Multigrid Metods and Applications-Hackbuch

Springer Series in 4
(omputational
Mathematics
Editorial Board
R.L. Graham, La Jolla (CA)
J. Stoer, (Wrzburg)
R. Varga, Kent (Ohio)
Springer-Verlag Berlin Heidelberg GmbH
Wolfgang Hackbusch
Multi-Grid Methods
and Applications
With 43 Figures and 48 Tables
i Springer
Wolfgang Hackbusch
MPI fr Mathematik
in den Naturwissenschaften
Inselstr. 22-26
04103 Leipzig, Germany
e-mail: wh@mis.mpg.de
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Second Printing 2003
Mathematics Subject Classification (2000): 65 N 55
ISSN 0179-3632
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DOI 10.1007/978-3-662-02427-0
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Preface
Although multi-grid methods had already been described in the early 1960's,
it was not until the mid-seventies that they were realised to be very efficient
methods of solution with a broad area of application. Over the past ten years,
the number of publications on this topic has grown rapidly with the result that
in searching for information about multi-grid methods at the present time, one
is confronted with an abundance of articles scattered in a wide range of period-
icals and proceedings.
This mono graph is an attempt to describe the basic concepts of multi-grid
methods. Different groups of readers may be interested in different parts of the
book. The first part, which concentrates on the algorithmic details, is intended
for readers interested in the theory and practice of multi-grid methods. The
second part is devoted to the mathematical analysis, and is especially intended
for mathematicians. Readers interested in engineering and technical applica-
tions will find numerous chapters on specific multi-grid applications and addi-
tional techniques: the primary emphasis is on applications in the field of fluid
dynamics. A special chapter is dedicated to the multi-grid algorithms for inte-
gral equations, a topic which up until now has found little recognition in the
literature.
I would like to thank numerous colleagues here and abroad for the many
fruitful discussions and ideas they have shared with me. My special thanks to
my colleagues S. McKee, G. Shaw, and S. Trickett at Oxford for anglicising my
manuscript. I would also like to thank Mrs. B. Koberling for carefully typing
the major portion of the manuscript. I am very grateful to my colleagues
D. Braess and R. Verfrth and my associates G. Hofmann and G. Wittum for
their help in proofreading. Last but not least, I would like to thank Springer-
Verlag for their friendly co operation.
Kiel, June 1985 W. Hackbusch

Contents
1. Preliminaries
1.1 Introduetion 1
1.2 Notation. 2
1.3 Some Elements from Linear Algebra 5
1.3.1 Analysis of Iterative Proeesses . 5
1.3.2 Norms . 6
1.3.3 Symmetrie Matriees 8
1.4 Some Elements from Funetional Analysis 9
1.4.1 Continuous Funetions and Hlder Spaees 9
1.4.2 Sobolev Spaees 10
1.4.3 Dual Spaees 10
1.4.4 Hilbert Seales . 11
1.4.5 Sesqui-Linear Forms . 14
1.5 Exereises . 15
2. Introductory Model Problem 17

2.1 One-Dimensional Model Problem 17
2.2 Smoothing Effeet of Classical Iterations 18
2.3 Two-Grid Method . 21
2.4 Convergenee of the Two-Grid Iteration . 25
2.5 Multi-Grid Method 30
2.6 Comments 34
2.6.1 Variants of the Two- and Multi-Grid Iteration 34
2.6.2 Contraetion Numbers with Respeet to Other Norms 35
2.6.3 Measuring of the Smoothing Effeet 36
2.6.4 The Multi-Grid Iteration as a New Type of Iteration 37
2.6.5 Historieal Comments 38
2.7 Exercises . 39
3. General Two-Grid Method 41

3.1 The Boundary Value Problem and Its Diseretisation 41
3.1.1 The Boundary Value Problem. 41
VIII Contents
3.1.2 Finite Difference Discretisation . . . . . 43

3.1.3 Conforming Finite Element Discretisation 46
3.2 Two-Grid Algorithm . 48
3.3 Smoothing Iterations . . . . . 49
3.5.1 Gau-Seidel Iteration . . . . . 49
3.3.2 Modifications of Jacobi's Iteration 52
3.3.3 Blockwise Iterations . . . . . 54
3.3.4 ADI as a Smoothing Procedure 55
3.3.5 Semi-Iterative Methods 56
3.3.6 Conjugate Gradient Methods 57
3.3.7 Other Smoothing Iterations . 58
3.4 Prolongation . . . . . . . 58
3.4.1 Fine and Coarse Grid . . . 58
3.4.2 Piecewise Linear Interpolation as Prolongation 59
3.4.3 Interpolation of Higher Order. 61
3.4.4 Modifications. . . . . . . . . . . . . . . 63
3.5 Restrietion . . . -: . . . . . . . . . . . . 64
3.6 Canonical Prolongations and Restrietions for Finite Element
Equations . . . . 66
3.7 Coarse-Grid Matrix . . . . . . . . . 68
3.8 Comments . . . . . . . . . . . . . 69
3.8.1 Separated Discrete Boundary Conditions 69
3.8.2 Construction of a Finite Element Hierarchy 71
3.8.3 A Further Variant of the Two-Grid Iteration 74
3.8.4 The Case of 0'-1 q: 0, . . . . . . 76
3.8.5 Comment on Weighted Restrietions 77
3.9 Exercises. . . . . . . . . 78
4. General Multi-Grid Iteration 80

4.1 Multi-Grid Algorithm . . . 80
4.2 Convergence of the Multi-Grid Iteration 85
4.3 Computational Work . . . . . . . . 86
4.4 Examples of Multi-Grid Iterations and Numerical Results . 89
4.4.1 A Multi-Grid Program for Solving Poisson's Equation 89
4.4.2 Poisson's Equation in a General Domain 94
4.4.3 Other Boundary Conditions 95
4.4.4 Further Poisson Solvers . 96
5. Nested Iteration Technique 98

5.1 Algorithm . . . . . . . 98
5.2 Analysis of the Nested Iteration .100
5.3 Computational Work and Efficiency .103
5.4 Nested Iteration with Extrapolation .104
5.5 Numerical Example . . . . . . . .107
Contents IX
5.6 Comments .109

5.7 Exereises . .110
6. Convergence of the Two-Grid Iteration .112

6.1 Suffieient Conditions for Convergenee .112
6.1.1 The Two-Grid Iteration Matrix .112
6.1.2 A Faetorisation of M, .113
6.1.3 Smoothing and Approximation Properties .113
6.1.4 A General Convergenee Theorem .114
6.1.5 The Case of v2 =t= 0 .115
6.2 The Smoothing Property .116
6.2.1 Preparatory Lemmata .117
6.2.2 Criteria .120
6.2.3 The Smoothing Property of the Jaeobi Iterations .122
6.2.3.1 The Simple Damped Jaeobi Iteration ... .122
6.2.3.2 The Damped Jaeobi Iteration (3.3.6) . .123
6.2.3.3 Jaeobi's Iteration with Squared Matrix . .123
6.2.3.4 The Case of Non-Hermitian L, .124
6.2.4 The Smoothing Property of the Gau-Seidel Iteration .125
6.2.4.1 The 2-Cyclie Gau-Seidel Iteration .125
6.2.4.2 The Lexieographieal Gau-Seidel Iteration .128
6.2.4.3 The Symmetrie Gau-Seidel Iteration .129
6.2.4.4 Estimates with Respeet to Other Norms .130
6.2.4.5 The Case of Non-Hermitian L, .131
6.2.5 The Smoothing Property of Semi-Iterative Methods .131
6.2.5.1 Riehardson's Iteration .131
6.2.5.2 The Aeeelerated Symmetrie Gau-Seidel Iteration .133
6.2.5.3 The Alternating Direetion Method . .134
6.3 The Approximation Property .134
6.3.1 The Approximation Property of Finite Element Equations .135
6.3.1.1 The Definition of the Problem .135
6.3.1.2 The Standard Case .137
6.3.1.3 The Less Regular Case . .140
6.3.1.4 The Very Regular Case . .143
6.3.1.5 The Smoothing Property Revisited . .144
6.3.2 The Approximation Property of Finite Differenee
Sehemes .145
6.3.2.1 The Discrete Regularity .145
6.3.2.2 Criteria .147
6.4 The Symmetrie Case . .150
6.4.1 Quantitative Analysis .150
6.4.2 Estimates Without Regularity Assumptions .154
6.5 Comments .155
6.6 Exereises . .157
x Contents
7. Convergence of the Multi-Grid Iteration . .160

7.1 The General Convergenee Theorem .160
7.2 The Symmetrie Case . .164
7.3 Comments .167
7.4 Exercises. . . . .167
8. Fourier Analysis. .169

8.1 Model Examples . . . . . . .169
8.1.1 Poisson's Equation in a Square .169
8.1.2 Periodie Boundary Conditions .173
8.1.3 The Case of Q = JRd . . . . . .175
8.2 Loeal Mode Analysis . . . . .176
8.2.1 Negleet of the Boundary Conditions .177
8.2.2 Treatment of Variable Coeffieients . .177
8.2.3 Idealisation of the Coarse-Grid Correetion and Smoothing
Rates . . . . . . . . . . . . ....... . .178
9. NonIinear Multi-Grid Methods .181

9.1 The Nonlinear Problem . . . .181
9.2 Newton-Multi-Grid Iteration . .182
9.3 The Nonlinear Multi-Grid Iteration .183
9.3.1 Nonlinear Smoothing Iterations . . .184
9.3.2 The Nonlinear Two-Grid Iteration . .185
9.3.3 The Nonlinear Multi-Grid Algorithm .187
9.3.4 The Nonlinear Nested Iteration . . . .188
9.4 Numerical Example: Natural Conveetion in an
Enclosed Cavity. . . . . . . . . . . . . . .189
9.5 Convergenee Analysis . . . . . . . . . . . .192
9.5.1 Convergenee of the Nonlinear Two-Grid Iteration .192
9.5.2 Convergenee of the Nonlinear Multi-Grid Iteration .196
9.5.3 Analysis of the Nonlinear Nested Iteration .198
9.6 Exereises. . . . . . . . . . .199
10. Singular Perturbation Problems .201

10.1 Anisotropie Elliptic Equations .201
10.1.1 A Model Problem . . . . . . .201
10.1.2 Smoothing with Respeet to Alternating Direetions .204
10.1.3 The Ineomplete LU Deeomposition as a Smoother . .205
10.2 Indefinite Problems . . . . . . . .209
10.2.1 Strongly Positive Definite Problems .209
10.2.2 Weakly Indefinite Problems. .210
10.3 Interface Problems . . . . . . . .212
Contents XI
10.3.1 A One-Dimension Model Example . .212

10.3.2 Two-Dimensional Interface Problems .215
10.4 Convection Diffusion Equation .217
10.4.1 The Continuous Problem. .217
10.4.2 Stable Discretisations . . . . .218
10.4.3 Multi-Grid Algorithms. . . . .220
10.4.3.1 The Case of the Stable Discretisation (5b). .220
10.4.3.2 Wesseling's Multi-Grid Algorithm . . . . .222
10.4.3.3 The Case of Scheme (5a) with Artificial Viscosity .223
10.5 Comments .226
10.6 Exercises.................. .229
11. Elliptic Systems .231

11.1 Examples ......... . .231
11.1.1 Systems of Coupled Elliptic Equations .231
11.1.2 Examples: Systems of Cauchy-Riemann, Stokes, and
Navier-Stokes . . . . . . . .233
11.1.3 Ellipticity of a General System .234
11.1.4 Variational Formulation . . . .235
11.1.5 Discretisation. . . . . . . . .236
11.2 A Multi-Grid Approach to a General System .237
11.2.1 Appropriate Norms and Scales .237
11.2.1.1 The Continuous Case . .237
11.2.1.2 Discrete Spaces . . . . . . . .238
11.2.1.3 Approximation Property . . . .239
11.2.2 A Smoothing Iteration for a General System .242
11.2.3 Nonlinear Systems . . . . . . . . . . . .245
11.3 The Distributive Relaxation Smoother . . . .245
11.4 An Elliptic Problem Augmented by an Aigebraic Equation .248
11.4.1 The Linear Case .248
11.4.2 The Nonlinear Case . . . . . . . . . . . . . . . . . .250
12. Eigenvalue Problems and Singular Equations . .252

12.1 Discussion of the Problems .252
12.1.1 Eigenvalue Problem . . . .252
12.1.2 Singular Equations .253
12.2 Reformulation of the Problems .255
12.2.1 Reformulation of the Eigenvalue Problem as a Nonlinear
Equation . . . . . . . . . . . . . . . . . . . . .255
12.2.2 Reformulation of the Singular Equation . . . . . . .256
12.3 Direct Multi-Grid Approach to Eigenvalue Problems. .257
12.3.1 Derivation of a Two-Grid Iteration .257
12.3.2 Modifications and Generalisations . . . . . . . . . .260
XII Contents
12.3.3 Multi-Grid Iteration for the Eigenvalue Problem and the

Nested Iteration. . . . . . . . . . . . . . . . .261
12.3.4 Ritz' Projection . . . . . . . . . . . . . . . . .264
12.3.5 Direct Multi-Grid Solution of the Singular Equation .265
12.3.6 Simultaneous Solution of n Singular Equations .266
12.4 The Generalised Eigenvalue Problem. .267
12.5 The Nonlinear Eigenvalue Problem . . . . . .269
13. Continuation Techniques . . . . . .270

13.1 Continuous Continuation Problem .270
13.2 Modified Nested Iteration .271
13.2.1 Treatment of Turning Points .271
13.2.2 Modified Nested Iteration . .272
13.2.3 Modifications. . . . . . . .274
13.2.4 Frozen Truncation Error Technique .275
13.3 Parabolic Initial-Boundary Value Problems .276
14. Extrapolation and Defect Correction Techniques .277

14.1 Extrapolation. . . . . . . . .277
14.1.1 Richardson's Extrapolation . . .277
14.1.2 Truncation Error Extrapolation .278
14.1.3 -r-Extrapolation . . . . . . . .278
14.2 Defect Correction Techniques . .282
14.2.1 The Iterative Defect Correction .282
14.2.2 The Defect Correction as a Finite Process .283
14.3 Combinations of the Multi-Grid Method and the Defect
Correction Principle . . . . . . . . . . . . . . .284
14.3.1 The Multi-Grid Algorithm as a Secondary Iteration .284
14.3.2 The Defect Correction with Additional Smoothing . .285
14.3.3 The Defect Correction Inside the Multi-Grid Process .287
14.3.3.1 Algorithms . . . . . . . . . . . . . . . . . . .287
14.3.3.2 Convergence Analysis of the Multi-Grid Iteration with
Defect Correction . . . . . . .288
14.3.3.3 Error Estimates of the Limit u, . . . . . . . . . . .289
14.3.3.4 Extensions . . . . . . . . . . . . . . . . . . . .291
14.3.4 An Application to the Convection Diffusion Equation .292
15. Local Techniques . . . . . . . . . . . . . . . . .293

15.1 The Local Defect Correction . . . . . . . . . . . .293
15.2 A Multi-Grid Iteration with a Local Grid Refinement .297
15.3 Domain Decomposition Methods .299
15.3.1 Domain Decomposition . . . . . . . . . . . . . .299
Contents XIII
15.3.2 The Schwarz Iteration . . . . . . . . . . . . . .300

15.3.3 Multi-Grid Methods with Domain Decompositions .302
16. The Multi-Grid Method of the Second Kind . . . .305

16.1 Fredholm's Integral Equation of the Second Kind .305
16.1.1 Historical Comments . . . . . . . . . . . . .305
16.1.2 Fredholm's Integral Equation ofthe Second Kind .305
16.1.3 Discretisation... . .306
16.2 M ulti-Grid Iteration . .309
16.2.1 First Variant . . . . .309
16.2.1.1 Algorithm . . . . . .309
16.2.1.2 Computational Work .310
16.2.1.3 Convergence Analysis .311
16.2.2 Second Variant . . . .313
16.2.2.1 Algorithm . . . . . .313
16.2.3 Third Variant. . . . .315
16.2.3.1 Algorithm . . . . . .315
16.3 Numerical Results. . .316
16.3.1 Comparison of the Three Variants .316
16.3.2 The Integral Equation Method for Elliptic Problems .319
16.4 Nested Iteration . .321
16.4.1 Algorithm . . . . . . . . . . . . . . . . .321
16.4.2 Accuracy. . . . . . . . . . . . . . . . . .322
16.4.3 Nested Iteration with Nystrm's Interpolation . .322
16.5 Comments and Modifications . . .324
16.5.1 More than One Picard Iteration. . . . . . . .. .324
16.5.2 Other Smoothing Iterations. . . . . . . . . .324
16.5.3 Application of the Integral Equation Method to the
Calculation of Circulatory Flow around an Aerofoil .325
16.5.4 Construction of the Coarse-Grid Discretisation .327
16.5.5 Further Modifications . . . . . . . . . . . . . .327
16.6 The Nonlinear Equation of the Second Kind . . . .328
16.7 Nonlinear Multi-Grid Method of the Second Kind. .330
16.7.1 Two-Grid Iteration . .330
16.7.2 Multi-Grid Iteration. .331
16.7.3 Nested Iteration. . . .333
16.7.4 Convergence . . . . .333
16.7.5 Computational Work .334
16.8 Application to Nonlinear Elliptic Equations . .335
16.8.1 Reformulation of the Continuous Boundary Value Problem .335
XIV Contents
16.8.2 Discretisation. . . . .336

16.8.3 Computational Work .337
16.8.4 Numerical Example . .338
16.9 Multi-Grid Methods with Iterative Computation of .Jt'i(u,) . .338
16.9.1 Notation . . . . . . .338
16.9.2 Algorithm . . . . . . . . . . . . . . . . . . . . .339
16.9.3 Convergence Analysis . . . . . . . . . . . . . . . .341
16.10 Applications to Elliptic Boundary Value and Eigenvalue
Problems . . . . . . . . . . . .345
16.10.1 Elliptic Boundary Value Problems. . . . . .345
16.10.2 Eigenvalue Problems . . . . . . . . . . 347
16.10.3 First Example: Steklov Eigenvalue Problem. .348
16.10.4 Second Example: Nonlinear Eigenvalue Problem .349
16.10.5 Elliptic Boundary Value Problems (Revisited) .349
16.11 Application to Parabolic Problems. . . . . . . .351
16.11.1 Time-Periodic Parabolic Problems. . . . . . . .351
16.11.2 Optimal Control Problems for Parabolic Equations .352
Bibliography . .354
Subject Index .375
1. Preliminaries
1.1 Introduction
The numerical solution ofboundary value problems is indispensable in almost
all fields of physics and engineering sciences. The recent development, e. g. the
study of three-dimensional problems, leads to systems of a larger and larger
number of equations. Although the computers have become faster and vector
computers are available, new numerical methods are required. A step in this
direction was the development offast Poisson solvers in the late sixties. At that
time it seemed that there exist faster numerical methods the simpler the discrete
elliptic problem. The first multi-grid methods have also been applied to Pois-
son's equation and show an efficiency similar to that of the direct solvers. But
differently from other numerical methods, the efficiency is not lost when more
involved problems are to be solved.
The characteristic feature of the multi-grid iteration is its fast convergence.
The convergence speed does not deteriorate when the discretisation is refined,
whereas classical iterative methods slow down for decreasing grid size. As a
consequence one obtains an acceptable approximation ofthe discrete problem
at the expense of computational work proportional to the number of un-
knowns, which is also the number of the equations in the system. It is not only
the complexity which is optimal, also the constant of proportionality is so
small that other methods can hardly surpass the multi-grid efficiency.
The previous characterisation does not mean that there is a fixed multi-grid
algorithm applying to all boundary value problems. There is rather a multi-
grid technique fixing only the framework ofthe algorithm. The efficiency ofthe
multi-grid algorithm depends on the adjustment of its components to the
problem in question. Therefore it is one task of this book to describe the basic
framework and the scope of several of the different multi-grid components.
The book is divided into five parts:
Part I ( 2- 5): linear multi-grid algorithms
Part 11 ( 6-8): convergence analysis
Part 111 ( 9-12): special multi-grid applications
Part IV ( 13 -15): additional techniques
Part V ( 16): application to integral equations
2 1. Preliminaries
Part I presents the basic algorithmic multi-grid concept alm ost without
theoretical considerations. The exception is 2, where we analyse in some detail
a one-dimensional problem in order to understand the characteristic behav-
iour of muIti-grid iterations.
To contradict the impression the multi-grid algorithms are based only on
heuristical considerations, Part 11 is devoted to a comprehensive convergence
analysis.
The adaptation of multi-grid algorithms to more general elliptic problems
is described in Part 111. Here the reader finds applications to nonlinear prob-
lems, to convection diffusion equations, and to the important Stokes and
Navier-Stokes equations.
In Part IV we suggest numerical techniques which can easily be combined
with the multi-grid solution process to yield an extra efficiency.
Less attention has been paid to the application of multi-grid algorithms to
integral equations. As described in Part V the extremely fast multi-grid itera-
tion ofthe second kind applies not only to common integral equations but also
to more general equations ofthe second kind, which leads to several interesting
applications.
1.2 Notation
The formulae are numbered separately in each subsection. For instance, the
tenth formula ofSubsection 3.1 is denoted by (3.1.10). Within the same subsec-
tion we refer to this formula as
(10),
whereas we write
(1.10)
in other parts of Sect. 3. The full notation
(3.1.10)
is used outside of Sect. 3.
Below we list those symbols which have a special meaning throughout the
book.
a, a(, .) sesqui-linear form; see 1.4.5

ce set of complex numbers
C, Co, Cl' etc. generic constants
CS(Q) Hlder spaces; see 1.4.1
d dimension of Q; see 3.1.1
J,f, right-hand sides; see 1.3.1, 3.1.1
1.2 Notation 3
linear space of right-hand functions; see 6.1

see 9.5.1
discretisation parameter (grid size) at level 1;
see 2.1
Hilbert space, on which the variational
formulation is based; see 3.1.3, 6.3.1.1
:J't'S see 6.3.1.1
Yt; finite element subspace of :J't'; see 3.1.3
Hk(Q), H~(Q), HS(Q), etc. Sobolev spaces; see 1.4.2
I identity mapping, identity matrix
1 level number; see 2.1
L,LQ,Lr operators associated with"the boundary
value problem; see 3.1.1, 3.1.3
Lz matrix of the linear system; see 1.3.1
LI> Lz(vz) Jacobian of 2 z (at VI); see 9.1
2/> 2 z(u z) nonlinear operator at level I; see 9.1
m 2m is the order of the differential operator;
see 3.1.1
iteration matrix (in particular of the two-
and multi-grid iteration); see 1.3.1, 6.1.1
N set of natural numbers
~ see 1.3.1
Jt7, Jt7().), Jt7*, etc. eigenspaces; see 12.1.1
nz number of variables at level I; see 4.3
o zero matrix
O( . ), o( ) Landau symbols
p prolongation from level I - 1 to I; see 2.3
jJ see 5.1
~ prolongation ~: IfIII -> Yt; in the finite
element case; see 3.1.3, 3.6
11 see 3.6
r restriction r: ffz -> ffz - 1; see 2.3
f restriction f: 1fII1 -> IfIIZ- 1 ; see 9.3.2
ri.j trivial injection; see 3.5
1R set of real numbers
Rz restrietion R z: :J't" -> ffz; see 3.6
NI see 3.6
Rz restriction Rz: lfII -> IfIIz ; see 14.1
[1[, [I[(v), [l[V linear or nonlinear smoothing method;
see 2.2, 3.2
1. Preliminaries
iteration matrix of Y[; see 2.2

S/F, S'1/ see (6.2.7)
1/ see 2.2
51 finite element triangulation; see 3.8
u/ discrete solution; see 1.3.1, 9.1
u/ approximation to u/
u: i th iterate; see 1.3.1
'fI/(e) see 9.5.1
x, x', y etc. spatial vectors in lRd
(x, y) coordinates in lR 2
7L set of integers
exponent involved in the smoothing and
approximation properties; see 6.1.3
y number of iterations on the coarser grid;
see 4.1
boundary of Q
contraction number (i. e. bound on the norm
of the iteration matrix); see 1.3.2, 2.4
11 (v) function involved in the smoothing property;
see 6.1.3
110(S) funetion defined in (6.2.1)
K often: eonsisteney order; see 5.2
V number of smoothing iterations; see 3.2
number of pre-smoothing iterations
number of post-smoothing iterations
speetral radius of A; see 1.3.1
bound on the convergence rate; see 2.4
smoothing rate; see 2.6.3, 8.2.3
smoothing number; see 2.6.3
spectrum of A; see 1.3.1
w,w/ relaxation factor; see 3.3
OJ veetor of relaxation faetors for semi-iterative
methods; see 3.3.5
Q domain of the boundary value problem
Q/ grid at level I
Q!. Ql' m subsets of Q/; see 3.3.1
( , )'1/, <. , . )'1/ seal ar product in a Hilbert spaee 'fI; see 1.4.5
..
( , ) sealar product, in particular, of L2 (Q)
<., . ) seal ar product in 'fI/; see 3.5
11'1I'ft,II'II norms of 0/1, and ff'" respeetively; see 6.1.1

1'10 Euclidean norm on 0/1, and ff',; see 1.3.2, 6.2.1
I Is diserete Sobolev norm of order sm;
see 2.6.2, 6.2.1
11 II<-'ft, 1 11'ft<-'ft, ete. matrix norms assoeiated with 11 11'ft and 1 II;
see 1.3.2
I Is<-t matrix norm assoeiated with I Is and I It;
see 6.2.1
11 11 speetral norm (11 11 = I 10<-0); see 1.3.2
1.3 Some Elements from Linear Algebra

For the sake of eompleteness some notation, definitions, and statements from
the field oflinear algebra are given. In the first subseetion we reeall some results
eoneerning linear iterations. Thereafter we remind the reader of the definition
of norms, matrix norms, and sealar produets.
1.3.1 Analysis of Iterative Processes
Let 0/1, be an n,-dimensional veetor spaee 1 and eonsider a system

L, Ul = f, (u" f, E O/Il) (1.3.1)
of n, linear equations. An iteration for solving Eq. (1) is a proeess
u? 1--+ ull--+ ... 1--+ ut 1 1--+ u{ 1--+ genera ted by some linear mapping <p,:
.+ 1 . I'
u{ = <PI(U{,Jl)'
The multi-grid iteration and also the well-known classieal iterations are of this
form. As <p, is linear it ean be represented by <p, (u" f,) = M, u, + N, f,. The
iteration beeomes
(1.3.2)
MI is ealled the iteration matrix. The explieit representation of the ph iterate
u/is
j-l
j - Mju O+ N,(j) = L Mf N,.
U, - "
N.(j) I'
t Jt, (1.3.3)
k=Q'
An obvious eondition on the iteration (2) is that the solution of (1) is a fixed
point of (2):
u, = Mtut + N,f, (Ut is the solution of(1)). (1.3.4)
Usually, we shall consider real vector spaces. Complex spaces are needed only in connec-
tion with Fourier transforms
6 1. Preliminaries
Assuming (4) for all fi E cpj, one obtains

1 = M, + N,L, (1.3.5)
(1 always denotes the identity matrix). When L, is non-singular, Eq. (5) yields
the representation
(1.3.6)
of N,. Hence, the iteration is completely described by means of its iteration
matrix M,.
The error of the j'h iterate u{ is u{ - u,. From (2) and (3) one concludes
(1.3.7a)
(where u, is the solution of (1
. . 0
uf - u, = M{(u, - u,). (1.3.7b)
Thus, the iteration matrix is the amplification matrix of the error.
The spectral radius of a matrix A is defined by
e(A) = max {lAI: A E u(A)}, (1.3.8 a)
where
u(A) = {A E <C: A is an eigenvalue of A} (1.3.8 b)
is the spectrum of A. The spectral radius is of essential importance because of
Lemma 1.3.1. The iteration (2) converges for all initial guesses ur E cpj, if and
only if e(M,) < 1.
The spectral radius of the iteration matrix M, is called the rate of
convergence. The convergence rate governs the asymptotic behaviour of the
errors u{ - u,. Since fast iterative processes should terminate after a very small
number of iterations, the spectral radius is not suited for describing such
iterations. To estimate the error after a few iterations, we need norm estimates.
1.3.2 Norms
I 11", is a norm on a vector space cpj, if

Ilu + vii", ~ I U 11", + IIvll", for an u, v E cpj,
I AU 11", = lAI I U 11", for all u E cpj, A ER. (<C, resp.),
Ilull", >0 for all 0 =1= u E dIt.
A scalar product on cpj x dIt satisfies
(u + AV, w)", = (u, w)", + A(v, w)", for an u, v, W E cpj, A E R. (<C),
(u, v)", = (v, u>'" for all u, v E cpj,
(u, u)", > 0 for an 0 =1= U E cpj.
(Oll, 11 11<ft) is a Hilbert space 2, if 11 11<ft is generated by a scalar product:

Ilull<ft:=J(u,u)<ft. (1.3.9)
Example 1.3.2. Let U;, 1 ~ i ~ n, be the components of the vector u E Oll.
The Euclidean scalar product and the Euclidean norm are defined by
L" lu;l2,
n
(u, v)<ft = c L UiVi, Ilull<ft = c (1.3.10)
i= 1 i= 1
where c is a suitable scaling factor.

Let :Ji' be a second vector space with norm 11 11,.. We include the case
Oll = :Ji' with 11 11<ft = 11 11,. or 11 11<ft i= 11 11,.. The associated matrix norm of
a linear mapping A: Oll - :Ji' is
11 Au IIJ'" (1.3.11)
11 A IIJ'"-<ft: = sup 11 11
O*ue<ft U <ft
Analogously, 11 11<ft-,., 11 11<ft-<ft, 11 11,._,. are defined for mappings :Ji' - Oll,
Oll - Oll, :Ji' - ff, respectively.
Definition (11) implies the inequality
11 Au IIJ'" ~ 11 A IIJ'"-<ft 11 U 11<ft (A: Oll - ff, UE Oll).
Moreover, the associated matrix norms are submultiplicative. For three
normed spaces (Oll, 11 11<ft), ('f; 11 II-y), (11;' 11 1111'") and mappings A: "f'"-1I;'
B: Oll - "f'" the inequality
(1.3.12a)
is valid. In particular,
11 An 11<ft-<ft ~ 11 A 11q..-<ft (A: Oll - Oll, n ~ 0, an integer) (1.3.12b)
holds. The norm bounds the spectral radius:
(1.3.13)
Let (Oll, ( , )<ft) and ('Y, ( , )-y) be Hilbert spaces. A: Oll - "f'" has the adjoint
mapping A *: "f'" - Oll defined by
(Au,v)-y=(u,A*v)<ft forall uEOlI, VE"Y. (1.3.14)
Note that A * depends on the choice of the scalar products.
Example 1.3.3. Let ( , . )<ft, ( ., )-y be as in Example 1.3.2 with c = C<ft and
C= C-y, respectively. Then A* = (C-Y/C<ft) AT, where AT is the transposed matrix.
The spectral norm 11 11<ft-<ft is the matrix norm associated with the Eucli-
dean norm 11 11<ft (cf. (10.1t is independent ofthe scaling factor Cin 11 11<ft. The
name 'spectral norm' originates from
2 Here, dim('PI) < 00 is assumed. Otherwise, ('PI, 11 11",) must be complete
8 1. Preliminaries
Lemma 1.3.4. Let A: 01/ ~ 01/, (01/, 11 1I'1i) a Hilbert spaee. Then
11 A 1I'1i<-'1i = JQ(A*A), (1.3.15 a)
11 A 1I'1i<-'1i = Q(A) if A is normal (i.e. AA* = A *A). (1.3.15 b)
In partieular, (15b) holds for symmetrie operators A = A*.
Proof cf. Varga [1, p. 11]. D
Taking norms of both sides of Eqs. (7 a, b) we get
11 ut I ullI'1i ~ 11 M I II'1i<-'1i 11 u{ - ulll'1i'
- (1.3.16a)
11 u{ - ullI'1i ~ 11 MIII~<-'1i 11 up - ullI'1i (1.3.16b)
(cf. (12 b. Obviously 11 Mtll'1i<-'1i < 1 implies eonvergenee. The norm 11 M I II'1i<-'1i
is ealled the eontraetion number (with respeet to 11 11'1i)'
1.3.3 Symmetrie Matrices

Let (01/, 11 11'1i) be a Hilbert spaee over the field .IR (or <C). A mapping
A = A *: 01/ ~ 01/ is ealled symmetrie (or H ermitian, resp.). Sinee real spaees are
the standard eases in our applieations we shall always use the term 'symmet-
rie'.
A matrix A is ealled positive definite (positive semi-definite/negative definite/
negative semi-definite) if A is symmetrie with eigenvalues being positive
(~O, < 0, ~ 0, respeetively). The notation
A>B (1.3.17)
signifies that A and B are symmetrie and that A - Bis positive definite. A ~ B,
A < B, A ;;; Bare defined analogously. A > 0 (0: zero matrix) is an abbrevi-
ation for "A is positive definite".
A symmetrie matrix admits a faetorisation A = QDQ*, where Q is unitary
(i. e. Q -1 = Q*) and D = diag {AI'"'' An} is diagonal and real. Let f: a(A) ~ <C
be a mapping defined on the speetrum a(A) of A (cf. (8 b. The matrix f (A) is
defined by
f(A) = Q diag{f(AI), ... ,f(An)}Q* (1.3. t 8)
The ehoiees f (x) = jX and f (x) = XS yield the first parts of

Lemma 1.3.5. Assume A = A *.
(i) A = A * ~ 0 admits a unique symmetrie square root A 1/2 ~ O.
(ii) General powers A S ~ 0 (s ~ 0 or s E .IR) are well-defined if A ~ 0 or A > 0,
respeetively. The norms are
11 A S 1I'1i<-'1i = 11 A 11~<-'1i (A ~ 0, s ~ 0). (1.3.t9a)
(iii) Let f be defined on the speetrum of the normal matrix A. Then
11 f (A) 11'1i+-'1i = max {I f (A) I: Ais an eigenvalue of A}. (1.3.19b)
1.4 Some Elements from Functional Analysis 9
1.4 Some Elements from Functional Analysis

In this seetion notation describing the space of continuous, k-times continu-
ously difTerentiable and Hlder continuous functions is introduced ( 1.4.1). A
precise description of the properties of elliptic boundary value problems re-
quires the use of Sobolev spaces ( 1.4.2); furthermore, the formulation of regu-
larity results needs spaces of negative and non-integer order ( 1.4.3, 1.4.4).
The multi-grid convergence proof will use interpolation techniques that are
provided in 1.4.4. The variational formulation of a boundary value problem
as weIl as the finite element method are based on bilinear or sesqui-linear forms
introduced in 1.4.5.
1.4.1 Continuous Functions and Hlder Spaces

Let Q c R d be an open subset with closure Q. The linear space of continuous
functions Q ~ Rm (or (Cm) is denoted by C(Q,Rm) or simply by C(Q). Partial
derivatives of order k can be written as D" u(x), where 11 = (Vi"'" Vd), Vj ~ 0,
is a multi-index of length
lvi = Vi + ... + Vd (1.4.1)
being equal to k and where
(1.4.2)
The space of k-times continuously difTerentiable functions is
Ck (Q) = {u: D" u exists and belongs to C(Q) for all lvi ~ k}
where by CO(Q) we mean C(Q). Functions with finite norm
1 u Ilck(O) = 11 u Ib:= sup{ID"u(x)loo: lvi ~ k, XE Q}
(1100 maximum norm on Rm) form the subset
Ck(Q) = {u E Ck(Q): 11 u Ib < oo}
equipped with the norm 11 IICk. (Ck(Q), 11 IICk) is a Banach space (i.e. a
normed and complete vector space).
Functions u E C(Q) are (globally) H lder continuous with exponent il E (0, 1)
if 11 u 110' < 00, where
11 u 1Je;, = max {II u IIco, sup {Iu(x) - u(y)loo/lx - yl!': x, y E Q, x =1= y}}.
The Hlder space of order k (and exponent il E (0, 1 is
Ck+A(Q) = {u ECk: 11 u IICk+'> < cD} (0< il < 1, 0 ~ k, an integer)
with norm
11 U IIck+'>(O) = 11 u Ib+.> = max {II D"u IIc": lvi ~ k}
(0< il < 1, 0 ~ k, an integer).
Hence, Cs (Q) is well-defined for all s ~ O.
10 1. Preliminaries
For the set of linear and continuous mappings from one Banach space 'W
into another space 1/ we use the notation L('W, 1/).
1.4.2 Sobolev Spaces

IJ'(Q) or more precisely IJ'(Q,1Rm ) or IJ'(Q,<e m ), 1 ~ p ~ 00, is the space of
measurable functions with finite norm
{J lu(x)l~ dX}l 1P (1 ~ P < (0),

11 u IILP(Q) = 11 u IILP = 1vrai max lu(x)l
D
p (p = (0),
XED
where vraimax lu(x)1 = inf{llvllco: v = u a.e.}. 1l p is the p-norm on 1Rm

m }l1P n
(or <e m): Iv Ip = { i~l Ivd P if 1 ~ P < 00, Iv 100 = ~=a1x Ivd if p = 00. IJ'(Q) is
a Banach space for pE [1,00] and a Hilbert space for p = 2. In the latter case
the seal ar product is denoted by round brackets:
(u, v) = J i:
Di=l
Ui(X) Vi (x) dx (u, v E L2 (Q,1R m ) or L2 (Q,<e m . (1.4.3)
If necessary we add the subscript L 2 (Q): ( , }u(Q).

For the definition of derivatives DVu in the sense of distributions we refer
e. g. to Adams [1]. If DV u E IJ' (Q) for aBI v I ~ k, u belongs to the Sobolev space
Wpk(Q) of order k with norm
For p = 2 we write Hk(Q) instead of W 2 ,k(Q):

Hk(Q) = {u: DVu E L2(Q) for lvi ~ k},
IIullHk(O) = IIullHk=[ L II Dvu llE2(D)]1/2, (1.4.4)
lvi ;:ik
HO (Q) coincides with L 2 (Q). There are various other ways to define the
Sobolev space H'(Q) for non-integer order s ~ 0 (cf. 1.4.4, Adams [1], Lions-
Magenes [1]).
An important subspace of W(Q) is H'O(Q), which is the completion of
CO'(Q) with respect to 11 . IIHs (cf. Lions-Magenes [1, p. 54]).
1.4.3 Dual Spaces 3

Let 'W be a Hilbert space, and 1/ c 'W a dense continuously embedded Hilbert
subspace (i.e. IIvll'fi ~ Cllvllif for aB VE1/ or equivalently 11 I 11'fi<-if < (0).
3 This subseetion can be skipped by readers not interested in the mathematical details
The (anti-)dual space 4 "f/" = I.:("f/, <C) endowed with the dual norm 11 v'lIf' =
sup {I v' (v) I: v E "f/, 11 V111' = 1} can be regarded as an extension of 'PI:
"f/" :=J 'PI :=J "f/' with continuous and dense embedding, (1.4.5)
if we identify u E 'PI with v' E "f/" defined by v' (v): = (u, v)",. 'PI is called the pivot
space
Note 1.4.1. There is a unique extension of the seal ar product (.,' )",:
"f/' x 'PI c OU x OU --+ <C to the dual form 4 on "f/' x "f/". Therefore, we shall use
the notation (u, v)", for u, v E OU as weIl as for u E "f/, V E "f/" or u E "f/", V E "f/'.
HS(Q) and H~(Q) are special dense and continuously embedded Hilbert
subspaces of L 2 (Q). The dual spaces of W(Q) and W(Q) n Hb(Q) (0 ~ t ~ s)
are written as (W(Q))' and (W(Q) n Hb(Q))', whereas the dual space of Ho(Q)
has the symbol
H-S(Q) = (HO(Q))' (s ~ 0).
As mentioned in Note 1.4.1, the product (u, v) = (u, v)p(Q) is also used for e.g.,
u E H-S(Q) and v E H~(Q).
1.4.4 Hilbert Scales 5
*'
The results of this subsection are not only needed for the definition of HS(Q),
s integer, but also form the background of some technical arguments in 6.
Given the situation (5) with separable Hilbert spaces 'PI and "f/, there is a
selfadjoint and positive operator A with the following properties:
onto
A:"f/' ) 'PI bounded, (1.4.6a)
onto
A:OU ) "f/" bounded, (1.4.6 b)
(v, W)f= (Av, Aw)", for v, W E "f/, (1.4.6 c)
IIvllf= 1 Av 11", (VE"f/'), IIv'lIf'= IIA- I v'lI", (V'E"f/") (1.4.6d)
(cf. Lions-Magenes [1, p. 9]6). The powers A S , SE JR, are well-defined. The
intermediate space
["f/,OU]9 = domain of A l - 9 (0 ~ e ~ 1) (1.4.7a)
endowed with the norm
lIullw''''l.. = IIA I - 9 ull", (1.4.7b)
4 <p: "Y ..... C is anti-linear if ijJ defined by ijJ(v) = <p(v) is linear. The anti-dual space is
"Y' = ~('"Y, <C):= {<p: "Y ..... <C anti-linear and continuous}. The (anti-)dual form (',.):
"Y x "Y' ..... <C is defined by (v, v') = v' (v). For simplicity we shall omit the prefix "anti" in
the following
5 This subseetion can be skipped by readers not interested in the mathematical details
6 The actual operator A equals (l + A 2)1/2 with A from Lions-Magenes [1)
12 1. Preliminaries
A family {X s : - t ~ s ~ t} of Hilbert spaees XS is ealled a Hilbert

scale, if
x - t = (X t)'::> yto ::> ytt dense and eontinuously embedded, (1.4.8 a)
yts = [ytt,yt-t](t_S)/(2t) for all - t ~ s ~ t, (1.4.8 b)
luls:= IlullJ!"s= IIAsullJ!"o forall UEyts, -t~s~t, (1.4.8 e)
for some selfadjoint and positive definite operator A. The spaees yts are
uniquely determined by yto and xt. A is uniquely defined by 11 u IIJ!"t =
IIAtu IIJ!"o.
For a proof of the next lemma we refer to Krein-Petunin-Semenov [1] and
Lions-Magenes [1]:
Lemma 1.4.2. Let {yts: - t ~ s ~ t} be a Hilbert seale. Then
(- t ~ s ~ r ~ t, 0 ~ B ~ 1), (l.4.9a)
(yts)' = yt-s (- t ~ s ~ t), (1.4.9b)
(u, v)J!"o ~ 11 u Ils 11 v II-s (- t ~ s ~ t, u, V E yt'S'), (1.4.ge)
11 u Ils ~ 11 u II~-S)/(,-q) 1 U IW-q)/(,-q) (- t ~ q ~ s ~ r ~ t, u E yt'),
(1.4.9d)
11 u Ils ~ e 11 u Ilr + C(e) 11 u Il q for all e > 0, - t ~ q ~ s < r ~ t,
u E xr, (1.4.ge)
s - q ](S-q)/(,-S) r - s
with C(e) = [ ~--.
e(r - q) r - q
The operator norm 1 A II.*'<-J!" for A E L(X, %) is defined by (3.11).
Lemma 1.4.3. Let {yts: - t ~ s ~ t} and {%s: - t ~ s ~ t} be two Hilbert

seales. A E L(Xq, %q) and A E L(X', %') for some - t ~ q ~ r ~ t imply
A E L(yts,%S) for all SE [q,r] and
r-s ~
11 A lI.*'s<-J!"s ~ 1 A II;q~J!"q 11 A 11;r'!-J!"r (- t ~ q ~ S ~ r ~ t). (1.4.10a)

If {ytS} is a Hilbert seale, then the spaees %s:= yt(q'(r-s)+"(s-q))/(,-q) form
also a Hilbert seale, provided that r' ~ q' and r > q. Henee (10a) yields
(1.4.10b)
for r' ~ q', r ~ q, 0 ~ a ~ 1, s = aq + (1 - a)r, s' = aq' + (1 - a)r'.
Ifa family {yts: - t ~ s ~ t} satisfies (8b) but not neeessarily (8a,e), then
Eq. (9a) is still valid, whereas (9d,e) and (10a, b) hold with extra faetors C
(depending on s, q, r) on the right sides. If (8 a) is satisfied as weH, then (9 b) and
(ge) with a possible faetor C(s) on the right side are also valid.
The Sobolev spaees of order salmost form a Hilbert seale.
Proposition 1.4.4. Let the boundary of Q be smooth enough.

