual,weanticipatethat un
is
i
alreadycomputedsuchthatun+1
istheonlyunknownin(7).Solvingwithrespecttothisunknowniseasy:
i
u
n+1
i
= u
n
i
+ F (u
n
i+1
2u
n
i
+ u
n
i1
) .
(8)
F isthekeyparameterinthediscretediffusionequation:
NotethatF isadimensionlessnumber
thatlumpsthekeyphysicalparameterintheproblem, ,andthediscretizationparametersx andt
intoasingleparameter.Allthepropertiesofthenumericalmethodarecriticallydependentuponthevalueof
F (seethesectiondiffu:pde1:analysisfordetails).
Thecomputationalalgorithmthenbecomes
1. compute$u^0_i=I(x_i)$fori
2. forn = 0, 1, , Nt :
= 0, , N x
1. apply(8)foralltheinternalspatialpointsi
n+1
2. settheboundaryvaluesui
= 1, , N x 1
= 0 fori = 0 andi = N x
ThealgorithmiscompactlyfullyspecifiedinPython:
x = linspace(0, L, Nx+1)
dx = x[1] - x[0]
t = linspace(0, T, Nt+1)
dt = t[1] - t[0]
F = a*dt/dx**2
u = zeros(Nx+1)
u_1 = zeros(Nx+1)
# mesh points in space

# mesh points in time
# unknown u at new time level
# u at the previous time level
# Set initial condition u(x,0) = I(x)

for i in range(0, Nx+1):
u_1[i] = I(x[i])
for n in range(0, Nt):
# Compute u at inner mesh points
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for i in range(1, Nx):

u[i] = u_1[i] + F*(u_1[i-1] - 2*u_1[i] + u_1[i+1])
# Insert boundary conditions
u[0] = 0; u[Nx] = 0
# Update u_1 before next step
u_1[:]= u
Theprogramdiffu1D_u0.pycontainsafunction solver_FEforsolvingthe1Ddiffusionequationwithu = 0 on
theboundary.Thefunctions plugand gaussianrunsthecasewith I(x) asadiscontinuousplugorasmooth
Gaussianfunction,respectively.Experimentswiththesetwofunctionsrevealsomeimportantobservations:
TheForwardEulerschemeleadstogrowingsolutionsifF
>
I(x) asadiscontinuousplugleadstoasawtoothlikenoisefor F =
isabsentforF
1
4
1
2
,seemovie,which
,seemovie.
ThesmoothGaussianinitialfunctionleadstoasmoothsolution,seemovieforF
1
2
Backward Euler scheme

Wenowapplyabackwarddifferenceintimein(5),butthesamecentraldifferenceinspace:
(9)
[D u = Dx Dx u] ,
t
whichwrittenoutreads
u
n
i
n1
i
u
=
n
i+1
2u
n
i
+ u
(10)
n
i1
Nowweassume un1
iscomputed,butallquantitiesatthenewtimelevel n areunknown.Thistimeitis
i
notpossibletosolvewithrespecttoun
becausethisvaluecouplestoitsneighborsinspace,un
andun
,
i
i1
i+1
which are also unknown. Let us examine this fact for the case when Nx = 3 . Equation (10) written for
i = 1, , N x 1 = 1, 2 becomes
u
n
1
n1
1
u
=
n
2
2u
t
u
n
2
x
n1
2
u
=
n
3
2u
+ u
+ u
n
1
Theboundaryvalues un
and un
areknownaszero.Collectingtheunknownnewvalues un
and un
onthe
0
3
1
2
lefthandsidegives
(1 + 2F ) u
F u
Thisisacoupled 2
formis
n
1
n
1
Fu
n
2
+ (1 + 2F ) u
n
2
= u
n1
1
= u
n1
2
2systemofalgebraicequationsfortheunknowns u
1 + 2F
)(
F
1 + 2F
n
1
n
2
u
) = (
u
n
1
and un
.Theequivalentmatrix
2
n1
1
n1
Implicitvs.explicitmethods: Discretizationmethodsthatleadtoacoupledsystemofequationsforthe
unknownfunctionatanewtimelevelaresaidtobeimplicitmethods.Thecounterpart,explicitmethods,
referstodiscretizationmethodswherethereisasimpleexplicitformulaforthevaluesoftheunknown
functionateachofthespatialmeshpointsatthenewtimelevel.Fromanimplementationalpointofview,
implicitmethodsaremorecomprehensivetocodesincetheyrequirethesolutionofcoupledequations,i.e.,
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amatrixsystem,ateachtimelevel.
Inthegeneralcase,(10)givesrisetoacoupled(N x 1) (N x 1)systemofalgebraicequationsfor
alltheunknown un
attheinteriorspatialpoints i = 1, , N x 1 .Collectingtheunknownsontheleft
i
handside,(10)canbewritten
F u
fori
n
i1
+ (1 + 2F ) u
n
i
Fu
n
i+1
= u
n1
i1
(11)
= 1, , N x 1 .Here,wehaveintroducedthemeshFouriernumber
t
F =
x
One can either view these equations as a system for where the un
values at the internal mesh points,
i
n
n
i = 1, , N x 1 ,areunknown,orwemayappendtheboundaryvalues u and u
tothesystem.In
0
N
the latter case, all un
for i
i
N x 1 equationsin(11):
= 0, , N x are unknown and we must add the boundary equations to the
u
u
n
0
n
Nx
(12)
= 0,
(13)
= 0.
Acoupledsystemofalgebraicequationscanbewrittenonmatrixform,andthisisimportantifwewanttocall
up readymade software for solving the system. Theequations(11)and(12)(13) correspond to the matrix
equation
AU = b
whereU
Nx
= (u , , u
A 0,0
A 1,0
A =
) ,andthematrixA hasthefollowingstructure:
A 0,1
A 1,1
A 2,1
A 2,2
A 2,3
A i,i1
A i,i
A i,i+1
A Nx 1,Nx
A Nx ,Nx 1
A N x ,N x
(14)
Thenonzeroelementsaregivenby
A i,i1 = F
A i,i = 1 + 2F
A i,i+1 = F
fortheequationsforinternalpoints,i
to
= 1, , N x 1 .Theequationsfortheboundarypointscorrespond
A 0,0 = 1,
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A 0,0 = 1,
A 0,1 = 0,
A Nx ,Nx 1 = 0,
A N x ,N x = 1 .
Therighthandsidebiswrittenas
b0
b1
b =
bi
bN x
with
b0 = 0,
bi = u
n1
i
i = 1, , N x 1,
bN x = 0 .
We observe that the matrix A contains quantities that do not change in time. Therefore, A can be formed
onceandforallbeforeweentertherecursiveformulasforthetimeevolution.Therighthandsideb,however,
mustbeupdatedateachtimestep.Thisleadstothefollowingcomputationalalgorithm,heresketchedwith
Pythoncode:
x = linspace(0, L, Nx+1)
dx = x[1] - x[0]
t = linspace(0, T, N+1)
u = zeros(Nx+1)
u_1 = zeros(Nx+1)
# mesh points in space