(i) The scale
Jes = W(Q) (8 ~ 0), JeS = (H-S(Q))' (8< 0) (1.4.11 a)
satisfies (8 a, b) for arbitrary t. The original norms of H S (Q), 8 = integer,
differ from (8 c) but both norms are equivalent.
(ii) The scale
JeS = H(Q) (8 ~ 0), JeS = HS(Q) (8 ~ 0) (1.4.11 b)
has the same property except when 8 = ! + an integer.
(iii) The scale
S {H(Q) (0 ~ 8 ~ m)} JeS = HS(Q) (8 ~ 0)
Je = HS(Q) n H(Q) (m ~ 8) ,
(1.4.11 c)
has the same property except when 8 = k + ! for integral k < m.
For a proof we refer to Lions-Magenes [1, pp. 43, 64].
The following result about orthogonal projections will be used in 6.3.1.
Proposition 1.4.5. Let {Jes: - 00 < 8 ~ t} be a Hilbert scale and Je c Jet a
finite dimensional subspace. By Qs we denote the projection onto Je, which is
orthogonal with respect to the norm of Je', i. e.
v* = Qsu E Je satisfies 1 v* - u IIJI"5 ~ 1 v - u IIJI"5 for all v E Je. (1.4.12)
Suppose the existence of some numbers r < t and IJ ~ 0 such that
11 1- Q, IIJI"r~JI"t ~ IJ t -,. (1.4.13 a)
Then
11 1- Qs IIJI"<7~JI"< ~ 1],-a far all 28 - t;;;; (J;;;; 8;;;; r ~ t, 8 ~ r. (1.4.13b)
Proof (cf. Babuska-Aziz [1 J). We use the following abbreviations:
Ps = I - Q.,I . Ip = 1 . IIJI"p, I Ip~q = 1 IIJI"P~JI"q.
Step 1. Interpolation of IP"1,~t ~ 1]t -, and IP"I,~, = 1 yields IP"I,~, ~ 1]' -, for all
r ~ r ~ t (cf. (lOb)). r'E[r,t] implies a:= 2r - r'E[2r - t,rJ. Jea is the dual
space of Je" with respect to the pivot space Je', and p,. is selfadjoint in Je'.
Hence, 1P"la~, = IP"I,~" ~ IJ"-' = 1],-a proves that
1P"la~, = 1p"2Ia~, = 1P"la~, IP"I,~, ~ IJ,-a1]'-' = 1],-a
for all 2 r - t ~ a ~ r ~ r ~ t, i. e. (13 b) holds for 8 = r.
Step 2. We show that (13 b) for 8 = r implies (13 b) for all 8 E [2 r - t, r J. Let
8 E [2 r - t, r] and U E Jet. By
lP'ul. = inf {I u - v I.: v E Je} ~ lu - Q,u Is = lP"ul s~ 1P"1.~t lu It ~ IJt-. lu It
14 1. Preliminaries
one proves 1P.ls~1 :;;; '1 ' - s, i. e. (13 a) holds for all s E [2 r - t, r] instead of r.
Therefore, by Step 1 inequality (13 b) ean be shown for all SE [2 r - t, r].
Step 3. Set r': = 2 r - t. Applying Step 2 to r' instead of r, we prove (13 b) for
all SE [2r' - t,r'] = [r - 3(t - r), 2r - t]. Repeating Step 2 again, we obtain
(13b) also for SE [r - 7(t - r), r - 3(t - r)], ete. 0
1.4.5 Sesqui-Linear Forms

Sesqui-linear forms are needed for the formulation of boundary value prob-
lems as variational problems. In partieular, the finite element method makes
extensive use of sesqui-linear forms. For real spaees sesqui-linear forms are also
ealled bi-linear forms.
Let "Y be a Hilbert spaee with seal ar produet ( . , . )f and norm 11 u Ilf =
(u, U)V2. The mapping a: "Y x "Y -+ <C is said to be
(i) sesqui-linear if
a(u + IX v, w) = a(u, w) + lXa(v, w) (u, v, W E 't'; IX E <C),
(1.4.14)
a(u, v + IXW) = a(u, v) + lia(u, w) (u, v, W E 't'; IX E <C);
(ii) bounded (or eontinuous) if

la(u,v)I:;;;Cllullfllvllf (U,VE"Y) forsome C; (1.4.15)
(iii) symmetrie if a = a*, where the adjoint form is
a*(u,v)=a(v,u) (U,VE"Y); (1.4.16)
(iv) "Y-elliptie if there is an IX > 0 sueh that
Re a(v, v) ~ IX 1 v II} (v E "Y). (1.4.17)
The real part of a has the form i(a + a*).
A variational problem involves finding u E "Y satisfying
a(u,v)=f(v) forall VE"Y (1.4.18)
with given fE "Y'. f (v) denotes the value of f at v.
Example 1.4.6. The Poisson equation - Au = fa in Q c IRd, U = 0 on the
boundary, ean be expressed by Eq. (18) with "Y = H5(Q) and
!
OU OV
a(u, v)
d
= i~l OXi oX i dx, f(v) = Jfa (x) v(x) dx.
a
a is sesqui-linear, bounded and symmetrie. For bounded Q it is also
H5 (Q)-elliptie.
Proposition 1.4.7. There is a one-to-one eorrespondenee between bounded
sesqui-linear forms a and bounded mappings A: "Y -+ "Y' by means of
a (u, v) = (Au)(v) (u, v E "Y).
1.5 Exercises 15
A is called the associated operator. Equation (18) is equivalent to the linear

equation Au = f in 1/"'. The operator A * associated with the adjoint form a*
is the adjoint of A. Under hypothesis (17), Eq. (18) has a unique solution
u = A -1 fE "Y, where A -1, A * -1 E L(1/"', 1/") satisfy
11 A -1111'_1" = 11 A* -1111'_1" ~ 1ja.
Consider the situation (5), 1/"' ::J ilIt ::J "Y. A sesqui-linear form a is called
1/"-coercive (relative to ilIt), if there are ,.1,0 ER and a > 0 such that
Rea(v,v)+AollvlI~;;;;allvlI~ forall VE"Y. (1.4.19)
The left-hand side defines asymmetrie and 1/"-elliptic form b = (a + a*)j
2 + ,.1,0(' , )<fl. The properties ofthe associated operator B = t(A + A*) + .,1.01
are stated in
Proposition 1.4.8. Let a be sesqui-linear, bounded, symmetrie and 1/"-elliptic.
The associated operator A can be regarded as an (unbounded) selfadjoint and
positive operator on ilIt with domain D(A) dense in "Y. A 1/2 is well-defined with
D(A 1/2) = [D(A), ilIt]1/2 = "Y. a(u, v) equals (A 1/2 U, A 1/2 V )<fl for u, v E "Y.
For a proof compare Kato [1, p. 331].
Corollary 1.4.9. The Proposition 1.4.8 admits the introduction of the Hilbert
scale
(1.4.20)
with norms 11 u lIJt"s = 11 A s/ 2 u 1I<fl (- 2 ~ s ~ 2). The following spaces coincide:
.Yfo = ilIt, .Yf1 = "Y, .Yf- 1 = 1/"', 1I'1IJt"0 equals lI'II<fl' whereas lIullJt"l =
Ja(u,u) is equivalent to 11 111'.
1.5 Exercises
The exercises 1.5.1 to 4 concern 1.3. Hilbert spaces that appear are of finite
dimension.
Exercise 1.5.1. Consider two linear iterations
uj+1 = <pl(u{,fi):= M;uj + Nffi, U{+l = <p;'(u{,fi):= Mi'u! + N,"fi.
Define the composition by <PI(uz,fi):= <p;'(<pl(ul,fi),fi). Prove:
(i) <P has the representation <PI(uz,fi) = MIUI + N,fi with
MI = M;' Mi, N, = M;' N,' + N,". (1.5.1)
(ii) A fixed point of <PI and <PI' is a fixed point of <PI.
(iii) If {Mi,N,'} and {M;',N,"} satisfy (3.5), then so does {Mz,N,}.
Exercise 1.5.2. Let 11 11<fl and 11 111' be vector norms. Show:
16 1. Preliminaries
(i) Every regular matrix A: o/L -+ o/L gene rates a new norm on 1f/ = o/L:
1 U 11"/11':= 11 Au 11",
(ii) The matrix norms involving 11 11"/11' satisfy
1 B II"/II'-;r = 11 AB II",-;r, 1 B 11;r-"/II' = 1 BA -1 11;r-""
1 B 11"/11'-"/11' = 1 ABA -111",_",.
Exercise 1.5.3. Let o/L = "Y = 1f/ be Hilbert spaces, possibly with different
scalar products. Denote the corresponding norms and dual norms by 11 11;r,
11 11"/11',11 11;r*, 11 11"/11'*' Define the adjoint mapping A* with respect to o/L. Show
that
11 A II"/II'-;r = 11 A* 11;r*+-"/II'*' (1.5.2)
Exercise 1.5.4. Let A = A * and B = B*.
(i) Prove that
11 A 11",+-", ~ c is equivalent to - cl ~ A ~ cl, (1.5.3 a)
A> ifand only if A- 1 > 0, (1.5.3 b)
A ~ B implies C* AC ~ C* BC for arbitrary C. (1.5.3 c)
(ii) Let A = A * be positive definite, while C: o/L -+ "Y may map into another
space "Y. Prove:
C*C ~ A if and only if CA - 1 C* ~ I. (1.5.3d)

Exercise 1.5.5. Let {J'l'q: ~ q ~ t} be a Hilbert scale. Let r, SE [0, t] be such
that r < t or s < t. Prove: For all s > 0 there exists C(s) such that
(1.5.4)
Exercise 1.5.6. Let {J'l's: 0 ~ s ~ t} be a Hilbert scale and set o/L = J'l'o,
"Y = J'l". Assume that the sesqui-linear form a can be split into a = ao + b,
where ao is "Y-elliptic, or at least "Y-coercive, and that b satisfies
Ib(u,v)I~CIIUII.>f"rIIVII.>f"s forall UEJ'l", vEJ'l's (1.5.5)
with ~ r, S ~ t, r < t or s < t. Prove: a is also "Y-coercive.
Exercise 1.5.7. Let A E L("f/,"Y') be the operator associated with the sesqui-
linear form a and assume dim("Y) < 00. Show:
(i) A -1 E L("Y', "Y) exists if there is s > with
sup {Ia(v, w)l: v E "Y, 11 v 11;r = 1} ~ e> for all w E "Y. (1.5.6)
(ii) The largest e satisfying (6) equals the inverse of
IIA- 111;r+-;r' = sup inf 1/la(v,w)1 = 1/e. (1.5.7)
WE;r VE;r
II w ll;r= 1 IlvlI;r= 1
2. Introductory Model Problem
2.1 One-Dimensional Model Problem

A natural model of an elliptic equation is the two-dimensional Poisson equa-
tion in a square. Unfortunately, the analysis ofthe multi-grid algorithm for this
problem is still an involved exercise. Therefore, we start with the simplest
one-dimensional Dirichlet boundary value problem
-u"(x)=f(x) in Q=(0,1), u(x)=O at xEF={0,1}. (2.1.1)
A finite difference discretisation is characterised by the choice of the differ-
ence scheme and the grid size, which will always be denoted by h. The grid
corresponding to h = l/(n + 1) consists of the points Xv = vh(v = 1, ... , n).
From the beginning we introduce not only one grid but a sequence of grids.
The largest possible grid size is ho = -}. The corresponding grid Qo consists of
the single grid point Xl =-} (cf. Fig. 2.1.1). For reasons that will become clear
in 2.3, the next finer grid should be defined by halving the step size: h 1 =~.
Thus, the sequence
ho > h 1 > h2 > ... > hl > ... with hl = r 1- 1 (2.1.2)
results. The subscript I is called the level number. The grid of level I (cf.
Fig. 2.1.1) is
Ql = {vh l : v = 1,2, ... ,2 1 + 1 - 1}. (2.1.3)
For every grid point XvE QI the differential Eq. (1) has to be replaced by a
difference formula. The simplest one approximating the negative second de-
rivative is
hl- 2 [- u(xv-d + 2u(x v) - u(x v+ 1 )] = - u"(x v) + O(hf) (2.1.4)
[,lo i
[,l, i
[,l1 i i i i I
Fig.2.1.1.
0 '/a '14 '/I 3/4
.x Different grids
18 2. Introductory Model Problem
Setting Ji(v h,): = f (v hl ) and defining the vectors
UI = (UI(V hl))~l= 1, Ji = (Ji(v hl))~l= 1 (ni k- 1),

=
we obtain the system (5) of nl difference equations for the nl unknown elements
of the vector UI:
2 -1
-1 2 -1
hl- -1 2 -1.
2 (2.1.5)
- 1 2-1
-1 2
The boundary conditions UI (0) = UI (1) = 0 are incorporated into the system by
eliminating u(O) and u(l) from Eq. (4) for v = 1 and v = nl' respectively.
Occasionally, the difference Eq. (5) are abbreviated by the 'difference
stencil'
(2.1.5')
This notation does not indicate the treatment of the boundary condition.
From now on, the matrix of system (5) will be called LI; Eq. (5) is re-
written as
(2.1.5")
Because LI is tridiagonal, it is very easy to solve system (5") directly. Never-
theless, one-dimensional boundary value problems are suitable for the analysis
ofiterative methods. Multi-grid iterations as weIl as other iterations have many
properties that do not depend on the dimension. Moreover, the multi-grid
method can be described very easily for the present case, whereas in a more
general situation (cf. 3) there are many details which distract attention from
the basic principles.
2.2 Smoothing Effect of Classical Iterations
Among all the classical iterations we choose the J acobi iteration, since its
analysis is the most transparent one.
The system Llul = Ji can be written as Dlul = B,ul + Ji with B I := D I - LI,
where DI is the diagonal 2 h,- 2 I (I: identity matrix) of LI' This representation
leads us to the iteration
u{+1 = D I- 1 (B l u{ + Ji) (2.2.1)
due to Jacobi [1]. The ph iterate is always denoted by the superscript j. An
2.2 Smoothing Effect of C1assical Iterations 19
2"
~~----------~----~~-----------------
-1~--------------------------------~---
Fig. 2.2.1. Eigenvalues of the iteration matrix M, as function of Jl. h,
equivalent formulation of (1) is

U{+l = u{ - D I- 1(L1u{ - j,), (2.2.1 ')
showing that the correction u{+ 1 - Ul is obtained from the defect 1 L1u{ - j,.
It will turn out that the Jacobi iteration (1) is less interesting for our purpose
than the damped J acobi iteration
u{+ 1 = u{ - eDI-1(L1u{ - j,) with e E (0,1). (2.2.2)
In our situation Dl- 1 eq uals ~ hf I. Hence, setting w = e /2, we rewrite (2) as
u[+ 1 = u{ - w hf (LI u{ - j,) with w E (O,~). (2.2.3)
To analyse the convergence of iteration (3), note that the eigenvectors
of LI are
er = t (sin (v Ji n hl))~I= 1 for Ji = 1, ... , nl . (2.2.4)
The corresponding eigenvalues of LI are 4 hl- 2 sin 2 (Ji n hzJ2):
L1er = 4h l- 2 sin 2 (JinhzJ2) er (2.2.5)
Since
M l = I - whfL I
is the iteration matrix (cf. 1.3.1) of iteration (3), it has the same eigenvectors
er and the eigenvalues
AI'(W) = 1 - 4w sin 2 (JinhzJ2) (1 ~ Ji ~ nl = hl- 1 - 1).
For w = ~ and w = ~ these eigenvalues are shown in Fig. 2.2.1. As can be seen
from the graph, the maximum absolute value e(MI) is taken at Ji = 1. The
We use the name 'defect' instead of'residual'. Usually, the residual is defined with opposite
sign: f. - L,u,
Fig.2.2.2. Smoothing effect of the damped Jacobi iteration. U " exact discrete solution;
ui U = ur,
0, 1,2), iterates of the smoothing iteration; resuIt of coarse-grid correction
choice w = -!- yields the Jacobi iteration (1). Its rate of convergence is
(!(MI) = AI@ = 1 - 2 sin 2(nhz/2) = 1 - in 2hr + O(hi),
proving the very slow convergence of the Jacobi iteration. For any other
choice W E (O,-!-) the rates are even worse. E.g., w = i yields (!(MI) = Al W=
cos 2(nhz/2) = 1 - in2hr + O(hi). Thus, iteration (3) with w = i requires
twice as many iteration steps as with w = -!-.
In the following we fix w to be i. Even though the iteration (3) proves
very slow, Fig.2.2.1 shows that components er with frequency J1 ~ 1/(2h l )
i
are reduced at least by a factor per iteration. This means that the con-
vergence rate of the damped Jacobi iteration restricted to the subspace
span {er : ~ ~ J1 h, < 1} of high frequencies is ~. The iteration is rapidly conver-
gent with respect to the high frequencies. The slow convergence is caused by
the lower frequencies only. The construction ofthe multi-grid iteration is based
on this observation.
The initial error u? - u, can be represented by :L rY." er. v steps of the
damped Jacobi iteration yield the error ur - u, = :L"er with " = rY.,,[A,,(~)]V
(cf. (1.3.7b. The preceding consideration shows that " ~ rY." for low frequen-
eies, but I"I ~ 1rY.,,1 for high frequencies. This fact can be expressed by saying
that the error Ul - UI is smoother than u? - u,. The first three graphs of
Fig. 2.2.2 illustrate the increasing smoothness of ul - u, (v = 0,1,2). Therefore,
the iteration (3) serves as a 'smoothing iteration'.
In the following the matrices M, and NI (cf. (1.3.2 will be reserved for the
two- or multi-grid iterations. For the smoothing iteration we replace MI, NI by
S,,1/:
ui.+ 1 = SIU{. + 1/Jl.
I'
(2.2.6a)
In the special case of the damped Jacobi iteration, the matrices are
S, =I- w hr Lz, 1/ = w hr 1. (2.2.7)
2.3 Two-Grid Method 21
The iteration will also be denoted by 9[(u"ft):

U{+l = 9[(u{,ft). (2.2.6b)
The v-fold application of 9[ is symbolised by 9[v:

u{+ v = 9[v (u{,ft). (2.2.6c)
2.3 Two-Grid Method
The foregoing seetion showed that the simple damped Jacobi iteration (2.3)
.h 1
Wlt w = 4'
(2.3.1 )
is quite an efficient method for reducing the high-frequency components. Con-

vergence is only lacking with respect to low frequencies (smooth components).
Therefore, one should combine this iteration with a second one having comple-
mentary properties. In particular, the second iteration should reduce the
smooth error very weH. Such a complementary iteration can be constructed by
means of the coarse grid with step size h/- 1 = 2h/ (cf. Fig. 2.1.1).
Let ul1d be some given approximation to u/ = L , 1 ft. A sm all number of
iterations of method (1) will result in an intermediate value u/. From the
previous section we know that the error v/ = u/ - u/ is smooth (more precisely,
smoother than ul'ld - u/). v/ can also be regarded as the exact correction since
u/ = u/- VI'
Inserting u/ into the equation L/ u/ - ft = 0 we obtain the defect
(2.3.2)
of u/, which vanishes if and only if u/ is the exact solution U/. Because of
L/v/ = L/u/ - L/u/ = L/u/ - ft = d/ the exact correction v/ is the solution of
(2.3.3)
Equation (3) is of the same form as the original equation L/u/ = ft. The exact
solution of the former equation is as difficult as for the latter one. Nonetheless,
v/ can be approximated better than u/, since v/ is a smooth grid function. Only
smooth functions can be represented weIl by means of coarser grids.
To approximate the problem L/v/ = d/ by a coarse-grid equation
(2.3.4)
we have to choose d/- 1 reasonably. Note that the matrix L k is already defined
by (1.5) for all levels k ~ 0, especially for k = 1- 1. d/- 1 should depend linearly
on the original right-hand side d/. Hence, a linear mapping r, called a restric-
tion, defines dl - 1 by
dl-1=rdl (2.3.5)
The simplest choice of a restriction is the trivial injection rinj defined by
(rinjdl)(x) = dz(x) for all XE Q,-I c Q" (2.3.6)
Although this restriction is the easiest to perform, it has some disadvantages
(cf.3.5).
It is safer to take into account the components d,(x) at XE Q,\Q/-I, too. We
shall use the restriction r given by
(rd,)(x) = Hd,(x - h,) + 2d z(x) + d,(x + h,)] for XE Q,-l' (2.3.7 a)
The corresponding matrix is
2 0
1 2
r = ~ (2.3.7b)
1 2
o 121
It is a special weighted restriction. The justification of its weights ~, .:, ~ will be
given in Exercises 2.7.2-4.
Having defined d,- 1 by (5) from the defect d" we obtain VZ-I = L/..\ d,- I
as the exact solution of Eq. (4). We expect V'-I to be an approximation to the
exact correction VI' However, V,- 1 is only defined on the coarse grid Q,- 1 . We
have to interpolate this coarse-grid function by
(2.3.8)
where the prolongation p describes a coarse-to-fine interpolation. The simplest
interpolation is the piecewise linear one:
(p V,-l )() _{VI-dX) ifxEQ,-l,
x - (2.3.9a)
[vz-1(x - h l ) + v,-dx + hz)]/2 otherwise.
In this definition we formally set v,- dO) = vl - dl) = O. p can be represented by
the rectangular n, x n,- 1 matrix
1
2
1
2
P --l
2 (2.3.9b)
2
1 1
2
2.3 Two-Grid Method 23
Since UI = u l - VI is the exact solution and VI = P V I _ 1 is supposed to ap-

proximate VI' one tries to improve the value UI by
UI
new
= -
UI -
-
VI. (2.3.1 0)
The step from UI to uj'ew by (2-10) is called the coarse-grid correction. Combin-
ing the separate parts (2-10), we obtain the compact formula
UIHU I - pLI_\r(Ltul - j,) (2.3.11)
for the coarse-grid correction.
Figure 2.2.2 shows the errors ul - Ut after i = 0, 1,2 damped Jacobi itera-
tions. The coarse-grid correction applied to ut = uf yields uf . The graph of the
error uf - U I in Fig. 2.2.2 proves the success of the coarse-grid correction.
Although the coarse-grid correction seems to be efficient, it cannot be used
as an iteration by itself, as remarked in
Note 2.3.1. The coarse-grid correction (11) is a non-convergent iteration.
Proof The restriction r has a nontrivial kernel. Choose 0 =1= Wt E ker(r) and set
u? :=Li l (j, + wa.
As dt = Wt and dt - 1 = r Wt = 0, the resulting iterates are
~=~~~. 0
It is the combination of smoothing iteration and coarse-grid correction
that is rapidly convergent, whereas both components by themselves converge
slowly or not at all. The combination is called a two-grid iteration since two
levels I and 1- 1 are involved. We summarise below:
two-grid iteration for solving LI UI = j, (2.3.12)
u{ given iterate,
smoothing step:
ut : = 9fv (u{ ,j,) (cf. (2.6c (2.3.12a)
(application of v damped Jacobi iterations to u{),
coarse-grid correction:
dt := Llut - j, (calculation of the defect) (2.3.12 b l )
d,_l:=rd l (restriction of the defect) (2.3.12 b 2 )
Vt-l:= LI-\d t - l (solution of coarse-grid equation) (2.3.12 b 3 )
u{ + 1 : = u/ - P V/_ 1 (correction of u/) (2.3.12 b 4 )
As stated in (11) the coarse-grid correction (12b l -12b 4 ) can be condensed to

j+ 1
U/ = -
UI - P L-t-l 1 r (L lU/
- -
1")
J/ . (2.3.12 b)
The number v of smoothing iterations can be chosen independently of the

grid size h l Its influence on convergence will be described in the following
section.
The following algorithms are written in quasi-ALGOL. This presentation
has the benefit of showing immediately what has to be programmed, and in the
author's opinion it is more readable than flow-charts or FORTRAN texts.
The ALGOL description of the two-grid iteration (12) is given below:
two-grid iteration TGM(v) (2.3.12')
procedure TG M (I, u,J); integer I; array u,J;

if 1 = 0 then u:= L1 *! else
begin array v, d;
u: = !/IV (u,J); (2.3.12a')
d : = r * (LI * U - f); (2.3.12 b~, 2)
v:= L,_\ * d; (2.3.12b~)
u:=u-p*v (2.3.12 b~)
end TGM;
The procedure performs one iteration step at level I. The third parameter! is
the right-hand side J, of the equation to be solved. The input value of the
second parameter u is the given j'h iterate uj that is overwritten by the output
value u = uj+ 1. The second line "if 1 = 0 then ... " is added to have a well-
defined algorithm for all levels 1 ~ O.
The program (12') is denoted by TGM(v) since it depends on v. Iteration (12)
can be regarded as a prototype of the two-grid method. However, there are
many modifications. Instead of applying the smoothing first and thereafter the
coarse-grid correction, we can interchange the two parts. More generally, VI
smoothing iterations can be performed before, and V2 iterations after the
coarse-grid correction. The resulting algorithm is
two-grid iteration TGM(v" V2) (2.3.13)
procedure TGM(I,u,f); integer I; array u,J;

if 1= 0 then u:= L1 *! else
begin array v, d;
u: = !/lVI (u,f); (pre-smoothing) (2.3.13 a)
u: = u - p * L,_\ * r * (LI * U - I); (2.3.13 b)
2.4 Convergence of the Two-Grid Iteration 25
u: = Y[v 2 (u,f); (post-smoothing) (2.3.13 c)
end TGM;
2.4 Convergence of the Two-Grid Iteration
The one-dimensional model problem is chosen since the proof of convergence

is relatively easy. A discrete Fourier analysis yields explicit results. It will turn
out that most of the results can be extended to the multi-dimensional case.
The eigenvectors of L/ and S/ (from (3.1)) are the grid functions er,
1 ~ jl. ~ n/ as defined in (2.4). These vectors form an orthonormal basis oflRn"
smce
n,
L sin(/l7rvh/) sin(X 7rvh /) =
{O /2 ifl~jl.=Fx~n/,
v=1 n/ ifl~jl.=x~n/.
Therefore, the matrix
consisting of the vectors er

in the special ordering 1, n/, ... , jl., n/ + 1 - jl., ... ,
n/- 1 ,n/ + 1 - n/- 1 ,n/- 1 + 1 (where n/- 1 = h/-_\ - 1) as columns is unitary,
i. e. Q/- 1 = Q? The two-grid iteration matrix M/ will be transformed into the
block diagonal matrix
(2.4.1)
where MI"), 1 ~ /l ~ n/- 1 = h/-_\ - 1, are 2 x 2 matrices and Mln'-l + 1) is

1 x 1. Since Q/ is unitary, M/ and Q/- 1 M/ Q/ have the same spectral radius and
spectral norm. By the following lemma, whose proof is left to the reader, it is
sufficient to study the submatrices MI"):
Lemma 2.4.1. Let M/ be given by (1), where Q/ is unitary. Then
Q(M/) = max{Q(MI"): 1 ~ jl. ~ n/- 1 + 1}, (2.4.2)
11 M/ 11 = max {li MI") 11: 1 ~ jl. ~ n/- 1 + 1}, (2.4.3)
where 11 11 is the spectral norm (cf. (1.3.15a)).
The two-grid iteration (3.12) has a representation (1.3.2), u{+ 1 =
M/u{ + Ntft. where M/ = M/(v) depends on the number v.
Lemma 2.4.2. The iteration matrix of the two-grid iteration (3.12) is

M,=M,(v)=(I-pL'.!lrL,)S,., S,=I-ihtL,. (2.4.4)
Proof Apply the iteration to f, = 0, u, arbitrary. Use (1.3.3) with v and S,
instead of j and M, for the smoothing step and (3.12b) for the coarse-grid
correction. 0
It will be shown that the subspace spanned by ef and ejl + 1 -11 forms an
invariant subspace under multiplication by M" where 1 ~ Jl. ~ 1 We intro- n,_
duce the index Jl.' as a function of Jl. by
Jl.' = n, +1- Jl. for Jl. = 1, ... , n'-l'
Since Jl. < Jl.', ef and er' represent a low and a high frequency component,
respectively, of this subspace.
ef-l is a grid function of level I - 1 defined by (2.4) with h, and n, replaced
er
by h'-1 and n'-I' Note that and ,J2ef-l coincide at common grid points.
Formally, ef~ 1 can be defined but it does not differ from - ef-l' Moreover,
ef-l = 0 for Jl. = J1.' = n'-1 + 1. Again the matrix
Q'-1- _ [1 2 nl_I-l nI-I]
e'-I,e'-I, .. ,e'-1 ,e'-1
is unitary.
Define the transformed matrices
M, = Q,-1 M,Q" S, = Q,-IS,Q" L, = Q,-1 L,Q"
L'-1 = Q,~\L'-1 Q'-I, P = Q,-l p Q'_I' r = Q,~\rQ,.
The proof of the following lemma is postponed to the end of this section.
Lemma 2.4.3. The matrices S" L" p, L,-I' r have diagonal block structure:
Sp) L\I)
~. L,= ~.
ISjn,- I +l) IL\n,- I +l)
p(i) r(l)
0
-
p= ~ r= ~. 0
-;-;-;
~(nl_ !l 0
p(n l _ l )
0 0 ... 0
L '-I = d'lag {T(I)
A T(nl- 1 + I)}
L'-I'"'' L'-1 .
Let s; = sin 2 (Jl; h'). e; = cos 2 (Jl; h} The blocks are defined by
L<t')=4hl-2[~ ~] (l~Jl~nl-l)' Jj~I-.+l)=2hl-2, (2.4.5)
Sl'l) = 1 - !ht L<t') = [~ ~] (1 ~ Jl ~ nl-d, S/"I-.+l) = i (2.4.6)
r(/l) = ~[e; - s;], p(/l) = J2 [~~;J (1 ~ Jl ~ ni-I) (2.4.7)
IJr2 1 = 4h l- 2 s;e; (1 ~ Jl ~ nl-l + 1). (2.4.8)

By Lemma 2.4.2, the matrix MI = QI- 1 MI QI equals
MI = (1 - pL'-lfLI)Sr
A A l A A
From Lemma 2.4.3 one concludes that MI has the diagonal block structure
stated in (1). Its blocks are
Mj/l) = [1 - p(/l) L<t'.!.1 r(/l) L<t')] (S//lV (1 ~ Jl ~ nl_ d,
M/"I-' + 1) = (S/"I-. +1",
hence,
MI/l)=[:~ ~~][~ ~J (l~Jl~nl-d, MI"I-.+l)=r v. (2.4.9)
The matrix diag {e;, s;f corresponds to the damped Jacobi iteration and
shows that the high frequency er' is weIl reduced by s;v, since 0< s; < i,
er
whereas the low frequency is diminished by the factor e;V(~_ < e; < 1) that
approaches 1 for small Jl.
The first factor [s~ e~] sterns from the coarse-grid correction. It is plain
s/l e/l
that the coarse-grid correction has the complementary property. It is the low
frequency er
which is reduced by s; < i while the high frequency term er' is
decreased only by e; > i.
Convergence is proved in
Theorem 2.4.4. Let the two-grid iteration of level 1 be defined by (3.12)
with v !?; 1. The spectral radius of the iteration matrix MI = MI(v) (cf. (4 is
bounded by
e(MI(v ~ maxg(l - ,)V + (1 - ,),v: 0 ~,~ H=:ev < 1 (2.4.10)
uniformly for all I!?; 0; hence convergence folIows. The spectral norm is
bounded (uniformly in I) by
11 MI (v) 11 ~ max {J2 [,2(1 - ,)2v + (1 - ,)2 ,2v]: 0 ~ , ~ H=: Cv < 1.
(2.4.11)
The asymptotic behaviour of Qv and C as v -+ 00 is

Qv ~ Cl/V, C ~ C2/V (2.4.12)
with Cl = l/e ~ 0.3679, C2 = .j2/e ~ 0.5203. (Some values are listed in
Table 2.4.1.)
Table 2.4.1. Uniform bounds for spectral radius and norm of the two-grid iteration
matrix (4)
v 2 3 4 5 10
1 1 1
Il v 2 4: 8 0.0832 0.0671 0.0350
1 1
(. 2" 4: 0.150 0.1159 0.0947 0.0496
Proo".
'J. MI(Il) = [~ ]
Wl'th a =
v. Sil2 CIl2v , = Cil2 Sil2v . S'Ince
Q([: ~J) = a + (a, ~ 0),

11[: ~JII=II[: ~J[; ;JII1/2=Ja2+21IC !JII1 /2=J2(a 2 +2)
(cf. (1.3.15a)) one obtains
Q(M!lll) =Qv(S;), 11 M!Il) 11 = 'v(s;) for 11 =1, ... , 1, nl- (2.4.13)
where
Qv(~) = ~(1 - ~r + (1 - ~) ~v, 'v(~) = J2 [~2(1 - ~)2V + (1 - ~)2 ~2V].
(2.4.14)
= =
As Qv@ 'vH) rv, Eq. (13) holds also for 11 nl - 1
the 1 x 1 matrix 2 - v (cf. (9)). Lemma 2.4.1 implies
= +1 when M!n 1 - ' + 1) is
Q(MI ) = max{Qv(s;): 1 ~11~n/-1 + 1}, (2.4.15)
11M/li = max{'v(s;): 1 ~ 11 ~ n/-1 + 1}.
The arguments s; = sin 2 (l1nhz/2) lie in the interval (O,i); hence (10) and (11)
follow.
The asymptotic formula (12) can be derived from the fact that the leading
terms of QV<~) and ,v<~) are ~(1 - ~y and .j2 ~(1 - ~)v. Their maxima
are attained at ~o = 1/(v + 1) and result in Qv(~o) ~ ~o(1 - ~oY =
(1 - 1/(v + lW/(v + 1) ~ 1/(ev) and 'o(~o) ~ .j2/(ev). 0
The bounds Qv and C are uniform with respect to I, hence uniform with
respect to the grid size h,. The spectral radii of the classical iterative methods
depend on h, and tend to 1 for h, -+ O. Examples are Jacobi's iteration and the
Gau-Seidel iteration with Q(MI) = 1 - 0 (hf) and successive overrelaxation
with (!(M /) = 1 - O(h,) at best. In sharp contrast to this behaviour, the two-
grid iteration as weil as the multi-grid iteration defined below have spectral
radius and contraction number uniformly bounded by some number smaller
than 1. As a consequence, an accuracy e can be obtained by j = O(log 1/e)
iterations, where j is independent of h, . Of course the numbers (! (MI) and 11 MI 11
depend on I, but they approach their bounds (!v and C very quickly (cf.
Table 2.4.2).
Table 2.4.2. Values of /}(M,) and 11 M,II for v = 3

I 1 2 3 4
1 1 1 1
h, 4: "8 16 32 bounds
/}(M,(3 0.0938 0.1123 0.1248 0.1250 /}3 =~

11 M,(3 11 0.1288 0.1471 0.1484 0.1501 (3 = 0.1501
The reason is stated in

Note 2.4.5. (! (MI (v)) = (!v - O(hr), 11 MI (v) 11 = (v - O(hr)
Proof Q.(x): = (Iv (sin 2(xI)) (cf. (14)) takes its maximum (Iv at some inner point
(0,1). Choose x' = J1 h,(1 ~ J1 ~ nl _ d closest to xo. Eq uation (15) implies
Xo E
(I (MI (v)) ;?; Qv(x'). Because of ~ Qv(xo) = 0, Qv(x') = Qv(xo) + 0(1 X o - x'1 2 ) =
(Iv + 0 (hr) holds and completes the proof. 0

The rate (Iv and the contraction number (v improve with increasing v.
However, they do not decrease exponentially (~ C eV ) but as C/v. This behav-
iour will be shown to hold for much more general boundary value problems
also. Sometimes C/v has to be changed to C/v". For less regular problems IX < 1
has to be expected, while IX > 1 would require a prolongation p which is better
than piecewise linear interpolation.
A consequence of (v ~ C/v is the recommendation not to choose v too large.
Doubling of v decreases C to (2v ~ (v/2. But also the computational work is
alm ost doubled (at least in the multi-grid version). Thus, the choice of v is
better than 2 vif (; ~ (v/2, i.e. if (v ~ 1. A more precise discussion is given in
4.3.
It remains to prove Lemma 2.4.3. Equation (5) can be deduced from
Eq. (2.5) and s~, = c~ .
Equation (6) is an immediate consequence of SI = I - thr LI'
To prove the first part of (7) one has to show
(2.4.16)
The first equation follows from

(ref)(x) = , Hsin(J.l1t(x - h, + 2 sin(J.l1tx) + sin(J.l1t(x + h,]
= , Hcos(J.l1th,) + 1] sin{J.l1tx) = , c; sin(J.l1tx)
1
= fi c;ef- 1 (x)
for all XE 0'-1' since !(cos(~) + 1) = cos2(~/2). The second equation of (16)
follows formally from the first one since c;,
= s; and ef~ 1 = - ef-l' The rela-
tionp = 2r T (cf. (3.7b), (3.9b yields = 2fT. Hence the first part of(7) implies
the second one. The last row of and the last column of f vanish since ref = 0
for J.l = n,-1 + 1 = h,-:"\. For the proof of ref = 0 use (16) and note that
ef-l = 0 since ef-dvh'-I) = J2h'-1 sin(J.l1tvh,_I) = J2h'-1 sin(1tv) = O.
The eigenvalue of L'-1 is 4h,-:..21 sin 2 J.l1t~'-1 (cf. (5. Equation (8) follows
- 2 h - 2 d ' 2 J.l1t h,_ 1
from 4 h'-1=' . 2 h 2 2
an sm 2 =sm J.l1t ,=4cl'sl" 0
2.5 Multi-Grid Method
In the previous seetion the two-grid method proved to be a very fast iteration.
However, in the more interesting case of multi-dimensional boundary value
problems the two-grid iteration is impractical because the exact solution of
L'-1 V'-1 = d'-1 is required in (3.12b 3 ). The solution V'-1 is needed to com-
pute the correction V, = PV'-I' Since V, is only an approximation to
v, = L l 1 d" there is no need for the exact computation of V, and then of V,_ 1
It suffices to calculate an approximate solution v,_ 1 of
(2.5.1)
For example, the approximation V'-1 can be obtained by some iterative
process:
o
V'-1:= 0 HV'_IH
1 ... HV'_1
Y =:V'-1
- ( Y: num ber 0 f'IteratIons.
. )
Note that the coarse-grid system (1) is ofthe same form as the original problem
L, u, = fz (only I is replaced by 1 - 1). Hence, the two-grid iteration of Sect. 2.3
(with levels {I - 1,1 - 2} instead of {I, 1 - 1}) can be used as an iterative solver
ofEq. (1) provided that 1 - 1 > O. This combination yields a three-grid method
involving the levels 1,1- 1,1 - 2. The exact solution of Eq. (1) is replaced by
Y steps ofthe two-grid iteration at the levels 1- 1,1- 2 involving the solution
of new auxiliary equations L'-2 V'-2 = d'-2 for y different right-hand sides
d'-2'
If 1- 2 > 0, the exact solution of L'-2 V'-2 = d'-2 can again be approxi-
mated by a two-grid iteration at the levels 1- 2 and 1 - 3. The resulting
algorithm would be a four-grid method. This process can be repeated until all
1 + 1 levels {I, 1 - 1, 1 - 2, ... , 1,0} are involved. Equations at level 0 must be
solved exact1y or approximated by some other iteration. Level 0 corresponds
to the coarsest grid and therefore to the smallest system of equations. In our
model example (1.5) there is only one (no = 20 + 1 - 1 = 1) unknown uo@ at
level o. The resulting (I + 1)-level iteration, which is now called a multi-grid
iteration, can easily be described by the following recursive pro gram .
................................................................. .
multi-grid iteration for solving LI UI = !t (2.5.2)
..................................................................
procedure MGM(l,u,f); integer I; array u,f;
if 1 = 0 then u: = L1 *f else (2.5.2a)
begin integer j; array v, d;
u: = 9/V(u,f); (2.5.2 b)
d: = r * (LI * U - f); (2.5.2Cl)
v:= 0; (2.5.2C2)
for j: = 1 step 1 untH l' do MGM (l - 1, v, d); (2.5.2c 3 )
u:=u-p*v (2.5.2c 4 )
end;
The meaning of the parameters I, u,f is the same as for the proced ure TGM
from (3.12'). One call of MGM performs one iteration of the multi-grid method
(at level 1).
Comparison ofprocedure TGM with MGM shows that the only modifica-
tion is the replacement of (3.12b~) by (2c 2 -c 3 ). Instead of solving Eq. (1)
exact1y, one applies l' iterations of the multi-grid iteration at level 1 - 1 with
right-hand side d. One call of MGM at level 1gives rise to l' calls of MGM at
level I - 1 involving a further 1'2 calls at level I - 2, etc. The recursive process
ends at level 0, where the auxiliary problems L o Vo = do are solved exact1y
(cf. (2a.
A po pul ar language permitting recursive procedure calls is PASCAL (cf.
Jensen-Wirth [1]). A complete multi-grid solution of the model problem (1.5)
with f(x) = x in this language is given below.
PASCAL multi-grid program (2.5.3)
Program multi-grid (output);

const max = 128; (* step size 1;8 corresponds to maximal level I = 6 *)
type grid-function = array [0 .. max] of real;
var i: integer; x: real; u, J, aux, uexact: grid-function;
function n (l: integer): integer; var k, i: integer; (* n: = 2' + 1 - 1 *)

begin k : = 2; for i: = 1 to 1 do k: = 2 * k; n : = k - 1 end;
procedure compare (i: integer); var s: real;j: integer;

begin s: = 0.0; for j:= 1 to max do s:= s + sqr(u U] - uexact U));
writeln(i, sqrt(s/max))
end;
proeedure mgm(l: integer; var u,f: grid-function);

eonst ny = 2; gamma = 2;
var i, n I, nl 1: integer; v, d: grid-function; h 2: real;
proeedure restriction-of-defect (var d, u,f: grid-function);
var i: integer;
begin for i:= 1 to nl do aux[i]:= (2.0*u[i] - u[i -1] - u[i + 1])/h2 - f[i];
for i: = 1 to n 11 do d [i]: = aux [2 * i]/2.0 + (aux [2 * i - 1]
+ aux [h i + 1))/4.0
end;
proeedure subtract-prolongation (var u, v: grid-function); var i: integer;
begin for i: = 0 to n I 1 do
begin u [2 * i] : = u [2 * i] - v [i];
u [2 * i + 1]: = u [h i + 1] - (v [i] + v [i + 1])/2.0
end end;
procedure smoothing (var u, f: grid-function);
eonst omega = 0.25; var i: integer;
begin for i: = 1 to nl do aux [i] : = 2.0 * u [i] - u [i + 1] - u [i - 1] - h 2 *f[i];
for i: = 1 to nl do u [i] : = u [iJ-omega * aux [i]
end;
begin if I = 0 then u [1] : = f[1 ]/8.0 else
begin nl:= n(l); nll:= n(l- 1); h2:= 1.0/sqr(nl + 1);
for i: = 1 to ny do smoothing (u, f);
restriction-of-defect (d, u,f);
for i: = 0 to nil + 1 do v [i] : = 0.0;
for i:= 1 to gamma do mgm(l- 1, v, d);
subtract-prolongation(u, v)
end end;
begin for i: = 0 to max do

begin x: = i/max; f[i]: = x; uexact [i]: = x * (1.0 - x *x)/6.0; u [i]: = 0.0
end;
compare(O); for i:= 1 to 9 do begin mgm(6, u,f); compare(i) end
end.
Program (3) produces the output

o +4.6004370510357E-02 5 + 2.3313836339897E-09
1 + 1.2710489301310E-05 6 +4.9554907461052E-l0
2 + 3.4648355529475E-07 7 + 1.0811551050020E-l0
3 + 5.7830989963782E-08 8 + 2.41 0660031 0668E-ll
4 + 1.1321089598505E-08 9 + 5.4702747572260E-12
For readers not familiar with recursive algorithms we refer to the flow chart
and the FORTRAN pro gram in Sect. 4.1.
We shall see that y = 1 or y = 2 are appropriate values of the iteration
number y. In the special case of y = 1 the multi-grid algorithm MGM can be
written equivalently as
procedure MGM(l,UI,h);
begin for k : = I step - 1 until 1 do
begin Uk:= g::(Uk,fk); fk-l:= r * (L k * Uk - fk)
(2.5.4)
end;
Uo : = La
1 * fo ;
for k : = 1 step 1 until I do Uk: = Uk - P * uk - 1
end;
The sequence of operations during one step of the multi-grid iteration (4)
(i. e. for y = 1) is depicted in Fig. 2.5.1 far the example I = 4. The stave symbol-
ises the scale of levels.
In the case when y = 2 the multi-grid iteration cannot be represented in
such a simple form as (4). Figure 2.5.2 shows the details of one multi-grid step
at level 4 involving 2 (4,8) iterations at level 3 (2,1, resp.).
Due to the form of Figs. 2.5.1- 2 the iteration with y = 1 is also called a
V-cycle, while the name W-cycle is used for y = 2.
Fig. 2.5.1. One multi-grid iteration for y = 1, I = 4.

S, smoothing step; R, restriction of the defect; E, exact
solving at level 0; P, correction Ukf--> uk - PUk - 1
\ 7
\ 7\ /
\ 7\ 7 \ r\ /
\7\7 \7\7 \/\/ \{\/
Fig. 2.5.2. One multi-grid iteration for y = 2, I = 4
In Sect. 7 it will be shown that the properties of the multi-grid iteration are
alm ost the same as those of the two-grid iteration. The contraction numbers
of both methods are closely related. The bounds of thc multi-grid contraction
numbers (and of the convergence rates) are not only independent of the step
sizes {h" hl - l , .. , hol but also independent of the total number of levels in-
volved in the iteration.
2.6 Comments
2.6.1 Variants of the Two- and Multi-Grid Iteration
Other smoothing iterations. It has already been mentioned that the damped
Jacobi iteration (3.1) is a very special example of a smoothing iteration. It was
chosen since then the analysis of the two-grid convergence was relatively easy.
The choice OJ = i in (2.3) is by no me ans optimal (cf. 2.6.3). Usually, the
Gau-Seidel iteration is preferred for smoothing. However, Exercise 2.7.6
shows why this iteration cannot serve as a model example. In 3.3 numerous
further smoothing iterations will be discussed.
Post-smoothing. The two-grid iteration (3.13) uses pre- and post-smoothing, i. e.
smoothing before and after the coarse-grid correction. The analysis of 2.4 can
easily be extended to this modification. Let Ml(V I , v2) be the two-grid iteration
matrix, where VI (V2) is the number of pre- (post-)smoothing iterations. The
spectral radii of Ml(V I , v2) depend only on the sum VI + V2 (cf. Exercise 2.7.7).
However, the spectral norms of Ml(V I , V2) are different as can be seen from
Table 2.6.1.
Table 2.6.1. Spectral norms 11 M,(vt> v2)11
~
0 1 2 3 4
v2
1 1
0 ~ 2 4 0.150 0.115
1
1
2
1
1
4
0.150
0.150
0.849
0.849
I
0.115
I
3 1 I
4 1 I
Table 2.6.2. Norms IM,(v 1, v2)ll~1
~
0 1 2 3 4
v2
0 1 1 0.289 0.238 0.222
2
1 1
1 2 4 0.128 0.092 I
2
3
0.289
0.238
0.128
0.092
0.083 I
4 0.222
I
I
2.6 Comments 35
The entries in Table 2.6.1 are the contraction numbers
Obviously, the values (Vl'O coincide with (VI from Table 2.4.1. The choice
VI = 0, Vz > 0 (only post-smoothing) seems to be very unfavourable. The rea-
son for this fact is discussed in 2.6.2.
Coarse-grid correction. The coarse-grid correction may be modified also. One
can change the restriction r or the prolongation p. For example, the trivial
injection (3.6) results in spectral radii Qv = 2 - and spectral norms (v ~ 1/(e v)
V
which are unrepresentative for the multi-dimensional case.

We mayaiso try to apply the idea of over- or under-relaxation to the
coarse-grid correction. The step (3.12b 4 ), u/+ I = I- PVI-l' can be re-
placed by u/+ 1 = I- WPV I _ I with suitable W as proposed by Meis-Branca
[1]. However, for the one-dimensional model problem one can show that
(v ~ Qv ~ max {1, 11 - W 1/2 V} . Thus the spectral radius (norm) cannot be
improved by any choice of was long as v ~ 3 (v ~ 2) (cf. Table 2.4.1).
2.6.2 Contraction Numbers with Respect to Other Norms
The contraction number 11 MI 11'W~'fI depends on the choice of the norm 11 . 11'fI'
The standard choice was the Euclidean norm for vectors and the associated
spectral norm for matrices. For these norms we introduce new symbols:
I . 10: = Euclidean norm, I. lo~o: = spectral norm. (2.6.1 a)
From (1.3.16a), lu/+ I - utlo ~ IMtlo~o lu{ - utlo (UI = LI I ft), we see that
during each iteration the Euclidean norm of the error u{ - UI decreases by the
contraction number IMtlo~o
Instead of observing the error u{ - UI, one might be interested in the defect
d{ = LI u/ - ft. The rand U + 1)" iterates are connected by
dt l = LI(u{+l - u l ) = LIMI(u{ - UI) = LIMILI I dl
As LI MI LI I and MI are similar, the spectral radii coincide, but in general the
new contraction number ILI MI LI I 10<-0 governing the reduction of Id{ 10,
(2.6.2)
differs from IMtlo~o. For vectors VI and matrices AI set

Ivtlz:= ILlvtlo, IAtl2~2:= ILIAILlllo~o. (2.6.1 b)
By Exercise 1.5.2, I . 12 is a norm and I . 1z<-2 represents the associated matrix

norm. As lu{ - ulb equals Id{lo, inequality (2) is equivalent to
(2.6.2')
One learns from (2) and (2') that there is no fundamental distinction between
convergence estimates of the error and convergence estimates of the defect.
One is equivalent to the other if the norms are chosen suitably.
In 2.6.1 we discussed the two-grid iteration (3.13) with pre- and post-
smoothing and obtained unfavourable contraction numbers (o,v = 1 when
pre-smoothing was omitted (v 1 = 0). The situation reverses if we consider
contraction numbers with respect to I . Iz. Exercise 2.7.8 shows that
(2.6.3)
The rles ofpre- and post-smoothing alternate when the reduction ofthe error
Iu{ - u,lo is replaced by the reduction of the defect Idf 1o.
A norm intermediate between I . 10 and I . Iz is I . h with associated matrix
norm 111+-1:
(2.6.4)
(L}/2 and LI I / 2 are well-defined positive definite matrices; cf. Lemma 1.3.5).
Because of the representation Iv,lf = (v"L,v,) this norm is also called the
(discrete) energy norm. The contraction numbers corresponding to I . 11 behave
symmetrically with respect to pre- and post-smoothing:
(2.6.5)
Their uniform bounds (v., v, are given in Table 2.6.2. The numbers (v., v"
V 1 + V2 = v even, are minimised when VI = V2 = v/2. Moreover, the contrac-
tion number IM,(v/2, v/2)ll+-1 equals the spectral radius (!(M,(v/2, v/2)) (cf.
Exercise 2.7.8 and Lemma 1.3.4).
The subscripts 0, 1,2 of the norms I . 10' I . 11' I . b indicate the order of the
differences involved. This is obvious for 0 and 2. The norm IV,II can be rewrit-
ten as lov,lo where ov,(x) = [v,(x + h) - v,(x)]/h, v,(O) = v,(l) = O. The norms
I Ik are discrete counterparts ofthe Sobolev norm 11 11 Hk(O, l)(k = 0,1,2) ofthe
spaces HO (0, 1) = L 2 (O,1), HA (0, 1), H 2 (O, 1) n HA (0, 1), respectively.
2.6.3 Measuring of the Smoothing Effect
The crucial condition of effective multi-grid convergence is the smoothing

effect of the 'smoothing' iteration fI/. Is it possible to measure the smoothing
by fI/? It must be recalled that it is not the result ii, = fI/(uf ,fi) but its error
which has to become smooth. The error is
v, = ii, - u, = fl/v (u{ ,fi) - u, = Si v, with v, = u{ - u,.
One can define the smoothness of v, by the norm of differences of v,. A special
difference operator of second order is the matrix L,. Thus, L, v, = L, Si v, should
be relatively smalI, where 'relative' means that 11 L, Si v,lI has to be compared
2.6 Comments 37
with 11 LI 11 11 vIII. We thus obtain the 'smoothing number'

Qdv) = sup 11 LiSt 11I11 LIII (2.6.6)
IE: 1
No smoothing (e. g. for v = 0) is indicated by (h = 1.