# mesh points in time
# unknown u at new time level
# u at the previous time level
# Data structures for the linear system

A = zeros((Nx+1, Nx+1))
b = zeros(Nx+1)
A[i,i-1] = -F
A[i,i+1] = -F
A[i,i] = 1 + 2*F
A[0,0] = A[Nx,Nx] = 1
# Set initial condition u(x,0) = I(x)
for i in range(0, Nx+1):
u_1[i] = I(x[i])
import scipy.linalg
# Compute b and solve linear system
b[i] = -u_1[i]
b[0] = b[Nx] = 0
u[:] = scipy.linalg.solve(A, b)
# Update u_1 before next step
u_1[:] = u
Sparse matrix implementation

A
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Wehaveseenfrom(14)thatthematrix A istridiagonal.Thecodesegmentaboveusedafull,densematrix
representation of A , which stores a lot of values we know are zero beforehand, and worse, the solution
algorithm computes with all these zeros. With Nx + 1 unknowns, the work by the solution algorithm is
1
and the storage requirements (Nx + 1) . By utilizing the fact that A is tridiagonal and
employingcorrespondingsoftwaretools,theworkandstoragedemandscanbeproportionaltoNx only.
3
(N x + 1)
The key idea is to apply a data structure for a tridiagonal or sparse matrix. The scipy.sparse package has
relevantutilities.Forexample,wecanstorethenonzerodiagonalsofamatrix.Thepackagealsohaslinear
system solvers that operate on sparse matrix data structures. The code below illustrates how we can store
onlythemaindiagonalandtheupperandlowerdiagonals.
# Representation of sparse matrix and right-hand side
main = zeros(Nx+1)
lower = zeros(Nx-1)
upper = zeros(Nx-1)
b
= zeros(Nx+1)
# Precompute sparse matrix
main[:] = 1 + 2*F
lower[:] = -F #1
upper[:] = -F #1
# Insert boundary conditions
main[0] = 1
main[Nx] = 1
A = scipy.sparse.diags(
diagonals=[main, lower, upper],
offsets=[0, -1, 1], shape=(Nx+1, Nx+1),
format='csr')
print A.todense() # Check that A is correct
# Set initial condition
for i in range(0,Nx+1):
u_1[i] = I(x[i])
b = u_1
b[0] = b[-1] = 0.0 # boundary conditions
u[:] = scipy.sparse.linalg.spsolve(A, b)
u_1[:] = u
The scipy.sparse.linalg.spsolvefunctionutilizesthesparsestoragestructureof Aandperformsinthiscase

averyefficientGaussianeliminationsolve.
The program diffu1D_u0.py contains a function solver_BE, which implements the Backward Euler scheme
sketchedabove.AsmentionedinthesectionForwardEulerscheme,thefunctions plugand gaussianrunsthe
case with I(x) as a discontinuous plug or a smooth Gaussian function. All experiments point to two
characteristicfeaturesoftheBackwardEulerscheme:1)itisalwaysstable,and2)italwaysgivesasmooth,
decayingsolution.
Crank-Nicolson scheme
TheideaintheCrankNicolsonschemeistoapplycentereddifferencesinspaceandtime,combinedwithan
averageintime.WedemandthePDEtobefulfilledatthespatialmeshpoints,butinbetweenthepointsinthe
timemesh:
fori
u(xi , t
n+
) =
u(xi , t
n+
).
= 1, , N x 1 andn = 0, , N t 1 .
Withcentereddifferencesinspaceandtime,weget
n+
[Dt u = Dx Dx u]
1
2
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Ontherighthandsidewegetanexpression
1
n+
(u
n+
Thisexpressionisproblematicsinceui
n+
n+
2u
i1
n+
+ u
1
2
i+1
) .
1
2
isnotoneoftheunknownwecompute.Apossibilityistoreplace
1
2
byanarithmeticaverage:
n+
(u
n
i
+ u
n+1
i
) .
Inthecompactnotation,wecanusethearithmeticaveragenotation
u
:
[Dt u = Dx Dx
u
]
n+
1
2
Afterwritingoutthedifferencesandaverage,multiplyingby t ,andcollectingallunknowntermsontheleft
handside,weget
u
n+1
i
F (u
2
n+1
i1
2u
n+1
i
+ u
n+1
i+1
) = u
n
i
1
+
F (u
2
n
i1
2u
n
i
+ u
n
i+1
).
Alsohere,asintheBackwardEulerscheme,thenewunknowns un+1
, un+1
,and un+1
arecoupledina
i1
i
i+1
linearsystemAU
= b,whereA hasthesamestructureasin(14),butwithslightlydifferententries:
1
A i,i1 =
F
2
1
A i,i =
+ F
2
1
A i,i+1 =
fortheequationsforinternalpoints,i
to
F
2
= 1, , N x 1 .Theequationsfortheboundarypointscorrespond
A 0,0 = 1,
A 0,1 = 0,
A Nx ,Nx 1 = 0,
A N x ,N x = 1 .
Therighthandsidebhasentries
b0 = 0,
bi = u
n1
i
i = 1, , N x 1,
bN x = 0 .
The
rule
Theruleprovidesafamilyoffinitedifferenceapproximationsintime:
= 0 givestheForwardEulerschemeintime
= 1 givestheBackwardEulerschemeintime
1
=
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=
1
2
givestheCrankNicolsonschemeintime
Appliedtothe1Ddiffusionproblemwehave
u
n+1
i
n
i
u
= (
n+1
2u
i+1
n+1
i
+ u
n+1
i1
u
+ (1 )
n
i+1
2u
n
i
+ u
n
i1
) .
Thisschemealsoleadstoamatrixsystemwithentries
A i,i1 = F ,
A i,i = 1 + 2F
, A i,i+1 = F ,
whilerighthandsideentrybi is
bi = u
n
i
u
+ F (1 )
n
i+1
2u
n
i
+ u
n
i1
ThecorrespondingentriesfortheboundarypointsareasintheBackwardEulerandCrankNicolsonschemes
listedearlier.
The Laplace and Poisson equation