Another 'smoothing rate' is introduced by Brandt [3]. In the model problem
er
the eigenfunctions are divided into low frequencies 1 ~ J1. ~ nl-l and high
er
frequencies nl_ 1 + 1 ~ J1. ~ nl' Let (1", be the J1.lh eigenvalue of SI, SI = (1", er ,
and define
QB(V) = sup max{I(1",lv: nl-l + 1 ~ J1. ~ nl}' (2.6.7)
IE: 1
Table 2.6.3 suggests a elose relationship between QL and QB and the spectral
radii Qv from Table 2.4.1. QB(V) cannot approximate Qv for large v since it
decreases exponentially in contrast to Qv :::::: 1/(e v). The rate ClB is discussed more
precisely in 8.2.
Table 2.6.3. Smoothing numbers eL(V) and eB(V) compared with e.

v 0 1 2 3 4 5
ed v) 1
4 0.148 0.105 0.0819 0.06698
1 1 1
eB(V) "2 4 8 0.0625 0.03125
1 1 1
e. "2 4 8 0.0832 0.06709
The primary purpose of the smoothing numbers is not to approach

the convergence rate of the two- or multi-grid process, but to describe the
smoothing ability of the smoothing step u/I-+ 91(u{ ,f,) alone. An application
follows.
Let 91be the damped Jacobi iteration (2.3) with w E (0, ~). One ought to find
an optimal w minimising Qv or ev. E. g., in the first case one has to minimise
Qv = Qv(w) = max {p.+de,w): 0 ~ ~ ~ ~}, where P.+ 1 is a certain polynomial
of degree v + 1. It is easier to optimise the smoothing numbers QL or ClB:
Qdv;w)=max{ll-4wl"vV /[4w(1 +V)l+v)},
QB(V; w) = max {I 1 - 2wl"ll - 4wI V} .
2.6.4 The Multi-Grid Iteration as a New Type of Iteration
The name 'relaxation method' is used for the Gau-Seidel iteration as weIl as
for a elass of generalisations. Examples of accelerated versions are the success-
ive overrelaxation method (SOR) and the symmetrie SOR (cf. Young [1, 2,3],
Varga [1 ]). In 2.2 we found that the drawback of Jacobi's iteration is the poor
rerluction of smooth (low frequency) error components. The same is true for the
original relaxation method (Gau-Seidel iteration). The accelerated versions
mentioned above have improved convergence properties with respect to the

smooth components, but at the same time the convergence with respect to high
frequencies deteriorates.
The multi-grid iteration fully preserves the good convergence with respect
to high frequencies. The underlying Jacobi or Gau-Seidel iteration is not
accelerated. It is the combination with the coarse-grid correction (having the
complementary convergence property) that yields at the same time good con-
vergence with respect to the smooth error components. The smoothing step
(e.g. by relaxation) and the coarse-grid correction are of same importance,
although relaxation seems to dominate the multi-grid process. A similar situa-
tion arises for preconditioned cg methods where the combination ofboth parts
(preconditioning and conjugate gradient method) yields the characteristic
effectiveness.
2.6.5 Historical Comments

For about one century the Jacobi and Gau-Seidel method ('relaxation') were
the only tools for solving smalllinear systems iteratively. A lot of interesting
variations were proposed which were well-fitted for hand calculations. In par-
ticular, Southwell [1], [2], [3] proposed special block and group relaxation
methods by which groups of unknowns instead of individual unknowns were
changed. Although this approach came near to the use of a coarse grid, it could
not develop into a two- or multi-grid iteration since Southwell's techniques
were oriented to the particular physical problem and not suited for an abstract
algorithm.
It was first the successive overrelaxation method (SOR; cf. Young [1] 1950)
which achieved an improvement by a slight systematical modification of the
algorithm. From the view point of multi-grid methods the paper of Stiefel [1]
is very interesting. He reviewed the difficulties of the Gau-Seidel iteration, the
approaches of Southwell and others, and concluded that all these modifica-
tions were developed for hand calculations and did not allow a systematical
application as it is needed for a computer program. As a systematical improve-
ment of the Jacobi iteration he invented the conjugate gradient method (cg).
Occasionally, also after SOR and cg were known, the idea of correcting
blocks ofunknowns instead ofsingle unknowns was repeated by other authors
(e.g. by Wachspress [1]). These approaches can be regarded as pre-versions of
two-grid iterations.
The first correct two-grid iteration was described by Fedorenko [1]. He
emphasized the complementary roles ofthe Jacobi iteration and ofthe coarse-
grid correction.
It was also Fedorenko [2] who formulated the first multi-grid algorithm in
1964 and proved the typical convergence behaviour. His proof was restricted
to Poisson's equation in a square. The much more complex situation of a
difference scheme for a second order elliptic equation with variable coefficients
was considered by Bachvalov [1] in 1966. His main aspect was the optimal
2.7 Exercises 39
order of complexity achieved by the multi-grid solution process rat her than its
practical efficiency.
In 1972 Brandt [1] following the papers mentioned above discovered the
efficiency of the multi-grid algorithms. He laid emphasis on the combination
of the multi-grid process with additional techniques which should yield a
"multi-level adaptive" method. Apreeise deseription of his multi-grid algo-
rithms was given in 1975/76 (cf. Brandt [2], [3]). However, in these and later
papers the eonsiderations about eonvergenee remained very vague.
An important step towards the eonvergenee analysis was made by Nieolai-
des [1], [2]. While his first paper deseribed a two-grid iteration, the seeond one
from 1977 studied the convergence of a finite element discretisation.
Bank and Dupont gave two different convergence proofs in areport from
1977, which has since been divided. The second part of the report is published
in a journal (cf. Bank-Dupont [2]), whereas the first one, containing a new
approach is available only as areport (cf. Bank-Dupont [1 ]).
In 1976 the author of this book discovered the multi-grid algorithm inde-
pendently of the papers mentioned above (cf. Hackbusch [1]). The first papers
contained software and a convergence analysis by means of the Fourier trans-
form (cf. Hackbusch [1], [2]). In 1977 the results ofNicolaides were generalised
(cf. Hackbusch [5]) and a revised version (Hackbusch [21 J, written in 1978,
published 1981) made use of the smoothing and approximation properties.
Reports ofFrederiekson [1], [2] from 1974/75 describing algorithms closely
related to multi-grid iterations inspired Wesseling [1] in 1977 to use a multi-
grid method for a special Navier-Stokes problem. The convergence proof of
Wesseling [2] followed the considerations of Bachvalov.
In 1980 multi-grid publications appeared by Hemker [1] and the group of
Trottenberg, Stben, Witsch. After 1981 when most of the fundamental multi-
grid papers had appeared, the number of multi-grid publieations increased
rapidly.
Papers coneerning special topies will be mentioned in the respective
chapters. It remains to draw attention to aggregation-dis aggregation methods
which have a formal relationship with two-grid algorithms. This approach
is a very natural one for problems from eeonomies (cf. Sekerka [1] 1978,
Sekerka-Typolt [1] 1968, Mandel [1] 1981. More recently this approach has
been attempted for general algebraic problems (cf. Miranker [1], Chatelin-
Miranker [1]).
2.7 Exercises
Exercise 2.7.1. Let epv(x) (l~v~n/=h/-l-l) be the 'hat-functions'
n,
max(O, 1 -Ix - vhd/h/). The finite element solution u(x) = L u/(vh/) ep.(x)
of Eq. (1.1) is the solution of v= 1
!u'(x) ep~(x) dx = !f(x) epv(x) dx

1 1
for all 1 ~ v ~ n/.
Show that UI = (ul(vhl~~''l is the solution of system (1.5) with slightly

changed ft.
Exercise 2.7.2. The matrices rand P are given in (3.7b) and (3.9b). The trans-
posed rT does not equal p. However, prove that
r* = p (2.7.1)
where r* is the adjoint with respeet to the sealar produets
<v" wl) = hl L VI(X) wl(x) (2.7.2)

XEQl
(l = 0,1, ...) that are special eases of (1.3.10).

Exercise 2.7.3. F or LI and L l - 1 from (1.5) and p, r from (3.7/9) prove that
LI - 1 = rLIP, (2.7.3)
Exercise 2.7.4. The coarse-grid eorreetion I~C({I(I,ft) is defined in
(3.11). Prove: a) r(LIC({I(UI,f,) - f,) = 0 for all Ul,f,; b) C({l is a projeetion, Le.
C({1(C({I(UI,f,),f,) = C({1(U"f,).
The statements of the next two exereises do not extend to the multi-
dimensional case.
Exercise 2.7.5. Show that fi l = C({1(UI,f, satisfies LI fil(x) = f,(x) at all eoarse-grid
points XE Ql-l c Ql'
Exercise 2.7.6. Define the smoothing proeedure S1by the Gau-Seidel iteration
eorresponding to the ordering
(2 h, 4 h, ... , 1 - 4 h, 1 - 2 h, h, 3 h, ... , 1 - 3 h, 1 - h)
ofthe grid points. Prove: a) For arbitrary u? let u{ be the iterates of the two-grid
iteration (3.12) with the new S1and with v ~ 1. Then u{ = Ul (exact solution) for
j ~ 1. b) The same result holds for the multi-grid iteration with l' ~ 1.
Hint. Prove L,u{(x) = f,(x) for XE QI\QI-l and use Exereise 2.7.5.
Remark. Exereise 2.7.6 shows a dose relationship between the one-di-
mensional multi-grid iteration and the direct reduction method of Sehrder-
Trottenberg [1] (cf. also Schrder-Trottenberg-Witseh [1], Trottenberg [1]).
Exercise 2.7.7. Let MI(V 1 , V2) be the iteration matrix of the two-grid iteration
(3.13). Prove Q(MI(Vl,V2=Q(MI(V~,V2 for Vl+V2=V'1 +V2' Why does
this statement not extend to the multi-grid version of (3.13)?
Exercise 2.7.8. Let MI(V I , V2) be as in Exereise 2.7.7. Prove that
a) MI(V 1 , v2)* = L IM I(V2, VI) L , I ,
b) L}/2 MI (v, v) L , I / 2 is symmetrie.
3. General Two-Grid Method
The complete multi-grid process will be developed in three stages ( 3: two-grid

iteration, 4: multi-grid iteration, 5: nested iteration). The two-grid algorithm
serves only as an (impractical) illustration preparing for the multi-grid method
which might seem intricate if introduced at once. Although the multi-grid
iteration of 4 is already effective, it can still be improved by the nested
iteration ( 5).
The term' general' in the heading of this section indicates that we do not
restrict our description to a few model problems. However, there is no two- or
multi-grid algorithm working as a 'black box' for all boundary value problems.
The various components of the algorithm have to be adapted to the special
nature of the actual problem as discussed in 10-11.
3.1 The Boundary Value Problem and Its Discretisation
The boundary value problem considered below is a general scalar equation of

order 2 m in a d-dimensional domain. However, we shall often assurne a second
order problem in a two-dimensional domain to avoid complicated notation.
Elliptic systems, which are excluded here, will be studied in 11.
We consider finite difference discretisations as weIl as (conforming) finite
element discretisations. It is not intended to present an introduction to discreti-
sation techniques. The only purpose of 3.1.2- 3 is to provide some examples,
to introduce the notation, and to illustrate some difficulties.
3.1.1 The Boundary Value Problem
The simplest elliptic problem is Poisson's equation

- LI u = Jn in Q c 1Rd (3.1.1 )
with Dirichlet boundary conditions
u =Jr on r. (3.1.2a)
42 3. General Two-Grid Method
Q is an (open) domain of the d-dimensional space. r is its boundary. The

Laplacian operator is defined by
d
LI = L a 2/axt,
j= I
where x = (Xl' X2"'" Xd) E R.d are the arguments of u and f. In the two-
dimensional case we use (x, y) instead of (x I, X2) and write LI =
a2/ax 2 + '0 2/ay2.
Alternative boundary conditions are the Neumann eondition
au/an = Ir on r, (3.1.2 b)
where a/an is the direetional derivative with respeet to the outer normal n at
the respective point XE r, and the mixed (or third) boundary condition
cxu + au/an = Ir on r. (3.1.2e)
For special geometries of Q one ean also pose periodic conditions. Further
different types of conditions may be required on different parts of r. The
general notation for the boundary eondition is
Lru =Ir on r. (3.1.3)

The general linear equation of second order in two dimensions is
[all (x, y) ux1 + [a22 (x, y) uy]y + al (x, y) Ux + a2 (x, y) uy
+ a(x,y)u =10 in Q (3.1.4a)
or with the mixed term
all Uxx + 2a12 uxy + a22 Uyy + al Ux + a2uy + au = In in Q. (3.1.4 b)
These equations are elliptic if and only if
all (x, y) a22(x, y) > ar2(X, y) for all x, y E Q, (3.1.5 a)
where a12 = 0 in the ease (4a). Thanks to (5 a) the coefficients all and an have
eonstant sign. Thus, we may assume
all (x, y) < 0, a22(x, y) < 0 in Q. (3.1.5 b)
A general linear differential equation of order 2 m in a d-dimensional do-
main can be written as
L (- 1)1 12 1 Da aa/l (X) D/lu = 10 in Q, (3.1.6)

lal+I/lI~2m
where cx = (cx l , ... , CXd) and are multi-indices with

Icxl = CXI + '" + O(d' Da = a1al/axi l ax~2 ... ax~d,
3.1 The Boundary Value Problem and Its Discretisation 43
The ellipticity of Eq. (6) is expressed by
L a"p(x) ~a+p > 0 for all XE Q, 0 =F ~ ERd. (3.1.7)

l"I+IPI=2m
An elliptic equation of order 2 m requires m boundary conditions. For example,
the Dirichlet conditions are
(%n)k u = h,r on r for 0 ~ k ~ m - 1. (3.1.8)
These m boundary conditions mayaIso be denoted by (3), Lru = fr: =
(fo,T> ,fm-l,r)'
The general notation for all Eqs. (1), (4a), (4b), (6) is
Luu =fu in Q. (3.1.9)
We combine the differential equation Luu = fu and the boundary condition (3)
and obtain the abstract equation
Lu=j (3.1.10)
Boundary value problems can be posed in a variational (or weak) formula-
tion. Equation (6) with boundary condition (8) becomes: Seek u E H(j(Q) with
L f(D"v(x a"p(DPu(xdx = fvfudx for all vEH(j(Q), (3.1.11)

l"I,IPI~mb b
provided a"p = 0 in (6) for IIX I > m or II > m. Replacing H(j (Q) by H m (Q), we
obtain the 'natural boundary conditions '.
More details about the weak formulation can be found, e.g., in Hackbusch
[39], Babuska-Aziz [1] or Lions-Magenes [1, pp. 200]. For the general theory
of elliptic equations we refer to Lions-Magenes [1], Miranda [1], Mizohato [1],
Necas [2], Wloka [1].
3.1.2 Finite Difference Discretisation
The differential Eq. (9), Luu = fu, can be replaced by a difference scheme.
Because of the multi-grid approach one needs a sequence of grids. The most
convenient choice is as folIows. Let
h, = ho /2 1 (l = 0,1, ...) (3.1.12)
and introduce the infinite grid
QI = {x ERd: x = (lXl h" ... , IXdhl)' IXI' E Z} (3.1.13)
and the subset
QI= QlnQ. (3.1.14)
The coarsest step size ho must be reasonable depending on the diameter and
on the shape ofthe domain (cf. Fig. 2.1.1). The choice (12)-(14) is a very special
example. Alternative sequences {Q,h are mentioned in 3.4.1.
The well-known difference formula for Poisson's Eq. (1) in the two-
dimensional case is the jive-point formula
-1
h,-' [-1 4 for (x, y) E Qz.
-1 (3.1.15)
The general nine-point star
CO,l
Cl,l ]
Coo Cl 0 uz(x, y) = !t(x, y) (3.1.16)
Co, -1 Cl, -1
is an abbreviation of
(3.1.16')
-l~i,j~l
The Mehrstellenverfahren of Collatz [1] is a scheme of order 4 for Poisson's

equation:
! 1]
1
f(x,y).
(3.1.17)
For the construction of schemes of high order we refer, e. g., to Yserentant [1]
and Lynch-Rice [1]. A difference formula of second order for Eq. (4a) is the
scheme (16) with
Coo = - [all (x + hzl2, y) + all (x - hzl2, Y)x
+ a22 (x, Y + hzl2) + a22 (x, Y - hzl2)] + hra(x, y), (3.1.18)
Cl,O = all (x hzl2,y) h z adx,y)/2,
co, 1 = a22 (x, y hzl2) hZa2 (x, y)/2, C 1, 1 = O.
The discretisation of Eq. (4 b) requires at least a seven point formula (cf.

Mitchell [1, pp. 45]). Analogously, one can define difference formulae for di-
mensions d ~ 3 or higher order (2m ~ 4).
The boundary value problem consists of the differential equation and the
boundary condition. The discrete problem can be partitioned into a system of
difference equations, Lz,auz = !t.a, and a furt her system of discrete boundary
conditions LZ,ruz = !t.r. The complete system would be
(3.1.19)
with L z = (~z,a), !t = (~,a).

However, the usual and more advantageous
z,r n,T
approach is based on elimination by means of Lz,ruz = !t,r as explained below.

Let. Lau =!a be of second order and assume 0 = (0,1)2 =
{(x,y): < x,y < 1}. The equations (16) are to be satisfied at all
(x, y) E 0 , c O. For some (x, y) E 0 , Eq. (16) involves neighbouring grid
points (x', y') E Q,\O, outside of 0,. If 1/ho E 7L, all these points (x', y') lie on r.
Hence the unknown U,(X', y') can be eliminated by means of the Dirichlet
condition (2a): u,(x', y') = !r(x', y'). Iffor instance (0, y) and (0, y h,) are the
only neighbours of (x, y) = (h" y) not belonging to 0" Eq. (16) has to be
changed into
h,- 2 [ 0 CO,l Cl,l]

u,(h" y) = h(h" y)

co,o Cl,O
co, -1 Cl,-l
1
:=!(h"y)-h,- 2 L C-l,p!r(O,Y+jlh ,). (3.1.20)
1'=-1
In the case of the Neumann condition (2 b), the variables U,(O, y) can be elim-
inated by means of u,(O, y) = u,(h" y) + h,Jr(O, y). We obtain finally n, equa-
tions for n, unknowns {U,(X, y): (x, y) E O,}, where
n, = number of grid points in 0 " (3.1.21)
Fixing some numbering of the grid points, we obtain the system (19) with an
n, x n, matrix L"
In the case of general domains 0, different techniques can be applied. The
prototype of a first discretisation technique is the Shortley- Weller scheme for
Poisson's equation (1) (cf. Shortley-Weller [1], Meis-Marcowitz [1]). In the
configuration of Fig. 3.1.1 a the second derivative - uxAx, y), (x, y) E 0 can
"
be discretised by
-2 2 -2 }
h,- 2 { s(l + s) U,(X - sh" y) + -; u,(x, y) + 1 + s u,(x + h" y) , (3.1.22)
where (x - sh" y) lies on r. Therefore, the unknown U,(X - sh" y) can be

eliminated by using the Dirichlet boundary value !r(x - sh" y).
0 ..
/
0/
:[1"
/ L,y) (X,y)
o .~.~.
sh/

h/
a
or\ ' D
b 0
r D

Fig. 3.1.1 a, b. Irregular discretisation near the boundary
The system (19) resulting from (22) is unsymmetric although the original
boundary value problem is selfadjoint. A symmetrie matrix L, is obtained
by a second discretisation method using the interpolation formula (cf.
Fig. 3.1.1 b).
h,2 [1 ; s u,(x, y) - u,(x + h" Y)] = h,-2 S-1 Ir (x - sh" y) (3.1.23)
as equation for the unknown u,(x, y) (cf. Collatz [1]). If (x, y - h,) is an interior
point (i. e. with all neighbours in Q,) one must modify Eq. (23) by using in
addition an analogous interpolation formula for the y-direction.
We recall that the discretisation near the boundary may be less accurate
than the difference scheme used in the interior. E.g., the difference (22) is a first
order accurate discretisation causing errors of third order O(hl) with respect
to the maximum norm (cf. Bramble-Hubbard [1], Meis-Marcowitz [1]).
High order discretisations near the boundary are discussed by Pereyra-
Proskurowski-Widlund [1] and van Linde [1].
Difference schemes for Neumann and mixed boundary conditions are
described, e.g., by Bramble-Hubbard [2, 3], Trnig [1, pp. 324]. Fourth
order equations (e. g. the biharmonic problem) are studied by Bramble [1] and
Zlamal [1]. For further monographs we refer to Babuska-Prager-Vitasek [1],
Mitchell [1], Hackbusch [39]. A variational approach to difference schemes is
described, e.g., by Marchuk [1], Oganesjan-Ruchovec [1].
3.1.3 Conforming Finite Element Discretisation
The variational formulation ofthe boundary value problem (e.g. (11)) will be
abbreviated by
a(u, v) = (f, v), u E Je c Hm(Q), for all v E Je. (3.1.24)
In the case of (8) Je equals Hlf(Q), whereas Je = Hm(Q) holds for natural
boundary conditions. I belongs to the dual space Je'. Due to Je c L 2 (Q),! (v)
may be written as (f, v) = (f, V)L2(U) (cf. Note 1.4.1). In the case of inhomogene-
ous boundary conditions (i. e. Ir '" 0) the function I E Je' involves Iu and Ir.
Assume that a sequence of finitely dimensional subspaces
YIl c Je (l = 0,1, ...) (3.1.25)
is given. The most convenient case for the multi-grid appraoch is a hierarchy
of finite element subspaces
JtO C Je1 C ... C YIl-1 C YIl c ... c Je. (3.1.26)

The discrete problem at level 1consists in seeking u1f' E ~ satisfying
a (uJl", v) = (f, v) for all v E YIl. (3.1.27)
To obtain a system of linear equations one has to choose a basis for JIY/. This
Rayleigh-Ritz-Galerkin method (cf. Ritz [1]) becomes a finite element method
if the basis functions are 'finite elements' (i.e. if they have sufficiently small
support). Let {((Jl, v: v = 1, ... , nil be a basis, where
n, = dirn JIY/. (3.1.28)
An y U E JIY/ can be wri tten as
nl
u(x) = L O(v((JI,v(X) (XEQ). (3.1.29a)
v= 1
The 'coefficient vector' (0(1,0(2' , O(n) is denoted by
u, = (0(1,0(2'' O(n) (3.1.29b)

We deliberately use the same symbol for grid functions as in the finite difference
case. Usually, there are n, 'nodal points' XV (1 ~ v ~ n,) such that O(v = u(x').
The space of 'grid functions' or 'coefficient vectors' u, is denoted by 'W,.
Note 3.1.1. Equation (29) defines a bijection
(3.1.30)
from 'W, onto JIY/ (and hence into .n").
Inserting the representation (29a) (or equivalently (30 into Eq. (27) with
v= ((J", (1 ~ v ~ n,), we obtain n, linear equations for n, unknowns 0(,. The
system can again be rewritten as Eq. (19), L,u, = fz. The solution is the coef-
ficient vector UI of the solution uJf' = P, u, of problem (27). The stiffness matrix
L, and the right-hand side fz can be described directly.
Lemma 3.1.2. Let L: .n" --..n'" be the operator associated with the sesqui-
linear form a(u, v) according to Proposition 1.4.7: a(u, v) = (Lu, v), where
( . , . ) = ( . , . )U(U). Let< , ) be the Euclidean scalar product on 'W, x 'W, and
define the mapping R,: .n'" --. 'W; = 'W, as adjoint of p,:
RI = P,* (P, from (30. (3.1.31)
Then LI and fz in Eq. (19), L,u, = fz, are given by
L, = R,Lp" fz = R,f (3.1.32)
Proof The solution u, with uJf' = P,UI has to satisfy a(p,u" v) = (f, v) for all
v E JIY/. By Note 3.1.1, this equation is equivalent to a(p,u" P'V,) = (f, P'V,) for
all VI E 'W,. From
a(p,u" p,v,) = (Lp,u" P'V,) = <P,* Lp,u" v,), (f, P'V,) = <P,*f, v,)
we conclude that <P,* Lp,u" v,) = <P,*f, v,) for all V,E 'W, and therefore
P,* Lp,u, = P'*f (31) implies (32). 0
Aperturbation of the stiffness matrix, e. g., arising from the numerical

quadrature is discussed in Exercise 6.6.11.
The primal parameter in the hierarchy is the level number I. A discretisation
parameter hl is given indirectly by the supposition that an error estimate
inf 11 u- V IIHm(U) ~ Chi 11 U IIHm+ I(U) for all u E Yf (") H m + 1 (Q) (3.1.33)
veJl",
is valid. Usually, (33) holds with hl = max {diameter (supp (q>I,v: 1 ~ v ~ nl}'
A special finite element hierarchy {Jflh will be constructed in 3.8.2.
For the general description of the finite element method we refer to Hinton-
Owen [1], Mitchell-Wait [1], Oden-Reddy [1], Schwarz [1], Strang-Fix [1],
Wachspress [2], Whiteman [1, 2], Zienckiewicz [1] and to the respective
chapters in Marsal [1, pp. 409], Meis-Marcowitz [1, pp. 214], Trnig [1,
pp. 330], Hackbusch [39]. The finite element theory is described by
Babuska-Aziz [1] and Ciarlet [1]. Applications to Navier-Stokes equations are
given by Girault-Raviart [1], Thomasset [1] and Temam [1].
3.2 Two-Grid Aigorithm
The given system of linear equations is

(3.2.1)
(cf. (1.19. The two-grid iteration is exactly the same as in the one-dimensional
case given in 2; we have only to explain the new meaning of the smoothing
iteration y/, of the restrietion r, of the prolongation p, and of the coarse-grid
matrix LI - l . In the multi-dimensional case there is more than one natural
definition of y/, r, p, LI - l . Various choices will be presented in subsequent
sections 3.3- 7.
Assuming that y/,r,p,L I - l are defined suitably (according to 3.3-7),
we can repeat the formulation (2.3.13): 1
two-grid iteration TGM(Vl> V2) for solving Eq. (1) (3.2.2)
procedure TGM(l,u,J); integer I; array u,J;

if 1 = 0 then u:= L l *f else o (3.2.2a)
begin array d, v;
u: = y/(Vl)(U,f); (pre-smoothing) (3.2.2b)
1 In (2.3.13) the symbol f/{v denotes the v-fold application ofthe smoothing iteration f/{. Here
we write f/{(v) to include more general smoothing processes (cf. 3.3.5-6)
3 Smoothing Iterations 49
d: = r * (L, * U
v:= L I _l l * d;
- f);
1
J
(coarse-grid
correction
(3.2.2c l )
(3.2.2c 2 )
u:=u-p*v; (3.2.2c 3)
u := .<I[(V 2 ) (u,J) (post-smoothing) (3.2.2d)
end;
The procedure TGM performs one iteration step of the two-grid algorithm
with Vl pre- and V2 post-smoothing iterations. Modifications have already been
mentioned in 2.6.1 and will be discussed in 3.8.3.
Of course we cannot state any convergence result before we have fixed the
components .<1[, r, p, L,- 1 of the algorithm. For a reasonable choice we shall
prove that the contraction number (and hence also the convergence rate) is
proportional to the smoothing number edv), v = V l + v2 :
contraction number} ~ CeL(V) (3.2.3)

convergence rate
with eL (v) = sup {li L, st) 11/11 L, 11 : I ~ 1} introduced in 2.6.3. Cis always used
as a generic constant independent of the level I (and therefore independent of
the step size h,). Since edv) -+ 0 (v -+ 00), inequality (3) implies convergence for
a suitable choice of v. Under further assumptions convergence (uniform with
respect to l) follows for all v > 0 (cf. 6).
3.3 Smoothing Iterations
In the following subsections several classic iterations are recalled which may
serve as smoothing methods. For boundary value problems behaving like the
Poisson equation all these smoothing iterations are effective. However, the
special problems discussed later ( 10-11) require an adequate choice of the
smoothing procedure.
3.3.1 Gau-Seidel Iteration
The most convenient and often very effective smoothing process is the iteration
due to Gau and Seidel [1]. Let U,.i (i = 1, ... , n,) be the components of u, and
denote the entries of the matrix L, by L,. ij' One step of the Gau-Seidel
iteration is given by 2
for i:= 1 (1) n, do UI. i := [jtl L1.ijUI. j - ft.iJ/ L , ii (3.3.1)

j*i
2 The statement 'ror a: = b (c) d do' will be used as abbreviation of 'ror a: = b step c uotil
d do'
For the matrix formulation we have to introduce the decomposition of LI into

LI = DI - AI - BI, (3.3.2)
D / : diagonal matrix,
AI (BI): strictly lower (upper) triangular matrix.
Iteration (1) is equivalent to

U[+l = (D I - A/)-l(Blu{ + ft). (3.3.3)
Therefore, 9i' and its related matrices S" 7; (cf. (2.2.6 a)) are
9i'(UI,ft) = (D , - A/)-l(B,u, + ft) = S,U, + 7;ft,
S, = (D , - A/)-l BI = I - (D , - A/)-l L" (3.3.4)
7; = (D I - A1)-1.
The splitting (2) is unique, but the representation of a discrete boundary value
problem by an equation L,u1 = ft is by no means unique. The construction of
L, depends on the numbering of the unknowns (i.e. of the grid points).
Note 3.3.1. The Gau-Seidel iteration depends on the ordering of the un-
knowns.
For the two-dimensional case we list several orderings. Numbering the
points Xi, 1 :;;; i:;;; n" of the grid 0 /, we induce an ordering of the unknowns
U',i = UI(X i ).
14 15 16 17 18 19 1 4 8 12 16 19

9 10 11 12 13 3 7 11 15 18

4 5 7 8 2 6 10 14 17

13
Fig.3.3.1. Lexicographical ordering of Q, Fig.3.3.2. Rotated lexicographical ordering
7 17 8 18 9 19

4 15 16 6

12 2 13 3 14

10 11
Fig.3.3.3. Chequer-board ordering
3.3 Smoothing Iterations 51
Lexicographical ordering. A grid point (x, y) E Ql precedes another point

(x', y') E Ql if and only if
y < y' or (y = y' and x < x')
(cf. Fig. 3.3.1).
Rotated lexicographical ordering. Interchanging the rales of x and y we obtain
the rotated lexicographical ordering (cf. Fig. 3.3.2).
Chequer-board ordering or red-black ordering. Assurne
Ql c Ql = {(vhj,llhl): V,Il EZ}
and split Ql into 'red' points Q[ = {(v hj, Ilhl) E Ql: v + 11 even} and the remain-
ing 'black' ones Dt = Ql\QI' First, the (red) points of Q[ are numbered in their
lexicographical ordering; then, the black points are similarly lexicographically
ordered (cf. Fig. 3.3.3).
Zebra-fine ordering. Define 'red lines' Q[ = {(vhj, Ilhl) E Ql: veven} and 'black
lines' Dt = Ql\Q[. Numbering first the points of Q[ and then those of Qf, we
obtain the 'zebra'-line ordering (cf. Fig.3.3.4).
14 15 16 17 18 19 7 17 8 18 9 19

Q1
4 5 7 8 12 13 Q2
@ @
@Q3
9 10 11 12 13 14 5 15 6 16

Q4
10 11
Fig.3.3.4. Zebra-li ne ordering Fig. 3.3.5. Four-colour ordering
Four-colour ordering. Divide Ql into four subsets

Ql = {(vh 1 ,ll hl): V,1l even},
Q? = {(vh 1, Ilhl): v, 11 odd},
Q? = {(v hj, 11 h1): v even, 11 odd},
Qt = {(vhj, Ilhl): v odd, 11 even}.
Number the grid points in turn Ql ,Q?, Q?, Qt. In each sub set Q!, the points are
ordered lexicographically (cf. Fig. 3.3.5).
The chequer-board ordering is well-suited for five-point formulae, while the
four-colour ordering can be used for general nine-point schemes.
A variant of the Gau-Seidel iteration is the symmetrie Gau-Seidel itera-

tion. Its accelerated variant is known as SSOR (symmetric successive
overrelaxation; cf. Young [3], Varga [1]). One iteration can be written as
UI .1. = l!0 ~
j=l
LI ,I).. UI ,}. - 1"1
JI,1 .j-/ LI ".
,
,ll (3.3.5)
j*i
We conclude with the remark that the accelerated Gau-Seidel iteration

(SOR; cf. Young [1, 2], Varga [1]) with optimal relaxation parameter cannot
be used as a smoothing iteration. Although the convergence rate is better, the
smoothing number is worse.
3.3.2 Modifications of Jacobi's Iterations
Let DI be the diagonal of the matrix LI' The original iteration of Jacobi [1] is
u[+ 1 = u{ - DI- 1 (LI u{ - fz)
or u{ + 1 = DI- 1 [(AI + BI) u{ + fz] with A" B, from (2). Choosing
() = 1, we obtain the damped Jaeobi iteration
< () < 1, e.g.
j+ 1
U, = U, -
j () D I-1 (L I U,j -
1")
JI , () E (0, 1). (3.3.6)
The corresponding smoothing iteration is
!:I[(u"fz) = u/ - () D/- 1 (L/ u/ - f,), S/ = I - () D/- 1 L/, 1/ = () D/- 1 (3.3.6')
In contrast to Note 3.3.1 we have
Note 3.3.2. The Jacobi iteration (6) and the variants defined below are inde-
pendent of the ordering of the unknowns.
Usually, the diagonal entries are of order O(hl m ), where 2m is the order of
Eq. (1.9). Hence, in the case of constant diagonal elements, the factor () D/- 1
equals whl m (cf. (2.2.2-3)). Iteration (6) becomes
U{+1 = u{ - whlm(L1u{ - fz) (3.3.7)
and fit is
!:I[(u"fz) = Ul - whlm(L1u/ - fz), S, = I - whl mL" 1/ = whfm I. (3.3.7')
A possible choice of w is
w = Wl = 11 hl m L 1 11- 1 (11 11: spectral norm) (3.3.8 a)
or
(3.3.8 b)
If Dl =l= const . I, the analysis of (7) is simpler than the analysis of (6).
Replacing ()D I- 1 in (6) or whl m in (7) by a general matrix Ab we are led to
(3.3.9)
which should not be called a modified or generalised Jacobi iteration, since any
iteration can be presented in form (9) with Al = - 1/ (cf. (2.2.6a)). However, the
choice Al = w 2 h't'" Li yields
(3.3.10)
Fig.3.3.6. Smoothing number {h. 1, iteration (10) with w from (8 b);

2, iteration (10) with optimal w; 3, iteration (7) with w from (8 b);
4, iteration (7) with optimal w; 5, Gau-Seidel iteration (3)
1.0
Fig.3.3.7.
v Smoothing rate QB
which can be regarded as iteration (7) applied to the 'squared equation'

(L~ LI) UI = L~ f,. Using the choice (8 b) of the damping factor with the new
matrix L~Lz, we obtain [supllhirnL~Llllrl=[supllhfrnLIII]-2=w2 (cf.
(1.3.15 a, b)) with W from (8 b). The corresponding mapping 9f and its matrices
Sz, 1/ are
9f(Uz,fi) = UI - w 2 hirn L"i(L IUI - fi), SI = I - w 2 hirn L~ Lz,
(3.3.1 0')
1/ = w 2 hirn L~ fi.
Usually the damped Jacobi iteration (7), (8 b) is better for smoothing than
iteration (10), (8 b), but worse than the Gau-Seidel iteration (3). We illustrate
this statement by means of the smoothing numbers edv) and eH(V) for the
five-point discretisation (1.15) of Poisson's equation (1.1) (eL and eH are defined
in 2.6.3; for the calculation of eL' eH in this particular case we refer to 6.2.3
and Example 8.2.7). Equation (8b) yields W = 0.125 as the relaxation parame-
ter in the Jacobi iterations (7) and (10). This value is not optimal. In the case
of (7) edv) is minimised for wopt = wopt(v) [values: 0.151, 0.167, 0.178, 0.186 for
v = 1,2,3,4], while eH is optimal at wopt = 0.2. Even in the optimal case the
smoothing numbers of the Jacobi iteration (7) are worse than for the
Gau-Seidel iteration. We remark that in the case ofthe Gau-Seidel iteration
eL refers to the chequer-board ordering, whereas eH is evaluated for the lexico-
graphical ordering.
Further modifications of the Jacobi iteration are mentioned at the end of
3.3.3 and in 3.3.5.
3.3.3 Blockwise Iterations
The Gau-Seidel iteration (1) is also called the pointwise Gau-Seidel method.
The original approach of Gau is to solve the system iteratively with respect
to blocks ofunknowns. Such blocks arise naturally for discrete boundary value
problems.
Let (U I 1, U I 2"") be an ordering of the unknowns and divide the index set
11 = {1, ... , nl } into k = k, subsets
I{ = {i j -1 + 1, ij - 1 + 2, ... , ij } for 1 ~ j ~ k
with 0 = io < i1 < ... < ik = nl'
Then the unknowns ui:= (UI)ieI{ form theih block oful' Let LI be decom-
posed into
LI = DI - AI - BI,
D I : block-diagonal matrix, (3.3.11 )
AI (BI): strict1y lower (upper) block-triangular matrix.
The precise definition, e.g. of 'strict1y lower block-triangular' is that AI. VI' =0
whenever v E I{, fl E Ir with j' ~ j.
The blockwise Gau-Seidel iteration is again given by Bq. (3) and fI/ is
defined by (4). Loop (1) has to be replaced by
for j:= 1 (1) k do u{:= (Il/)-l [ Illuf - f/],

fJ=l
(3.3.12)
where the block L~fJ (1 ~ 0(, ~ k) is the submatrix (L" V/l)VEI~, /lEI:'
Note 3.3.3. The blockwise Gau-Seidel iteration depends on the ordering of

the blocks. The numbering within the blocks is irrelevant.
x-line Gau-Seidel iteration. Assume Q, c'Q,:= {(vh" Ilh,): v,1l E Z} and let
u"i(l ~ i ~ n,) be the value of u, at the ith grid point (Xi' yJ E Q" which is
numbered lexicographically. Let I{ be the maximal subset of {1, ... , n,}
such that the component Yi of (Xi' Yi) E Q, coincides for all i E I{ and that i
increases with increasingj. For example, in Fig. 3.3.1 we have l,t = {1,2,3},
Il = {4,5,6, 7,8}, I? = {9, ... , 13}, It = {14, ... , 19}. The iteration (12) with
respect to these blocks is called lexicographical x-line Gau-Seidel method.
Let u, be given in the zebra-line ordering and construct the blocks as above.
Then resulting blocks are the x-lines of Fig. 3.3.4. The corresponding
Gau-Seidel iteration is named x-zebra-line Gau-Seidel method.
y-line Gau-Seidel iteration. Replace the lexicographical ordering by the ro-
tated one (cf. Fig.3.3.2). By analogous constructions we obtain the lexico-
graphical y-line Gau-Seidel iteration and the y-zebra-line Gau-Seidel method.
For x- or y-line iterations (12) the solution of tridiagonal sub-problems
VI uf = gf is required because of
Note 3.3.4. Let the difference formula be so me nine-point scheme (1.16). Then
the blocks of D, are tridiagonal. L, is block-tridiagonal.
Usually, the linewise Gau-Seidel methods have slightly better smoothing
properties than the pointwise ones. For the five-point discretisation of Pois-
son's equation the smoothing numbers eB are eB(V) = (0.25)"/2 for the (point-
wise) lexicographical Gau-Seidel method and eB(V) = (0.2)v/2 for the lexico-
graphical x-line version.
The damped linewise Jacobi iteration is given by Bq. (6) if D, is not the
diagonal but the block-diagonal of L, (cf. (11. As this iteration is independent
of the ordering of the blocks (cf. Note 3.3.2), there is only one damped x-line
J acobi iteration or respectively one damped y-line J acobi iteration.
3.3.4 ADI as a Smootbing Procedure
Split the difference operator L, into x-differences L~ and y-differences Dj:

L, = EI + Dj. (3.3.13)
The alternating direction implicit iteration (ADI) or Peaceman-Rachford method

is defined by the double step
uj+l/2 = [wh,-2m 1+ Ljr 1 [(wh,-2m 1- IJ,)uj + };],
(3.3.14)
uj+l = [wh,-2m 1+ IJ,r 1 [(wh,-2m 1- Lj)uj+l/2 +};]
(cf. Varga [1, pp. 209]). The matrices SI and TI of 9/ are
S/ = [wh/- 2m 1+ n;r 1 [wh/- 2m I - Li] [wh/- 2m 1+ Lir 1 [wh/ 2m 1- IJ,J,
TI = rwh,- 2m 1+ IJ,1- 1 fI + (wh/- 2m 1- D)(wh/- 2m I + Li) -ll
In the case of the discrete Poisson equation (five-point formula) in the unit
square the optimal smoothing numbers are
Od1) = 0.0685 for w = 3.037, QB(1)=0.1716 for w=2.8284.
Note that these optimal values of ware quite different from the value
wopt = 2 sin(nha minimising the spectral radius Q(S,).
3.3.5 Semi-Iterative Methods
The modified Jacobi iterations (6,7,10) as weIl as the ADI method involve a
parameter w. Instead of iterating with constant w, one can choose different w's.
Denote a single iteration by 9/(u,,};; w) to express the dependence on w. v steps
by 9/ with the parameters (w 1 , W2,"" wv) =: ware abbreviated by
9/{V)(,-;w)=9/(,;w v ) x 9/(',';w v -d x ... x 9/(',-;w 1 ),
(3.3.15 a)
where (9/( -, -; w) x 9/( ., .; w')) (u,,};) = 9/(9/(u,,};; w'),};; w). The iteration
matrix of 9/{V) is
(3.3.15 b)
where S,(w) is the iteration matrix corresponding to 9/(u,,};; w).
The damped Jacobi iteration (7) with varying w is usually called Richard-
son's iteration (cf. Varga [1, p. 141]). Consider asymmetrie and positive definite
matrix L/. Let v = 2 and look for the optimal ehoice of w = (w 1 , (2) for the
damped Jaeobi iteration (7). The minimisation of Qd2) = 11 L, S?)(w) 11/11 L,II
yields
W1 = 2.1547/11 hl mL,II, W2 = w 1 /2, Qd2) = 0.0893.
For the diserete Poisson equation (1.15), the smoothing number OB(2) is a
minimum for
Wl = 2.779/8, W2 = 1.123/8, QB(2) = 0.2195.
9/(2) ean also be regarded as one step of the iteration
Uj+l = uj - [(w 1 + (2)I - Wt w 2 hl mL,]h,zm(L1uj -};)
which is called 'weighted Jacobi iteration' by Brandt [3, pp. 341/342]. It is a

special case of iteration (9). In general, ~(v) can be written as one step of
v-I
iteration (9) with A, = P.-l (ht m L,), where P.-l (x) = L il.IlXIl
//=0
3.3.6 Conjugate Gradient Methods
A special dass of semi-iterative methods are the conjugate gradient methods

due to Stiefel and Hestenes (cf. Stiefel [1], Hestenes-Stiefel [1], Hestenes [1]).
AssumeL, = L1 > 0, Wj = Wj* > O. Thesimplestchoice Wj = I in iteration (16)
yields the standard conjugate gradient method.
ur: starting value; rO:= fi - L,u?; pO:= Wj-l rO;

qk:= L,pk; ak:= (rk,pk)/(pk,qk);
(3.3.16)
u7 + 1 : = uf + ak pk ;
rk+ 1 : = rk _ ak qk ; vk+ I : = Wj- 1 rk+ 1 ;
bk := - (qk,Vk+I)/(pk,qk); pk+l:= Vk+l + bkpk.
Another variant is
rO : = fi - L, u? ; pO: = vo: = Wj- 1 rO ; qO : = L, pO ;
Sk:= Wj-l qk; ak:= (v\qk)/(qk,~); u7+ 1 := u~ + ak~;
(3.3.17)
rk+l := rk _ akqk; Vk+l := vk _ ak sk ; Wk+l := L , vk+1 ;
bk := - (Sk,Wk+I)/(Sk,qk); pk+l:= Vk+l +bkpk; qk+1:= Wk+l + bkqk.
The vth iterate is denoted by ur = ~(v){u? ,f,). Although ~(v) is nonlinear in u?,
there is a dose relationship to semi-iterative methods.
Lemma 3.3.5. v
(i) In the case ofiteration (16), ~(v)(u? ,jj) - L,I jj equals n (I - w; Wj-l L,)
w; , which are optimal in the sense of
1l=1
(u? - L,1 jj) for certain
IL~/2 [~(V)(u?,f,) - L,ljj]lo = min I

ro~
L~/2 n
Il=l
(I - w ll Wj-l L,) [ur - L'lfi]l

(3.3.18 a)
(ii) In the case of iteration (17), a similar representation holds with w;

satisfying
I Wj-l/2 L, [~(V)(u?,fi) - L,l fi]lo
= I
min Wj-I/2 L,
ro~
i:r (I -
Il=l
w ll Wj-l L,) [ur - L , 1 h]1 '

(3.3.18b)
3.3.7 Other Smoothing Iterations
In 3.3.2 we mentioned Jacobi's iteration applied to the squared equation

(Lf L,) u, = Lf I!. Equation L, u, = I! with u, replaced by Lf v, yields
L,Lf v, = I!. (3.3.19)
The iteration of Kaczmarz [1],
for i:= 1 (1) n, do u,:=ul-ai(aTu,-I!)/(aTai),
(3.3.20)
aT:= i th row of L"
converges for any regular matrix L,. It can be regarded as a Gau-Seidel
iteration applied to (19).
The (damped) Jacobi iteration applied to (19) is known as the method of
Cimmino [1].
Another iterative method somewhat related to iteration (20) is the 'distrib-
uted relaxation' described in 11.3. Quite another method (ILU, ILLU) will be
mentioned in 10.1.3.
3.4 Prolongation
Here we consider only the finite difference case since the finite element discreti-
sation will be discussed in 3.6. As the grid structures determine the meaning
of the corresponding grid functions, we first look at the grids 0, and 0'-1' For
the sake of simplicity only the two-dimensional case is treated.
3.4.1 Fine and Coarse Grid
The most frequent choice of 0, and 0'-1 is depicted in Fig. 3.4.1. 0, and 0 1 - 1
are square grids with mesh sizes h, and h'-l = 2h,. We mayaiso assume that
the mesh sizes ht and hj in x- and y-direction are different as long as
ht-1 IM = hj-1 Ihr = 2 holds.

[!] ~ ~ ~ [!] ~ ~ ~

~ ~ ~ ~ ~ [!] ~ ~
Fig.3.4.1. Uniform mesh coarsening by Fig.3.4.2. Nonuniform mesh coarsening
factor 2
3.4 Prolongation 59
[!] [!]
[!] [!] [!]
[!] [!]
[!] [!] [!] Fig.3.4.3. Uniform mesh coarsening by factor j2
Let Q, be a rectangular mesh with step sizes hf, hf. Define the coarse grid
by means of hf-l = hf and hf-l = 2 hf (cf. Fig. 3.4.2). Note that a further
coarsening with respect to the x-direction (hf-2 = 2hf-l, hf-2 = hf-I) would
yield the same grid at level 1 - 2 as obtained in Fig. 3.4.1 at level 1 - 1.
Instead of doubling the grid size h" it can also be trebled. A larger factor
h,_ dh, would save computational work at the coarse grids, but on the other
hand more smoothing is required at the fine grid. It even turns out that a ratio
h,_ I /h,less than 2 can be advantageous. Figure 3.4.3 shows how h,_ l/h, = J2
can be accomplished. Q'-l is a rotated square grid (cf. 4.4.4).
A further situation with Q, n Q'-l = 0 is mentioned in 3.8.4.
3.4.2 Piecewise Linear Interpolation as Prolongation
It will turn out that the prolongation p can be chosen as piecewise linear
interpolation as long as the differential equation is of second order (i.e. m = 1
in (1.6.
Consider first the situation of Fig. 3.4.1 and assurne (0,0), (0,2 h), (2 h, 0),
(2h,2h)EQ,nQ'_I. For given V'-l we have to define V,=PV'-l. At the
coarse-grid points the vaJues remain unchanged:
v,(O,O) = v,-dO,O); v,(O,2h) = v,_dO,2h);

(3.4.1 a)
v,(2h,0) = v,_d2h,0); v,(2h, 2h) = V'-l (2h, 2h);
where h = h,. For the points (O,h), (h,O), (2h,h), (h,2h) lying directly between
coarse-grid points linear interpolation results in
v,(O,h) = tV'-I(O,O) + tv,-dO,2h);

v,(h,O) = tV'-I(O,O) + tV'-1(2h,0);
(3.4.1 b)
v,(2h,h) = -lv,-d2h,O) + -lv'-1(2h, 2h);
v,(h, 2h) = -l V'-l (0, 2h) + -lV'-1 (2h, 2h).
It remains to define v, at the centre (h, h). One possibility is
v,(h,h) = tV'-I(O,O) + tV'-I(O,2h) + tV'-1(2h,O) + tv,-d2h, 2h),

(3.4.1 Cl)
another is
vl(h, h) = iVI- dO,O) + iVI-I (2h, 2h).
Analogously VI is defined in the other cells [2vh, 2vh + 2h] x [2J.lh, 2J.lh + 2h].
Nine-point prolongation. The interpolation p by (1 a, b, CI) is called ni ne-point
prolongation (cf. Wesseling [3]) and symbolised by the stencil
~~ !H (3.4.2)

The reason for the name and the symbol is as follows. Let VI-I be the unit
vector being 1 at (x, y) E QI_ land elsewhere. Its prolongation VI = P VI_ I has
exactly nine nonzero values ofthe pattern (2) at {(x', y'): x' = x - h l , x, X + h l ,
y' = Y - hz, y, y + hl } .
Note 3.4.1. The nine-point prolongation corresponds to the bilinear finite el-

ements. For example, for (x, y) E QI, ~ x, y ~ 2h l , the values VI(X, y) of
VI = PV I _ I coincide with the bi linear function v(x, y) = 0(0 + O(IX + 0(2Y + 0(3XY
interpolating VI-I at (0,0), (2h,0), (0,2h), (2h, 2h).
Seven-point prolongation. The interpolation (1 a, b, C2) is called the seven-point
prolongation and symbolised by the stencil
r~
L2
t t1-J
2 U
(3.4.3)
Again the numbers (3) represent the result of papplied to a unit vector.

Note 3.4.2. The seven-point prolongation corresponds to the linear finite ele-
ments over triangles. For ~ x ~ y ~ 2 hl the values VI (x, y) of VI = P VI_ I
coincide with the linear function v(x, y) = 0(0 + 0(1 X + 0(2 Y interpolating V/_!
at (0,0), (0,2 h,), (2 h" 2 hz).
Although the star (3) is sparser than (2) and Eq. (1 C2) seems to be sim-
pler than (1 CI), the nine-point prolongation is easier to calculate. For ex-
ample, consider the grid Q/-I={(Vhl-I,J.lhl-I)EQ:O~v,J.l~l/hl-d in
Q = [0, 1] x [0, 1] and define Ql analogously with h l = hl - I /2. The following
programmes interpolate the function V which is assumed to be defined on Ql-I'
nine-point prolongation: (3.4.4)
for x: = 0 (2 h l) 1 do for y: = h l (2 h l) 1 - hl do
v(x, y): = [V (x, y - hl) + v(x, y + hl) ]/2;
for y: = 0 (h l) 1 do for x: = hl (2 hl) 1 - hl do
v(x, y): = [v(x - h" y) + v(x + hz, y)]/2;
3.4 Prolongation 61
seven-point prolongation: (3.4.5)

for x: = 0 (2 hl ) 1 do for y: = hl (2 hl ) 1 - hl do
V (x, y):= [V (x, y - hl ) + v(x, y + hl )]/2;
for y: = 0 (2 hl ) 1 do for x: = hl (2 hl ) 1 - hl do
v(x,y):= [v(x - h/>y) + v(x + h/>y)]/2;
for y: = hl (2 hl ) 1 - hl do for x: = h1 (2 hl ) 1 - hl do
v(x, y): = [v(x - h/> y - hl ) + v(x + hz, y + hl ) ]/2;
The number of operations is the same; however the first prolongation requires
only two double-Ioops. Here we made use of the fact that Eq. (1 Cl) can be
rewritten as
vl(h,h) = HVI(O,h) + vl(2h,h)] = Hv,(h,2h) + vl(h,O)].

So far we have not taken into account the boundary and its influence upon
the interpolation. In 3.1.2 we proposed to eliminate the variables on the
boundary by means of the discretised boundary condition (cf. (1.20. There-
fore, all corrections should satisfy the homogeneous boundary condition.
Assurne that Dirichlet data are given on rand consider the situation of
Fig.3.1.1. Suppose (x + h/> y) E Q'-l, (x, y) E Q,\QI-l, whereas (x - hz, y) is
beyond the boundary. Given the value of V'-l at (x + hl , y), the value of
VI = PV'-l at (x, y) can be obtained again by piecewise linear interpolation,
more precisely by interpolation between V,_ dx + hz, y) at (x + hz, y) E QI-l
and the vanishing value at (x - shz, y) E r:
s
V, (x, y) = - 1' ~ Vl- dx
T,)
+ hz, y).
Thus VI(X', y') can be defined on all lines y' = v h l (v even). Afterwards the
remaining values at y' = v h 1 (v odd) are determined by means of linear inter-
polation with respect to the y-direction. This approach corresponds to (4).
Until now we considered only the uniform doubling of the grid size. In the
other situations of 3.4.1 (cf. Fig. 3.4.2, 3.4.3) the interpolation is still easier
since there are less additional fine-grid points Ql\Ql-l . The extension of the
piecewise linear interpolation into three or more dimensions is obvious and
need not be defined explicitly.
3.4.3 Interpolation of Higher Order
A boundary value problem of order 2m (cf. (1.6 requires an interpolation of

degree m. Since, besides m = 1, the only interesting value is m = 2, piecewise
quadratic prolongation suffices always. Nonetheless, cubic interpolation is
often preferred as it is not more involved than quadratic interpolation.
The cubic analogue of the nine-point prolongation can be computed
as in (4.4). For (x, y) = (vh/> f1.h,) (v odd, f1. even) the points (x hl , y)
and (x 3 h" y) are coarse-grid points. The interpolated value (p VI_ I) (x, y) is
given by
VI (x, y) = -i\VI-I (x - 3 h" y) + 196 VI_ I (x - hf, y) + 196 VI_ dx + h l , y)

- -h;vl-dx + 3h"y). (3.4.6)
Then we can repeat the interpolation process with respect to the y-direction at
(x, y) with y= v h" v odd. Applying this prolongation to a unit vector being 1
at some (interior) point and vanishing elsewhere, we obtain the star
I 9 I 9
162 0 -162 -16 -162 0 I
162
0 0 0 0 0 0 0
9 81 9 81 9
-"[62 0 162 16 "[62 0 -"[62
I 9 9 I
-16 0 16 1 16 0 -16 (3.4.7)
9 81 9 81 9
-"[62 0 162 16 "[62 0 -"[62
0 0 0 0 0 0 0
I 9 I 9 I
"[62 0 -162 -16 -"[62 0 "[62
3 3
Note that any bicubic function L L IX.I'X yl' is interpolated exactly by (6) .
=0 1'=0
Formula (6) cannot be applied if one or two neighbours are not inside Q.
In the case of Fig. 3.4.4 it is more convenient to use the following quadratic
formulae at x and x + 2h l :
~ 3 s 1
VI (x, y) = 1 + s "2 VI - I (X + hf,Y) - 3 + s "2 vl - dx + 3 hf, y),
2+s1 2+s1
VI(X + 2hf,Y) = 1 + s "2 VI - I (X + hf,Y) + 3+s 2VI-I(x + 3h l ,y)
based on the homogeneous Dirichlet condition VI_I (x - sh l , y) = O.
The one-sided quadratic interpolation in the interior domain yields
VI(X, y) =- %VI_I (x - 3 hf, y) + 1vI- dx - hf, y) + ~vl-dx + hl , y)

(3.4.8)
3.4 Prolongation 63
leading to the star

3 I 3 I
0 0 - 64 -8 - 32 0 64
0 0 0 0 0 0 0
9 3 9 3
0 0 32 4 16 0 - 32
3 3 I
0 0 8 1 4 0 -8 (3.4.9)
9 3 9 3
0 0 64 8 32
0 - 64
0 0 0 0 0 0 0
0 0 0 0 0 0 0
3.4.4 Modifications
The differential equation can aid the interpolation. We begin with a very simple
application. Assurne L/ to be a nine-point formula (1.16). The definition (1 Cl or
c 2 ) of v/(hf, h/) (cf. Fig. 3.4.1) can be changed into
(3.4.10)
i.e.
v/(hf,h/) =[ i,j~~l - cijv/((i + l)hf, U + l)h/)l/coo .

(i,j)*<O,O) J
Note that for the five-point star (1.15) the Eqs. (1 cd and (10) are equiv-
alent. The definition (10) applies to all grid points of the set Ql =
{(vhz, Ilh,): V,1l odd} , which was introduced in 3.3.1 for the four-colour
ordering.
Note 3.4.3. Assurne that the pre-smoothing part ends with a Gau-Seidel step
with respect to grid points of Ql. Apply the coarse-grid correction with p
satisfying (10). Then, after the coarse-grid correction the defect of u/ vanishes
on Ql. Hence, a Gau-Seidel step on Ql can be saved in the subsequent
smoothing step.
Proof Since all neighbours of (x, Y) E Ql do not belong to Ql, the Gau-Seidel
step on Ql yields u/ with vanishing defect on Ql. The coarse-grid correction
changes u, into u/- PV/-I' Because of(10), L/V/-I vanishes on Ql, too. This
proves Note 3.4.3. 0
The assertion of Note 3.4.3 can also be stated as follows. Assurne that the
pre-smoothing part ends with a Gau-Seidel step on Ql. Apply the coarse-grid
correction with P defined arbitrarily on Ql. An additional subsequent post-
smoothing step on Ql re-establishes the result obtained by (10) without post-
smoothing.
A special application is given in the case of Fig. 3.4.3 (red-black coarsen-
ing), provided that L/ is some five-point scheme. There are two possibilities:
1) After pre-smoothing and eoarse-grid eorreetion apply one Gau-Seidel

step on 0,\0,-1 as post-smoothing. Then, the definition (and evaluation) of p
at 0,\0,_ 1 is not needed at aU.
2) Let the pre-smoothing end with a Gau-Seidel step on 0,\0,-1 and
apply the eoarse-grid eorreetion with p subject to (10) on 0,\0'-1' Then post-
smoothing on 0,\0'-1 ean be saved since it does not change the funetion.
Further modifieations will be deseribed in 10.3.
3.5 Restriction
As long as eoarse-grid points are fine-grid points, too, one ean define the 'trivial
injeetion' rinj:
(rinj d,) (x) = d, (x) for all x E 0,_ 1 cO,. (3.5.1)
With regard to the eomputational work, the restrietion r = rinj is the optimal
one. The evaluation of rinj d, needs no arithmetical operations; further, the
defeet d, = L, u, - j, need not be eomputed on 0,\0,_ l ' The latter fact reduees
the work by 75 pe in the two-dimensional case with h,_ 1 = 2 h,.
However, the use of rinj contains some disadvantage and dangers. We give
a simple example. Let L, be a five-point formula and ehoose Gau-Seidel's
iteration with red-black ordering. There are two possibilities: The smoothing
step terminates with a Gau-Seidel step with respect to the red points (case I)
or black points (case 11). Since 0'-1 is eontained in the set of red points (cf.
Fig. 3.3.3), the defect d, vanishes on 0'-1 in ease I. Consequently, d'-l = rinj d,
vanishes and the coarse-grid eorrection is of no avail. On the other hand, in
ease 11 the defect d'-l = rinj d, =F 0 turns out to be too large. The definition
r = -i rinj would remedy the situation.
The difficulties ean be avoided by using special weighted restrietions as we
did in 2. For this purpose define the scalar product
(u" v,) = L Mu,(x) v,(x) (3.5.2)

xe!},
for all levels (cf. (1.3.10. d is the dimension: Oe R.d For a grid 0, with
different mesh widths hjl, ... , hjd (cf. Fig. 3.4.2) replace the sealing factor Mby
hjl hj2 ... hjd. Having defined scalar products, we are able to define adjoint
mappings (cf. (1.3.14.
Let p be one of the prolongations (eoarse-to-fine transfers) from the pre-
vious seetion. Hs adjoint p* is a fine-to-eoarse transfer and ean serve as restrie-
tion:
r = p*. (3.5.3)
3.5 Restrietion 65
The adjoint of the nine-point prolongation (4.2) is named the nine-point
f{' H'l /6 f~ ~ ~.].

restrietion. Hs symbol is
(3.5.4)
=
16 8 16 1 2 1
Hy r~ f:=::: :::: :::: 1

0'-1,-1 0'0,-1 0'1,-1
(3.5.5a)
we denote the 'weighted' restrietion

+1
(rd l) (x, y) = L O'a.fJ dl(x + a.hh Y + Phi)' (3.5.5b)
a.,fJ= -1
Note that the symbols (4.2) and (4) differ by a factor 4, reflecting the fact that
the transposed matrix pT equals 4 p* . The reason is the different scaling of the
scalar products <.,. >1-1
and <.,. >I
by ht-1 and M, respectively (cf.
Example 1.3.3 and Exercise 2.7.2).
The seven-point restriction is the adjoint of the seven-point prolongation
(4.3); its symbol is
f1.
o
~o ;1. 1.k1 =~ 1 r 21 1 . 11 (3.5.6)
8
1.8 0
.
1 1 0
.
In detail we discussed the modifications of prolongations near the bound-

ary. For restrietions such extra considerations are not necessary. Having de-
fined a prolongation p (also near the boundary) we gain a complete description
of the restrietion r by (3).
For theoretical considerations it is very convenient that r = p* holds for r
and p used in two- (multi-)grid iteration. In practice, however, similar results
are observed when r = * is the adjoint of a prolongation different from p.
For example, one may construct a multi-grid iteration with seven-point restrie-
tion rand nine-point prolongation p.
In general one should satisfy the condition stated in
Note 3.5.1. Let 2 m be the order of the differential operator Ln (cf. (1.6), (1.9.
Let p be an interpolation of order mp (this assumption holds if p interpolates
polynomials of degree mp - 1 exactly). Further, suppose r = * , where is an
interpolation of order mr Then, one should satisfy
mp + mr > 2m. (3.5.7)
A justification of this Note can be found in 6.3.2.2. We give some examples
of Inequality (7).
Example 3.5.2. Let 2 m = 2 (second order equation) and let p and p : = r* be

piecewise linear interpolations (seven or nine-point prolongation). Then
m p = mr = 2 yields m p + mr = 4 > 2 = 2 m.
Example 3.5.3. For 2 m = 4 choose p as piecewise quadratic interpolation and

set r = p*. (7) holds because of m p + m r = 3 + 3 = 6 > 4 = 2m.
A more convenient choice is stated in
Example 3.5.4. For 2m = 4 choose pas piecewise quadratic (or cubic) inter-
polation and set r = p*, where pis the linear interpolation (4.2) or (4.3). As
m p = 3 (m p = 4) and mr = 2, inequality (7) is valid. [0 0 0]
The trivial injection rinj is the adjoint of p : = ri~j with symbol 0 4 0 .
000
F ormally, p can be regarded as prolongation of order 0 (i. e. mr = 0). According
to Note 3.5.1 the order m p of p should be m p = 3 for second order problems.
This is just the choice of Bachvalov [1].
3.6 Canonical Prolongations and Restrictions for

Finite Element Equations
Assume that the boundary value problem is described by a bilinear form

a(' , .) in Jt x Jt with Jt c Hm(Q) (cf. (1.24)). A hierarchy Jto c ~ c ... c
Jf, c ... c Jt of subspaces is given (cf. (1.26)). The solution of the discrete
problem (1.27) is denoted by uK and belongs to Yf;. For the numerical compu-
tation one has to fix some basis {p" ,.: v = 1.. .. , n,l of Jf,. Every function
u E .1l; is associated with a coefficient vector u, (cf. (1.29)) belonging to a vector
space called Oll,. Hereby, a bijection p,: Oll, ~ Jf, is defined (cf. Note 3.1.1).
Hs adjoint R, = P,* with respect to the scalar products 3 <. , . >
on Oll, and
( , )P<Q) on Jf, is a mapping from Jt' (dual of Jt) onto Oll,.
P, gives rise to a canonical choice of p and r. Let v,_ 1 E 011,_ 1 H corresponds
to V:=P'-lV'-lEJf,-l' We have to define V,=PV'-l' or equivalently,
V' = P, V, E Jf,. The canonical choice is V': = V using the inc1usion Jf, - 1 C Jf,.
p V,_ 1 is the coefficient vector of V' = V with respect to the basis of Yf;. Since P, - 1
exists on Jf" we formally have
Definition 3.6.1. The canonical choice of p: 011'-1 ~ Oll, is p = P,-1 P'-1' The
canonical restrietion is r = p*.
Note 3.6.2. p: 011,_ 1 ~ Oll, and r: Oll, ~ 011,_ 1 are uniquely defined by
P'-1 = P'p, rR, = R'-l' (3.6.1)
3 More generally, the scalar product ( , .) on .Yt; must coincide with ( . , .) from the right
side of (1.24), (1.27)
3.6 Canonical Prolongations and Restrietions 67
The first equation expresses that the diagram

0lI,- 1 0lI,
p
Yfl-l Yfl
is commutative.
Usually, the product RIP, does not equal the identity I, but it is invertible:
Lemma 3.6.3. (R l m- 1: 0lI1 ~ 0lI1 exists.
Proof. Since p, is injective, Ul *

0 implies p,u l
(P,Uh p'u l ) > 0 shows that RIP, is not singular.
* O. Hence, <uj,RIP,UI> =
0
Note that R l (not P') depends on the choice of the discrete scalar product
<. , . >. In Exercise 3.9.7 we choose <. , . >such that RIP, = 1.
Thanks to Lemma 3.6.3, the definitions
R:= p,(R1m- l , R l := (R1m- 1 R l (3.6.2)
make sense.
Note 3.6.4. Rand Rl satisfy
Rl = R*, RIR = RIP, = I. (3.6.3)
The orthogonal projection onto Yfl (with respect to the L 2 (Q) norm) is
given uy
(3.6.4)
i.e.
11 v - Q1v Ilu(Q) = inf I v - w Ilu(Q)' (3.6.5)

we.Jf',
Proof. (3) is trivial. Ql is an orthogonal projection since Qf = Ql = Qi. 0

A further equivalent definition of the canonical prolongations and restric-
tions is presented in
Note 3.6.5. p = RIP'-I, r = R I - 1 R. (3.6.6)
Proof. p from (6) satisfies condition (1): p'p = p,RIP'-1 = P,-l' since the range
of P'-l is Yfl-l C Yfl which is fixed under Ql = !tRI' The second part of (6)
follows from r = p*. 0
With a view to the next section we state the characteristic relation between
p, r, and the stiffness matrices LI, LI-I'
Note 3.6.6. Let LI and L/- 1 be the stiffness matrices of 3.1.3 and let p and r
be canonical. Then Eq. (7) holds:
L/- 1 = rL,p. (3.6.7)
Proof Equation (1.32) yields LI = RILFl and L/- 1 = R/- 1 LFl-l' Equation (1)
implies
L/- 1 = (rR I ) L(Flp) = r(R/LFl)p = rL,p. D
3.7 Coarse-Grid Matrix
The goal of the two-grid iteration is the solution of L/u/ =!t for some fixed I.
The equations L k Uk = J,. (k =1= l) corresponding to other levels need not be
defined. Therefore, we are free to decide about a suitable choice of L/- 1 in step
(2.2c 2 ) of the two-grid iteration.
There are two strategies for determining L/_ 1 .
First approach. Let the equations L/u, =!t for all levels 1E {O, 1, ... } be defined
by the same discretisation. H, e. g. the Poisson equation - LI u = fis discretised
by the usual five-point scheme, use the matrix L/- 1 of the five-point scheme at
level 1 - 1.
Second approach (Galerkin approach). Given LI> prolongationp, and restriction
r, define L/- 1 by
L/- 1 = rL/p. (3.7.1)
This definition is called the Galerkin approximation since Eq. (1) is true for the
stiffness matrices of the Galerkin method (cf. Note 3.6.6). For ex am pies of L/- 1
compare Exercises 3.9.4-5.
The advantages of the first approach are:
(i) The definition of L I - t is independent ofthe fact that we want to solve an
equation at level I. This will also be important for the multi-grid itera-
tion, where L/_ 1 is needed for the solution of L k Uk = J,. with k > I.
(ii) In the finite difference case this approach needs no additional computa-
tions for defining L I _ 1 .
Correspondingly, we have to note the disadvantage of the Galerkin
approach:
(iii) The definition of L/- 1 depends on LI' H the solution of Llul =!t is
followed by a multi-grid iteration for solving LI + 1 UI + 1 =!t + 1 (cf. 5.1),
we need the matrices [;1: = r Ll+ 1 p, [;/- 1 : = r [;IP, which possibly differ
from LI and L I _ 1 used before.
(iv) A preprocessing phase is needed to compute L I - 1 (and L I _ 2, .. , L o for
the multi-grid iteration).
3.8 Comments 69
On the other hand there are some advantages:

(v) The possibly irregular difference formulae at points near the boundary
are automatically generated.
(vi) If L, is symmetrie (positive definite), and if r = p*, then L'-l = r L,p is
also symmetrie (positive definite).
(vii) The usual definition of consistency describes the approximation of the
differential operator L by L,. For the coarse-grid correction we need the
relative consistency describing the approximation of L, in terms of L'-l
(cf. 5.2). For the Galerkin approach the relative consistency depends
mainly on the orders of p and r (cf. Note 6.3.37).
The sparsity of the matrices L k (k = I, I - 1, ... ,0) is very important for the
efficiency ofthe two- or multi-grid iteration, since otherwise the smoothing step
is too expensive. The following note states that the nine-point pattern is pre-
served by the Galerkin approach.
Note 3.7.1. Assume D'-l c D" h'-l = 2h, and let L"p and r have a nine-point
pattern as, e.g., in (1.16), (4.2), and (5.5a), respectively. Then, L'-l is also a
nine-point formula (1.16).
Proof. Let u,_ 1 be a unit vector: U,_ 1 (x) = 1 for some x E D,_ 1, U,_ 1 (x') = 0
elsewhere. We have to show (L'-l U'-l) (x') = 0 for all x' E D'-l with
11 x - x' 1100 ~ 2h'-1' where 11 (x, y) 1100 = max {lxi, I yl}. PU'-l vanishes
outside {x' E D,: 11 x' - xii 00 ~ h,}, L,PU'-l equals zero outside {x' E D,:
11 x' - xii 00 ~ 2h,}; hence L'-l U'-l = r L,PU'-l vanishes for all x' E D'-l with
11 x' - x 11 00 ~ 4 h, = 2 h,_ 1 0
Usually. the five- or seven-point star is not preserved but becomes a nine-
point formula (cf. Exercise 3.9.4). A counter-example is given in Exercise 3.9.5.
An extension of Note 3.7.1 is mentioned in Exercise 3.9.6.
3.8 Comments
3.8.1 Separated Discrete Boundary Conditions
In the classical formulation of the boundary value problem the differential

Eq. (1.9) and the boundary condition (1.3) are well-separated. The weak formu-
lation (1.11) however does not distinguish between both components (cf.
Babuska-Aziz [1, pp. 74- 76]).
For the discrete problem we proposed a discretisation L, u, = fz with fz
containing the information of lu and Ir. The discretised boundary conditions
are used to eliminate extra grid points. An alternative approach is the separa-
tion of the difference equations and discrete boundary conditions.
Q/ was defined as the set of grid points serving as midpoints of the difference
formulae. Let Q/ be the set consisting of the points of Q/ and their neighbours.
Often, these extra neighbours are points on the boundary r with irregular
distance from Q/ (cf. Fig. 3.1.1), or the extra points are lying outside of Q. Let
np = number of points of Q/,
n/ = number of points of Q/.
The grid functions u/ are defined on Q/; thus, they have n/ components. For each
of the np (so-called interior) grid points x E Q/ a difference analogue of
LQu = fQ is given, resulting in the system
L? u/ = f/"l (np equations). (3.8.1 a)

For the remaining nf points of Q/\Q/,
one has to pose nf discrete boundary conditions

I!; u/ = Ir (nf equations). (3.8.1 b)
Setting
[L?]
L/ = I!; , (3.8.1 c)
we regain Eq. (1.19),

L/ u/ = fz (n/ = nf + nf equations). (3.8.1 ')
Note that the system (1') is larger than the previous system (1.19), because in
3.1 the dimension n/ equals np. However, (1') and (1.19) are algebraically
equivalent.
Example 3.8.1. Consider the one-dimensional equation
- u" (x) = fQ(x), u(O) = fr (0), du (1) = fr(1),

dx
where Q = (0, 1),r = {O, 1}. Let h/ = 2- 1 -/. For 1 = 1 we have n1 = 5, nf = 3,

a,
nf = 2, Q1 = i,~}, Q1 = {O, ~, ~, 1}, i,
L~ =1h 2
[-1 ~ -1
2 -1
2 -1
0
~l = f1Q (fQ(~), fQ@, fQW)T,

0 -1 2 -1
0 0 0
~ =[~ 0 0 - 1/h 1 1~J, fr = (fr(O), fr(1T.
3.8 Comments 71
The elimination of U1(0), u 1(1) be means of L~ U1 = f[ would yield L 1 U1 = f1
-!l
with
L, ~ h,' [- r ~: J, ~ J," + (h,' Ir (0) , 0, h,' Jdl))'.

For separated boundary conditions we can apply formally the same two-
grid iteration (2.2), provided that the smoothing procedure, prolongation, and
restriction are suitably defined.
Smoothing procedure. Jacobi-like iterations as in 3.3.2 do not work for Eq. (1').
Blockwise iterations (cf. 3.3.3-4) with blocks including the corresponding
boundary conditions eliminate (at least partially) the discrete boundary condi-
tions. If a pointwise smoothing is used in the interior, it must be completed by
a smoothing of the boundary data. It is not necessary to satisfy the boundary
conditions exactly, it suffices to produce smooth errors. However, an analysis
of this approach does not exist.
Prolongation. In 3.4 we emphasized that the interpolation at points ne ar the
boundary has to take into account homogeneous boundary conditions. For
example, the Dirichlet values may not be changed since they are correct. In the
present case of separated boundary conditions the interpolation has to change
the boundary values at XE QI\QI' too.
Restrietion. In the present situation the definition r = p* makes no sense. The
restriction has to be defined separately for fiQ and fiT:
fi~ 1 = rQfi Q, fi~ 1 = rTfiT.
rQ can be chosen as r from 3.5. rT describes the restriction of the boundary
data. If Q is a d-dimensional cube, r consists of (d - 1)-dimensional cubes,
where rT can be defined as a weighted restriction (pT)* with pT being the
piecewise linear (quadratic, ete.) interpolation on r. In general domains, how-
ever, the discrete boundary QI\Q/ has a very irregular structure and it is not
easy to find a reasonable definition of rT
3.8.2 Construction of a Finite Element Hierarchy
In 3.4.1 we described the mesh coarsening for regular grids. An essential

advantage of finite element discretisation is the possibility of using non-
uniform elements (triangles, quadrangles, etc.) . For a multi-grid approach we
need a hierarchy of subspaces Yl/ c Yf such that at some level k Ylk has the
desired non-uniform structure. The favourable inclusion Yl/-1 c Yl/ (cf. (1.26))
is often violated, but it should hold for most of the elements.
The following construction of a hierarchy of triangulations is due to Bank-
Sherman [1], [3], Bank [4]. Let.90 be a given coarsest conforming triangulation
of Q. :Y is called 'conforming', if for all triangles t, t' E:Y one of the following
conditions hold: (i) t n t' = (/), (ii) t = t', (iii) t n t' is a common vertex or a
common side of t and t'. The union u t equals Q. The corresponding subspace
tEff
JItO is given by {u E yt>: u restricted to t is affine for all tE ffo}.
For given ffo the refined triangulation 31 at level I = 1 is obtained by the
following steps 0 to 4.
Step 0: 31': = ffo
Fig.3.8.1.
Regular subdivision
Stepl: If tE3j' should be refined, replace 31' by 3j':=(3j'\{t})u

{tl' t 2 , t 3 , t 4 } with t,t l , ... , t 4 as in Fig. 3.8.1. Repeat Step 1 until3j' remains
unchanged. Go to Step 2.
Whether t is subdivided or not can be controlled explicitly by the user (e.g.
by the condition diameter (t) ~ d/(x), x = midpoint of t) or implicitly by
a-posteriori error estimates of a solution over ffo (cf. Babuska-Rheinboldt [1],
Rheinboldt [1], Bank-Weiser [1], Bank-Sherman-Weiser [1]).
Step 1 is repeated as the desired diameter may be smaller than half of
diameter (t), tE ffo. After Step 1 31' may contain triangles with a vertex not
being a vertex of the neighbouring tri angle (cf. Figs. 3.8.2-3).
Fig.3.8.2.
Two subdivided neighbours
Step 2: Divide any t E 31' as in Step 1 if t has two or three divided neighbours
(Fig. 3.8.2) or one neighbour divided twice (Fig. 3.8.3). Repeat Step 2 until 31'
remains unchanged. Go to Step 3.
After Step 2 there remain triangles with only one neighbour divided once
(left part of Fig. 3.8.4).
3.8 Comments 73
Fig.3.8.4. Subdivision by halving
Step 3: If t E :!7;.' has a divided neighbour (by virtue of Step 2 there is at most
one refined neighbour; it is divided only once) , replace :!7;.' by :!7;.': =
(:!7;.'\ {t} ) u {t 1, t 2 } with t, t 1 , t 2 as in Fig. 3.8.4. Go to Step 4.
Step 4: :!7;. : = :!7;.'.
The further triangulations 52,:!13, ... are obtained as folIo ws :
Step 0': ff,': = ff, - 1. Cancel the subdivisions made previously by Step 3.
Step 1-4: as above with ff" ff,' instead of :!7;., :!7;.'.
Finite element approximations may become poor ifthere are triangles of ff,
with very sm all interior angles.
The construction of Bank and Sherman avoids such difficulties because of
Note 3.8.2. Let "rl be tan amin' where amin is the smallest interior angle of any
tE ff,. The numbers "r l are bounded by T o /3 from below.
Proof Step 1 and Step 2 do not change tan amin' By Step 3 the value is divided
at most by 3. Since Step 3 is removed in the next Step 0', TI ~ To/3 holds for all
levels. 0
Note 3.8.3. The construction does not ensure the nestedness K o C Xl C ... C
.n; (cf. (1.26.

Proof Let t', t" E ff,-1 be obtained by a subdivision according to Fig. 3.8.4 (in
Step 3). Step 0' yields t = t' u t" E ff,'. A regular refinement of t in Step 1 or 2
implies Yt,-1 cj:: Yt" since t' E ff,-1 is not a union of triangles of ff,. 0
As a consequence the canonical choice of p and r cannot be used. A natural
definition of p is
(p UI_ 1) (x) = (~- 1 UI_ 1) (x) at all vertices x of triangles t E ff, (3.8.2)
(cf. Exercise 3.9.8). Since ~-1 UI-1 is a piecewise linear (affine) function, formula
(2) describes the piecewise linear interpolation of UI_ 1 .
It is not necessary to violate the nestedness X o C . C Yt, of the subspaces.
The refinement process described by Rivara [1], [2] guarantees (1.26). The
refinement strategy reads thus:
Step A: :!7;.': = 50
As in Step 1 there exists a subset :!7;.,efine C :!7;.' = 50 of triangles which are
to be refined according to a-posteriori estimates etc.
.~
Fig.3.8.5. Possible refinement of t E .91-1 in .91
StepB: Bisect all tE.91refine by their longest side, i.e. set .91':= (.91'\{t})u
{t 1, t 2}, where t 1 , t 2 are generated by bisecting t as depicted in the upper part
of Fig. 3.8.5.
A triangle tE.91' contains a 'non-conforming point' PE ot, if Pis a vertex
ofa neighbouring triangle but not of t (cf.left part ofFig. 3.8.4). Such a triangle
t is called 'non-conforming'.
Step C: Define .91non : = {t E .91': t non-conforming}. If .91non = (/) go to Step D.

For all tE .91non do:
(i) Bisect t by its longest side as described in Step B. Let Q be the new
bisecting vertex.
(ii) If Q does not coincide with the non-conforming point P of t, join Q
:llld P.
(iii) Repeat Step C with the new triangulation ff";.'.
Stev D: .C7J, : = .c7J,'
Analogously, 51 can be obtained from 51- l '
The example of a sequence of triangulations in Fig. 3.8.6 is cited from
Rivara [1]. The singularity at the re-entrant corner requires an increasingly
refined grid (cf. Schatz-Wahlbin [1]).
Note 3.8.4 (Rivara [1]). Each tE 51-1 is refined into at most four triangles of
51; the possible cases are depicted in Fig. 3.8.5. Jfo C Jf1 C ... C .if, is guaran-
teed. The triangulation cannot degenerate, i. e. IX ~ lX o > 0 holds for all interior
angles IX of tE 51, I ~ 0, where lXo depends only on the initial triangulation 50.
3.8.3 A Further Variant of the Two-Grid Iteration
The coarse-grid correction (2.2 c 1- 3) requires the computation of the defect

d, = LI UI - fz. The computation of LI UI - fz is also the main part of many
smoothing iterations. For instance, the modified Jacobi iteration (3.7) is
U[+l = u{ - whfmd,. Thereby, the following two-grid iteration (3) with an
75
Fig. 3.8.6. Triangulations from the sequence {.ro, 5;., .. . }adaptively genera ted by the refine-
ment strategy of Rivara [1]
extra smoothing iteration takes almost the same computational work as the
original iteration (2.2).
U;: = 9f(V Il (u{, ft); (pre-smoothing) (3.8.3 a)
d,:= L,u; - (,: (3.8.3 b)
dl - 1 :=/,Ul; (3.K3c)
ui':= u; - wh1 md1: (additional smoothing) (3.8.3d)
.=, LI! 1 cl j - 1 ;
L"j-1: } (coarse-grid correction) (3.8.3 e)
ut: = ui' - p Vl- 1 ; (3.8.3 f)
U{+1:= 9f(V 2 )(ut,ft); (post-smoothing). (3.8.3 g)
Seemingly, the added smoothing step disturbs the coarse-grid correction:
PVI-1 is the correction to u;, but it is subtracted from ui'. However,pvl_1 has
to eompensate the low frequency components ofthe error ui - u1 These com-
ponents are almost equal to those of ui' - Ul' But numerical experiments with
Poisson's equation show that the additional step (d) hardly improves the rate
of convergence.
A similar version is mentioned by Brandt [10] for parallel computations. A
further v' smoothing iterations
(3.8.3 d')
in place of only one J acobi iteration (3 d) can be performed in parallel
to the coarse-grid correetion. A good choice of the smoothing procedure
9f' is the semi-iteration (3.15a) with 9f'(u"ft; w,,) = Ul - w"hrm(L1Ul - ft)
n (1 -
v'
(J.l = 1,.,., v') such that the polynomial W"CL~) approximates 1 for
,,=1
o ~ ~ ~.i, 0 for i ~ ~ ~ 1. CL is defined by (3.8b).
3.8.4 The Case of U,_ 1 cj:: U,
In 3.4.1 we considered various sequences of grids, all satisfying Ql-l c Ql' But
there are some situations, where the choice of staggered grids with QI-1 cj:: Ql
is very natural.
An example is the discretisation of a Neumann problem in a cu be or as in
Fig. 3.8.7 of an one-dimensional problem
(3.8.4)
A simple second order discretisation of Neumann's eondition is
[Ul( - hz/2) - ul(hz/2)]/h 1= fr (0), [u 1(1 + hz/2) - Ul(1 - hz/2)]/h 1= fr(1)
(3.8.5)
by eentral differences. Using (5) in a staggered grid for eliminating Ul( - hd2)
and ul(1 + hd2), we are led to a symmetrie system of equations, whereas in a
77
V4
Fig. 3.8.7. Staggered grids
usual grid the central diflerence lUl ( - hl ) - U l (h l ) J/(2 hl ) = j~ (0) yields a non-
symmetrie system.
In the case of Fig. 3.8.7 the piecewise linear interpolation is defined by
(3.8.6a)
Setting, formally VI (l) = VI (~), because ofthe (homogeneous) Neumann condi-

tion, we obtain
(3.8.6b)
It is plain how to extend the prolongation into a two-dimensional piecewise

bi linear interpolation.
A very cheap prolongation is the piecewise constant interpolation. For
Fig. 3.8.7 it reads as
(3.8.7)
Hs order is 1. By Note 3.5.1 this prolongation should not be used together with
r = p* for second order problems since 2 = m p + mr ::t- 2m = 2. A possible
choice of r is the adjoint of the piecewise linear interpolation (6).
3.8.5 Comment on Weighted Restrictions
Brandt [3] regards the weighted restrietion (5.5 b) as an improvement on trivial

injection. The coefficients in (5.5b) are chosen in order to optimise the efficiency
of the coarse-grid correction or of the complete two-grid iteration.
Our choice of the (weighted) restrietion r = p* has another purpose. p acts
on the space of grid functions Ul' whereas r is applied to functions J, of the
right-hand side. A natural choice of a norm of J, is the dual of the norm of U l .
For example, the energy norm 1 11 (cf. (2.6.4 can be used for uf, while the dual
norm 1 1- 1 (cf. (1.4.5 is suited for fz. Estimates of r with respect to the dual
norm correspond to estimates of r* with respect to the original norm. There-
fore, r* should be a sufficiently regular transfer from the coarse grid to the fine
grid. The trivial injection is a counter-example since ri~j is not stable with
respect to the energy norm: Iri~j 11 <-I = 0 (h l- 1).
Accordingly, we do not distinguish between the non-weighted restrietion

rinjand all other (weighted) restrietions, but between (i) restrietions r such that
r* is a reasonable prolongation and (ii) restrietions with irregular r*. rinj is an
example of the second dass of restrietions. A further example is the five-point
restrietion
0
~o k 0
o .!
r-
-
.!8 12 .!8 (3.8.8)
due to Trottenberg (adapted from the total reduction method of

Schrder-Trottenberg [1]). It is named 'half-weighting' since it is between rinj
(no weighting) and the nine-point restrietion (5.4) which is also called 'full-
weighting'. The reason for the weights ~ and kis that 'red' and 'black' points
are equally weighted in the case of a red-black ordering:
~ = 4 x k.
In some cases the five-point restrietion (8) is as cheap as the trivial injec-
tion rinj:
Note 3.8.5. Suppose L, to be a five-point scheme, 9{ to be the Gau-Seidel
iteration with red-black ordering, and r to be the five-point restrietion (8). Then
r d, coincides with ~ rinj d" since the defect d, vanishes at all 'black' points
weighted by i.
3.9 Exercises
Exercise 3.9.1. Suppose L, to be symmetrie. Show that one step of iteration

(3.10) is equivalent to two steps of iteration (3.7) with alternating parameters
W 1 = + W, W2 = - W (w from (3.10. This is a special case of(3.15a).
Exercise 3.9.2. Let L, be a five-point formula (i. e. c I, 1 = 0 in (1.16. Prove

that the Gau-Seidel iterations (3.3) with respect to the chequer-board order-
ing (Fig. 3.3.3) and with respect to the four-colour ordering (Fig. 3.3.5) are
identical.
Exercise 3.9.3. a) Let Jff, be the space of piecewise bilinear finite elements on a
square grid and take the nodal values as coefficients. Show that the canonical
prolongation and restrietion coincide with the nine-point prolongation (4.2)
and nine-point restrietion (5.4) (cf. Note 3.4.1).
b) Let Jff, be the space of piecewise linear functions over triangles
{(x, y), (x + h" y), (x + h" y + h,)} and {(x, y), (x, y + hl ), (x + h" y + h,)}
for (x, y) = (vh" jlh,), V,jl E 7l. Prove that the canonical p and r coincide with
the seven-point prolongation (4.3) and the seven-point restrietion (5.6).
3.9 Exercises 79
Exercise 3.9.4. Let p be the nine-point prolongation (4.2), r the nine-point

restrietion (5.4), and L, the five-point star (1.15) in an infinite grid.
a) Show: L,-t = r L,p is not a five- but a nine-point formula.
b) Define recursively L k_ 1 : = r LkP for k = I, I - 1, I - 2, .... Prove: hf L k
(k < l) are nine-point schemes tending to the star
1-[
- 1
1
-1
8 -1]
-1 (3.9.1)
-1 -1 -1
for k --+ - 00.
c) Let Lu = - L1 and discretise by piecewise bilinear finite elements in a
square grid of size h,. Prove that the stiffness matrix is the star (1).
Exercise 3.9.5. Let L, be the five-point star (1.15) and p and r the seven-point
transfers (4.3) and (5.6), respectively. Show that L'-1 = r L,p is again the five-
point scheme (1.15) at level I - 1.
Exercise 3.9.6. Suppose Q c R d and letp be a (1 + 2mp )d_point prolongation,
L, a (1 + 2mL)d_point scheme, and r a (1 + 2mr )d_point restriction. Prove that
L'-1 : = r L,p is a (1 + 2 m)d-point scheme with m = [(m p + mL + mr) /2], where
[x] = max{nEZ: n ~ x}.
Exercise 3.9.7. Let p, be defined as in 3.6 and set (u" v,): = (p'u" p'v,h 2 (!J)'
Prove R,p, = I.
Exercise 3.9.8. Prove: If JfI-1 c JfI, definition (8.2) yields the canonical pro-
longation p.
Exercise 3.9.9. Assume (1.26) and let p" Rio P" R"p, and r as in 3.6. Prove that
the left inverse of p is f: = R'-1 p,: 0/1, --+ 0/1'-1' while the right inverse of r is
p:= R,P,-1 = f*: 0/1'-1 -+0/1,; i.e. fp = rp = I.
4. General Multi-Grid Iteration
The extension of the two-grid iteration to the multi-grid iteration is already

described in 2.5 for the one-dimensional problem. In 4.1 the algorithm is
described in various ways. Typical convergence properties of the multi-grid
iteration are discussed in 4.2. The convergence rates have to be related to the
computational work, which is estimated in 4.3. N umerical results are reported
in 4.4 for the model problem of the Poisson equation in the square and in
general domains.
4.1 Multi-Grid Algorithm
We recall that the two-grid iteration is replaced by the multi-grid version not
to improve the convergence but to avoid the exact solution of the coarse-grid
Eq. (3.2.2c 2 ), L/_ 1 V/-l = d/- 1 Since this equation is of the same form as the
original equation L,u, = ft, the method can be defined recursively. The
(I + l)-grid method for solving L,u/ = ft is described as follows. The two-grid
iteration can be applied to LI U 1 = /1' Given the I-grid algorithm for the sol-
ution of L/- 1U/_ 1 = ft-l' the (l + l)-grid iteration is the two-grid method
(3.2.2) at the levels I, I - 1 with the exact solution of the coarse-grid equation
replaced by y steps of the I-grid iteration applied to L,- 1 V/- 1 = d/- 1
The multi-grid version of the two-grid iteration (3.2.2) reads as follows.
multi-grid iteration MGM(Vl' V2) for solving L/u/ = ft (4.1.1 )
procedure MGM(/,u,f); integer I; array u,f;

if 1 = 0 then u: = LI * 1 else (4.1.1 a)
begin array d, v; integer j;
u: = 9/(v,) (u,f); (4.1.1 b)
d: = r * (L/ * U - f); (4.1.1 c)
4.1 Multi-Grid Algorithm 81
v:= 0; (4.1.1 d 1)
for j: = 1 step 1 untiJ y do MGM (1- 1, v, d); (4.1.1 d 2 )
u:= U - P * v; (4.1.1 e)
u:= .Cfj(V 2 )(u, f) (4.1.1 f)
end:
One step u/ I--> u/ +i of the multi-grid iteration is performed by

ur:= u{; MGM(l,ubfr); U{+l:= Ur;
The only difference from the two-grid iteration (3.2.2) is that the statement
(3.2.2C2)' v: = LI! 1 d, is replaced by (1 du)' The exact solution is replaced by
y multi-grid iterations applied to the initial guess vD = O. The usual value of y
is y = 1 (V-cycle) or y = 2 (W-cycle).
Note 4.1.1. When 1= 1 one may use y = 1 in (1 d z) without changing the
algorithm.
The multi-grid iteration (2.5.2) is a special case of algorithm (1) with V1 = V,
Vz = 0 (no post-smoothing). Figures 2.5.1-2 are still valid for v2 > 0 ifwe add
the operation S (smoothing) after each correction P.
A flow-chart of algorithm (1) is given in Fig. 4.1.1.
start : I u/
stap'
k: =I (solution desired ot level I )
i/I: = i (number of iterations)
computed
I
ul : =UP(storting guess)
k=!
~
k>Q
k=Q
uo: = L0-1 f 0 II
~ k<!
correction step:
k:=k+1
pre - smoothing step' uk : = Uk -PUk -1
uk : =:7',i v,J (Uk,fk) i/k : = itk -1
post - smoothlng step:
t,
Uk: = !J:/",JIUk / k )
k:=k-1
uk : = Q
i/k := Y
fk := rIL h1 U*,1- fk+1) tfk = Q
i/k>Q
Fig.4.1.1. Flow-chart of i steps of the multi-grid iteration

82 4. General Multi-Grid Iteration
For readers more familiar with FORTRAN than ALGOL we describe a

FORTRAN version of MGM(V 1 .V 2 ). For simplicity we assume that the func-
tions {u 1 , U2"'" UI} correspond to the array u( *, *). u(k,j) is the compo- r
nent of the function Uk at level k. Analogously, (hh; 1 ... 1 corresponds to
f (*, *). According to the FORTRAN convention, the lowest level is 1 = 1 (not
1 = 0). We need three subroutines:
heading of subroutine result of sub routine
subroutine s (v, 1, uJ)

dimension u ( * , * ), f (*,*)
subroutine defect (1, uJ)
dimension u ( * , * ), f ( * , * )
subroutine p(l, u)
u(l,*):= u(l,*) - pu(l-l,*)
dimension u ( * ,* )
For solving L1u 1= f, by i multi-grid iterations one has to call the FORTRAN
subroutine mgm defined below:
u(1, * ) = u? (definition of the starting guess)

f (I, * ) = f, (definition of the right-hand side)
call mgm (i, 1, uJ)
The r h iterate ul is stored on u(l, *). To denote the componentwise assignment
u (I, j) = UI. j U = 1, ... , nl ) we write u (I, * ) = UI' The subroutine mgm reads as
folIows:
FORTRAN subroutine for solving L1uI = f, (4.1.2)
subroutine mgm (i, 1, uJ)

dimension u ( * , * ), f ( * , *), i t ( * )
k=l
it(k) = i
C beginning of the iteration at level k
10 if (k .eq. 1) goto 30
C pre-smoothing
20 call S (Vi' k, uJ)
caU defect (k, uJ)
k=k-1
u(k,*) = 0
4.1 Multi-Grid Algorithm 83
it(k) = y
goto 10
30 U (1, * ) = L I 1 * / (1, * )
40 if (k .eq. l) return
C correction step
k=k+1
call p(k, u)
C post-smoothing
call S(V2' k, u,f)
it(k) = it(k) - 1
if (it (k) .eq.O) goto 40
goto 20
end
The recursive structure of the ALGOL program (1) can be imitated in

FORTRAN, if we write separate subroutines mgm 1, mgm 2, ... for all levels
1= 1,2, .... For example, mgm 4 would read
subroutine mgm 4(i, u4,f 4)

dimension u3(*), /3(*), u4(*), /4(*)
do 4 j = 1, i
call s(v 1 ,4,u4,f4)
call defect (4, u 4,f 4,f 3)
u3 = 0
call mgm 3 (y, u 3,f 3)
call p(3, u 4, u 3)
4 call s(v 2 ,4,u4,f4)
return
end
with subroutines s, defect, p similar to those in (2).