The Laplace equation, 2 u = 0, or the Poisson equation, 2 u = f , occur in numerous applications
throughout science and engineering. In 1D these equations read u (x) = 0 and u (x) = f(x) ,
respectively. We can solve 1D variants of the Laplace equations with the listed software, because we can
interpretuxx = 0 asthelimitingsolutionof ut = uxx when ureachasteadystatelimitwhere ut 0 .
Similarly,Poissonsequationuxx = f arisesfromsolvingut = uxx + f andlettingt sout 0 .
Technicallyinaprogram,wecansimulate t byjusttakingonelargetimestep,orequivalently,set
toalargevalue.AllweneedistohaveF large.AsF ,wecanfromtheschemesseethatthelimiting
discreteequationbecomes
u
n+1
i+1
2u
n+1
i
whichisnothingbutthediscretization[Dx Dx u]n+1
i
+ u
n+1
i1
= 0,
= 0 ofuxx = 0 .
The Backward Euler scheme can solve the limit equation directly and hence produce a solution of the 1D
Laplace equation. With the Forward Euler scheme we must do the time stepping since F > 1/2 is illegal
and leads to instability. We may interpret this time stepping as solving the equation system from uxx by
iteratingonatimepseudotimevariable.
Extensions
These extensions are performed exactly as for a wave equation as they only affect the spatial derivatives
(whicharethesameasinthewaveequation).
Variablecoefficients
NeumannandRobinconditions
2Dand3D
Future versions of this document will for completeness and independence of the wave equation document
featureinfoonthethreepoints.TheRobinconditionisnew,butstraightforwardtohandle:
u
= hT (u Us ),
[Dx u = hT (u Us )]
n
i
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Analysis of schemes for the diffusion equation

Properties of the solution
Aparticularcharacteristicofdiffusiveprocesses,governedbyanequationlike
(15)
ut = uxx ,
is that the initial shape u(x, 0) = I(x) spreads out in space with time, along with a decaying amplitude.
Threedifferentexampleswillillustratethespreadingofuinspaceandthedecayintime.
Similarity solution
The diffusion equation (15) admits solutions that depend on
Oneparticularsolutionis
= (x c)/4t for a given value of c .
(16)
u(x, t) = a erf() + b,
where
erf() =
(17)
d,
istheerrorfunction,and a and barearbitraryconstants.Theerrorfunctionliesin (1, 1), is odd around

= 0,andgoesrelativelyquicklyto1 :
lim
erf() = 1,
lim erf() = 1,
erf() = erf(),
erf(0) = 0,
erf(2) = 0.99532227,
erf(3) = 0.99997791 .
As t 0 ,theerrorfunctionapproachesastepfunctioncenteredat x = c .Foradiffusionproblemposed
on the unit interval [0, 1] , we may choose the step at x = 1/2 (meaning c = 1/2 ), a = 1/2,
b = 1/2 .Then
x
1
(1 erf (
u(x, t) =
2
(18)
1
2
erfc (
)) =
),
2
4t
4t
where we have introduced the complementary error function erfc()

impliestheboundaryconditions
= 1 erf() .
The solution (18)
1/2
1
(1 erf (
u(0, t) =
1/2
1
(1 erf (
u(1, t) =
2
(19)
)) ,
4t
(20)
))
4t
Forsmallenought ,u(0, t)
1 andu(1, t) 1 ,butast ,u(x, t) 1/2 on[0, 1] .
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Solution for a Gaussian pulse

Thestandarddiffusionequationut
= uxx admitsaGaussianfunctionassolution:
u(x, t) =
(21)
(x c)
exp (
4t
)
4t
At t = 0 thisisaDiracdeltafunction,soforcomputationalpurposesonemuststarttoviewthesolutionat
sometime t = t > 0 .Replacing t by t + t in(21)makesiteasytooperatewitha(new) t thatstartsat
t = 0 withaninitialconditionwithafinitewidth.Theimportantfeatureof(21)isthatthestandarddeviation
of a sharp initial Gaussian pulse increases in time according to
flattenout.
= 2t , making the pulse diffuse and
Solution for a sine component

Forexample,(15)admitsasolutionoftheform
u(x, t) = Qe
at
(22)
sin (kx)
TheparametersQandk canbefreelychosen,whileinserting(22)in(15)givestheconstraint
a = k
A very important feature is that the initial shape I(x) = Q sin kx undergoes a damping exp (k2 t) ,
meaningthatrapidoscillationsinspace,correspondingtolarge k ,areverymuchfasterdampenedthanslow
oscillationsinspace,correspondingtosmall k .Thisfeatureleadstoasmoothingoftheinitialconditionwith
time.
Thefollowingexamplesillustratesthedampingpropertiesof(22).Weconsiderthespecificproblem
ut = uxx ,
x (0, 1), t (0, T ],
u(0, t) = u(1, t) = 0,
t (0, T ],
u(x, 0) = sin(x) + 0.1 sin(100x) .
Theinitialconditionhasbeenchosensuchthataddingtwosolutionslike(22)constructsananalyticalsolution
totheproblem:
u(x, t) = e
sin(x) + 0.1e
10 t
sin(100x)
(23)
FigureEvolutionofthesolutionofadiffusionproblem:initialcondition(upperleft),1/100reductionofthesmall
waves(upperright),1/10reductionofthelongwave(lowerleft),and1/100reductionofthelongwave(lower
right)illustratestherapiddampingofrapidoscillationssin(100x)andtheverymuchslowerdampingofthe
4
slowly varying sin(x) term. After about t = 0.5 10 the rapid oscillations do not have a visible
amplitude,whilewehavetowaituntilt 0.5 beforetheamplitudeofthelongwavesin(x) becomesvery
small.
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Evolutionofthesolutionofadiffusionproblem:initialcondition(upperleft),1/100reductionofthesmallwaves
(upperright),1/10reductionofthelongwave(lowerleft),and1/100reductionofthelongwave(lowerright)
Example: Diffusion of a discontinues profile