We recall that in the case y = 1 (" V-cycle") the algorithm can be written
non-recursively:
Routines for the V-cycle (4.1.3)
ALGOL FORTRAN
procedure MGM(l, ubh); subroutine mgm (I, u,f)

begin dimension u ( * , * ), / (* , * )
for k: = I step - 1 untit 0 do do 10 kk = 2, I
begin Uk: = 9k(v!l(Uk ,fk); k = 2 + 1- kk

k= r(LkUk - A); call S (VI, k, u,f)
Uk-I: = 0 call defect (k, u,f)
end; 10 u(k-l,*)=O
/ * fo;
U o := L c u(1,*)=L1 1 *f(1,*)
for k: = 1 step 1 until I do do 20 k = 2,1
begin Uk: = Uk - P * Uk - 1 ; call p(k, u)
uk : = 9k(V2) (u k ,fk) 20 call S (v 2 , k, u,f)
end return
end; end
Note that the routines (3) differ. According to the different index ofthe coarsest
grid, they use I + 1 (ALGOL) and I (FORTRAN) levels.
There are numerous variants of the multi-grid algorithm (1):
(i) The number of smoothing iterations can be determined a-posteriori
during the iteration. E. g., the pre-smoothing statement (1 b) may be
replaced by
norml:= IIL,*u-fll.'l'"; v:=O;

smoothing:
u:=Y[(u,f); v:= V + 1; (4.1.4)
normO:=norml; norml:= IIL,*u-fll.'l'";
if norml ~ K * normO and V < vmax then goto smoothing;
with a suitable number K E (0, 1), e.g. K = j-, and some norm 11 11.'l'"' The
intention is to smooth as long as it is efficient. One expects a rapid decrease
of 11 L, ui - fz 11 .'l'" as long as non-smooth error components are dominating.
Asymptotically, the ratio norml/normO approaches the convergence rate
of Y[which should exceed K. However, a rapid decrease ofthe error ui - u,
(u, = Li! fz) is not necessarily accompanied by a monotone decrease ofthe
defect.
(ii) The number I' may depend on the level I. For instance, I' from (1 d 2 ) can
be replaced by
_ {1 for 1 even,
(4.1.5)
1', - 2 for 1 odd.
Sometimes a very coarse grid at level 1 = 0 causes poor convergence ofthe

two-grid iteration at level 1. In this case we can choose 1', = I' (I ~ 3) and
1'2> y.
(iii) Pre- and post-smoothing may involve different smoothing iterations Y[
and y['.
(iv) The modification mentioned in 3.8.3 yields a further multi-grid variant.
4.2 Convergence of the Multi-Grid Iteration 85
(v) The exact solution at level I = 0 (cf. (1 a can be replaced by a suitable

approximation. Let U~+l = .Fo(u~,fo) be some iteration and change algo-
rithm (1) as folIows:
= .Fo (u,J) instead of u = La *f in (1 a);

2}
U: 1
y for I ~ (4.1.6)
Y, = { Yl for 1 = 1 instead of Y in (1 d2)
Then Uo = La
1 fo is approximated by Yliterations of .Fo applied to the starting
guess ug = O. The simplest choice of .Fois
(4.1.7)
since no extra programming is needed.
4.2 Convergence of the Multi-Grid Iteration
All smoothing iterations of 3.3 satisfy
(4.2.1)
i. e. the discrete solution is a fixed point of the smoothing iteration. Exercise

1.5.1 proves
Note 4.2.1. Under condition (1) U, = L , l fi is a fixed point of the multi-grid

iteration at level I. Convergence of the multi-grid process implies u/ --+ U, as
j --+ 00.
This result is true even if (1) is violated at other levels.

As stated in (3.2.3) the contraction number and the convergence rate of the
two-grid iteration are bounded by C TGM edv), v = Vl + V2' where edv) --+ 0 as
v --+ 00. It will be shown in 7 that a similar result holds for the multi-grid
iteration also:
multi-grid contraction number} < C ()

'd convergence rate = MGM eL v , (4.2.2)
muI tl-gn
where C MGM ~ C TGM Usually, the multi-grid rate is only slightly worse than
the two-grid rate. Note that the bound on the right-hand side of (2) is indepen-
dent not only of the step size h, but also of the total number of levels involved
in the multi-grid process.
The following numbers illustrate the two- and multi-grid convergence.
The multi-grid algorithm (4.2) described below solves the discrete Poisson
equation in a unit square. Using the parameters VI = 2, V2 = 0, ho = t,

h1 = i, ... ,
h4 = 312' we observe the following convergence rates at level I = 4:
rate of multi-grid iteration with y = 1: 0.1682
rate ofmulti-grid iteration with y = 2: 0.0736
(4.2.3)
rate of multi-grid iteration with y = 3: 0.0735
rate of two-grid iteration: 0.0735
Often, the multi-grid convergence rate is better for y = 2 (W-cycle) than for
y = 1 (V-cycle). On the other hand, y = 2 requires more computational work
as stated in Proposition 4.3.1 below. The choice y = 3 is unproductive, since
usually the rates corresponding to y = 3 are only insignificantly better than
those of y = 2.
4.3 Computational Work
The convergence rate has to be compared with the computational work per
iteration. To estimate the work ofthe multi-grid iteration (1.1), we assume the
following costs of the basic parts of the algorithm:
statement number of arithmetical operations
U,: = 9i(u" j,) ~ CS"I for all 1 ~ 1 (4.3.1 a)

d,- 1:= r(L,ul - j,) ~ CD"I for all 1 ~ 1 (4.3.1 b)
U,:= U,- PV'-1 ~ Ce", for all I ~ 1 (4.3.1 c)
Uo:= L 0 1 10 ~ Co (4.3.1 d)
..................................................................
We recall that ", is the number of unknowns and equations at level 1. The
bounds are proportional to ", since the matrices L, are (uniformly) sparse.
In (1 d) Co is assumed to be a constant. This is true as long as the coarsest
step size ho (hence "0) is fixed when 1increases. Another situation arises if the
finest size his fixed and sequences hk = 2' - k h (k ~ I) with changing ho = 2' h
are considered.
The constant
(4.3.2)
takes the value

CH = 2- d (4.3.3a)
4.3 Computational Work 87
for d-dimensional grids 0 , eRd with mesh size h,_ 1 = 2 h,. An exception is the
case of Fig. 3.4.3 (h,- 1 = fih" d = 2), where
(4.3.3 b)
The following proposition states that the work of one multi-grid iteration
is also proportional to n"
Proposition 4.3.1. Suppose
8: = y C H < 1 (y from (1.1 d 2 . (4.3.4)
Then one step of the multi-grid iteration (1.1) requires C, n, operations, where
C,::;; vCs + CD + Ce
- 1- 8
+ 8' [+ _
y CH n,
vC s + CD + Ce]
1- 8
(4.3.5)
vCs+CD+Ce nl-1c' 'h C' C /
< 1_ 8 + 17 0 Wlt 0 = 0 n1'
Proof. One iteration at level I involves y'-k iterations at level k (1 ~ k ~ 1).

According to Note 4.1.1 y'-1 systems are to be solved at level O. Hence the
number of operations is bounded by
C,n, ~ (vC s + CD + Cd (ni + yn,-1 + ... + y'-1 n1 ) + y'-1 Co
~ (vC s + CD + Cd n,(l + 8 + ... + 8 ' - 1) + 8 ' CO /(yCk)
proving the first part of (5). The second part follows from Ck- 1 n, ~ n" 0
In standard cases the condition 8 < 1 is satisfied:
CoroUary 4.3.2. If h,- 1 = 2 h, the condition (4) holds for all
y~2d_1.
In the two-dimensional case (d = 2) inequality (5) becomes

C {HvCs + CD + Cd + (~)'-1 C~ for y = 1,
(4.3.6)
I< 2 [vC s + CD + Cd + H-)'-1 C~ for y = 2.
However, the W-cycle (i. e. y = 2) in the case d = 1 or the V-cycle (y = 1) in
the case of (3 b) implies 8 = 1. Then the work is no longer proportional to n"
Proposition 4.3.3. If 8 = 1, the number of operations is bounded by
[(vC s + CD + Cd I + C~]n" (4.3.7)
where C~ = CO /n 1 Bound (7) is of order O(n, log2 n,) if h,- 1 = 2h,. For 8> 1
the bound increases exponentially as 0 (8 ' n,), In the case h,_ 1 = 2 h, the latter
expression equals O(nf+( lo821})/d).
The estimates (5) and (6) show that the W-cycle (y = 2) takes nearly 50%
more work than the V-cycle (y = 1). Note that the number vCs + CD + Ce
corresponds to the work of the two-grid iteration when the solution of the
coarse-grid equation is not counted.
The proof of Proposition 4.3.1 exhibits the fact that the work spent at the
coarser grids I - 1, 1- 2, ... is fast decreasing, though an increasing number of
y'-k auxiliary equations at level k has to be solved.
Note 4.3.4. There are still some possibilities of saving computational work:
(i) For smoothing by Gau-Seidel (with red-black, zebra, or four-colour
ordering of the grid points) the defect L,U, - f, vanishes at some grid
points. Hence the computation of r(L,u, - f,) requires less work than in
the general case.
(ii) The correction U, - P V/- 1 need not be computed at points that are imme-
diately redefined by the subsequent Gau-Seidel step (either by .Y[v 2 during
the same iteration, or by .Y[VI in a next iteration).
(iii) The iterations at the auxiliary levels k < I are started. with initial guess
Uk = O. Hence, the first smoothing step .5!k(Uk,fk) = .5!k(O,fk) can be per-
formed with a reduced number of operations.
For case of the alternating choice (1.5), y, = 1,2, the leading terms of
formulae (5) and (6) become [vC s + CD + CcJ (1 + CH )j(l - 2C1) and
\0 [vCs + CD + CcJ, if I is an even integer.
Formula (5) indicates that the work mainly depends on the number of
smoothing steps. Often, the computation of the defect is comparable with the
performance of a smoothing iteration, whereas the term Ce can be neglected:
vC s + CD + Ce:::::: (v + l)C s (4.3.8)
What is the optimal v? To compare iterations of different rates and operation

counts, one has to introduce the 'efficiency'
operations per iteration
E=---=-----=----- (4.3.9)
log (contraction number)
which is the work required for an error reduction by a factor Ije. In 2.4 the
contraction number was found to be approximately
(V:::::: Cj(v + 1). (4.3.10)
(10) is not restricted to the model problem of 2 as will be shown in 6.2. By

(8) and (10) the number E = E(v) equals Cs(v + l)jlog((v + l)jC). The (real)
value v minimising E(v) depends on the constant C only:
vopt = Ce - 1 yielding COP' = 1je :::::: 0.368.

But note that this result is only valid if the contraction number really behaves
as Cj(v + 1) at v = vopt ' If C decreases more rapidly, the optimal v will be larger.
An example is given in Table 4.3.1, where E(v)jC s = - (v + 1)jlog((v) and
Es(v)jCs := - (v + l)jlog(Qv) are listed for the values (v and Qv from
Table 2.4.1. Here, v = 3 is optimal.
4.4 Examples of Multi-Grid Iterations and Numerical Results 89
Table 4.3.1. Efficiency for different values of v
v 2 3 4 5
- (v + l)/log('v) 2.89 2.16 2.11 2.31 2.55

- (v + l)/log(l!v) 2.89 2.16 1.92 2.01 2.22
Finally, we mention the storage requirements of the multi-grid iteration

(1.1). Assurne first that LI has constant coefficients which therefore need not be
stored. Algorithm (1.1) requires storage for Uko h, k = 0, ... , I; thus
I
Sr GM : = total storage = 2 L nk'
k=O
whereas an iteration using only the first grid requires the storage
Note 4.3.5. Let eH< 1 be defined by Eq. (2). Then
Sr GM ~ Sd(1 - eH)' (4.3.11)
In the standard case of eH = 2- 2 (cf. (3a)), the estimate (11) becomes

Sr GM = ~ SI' Only 33 % additional storage is needed. In the three-dimensional
case the respective percentage is less than 14.3 % .
If the matrices LI have to be stored, the total storage Sr GM increases, but
as SI increases by the same factor, inequality (11) remains valid.
Special techniques for saving storage are described by Brandt [3, p. 362], [5,
p. 81] and Hackbusch [14].
4.4 Examples of Multi-Grid Iterations and Numerical Results
4.4.1 A Multi-Grid Program for Solving Poisson's Equation
The program (2) completely documented below follows the structure of algo-
rithm (1.1). The underlying problem is the five-point discretisation (3.1.15) of
Poisson's equation in the square Cl = (0,1) x (0,1). A square is chosen since for
a general domain an easily readable program cannot be expected because of
the irregular structure at points near the boundary. All components of pro-
gram (2) are chosen as simply as possible:
(i) sequence of grids. The grid sizes are hl = 2 -1-1 for 1 ~ 0. The array dec-
larations of program (2) have to be changed if 1 > 5.
(ii) pre-smoothing. We apply v steps of the Gau-Seidel iteration with red-

black ordering. One call of s corresponds to a quarter Gau-Seidel step.
Each step involves one of the four subgrids Ul, ... , m described in
Fig. 3.3.5. s( ... , i,j), 1 ~ i, j ~ 2, refers to the subgrid with mesh points
(PI h" f.l2h,), where f.l1 == i(mod 2) and f.l2 == j(mod 2). The combination of
s ( ... , 1, 1) and s ( ... , 2,2) yields a half Gau-Seidel step for the red points
of Qj' = Dl u Uf, while s ( ... , 1, 2) together with s ( ... , 2, 1) performs the
half step on Ur.
(iii) restriction. r is chosen as nine-point restriction (3.5.4).
(iv) prolongation. p is the nine-point prolongation (3.4.2).
(v) post-smoothing: none, i.e. V2 = O.
(vi) solution at level I = O. The coarsest grid Uo contains only one point H,l).
Therefore, the call of s ( .. '. , 1, 1) produces the exact solution of L o Uo = 10'
We apply the program to
LI u(x, y) = 4 in U = (0,1) x (0,1), u(x, y) = x 2 + y2 on r. (4.4.1)
One may easily verify that the solution u(x, y) = x 2 + y2 is also the solution
of the five-point scheme. We recall that the choice of the right-hand side in (1)
has no influence on the convergence rate. A non-smooth or random right side
1 (x, y) in LI u = 1 would lead to the same multi-grid convergence.
Multi-grid program for Poisson's equation in a square (4.4.2)
begin real h2; integer I, i,j, n, nl, nn, ny,gamma, m, jl, k;

array w, u,f[O:64, 0:64], h2/[0:5]; integer array nl[0:5];
real procedure rhs(x, y); real x, y; rhs:= - 4;
real procedure dir (x, y); real x, y; dir: = x * x + Y * y;

procedure start;
begin for i : = 0 step 1 until I do
begin nl(i]:= 2 ** (i + 1); h2/[i]:= l/(nl[i] * nl[i]) end;
n : = nl [I]; n 1 : = n - 1;
for i: = 1 step 1 until n 1 do for j: = 1 step 1 until n 1 do u [i, j] : = 0;
for i: = 1 step 1 until n 1 do
begin u [0, i] : = dir(O.O, i/n); u [i, 0] : = dir (i/n, 0.0);
u [n, i] : = dir(1.0, i/n); u [i, n] : = dir(i/n, 1.0)
end Dirichlet data defined;
for j: = 1 step 1 until n 1 do f[i,j]: = rhs(i/n, j/n)
end start;
procedure comp;
begin real s; n:= nl [I]; n1:= n - 1; s:= 0.0;
for i: = 1 step 1 until n 1 do for j : = 1 step 1 until n 1 do
s:= s + (u[i,j] - dir(i/n,jfn ** 2;
print('absolute error: " sqrt(h2 1[I] * s))
end comparison with exact solution;
procedure s(l, u,J, ip,jp); integer I, ip,jp; array u,f;

begin n:= nl [I]; n1:= n -1; h2:= h21[1];
for i: = i P step 2 undl n 1 do for j : = j p step 2 until n 1 do
u(i,j]:= (h2 * f[i,j] + u[i + 1,j] + u[i - 1,j] + u[i,j - 1] + u[i,j + 1])/4
end a quarter Gau-Seidel step;
procedure defect{l, d, u,f); integer I; array u,J, d;

begin n:= nl[l]; n1:= n - 1; h2:= h21[l];
for i: = 1 step 1 until n 1 do for j: = 1 step 1 until n 1 do w [i, j] : =
(4 * u(i,j] - u[i,j - 1] - u[i - 1,j] - u[i + 1,j) - u[i,j + 1])/
h2 - f[i,j];
for i: = 2 step 2 until n - 2 do for j : = 2 step 2 undl n - 2 do
d[i'j'2,j'j'2]:= (w[i - 1,j -1] + w[i + 1,j - 1] + w[i - 1,j + 1]
+ w[i + 1,j + 1])/2 + w[i,j - 1] + w[i + 1,j]
+ w[i -1,j] + w[i,j + 1])/2 + w[i,j])/4
end computation of r(Lu - f);
procedure p(l, u, v); integer I; array u, v;

begin nn:= nl[I-1]; n:= nl [I]; n1:= n - 1;
w[i,O]:= w[O,i]:= w[n,i]:= w[i,n]:= 0.0;
for i: = 0 step 1 undl nn do for j : = 0 step 1 undl nn do
w[2*i, 2*j]:= v [i,j];
for i:= 1 step 2 undl n1 do for j:= 2 step 2 until n - 2 do
w [i,j]: = (w [i - 1,j] + w [i + 1,j])/2;
for i:= 1 step 1 undl n1 do for j:= 1 step 2 until n1 do
w[i,j]:= (w[i,j - 1] + w[i,j + 1])/2;
for i: = 1 step 1 until n 1 do for j : = 1 step 1 until n 1 do
u [i,j]: = u [i,j] - w [i,j]
end computation of u - pv;
procedure mgm(l, u,f); integer I; array u,f;

if 1 = 0 then s(l, u,J, 1, 1) else
begin integer i,j; array v,d[O:nl[l- 1], O:nl[l- 1]];
comment pre-smoothing;
ror i: = 1 step 1 until ny do
begin s{l, u,J, 2, 2); s{l, u,J, 1, 1); s{l, u,J, 1,2); s(l, u,J, 2, 1) end;
comment coarse-grid correction;
defect (I, d, u,f);

for i : = 0 step 1 until nl [l - 1] do for j : = 0 step 1 until nl [l - 1] do
v[i,jJ:= 0;
for i:= 1 step 1 until gamma do mgm(l-l,v,d);
p(l, u, v)
end multi-grid iteration;
1: = 4; gamma: = 2; ny: = 2; start; camp;

for k : = 1 step 1 until 10 do begin mgm (I, u,f); camp end
end
Table 4.4.1 shows the development of the errors 11 u{ - utll ou. Ut(x, y) =
x 2 + y2 is the discrete solution, u{ is the result of program (2) with v = y = 2
applied to the starting value u?(x, y) = O. The level number is chosen as I = 4
corresponding to ht = 312' The Euclidean norm 11 utll ou = <Ut, Ut)1/2 is defined
by (3.5.2). The ratios 11 uj+ 1 - Ut 11 ou /11 u{ - utll ou Iisted in the last row converge
to the convergence rate et = e(Mi (v, 0)) (Mi from (7.1.4)). Further computa-
tions show et = 0.0736.
Computing the convergence rates et for all levels 1 = 1, ... ,5, we obtain the
numbers of Table 4.4.2. Obviously, the rates do not tend to 1 as c1assical
iterations do. For the two-grid iteration we shall prove et < 0.0741 for all I (cf.
8.1.1). Note that for increasing y the multi-grid rates converge to the two-grid
rates (cf. (2.3)).
Table 4.4.1. The iteration errors for h1 = ~, V = Y= 2

j o 2 3 4 5 6
11 u{ - U 1 11'11 7.48 - 1 a 4.20 - 2 1.93 - 3 1.03 - 4 5.76 - 6 3.36 - 7 2.03 - 8

ratio 0.0561 0.0460 0.0533 0.0560 0.0583 0.0603
a Read 7.48 10 - 1 and other values analogously
Table 4.4.2. The convergence rates at different levels for v = 2

2 3 4 5
1 1 1 1
h1 4 8 16 3i 64
{h for y = 1 0.0625 0.1263 0.1587 0.1682 0.174 .

{!! for y = 2 0.0625 0.0642 0.0738 0.0736 0.073
Table 4.4.3. The convergence rate depending on v for h1 = ~
v 2 3 4 5
121 for y = t 0.310 0.168 0.115 0.087 0.0706

111 for y = 2 0.244 0.074 0.052 0.040 0.033
4.4 Examples of Multi-Grid Iterations and Numerieal Results 93
It remains to investigate the dependence of (!I on the number v of smoothing

iterations. (21 (v) is listed in Table 4.4.3 for y = 1 and y = 2. As for the very simple
example of 2 the rates behave like Cy/v.
To judge the efficiency of the multi-grid iteration we must also take account
of the computational work. Counting the operations +, -, *, / (except those
involved in indices) in program (2), we obtain the values
C s =6, C D =9.75, C e =2.5, C o =6 (4.4.3a)
for the constants of(3.1). Following the advice ofNote 4.3.4(i), we can reduce
the work:
C s =6, CD = 4.5, C e =2.5, C o =6. (4.4.3 b)

If we replace fi by hf fi one multiplication can be saved in sand one division
in defect:
Cs = 5, CD = 4, Ce = 2.5, Co = 5. (4.4.3 c)
For simplicity we neglect the further reduction due to Note 4.3.4 (ii), (iii). Thus
an optimised version of program (2) would require CI operations per grid point,
where CI can approximately be estimated by
C= C(v,y):= (vC s + CD + Cd/(1 - y/4).
The values of C are listed in Table 4.4.4. Replacing the efficiency E from
(3.9) by
E = E(v,y) = - C(v,y)/log(2I(v,y)),
we obtain the values in Table 4.4.5 from the data of Tables 4.4.3-4.
For a comparison with the SOR method we mention that the efficiency of
SOR with optimaloverrelaxation parameter equals 7/(2 n hl ) ~ 1.11/h l
Table 4.4.4. The number C of operations per grid

point in the ease of (3e)
v 2 3 4 5
C for l' = 1 15i 22 28j 35i 42

C for l' = 2 23 33 43 53 63
Table 4.4.5. Efficieney E

v
2 3 4 5
l'
1 13.1 12.3 13.3 14.5 15.8

2 16.3 12.7 14.5 16.5 18.5
Finally we mention an improvement of the multi-grid program (2) (cf.

Hackbusch [2]). Exploiting Note 4.3.4 we define the pre-smoothing by
(4.4.4a)
and the post-smoothing on the finest grid by
(4.4.4 b)
where Y/j denotes the quarter Gau-Seidel step on Q{ (cf. Fig. 3.3.5). Thus, one
iteration requires ~ Gau-Seidel steps at the maximum level lmax. At lower
levels 1 < lmax the post-smoothing reads as
(4.4.4c)
The step sizes, the restrietions and prolongations are chosen as before, but the
auxiliary matrices LI (l< lmax) are defined by the Galerkin approach (3.7.1).
Further, the V-cycle ')' = 1 is used.
The computational work per iteration is comparable with program (2)
fory = 1, v = 2, since C = 2.75, however the convergence rate is improved; e.g.
for h4 = 312 we obtain 1?4 = 0.061 instead of 1?4 = 0.168 (cf. Table 4.4.3). The
efficiency becomes E = 9.8.
4.4.2 Poisson's Equation in a General Domain
In a general domain Q c]R2 the Shortley-Weller scheme (cf. (3.1.22)) replaces

the five-point formula (3.1.15). The nine-point prolongation has to be modified
near the boundary as mentioned at the end of 3.4.2. Having defined p (irregu-
larly near the boundary), we still define the restrietion by r = p*.
The multi-grid iteration is modified as described previously. Testing the
algorithm for the domains Q depicted in Fig. 4.4.1 we observe the rates listed
in the left part of Table 4.4.6.
2J[3C3G8
,(J6 ,(J) ,(JB ,(Jg ,(Jl0
Fig.4.4.1. Regions Q, (redrawn from Computing 20 (1978) p.298)

Table 4.4.6. Averaged reduction factors 1 of the multi-grid iteration applied to the live-point
Poisson discretisation
0 pointwise x-Iine Angle ofthe
Gau-Seidel Gau-Seidel re-entrant corner
01 0.044-0.052 0.040-0.041 n
O2 0.030-0.035 0.030-0.034 n
03 0.042-0.056 0.028-0.032 n
04 0.025-0.031 0.027 -0.028 n
05 0.073-0.085 0.043-0.044 3n/2
06 0.066-0.078 0.041-0.042 3n/2
07 0.096-0.116 0.045-0.054 7n/4
08 0.093-0.116 0.044-0.054 7n/4
09 0.113-0.147 0.053 -0.079 2n
0 10 0.1 08 - 0.139 0.053-0.077 2n
Obviously, the rates depend on the angle of the re-entrant corner(s). This
angle determines the regularity of the boundary value problem (cf.
Definition 6.3.5). This result is in accordance with the theoretical results of 6.
The pointwise Gau-Seidel iteration can be replaced by the linewise ver-
sion (zebra-line Gau-Seidel). We choose
g,pre = g,b (l ~ lmax), (4.4.5a)
g,post = g,' g,b g,' (l = lmax), (4.4.5b)
g,post = g,' g,b g,' g,b (I< lmax), (4.4.5c)
where g,' and g,b are the half Gau-Seidel steps on the respective subsets a[
and ar
(cf. 3.3.1 and Fig. 3.3.4). The observed rates are listed on the right side
of Table 4.4.6 (cf. Hackbusch [3], [8]). The results still depend on the angle of
the re-entrant corner (i. e. on the regularity of the problem) but the dependence
is very slight.
4.4.3 Other Boundary Conditions
A multi-grid pro gram for a general linear second order differential equation
+ hex, y)u xy + c(x, y)u yy
a(x, y)u xx
+ d(x, y)u x + e(x, y)u y + fex, y)u = g(x, y) (4.4.6)
on a rectangle a = (x 1, x 2) X (Yl, Y2) subject to Dirichlet, Neumann, mixed, or
periodic boundary conditions is described by Hackbusch [6]. It uses the
The averaged reduction factor is delined by

il = [11 u;+ j - ulll",/il u; - ulll",jIli, j sufficiently large.
For j --> 00, il approaches the convergence rate Q
Table 4.4.7. Errors 11 uf - uill with h l = i4 for Poisson's equation

j 1 2 3 4 5 6 7 8 ARF'
Dirichlet 7.1 10 -1 1.2 10 -2 4.5 10 -4 1.4 10 - 5 6.6 10 -7 2.7 10 -8 1.5 10 -9 7.8 10 -11 0.038
Neumann 7.9 10 -.1 7.1 10 -3 8.2 10 -5 3.4 10 -6 4.7 10 -8 3.0 10 -9 5.0 10 -10 2.8 10 -12 0.023
mixed 7.1 10 -1 1.0 10 -2 3.5 10 -4 1.1 10-5 5.1 10-7 2.4 10 -8 1.4 10 -9 7.5 10 -11 0.038
periodic 4.8 10 -1 1.5 10 -2 4.9 10 -4 1.6 10 -5 5.0 10 -7 1.6 10 -8 7.5 10 -10 1.6 10 -11 0.032
ARF, Averaged reduction factor
Galerkin approach (3.7.1). The pre- and post-smoothing are specified by

(5 a-c). Table 4.4.7 shows the errors 11 u~ - usll <fI obtained for the Poisson
equation L1 U = I in Q = (0, 1) x (0,1) with h s = l4' The boundary conditions,
the right side J, and the discrete solution Us are
Dirichlet: u = x 2 + y2 on r, 1=4, Us = x 2 + y2;

Neumann: Ux = 2x for x = 0,1, uy = 2y for y = 0,1, 1=4,
uS=X 2 +y2;
mixed: U = x 2 + y2 on r if x =!= 0, - ux + U = y2 if x = 0,
I = 4, Us = x 2 + y2;
periodic: u(x,O) = u(x, 1), uy(x,O) = uy(x, 1),
u(O, y) = u(l, y), uAO, y) = ux (1, y),
1= - 8.64 2 sin 2 (n/64) u 5, Us = sin(2nx) sin(2ny).
For the Neumann and periodic conditions the solution is determined up to a

constant. Concerning this problem we refer to Remark 12.1.5. The numerical
results show that the multi-grid convergence speed is rather improved by the
choice of other boundary conditions than made worse.
For numerical results ofEq. (6) with variable coefficients we refer to Hack-
busch [6], [8] and 10.2.2.
4.4.4 Further Poisson Solvers
The program MGOO (cf. Foerster-Witsch [1], [2]; also mentioned by

Stben-Trottenberg [2]) is very elose to program (2). The only difference is
that post-smoothing is also performed (e.g. Vi = 2, V2 = 1). Depending on the
version the nine-point restrietion is replaced by the 'half weighting' (3.8.8).
Ries-Trottenberg-Winter [1] and Winter [1] proposed a multi-grid program
(" MGR") which is especially adapted to Poisson's equation. Instead of the
standard coarsening (cf. Fig. 3.4.1) it uses the rotated grid of size h,- i = j2 h,
depicted in Fig. 3.4.3. One can exploit the following facts:

the Poisson equation can be discretised by the rotated five-point scheme;
the restrietion r becomes (r u) (x) = tu (x), X E 1- 1 , after a half Gau-Seidel
step on 0 1\1-1 (cf. Note 4.3.4 (i));
the prolongation p need not be performed if a half Gau-Seidel step on
01\01-1 follows (cf. Note 4.3.4(ii) and 3.4.4).
One V-cycle (v = 1, Y = 1) requires 12.75 x 1= 17 operations (cf. Ries-
Trottenberg-Winter [1, Table 2]). The three-grid convergence rate (involving h"
hl _ 1 =J2 hl , hl _ 2) equals 0.074; the five-grid rate is 0.093. Since IX ~ 7.2 this
MGR-version is more efficient than the previous programs.
Another multi-grid program of Wesseling will be described in 10.4.3.2. A
multi-grid Poisson solver with optimal performance on a special vector com-
puter is developed by Barkai-Brandt [1].
5. Nested Iteration Technique
5.1 Algorithm
Given some iterative process, the natural approach is to start with a more or
less accurate initial value u? and to perform several steps of the iteration. For
the multi-grid iteration the program would be
u,:= ur; (5.1.1)

for j:= 1 step 1 until i do MGM(I,u"J,);
The error of u, satisfies
11 u, - u, 11 0jJ ~ Ci 11 u? - u, 11 <VI (5.1.2a)
where Cis the contraction number of the iteration with respect to 11 . 11 <VI (cf.
(1.3.16b. In particular, the simplest choice ur
= 0 yields an estimate of the
relative error:
(5.1.2b)
In order to obtain a fixed (relative) error 6, one needs i ~ log(6)jlog(C) =
0(1 log (6)1) iterations. Often, 6 is not given in advance and one has to choose
a suitable value. Usually, it is useless to take 6 smaller than the discretisation
error (i.e. the difference between u, and the continuous solution u). Un-
fortunately, the quantitative size of the discretisation error is not known a
priori, but only its asymptotic behaviour O(hj) (fC consistency order). From
6 = O(hj) one concludes that i = O(llog(h,)I) iterations are required to obtain
an iterate u, with error of the size of the discretisation error. The corresponding
number of operations is O(n,llog(h,) I) = o(h,-d 1log (h,) 1).
The nested iteration described below (also called 'full multi-grid method',
cf. Brandt [12]) has several advantages:
(i) Although no apriori knowledge of the discretisation error 6disc is needed,
the nested iteration produces approximations u, with error 0(6disc).
(ii) The nested iteration is ehe aper than the simple approach (1). An approxi-
mation with error 0(6disc) is calculated by o (n,) operations.
5.1 Algorithm 99
(iii) Besides " the coarser-grid solutions ,_ 1 , ,_ 2, ... are also approximated
and are at one's disposal.
The nested iteration can be combined with any iterative process and has
often been used together with successive overrelaxation iterations. The idea is
to provide a good starting guess u? by means of iterating on the coarser grid.
The quasi-ALGOL formulation reads as follows:
nested iteration (5.1.3)
~
Uo-
r
.- L-0 1 JO, (5.1.3a)
Cor k: = 1 step 1 until I do
begin k: = Pk-l; (5.1.3b)
Cor i:= 1 step 1 uotil i do MGM(k,k,fk) (5.1.3 c)
end;
At each level k = 1,2, ... , I i iterations are performed. The starting value is
obtained from the coarse-grid approximation ,_ 1. P denotes some inter-
polation. From the programming point of view the optimal choice is P = p (p
from multi-grid algorithm), since no additional subroutine is needed. However,
interpolations P of higher order than p should be taken into considerations,
too, as pointed out in 5.2.
An appropriate choice of i is discussed in the next section. The same value
i can be chosen for all levels, since the contraction numbers of the multi-grid
iteration are bounded independently of the level 0 ~ k ~ I. The analogous
nested iteration, e.g., applied to the successive overrelaxation would require
increasing numbers i = ik
Finally, we mention three modifications of algorithm (3). The exact sol-
ution of L o Uo = 10 in (3 a) is not necessary. One may replace (3 a) by
~
Uo ~
L-0 1 JO
r (5.1.4a)
provided 11 o - Uo 11 'fI is small enough.

The second generalisation concerns the interpolation Pin (3 b). Sometimes,
simple high order interpolations can be found that employ the difference equa-
tion. We give an example for the discrete Poisson equation. From '-l at the
coarse-grid points (x, y), (x + 2h" y), (x, y + 2h,), (x + 2h" y + 2h,) one can
compute the value at (x + h" y + h,) by
'u,(x + h" y + h,):= HU'-l (x, y) + u,-dx + 2h" y) + ,-dx, y + 2h,)

+ ,-dx + 2h" y + 2h,)] + ihr j,(x + h" y + h,)
100 5. Nested Iteration Technique
according to the diagonal five-point formula (2 hl) -1 [-10 04 -1]0 ii 1 = fz.

- 1 0 - 1
The values of ii1 at the remaining grid points can be computed by the usual
five-point formula. This interpolation, which may be written
(5.1.4 b)
withp linear in (iik- 1,fk), is of orderfour. Cf. Kronj-Dahlquist [1], Hyman [1].
Thirdly, we mention that the number i in (3c) may be different for different
levels: i = ik Since most of the computational work is spent at levell, it might
be advantageous to choose i1 < i1- 1 = il - 2 = ... = i 1 (cf. 5.3).
5.2 Analysis of the Nested Iteration
The nested iteration (1.3) requires the specification of the iteration number i.
The following analysis suggests how to choose i. It will often turn out that i = 1
is satisfactory.
Let (k be the contraction number of the multi-grid iteration employed at
level k:
(5.2.1 )
(cf. (1.3.16)). As pointed out before, the numbers (k are uniformly bounded by
some ( < 1. Set
(:= max (k (5.2.2)
1;;;; k;;;; I
where 1 is the maximum level from (1.3).

The discretisation error is the (suitably defined) difference between the
discrete solution Uk = L; 1 fk and the continuous solution u. The difference
between Uk and Uk-1 = L;:l fk-1 is often called the relative discretisation error
(error of Uk - 1 relative to Uk)' We may estimate it by
(5.2.3)
For a proof of (3) see Exercise 5.7.1. Note that the exponent K in (3) depends
on the (relative) consistency order and on the interpolation order of p. There-
fore, we are led to
Note 5.2.1. The interpolation order of p should at least equal the (relative)
consistency order.
Consider the standard case of a second order discretisation (K = 2) of a
second order differential equation (2m = 2). By Note 5.2.1,p should be at least
piecewise linear. Hence, p may coincide with the standard prolongation of
3.4.2.
5.2 Analysis of the Nested Iteration 101
To indicate the levels involved we write P = Pk-k-l' Let 11 11 "'_'" be

defined as in 1.3.2 and set
(5.2.4a)
Together with
C 2l := max (hk-dhk)1< (5.2.4b)
1 ;;;k;;;1
we define the constant

C2 := C 20 C2l (5.2.4c)
Note 5.2.2. In Exercise 5.7.2 it will be shown that C 20 = 1 for the most frequent
choices of P and 1111",. Moreover, C 21 = 21< holds for the usual sequence
hk = ho /2 k Hence, the value of C2 is well-known: C 2 = 21<.
These values are sufficient to describe the errors of the results of the nested
iteration (1.3).
Theorem 5.2.3. Assurne (3) and
C2 Ci < 1 (5.2.5)
with C 2 from (4a-c), Cfrom (2), and i from (1.3c). Then the nested iteration
(1.3) with i multi-grid iterations per level results in Uk(O :;;;; k:;;;; I) satisfying the
error estimate
lIuk - ud",:;;;; C 3 {C,i) Cl h'k (o:;;;; k:;;;; I) (5.2.6)
where Uk = L-'; 1 h. and
C3 {C,i):= Ci /{l - C2 Ci). (5.2.7)
Proof (6) holds for k = 0 because Uo = uo. Let (6) be valid for k - 1. Denote the
iterates of (1.3 c) by ul, j = 0, ... , i. The definition of ( implies
11 Uk - Uk 11 '" = 11 u~ - Uk 11 '" :;;;; Ci 11 U~ - ud '"
The starting guess is u~ = ft Uk _ 1 Its error can be estimated by

11 u~ - Uk 11 '" = 11 PUk - 1 - Uk 11 '" = " 1ft Uk - 1 - Uk] + P[Uk - 1 - Uk - d 11 '"
~ IIp u k-1 - ud", + IIp 11",<-", lI uk-1 - Uk-1 11",
From (6) (for k - 1 instead of k) and (4 b) we conc1ude that
I uk-1- uk-111",:;;;; C3 (C,i) C1h'k-I:;;;; C3 (C,i) C 21 Clh'k.
The last three inequalities together with (3) and (4a) yield
11 Uk - Uk + C20 C21 C3 (C, i) Cl h'k]
11",:;;;; Ci [Cl h'k
= [1 + C2 C3 (C,i)] CiClh'k = C3 (C,i) Clh'k
proving that if (6) holds for k - 1, then it also holds for k. o
Similar results for the modifications (1.4a) and (l.4b) are discussed in
Exercises 5.7.3-4.
Theorem 5.2.3 ensures that the errors at all levels k = 0, 1, .... , 1differ from
the (bound of the) relative discretisation error Cl hk only by a factor C 3 (C i)
which is well-known because of Note 5.2.2. The only condition on i is (5),
C 2 (i < 1. The nested iteration is as cheap as possible if i = 1 satisfies (5). With
C 2 = 2" from Note 5.2.2 this condition becomes 2" ( < 1. Assuming, in addi-
tion, the standard ca se of K = 2, we obtain
i.
Note 5.2.4. Assurne C 2 = 4 and ( < Then the estimates (6) ofTheorem 5.2.3
hold for i = 1 (only one multi-grid iteration per level).
Even if the condition C 2 (i < 1 is viola ted, the nested iteration produces
reasonable results Uk as studied in Exercise 5.7.5, but the error is no longer
proportional to the relative discretisation error Cl hk.
Hitherto, the errors 11 Uk - Uk 11 "iJ were compared only with the relative
discretisation error. To get a realistic comparison with the (usual) discretisation
error, ass urne an error expansion
(5.2.8)
(cf. Pereyra [2]) where (Rku) (x) = u(x) (x E Qk) is the trivial restriction of the
continuous solution U to the grid Qk' The function e is assumed to be indepen-
dent of k. The interpolation of Uk-l by ji yields
jiU k- l = jiRk-du + hk-le) + o(hk- l ) = Rk(u + hk-le) + o(h k),

if the order of interpolation exceeds K. Hence, the relative discretisation
error is
IljiUk-l - Uk 11 "iJ = (hk- l - hk) 11 Rke 11 "iJ + o(hk).

For hk - l = 2h k the constant Cl of inequality (3) equals almost max {(2" - 1)
11 Rke 1I"iJ: 1 ~ k ~ I}. One can prove
Theorem 5.2.5. Assurne the validity of expansion (8), let the interpolation order
of ji exceed K, and suppose hk - l = 2h k Under condition (5), C 2 (i < 1, the
results Uk of the nested iteration (1.3) satisfy
(5.2.9)
with C4 (Ci) = (2" - 1) C 3 ((,i) = (2" - 1) (i/(1 - C 2 (i).

Since hk 11 Rk e 11 "iJ + 0 (hk) is the discretisation error, estimate (9) may be
interpreted to mean
iteration error ~ C 4 ((, i) * discretisation error.
For K = 2 and C 2 = 2" = 4 (cf. Note 5.2.2) the factor C 4 (C i) = 3 (i/(1 - 4(i) is
listed in Table 5.2.1. i = 1 may be chosen if ( < i (cf. Note 5.2.4).
5.3 Computational Work and Efficiency 103
Table5.2.1. Factors C 4 ((,i) for i = 1,2,3

( C 4 ((,1) ( C 4 ((,2) ( C 4 ((,3)
0.200 3.00 0.44 2.57 0.60 4.76

0.182 2.00 0.40 1.33 0.58 3.00
0.175 1.75 0.38 1.00 0.57 2.00
0.143 1.00 0.33 0.60 0.52 1.00
0.100 0.50 0.30 0.42 0.50 0.75
0.071 0.30 0.25 0.25 0.46 0.50
0.053 0.20 0.20 0.143 0.40 0.25
Typical values of multi-grid contraction numbers are ( ~ ~ ~ 0.143 yielding

C4 (, 1) ~ 1.0. Hence the iteration error uk - U k is ofnearly the same size as the
discretisation error. If ( > 0.18 one should choose i = 2.
Theorem 5.2.5 entails a higher interpolation order of jJ. Otherwise, the
interpolation error, say W k hk = 0 (hk)' is superposed on hk Rk e and the maxi-
mum in (9) becomes max {li Rke 11"11 + 11 Wk 11 "11/(2" - 1): 1 ~ k ~ I}. But often
11 W k 11"11 ~ (2" - 1) 11 Rk e 11"11 will be valid so that inequality (9) still holds ap-
proximately.
Although the estimate (9) seems to be very favourable, it is too pessimistic
for some cases. Assurne the expansion (8) with E k = O(hk), r > K, and let the
interpolation order of jJ be r. Then
(5.2.10)
holds with ek = (hk-1/h k - 1) Rke. Denote the multi-grid iteration matrix

by M k (cf. (1.3.2)). By definition of (, 11 Mkek 11"11 ~ ( 11 ek 11"11 is valid. How-
ever, in regular cases the function ek is smooth and the coarse-grid cor-
rection might yield 11 Mkeki!"II = O(hk-"). Then the condition (i C~ < 1
(C~ = C20C~1,C~1 = max(hk_1/hk)t) implies
(5.2.11)
i. e. the iteration error is of even better order than the discretisation error.
5.3 Computational Work and Efficiency
The computational work of one multi-grid iteration at level k is approximately
lfk = (vCs + CD + Cd nk/(l -.9) (.9 = YC H < 1)
as can be seen from (4:3.5), when the term 0(.91) is neglected. The inequality
nk-l ~ C H nk yields lfk ~ C};k Jtl (1 ~ k ~ 1). Hence, the computational work
of the nested iteration (1.3) equals

1 i
i W1 + i W2 + ... + i W; ~ i L Ck- k W; < 1 C W;.
k=l - H
Here we do not take into account the solution of L o Uo = 10 and the work
required by p, since both are much less than the work taken by the iterations.
Note 5.3.1. The nested iteration (1.3) with i iterations per level is only more
expensive than the simple iteration (1.1) by a factor 1/(1 - CH)' In the two-
dimensional case (d = 2) with hk _ 1 = 2 hk , this factor equals 1; hence the total
work of the nested iteration is less than
4 16
"3iW;=3(4_y)i(vCS+CD+Cdn" (5.3.1)
The factor 16/[3(4 - y)] equals 1.78 for y = 1 (V-cycle) and 2.67 for y = 2
(W-cycle).
One concludes that an approximation U, with an error 0 (h'[) can be ob-
tained by only O(n,) operations (instead of O(n, Ilog h,j) for iteration (1.1.
What choice of i is optimal? The answer depends on the desired accuracy
and on (. Assurne for instance that one aims to obtain C4 (, i) = 1, i.e.
11 u, - U, 11 dJJ ~ discretisation error. This may be difficult for certain values
of (. Consider e. g. (= 0.2. From Table 5.2.1 we see that i = 1 yields

C 4 (0.2, 1) = 3 ~ 1, whereas i = 2 gives C 4 (0.2, 2) = 0.143 indicating that U, is
more accurate than necessary. A compromise is the choice of different i's at
different levels: i, = 1, i,- 1 = i,_ 2 = ... = i 1 = 2. As shown in Exercise 5.7.6 the
corresponding factor C4 at level I equals 0.714 which is fairly dose to 1. The
computational work of the nested iteration is 1W; for i = 1, ~ W; for i = 2, and
only i W; for i, = 1, i - 1 = ... = i 1 = 2.
'
5.4 Nested Iteration with Extrapolation
In 5.2 we used an asymptotic expansion

Uk = Rku + h'kRke + o (h1)' r > K, (5.4.1 )
to obtain quantitative estimates of the discretisation error. On the other hand
an asymptotic expansion (1) with e independent of hk enables us to apply
Richardson's extrapolation (cf. 14.1). An obvious strategy would be as
follows: Compute Ub 0 ~ k ~ I, by the nested iteration (1.3) and extrapolate to
h = O. However, Richardson's extrapolation needs Uk with errors Uk - Uk not
exceeding the remainder O(hk) of (1), whereas Uk - Uk = O(h'k) (cf. The-
orem 5.2.5). A remedy would be to perform i' - i further iterations with i' such
that (i' - i ~ const * hl- K (l: fixed highest level), Then the iteration errors are of
5.4 Nested Iteration with Extrapolation 105
the same order 0 (hk) but may still be of a different size to the remainder in (1).
The same situation arises in the case (2.11).
In the following we describe a modified nested iteration that yields iteration
errors of the size of the remainder in (1). The algorithm uses an extrapolation
to the finer grid size.
Assurne Qk-2 c: Qk-1 c: Qk and hk - 2 = 2h k - 1 = 4hk . For every XE Qk-2
the expansion (1) implies
2K -1
Uk(X) = Uk-1 (x) + 4 K _ 2K (Uk- dx) - Uk-2 (x + O(hk). (5.4.2)
Kronsj and Dahlquist [1] proposed to use the successive overrelaxation

within a nested iteration based on (2). The algorithm is similar to (1.3),
nested iteration with extrapolation (5.4.3)
--L-
Uo - 0 )0'r. U1
1 -.. = L-1 f' 1
1, (5.4.3a)
for k: = 2 step 1 until I do
begin Uk: = 1t (Uk-1 , Uk- 2); (5.4.3 b)
for j:= 1 step 1 until i do MGM(k,Uk,h) (5.4.3 c)
end;
where the extrapolation is hidden in 1t. Several suggestions for the choice of 1t
will be given below. For simplicity only the exact solutions are required in (3 a).
The difficulty of describing the extrapolation 1t is caused by the fact that
formula (2) applies to x E Qk- 2 only, whereas Uk has to be defined for all x E Qk'
The first version of 1t is based on an extrapolation on Qk-2 followed by an
interpolation A~k- 2 from level k - 2 to k:
__ )
(Uk-1' - [ __ 2K -1( __ -)]
1t Uk-2 := Pk+-k-2 rUk-1 +4 K _ 2K rUk-1 - Uk-2 . (5.4.4)
f is the trivial injection onto Qk- 2 c: Qk-1' The values of Uk-1 at

XE Qk-1 \Qk- 2 are not involved in (4) but are used in
1t(Uk-1, Uk-2): = A+-k-1 [Uk-1 + :KK ~ ;K (Uk-1 - A-1 +-k-2 Uk-2)]. (5.4.5)
An intermediate formula is
1t(Uk-1, Uk-2):= Pk+-k-1 [ Uk-1 + 42K -

K _
1 -
2KPk-1+-k-2(fuk-l - Uk-2) ,
]
(5.4.6)
where P and p are distinguished because of the following note:
Note 5.4.1. In order to guarantee 1t(Uk-l, Uk-2) = Uk + O(hk), the inter-

polation order of p in (4-6) must be at least T, whereas the order of p has to
be ~ T - K.
For instance, when of K = 2, T = 4 one should use linear interpolation p

and cubic interpolation p. Again, the interpolation p can be replaced by the
more general procedure (1.4 b) (cf. "Experiment B" ofKronsj-Dahlquist [1]).
The counterparts of the assumptions (2.3), (2.4a-c) are
11 Uk - 1t (Uk - I , Uk - 2) 11 'PI ~ CI h" (2 ~ k ~ I), (5.4.7)

C 20 := max (hk-I/hk)', (5.4.8 a)
2;;; k;;; 1
C 21 := max 111t11l'PI~'PI' C 22 := max 111t211'P1~'PI' (5.4.8b)

2;;;k;;;1 2;;;k;;;1
(5.4.8c)
where 1t 1 and 1t2 are defined by 1t(Vk - l , Vk-2) = 1t 1 Vk-I + 1t2 Vk-2.
As in Note 5.2.2 we obtain
(5.4.9)
in the standard case. For the most frequent pairs (K, T) the value of C 2 is
C 2 = 14(K = 1, T = 2), C 2 = 26(K = 2, T = 3), C 2 = 84(K = 2, T = 4).

(5.4.10)
The first and third case correspond to discretisations by unsymmetric and

symmetrie difference formulae, respectively. An expansion with K = 2, T = 3
appears ifunsymmetric formulae are used only at points near the boundary (cf.
Meis-Marcowitz [1]).
The following theorem guarantees iik = Uk + o (hk) if i > log(C 2 )/llog(C)I.
Theorem 5.4.2. Let CI and C 2 be defined by (7) and (8). Choose the number i
in (3c) such that (2.5), C 2 Ci< 1, holds. Then the nested iteration (3) results in
approximations Uk satisfying
11 iik - Uk 11 'PI ~ C 3 (C, i) CI h" (0 ~ k ~ I) (5.4.11)
with C 3 (C,i) = Ci /(1 - C 2 Ci ) as in (2.7).

The proofis similar to that ofTheorem 5.2.3. The values (10) show that C 2
is much larger than in the case of the nested iteration (1.3) without extrapo-
lation. Accordingly, the iteration number i must be larger. i = 1 works only for
very fast multi-grid iterations (e.g. C < I~ in the case of 2K = T = 2).
Using iik for extrapolation to h -+ 0 one obtains approximations of accu-
racy O(hk). The computational work is still O(nk) since i is independent of k.
5.5 Numerical Example 107
5.5 Numerical Example
We apply the nested iteration (1.3) to the Dirichlet problem

- LI u = 3 y/(x + 1) - y3/(X + 1)3 in Q = (0,1) x (0,1),
(5.5.1)
U = 0.5 y 3/(X + 1) on r.
The multi-grid iteration MGM in (1.3c) is chosen as program (4.4.2) with
v = y = 2. In Table 5.5.1 we present the results of the nested iteration, where ft
is the cubic interpolation (3.4.6/7) in the interior and the quadratic inter-
polation (3.4.8) near the boundary. To illustrate the development of the iter-
ation errors 11 u{- Uk 11 1ft, the total errors 11 u{- U 11 1ft and the discretisation
error 11 Uk - U 111ft are displayed (Uk: exact discrete solution; 11 111ft: Euclidean
norm; U = 0.5 y3/(X + 1): exact continuous solution). u{ are the intermediate
results from (1.3c): u~ equals Uk from (1.3b), while u~ is the final result Uk of
(1.3c).
The rate of the multi-grid iteration is {! ~ 0.07 (cf. Table 4.4.2) but the
iteration errors indicate a contraction number '~0.1. According to
Table 5.2.1 the nested iteration with i = 1 should yield U, with an iteration error
being half of the discretisation error. The asymptotic behaviour is confirmed by
the results for h = i4' i = 1 (iteration error: 2.59 10 - 7, discretisation
Table 5.5.1. Nested iteration with cubic interpolation ft for Eq. (1)
nested iteration with i = 1 nested iteration with i = 2
hk total iteration discr. total iteration
error error error error error
1 { - U 11q, lIuL-ukllq, 11 Uk - U 1Iq, lIuL-ullq, lIu' - ukllq,
1
2' uo 1.45 10 - 4 0 1.45 10 - 4 uo 1.45 10 - 4 0
1
4 u1
~O
9.85 10 - 3 9.81 10 - 3 8.81 10 - 5 u1
~O
9.85 10 - 3 9.81 10 - 3
~I
UI 3.06 10 - 4 2.59 10 - 4 ~I
U1 3.06 10 - 4 2.59 10 - 4
u1
~2
9.04 10 - 5 4.14 10 - 6
1 -0
U2 1.15 10 - 3 1.14 10 - 3 2.64 10 - 5 jfl2 9.98 10 - 4 9.89 10 - 4
8
u-I2 1.21 10 - 4 1.08 10 - 4 u2
~I
9.34 10 - 5 8.00 10 - 5
u2
~2
2.86 10 - 5 4.62 10 - 6
1
16
~O
U3 1.75 10 - 4 1.72 10 - 4 6.89 10 - 6 ~O
U3 1.00 10 - 4 9.77 10 - 5
-I
U3 2.00 10 - 5 1.70 10 - 5 ~I
U3 1.22 10 - 5 8.71 10 - 6
u-23 6.98 10 - 6 4.65 10 -7
1
32
~O
U4 2.37 10 - 5 2.29 10 - 5 1.74 10 - 6 ~O
U4 1.13 10 - 5 1.02 10 - 5
u4
~I
2.93 10 - 6 2.19 10 - 6 ~I
U4 2.01 10 - 6 8.34 10 -7
u-24 1.74 10 - 6 4.14 10 - 8
1 jfl5 3.16 10 - 6 2.91 10 - 6 4.36 10 -7 -0
U5 1.91 10 - 6 1.52 10 - 6
64
-I
u5 5.14 10 - 7 2.59 10 - 7 u5
~I
4.47 10 - 7 7.62 10 - 8
~2
Us 4.36 10 - 7 4.03 10 - 9
error: 4.36 10 - 7). The right part of Table 5.5.1 shows that the choice i = 2
yields hardly better results with respect to the total error.
Table 5.5.2 contains the analogous results for the linear interpolation p in
(1.3 b). With i = 1 one obtains a very accurate result, however the iteration
error is still larger than the discretisation error by a factor of 10 at least. To
make both errors nearly equal, one has to choose i = 2. That the linear inter-
polation p requires i = 2 is due to the fact that the interpolation error
11 pU k - 1 - Uk 11 dfI is much larger than the discretisation error 11 Uk - 1 - U 11 dfI. The
choice i = 1 suffices to ensure 11 Uk - U 11 dfI = 0 (hD, but two iterations are
needed to reach the size of the discretisation error. The ratio of the inter-
polation and discretisation errors depends on the problem. A slight change of
Eq. (1) yields
- LI U = 3 y j(x + 0.1) - y3 j(x + 0.1) 3 in Q = (0, 1) x (0, 1),
(5.5.2)
U = 0.5 y3 j(x + 0.1) on r.
Then the interpolation error 11 PUk-l - Uk 11 dfI is comparable with the discretisa-
tion error 11 Uk - 1 - U 11 dfI and the choice i = 1 suffices for the nested iteration as
can be seen from Table 5.5.3.
In (3.1) we described the number of operations neglecting the interpolation
p. Because of the following smoothing step the additional work of P can be
Table 5.5.2. Nested iteration with linear interpolation p for Eq. (1)
nested iteration with i =1 nested iteration with i =2
hk total iteration discr. total iteration
error error error error error
Il{ - ulI.,.. 11 { - Uk 11.,.. Iluk - U 11.,.. lI! - ull.,.. lIi-ukll",
1
"2 o 1.45 10 - 4 0 1.45 10 - 4 o 1.45 10 - 4 0
1
4 u-01 2.23 10 - 2 2.23 10 - 2 8.81 10 - 5 u-01 2.23 10 - 2 2.23 10 - 2
-1
U1 1.57 10 - 3 1.49 10 - 3 u-11 1.57 10 - 3 1.49 10 - 3
u-21 1.72 10 - 4 9.16 10 - 5
-0
1
"8
-0
u2 7.26 10 - 3 7.24 10 - 3 2.64 10 - 5 u2 6.49 10 - 3 6.47 10 - 3
u-12 6.19 10 - 4 5.98 10 - 4 u-12 5.13 10 - 4 4.92 10 - 4
u-22 5.23 10 - 5 2.86 10 - 5
1
16 u-03 2.10 10 - 3 2.09 10 - 3 6.89 10 - 6 u-03 1.73 10 - 3 1.73 10 - 3
u-13 1.34 10 - 4 1.30 10 - 4 u-13 1.03 10 - 4 9.91 10 - 5
u-23 9.89 10 - 6 4.91 10 - 6
1
TI ifJ4 5.18 10 - 4 5.17 10 - 4 1.74 10 - 6 ifJ4 4.45 10 - 4 4.43 10 - 4
-1
U4 2.59 10 - 5 2.54 10 - 5 u-14 1.87 10 - 5 1.82 10 - 5
u-24 2.02 10 - 6 8.52 10 - 7
-0 -0
1
64 Us 1.24 10 - 4 1.23 10 - 4 4.36 10 - 7 Us 1.12 10 - 4 1.12 10 - 4
-1 -1
Us 4.81 10 - 6 4.76 10 - 6 Us 3.32 10 - 6 3.25 10 - 6
-2
Us 4.63 10 - 7 1.47 10 -7
5.6 Comments 109
Table 5.5.3. Nested iteration (i = 1) with linear interpo-

lation for Eq. (2)
hk total iteration discr.
error error error
11u{ - ull", lIut - ukll", lIu k - U 11",
1 uo 4.11 10 - 2 0 4.1 10 - 2
2"
1 u-01 1.22 10 - 1 5.71 10 - 2 7.1 10 - 2
4
u-I1 7.53 10 - 2 5.29 10 - 3
1 -0
U2 1.26 10 - 1 8.10 10 - 2 4.7 10 - 2
"8
u-1
2 5.40 10 - 2 8.33 10 - 3
1 UO3 7.70 10 - 2 5.92 10 - 2 1.8 10 - 2
16
u-13 2.27 10 - 2 5.37 10 - 3
1 -0
U4 3.11 10 - 2 2.60 10 - 2 5.5 10 - 3
TI
u-14 6.70 10 - 3 1.99\0 - 3
1 -0
Us 9.35 10 - 3 8.11 10 - 3 1.4 10 - 3
64
-1
Us 1.65 10 - 3 5.18 10 - 4
Table 5.5.4. Operation count for nested iteration (1.3) with

2 program (4.4.2) (v = )' = 2)
jj: linear 45~ 89~
jj: cubic 47~ 91~
reduced to 1 operation (ft: linear), or 2.5 operations (ft: cubic) per grid point.
The resulting operation numbers (per grid point of the finest grid Dl ) of the
nested iteration (1.3) using program (4.4.2) with v = y = 2 are listed in
Table 5.5.4. We recall that program (4.4.2) is not optimal. With other multi-grid
iterations (cf. 4.4) smaller operation counts can be achieved.
5.6 Comments
In 5.1 we clearly distinguished the simple iteration (1.1) from the nested
iteration (1.3) and proved different error estimates. However, a paradox arises
in Exercise 5.7.7 which shows that one multi-grid iteration can be regarded
as nested iteration and vice versa. The solution of this problem is hidden in
the following considerations.
The iteration (1.1) requires the right-hand side f, at level 1 only and the
matrices L k , 0 ;;;; k ;;;; I, whereas the nested iteration needs in addition the
right-hand sides h for k < I. Therefore, a problem arises if the system LI UI = f,
is only given at level I. In 3.7 the construction of coarse-grid matrices L k (k < l)
is studied. What!k should be used for k < I? The obvious definitionf,_l = rf"
t 10 5. Nested Iteration Technique
= r}; _ 1 , is possible for homogeneous boundary conditions. Otherwise,

}; _ 2
the nested iteration does not yield the desired accuracy. This is due to the
violation of condition (2.3). The right-hand side }; can be written as
}; = R? fn + Rf fr (fn, fr from (3.1.1/2, where R? and Rf are implicitly
given by the discretisation. A possible choice of fk (k < 1) would be fk =
R~ fn + Rf fr, where fn and fr are condensed separately. r Rf fr is not a
correct approximation to Rf- 1 fr. The reader may construct simple examples
to verify this fact. Hence r}; cannot serve as }; _ 1 in the nested iteration.
5.7 Exercises
Exercise 5.7.1. Define the discretisation error by Rku - uk> where R k is some
(possibly weighted) restriction onto the grid 0k' Assurne some f such that
R k- 1 = f R k , and define the interpolation error of ft by ft f Uk - Uk' Show that
11 Rku - ud'W = O(hk), 11 ft 11 'W"''W = 0(1), 11 ftfUk - Uk 11 'W = O(hk)
(le consistency order; 1": interpolation order) imply

Ilftuk-l - ukll'W ~ Clhl;'in(IC,t)
for the sufficiently smooth solutions U and Uk of the continuous and discrete
problems.
Exercise 5.7.2. Let 0, be the infinite grid {(vh" J1.h,): v,J1. E Z}, h'-1 = 2h" and
define the Euclidean norm by 11 U, II'W = [hll: n , 1u,(x, y) 12 ] 1/2. The piecewise (i)
bilinear, (ii) biquadratic, and (iii) bicubic prolongations ft are defined as follows.
F or all (x, y) E 0,_ 1 the grid function v, = ft v,_ I coincides at (x + V h" y + J1. h,)
(v,J1. = 0,1,2) with the polynomial v(e, '1) = L a.. p e"'1 P interpolating V'-l at
(e, '1) E 0'-1 subject to ",p~a
e
(i) x ~ ~ x + h,_ 1 , Y ~ '1 ~ Y + h,_ I with (i = 1,
e
(ii) x ~ ~ x + 2 h,_ I , Y ~ '1 ~ Y + 2 h,_ 1 with (i = 2,
e
(iii) x - h'-l ~ ~ x + 2h'-I' Y - h'-l ~ '1 ~ Y + 2h'-1 with (i = 3,
respectively. Prove 11 ft 11 'W"''W = 1 for all the cases (i), (ii), (iii).
Hint. The assertion can be reduced to the one-dimensional case.
Exercise 5.7.3. Consider the nested iteration with (1.3a) replaced by (1.4a).
Show:
o,
(i) If 11 ao - Uo 11 'W ~ C 3 (c, i) Cl h the estimate (2.6) is still valid.
(ii) If 11 ao - Uo II'W = C 3 (c, i) Cl ho+ 0, 0 > 0, inequality (2.6) has to be re-
placed by
Ilak - ukll'W ~ C 3 (,i) Clhk + (C 20 (i)k O (0 ~ k ~ I)
with C 20 from (2.4a).
5.7 Exercises 111
(iii) (2.5) implies (C 20 (i)k = o(hk). In the standard case of C 20 = 1, C 2l = 2\

this term equals O(hn with (j = i Ilog2(OI > K.
Exercise 5.7.4. Consider the nested iteration with (1.3b) replaced by (l.4b).
Show that Theorem 5.2.3 remains valid if C 20 is defined by
C 20 : = max sup 11 ft(Vk-l, 0) 11 'filii Vk- l 11 'fI
l~k~1 Vk-l*O
and if inequality (2.3) is replaced by

Ilft(uk-l,fk) - ud'fl ~ Clh'k (1 ~ k ~ I).
The following exercise studies the case where the condition C 2 (i < 1 of
Theorem 5.2.3 is viola ted.
Exercise 5.7.5. Assurne (2.3), hk - l = 2h k , and 1 ~ C 2 (i < 2" = C 2l . Prove the
following estimates of the results of the nested iteration (1.3):
if C 2 (i = 1 (0 ~ k ~ l),
Iluk-ukll'fl~Ck(iClhk if 1 < C 2 (i< 2",
where oe = K -log2(C 2(i) > 0, Ck = ho-~ min{1/(C 2 (i - 1), kl(C 2 (i)}.
Exercise5.7.6. Replace the number i in (1.3c) by ik Prove: If i,- l = i,- 2 =
... = i l , the Theorems 5.2.3 and 5.2.5 remain valid for k < 1 with i: = i,- I .
For k = 1 the factors C 3 and C4 must be replaced by C* (, i" i,_ d =
C*(,i,- 1 ) (i/-i/- 1 (* = 3,4).
Exercise 5.7.7. (i) Consider the following iteration: Given the problem
L, w, = g, and an approximation w{, apply the nested iteration onto L, u, =
j,: = L, w{ - g, with suitably defined fk: = rk+-d, and set w{ + I : = w{ - U,. Show
that the nested iteration can be regarded as one step of this iteration applied
to w? = O.
(ii) Modify the nested iteration (1.3) as follows: Let MGM be the multi-grid
iteration (4.1.1) with post-smoothing only (i.e. VI = 0, V2 > 0) and with y ~ 1.
Take ft = p (p from (4.1.1 e)), i = y - 1 (i = 0 permitted), and precede (1.3 c) by
uk:= ~V2(Uk,fk)' The mapping Yk+-I mentioned in (i) is defined by r,-I+-I = r,
rk +- I = rrk+ 1 +-1 (r from (4.1.1 c)). According to (i) the modified nested iteration
gives rise to a new iteration. Prove: The generated iteration is the same multi-
grid iteration (4.1.1).
6. Convergence of the Two-Grid Iteration
6.1 Sufficient Conditions for Convergence

6.1.1 The Two-Grid Iteration Matrix
The two-grid iteration TGM(v,.v 2 ) from (3.2.2) is a linear iteration having a
representation (1.3.2),
.+ 1 . jj
u[ =M,u[+N'l>
where the iteration matrix M, depends on the numbers V1 and V2:
M, = M,(v t , V2)'
We recall that SIv) are the iteration matrices of the smoothing procedures
~(v). SIV) = Sr" holds if ~(V) is the v-fold application of ~. U sing Exercise 1.5.1
one proves
Lemma 6.1.1. a) The two-grid iteration matrix equals
M,(v l , V2) = SIv 2 ) (I - pLI_lI r L,)SIv'). (6.1.1)
b) If the solution of L, u, = jj is a fixed point of ~(v), i.e.
~(V) (Ul> jj) = u, for L, u, = jj, v ~ 0, (6.1.2)
then it is also a fixed point of the two-grid iteration.
The two-grid iteration converges if and only if e(M,(v l , v2 < 1 (cf.
Lemma 1.3.1). In Exercise 2.7.7 we have already proved the following note.
Note 6.1.2. If SIV) = S,v, the spectral radius e(M,(Vl' V2 depends on
v:= VI + vz, only. In particular, e(M,(v 1 , vz = e(M,(v holds, where
M,(v):= M,(v,O). (6.1.3)
Unfortunately, knowledge of the two-grid spectral radius does not help to
determine the multi-grid spectral radius. For this reason we need norm es-
timates.
Let o/i, be the vector space of the grid functions u, endowed with the norm
11 11", For instance, 11 11", may be the Euclidean norm generated by the scalar
product (3.5.2). In addition, we introduce the vector space $1i consisting of the
6.1 Sufficient Conditions for Convergence 113
grid functions fi equipped with the norm 11 . II. The standard case will be
Oll, = ff" 11 1I'fI = 11 II = 1 . 10: = Euclidean norm. The associated matrix
norms 11 . 1I'fI +- 'fI, 11 . II +- 'fI, etc are defined in 1.3.
6.1.2 A Factorisation of M,
The calculation of e(M,) or 11 M,II'fI +- 'fI is rather involved even in simple model
cases (cf. 8). Nevertheless, a fruitful analysis can be based on a suitable factor-
isation of M"
First we concentrate on the case of V 2 = 0 (i.e. only pre-smoothing; cf. (3)).
We split M, into the factors
M,(v) = [Li I - pLi-\ r][L,S{')] (6.1.4)
and conclude that
11 M, (v) 1I'fI +-'fI ~ IILi l - pLi-\rll'fl+- 11 L,S{v)11+-'fI (6.1.5)
(cf. (1.3.12a)). The factorisation M, = [1 - p Li-\ r L,] . S{v) might seem more
natural. It leads to the es ti mate
(6.1.6)
with a further norm 11 . II-r on Oll,. However, the approaches (5) and (6) are
equivalent when 11 . II and 11 . II-r are connected by
11 fi II = 11 Li l fi II-r or 11 ulll-r = 11 LI u,II
We prefer the factorisation (5) since for standard problems it allows one to
choose 11 . 1I'fI and 11 . II as the simple Euclidean norm.
Usually, the right-hand side of inequality (5) is larger than the left-hand
side, so that we obtain somewhat pessimistic estimates. However, for an appro-
priate choice of 11 . II the estimate becomes arbitrarily sharp, since
11 MI 1I'fI +-'fI = inf IILi l - pLi-\ rll'fl+- IILIS1V)II+-'fI
li-li ...
holds for the infimum taken over all norms (cf. Exercise 6.6.2).
6.1.3 Smoothing and Approximation Properties
The second factor 11 L, S{v) II +-'fI in (5) has already been discussed in 2.6.3. It
describes how effectively 9/(V) is smoothing. The sm aller the other factor
11 Li l - pLi_lI r 11 'fI +- , the better the coarse-grid solutions approximate UI'
Hence, the two essential parts of the two-grid iteration, namely the smoothing
step and the coarse-grid correction can be analysed separately.
Extending the definition (2.6.6) we expect the estimate 11 L, S{V) II +- 'fI
~eL(v)IILzll+-'fIwithedv)--+Oasv--+CX).IfIIII'fI= 11IIandiftheelliptic
equation is of order 2m (cf. Eq. (3.1.6)), the factor 11 L,II +- 'fI is at least of order
o (h,-2m). But even a simple scaling 11 II = M11 . 1I'fI can change the exponent.
In the sequel we shall replace 11 LIII +- 'fI by 0 (h,-a).
114 6. Convergence of the Two-Grid Iteration
Definition 6.1.3. Let 11 11 ... and 11 11.,. be given. S/O) is said to possess the
'smoothing property' if there exist functions 11 (v) and ii(h) and a number IX
such that
11 L, S/O) 11.,. +- ... ~ 11 (v) h,- a for all 1 ~ v < ii(h,), 1 ;,;;; 1 , (6.1.7 a)
l1(V) ..... O as v"'" 00, (6.1.7b)
ii(h)=oo or ii(h) ..... oo as h ..... O. (6.1.7 c)
The functions 11 and ii are independent of 1 or h,. The condition
11 L, S/o) 11.,. +- ... ~ 11 (v) h,- a for all v ;,;;; 1, I;';;; 1, (6.1.7 a')
is described formally by ii(h) = 00. Replacement of 11 11.,. by hf 11 11.,. proves
Note 6.1.4. By a suitable scaling of 11 11.,. one can achieve IX = O.
Lemma 6.1.5. Suppose L, to be non-singular and S/O) = S,v. Then (7 a') and (7 b)
imply that 91 is a convergent iteration for all 1;,;;; 1.
Proof. 11 SI) 11 ... +-", ~ 11 L, I II ... +-.,. 11 L, S/") 11.,. +- ... ~ Cl 11 (v) ..... 0 (v ..... (0) and
e(S,) = inf IIS1)IW: ... prove e(S,) < 1 for all I. 0
By Lemma 6.1.5 the estimate (7 a') cannot hold for divergent iterations f/{;
nonetheless, there are divergent iterations which are applicable as a smoothing
iteration. Therefore, the more general condition (7 a) is needed.
Note that in general the estimate of L,St by IIL,S,vII.,.+-",~
IIL,II.,.+- ... IIS,vII",+-", does not imply (7a,b). For all S, from 3.3 there is no
better bound on 11 S,ll ... +- ... than 1 - c hf ( > 0) yielding 11 (v) = C (1 - c hf)".
But 11 has to be independent of I; hence, 11 (v): = C sup (1 - c hft = C is the
lowest uniform bound, but violates (7 b). I
The other factor in (5) is considered in

Definition 6.1.6. The 'approximation property' holds if there is some constant
CA such that
IIL, I - pL ,_\ rll ... +-.,. ~ CAh~ for all I;,;;; 1 (6.1.8)
with IX from (7 a).
Implicitly, the estimate (8) contains the condition that L, is non-singular for
all 1 ;,;;; O. Again, the scaling mentioned in Note 6.1.4 yields IX = 0 in (8).
The smoothing and approximation properties are discussed in detail in
6.2 and 6.3. In the next subsection we shall see that these conditions are
sufficient for two-grid convergence, but it is even more important that they are
also almost sufficient for multi-grid convergence (cf. 7).
6.1.4 A General Convergence Theorem

Theorem 6.1.7 (two-grid convergence of TGM(O, 0)). Suppose the smoothing
property (7 a-c) and the approximation property (8). Let e > 0 be a fixed
number.
6.1 Sufficient Conditions for Convergence 115
a) In the case of v(h) = 00 (cf. (7 c there is a number y such that the two-grid
contraction number satisfies
(6.1.9)
whenever v ~ y and I ~ 1.
b) In the remaining case of v(h) -+ 00 there are Ti > 0 and ysuch that inequality
(9) holds for all y ~ v < v(h,) and all I with h, ~ Ti. For such I the interval
[y, v(h, is not empty.
c) Under condition (2) and for e < 1 one obtains convergence:
u{ -+ U, = L , 1 fi.
Proof a) Let v = 00. (7 a) and (8) yield II Mdl""+-",, ~ CA '1 (v)(cf. (5. By(7b)there
is y with CA '1 (v) ~ (! for all v ~ y.
b) Determine y as above. By v(h) -+00 there is Ti such that v(h) > y for all
h ~ Ti. Hence, [y, v(h is not empty. For v E [y, v(h inequality (7 a) is valid and
yields (9).
c) Use Lemma 1.3.1 and Lemma 6.1.1. 0
Corollary 6.1.8. The errors of the iterates u{ of TGM(v,O) satisfy
lIu{ - udl"" ~ IIM, (v)II4t+-"" lIuP - u,ll"" (6.1.10)

(cf. (1.3.16.
Note that the right-hand side CA '1 (v) of (9) is independent of l. This result
coincides with the estimate (2.4.11) for the one-dimensional example of
2.
The smoothing number edv) from (2.6.6) is
eL(V): = sup {li L, Slv) II~ +-",,/11 L,II~ +- ",,: l ~ 1}. (6.1.11)
The estimate
hf IILdl~+-"" ~ CL (6.1.12)
holds at least with CL = '1(0), if (7a) is extended to v = 0 (cf. Note 6.2.4 and
Proposition 6.3.28). The convergence result (9) can be expressed by means of
edv):
Corollary 6.1.9. Assume (12). In Theorem 6.1.7 the estimate (9) may be replaced
by (13) with C TGM : = CA CL:
(6.1.13)
6.1.5 The Case of V:z =+= 0

Hitherto, we have considered only the case of no post-smoothing (V2 = 0). In
the reverse case of no pre-smoothing (VI = 0) define the matrix
~ -1
MI(v)=L,MI(O,v)L, , (6.1.14)
which is similar to M, (0, v); hence e(M,(v)) = e(M,(O, v)). 11 M, (v) IljO-jO <1
would be sufficient for convergence. Since
M, (v) = [L,S?)][L , I - pL,_lI rJ, (6.1.14')
one condudes
IIM,(v)lljO .... jO ~ 11 L,S[v) IljO_",IIL , 1 - pL,_lI rll"' .... jO
with the same right-hand side as in (5). This proves
Theorem 6.1.10 (two-grid convergence of TGM(O, v)). If VI = and V2 = v,

Theorem 6.1.7 with (9) replaced by
(6.1.15)
remains valid.
Corollary 6.1.8 becomes
Corollary 6.1.11. The defects of the iterates u' of TGM(O, v) satisfy

. -.
IIL,u{ - ftlljO ~ IIM,(V)II~ .... jO IIL,u, - ftlljO (6.1.16)
* *
The general case of VI 0, V2 0 will be treated in 6.4. A simple but
non-optimal approach is the estimation of M, (VI' V2) by
(6.1.17)
A better approach is based on the splitting
11 p L , _\ r 11;r .... jO 11 L, S[vIllljO .... "II
M,(V I , v2 ) 11"11_"11 ~ 11 SIV2) 11"11 .... '1' 11 L , I -
(6.1.18)
with a suitable normed space "f/ or based on
Lemma 6.1.12. If L ,- I = pL, r, then
M,(VI, v2 ) = M, (0, V2) M,(VI, 0). (6.1.19)

Proo! Set C,: = L,! - p L , _\ rand note that C, L, C, = C" o
6.2 The Smoothing Property
It is the goal of this section to demonstrate that the smoothing property holds
for a large dass of iterative methods. In 6.2.1 we formulate some lemmata
and introduce special norms. 6.2.2 contains a criterion showing that it
suffices to check the smoothing property of the principal part of the discrete
operator. Special smoothing iterations are studied in the subsequent subsec-
tions.
6.2 The Smoothing Property 117
6.2.1 Preparatory Lemmata
Let o/il be a Hilbert space with scalar product <"

')'ft and norm (1.3.9). Often
the estimation of LI St reduces to an estimation of an expression of the form
A (I - Ar for a positive definite matrix 0 ~ A ~ I. In such cases the following
lemma applies.
Lemma 6.2.1. Let 0 ~ A = A* ~ I. Then
(6.2.1 a)
where
tTo (v): = v'/(v + 1)'+ 1. (6.2.1 b)

Proof Lemma1.3.5 (iii) implies IIA(I-Arll'ft .... 'ft=max{lf(A)I:AEt'i(A)}
withf(x) = x(l - xr. 0 ~ A ~ I implies ~ Je ~ 1; hence 11 A(I - Ar 11'ft .... 'ft ~
max{f(x): ~ x ~ 1}. f attains its maximum at X o := l/(v + 1) yielding
tTo(v)=f(x o). 0
Corollary 6.2.2. The asymptotic behaviour of tTo (v) is
1
tTo(v)=-+O(v- 2 ) as v-.oo. (6.2.2 a)
ev
Particular estimates are
tTo (v) ~ tTo (J1)(J1 + c)/(v + c) for v ~ J1 ~ 0, c ~ t, (6.2.2 b)
tTo (v) ~ v: c max H, tTo(J1)(J1 + cl} for v~ J1 ~ 0, ~ c < t,(6.2.2 c)

1 1
tTo(v) ~ e(v + c(J1 with c(J1):= etTo(J1) - J1 for v ~ J1, (6.2.2d)
3
tTo(V) ~ ~ (v ~ 1), (6.2.2e)
v+ 2
tTo(v) ~ 2/(3';:) (6.2.2f)

v+ 2
1 1
::; tTo (v) ::; - - (v ~ 0). (6.2.2 g)
e (v + 2) - - ev + 1
--C--
1
Proof Consider cp (v): = (v + c) tTo (v) with cp' (v) = tTo tjJ, where tjJ (v) =
1 - (v + c) log (1 + l/v). Let c ~ t. A simple analysis yields IX m:
exp(/(l + cO) ~ 1 + (( > 0), which is equivalent to tjJ(v) = tjJ(l/() < for
( = l/v. Hence, cp (v) is decreasing and (2 b) folIows. The analysis of the case
=

CE [0, t] shows that there is a unique positive root (0 of IX m
= 1 + (. Thus, cp (v)
has only one minimum at Vo = 1/(0 and is bounded in (J1,00) by
max {cp(J1), cp(oo)} = max {(J1 + c) tTo (J1), l/e} proving (2c). (2d) is a special
case of (2 c) since C (J1) ~ ~ (cf (2 g)). (2 e), (2 f), and the second part of (2 g) are
particular examples of (2 c, d). 0
Corollary 6.2.3. Under the conditions of Lemma 6.2.1 the estimate
IIA"(l- A)PII"' . . '" ~ ('10(~))" (0( > O, ~ 0) (6.2.3)
holds for all realO(> 0, ~ O.

In the following analysis the basic seal ar product of 11/11 is denoted by <., .>
(e.g. from (3.5.2)) with associated norm
ludo = <UI, UI>1/2 . (6.2.4 a)
Given a positive definite matrix AI = At, one may define new norms
Iud.:= IAjullo (6.2.4b)
for all real s. Thus, the spaces (11/11, I I.) form a Hilbert scale (cf. 1.4.4). If
LI = Lf > 0, the natural choice of AI will be
A I := Ll/ 2 , (6.2.5)
According to (1.3.11) the associated matrix norms are defined by
IAll ..... t : = sup {I AI ud./I udt : 0 =1= UI E 11/I1}
for any s, t E 1R. We introduce the abbreviation 11 1 for the spectral norm:
1 1 := I 10 . . O (6.2.6 a)
An equivalent description of I' 1..... 1 is
IAII ..... t = IIAfAIAI-III. (6.2.6b)
The norms 11 . 11", and 11 IIJ> which appear in 6.1 will be chosen as
1 11 '" : = I I..", 11' 11 J> := I 1.,- (6.2.7)
with appropriate numbers s'" and SJ>.
Note 6.2.4. Let 11 IIJ> and 1 11", be given by (7). Then the smoothing property
(1.7 a) becomes
11 Ajj< LI Slv) AI-'<fI 11
'1 (v) hl-"
~ (6.2.8 a)
In the case of (5) with LI = LT > 0, Inequality (8 a) reduces to
IIL1+'j</2Slv)L,..,,/211 ~ '1(v)h l- " . (6.2.8 b)
If in addition S1") commutes with LI> one obtains
IIL} +(.,.-..,,)/2 Slv) 11 ~ '1(v)h l- " . (6.2.8 c)
The natural value of 0( is
0( = (2 + S~ - s",)m, (6.2.9)
since 11 LI Il.jO+-'" = IIL}+(sy-.....)/2 11 = IIL 1 1I l +(sy-.....J/2 = o (h,-2m-(sy- ..... )m) pro-

vided that
(6.2.10)
where 2m is the order of the differential operator, and
s'" ~ Sy; +2 (6.2.11)
(cf. Lemma 1.3.5 (ii)). Inequality (10) will be proved in 6.3.1.5 for finite element
discretisations.
Sometimes, it is possible to estimate L, S,<V) and S,(v), but an elementary
estimate of L~ S,<V) is not available. Then the following interpolation theorem
can be applied.
Lemma 6.2.5. Suppose Al = At > 0, A 2 = A! > 0. Then for any matrix A and
any scalars IX ~ ~ y the following inequality holds:
IIA~AAIII ~ IIA~AAlall(Y-)/(y-a) IIA~AAIYII(/l-a)/(y-a).
Proof For completeness we give the proof, though this lemma is a special case
of Lemma 1.4.3. g (s): = 1 Ai AAls 1 is a continuous function of sand satisfies
g(S)2 = 11 Ai A A l 2s A* Aill = Q(A~ A AIr Ai l A* A~) ~ g(r)g(t)

for all rand t with r + t = 2 s. Hence G (s) : = log g (s) is convex. The inequality
G() ~ Y - G(IX) + - IX G(y)

y-IX y-IX
proves the lemma. o

Lemma 6.2.6. Let 1 Is (s E IR) be defined by (4). Then the following estimates
are valid for all matrices A:
IAlr+-r ~ IAI~I:~)/(I-S)IAI~r.::-t)/(t-S) (s ~ r ~ t), (6.2.12 a)
IAI-r+-r ~ IAl::.rbIIAI'~II+-1 (0 ~ r ~ t or ~ r ~ t), (6.2.12 b)
IA I-s+- r ~ 1A l ::'(O+S)/I IA It+- I IA I~II+- 0 (r ~ 0, s ~ 0, r + s ~ t). (6.2.12 c)
Proof a) The quantity a(p,q):= IAl q +- p equals IA1AA,-Plo+-o. Lemma 6.2.5

with Al = A 2 = A" IX = s, = r, y = t yields (12a).
b) (12 b) folIo ws from Lemma 6.2.5 with Al = A" A 2 = A,- l .
c) Lemma 6.2.5 with Al = I, A 2 = A, proves a(r + s,O) ~ a(O,W -" a(t, 0)"
where (J = (r + s)/t. Similary, a(O, - r - s) ~ a(O,O)l-" a(O, - t)" follows.
Applying Lemma 6.2.5 to A,-r-s A instead of A, one obtains a(r, - s) =
a(r + s,oyl(r+S)a(O, -r _s)s/(r+s). Inserting the estimates of a(r + s,O) and
a(O, -r-s) we are led to (12c). 0
6.2.2 Criteria
Often a discrete operator LI can be split into L, + LI, where L, is the principal
part of LI satisfying the smoothing property, whilst L'; is a term oflower order.
Let Si(v) be the smoothing iteration matrix associated with and define
SI'(V): = SI v) - S;(V). Then the assumptions (15), (16) of the next criterion are
L,
very natural.
Criterion 6.2.7. Let LI = L'I + LI and SIV) = Si(v) + Sj'(v) and assume that L'I
and Si(V) satisfy the smoothing property
11 L'I Si (v) II.~ +-ifI ~ r( (v) hl- a for 0 ~ v< v' (h,), I ~ 1, (6.2.13 a)
o < t/' (v) -+ 0 as v -+ 00 , (6.2.13 b)
v' (h) = 00 or v' (h) -+ 00 as h -+ 0 . (6.2.13 c)
Further, suppose S,lO) = land
11 Si (v) lIif1+-ifI ~ C~(v) for all I ~ 1, v< v' (h l ) (6.2.14)
with some C~(v) and
lim
I .... 00
hT 11 L 1'11 J< +- ifI = 0, (6.2.15)
(6.2.16)
Then the smoothing property (1.7a-c) holds for LISIv) with the same (X. t/(v)
can be chosen as t/ (v) = (1 + B) t/' (v) for any B > o. v(h) ~ v' (h) satisfies (1.7 cl.
Furthermore, there is a function Cs(v):= C~(v) + constant such that
IISIV)llifI+-ifI ~ Cs(v) for I ~ 1, v ~ v(h,). (6.2.17)
Proof. Let B > 0 be given and set
8 (v) = B t/' (v)/(2 t/' (0.
By (16) there is a decreasing bound he(v) > 0 with

IISj'(V)llifI+-ifI ~ 8(v) for h, ~ he(v).
Let vdh): = sup {v E Nu {oo}: v ~ v' (h), h ~ he (v)}. As 0> he (v) -+ 0, either
VI (h) = 00 or Vl (h) -+ 00 (h -+ 0) holds, and v ~ VI (h) implies h ~
he(VI (h ~ he (v). Let 8 0 := max {8 (v): v E N} < 00. The inequalities(14) and
IISj'(V)llifI+-ifI ~ 8 0 for v ~ vdh l) prove (17) with Cs(v):= CS(v) + 8 0
The splitting LI SIV) = L, Si (v) + LI SIV) + L'I Sj'(V) implies
hrilLISJv)IIJ<+-ifI
+ 11 L,IIJ< +- ifI 11 SIV) IlifI +- ifI + 11 L',IIJ< ifI Ilst(v) IlifI +- ifI]
~ hH11 L, S;(V) IIJ< +-ifI +-
~ t/'(v) + Cs(v)hr 11 LIIIJ<+-ifI + t/'(O) 8 (v)

(v ~ VI (h l ) ~ v' (h, by means of (13 a) and (17). The last term t/' (0) 8 (v) equals
(E/2) tl' (V) by the definition of 8 (v). Using (15) there is abound V 2 (h) ;;;; v' (h)
with V2 (h) --+ 00 such that
Cs(v)hrIIL;'II~+-'W;;;;~t/'(v) for v;;;;v2(h l ), 1~1.

Set v(h):= min{vdh), v2(h)};;;; v' (h). (1.7a) holds for v;;;; v(h) with t/(v) =
(1 + B)t/'(V). 0
Usually, Si is the v-fold application of g;, and S?) equals Sr Then the
V
)
conditions (14) and (16) can be modified:

Criterion 6.2.8. Assume S?) = Slv, Si(v) = Si v and LI = L'I + L7, SI = Si + Si'.
Under the conditions (13), (15), and
11 ;;;; Cs for all I ~ 1 ,
Si 11 'W +- 'W (6.2.18 a)
lim 11 Si' II'W +- 'W = 0, (6.2.18 b)
I-CI)
the smoothing property (1.7 a-c) holds for LIsr

Proof (14) is valid with Cs(v):= Csv. Cs := Cs+ max {IIS;' 11'W+-'W:1 ~ 1} is a
bound of 11 SI 1 'W +- 'W' Hence,
IISi'(v)II'W+-'W = liSt - SivlI'W+-'W = Ilvi:,l Sf(SI- Si)Siv-1-JlII
Jl=O 'W +-'W
= Ilvi:,l SfSi'Siv-I-JlII ;;;;(Vi:,1 qCsv-I-Jl)II Si'II'W+-'W
Jl=O 'W+-'W Jl=O
implies (16). o
In some ca ses SIV) =1= St. For instance, when SIV) is a semi-iterative process,
Slv) may be some polynomial 1t v(SI)'
v
Corollary 6.2.9. Assume S?) = 1t v(SI)' Si(V) = 1t v(Si), where 1t v(z) = L !XJl.vz Jl .
Then Criterion 6.2.8 is also valid. Jl=O
Proof Si'(V) equals L !XJl. v(Sf - SiJl). The proof of Criterion 6.2.8 shows
Jl
1 Si'(v) II'W +- 'W ;;;; (L Jil !XJl. v1q - 1) 1 Si' II'W +- 'W' Hence, (16) holds again. 0
The condition (14) is weaker than the requirement

1 Si(v) II'W+-'W ;;;; Cs for all v< v' (h l ), I ~ 1, (6.2.19)
which expresses the 'stability' of {Si(v): v < v' (h l ) , I ~ 1} (cf. Richtmyer-Morton
[1]). Note that (19) can be satisfied by a divergent iteration. The proof of
s
Criterion 6.2.7 showed Cs(v) = Cs(v) + 8 0 = C + 8 0 with 8 0 proportional to
B. Therefore, the bound Cs on IIS?)II'W+-'W is independent of v, too, and we
obtain
Corollary 6.2.10. Inequality (19) and Eq. (16) imply
IISi v)II'W+-'W;;;; Cs for v< v(h,), I ~ 1. (6.2.20)
If Sf') = Sr' or S,<V) = lt v (SI) (lt v : polynomial), eondition (16) may be replaeed by
(18 b).
Even if L', satisfies the smoothing property with v' (h) = co, the new bound
v(h) may be finite. We shall see that the damped Jaeobi iteration (3.3.7') allows
v' (h) = co, whenever L', is positive definite. Let A be larger than the first eigen-
value of L'" L,: = LI - AI is a perturbation of L', by a low-order term. But sinee
LI is indefinite, the damped Jaeobi iteration diverges and v(h) < co folIo ws
from Lemma 6.1.5.
6.2.3 The Smoothing Property of the Jacobi Iterations
6.2.3.1 The Simple Damped Jacobi Iteration
First we study the damped Jaeobi iteration (3.3.7'), SI = I - W, hfm L" with
o < W, ~ 11 hfm L I II- 1 . For a positive definite L, = Lf the norms 11 11, I . It +-.
ete. are defined in (4), (5), (6).
Proposition 6.2.11. Suppose L, = Lf ~ 0 and 0 < W, ~ 11 hfm L,II- 1. Then the

damped Jaeobi iteration (3.3.7') satisfies
1
11 L, S,v 11 ~ - h,- 2m 170 (V) for all V (6.2.21)
W,
with 170 (v) from (1 b). If in addition i/Co ~ w" the smoothing property (1.7)
holds with 11 . II'W = 11 113" = I . 10 and with
17(v):= Co 170 (v) ~ 3~0/(V + !), cx = 2m, v(h) = co.