Weshallseehowdifferentschemespredicttheevolutionofadiscontinuousinitialcondition:
u(x, 0) = {
UL ,
x < L/2
UR ,
x L/2
Suchadiscontinuousinitialconditionmayarisewhentwoinsulatedblocksofmetalsatdifferenttemperature
are brought in contact at t = 0 . Alternatively, signaling in the brain is based on release of a huge ion
concentration on one side of a synapse, which implies diffusive transport of a discontinuous concentration
function.
Moretobewritten...
Analysis of discrete equations

Acounterpartto(22)isthecomplexrepresentationofthesamefunction:
u(x, t) = Qe
at
ikx
wherei = 1 istheimaginaryunit.Wecanaddsuchfunctions,oftenreferredtoaswavecomponents,to
makeaFourierrepresentationofageneralsolutionofthediffusionequation:
t ikx
u(x, t)
,
k
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2
u(x, t) bk e
k t
ikx
(24)
kK
whereK isasetofaninfinitenumberofk valuesneededtoconstructthesolution.Inpractice,however,the

seriesistruncatedand K isafinitesetof k valuesneedbuildagoodapproximatesolution.Notethat(23)is
aspecialcaseof(24)whereK = {, 100} ,b = 1 ,andb100 = 0.1.
Theamplitudesbk oftheindividualFourierwavesmustbedeterminedfromtheinitialcondition.At t
haveu k bk exp (ikx) andfindK andbk suchthat
I(x) bk e
ikx
= 0 we
kK
(The relevant formulas for bk come from Fourier analysis, or equivalently, a leastsquares method for
approximatingI(x) inafunctionspacewithbasisexp (ikx) .)
Much insight about the behavior of numerical methods can be obtained by investigating how a wave
component
exp (k t) exp (ikx)
is treated by the numerical scheme. It appears that such wave

2
components are also solutions of the schemes, but the damping factor exp (k t) varies among the
schemes.Toeasetheforthcomingalgebra,wewritethedampingfactorasAn .Theexactamplificationfactor
correspondingtoA isAe
= exp (k t) .
Analysis of the finite difference schemes

Wehaveseenthatageneralsolutionofthediffusionequationcanbebuiltasalinearcombinationofbasic
components
2
k t
ikx
Afundamentalquestioniswhethersuchcomponentsarealsosolutionsofthefinitedifferenceschemes.This
2
isindeedthecase,buttheamplitudeexp (k t) mightbemodified(whichalsohappenswhensolvingthe
ODEcounterpartu = u ).Wethereforelookfornumericalsolutionsoftheform
n
uq = A
ikqx
= A
ikx
(25)
wheretheamplificationfactorA mustbedeterminedbyinsertingthecomponentintoanactualscheme.
Stability (1)
2
Theexactamplificationfactoris Ae = exp ( k t) .Weshouldthereforerequire |A| < 1tohavea

n
decayingnumericalsolutionaswell.If 1 A < 0,A willchangesignfromtimeleveltotimelevel,and
wegetstable,nonphysicaloscillationsinthenumericalsolutionsthatarenotpresentintheexactsolution.
Accuracy (1)
To determine how accurately a finite difference scheme treats one wave component (25), we see that the
n
basic deviation from the exact solution is reflected in how well An approximates Ae , or how well A
approximatesAe .
Analysis of the Forward Euler scheme

TheForwardEulerfinitedifferenceschemeforut
+
[D
= uxx canbewrittenas
n
u = Dx Dx u]q .
Insertingawavecomponent(25)intheschemedemandscalculatingtheterms
A 1
ikqx
n
ikqx
n
[
12/23
10/02/2015

e
ikqx
[D
A]
= e
ikqx
A 1
,
t
and
A
Dx Dx [e
ikx
]q = A
(e
ikqx
sin
kx
(
)) .
2
InsertingthesetermsinthediscreteequationanddividingbyAn eikqx leadsto

A 1
4
=
sin
kx
(
),
2
andconsequently
A = 1 4F sin
kx
(
),
2
where
t
F =
x
isthenumericalFouriernumber.Thecompletenumericalsolutionisthen
n
uq
= (1 4F sin
kx
(
))
ikqx
Stability (2)
Weeasilyseethat A 1 .However,the A canbelessthan 1,whichwillleadtogrowthofanumerical
wavecomponent.ThecriterionA 1 implies
2
4F sin (p/2) 2 .
Theworstcaseiswhensin2 (p/2)
= 1 ,soasufficientcriterionforstabilityis
1
F
,
2
orexpressedasaconditionont :
x
.
2
Notethathalvingthespatialmeshsize, x 1 x ,requires t tobereducedbyafactorof 1/4 .The

2
methodhencebecomesveryexpensiveforfinespatialmeshes.
Accuracy (2)
SinceA isexpressedintermsofF andtheparameterwenowcallp
andp :
= kx/2 ,wealsoexpressA e by F
A e = exp (k t) = exp (4F p ) .
ComputingtheTaylorseriesexpansionofA/Ae intermsofF caneasilybedonewithaidof sympy:

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10/02/2015
def A_exact(F, p):

return exp(-4*F*p**2)
def A_FE(F, p):
return 1 - 4*F*sin(p)**2
from sympy import *
F, p = symbols('F p')
A_err_FE = A_FE(F, p)/A_exact(F, p)
print A_err_FE.series(F, 0, 6)
Theresultis
A
= 1 4F sin
p + 2F p
16F
sin
p + 8F
Ae
Recalling that F =
termsareatmost
t/x , p = kx/2 , and that sin
t
1 4
x
+ t 4 t
p 1 , we realize that the dominating error
+ t x
+ .
Analysis of the Backward Euler scheme

Discretizingut
= uxx byaBackwardEulerscheme,
n
[D u = Dx Dx u]q ,
t
and inserting a wave component (25), leads to calculations similar to those arising from the Forward Euler
scheme,butsince
ikqx
[D A]
t
= A
ikqx
1 A
,
t
weget
1 A
4
=
sin
kx
),
2
andthen
A = (1 + 4F sin
(26)
p)
Thecompletenumericalsolutioncanbewritten
n
uq = (1 + 4F sin
p)
ikqx
Stability (3)
Weseefrom(26)that 0
oscillatoryforanyt >
< A < 1 ,whichmeansthatallnumericalwavecomponentsarestableandnon

0.
Analysis of the Crank-Nicolson scheme

TheCrankNicolsonschemecanbewrittenas
x
n+
[Dt u = Dx Dx
u
]q
1
2
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10/02/2015
or
n+
[Dt u]q
=
2
n+1
([Dx Dx u]q + [Dx Dx u]q
) .
Inserting(25)inthetimederivativeapproximationleadsto
1
[Dt A
ikqx n+
1
2
= A
n+
1
2
ikqx
1
2
= A
ikqx
A 1
.
t
Inserting(25)intheothertermsanddividingbyAn eikqx givestherelation

A 1
1
=
sin
kx
(
) (1 + A),
2
andaftersomemorealgebra,
1 2F sin
A =
1 + 2F sin
p
.
p
Theexactnumericalsolutionishence
n
uq
1 2F sin
= (
1 + 2F sin
p
)
ikpx
Stability (4)
ThecriteriaA
> 1 andA < 1 arefulfilledforanyt > 0 .
Summary of accuracy of amplification factors

Wecanplotthevariousamplificationfactorsagainst p = kx/2 fordifferentchoicesofthe F parameter.
FiguresAmplificationfactorsforlargetimesteps,AmplificationfactorsfortimestepsaroundtheForwardEuler
stabilitylimit,andAmplificationfactorsforsmalltimestepsshowhowlongandsmallwavesaredampedby
the various schemes compared to the exact damping. As long as all schemes are stable, the amplification
factorispositive,exceptforCrankNicolsonwhenF > 0.5 .
Amplificationfactorsforlargetimesteps
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AmplificationfactorsfortimestepsaroundtheForwardEulerstabilitylimit
Amplificationfactorsforsmalltimesteps
Theeffectofnegativeamplificationfactorsisthat An changessignfromonetimeleveltothenext,thereby
givingrisetooscillationsintimeinananimationofthesolution.WeseefromFigureAmplificationfactorsfor
largetimestepsthatfor F = 20 ,waveswith p /2 undergoadampingcloseto 1,whichmeansthat
theamplitudedoesnotdecayandthatthewavecomponentjumpsupanddownintime.ForF = 2 wehave
a damping of a factor of 0.5 from one time level to the next, which is very much smaller than the exact
damping.Shortwaveswillthereforefailtobeeffectivelydampened.Thesewaveswillmanifestthemselvesas
highfrequencyoscillatorynoiseinthesolution.
ikx
Avaluep = /4 correspondstofourmeshpointsperwavelengthofe ,whilep = /2 impliesonlytwo

points per wave length, which is the smallest number of points we can have to represent the wave on the
mesh.
To demonstrate the oscillatory behavior of the CrankNicolson scheme, we choose an initial condition that
leadstoshortwaveswithsignificantamplitude.AdiscontinuousI(x) willinparticularservethispurpose.
RunF
=. . . ...
Exercise 1: Use an analytical solution to formulate a 1D test

Thisexerciseexplorestheexactsolution(21).Weshallformulateadiffusionprobleminhalfofthedomainfor
half of the Gaussian pulse. Then we shall investigate the impact of using an incorrect boundary condition,
which we in general cases often are forced due if the solution needs to pass through finite boundaries
undisturbed.
u/x = 0
16/23
10/02/2015
a)Thesolution(21)isseentobesymmetricat x = c ,because u/x = 0alwaysvanishesfor x = c .

Usethispropertytoformulateacompleteinitialboundaryvalueproblemin1Dinvolvingthediffusionequation
ut = uxx on[0, L] withux (0, t) = 0 andu(L, t) known.
b)Usetheexactsolutiontosetupaconvergenceratetestforanimplementationoftheproblem.Investigateif
aonesideddifferenceforux (0, t),sayu0 = u1 ,destroysthesecondorderaccuracyinspace.
c)Imaginethatwewanttosolvetheproblemnumericallyon [0, L] ,butwedonotknowtheexactsolution
and cannot of that reason assign a correct Dirichlet condition at x = L . One idea is to simply set
u(L, t) = 0 since this will be an accurate approximation before the diffused pulse reaches x = L and
eventhereafteritmightbeasatisfactorycondition.Let ue betheexactsolutionandlet ubethesolutionof
ut = uxx withaninitialGaussianpulseandtheboundaryconditions ux (0, t) = u(L, t) = 0 .Derivea
diffusionproblemfortheerrore = ue u.SolvethisproblemnumericallyusinganexactDirichletcondition
atx = L .Animatetheevolutionoftheerrorandmakeacurveplotoftheerrormeasure
L
2
e dx
0
E(t) =
.
L