Proposition 6.2.11 is a partieular ease of
Proposition 6.2.12. Let L, and w, be as in Proposition 6.2.11 and define 11. and
l'lt by (4), (5) with s - t < 2. Then the damped Jaeobi iteration satisfies
ILlsn+-.~[~170(2
w, +t
2v
- s
)h,_ 2m ]I+<t-.)/2. (6.2.22a)
Henee, if i/Co ~ w,' the smoothing property (1.7) holds for IIII'W = 11. and
11 . 11.j< = l'lt with
17(V):= [C0170e:v)r2m, cx = (2 - s + t)m, v(h) = co. (6.2.22b)
Proof IL I StIr+-. equals 11 Li/ 2m S,v 11 as stated in (8e). Define A,: = w,hfm L" The
ehoiee of w, ensures 0 ~ A, ~ I. Henee, Corollary 6.2.3 yields
2mv)a/2m
IIE/ 2m Stil = (w l hf m)-a/2m IIAi/ 2m (l- Aln ~ W,- a/ 2m hz- a 170 ( ~-
for all V (i.e. for ii (h) = co). D

The condition s - t < 2 (hence IX > 0) is needed to ensure '1 (v) -+ O. Values
of WI exceeding 11 h?m LI 11- 1 are considered in Exercise 6.6.3.
Note 6.2.13. The function '1 from (22 b) behaves like '1 (v) = 0 (v -CI/2m). If
o< (X ~ 2m, an upper bound is
'1 (v) ~ 2mlX[~Co/(v + DT 2

m, IX = 2m - s + t.
For s = t = 0 we regain '1 (v) = 0 (i/v), which corresponds to the analogous
behaviour (2.4.12) of the contraction numbers for the model problem of 2.
The smoothing property can also be established for matrices with complex
eigenvalues. However, the bounds are more complicated. Examples are studied
in Exercise 6.6.4.
6.2.3.2 The Damped Jacobi Iteration (3.3.6)

The damped form of the original Jacobi iteration is (3.3.6') with SI =
I - 8 DI- 1 LI> where DI is the diagonal (or block-diagonal) of LI'
Proposition 6.2.14. Assume LI = LT, D I = Df, and
o~ 8 LI ~ DI ~ CD hl- 2m I (6.2.23a)
for some constant CD' Then, (3.3.6') satisfies
IILISIII ~ CD 8- 1 '10 (v)h l- 2m (6.2.24b)
Hence, the smoothing property (1.7) holds for 11 11<ft = 11 11".. = I . 10 with
'1(v):= CD '10 (v)/8, IX = 2m, v(h) = 00.
Proof. (23 a) implies 0 ~ AI ~ I for AI: = 8 DI- 1/2 LI DI- 1 / 2 Set
XI: = 8 DI- 1 / 2 LI Si DI- 1 / 2 From Lemma 6.2.1 one concludes 11 XIII
= 11 AI (1 - AltI! ~ '10 (v). Equation (1.3.19 a) yields
11 LI Si 11 = 8- 1 11 DI/ 2 XI DI/ 2 11 ~ 8- 1 11 Dl/ 2 11 11 XI 11 IID!/211
~ 8- 1 '10 (v) IIDIII o
Note 6.2.15. If DI is the diagonal of L, and if L, is weakly diagonally dominant,
then inequality (23 a) holds for 0 < 8 ~ t.
6.2.3.3 Jacobi's Iteration with Squared Matrix

In (3.3.10) we described a modification of Jacobi's iteration with
SI = 1- w? hi m LT LI' The following propositions holds for a general L"
Proposition 6.2.16. If .1/Co ~ w, ~ 1/11 Mm L, 11, the iteration (3.3.10) satisfies
IIL,Sili ~ Co h,- 2m J'10 (2 v). (6.2.24a)
Hence, the smoothing property (1.7) holds for 1I1I<ft = 1111".. = 110 with
'1 (v) : = Co J'10(2v) ~ Co fI Jv + t, IX = 2m, v(h) = 00. (6.2.24 b)

124 6. Convergence of tbe Two-Grid Iteration
Table 6.2.1. Smootbing numbers of (3.3.7') and (3.3.10)
v 2 3 4
0.250 0.148 0.105 0.082
0.385 0.286 0.238 0.208
Proof Set AI: = wf himLf LI. Since SI = st = I - AI> one obtains 11 LI Sr 11 =

11 (LI sn* (LI Snl1 1/2 = 11 sr Lf LI Sill 1/2 = (wlhfm)-l IIAI(I - AI)2VI1 1/2. Since
e(Lf LI) = IIL I I1 2 (cf. (1.3.15a, the choiee of WI yields 0 ~ AI ~ land
Lemma 6.2.1 proves (24 a). 0
Set WI = 1/11 hfm LIII. The comparison of (21) and (24 a) shows that the
smoothing effect is weaker in the latter case. Table 6.2.1 contains the smooth-
ing numbers
(6.2.25)
(cf. (1.11, which are '1o(v) for (21) and J'10(2v) for (24a), provided that
LI = Lf ~ o.
6.2.3.4 The Case of Non-Hermitian LI

Propositions 6.2.11, 6.2.12, and 6.2.14 require a positive definite LI. Otherwise
one has to apply Criterion 6.2.8. The symmetrie part of LI is (LI + Lt)/2. For
suitable A. the matrix
L; : = t (LI + Lt) + A. I (6.2.26)
should be positive definite. Usually, the remainder
LI':= t{L I - Lt) - H (6.2.27)
consists of terms of lower order; i.e. 11 L'; 11 = 0 (h l- P), < 2m. In particular,
lim 11 hfm LI 11 = 0 can be expected.
1-+00
Proposition 6.2.17. Assurne that L'I from (26) satisfies 0 ~ L'I ~ hl- 2m C~ I, C~
constant, while L'; from (27) satisfies hfm 11 L711 -+ 0 (l -+ (0). Choose
WI E [l/Co , 1/11 hfm Li 11], The damped Jacobi iteration (3.3.7') satisfies the
smoothing property (1.7a-c) with IX = 2m, 11 11", = 1111". = 110. Further, in-
Sr
equality (20) is valid: 11 11 ~ Cs (0 < v < li(h,.
Proof Proposition 6.2.11 proves the smoothing property (13a-c) of
L'IS;<V), where S;:= I - wlhfm L'I' As SI' = - wlhfm L7, both (15) and (18b)
are satisfied. (18 a) holds with C~ = 1. Hence Criterion 6.2.8 yields the
smoothing property of LI Sr,
while Corollary 6.2.1 0 proves the estimate
liSt 11 ~ Cs. 0
Since L', is assumed to be positive definite, the norms (4), I . I., can be defined
by
(6.2.28)
If 11 111ft = 11... and 11 11,. = 11..... are given with SIft =1= 0 or s,. =1= 0,
Proposition 6.2.17 can be extended.
Corollary 6.2.18. Let L', and W, be as in Proposition 6.2.17, assume SIft - s,. < 2
and
lim hiIIL111,.+-Ift= lim hfmIIL11Ilft+-Ift=0. (6.2.29)
I-foOO '-+00
Then the damped Jacobi iteration (3.3.7') satisfies the smoothing property
(1.7a-c). Further, inequality (20), IIStlllft+-Ift ~ cs, is valid for 0< v < v(h,).
Proof (13 a-c) follows from Proposition 6.2.12 and (18 a) holds with C = 1. s
Hence, Criterion 6.2.8 proves the corollary. 0
If hi IIL711,.+-Ift - 0 (first part of (29 and 0 ~ Slft - s,., the second part of
Eq. (29) holds, too (cf. Exercise 6.6.5). For the finite element case, Eq. (29) is
verified in 6.3.1.4.
6.2.4 The Smoothing Property of the Gau-Seidel Iteration
6.2.4.1 The 2-Cyclic Gau-Seidel Iteration

Let L, be deeomposed into L, = D, - A, - B, (cf. (3.3.2) or (3.3.11, where A,
and B, are strietly lower and upper triangular matrices, respeetively. D, is
diagonal in the case of (3.3.1) and block-diagonal for the bloek-Gau-Seidel
iteration (3.3.12). The point- or bloekwise Gau-Seidel iterations are eharaeter-
ised by
S, = (D, - A,)-l B, = I - (D, - A,)-1 L,. (6.2.30)
We reeall some properties of the Gau-Seidel-iteration matrix in
Note 6.2.19. (i) The identity (31) holds:
L, S, = S,L, with S,:= B,(D, - A,)-I. (6.2.31)
(ii) In the symmetrie ease of B, = At, D, = Dt, the matrix st is the iter-
ation matrix of the Gau-Seidel iteration with reversed ordering.
(iii) Let L, = Lr be positive definite and either D, diagonal or D, = Dt > O.
Then the Gau-Seidel iteration eonverges and satisfies
(6.2.32 a)
as known from Ostrowski's theorem (cf. Varga [1, p.77], Meis-Mareowitz
[1, p. 297]). (32 a) follows from
1.,-1/2 st L, S, L,-1/2 = I - LI/2(D, - Br 1 D, (D, - A,) -1 LI' 2 . (6.2.32 b)
In the following we shall study the '2-cyclic' case.

Definition 6.2.20. L, = D, - A, - B, is called a 2-cyclic decomposition if the
matrices have the following block structure:
B, = [~ ~l
(6.2.33)
2-cyclic decompositions yield a particular example of a consistently ordered
and weakly cyclic matrix ofindex 2 (cf. Varga [1]).
Examples 6.2.21. (i) The Gau-Seidel iteration with chequer-board ordering
(cf. 3.3.1) leads to a 2-cyclic decomposition if L, is a five-point stencil.
(ii) The blockwise Gau-Seidel iteration with zebra-line ordering is 2-cyclic
if L, is a nine-point stencil.
(iii) The lexicographical Gau-Seidel iteration is not 2-cyclic.
Proposition 6.2.22. Assurne L, = LT > 0 and D, = Dr. The Gau-Seidel iter-
ation (3.3.1) or (3.3.12) with a 2-cyclic decomposition (33) satisfies
IIL,S,v11 ~ IID,II '10 (v - t) for all v ~ 1 (6.2.34a)
with '10 from (1 b). Hence, if II 111ft = II IljO = I 10 and
hfm IID,II ~ CD for all I,
the smoothing property (1.7 a-c) holds with
1 2CD 1
'1(V)=CD'10(V-2)~3.J3v' 1X=2m, v(h) = 00. (6.2.34 b)
Proof. Since D, is (block-)diagonal, L, > 0 implies D, > o. S,v and L, S,v have the
block structure
._[0
L, S, - 0
b(c- 1- C.)]
0 '
Set c:= dY2 C di 1/2, 6:= d 1 1/2 bdi 1/2, e:= c- 1(I - c). The symmetry of L,
and D, implies b = a* and c = c*. From
D-1/2 L
I I
S. D-1/2 = [00
I I
6e]
0
and 6* 6 = c one concludes that

II D,- 1 / 2 L, Si" D,- 1/211 = {! ([0 6]*
0 Oe [0 0
0 6 e])1/2 = "n ([00 o ])1/2
e6*6e
= {! (e 6* 6e)1/2 = {! (C 2v - 1 (I _ C)2)1/2
= 11(1 - c)c V- 1/ 2 11
From (1.3.19) we obtain

11 LI St 11 ~ 11 Dl/ 2 1111 DI- 1/2 LI St DI- l /2 11 11 Dl/ 2 11 = 11 (1 - c) Cv- 1/21111 DIll.
The final result (34 a) folio ws from Lemma 6.2.1 with A = I - c since
o ~ c ~ I can be concluded from Q(c) = Q(c) = Q(SI) ~ 1 (cf. Note 6.2.19iii)
and c = 6* 6 ~ o. 0
Parallel to the estimate of LI S,v we prove abound on St.
Proposition 6.2.23. Let LI and SI be as in Proposition 6.2.22. Then
11 St 11 ~ J2 co nd (D l ) for all v ~ 0 (6.2.35)
holds, where cond (D I) = 11 Dill 11 DI- 1 11 .
Proof. In the notation of the previous proof we have
11 Dl/ 2 St DI- l /2 11 2 = Q (DI- l /2 St vDl St DI- l /2) = Q ([~ C2v - l ~I + C)J)

= Q(C 2V - l (l + c)) ~ 2,
which implies 11 St 11 ~ 11 DI- l /2 1111 Dl/ 2 St DI- l /2 1111 N/ 2 11 ~(21IDIIIIIDI-1 11)1/2. 0

Corollary 6.2.24. Estimate (35) also holds for SI'
Under the natural assumptions
IIDzil ~ C D h l- 2m , IIDI-lll ~ C/hl m (6.2.36)
inequality (35) yields (37) with Cs = J2C D C/:
IIStl1 ~ cs, Ilsrll ~ Cs for all v. (6.2.37)
If Dl = hl- 2m dlI (d l E R.), the estimates (34 a) and (35) are sharp in the sense that
suphl m11 LI Stil = suphl m IIDzil I'fo(v _.i) and sup liSt 11 =
I I I
J2.
Considering the standard five-point formula (3.1.15) we find the respective
bounds CL = 8 and CD = 4 in (10) and (36). In Table 6.2.2 the smoothing
numbers (25) of the damped Jacobi iteration and of the 2-cyclic Gau-Seidel
iteration are compared. The last row corresponds to the lexicographical
Gau-Seidel iteration discussed below.
Table 6.2.2. Smoothing numbers (25)

v 2 3 4
Jacobi iteration 0.25 0.1481 0.1055 0.0819
2-cyclic Gau-Seidel 0.192 0.0930 0.0616 0.0461
lexicographical Gau-Seidel 0.333 0.1111 0.0481 0.0313
6.2.4.2 The Lexicographical Gau-Seidel Iteration

Tbe lexieograpbieal Gau-Seidel iteration eannot be treated as tbe 2-eyelie
iteration. However, a partieular ease is easy to analyse. Consider, e.g., tbe
Helmholtz equation - LI u + cu = f in tbe infinite plane U = R 2 . Tbe lexieo-
-+
grapbieal ordering leads to the steneils
L, ~ h,-' [-1 4~~hl D, ~ h,-' [0 4+:Chl 0].

(6.2.38)
~
A, h,-' [-1 _~ 0]. B, ~ Ar ~ h,-' [0 -~ -1.
The matriees LI> AI> BI> D, (and also S,) eommute. In partieular, the assump-
tions of the following proposition are met.
Proposition 6.2.25. Let L, = D, - A, - Ar be symmetrie. Assume tbat A, is
normal and tbat
D, = d,l, d, > 0, IIA,II ~ d,/2.
Then
2/ 3V if v = 1,2;
IIL,SiII ~ d,' { iJ'1o(v - 2) '10 (v -1) if v ~ 3.
(6.2.39)
Henee, if 11 II'VI = 11 II~ = 110 and d, ~ CD h,-2m, the smootbing property is

satisfied. Further, S,v is bounded by
IIStil = 11 St 11 ~ 1 for all v. (6.2.40)
Proof Since L,St = (d,l - A, - Ar)(d,l - Ar v Ar v is normal, its norm
equals e(L,Sn, Henee,
IIL,SiII = max (d,- 2Rd)III(d, - A.)IV ~ max <P (..1.) ,
Aea(A,) lAI ~d,/2
wbere er (A,) = {k eigenvalues of A,} and <P (..1.): = (d, - 2 Re ..1.) III(d, - ..1.) IV. In-
trodueing x = Re ..1. and y = 1..1.1, we ean rewrite <P as
<P(A.) = tp(x,y):= (d,- 2x)yV(dl- 2xd, + y2)-v/2
= (d, - 2X);(1 + dl ~;XdJ/2

tp has to be maximised over x E [ - y, y], y E [0, d,/2]. Tbe estimate
tp(x, y) ~ tp(x,d,f2) = d,(1 - 2d~)/(5 - ~~Y/2 isimmediate. The maximum is

attained at x = - d,/2 ifv ~ 2, and at x = d, (i - 4(v ~ 2) ifv ~ 3, resulting in
the numbers of (39). Tbe estimate (40) is a eonsequenee of III(d,- ..1.) I ~ 1. 0
For bounded domains Q the matrices A, are no longer normal. That case
is considered in 6.4.2, 8.2.2, and Haekbuseh [34].
6.2.4.3 The Symmetrie Gau-Seidel Iteration

Some symmetry properties of L, carry over to S" when the symmetrie
Gau-Seidel proeess (3.3.5) is applied. One step of the iteration eonsists of one
usual iteration U,I---+ (D, - A,) -1 (B, U, + 1,) =: u, and one iteration with re-
versed ordering: U,I---+ (D, - B,) -1 (A, U, +1,). The resulting iteration matrix is
S, = (D,- B,)-l A,(D,- A,)-l B, = I - [(D,- A,)D,-l(D,- B,>r 1 L,.
(6.2.41)
Proposition 6.2.25 extends to this iteration with v on the right side of (39)
replaeed by 2 v. However, a more general result ean be obtained. The symmet-
rie Gau-Seidel iteration is a special ease of an iteration of the type
(6.2.42)
Note 6.2.26. (i) The symmetrie Gau-Seidel iteration (41) is equivalent to (42)
with
J+j = (D, - A,) D,-l (D, - B,). (6.2.43)

(ii) If L, = LT > and D, = Df > 0, the matrix J+j from (43) is symmetrie
and positive definite. Furthermore, it satisfies
(6.2.44)
The following two pro positions apply to the iteration (42). Note that the
norms involved are different from (7).
Proposition 6.2.27. Let the iteration (42) satisfy L, = LT, J+j = J+j*, and
(44); define the norms by Ilu,ll'ft = lJ+jl/2 u,lo, 111,11,. = 1J+j-l/2 1,10' Then the
smoothing property (1.7) holds with 11 (v) = I10(v), oe = 0, v(h) = 00.
Proof. (44) implies 0 ~ X ~ I for X: = J+j-l/2 L, J+j-l/2; henee, Lemma 6.2.1
yields
11 L, Sr 11,. ... 'ft = 11J+j-l/2 L, (I - J+j-l L,)" J+j-l/2 11
= IIX(l- X)" 11 ~ 110 (v). 0
Proposition 6.2.28. Under the eonditions of Proposition 6.2.27, but with
11 u,ll'ft = ILt' 2uzlo and 11 I, 11,. = 1J+j-l/2j,lo, the smoothing property (1.7) holds
with 11 (v) = JI10(2 v), oe = 0, lieh) = 00.
Proof. (44) implies J+j-l ~ L,-l and 0 < Y:= Ll/ 2 J+j-l Ll/ 2 ~ I. The asser-
tion follows from
11 L, Sr 11,. ... 'ft = 11J+j-l/2 L, Sr L,-1/211 = 11J+j-l/2 Ll/2 (I - Y)" 11
= 11 y 1 / 2 (I - YYII ~ JI10(2v). 0
6.2.4.4 Estimates with Respect to Other Norms

In 6.2.4.1 we proved the smoothing property with respect to
11 . Iltfl = 11 . II.~ = I '10' In this chapter we consider the more general norms
(4 b). The following criteria apply to arbitrary smoothing iterations. The
smoothing property in a general norm is derived from the one with respect to
1'10'
Criterion 6.2.29. Let I' I., S E 1R, be defined by (4) with some Al = Ai > 0, and
define 11 . Iltfl and 11 Ilj by (7) with 0 ~ Stfl < 1, Sj = - Stfl. Assume
ILd-I .... 1 ~ CL, ISj')II .... I ~ Cs, ILISiV)lo .... o ~ 1]* (v)h l- 2m
for 1 ~ v < v(h), I ~ 1, where 1]* (v) and v satisfy (1.7 b, c). Then the smoothing
property IILISj')llj .... tfl = ILIS{")I-s"' .... s.. ~ 1] (v) h l- a holds with 0( = 2m
(1 - Stfl), 1] (v) = (CL C s)S" 1]* (vt/ 2m
Proof Set X:= LISI(V). (12b) implies IIXllj .... tfl ~ IXI':..moIXls!'I .... I: Insert
IX 10""0 ~ 1]* (v)h l- 2m and IXI-I .... I ~ ILd-I .... IIS[")II .... ! ~ CLC s . 0
Criterion 6.2.30. Let 11' Iltfl and 11' Ilj be defined by (7) with
= (2 + Sj - stfl)m > 0, - 2 ~ Sj ~ 0 ~ Stfl ~ 2. Assume
0(
ILdo .... 2 ~ CL, ILTI0 .... 2 ~ CL,

ISiV)lo .... o ~ cs, ISiV)lo .... o ~ cs, ILISiV)lo .... o ~ 1]* (v)h l- 2m
for 1 ~ v < v(h), I ~ 1 (1]*, v satisfying (1.7 b, c, where S{"): = LI Sj') L I- 1 (cf.
(31. Then the smoothing property (1.7), IILISiV)llj .... tfl ~ 1] (v) hl- a , holds with
1] (v) = (Cs Cds,./2 (Cl Cs) -s,../2 11 * (v)a/2m.
Proof x: = LI SiV) satisfies IXlo .... 2 = ISiv) LI 10""2 ~ Cs CL' IX 10""0

~ 1]* (vh l- 2m and
IXI-2 .... 0 ~ ILd-2 .... 0 ISiV) 10""0 = ILTlo .... 2ISi V)lo .... o ~ CL Cs
The assertion follows from (12 c). o
All assumptions of these criteria are satisfied for the 2-cyclic Gau-Seidel
iteration with Hermitian, positive definite LI'
Proposition 6.2.31. Assume LI = LT > 0 and define 1 Is by (4 a, b), (5). Then the
2-cyclic Gau-Seidel iteration (30) satisfies
ILIStl-r .... r ~ [IlDIll 1]0 (v - _})Ja/2m, 0( = 2m(1 - r), for 0 ~ r < 1,
and
r+s
ILIStl-s .... r ~ [2cond(DI)]~ [IIDdl 1]0 (v - lW/ 2m
for 0( = (2 - r - s) m > 0, S ~ 0, r ~ O. Hence, under assumption (36) the
smoothing property (1.7) holds for 11 . Iltfl, 11 Ilj from (7) with Sj ~ 0 ~ Stfl,
0(:= (2 - Stfl + sj)m > O.
Proof Criterion 6.2.29 applies with CL = 1, C s = 1 (cf. (32, 1'/* (v) =

11 Dtlll'/o (v - t), while the bounds in Criterion 6.2.30 are CL = Cl = 1,
Cs = q = [2 co nd (d Z)]1/2 (cf. (35, and 1'/* as above. 0
6.2.4.5 The ease of Non-Hermitian L,

The previous proofs are restricted to L z = Lt > O. In the general case of non-
Hermitian L z split L z into L 'z + L'; according to (26), (27).
Proposition 6.2.32. Let L z = D z - Az - B z be a 2-cyclic decomposition (33). As-
sume L z = L'z + L'; with a corresponding decomposition L'; = D;' - Ai' - Bi' ,
while I.:z = L'z* > 0 and D; = D;*. If
lim hfm 11 L'; 11 = 0, 11 L'zil ~ CL hz- 2m, 11 D Z- 1 11 ~ CD hfm, 11 D;- 1 11 ~ CD hfm,
z~oo
the smoothing property holds for L zSt with respect to 11 . IIOIJ = 11 . II!F = 1. 10
Proof By assumption the smoothing property holds for L'I Si <v) (cf.
Proposition 6.2.22). All assumptions ofCriterion 6.2.8 besides (18 b) are trivial.
Si' : = Sz - Si equals (D z - A z) - 1 [(D;' - An Si - LI]. Since the decomposition
is 2-cyclic, the assumptions imply 11 (D z - A z) - 1 11 = 0 (hfm), whereas
11 Di' 11 ~ 11 L'i 11 and 11 A711 ~ 11 L'; 11 Since 11 S; 11 ~ const by (35), inequality (18 b)
is proved and Criterion 6.2.8 implies the assertion. 0
If the smoothing property has to be proved for other norms, there are two
approaches. One can apply Criterion 6.2.8 directly with respect to these norms,
as is done in Corollary 6.2.18 for Jacobi's iteration. Alternatively, one may use
Proposition 6.2.32 to prove the smoothing property with respect to I 10. Then
the criteria 6.2.29 or 6.2.30 yield the desired result.
6.2.5 The Smoothing Property of Semi-Iterative Methods
6.2.5.1 Richardson's Iteration
The choice (vz ~ 1/11 hfm Ltil for the Jacobi iteration (3.3.7) is not optimal as
already mentioned in 2.6.3. More generally, one can use different factors
(V1l (J1. = 1, ... , v) for each of the v smoothing iterations. The iteration matrix of
the resulting Richardson iteration is
Sjv) = nv(hfm L z) with n v) = n (1 -

v
11=1
(V1l0 (6.2.45 a)
(cf. (3.3.15 b. The same smoothing procedure is genera ted by

SjV) (uz,ft) = uz - nV- 1(hfm LI) hfm (LI Uz - ft), (6.2.45 b)
(cf. 3.3.5), where n -1 is the polynomial
V
nv - dO = (1 - n v (O)/C (6.2.45 c)
By Lemma 1.3.5 the norm of L, S,<v) equals

IIL,S/(V) 1 = h,- 2m max IAnv(A)1 ~ h,- 2m max IAnv(A) I,
AEu(h~mLrl 0 ~ A ~ CL
where L, = Lt > 0 and CL = sup 11 hfm L/II. The usual choice of the Cebysev
polynomial nv minimises Inv(A)I in [0, CL]. This corresponds to a minimum
error. When we minimise IA nv(A) I, the defect becomes aminimum.
Proposition 6.2.33. The optimisation of An v yields the estimate
1 L S(v) 11 < lli sin (n/(2 v + 2)) < 11 L 1 2 1

I I = V + 11 + cos(n/(2v + 2)) = I 1 + .j2(v + 1f' (6.2.46a)
which is attained for the transformed Cebysev polynomial
'n (0 = 1 hfm L/II sin (n/(2 v + 2))

v v + 1 1 + cos(n/(2v + 2))
x cos (v + 1) arccos CI hf~ L,II - 0- hf~11 L/II) cos 2v : 2))

(6.2.46 b)
corresponding to the following W I , ... , W v:
w/l= IIhf2L/li (1 +cos2V:2)!(cos2V:2 _cos(2;v++1;n). (6.2.46c)
The norm 11 L,II in (46 a, c) may be replaced by h,- 2m CL, where CL ~ 11 hfm L/II.
Hence, the smoothing property is satisfied for 11 11", = 1 II~ = I 10 with
IX = 2m, v(h) = 00, and
CL sin(nj(2v + 2)) 2CL 1

(6.2.46d)
11 (v) = v + 11 + cos(nj(2v + 2)) ~ 1 +.j2 (v + 1)2'
Note that the asymptotic behaviour of 11 (v) is 0 (v -2) instead of 0 (V-I) as

for the previous iterations. The smoothing numbers (25) and the factors (46 c)
are listed below.
Table 6.2.3. Optimal smoothing numbers for Richardson's iteration

v 2 3 4
edv) 0.207 0.0893 0.0497 0.0317

W~CL 1.207 2.1547 3.5549 5.3708
1.0774 1.4725 2.0515
1.0412 1.2679
1.0257
6.2.5.2 The Aeeeierated Symmetrie Gau-Seidel Iteration

Semi-iterative methods ean also be based on the symmetrie Gau-Seidel iter-
ation (er. Young [3]). Let ~ denote the smoothing proeedure by the symmet-
rie Gau-Seidel iteration (3.3.5). The semi-iterative proeess ~(v) (Uz,j,; w),
w = (w 1 , .. , w v ), is defined by
u?:= u,;
for ft:= 1(1)v do ur:= ur- I + w/l{~(ur-1,j,) - ur-I); (6.2.47 a)
~(v)(u"j,; w):= ur;
Its iteration matrix is

v
Siv)(w) = Il (l + wl'(S, - I)), S, from (41). (6.2.47 b)
/l~1
Iteration (47) is a special ease of the semi-iterative variant of (42):
for J.1.:= 1 (1)v do ur:= ur- 1 - w/l W;-l(L,ur- 1 - 1,); (6.2.48 a)

~(V) (u"j,; w): = ur;
The eorresponding iteration matrix is

v
S,<")(w) = Il (l-wl'W;-lL,). (6.2.48 b)
/l~l
Proposition 6.2.34. Let Si V ) (w) be given by (48 b). Under the assumptions of
!
Proposition 6.2.27 the optimal estimate
() sin(nj(2v + 2)) 2
IIL,S/ (w)lIji'~<1I ~ 1 + cos(nj(2v + 2)) (v + 1) < O.83j(v + 1) (6.2.49a)
is attained for
w/l = ( 1 + eos 2 vn+ 2 )!( n (2 J.1. + 1) n)

eos 2 v + 2 - eos 2 v + 2 '
(6.2.49 b)
(49 a, b) and (46 a, c) differ only by the sealing factor. The left-hand side of (49 a)
equals Xnv(X) with X=W;-1/2L l W;-1/2. The optimaln v is (46b) with
11 hfm L, 11 replaced by 1. Another polynomial arises in the next proposition,
where a different I . 1<11 norm is used.

Proposition 6.2.35. Under the assumptions of Proposition 6.2.28 the optimal
estimate
(v) 1
IIL,S, (w)lIji'~<1I ~ 2v +1 (6.2.50a)
is attained for
W~ = 2/[1 + cosG~ ~: n)J Jl = 1, ... , v. (6.2.50b)
Proof 11 LI S,<")(w) 11j>+-'f[ equals 11 y 1 / 2 nv(Y) 11 with 0 ~ Y:= Lf l 2 Wz- 1 Lll 2

n (1 -
v
~ ] and nv(x) = w~ x). The optimal polynomial is
~=l
n~(x) = [(1 + T2v + 1(2x -1))/(2x)]1/2j(2v + 1),

7;,(x) = cos (k . arccosx). D
Conjugate gradient methods are closely related to 6.2.3.1 - 2. They will be

discussed in Exercise 6.6.8.
6.2.5.3 The Alternating Direction Method
The iteration matrix of the alternating direction implicit iteration (ADI) is
SI(W) = (wh l- 2m ] + BI)-l (wh l- 2m ] - A I)(wh l- 2m ] + AI)-l (wh l- 2m ] - BI),
where LI = AI + BI (cf. (3.3.13)). The convergence of ADI can only easily be

analysed if AI and BI commute (cf. Varga [1, p. 219]). Under similar assump-
tions the smoothing property can be discussed.
Lemma 6.2.36. Let LI = AI + B" 0 ~ AI = At, 0 ~ BI = Bt, 11 AIII ~ C hl- 2m,

IIBdl ~ Ch i- 2m , and suppose that AI and BI commute. The parameters
(}~: = w~/C have to be chosen so that the right-hand side of (51) becomes a
mInImum:
11 LI S?) (w) 11 ~ Ch i- 2m max

o ~ a, p ~ 1
(0( + ) nI(}~ -+
~ = 1 (} ~
0( (}~ I
IX (} ~
-
+
(6.2.51)
The w~'s minimising (51) are different from the usual optimal ADI para-
meters, as can be seen from the result for t = 1 mentioned in 3.3.4.
6.3 The Approximation Property
The technique for proving the approximation property (1.8) is different for
finite element discretisations and finite difference schemes. The former case is
studied in 6.3.1, while the latter will be found in 6.3.2. We recall that the
approximation property is closely related to the smoothing property. Together
they imply convergence, provided they refer to the same norms 11 11'f[, 11 11j>,
and to the same IX (cf. Theorem 6.1.7). Therefore, the approximation property
has to be discussed for the norms that have been used in 6.2.
6.3 The Approximation Property 135
6.3.1 The Approximation Property of Finite Element Equations
6.3.1.1 The Definition of the Problem

Equation (3.1.11) is a particular example of a variational formulation of a
boundary value problem. In general, it can be described by a sesqui-linear form
ce
a: -*,,1 x -*,,1 --+ and a functional fE (-*,,1)' =: -*,,-1 (cf. 1.4.5; in particular,
Example 1.4.6) 1. The Hilbert spaces 1"" and OIJ of 1.4.5 will be denoted
by -*,,1 and -*,,0, respectively. The common choice is -*,,0 = L 2 (.0),
H' (.0) c -*,,1 C H m (.0). We define -*,,-1 as the dual space of -*,,1 and assume
-*,,-1:= (-*"I)':::J -*,,0:::J -*,,1 with continuous and dense embedding.
(6.3.1 a)
As shown in 1.4 there is a uniquely defined Hilbert scale {-*"s: -1 ~ s ~ I}
connecting -*,,-1, -*,,0, and -*,,1. Whenever -*"S, Isl ~ 1, appears, it is defined
by (1.4.8 b, c). If for instance -*,,1 = H' (.0), the intermediate spaces are
-*"S = H'Om(.o), Isl ~ 1, with exceptions explained in (1.4.11 b).
Moreover, we shall need spaces -*"S for certain s > 1; e.g.
-*,,2 = H 2m (.0) n -*,,1 might appear in (5 a). The norm of -*"S is denoted by I . Is.
Generally, we assume
(6.3.1 b)
and define I . I-s, s > 1, as dual norm of I . I. since it is already true for Is I < 1.
The operator norms 11 11Jf'.... Jf', are abbreviated by I I.... t. (1 b) implies
Note 6.3.1. IA I.+-t = IA* I-t ... _. holds for any A E L(-*"t, -*"S).
The variational formulation of a boundary value problem reads as
a (u, v) = f(v) for all v E -*,,1 (6.3.2a)
withfE -*,,-1, while the form ais bounded and possibly -*,,1-coercive relative
to -*,,0:
la(u,v)I~CtluI1IvI1 forall U,VE-*,,1, (6.3.3 a)
Rea(v,v)+Aolvl~~elvIL e>O, AoER, forall VE-*,,1. (6.3.3 b)
Lemma 6.3.2. Let -*,,1 be compactly embedded in -*,,0 or assume
sup {ja (v, u)l: v E -*"1, Ivii = 1} > 0 for all 0 =1= u E -*,,1. Then problem (2a) has
a unique solution for arbitrary fE -*,,-1 if and only if
sup {I a(u, v) I: v E -*"1, Ivii = I} ~ lu IdCs for all u E -*,,1 (6.3.3 c)
is valid for some Cs E R. Trivially, (3 c) holds for -*"I-elliptic forms (cf. (1.4.17.
The proof of Lemma 6.3.2 is evident by the following rewriting of (2a), (3 a-c).
According to Proposition 1.4.7 the form a corresponds to an associated
1 The space .Yf 1 was called .Yf in 3

operator L: Yfl ~ Yf- I . An equivalent formulation of (2a), (3 a-c) is

Lu=J, (6.3.2a')
ILI-1_1 ;;::; Cf, (6.3.3 a')
I[~(L+ L*) + AoI]-III_-I;;::; 1/6, (6.3.3 b')
IL-III--1;;::; Cs (6.3.3 c')
For the conforming finite element method one has to replace Yfl in Eq. (2 a)
by a finite dimensional subspace:
a (u, v) = J(v) == (f, v) for all v E .Ytl. (6.3.2 b)
As in 3.6 we assume that there exists a hierarchy
Yfo C Yfl c ... C .Ytl-l c.Ytl c ... c Yfl (6.3.4)
of subspaces. Each .Ytl is connected with a 'step size' h1 by
inf {I u - vii: v E.Ytl} ~ Ca hV-I)m lul t for all u E Yfl C Yfl (6.3.5 a)
with fixed t > 1. Yft denotes a Hilbert space of functions of higher order of
differentiability. Usually, Yft equals Htm(Q) n Yfl. The parameters h1have to
satisfy
ho > hl > ... > h1- 1 > h1 > ... ,
(6.3.5 b)
1-+ 00
Lemma 6.3.3. If {Yf': 1 ;;::; s ;;::; t} is a Hilbert scale, Inequality (5 a) is equivalent

to
inf {I u - vii: v E Yf 1} ;;::; C~' -1)/(1 -1) hjs-l)m IUI, for all u E Yfs,
1 ;;::; s ;;::; t. (6.3.5 a')
Proof The left side of (5a) equals lu - Qlul 1, where Ql:YfI~.Ytl is the
Yf1-orthogonal projection onto.Ytl; hence 11 - Qlll .... 1 = 1. (5 a) can be written
as 11 - Qdl _ t ;;::; Ca hIt -1)m. (1.4.12) and (1.4.10 b) prove (5 a'). 0
Besides (5 a), another common condition is the 'inverse assumption'
lul l ;;::; Cih1-mlulo for all uEYf 1. (6.3.5c)
The prolongations p and the restrietions rare the canonical ones defined
in 3.6 by means of
p = P,-l P'-1:1lIt1- 1 ~llItl' r = p* = Rl_IRl-I:1lIt141l1t1_1 '
where p,: 1lIt14 .Ytl c Yf land R1 = P,*: Yf - I ~ 1lIt1depend on the choice of the
basis and on the seal ar product <" .)
ofllltl . The norm lu1l o = <u1, Ul)I/2 of 1lIt1
has to correspond to that of Yfo. Therefore,
Ci 1 ludo ;;::; IP,Ullo ~ Cp ludo for all Ul E 1lIt" 1 ~ 0 (6.3.6)
is a natural assumption.
The stitTness matrices of the discrete equations L, u, = J; satisfy

L,=R,LP" L,_I=rL,P
(cf. (3.1.32), (3.6.7)). To ensure the unique solvability of L, u, = J; we need the
discrete analogue of condition (3 c):
sup {Ia(u, v)l: v E~, lviI = 1} ~ lull/ct for all u E~. (6.3.7)
Remark 6.3.4. If a ( " .) is .?f"l-elliptic, i. e. a (u, u) ~ 8 lu IL Inequality (7) holds
with ct
= 1/8. (7) implies that L, is a non-singular matrix.
6.3.1.2 The Standard Case

First we shall prove the approximation property (1.8) for the norms
11,11", = IIII = 110 with Cl( = 2m:
11 L,- I - P L z-\ r 11 ;:;;; CA hfrn .
These norms and the same Cl( have also been used in most ofthe previous proofs
of the smoothing property. The proof of the approximation property requires
a certain regularity of the boundary value problem.
Definition 6.3.5. A ditTerential operator L, e.g. the operator associated with the
sesqui-linear form a, is called .?f"t-regular, if
(6.3.8)
For instance, the associated operator of a (., .) is .?f"2-regular, if the solution of
Eq. (2a) satisfies lu 12 ;:;;; CR 1110 for any I E .?f"0. Furthermore, the adjoint oper-
ator L* is .?f"2-regular, if the solution u* of a(v, u*) = (v,J) for all v E.?f"l
satisfies lu*12;:;;; CRlilo (cf. (1.4.16)).
Remark 6.3.6. The .?f"l-regularity of L is already stated in (3 c). By (1 b) and
Note 6.3.1, the .?f"l-regularity of Land L* are equivalent. If the coefficients of
Las weil as the boundary r of Q are sufficiently smooth, .?f"l-regularity implies
.?f"t-regularity with .?f"t = H trn (Q) n .?f"l for all t (cf. Lions-Magenes [1], Necas
[2]).
In the case of Dirichlet boundary conditions (i.e . .?f"l = (Q)) the follow- Ho
ing result is known (cf. also Necas [2, p. 201], Ladyzenskaja-Ural'ceva [1,
p.188]).
Theorem 6.3.7 (Kadlec [1]). Suppose that Q c JRn is convex. Let
a: H (Q) x H (Q) --+ JR be defined by
n DU (x) DV (x)
a(u,v) = t.~l aij(x) DXi DX j dx (6.3.9a)
with uniformly Lipschitz continuous coefficients aij satisfying
Laij(X)~i~j~81~12,8>0 forall xEQ, ~EJRn

i, j
(cf. (3.1.7. Then, the associated Dirichlet problem with

L=- L (O/OXj) ajj (x)(o/OXj)
i, j
is Jf'2-regular, where Jf'2 = H 2 (0) n H~ (0), Jf'o = L2 (0). The same result
holds, if the domain 0 can be mapped locally onto a convex domain 0* by a
transformation T with TE C 2 (Q,0*), T- 1 E C 2 (O*,Q).
Corollary 6.3.8. If m = 1, the more general form a from (3.1.11) corresponds to
L=- L" 0
OXj
j,j= 1
0
-a-+ L"(b 0- - -0
OXj j= 1 IOXj OXj
IJ
c ) +d
1
(6.3.9b)
L equals z: + L", where L' eorresponds to the prineipal part (9 a). If

bj,d E L"J (0) and Cj E W1,oo (0), I.:' satisfies IL"lo"'l ~ C, whereas cj,d E Loo (0)
and bjE W 1,OO(0) imply IL"I-l"'o ~ C. The former eondition together with
Jf'2-regularity of L' and (3 c) for L (i, e. Jf'l-regularity of L) imply Jf'2-regularity
of L = z: + L", sinee L - 1 = z: - 1 - z: - 1 L" L- 1
Corollary 6.3.9. (i) Let a and L be given by (3.1.11) and denote the principal
part by Z:. Then L" is a differential operator of order t5m ~ 2m - 1. Under
suitable smoothness conditions on the coefficients one proves
IL"I.-., .... ~ C, t5 E [0,2), -1 ~ s - t5 ~ s ~ 1 (6.3.10)
with t5 ~ 2 - l/m.
() Sufficient conditions for Jf'2-regularity of L are: z: and LJf'l-regular,
L' Jf'2-regular, {Jf's: - 2 ~ s ~ 2} Hilbert scale, (10) for s = t5 and s = 1, if
1 < ~ < 2, and (10) for some SE [<5, 1] if t5 ~ 1.
(iii) L is Jf'l-coereive relative to Jf'o if L' does so and if(10) holds for some
S E [~ - 1,1] (cf. Exercise 1.5.6).
The quantities estimated in the following lemmata are closely related to

L pLI-=-\ r from the approximation property.
I- 1 -
Lemma 6.3.10. Let L be Jf'.+2-regularfor some S ~ -1, and assurne (3 a), (3e'),
(4), (5 a) for t: = 2 + s, (7). Then
(6.3.11 a)
Proof. (cf. Babuska-Aziz [1 ]). Define u : = L -1 f,f, : = Rlf, UI: = ~-1 f, and note
that u.If': = P,UI E Jf/ is the solution of (2 b). Inequality (11 a) is equivalent
to Iu - u.If'll ~ C h!+l)m Ifl. for aHfE Jf's, For any a, v E Jf/ with lviI = 1 one
has
la(a - u.lf', v)1 = lau - u.lf') + (a - u), v)1 = la(a - u, v)1 ~ C! lu - all'
Hence, (7) implies lu - u.lf'll ~ la - u.lf'll + lu - all ~ (1 + c~ Cl) lu - all
for any aE Jf/. From (5 a) one obtains lu -u.lf'll ~ (1 + C~ Cl) Ca h!'+ 1)ml u l.+ 2,
while lu 1.+2 ~ CR Ifl., Thus (11 a) is proved with C: = (1 + C~ Cl) Ca CR 0
6.3 Thc Approximation Property 139
Lemma 6.3.11. Let L be -*,s+2-regular and L* be -*,s*+2-regular for some s,

s* ;;;;; - 1, and assurne (1 b), (3 a), (3 c'), (4), (7), (5 a) for t: = s + 2 and t: = s* + 2
(or for 2 + max {s,s*}, cf. Lemma 6.3.3). Then
(6.3.11 b)
Inequality (11 b) is equivalent to the optimal error estimate
lu - uJl"I_s* ~ C~h!s+s.+2)mlfls (6.3.11 b')
of the finite element solution uJl" E ~ .
Proof Set E,:= L -1 - I:L,-1 R,. From E, = E,LE, one concludes
IE,I-s*+-s ~ IE,I-s*+--IILI-l+-IIE,It+-s ~ IEtll+-s. Cl C h!s+l)m
(cf. Note 6.3.1). Applying Lemma 6.3.10 on L*, one obtains
lEt 11+-s. ~ IL* -1 - I:LT -1 R,ll+-s* ~ C* h!S.+ l)m.
Hence, (11 b) holds with C~: = C* C Cl. D
Finite element methods using linear or bilinear elements yield (5 a) with
t = 2. Together with -*,2-regularity of Land L* (cf. Theorem 6.3.7 and
Corollary 6.3.8) the main conditions of Lemma 6.3.11 are satisfied and imply
(11 b) for s = s* = 0, m = 1:
(6.3.11 c)
Example 6.3.12 (Barnhill-Brown-Mitchell [1]). Consider Poisson's equation
- LI u = f in a rectangle Q with u = 0 on r. If ~ consists of bilinear functions
in squares of size h" inequality (11 c) holds with C~ = 0.625, whereas linear
elements in triangles with sides h" h" V2
h, yield an upper bound C~ = 1.457.
To derive the approximation property from (11 c) we need estimates of
-1 -1 .
R,: = (R, I:) R, = I:* , I:: = I: (R, I:) (cf. (3.6.2. In the followmg, both the
A A A
norms of Oll, and -*,0 are denoted by I 10' If A: Oll, -+ -*'S, the operator norm
IA I. +- 0 means 11 A 11 Jl"S +-<ft , .
In particular for s = 0, I 10+-0 is again abbreviated by 11 11.
Lemma 6.3.13. The inequality (6) is equivalent to
IIR,II = IIP,II = II(R,m- 1 11 1/2 ~ ep, III:II = IIR'!I ~ Cp (6.3.12 a)
and implies (12 b) with e p = Cp = ep Cp:
e;llu'-llo~lpu'-llo~Cplu,-tlo for all U'-1 E iIlt'-I' 1;;;;;1. (6.3.12b)
Proof For (12a) use I:* I: = R,I: = (R,m- . Sincep = R,I:-l (cf. Note 3.6.5)
A A A A l A
and U'-1 = rpu'-1 for r:= R'-1 I: (cf. Exercise 3.9.9), inequality (12b) is im-
mediate. D
Proposition 6.3.14. Assurne (4), (5 b), (6), (11 cl. Then the approximation prop-
erty (1.8) holds for 11 11<ft = 11 . IIJO = I . 10 and IX = 2m:
(6.3.13)
Proof Let E,: = L -1 - ~ L,- 1 R , and note that

~(L,-1 - pL,-=-\ r)R , = ~L,-1 R, - ~-1 L,- -\ R ,- 1 = E,- 1 - E,
(cf. (3.6.1)). Since R,~ = R,P, = I, one concludes from (12a) and (5b) that
IIL,- 1 - pL,-=-\ rll = IIR I (E ,- 1 - E,)P,II ;;; (:~(IIE'-lll + IIE,!!).
(11 c) proves (13) with CA = Cl (:~(c~m + 1). o
A better bound CA = Cl (:~c~m can be proved if L, = LT > 0 (cf. Exercise
6.6.9). The previous results are collected in
= 2, (5 b), (6), (7), Land

Theorem 6.3.15. Assurne: (1 a, b), (3 a, c'), (4), (5 a) for t
L* ~2-regular. Then the approximation property (11 c) holds.
Besides for 11 Ilew = 11 II~ = I . 10' the smoothing property has been proved
for 11 u,11 ew = IlV; 1/2 u,lo, 11 f, 11 ~ = IlV; - 1/2 f, 10 and C( = 0 (cf. Proposition 6.2.27).
Thus, the corresponding approximation property becomes
IIL,- 1 -pL,--\rllew .. ~ = 11 lV; 1/2 (L,- 1 -pL,-=-\ r) lV;1/2 11 ;;; CA- (6.3.14)
An obvious sufficient condition is stated in
Proposition 6.3.16. Assurne (13) and 11 lV; 11 ;;; Cw h,- 2m for all I ~ 1. Then the
approximation property (14) holds.
6.3.1.3 The Less Regular Case