udx
0
Isthisasuitableerrormeasureforthepresentproblem?
d)Insteadofusing u(L, t) = 0 asapproximateboundaryconditionforlettingthediffusedGaussianpulse
outofourfinitedomain,onemaytry ux (L, t) = 0 sincethesolutionforlarge t isquiteflat.Arguethatthis
conditiongivesacompletelywrongasymptoticsolutionast 0 .Todothis,integratethediffusionequation
from 0 to L , integrate uxx by parts (or use Gauss divergence theorem in 1D) to arrive at the important
property
L
dt
L
implyingthat0
u(x, t)dx = 0,
0
udx mustbeconstantintime,andtherefore
L
u(x, t)dx =
0
I(x)dx .
0
Theintegraloftheinitialpulseis1.
e)Anotherideaforanartificialboundaryconditionatx
= L istouseacoolinglaw
ux = q(u uS ),
(27)
whereq isanunknownheattransfercoefficientanduS isthesurroundingtemperatureinthemediumoutside

of[0, L] .(NotethatarguingthatuS isapproximatelyu(L, t) givestheux = 0 conditionfromtheprevious
subexercise that is qualitatively wrong for large t .) Develop a diffusion problem for the error in the solution
using (27) as boundary condition. Assume one can take uS = 0 outside the domain as u 0 for
x .Findafunctionq = q(t) suchthattheexactsolutionobeysthecondition(27).Testsomeconstant
values of q and animate how the corresponding error function behaves. Also compute E(t) curves as
suggestedinsubexerciseb).
Filename: diffu_symmetric_gaussian.py.
Exercise 2: Use an analytical solution to formulate a 2D test

Generalize(21) to multi dimensions by assuming that onedimensional solutions can be multiplied to solve
2
ut = u .Usethissolutiontoformulatea2DtestcasewherethepeakoftheGaussianisattheorigin
andwherethedomainisarectanguleinthefirstquadrant.Usesymmetryboundaryconditions u/n = 0
whereever possible, and use exact Dirichlet conditions on the remaining boundaries. Filename:
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10/02/2015
diffu_symmetric_gaussian_2D.pdf.
Exercise 3: Examine stability of a diffusion model with a source term

Consideradiffusionequationwithalinearuterm:
ut = uxx + u .
a)DeriveindetailaForwardEulerscheme,aBackwardEulerscheme,andaCrankNicolsonforthistypeof
diffusionmodel.Thereafter,formulatearuletosummarizethethreeschemes.
b)Assumeasolutionlike(22)andfindtherelationbetweena ,k , ,and .
c)CalculatethestabilityoftheForwardEulerscheme.Designnumericalexperimentstoconfirmtheresults.
d)Repeatc)fortheBackwardEulerscheme.
e)Repeatc)fortheCrankNicolsonscheme.
f)Howdoestheextratermbu impacttheaccuracyofthethreeschemes?
Hint.Comparethenumericalandexactamplificationfactors,eitheringraphsorbyTaylorseriesexpansion
(orboth).
Filename: diffu_stab_uterm.pdf.
Diffusion in heterogeneous media

Diffusion in heterogeneous media will normally imply a nonconstant diffusion coefficient
diffusionmodelwithsuchavariablediffusioncoefficientreads
u
(28)
u
((x)
= (x). A 1D
),
x (0, L), t (0, T ]
u(x, 0) = I(x),
(29)
x [0, L]
u(0, t) = U0 ,
u(L, t) = UL ,
t > 0,
(30)
t > 0.
(31)
Ashortformofthediffusionequationwithvariablecoefficientsisut
= (ux )x .
Stationary solution
As t , the solution of the above problem will approach a stationary limit where u/t
governingequationisthen
d
dx
The
(32)
du
(
= 0 .
) = 0,
dx
withboundaryconditions u(0) = U0 and u(L) = uL .Itispossibletoobtainanexactsolutionof(32) for

any .Integratingtwiceandapplyingtheboundaryconditionstodeterminetheintegrationconstantsgives
u(x) = U0 + (UL U0 )
x
0
L
(())
(33)
d
.
(())
Piecewise constant medium

18/23
10/02/2015
Consider a medium built of M layers. The boundaries between the layers are denoted by b0 , , bM ,
whereb0 = 0and bM = L .Ifthematerialineachlayerpotentiallydiffersfromtheothers,butisotherwise
constant,wecanexpress asapiecewiseconstantfunctionaccordingto
0 ,
(x) = i ,
b0 x < b1 ,
(34)
bi x < bi+1 ,
0 ,
bM1 x bM .
Theexactsolution(33)incaseofsuchapiecewiseconstant functioniseasytoderive.Assumethatxisin
x
them thlayer: x [bm , bm+1 ] .Intheintegral 0 (a())

layersandthenaddthecontributionfromtheremainingpartx
m1
j=0
d wemustintegratethroughthefirst m 1
bm intothem thlayer:
(bj+1 bj )/(bj ) + (x bm )/(bm )
u(x) = U0 + (UL U0 )
M1
j=0
(35)
(bj+1 bj )/(bj )
Remark. It may sound strange to have a discontinuous in a differential equation where one is to
differentiate,butadiscontinuous iscompensatedbyadiscontinuous ux suchthat ux iscontinuesand
thereforecanbedifferentiatedas(ux )x .
Implementation
Programmingwithpiecewisefunctiondefinitionquicklybecomescumbersomeasthemostnaiveapproachis
totestforwhichintervalxlies,andthenstartevaluatingaformulalike(35).InPython,vectorizedexpressions
may help to speed up the computations. The convenience classes PiecewiseConstant and
IntegratedPiecewiseConstantweremadetosimplifyprogrammingwithfunctionslike(34)andexpressionslike
(35). These utilities not only represent piecewise constant functions, but also smoothed versions of them
where the discontinuities can be smoothed out in a controlled fashion. This is advantageous in many
computationalcontexts(althoughseldomforpurefinitedifferencecomputationsofthesolutionu).
The PiecewiseConstant class is created by sending in the domain as a 2tuple or 2list and a data object
describing the boundaries b0 , , bM and the corresponding function values 0 , , M1 . More
precisely, dataisanestedlist,where data[i][0]holds bi and data[i][1]holdsthecorrespondingvalue i ,
fori = 0, , M 1 .Givenbi andi inarrays band a,itiseasytofilloutthenestedlist data.
Inourapplication,wewanttorepresent and 1/ aspiecewiseconstantfunction,inadditiontothe u(x)
function which involves the integrals of 1/ . A class creating the functions we need and a method for
evaluatingu,cantaketheform
class SerialLayers:
"""
b: coordinates of boundaries of layers, b[0] is left boundary
and b[-1] is right boundary of the domain [0,L].
a: values of the functions in each layer (len(a) = len(b)-1).
U_0: u(x) value at left boundary x=0=b[0].
U_L: u(x) value at right boundary x=L=b[0].
"""
def __init__(self, a, b, U_0, U_L, eps=0):
self.a, self.b = np.asarray(a), np.asarray(b)
self.eps = eps # smoothing parameter for smoothed a
self.U_0, self.U_L = U_0, U_L
a_data = [[bi, ai] for bi, ai in zip(self.b, self.a)]
domain = [b[0], b[-1]]
self.a_func = PiecewiseConstant(domain, a_data, eps)
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10/02/2015
# inv_a = 1/a is needed in formulas

inv_a_data = [[bi, 1./ai] for bi, ai in zip(self.b, self.a)]
self.inv_a_func = \
PiecewiseConstant(domain, inv_a_data, eps)
self.integral_of_inv_a_func = \
IntegratedPiecewiseConstant(domain, inv_a_data, eps)
# Denominator in the exact formula is constant
self.inv_a_0L = self.integral_of_inv_a_func(b[-1])
def __call__(self, x):
solution = self.U_0 + (self.U_L-self.U_0)*\
self.integral_of_inv_a_func(x)/self.inv_a_0L
return solution
Avisualizationmethodisalsoconvenienttohave.Belowweplotu(x)alongwith(x) (whichworkswellas
longasmax (x) isofthesamesizeasmax u = max(U0 , UL ) ).
class SerialLayers:
...
def plot(self):
x, y_a = self.a_func.plot()
x = np.asarray(x); y_a = np.asarray(y_a)
y_u = self.u_exact(x)
import matplotlib.pyplot as plt
plt.figure()
plt.plot(x, y_u, 'b')
plt.hold('on') # Matlab style
plt.plot(x, y_a, 'r')
ymin = -0.1
ymax = 1.2*max(y_u.max(), y_a.max())
plt.axis([x[0], x[-1], ymin, ymax])
plt.legend(['solution $u$', 'coefficient $a$'], loc='upper left')
if self.eps > 0:
plt.title('Smoothing eps: %s' % self.eps)
plt.savefig('tmp.pdf')
plt.savefig('tmp.png')
plt.show()
FigureSolutionofthestationarydiffusionequationcorrespondingtoapiecewiseconstantdiffusioncoefficient
showsthecasewhere
b = [0, 0.25, 0.5, 1]
a = [0.2, 0.4, 4]
U_0 = 0.5; U_L = 5
# material boundaries
# material values
# boundary conditions
Solutionofthestationarydiffusionequationcorrespondingtoapiecewiseconstantdiffusioncoefficient
Byaddingthe epsparametertotheconstructorofthe SerialLayersclass,wecanexperimentwithsmoothed
versions of and see the (small) impact on u. Figure Solution of the stationary diffusion equation
correspondingtoa*smoothedpiecewiseconstantdiffusioncoefficient*showstheresult.
20/23
10/02/2015
Solutionofthestationarydiffusionequationcorrespondingtoa*smoothedpiecewiseconstantdiffusion
coefficient*
Exercises
Exercise 4: Stabilizing the Crank-Nicolson method by Rannacher time
stepping
It is well known that the CrankNicolson method may give rise to nonphysical oscillations in the solution of
diffusionequationsiftheinitialdataexhibitjumps(seethesectionAnalysis of the CrankNicolson scheme).
Rannacher[Ref1] suggested a stabilizing technique consisting of using the Backward Euler scheme for the
firsttwotimestepswithsteplength 1 t.Onecangeneralizethisideatotaking2m timestepsofsize 1 t
2
2
with the Backward Euler method and then continuing with the CrankNicolson method, which is of second
order in time. The idea is that the high frequencies of the initial solution are quickly damped out, and the
BackwardEulerschemetreatsthesehighfrequenciescorrectly.Thereafter,thehighfrequencycontentofthe
solutionisgoneandtheCrankNicolsonmethodwilldowell.
Test this idea for m = 1, 2, 3 on a diffusion problem with a discontinuous initial condition. Measure the
convergence rate using the solution (18) with the boundary conditions (19)(20) for t values such that the
conditionsareinthevicinityof1.Forexample,t < 5a1.6 102 makesthesolutiondiffusionfromastep
toalmostastraightline.Theprogram diffu_erf_sol.pyshowshowtocomputetheanalyticalsolution.
Project 5: Energy estimates for diffusion problems

This project concerns socalled energy estimates for diffusion problems that can be used for qualitative
analyticalinsightandforverificationofimplementations.
a)Westartwitha1DhomogeneousdiffusionequationwithzeroDirichletconditions:
ut = ux x, x = (0, L), t (0, T ],
(36)
u(0, t) = u(L, t) = 0, t (0, T ],
(37)
u(x, 0) = I(x), x [0, L]
(38)
Theenergyestimateforthisproblemreads
||u||
wherethe||
||
||I||
(39)
normisdefinedby
||g|
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10/02/2015
(40)
||g||
g dx .
0
Thequantify||u||L or 2 ||u||L isknownastheenergyofthesolution,althoughitisnotthephysicalenergy

ofthesystem.Amathematicaltraditionhasintroducedthenotionenergyinthiscontext.
2
Theestimate(39)saysthatthesizeof$u$neverexceedsthatoftheinitialcondition,ormoreequivalently,
thattheareaundertheucurvedecreaseswithtime.
Toshow(39),multiplythePDEby uandintegratefrom 0 to L .Usethat uut canbeexpressedasthetime
derivative of u2 and that ux xu can integrated by parts to form an integrand u2x . Show that the time
2
derivativeof||u||L mustbelessthanorequaltozero.Integratethisexpressionandderive(39).
2
b)Nowweaddressaslightlydifferentproblem,
ut = ux x + f(x, t), x = (0, L), t (0, T ],
(41)
u(0, t) = u(L, t) = 0, t (0, T ],
(42)
u(x, 0) = 0, x [0, L]
(43)
Theassociatedenergyestimateis
||u||
||f||
(44)
(Thisresultismoredifficulttoderive.)
NowconsiderthecompoundproblemwithaninitialconditionI(x) andarighthandsidef(x, t) :
ut = ux x + f(x, t), x = (0, L), t (0, T ],
(45)
u(0, t) = u(L, t) = 0, t (0, T ],
(46)
u(x, 0) = I(x), x [0, L]
(47)
Show that if w1 fulfills (36)(38) and w2 fulfills (41)(43), then u

Usingthetriangleinequalityfornorms,
= w1 + w2 is the solution of (45)(47).
||a + b|| ||a|| + ||b||,
showthattheenergyestimatefor(45)(47)becomes
||u||
||I||
+ ||f||
(48)
c)Oneapplicationof(48) is to prove uniqueness of the solution. Suppose u1 and u2 both fulfill (45)(47).
Showthat u = u1 u2 thenfulfills(45)(47)with f = 0and I = 0.Use(48)todeducethattheenergy
mustbezeroforalltimesandthereforethatu1 = u2 ,whichprovesthatthesolutionisunique.
d)Generalize(48)toa2D/3Ddiffusionequationut
= (u) forx .
Hint.Useintegrationbypartsinmultidimensions:
u
u (u) dx =
where n
u u dx +
,
n
= n u ,n beingtheoutwardunitnormaltotheboundary ofthedomain .
e)NowwealsoconsiderthemultidimensionalPDEut
= (u) .Integratebothsidesover anduse
q dx =
q n ds
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Gauss divergence theorem,

q dx =
q n ds
for a vector field q . Show that if we have
homogeneous Neumann conditions on the boundary, u/n

constantintimeand
= 0 ,
area under the u surface remains

(49)
u dx =
I dx .
f)Establishacodein1D,2D,or3Dthatcansolveadiffusionequationwithasourceterm f ,initialcondition
I ,andzeroDirichletorNeumannconditionsonthewholeboundary.
Wecanuse(48)and(49)asapartialverificationofthecode.Choosesomefunctionsf andI andcheckthat
(48) is obeyed at any time when zero Dirichlet conditions are used. Iterate over the same I functions and
checkthat(49)isfulfilledwhenusingzeroNeumannconditions.
g)Makealistofsomepossiblebugsinthecode,suchasindexingerrorsinarrays,failuretosetthecorrect
boundaryconditions,evaluationofatermatawrongtimelevel,andsimilar.Foreachofthebugs,seeifthe
verificationtestsfromtheprevioussubexercisepassorfail.Thisinvestigationshowshowstrongtheenergy
estimatesandtheestimate(49)areforpointingouterrorsintheimplementation.
Filename: diffu_energy.pdf.
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The 1D Diffusion Equation

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The 1D diffusion equation

The 1D diffusion equation

preservedthesolutionisbasicallyamovinginitialcondition.Thestandardwaveequationutt = c uxx has

The initial-boundary value problem for 1D diffusion

0 . The complete initialboundary value diffusion

x (0, L), t (0, T ]

The 1D diffusion equation

Forward Euler scheme

denotes the mesh function that approximates u(xi , t n ) for i = 0, , Nx

# mesh points in space

# Set initial condition u(x,0) = I(x)

The 1D diffusion equation

for i in range(1, Nx):

Backward Euler scheme

The 1D diffusion equation

= 0, , N x are unknown and we must add the boundary equations to the

The 1D diffusion equation

# mesh points in space

# Data structures for the linear system

Sparse matrix implementation

The 1D diffusion equation

The scipy.sparse.linalg.spsolvefunctionutilizesthesparsestoragestructureof Aandperformsinthiscase

The 1D diffusion equation

The 1D diffusion equation

The Laplace and Poisson equation

The 1D diffusion equation

Analysis of schemes for the diffusion equation

= (x c)/4t for a given value of c .

istheerrorfunction,and a and barearbitraryconstants.Theerrorfunctionliesin (1, 1), is odd around

where we have introduced the complementary error function erfc()

The solution (18)

1 andu(1, t) 1 ,butast ,u(x, t) 1/2 on[0, 1] .

The 1D diffusion equation

Solution for a Gaussian pulse

= 2t , making the pulse diffuse and

Solution for a sine component

x (0, 1), t (0, T ],

u(x, 0) = sin(x) + 0.1 sin(100x) .

The 1D diffusion equation

Example: Diffusion of a discontinues profile

Analysis of discrete equations

The 1D diffusion equation

whereK isasetofaninfinitenumberofk valuesneededtoconstructthesolution.Inpractice,however,the

exp (k t) exp (ikx)

is treated by the numerical scheme. It appears that such wave

Analysis of the finite difference schemes

Theexactamplificationfactoris Ae = exp ( k t) .Weshouldthereforerequire |A| < 1tohavea

Analysis of the Forward Euler scheme

The 1D diffusion equation

InsertingthesetermsinthediscreteequationanddividingbyAn eikqx leadsto

Notethathalvingthespatialmeshsize, x 1 x ,requires t tobereducedbyafactorof 1/4 .The

A e = exp (k t) = exp (4F p ) .

ComputingtheTaylorseriesexpansionofA/Ae intermsofF caneasilybedonewithaidof sympy:

The 1D diffusion equation

def A_exact(F, p):

t/x , p = kx/2 , and that sin

p 1 , we realize that the dominating error

Analysis of the Backward Euler scheme

< A < 1 ,whichmeansthatallnumericalwavecomponentsarestableandnon

Analysis of the Crank-Nicolson scheme

The 1D diffusion equation

([Dx Dx u]q + [Dx Dx u]q

Inserting(25)intheothertermsanddividingbyAn eikqx givestherelation