Unfortunately, the conditions of Theorem 6.3.15 are not always satisfied. For
instance, the ~2-regularity is lacking for boundary value problems with
domain Q having a re-entrant corner. If the boundary is still Lipschitz continu-
ous, one can guarantee a weaker ~t-regularity for tm E (m - i, m + i), where
~t = H~m (Q). The original formulation of the following theorem applies to
problems of general order 2m.
Theorem 6.3.17 (Necas [1 J). Let t and K be numbers with 1 < t <~. K > t - 1.
Assurne Q to be a Lipschitz domain and suppose that the coefficients of L from
(9 b) satisfy bi , d E L 00 (Q), aij' Ci E CI< (Q), aij real, Li,jaij (x) ~i ~j ~ G I~ 12 for all
XE Q, ~ E ]Rn. If(3 C') holds (i.e. ifthe inverse exists), L is ~t-regular. Under the
same assumption, but with bi and Ci interchanged, L* is ~t-regular.
Another difficulty arises, e.g., for fourth order problems (i.e. 2m = 4,
~1 = H (Q), ~2 = H (Q) n H 4 (Q)), which are discretised by quadratic finite
elements. The estimate (5 a) does not hold for t = 2 but for t =~, where
~3/2 = H (Q) n H 3 (Q).
In both cases it is not possible to establish inequality (11 c), whereas (11 b)
is still a vailable for certain s, s* E [ -1,0) with s + s* > - 2. Hence, one has to
prove the approximation property with respect to norms 11 . Ilew, 11 . II~, which
are discrete counterparts ofthose of ~-s and ~s, respectively. If L, = LT > 0,
one can choose 11 11'fi = I 1_ .. and 11 IIJO = I . I. with

lud.:= IAiu,lo, sER, (6.3.15 a)
where A, = Lll 2 (cf. (2.4), (2.5. In the general case, A, can be constructed
according to
Definition 6.3.18. Suppose that the sesqui-linear form a is Jt<'l-coercive relative

to Jt<'o; take Ao from (3 b) and set
L': = i(L + L*) + Ao I, A: = z: 1/ 2, L, = R, L' lt, A, = z:/12 . (6.3.16)
Define the norm 11. on Oll, and j by (15 a) with A, from (16).
L', is not exactly of the form (2.26) as discussed below in 6.3.1.5. If
L = L* > 0, (3 b) holds with Ao = 0 and we regain LI = L,.
Lemma 6.3.19. Suppose (1 a, b), (3a, b), and define A and A, by (16).
i) A 2 is a homomorphism of Jt<'-1 onto Jt<'1, Le. IA 2 1_1<-1 ~ C,
IA- 2 11<-_1 ~ C.
) The spaces Jt<" of the Hilbert scale {Jt<": -1 ~ S ~ 1} can be endowed with
the equivalent norms
lul.=IA'ulo foruEJt<', sE[-1,1J. (6.3.15 b)
Proof (i) (1 a) implies 1/1-1<-1 ~ CI for some CI' Thus Note 6.3.1 and (3a')
show IL*I-1<-1 = ILI-1<-1 ~ Cl and IA 2 1 ~ Cl + IAoICI. The estimate of
A - 2 is already stated in (3 b').
(ii) U sing part i), lAu 10 and lu 11 are equivalent norms. The same result holds
for the dual norms IA - 1u 10 and lu 1_ 1, while IA 0u 10 = lu 10' By interpolation,
Jt<'s must have a norm equivalent to IAsulo for Isl ~ 1 (cf. (1.4.7b. 0
By virtue of the preceding lemma we may assume that the norm of Jt<",
-1 ~ S ~ 1, is defined by (15 b); in particular, lul 1 = IA 1 ulo. In the sequel,
this will be the general assumption.
The proof of Proposition 6.3.14 can be repeated for the actual norms if the
estimates of (12 a) can be generalised to
(6.3.17)
A A A A*
Iltl.<-. ~ C p , Iltl ....... ~ C p
From the proof mentioned above we have
IL,-l - pLi--\ rl_ ...... ~ IR,I- .. <--.. IE'-l - Ed- <-.llJl.<-s'

lt, Note 3.6.1 shows IR,I-.. <--s' = Ilt 1.. <- ~ Cp ThlS proves
A* A A A A*.
Smce R, =
Lemma 6.3.20. (5 b), (11 b) and (17) imply the approximation property (1.8)
with respect to 11 . 11'fi = 11_ .. , 1 IIJO = I 1. and with a = (2 + s + s*)m:
(6.3.18)
In the remaining part of this chapter we show that the desired estimates (17)
with s, s* E [ -1,0] are a consequence of the assumptions of Lemma 6.3.11 and
the inverse assumption (5 c), which has not been used before. The result will be
Theorem 6.3.21. Let the norms be defined by (2.7) with -1 ~ s"!i ~ 0 ~ S ~ 1.
The approximation property (1.8) holds under following conditions: (1 a, b),
(3 a, c'), (4), (5 a) for t: = 2 + s and t: = 2 - S"!i' (5 b, c), (6), (7), L Yf2+s~_
regular, L* Yf2 -S"'-regular.
The proof is prepared by a sequence of lemmata.
Lemma 6.3.22. Let the assumptions of Theorem 6.3.21 be valid. Then for
S = S and s = - S"!i there are projections Q, onto Yt, such that
IQ,11<-1 ~ C, 11 - Q,I-s<-l ~ Ch!s+l)m. (6.3.19)

Proof a} Set X ,: = L (L - 1 - P, L , 1 R ,). (3 a') and Lemma 6.3.1 0 yield
IX,! -1 <-s ~ C h!s+ l)m for s = s; hence IXr l-s<-l ~ C h!s+ l)m. Xr
equals
1 - Q" where Q,: = p, Lf -1 R , L* is the required projection. For s = - S"!i use
XI:=L*(U-1-p'Lt-1R ,).
b) An upper bound of IQ,11 <-1 is lP,h <-1 ILt -111<- -1 IR,! -1 <- -1 IL * 1-1 <-1'
(3 a') implies IL* 1-1 <-1 ~ Cf, while (7) is equivalent to
(6.3.20 a)
It remains to show
IP, 11 <-1 = IR,I- 1<- - 1 = 1, (6.3.20b)

which follows from
lP,u'!i = IAp'ud = <u"R I A2 p' U ,> = <u"Aful> = IA,ud = ludi. 0
Lemma 6.3.23. Let a projection Q, onto Yt, satisfy (19) for some S E (-1,1] and
assume (5 c). Then the Yfo-orthogonal projection Q? onto Yt, satisfies
11 - Q?II<-l ~ ChP-1)m for Itl ~ 1, (6.3.21 a)
IQ?11<-1 ~ C. (6.3.21 b)
Proof a) Assume first 0 ~ S ~ 1. (19) implies 11 - Q,lt<-l ~ C' hP - I)m for t = 1
andt = - S ~ O.Byinterpolation(cf. (1.4.10b})weobtain11 - Q,lo<-l ~ C' hi;
hence, (19) holds also for S = O.
b} By virtue of a), we may assume that (19) holds for some sE(-l,O].
Let Q: be the Yfl-orthogonal projection onto Yt,. Since 11 - Q,-sl-s<-l ~
I1 - Q,I-s<-l, Proposition 1.4.5 can be applied with 11:= Ch!s+l)m and yields
(21 a) for -1 ~ t ~ - s.
c} Let u E Yf1 and set v:= (Q? - Q,}UEYt,. Ivl- s ~ 1(1- Q,}ul-s +
1(1 - Q?) ul- s ~ C' h!s+ l)m lul1 and (5 c) prove Ivl 1 ~ C" lu 11' since (5 c) implies
lul 1 ~ (C i h,- m}l +s lul-s> u E Yt, (cf. (1.4.9d}). (21 b) follows from IQ? ul 1 ~
IQ,UI1 + Ivl 1 ~ (C + C") lul1' It is equivalent to (21 a) with t = 1. Interpolation
between t = 1 and t = - S completes the proof. 0
The projection Q? can be represented by Q? = p,R,. From

IQ?II+-l = IIAp,R,A- 1 11 2 = IIA- l ~R,A2 p,R,A-lll
= IIA -1 ~Af R,A -111 = 11 A,R,A -111 2 = IRdI+-l
one concludes the first part of
Lemma 6.3.24. (i) IQ?ll+-l = IR,ll+-l.
(ii) (21 b) and (6) imply (17) for -1 ~ s, s* ~ 0 and
C;llu,_d. ~ Ipu,-d. ~ CpIU'-ll.

(6.3.20c)
for all 0 ~ S ~ 1, U'-l E Oll'-l'
Irl.+-. ~ Cr> inf {lud.: u, E Oll" r U, = u,_ d ~ Cr IU,-ll.
forallu'_lEOll'_l' -1~s~0. (6.3.20d)
Proof of (ii). Interpolation of (12a), IRdo+-o ~ Cp and IR'!l+-l ~ C yields

IR,lt+-t ~ CI C! -t for all 0 ~ t ~ 1 (cf. (1.4.10b. Since I~I-t+--t = IR,lt+-t, (17)
is valid. For P and r compare Exercise 3.9.9. 0
Proof of Theorem 6.3.21. a) In the less interesting case of SoF = - 1, stfi = 1 the
result folIo ws from Irl- l +-- l = Ipll+-l = 1 and IL,lll+-_l = IL,_\ll+--l
~CI
b) Otherwise, either SoF > -1 or Stfi < 1 must hold and Lemmata 6.3.22-23
-24-11 prove (18) with S = SoF' s* = - Stfl. 0
6.3.1.4 Tbe Very Regular Case

In the previous subsection Land L* were assumed to be t-regular, where
1 ~ t < 2. The standard case t = 2 has been considered in 6.3.1.2. It remains
to discuss the case of t > 2. This higher regularity must be accompanied with
higher order finite elements.
To prove (17) for s, s* E (0, 1], it is sufficient to have
1~ll+-l ~ C. (6.3.22a)
Lemma 6.3.25 (i) 1~ll+-l = I(R, P,)-lll+-l.
(ii) (22 a) and (12 a) imply (17) for all 0 ~ S, s* ~ 1.
(iii) (22 a) and (21 b) yield (17) for all -1 ~ s, s* ~ 1.
Proof (i) 1~ll+-l = 11 A P,!R, m-
l A,-lJI = 11 A,(R,P,)-l A,- l 11 = I(R,P,)-lll+-l
(ii) Apply (1.4.10b) to 1P'll+-l ~ c, 1P'lo+-o ~ Cp .
(iii) (21 b) implies I~I-l +- -1 ~ C (cf. Lemma 6.3.24). Continue as in (ii). 0
Using part (ii), condition (17) of Lemma 6.3.20 is satisfied and one
obtains
Tbeorem 6.3.26. Let the norms be given by (2.7) with StfI, SoF E [ -1, + 1]. Under
the conditions of Theorem 6.3.21 and the additional assumption (22 a), the
approximation property (1.8) holds.
Inequality (22 a) is equivalent to IU,I-1 ~ ClP, Ud-l for all u, E Oll" To ob-
tain full equivalence of the norms we need in addition
IP,I-l--l ~ C. (6.3.22 b)
The proof of the following lemma is left to the reader.
Lemma 6.3.27. (i) (22 b) is equivalent to Ip, R, 1 1 - 1 ~ C.
(ii) (22a, b) implies (21 b), i.e. IQPll-l ~ C.
(iii) (22 a, b) holds if and only if
C - 1 Iu,l s ~ IP, uds ~ C Iuli s for all u, E Oll" Is I ~ 1, I ~ O. (6.3.22 e)
(iv) (22 e) implies (20 e, d) even for s E [ -1, 1].
6.3.1.5 The Smoothing Property Revisited

The results of this ehapter are also useful for the analysis of the smoothing
property. For instanee, we often required II hl m L,II- 1 ~ W, ~ 1/eonst (cf.
Proposition 6.2.11), which is equivalent to
(6.3.23)
Proposition 6.3.28. (3 a), (5 e) and (12 a) imply (23) with CL: = Cl Cr Cf,. More
generally, ILds-t ~ Cl(C j Cph,- m)2+s-t holds for any s, tE [-1,1].
1 equals sup {I<U" L, v,) I: ludi = lVIII = I}. (3 a) proves that
Proof a) IL , I- 1-
l<u"L,v,)1 = la(p'u"p'v,)1 ~ Cl IP, UIIIIP'vdl = Cl IU,lllvdl = Cl
b) Let 1 be the identity on Oll" The desired estimate follows from
ILds-' = IIIs--IIL , I-l-lI111_, by means ofthe next lemma. 0
Lemma6.3.29.IIIs_, ~ (CjCph,-m)S-t, -1 ~ t ~ S ~ 1, holds for the identity
1:0ll1 -+0ll, with C, from (5e), Cp from (12a).
Proof a)(5e) shows ludi = IP,U,I1 ~ Cjh,-mlp'u,lo ~ CjCph,-mlu,lo;heneethe

estimate holds for S = 1, t = O.
a) The ease s = 1, t = - 1 follows from 1111_ -1 ~ 1111-01110- -1 = 11Ii-o.
e) Interpolation between 11It--l ~ '" and IIIr-r = 1 for r =
(t + s)/(2 + t - s) yields the estimate of IIIs-t. 0
For a general L we eonstrueted A and A, to define the basie norms. In 6.2.3.4
we used A, = L', 1 / 2 with L', = (L, + Li)/2 + Al (cf. (2.26), whereas in 6.3.1.3
the ehoiee L', = R, L' P, = (L, + LT)/2 + ;'0 R , P, (ef. (16)) was more eonvenient.
Although the norms involved in the smoothing and approximation property
must eoincide, this differenee does not matter beeause of
Lemma 6.3.30. Assume inequality (6). The norms IU,I! = IAf,IU,lo and
lu,W = IAf,1I u,l o with All = l(L , + Ln + U and Al II = l(L , + Ln +
;'0 R, P, are uniformly equivalent:
C-1Iu,l! ~ IU,W ~ C IU,I! for all -1 ~ s ~ 1, u, E Oll" I ~ O.

Proof a) IUl11 ;;:;; CllulW is equivalent to Ar, I ;;:;; Cl Ar, II or AI~AAr,IAI~A ;;:;; Cl'
Since Al~ll Ar,lAI~I~ = I - A/~A(.A.o RIP, - U)AI~A and 11 Al~l~ 11 ;;:;; <;~j).o, the
desired inequality holds with Cl = 1 + (AI AO + C~) <;~ .
b) Analogously, one proves IUIW ;;:;; C21ul11 with C 2 = 2 + Ao C~/A.
c) From a), b) one deduces Clllull~l;;:;; Iul-l;;:;; C2luzI~1 for the dual
norms.
d) Interpolation yields the assertion of the lemma with C =
max{C l ,C 2 }. 0
Finally we discuss the estimate (2.29) of Vi = i(L I - Li) - Ao R/ p,. This
inequality guarantees the smoothing property of the damped Jacobi iteration
(cf. Corollary 6.2.18) and it is the main condition for the smoothing property
of the Gau-Seidel iteration (cf. Proposition 6.2.32). If the coefficients of
the sesqui-linear form aare smooth enough, the anti-symmetrie part
b: = i (a - a*) - AO corresponds to an operator L" containing only derivatives
of order ;;:;; 2m - 1. Therefore, IL"I-l<-l-l/m is bounded and implies
1L"I_ 1 <-1 - I/rn ;;:;; C. Lemma 6.3.29 shows that 11 L'i 11 ;;:;; C M- 2m holds for
L7 = i(L I - Ln - AO Rl P, as weil as for L'i = i(L I -Ln - U. Hence condi-

tion (2.29) is satisfied.
6.3.2 The Approximation Property of Finite Difference Schemes

The previous technique of proof used the error estimate 1U - P, ud.., ;;:;;
Chj2+s..--s",)mlfls... ' e.g. Iu - p,ullo;;:;; Chtmlflo, which is equivalent to (11 b).
This is not the common form of error estimates of finite difference solutions Uz,
although as a result of the following theory such estimates can be proved.
The key to the proof is the discrete regularity of LI, the discrete counter-
part of the regularity from Definition 6.3.5. In the foregoing section the differ-
ence Li l - p Li-\ r was estimated by means of L - 1 - P, Li l R/ and
L -1 - P,-I Li_lI R/- l In the following we shall not use the tri angle inequality,
but compare Li l and pLi_lI r directly.
6.3.2.1 The Discrete Regularity

The uniform boundedness of 11 Li l 11 is well-known as 'stability'. However, too
little attention is paid to the fact that even ILills+2<-S may be uniformly
bounded, where 1 Is is a norm involving differences of order s . m. It is not
necessary to define ascale of norms {I . Is: SE [ - t, t]}. Only three or four differ-
ent values of S will appear.
For S = 0 the norm 1 10 can be chosen to be the Euclidean norm associated
with the scalar product (3.5.2):
lu/lo:= [hf L lu/(xW]1/2, (6.3.24a)
xeQ,
where Q/ is the set of grid points.

Jl't'l equals HA (0) if we consider Dirichlet boundary conditions and if

m = 1. Then lUllt can easily be defined by
._
lu,ll'- [L 10 ullo]
" - 2 t/2.
,
_. _
UI'-
{u0 1 in
.
0 1,
Q \r> (6.3.24 b)
l"l~t In 1 u/>
where 110 is the norm in the infinite grid QI from (3.1.13). The sum is taken over
multi-indices a; = (Xt, ... , (Xd) with (Xj ~ 0 and la;I = (Xl + ... + (Xd' 0" and T IS are
difference and transition operators:
T IS = Tfl ... T;d, Tfu(x t , ... , Xj'"'' Xd) = u(Xt, ... , Xj + kh/> ... , Xd),
(6.3.25 a)
U -Ut "'Ud,
~IS_~IZI ~lZd
Uj'-
~'-h-t(I
- r-
j t) . (6.3.25 b)
Replacing Ia; I ~ 1 in (24 b) by Ia; I ~ k, one 0 btains the norm I Ik corre-
sponding to the norm of H~ (0). The norm 11. corresponding to Htm (0),
t
s =1= + integer, can be defined even for all real s ~ 0 by means of a Fourier
transform:
(6.3.24 c)
V(~):= [1 + hl-21~12r/2u(~), u(~) = (hd2n)d/2 L ul(x)eix~/h"

xeU,
where x~ = Xl ~l + ... + Xd~d'

It is more difficult, e. g., to define a discrete norm I b corresponding to
H 2 (0) n Hb (0). The divided differences alS, Ia; I = 2, are to be applied only at
grid points x such that the neighbouring grid points involved in (0" U,) (x)
belong to 0h whereas O"Uh la;I ~ 1, has to be summed over all 0 1, Ifirregular
boundary points occur (cf. Fig.3.1.1), special second order differences are
needed to define I b (cf. Hackbusch [32].
For negative index the norm 1,1-. is defined as the dual norm of 11.:
IUII-.: = sup {I <UI, VI) I: VI E Olth lVII. = 1}. (6.3.24 d)
Definition 6.3.31. A family {LI: 1= 0, 1, ... } is called t-regular, if there exists
some CR such that
IL,tlt<-t-2 ~ C R for all I ~O. (6.3.26)
In the sequel we shall say that 'LI is t-regular' for brevity.
The 2-regularity of the five-point scheme (3.1.15) can easily be shown if 0
is a rectangle. Severe problems arise for curvi-linear boundaries. As a typical
difference scheme with irregular discretisations near the boundary, we consider
the Shortley-Weller formula (cf. (3.1.22)).
Theorem 6.3.32 (Hackbusch [32]. For sufficiently smooth boundary and suit-
ably defined I b, the Shortley-Weller discretisation of the Poisson equation
yields 2-regular operators LI'
A similar statement for a special difference scheme in a non-uniform convex

grid Q, is proved by Dryja [1 J.
If r is not smooth enough, the five-point scheme cannot be 2-regular, since
the Laplace operator is not ~2-regular. However, the analogue of
Theorem 6.3.17 can still be proved:
Theorem 6.3.33 (Hackbusch [23]). Let Q be a Lipschitz domain and L, be the

difference scheme
with T and 0 from (25). C"'/lYli = C"'/lyli (x, h,) are real coefficients vanishing for
alm ost all indices. Let 1 ~ t < lAssume
IC"/lYli(x,h)1 ~ C for all XERd, 0< h ~ ho,
C"(Rd x ro h]) 'f {IIXI = m and t> 1 }

C../lyli E L, 1 IIX I = IPI = m, t = 1 '
where either K > t - 1 > 0 or K ~ t - 1 = O. Suppose that L, is elliptic, i. e.

A(X, ,) ~ e "1 2m for all XE R d, lejl ~ 1t, where e > 0 and
A(X,,)= L:
1"1 = 1/11 =
L:
m y.liE71. d
C"/lYli(x,O)e-i~('I'+li) nd
j= 1
(l_ei~J)f1J+flJ.
For all grid points x E Q" (L, u,) (x) is defined by (L, a,) (x), where a, = u, on Q"
a, =0 outside. Then, the stability "L,
1 " ~ C implies t-regularity of L,.
6.3.2.2 Criteria
If L'-l is defined according to (3.7.1), the quantity

(6.3.27)
vanishes. Otherwise, <5'-1 U'-l should equal 0 (hi-') (K: consistency order) for
smooth u,_
l' since L, and L,_ 1 are consistent discretisations of the same
differential operator. E. g., a reasonable assumption is
;: I... -2+-s~+2 <
IU'-l = Ca h(S~-
, ... +2)m (6.3.28 a)
for some SfF' s'fI < SfF + 2, where of course (SfF - S'fI + 2)m cannot exceed the
consistency order K. If K = 2m, we may, in particular, assurne
1<5,-t1-2+-2 ~ Cahfm. (6.3.28a*)
Here l'lt denotes the norms discussed above in 6.3.2.1. If L, is s'fI-regular and
(2 + sfF)-regular, one has
(6.3.28 b)
S<fl-regularity of LI is equivalent to (2 - s<fl)-regularity of Lt (cf. (1.5.2)). There-

fore, 2-regularity of LI and Lt implies
IL 1 l lo _- 2 ~ CR, IL1llz_ o ~ CR. (6.3.28b*)
Further natural assumptions are (28 c) or (28 c*), respectively:
ILtI~-2+-~ ~ CL' (6.3.28c).
(6.3.28 c*)
The interpolation error of p can be described by the difference I - pr' with a
suitable restriction r': tJtIl --+ tJtIl _ l. Assurne
11 - pr'l ~+-s... +2 =< CI h(sI ... -s.,+2)m . (6.3.28 d)
If, e. g., p is the piecewise linear interpolation from 3.4.2, if m = 1 and r' = r inj
from (3.5.1), one has
11 - pr'IO+-2 ~ CIhfm. (6.3.28 d *)
r' as weil as rand p have to satisfy the stability conditions
Irl5o-2+-5o-2 ~ C" Ir'18,.+2+-8... +2 ~ C~, Ipls.,+-~ ~ Cp. (6.3.28 e)

For S<fl = S:F = 0 these inequalities become
Irl-2+--2 ~ C" Ir'12+-2 ~ C~, Iplo+-o ~ Cp (6.3.28 e*)

which hold, e. g., for r from (3.5.4) or (3.5.6) and for r' = rinj , if m = 1.
Remark 6.3.34. Define 11 1I<fl: = 1. I... , 11 II:F: = 1 . I..... The assumptions
(28 a-e) imply
11 L l -\ bl - l r' Lllll<fl_:F ~ Cl h'i, (6.3.29 a)
IILI_\rL,II<fl_<fl ~ C2, Ilpll<fl-<fl ~ Cp, (6.3.29 b)
11[1 - pr']Lllll<fl+-:F ~ C 3 h,/ (6.3.29 c)
with Cl = C~CJC~, C 2 = CRCrC L ' C 3 = CICR, and
cx = (S:F - S<fl + 2)m. (6.3.29 d)
Criterion 6.3.35. Suppose that there exists some r': tJtIl --+ tJtIl _ 1 such that (27),
(29 a, b, c) are valid with an cx ~ 0 for all I. Then the approximation property
(1.8) holds with CA = q[(l + CpC 2)C 3 + CpCd.
Proof From (I - p L l -\ r LI)p = - p L l -\ bl - 1 one concludes that
IIL l l - pLI_ll rll<fl+-:F = 11(1 - pL I -\ r L,)LlllI<fl_:F
= 11 (I - p L l-\ r LI)(I - pr') L l l - p L l -\ bl - l r' L l l lIifI-:F
~ 111 - pLI!l r L,II<fl-<flIl(I - pr')LlllI<fl_:F
+ IIpll<fl_<flIlLI_llb,-lr'LlllI<fl_:F
~ [(1 + CpC2)C 3 + CpCdh,/. o
Note that (X from (29 d) is the same value as required in (6.2.9) for the smoothing
property. Remark 6.3.34 implies
Corollary 6.3.36. Sufficient conditions of the approximation property are

(27), (28 a-e), S'II ;;;:; S, + 2. If L,- 1 = r L,P, the estimate (28 e) of r' is not
needed.
The value of (X is bounded by the consistency order of the discretisation (cf.
(29 a and by the order of the interpolation P (cf. (29 cl). However, if b' - 1 = 0
the consistency order does not matter:
Note 6.3.37. By the choice L ,- 1 = r L,P one can achieve the approximation
property with (X larger than the consistency order of the discretisation.
The smoothing property requires (X = (s, - S'II + 2)m > 0 (cf. Proposition
6.2.12, Criterion 6.2.30, or (2.3. The choice s, = - 1, S'II = 1 is excluded.
Hence, the simple 1-regularity of L, is not sufficient. Another factor determines
the choice of P and r. Assume that P and r* are piecewise interpolations by
polynomials of the respective degrees mp - 1 and m, - 1. Condition (28 e)
requires (2 - s'II)m ;;;:; m, and s'IIm;;;:; mp ' Hence,
m, + mp ~ 2m
follows. The assumption m, + mp = 2m would imply S'IIm = mp ' The estima-
tion of b - 1 = r L,P - L,- 1 by (28 a) can hardly be proved if Ipl.,+2+-.,+2 ;;;:; C
'
does not hold. The latter inequality requires m p ~ (s, + 2)m in contradiction
to mp = S'IIm = (s, + 2)m - (X < (s, + 2)m as (X > O. Another argument [the
(s, + 2)-regularity of L,] can be applied if b' - 1 = O. Thus, the inequality
should be satisfied as stated in Note 3.5.1.

A dual version of Criterion 6.3.35 can be proved by means of the identity
r[I - L,pLi_11 r] =- b - 1 Li-\ r.
'
Criterion 6.3.38. Suppose that there exists some prolongation p': ~ - 1 ~ ~
with
IILi 1p'b , - 1 L i-\II'II+-';;;:; Crhf, (6.3.30a)
IIL,pLi-\ 11,-+-,;;;:; C~, Ilrll,-+-,;;;:; Cr> (6.3.30b)
IILI 1 (I - p'r) II'II+-'- ;;;:; CJ hr, (6.3.30c)

and assume (27), and (X ~ O. Then the approximation property (1.8) holds.
Remark 6.3.39. Let 1 11'11 = I I... , 11 11, = I I..... The conditions (30 a-c) with
(X = (s,- - S'll + 2)m follow from (28 a, b) and
<CL,
ILI1 .... +-.... +2= II-p'rl ... -2+-.... <C h(... - ... +2)m ,
= 11
(6.3.31)
Ip'I"'-2+-... -2 ;;;:; C~, Ipl.... +2+-.... +2 ;;;:; Cp , Irl.... +-.... ;;;:; C,.
A combination of both criteria is given for the special case of S", = 1 - 9,

S90 = - 1 + 9. Note that Theorem 6.3.33 yields no better regularity than
(1 + 9)-regularity with 191 < Ij(2m).
Criterion 6.3.40. Let Iull s = IAi ullo for Is I ~ 1 + 9 with 11 Alil ~ C hl- m. The
approximation property (1.8) holds with (J( = 29m and 11' 1190 =
I '1-1 +11> 11 11", = I' 11-1h if the following conditions are satisfied: 9 ~ 0, (27),
there are p' and r' such that the quantities ILi 1 11...... -1l1, IL'/-1 lI ... 1lI ,
Ip'l-l+--1' Ir'll"'l' Ipll lI"'l lI , Irl-1 ...... -lll are uniformly bounded, while
1<>1-11-1- ...... 1+11 ~ Cohf ... m, 11 - p'rl-1 ...... - l ~ C[hfm,
11 - pr' 11 - ...... 1 ~ C[ hfm .
Proof Set Cl: = Li 1 - P Li_11 r. The assumptions imply IC1 11'" - 1+11 ~ C hfm
and ICl l 1 _ ...... _ 1 ~ C hfm by means of Criteria 6.3.35, 6.3.38. The estimate of
IC,/1- ...... -1+11 can be obtained from the identity
o
For a curvi-linear boundary one needs extra definitions of p and r near the
boundary.1t is not necessary to require the same order ofinterpolation. In the
case of a Dirichlet problem, even very simple definitions (e. g., p = 0 near the
boundary) are sufficient. The weak conditions of Criterion 6.3.40 are satisfied
if 0< 9 < 1/(2m) (cf. Hackbusch [13]).
6.4 The Symmetrie Case
6.4.1 Quantitative Analysis
The classical iterations admit a simple convergence proof if LI is positive

definite:
LI = LT > 0 (6.4.1 a)
In this case, also the two-grid analysis can be improved, provided that rand
p satisfy
r = p* (6.4.1 b)
(cf. (3.5.3)). For ease of exposition we assurne in addition (3.7.1):
Ll- l = r L1P. (6.4.1 c)
Remark 6.4.1. If a (.,.) is an Jf"1-elliptic form, the finite element approach leads
to LI> r, p satisfying (1 a-c).
Also the smoothing iteration must satisfy a symmetry condition. SI = S,* is
not required, but instead
(6.4.1 d)
6.4 The Symmetrie Case 151
Remark 6.4.2. The damped Jaeobi iterations (3.3.6), (3.3.7), (3.3.10), as weIl as
the symmetrie Gau-Seidel iteration (3.3.5) satisfy (1 d) (cf. 6.2.4.3).
First we eonsider the two-grid iteration TGM(V, , V2) from (3.2.2) with
VI = V2 = v/2; i.e., the number ofpre- and post-smoothing steps is equal. The
approximation property is required with respeet to the norms
11 ulll"II': = 1-/1/2 ullo, IIJ; 11"11'* = 1-/-1/2J; 10 instead of 1 11'fI and 11 1 j:
(6.4.2)
Note that the faetor h'l ean be skipped beeause of (X = 0 (cf. Proposition 6.2.27).
We reeall Proposition 6.3.16: If 11 -/11 ~ Cw hl- 2m (as for the examples men-
tioned in Remark 6.4.2), Inequality (2) follows from the approximation prop-
erty 1 L l 1 - P L I_\ r 1 ~ hfm CA/C W , whieh has been proved in 6.3.
Remark 6.4.3. Suppose (1 a-e). Inequality (2) is equivalent to
(6.4.2')
Proof The right-hand inequality is obvious from (1.5.3 a, e). (1 e) yields
e
L/-1f2 r LIP L I_1 = I, (1.5.3 d) proves L}/2 P L , _\ r L}/2 ~ I; henee, P L , _\ r ~
Li 1 proves the left-hand inequality of (2'). 0
In the general ease, Theorem 6.1.7 eould guarantee eonvergenee only for
V ~ 1'. Now we ean prove eonvergenee for any V > O.
Theorem 6.4.4. Suppose (1 a-d), (2), Slv) = St, and let v > 0 be even. Then the
two-grid iteration TGM(v/2, v/2) from (3.2.2) eonverges. Its speetral radius and
contraction number with respeet to the energy norm 11 UI 11'fI : = 1L}/2 ullo satisfy
(3) for all v ~ 0:
I if v = 0,
(! (MI (~, ~))
= 11 MI 11 (~,~) ( CA '10 (v) ~
if 0 CA ~ ~
1 + v, (6.4.3)
2 2 2 2 'fI~'fI (1 _ l/CA)" if CA > 1 + v.
'10 (v) is defined in (2.1 b).
Proof Introduee the transformed matriees
XI: = L}/2 -/-1 L}/2, (6.4.4 a)

QI: = L}/2 (LI 1 - p L , _\ r) L}/2 . (6.4.4 b)
nL<-'fI'
Sinee MI = 8,v/2 QI 8,v/2 (cf. (1.1)) is symmetrie, (! (M{~,~)) = (! (MI) equals
11 Mdl = 1 MI G, The first inequality of
o ~ QI ~ CAX I, X I := L}/2 -/-1 L}/2, (6.4.5 a)

o ~ QI ~ I, (6.4.5 b)
is equivalent to (2'), while (5 b) holds since Q, is an orthogonal projection. The

linear combination of (5 a, b) yields
o ~ Q, ~ lX CA X, + (1 - lX) I for all 0 ~ lX ~ 1. (6.4.5 c)
Multiplication by s,v/2 from the left and the right proves
o ~ M, = s,v/2Q,s,v/2 ~ s,v/2[lXCA X , + (1 -lX)I]S,v/2 =!(X,;lX) (6.4.5 d)
with !(e;lX):= (1 - et(1 - lX + lXCAe) for all 0 ~ lX ~ 1. Since 0 ~ X, ~ I,
Lemma 1.3.5 yields
11 M'!I ~ II!(X,; lX) 11 ~ m (lX): = max {f(e; lX): 0 ~ e~ 1}
for all 0 ~ lX ~ 1. m(l) equals CA '10 (v). If CA ~ 1 + v, the value lX* = v/(CA - 1)
lies in [0, 1] and one calculates that m (lX*) = !(I/CA; lX*) = (1 - I/CA)v. Hence (3)
~~~ 0
We remark that M, (~,~) can be defined also for odd v and that such an
M, G, ~) satisfies (3).
If the numbers of pre- and post-smoothing iterations are different, one can
apply
Proposition 6.4.5. Suppose (1 a-d), S!V) = polynomial in S" and define 11 11<ft as
in Theorem 6.4.4. The contraction number ofthe two-grid iteration TGM(v1'v,)
from (3.2.2) is bounded by
11 M, (V1, V2) 1I<ft+-<ft ~ 11 M, (V1, V1) IW~<ft 11 M, (V2' V2) IW~<ft
(6.4.6)
If S[V) = S,v, e(M,(V1,V2 equals IIM,(v/2,v/2)11<ft+-<ft, where V=V1+V2.
VI + V2 > 0 implies convergence.
Proof Define M,(v1, V2):= L}/2 M,(V1, v2)L,l/2 = S,(vtlQ,S,(v,). Since Qf = Q"
the equation M,(v 1 , v2) = M,(O, v2)M, (v 1,0) (cf. Lemma 6.1.12) proves that
11 M, (VI, V2) 11 ~ 11 M, (0, V2) 1111 M, (V1' 0) 11; hence,
11 M,(V1' V2) 1I<ft+-<ft ~ 11 M, (0, v2) 1I<ft+-<ft 11 M,(V1' 0) 11<ft +-<ft. (6.4.7 a)
By M,(v,O)* = M,(O, v) and M, (v, v) = M, (v, 0)* M,(v,O),
IIM,(O, v)II<ft+-<ft = 11 M, (v, 0) 1I<ft+-<ft = 11 M, (v, v)IW~<ft (6.4.7b)
follows. (7a) and (7b) imply (6). Concerning e(M,(V1, v2 compare Note
~12 0
Ifwe choose semi-iterative smoothers (2.48 b), we can prove similar results.
Proposition 6.4.5 applies already to this case. The right-hand side of (3) be-
v/2
comes min max (CA er
0~s~1 O~~~l
n
(1 - co" e)2 < 1. For sufficiently large v the
,,=1
minimum is attained at 8 = 1 and the bound equals CA (v + 1)-2, if W It ,

f1 = 1, ... , v/2, are given by (2.50 b).
Finally, we consider the case ofless regular problems. The norm is given by
Iuds = IAfudo, -1 ~ 8 ~ 1, where A, = L}/2.
Lemma 6.4.6. Assurne (1 a-d), 11 W; 11 ~ Cw h,- 2m and 8 E ( -1, 0]. The approxi-
mation property
(6.4.8)
implies (9) with CA: = C~ Cw :
o~ Q, ~ CAx,a for all 0 ~ IX ~ 1+ 8 with X, from (4a). (6.4.9)
Proof (9) holds for IX = 0 because of(5 b). By Exercise 6.6.10 it remains to prove
(9) for IX = 1 + 8. The inequality
ILil-pLi_\rl_s~s= IILis/2(Lil-pL~\r)Lis/211 ~(C~hfm)l+s
can be rewritten as
Li s/2 (Li 1 - pLi_li r) Li s/2 = Li(l+S)/2 Q, Li(l+s)/2 ~ (C~ hfm)l +s I
and gives
o ~ Q, ~ (C~ hfm)l +s L} +s. (6.4.10a)
11 W; 11 ~ Cw h,- 2m implies Wt ~ Cw h,- 2m I and I ~ Cw h,- 2m W; - 1 ; hence
LI = L}/2 I L}/2 ~ L}/2 (C w h,- 2m W; - 1) L}/2 = Cw h,- 2m XI' (6.4.10b)
Applying Exercise 6.6.10 to (lOb), one obtains in particular
L} +s ~ (CW hl- 2m )1 +s X/ +s (6.4.10 c)
since 0 < 1 + 8 ~ 1. (10a) and (10c) imply Inequality (9) for IX = 1 + 8. 0
The proof of the following result is similar to the proof of Theorem 6.4.4.
Proposition 6.4.7. Assurne (1 a-d), 11 W; 11 ~ Cw h,- 2m , Sj') = St, and (8) for
some 8 E (-1,0]. Then the two-grid iteration TGM(/2,./2) converges when-
ever v > O. The contraction number with respect to the energy norm
Ilu,ll'fI = IM/ 2 u,lo is given by (11) with CA := C~Cw:
if O:::;C :::;v+l+8
- A_ 1+8
<1 'f C > v + 1 + 8

1 A= 1+8 .
(6.4.11)
Proposition 6.4.5 is still applicable, since it does not require condition (2).
6.4.2 Estimates Without Regularity Assumptions
The approximation property (2') can be rewritten as Q, ~ CA X, (cf. (5 all.

Multiplying by the orthogonal projection Q, from both sides, one obtains the
weaker condition
(6.4.12)
Inequality (12) can be proved much more easily than (2'), since it does not
require 2-regularity of L,.
Lemma 6.4.8. The weak approximation property (12) follows from (1 a-d) and
inf {ltft l / 2 (UI - P u,-l)lo: U'- 1 E 0lI, _ d ~ ~ IU,ll for all u, E 0lI, . (6.4.13)
Proof. Let u, E 0lI, be arbitrary and define w, : = L 1 1 / 2 Q, U,. Choosing the op-
timal W,-I E 0lI1- 1 according to (13) and noting that r L, w, = 0, we prove
Iwdi = <L,w" WI) = <L,w" w, - PW,- 1 ) ~ Itft- I / 2 L/wdo ~ Iwdl;
hence, Iwdl ~ ~ Itft- 1 / 2 L,W,lo, which is equivalent to
<U"Q,U,) ~ CA <u"Q, L}/2tft-1 L}/2Q,U/), i.e., to (12). o
Note 6.4.9. Let Q? = p(r p)-l r denote the orthogonal projection onto p 0lI,- 1.
(13) holds with CA = CI C2 if
(6.4.14).
The matrix L, is involved only indirect1y in Iu,l l : = IL}/2 u,l o, which implies
the 1-regularity of L,. Though further conditions are not imposed on L" the
two-grid convergence is immediate.
Proposition 6.4.10. Define 11 11", as the energy norm 111. The assumptions
(1 a-d), Si = St, and (12) imply the estimates
V)
1 )" .h _ {t if VI ~ 1 or V2 ~1
II MI(VI, v2)11", ... ", ~ ( 1 - CA Wlt K -f
1 1 VI' V2 ~ 1
'
(6.4.15a)
(6.4.15b)
Proof. By Proposition 6.4.5, the spectral radius equals 11 M, (v, v) 11", ... '" with
v = (VI + v2 )/2 ~ tHence(15b)followsfrom(15a),if(15a)holdsformultiples
VI' v2 of t
Firstly let VI = 0, v: = V2 ~ t and set M, = L}/2 M,(O, v) L I I / 2 = St QI. (12)
and SI ~ I imply
~ ~ ~2 ~
MtM,=QISlvQI~QISIQI=QI(I-XI)Q,~ (
1- 1 ) QI~ ( 1- 1 ) I,
CA CA
V2 =
which gives IIM,II = 1I MI (0, v)II"''''<fI ~ (1 - CA- I )I/2. The other cases
and VI, V2 ~ t can be treated by means of (7 a, b).
VI ~ t,
0
6.5 Comments 155
The symmetry of S, is not needed as stated in

Corollary 6.4.11. Assurne (1 a-c), S/v) = St, and
s,* S, ~ I - X" i.e. S,* L, S, ~ L, - L, W,-I L, (6.4.16a)
for some X, = M/ 2 W, -1 M/ 2 ~ I satisfying (12). Then (15 a) holds for M, (0, v).
The estimation of M, (v, 0) by (15a) requires
(6.4.16b)
instead of (16a). With (16a) and (16b) one proves the estimate (15 a) for
M, (VI ,V2)' VI + v2 ~ 1.
Proof Use M ,* M, = Q,S,*v s,v Q, ~ Q,S,* S,Q, ~ Q,(I - X,)Q, ~ (1 - ~JI. 0

The latter result can be applied to the Gau-Seidel iteration. Let
L, = D, - A, - B, be the splitting defining S,: = (D, - A,) - 1 B"
Proposition 6.4.12. Assurne (1 a-c), D , = Dt > 0, A, = Bt, S, = (D, - A,)-I B"
111 - D ,- I /2 A I D,- I /2 11 ~ Cl'
(6.4.17 a)
or
11 (D, - A,) D,- I (D, - B,) 11 ~ C 3 h,- 2m,
11 (D, - B,) D,- I (D, - A,) 11 ~ C 3 h,- 2m, (6.4.17 b)
inf{lul-pu,-Ilo:u , - I EOlt,-d ~ C 4 h7'lu , I I
Then the two-grid iteration with Gau-Seidel smoothing satisfies (15 a) with
CA = Ci C~ or CA = C 3 Ci, respectively.
Proof (2.32 b) shows that s,* S, = I - M/ 2 (D, - B,) D, (D, - A,) L}/2 ~
-1 -1
I - C~ 2 L}/2 D,- I L}/2. Thus, w,: = Ci D, satisfies (13) with ~ = Cl C 2 and
the results follow from Corollary 6.4.11. The case of (17 b) is analogous. 0
6.5 Comments
The smoothing and approximation properties (introduced by Hackbusch [101

[21]) are hidden in all previously published convergence proofs. These proofs
are often very involved since the proofs of the smoothing and approximation
properties and of Theorem 6.1.7 are intertwined.
A variant of our approach is the following. Let Q, be a projection, set
Qf : = I - Q" and abbreviate I - p L l-\ r L, by C" In
11 M, (v, 0) 11 = 11 C, S/v) 11 = 11 C, Q, S/v) + C, Qt S/V) 11
= 11 C, Q,JIII S/V) 11 + 11 C, 11 11 Qt s/v) 11 (6.5.1)
we may assurne 11 SjV) 11 ~ C, 11 CI 11 ~ c. If the range of QI consists of sufficiently

smooth functions, the inequality 11 CI QIII ~ e (e smalI) can be regarded as a kind
of approximation property, while 11 Qt S[V) 11 ~ " (v) serves as smoothing prop-
erty. Inequality (1) implies 11 MI (v) 11 ~ C(e + " (v.
A similar approach has been proposed by Wesseling [2]. He uses our ap-
proximation property and describes the smoothing property by
11 QI Si v) Q,JI ~ 1, 11 Qt S[v) Qt 11 ~ " (v), 11 Q, S[v) Qt + Qt S[V) Q,II ~ C (v) hj.
The definition of QI by Wesseling [2] originates from Bachvalov [1]. QI is the

orthogonal projection onto the span of all eigenvectors corresponding to ei-
genvalues A. ~ (J 11 L,II, where (J E (0, 1) has to be chosen suitably. The optimal
choice of (J depends on v. Ifwe take instead the span of all 'low frequencies', we
are led to the local mode analysis described in 8.2.
The approximation property for finite element equations. We recall that there is
a canonical definition of the Hilbert scale {~s: - 1 ~ s ~ 1}. In addition we
need ~t, t > 1, (e.g. ~2) to define the t-regularity and to estimate the approx-
imation error by(3.5 a). We never required a scale connecting~O, ~1, and ~t.
For ease of presentation we defined the t-regularity of Land L* by means
ofthe same Hilbert space ~t. In general it can happen that the ranges of L- 1
and L * - 1 are different. Then one should introduce two Hilbert spaces ~t and
~~, t > 1, but still ~s = ~: coincide for I s 1 ~ 1. Inequality (3.5 a) has to hold
for I' It = 11 11Jf" and I' It = 11 lIJf'l' while the t-regularity of L(L*) uses
~t (~~). Then, all conclusions of 6.3 remain valid. However under the condi-
tions as given in Corollary 6.3.9 one can always choose ~t = ~~.
Afinite element hierarchy violating Jt';-l C Jt';. The assumption (3.4), Jt';-1 c Jt';,
is needed for the canonical definition of p and r (cf. 3.6) and simplifies the
proofs. However, a finite element hierarchy with Jt';-1 cj:: Jt'; does not destroy
the convergence. E. g., Jt'; -1 cj:: Jt'; may arise during the construction of finite
element spaces in 3.8.3 (cf. Note 3.8.2). The prolongation p can still be defined
by the finite element interpolation (3.8.2). Thus we are in the same situation as
in the finite difference case, where pis chosen in a non-canonical way.
Even if the triangulation involved in Jt';-1 is divided regularly in the in-
terior, the refinement near the boundary must lead to Jt';-1 cj:: JIf, if r is curvi-
linear. Mansfield [1] studies such a case and proves multi-grid convergence for
a finite element discretisation with isoparametrie elements.
Discrete regularity. A typical error estimate for a difference scheme is
max {Iu,(x) - u(x)l:x E a l } ~ C hf 11 u Ile4(U) which is far from being optimal
and does not meet our needs. An optimal error estimate
lu, - R,ulo ~ Chf IluIIH2(U) as known for finite element methods has been
proved by Nitsche-Nitsche [1] for a constant difference operator in a square,
where Fourier analysis can be applied. In such a case also the multi-grid
convergence can be proved by means ofthe Fourier analysis (cf. 8.1). Bachva-
lov [1] already considered finite difference schemes with varying coefficients
6.6 Exercises 157
in a rectangle. As long as Q is a rectangle (or a eube, ete.) one ean apply partial
summation to prove regularity results. Regularity and optimal error estimates
are closely related. Also the result of Dryja [1] using a eonvex grid Q, belongs
to this class of problems: Although Q is a general eonvex domain, the grid is
chosen non-uniformly so that partial summation still applies. For further
results of this kind we refer to D'jakonov [1] and Lapin [1].
The Fourier analysis ean also be applied to the interior of a general region
Q. Interior regularity results are proved e.g. by Thomee-Westergren [1]. How-
ever, for a proof of the approximation property we need the regularity 'up to
the boundary'. For Dirichlet boundary value problems in a general domain Q
some results have been proved by Hackbusch [231 [32] (cf. Theorems 6.3.32,
6.3.33). The treatment of other boundary eonditions is still an open problem.
Convergence without regularity assumptions. Papers eoneerning the symmetrie
ease of 6.4.1 will be mentioned in 7.3. The results of 6.4.2 di'er from the
other eonvergence results since we do not require the usual approximation
property. The substitute (4.2) is provable without any t-regularity (t > 1) of L.
It seems that in return one obtains only weaker eonvergence results. They are
still uniform with respeet to I, but the estimates do not improve with inereasing
v = V1 + v2 Furthermore, a generalisation of this proof to the symmetrie
multi-grid ease has not yet been developed.
The pioneering paper in this respeet is areport of Bank-Dupont [1]. A
quantitative result has been obtained by Braess [1]. He proved a eontraction
number! for a regular finite element diseretisation of Poisson's equation with
h,- 1 = .J2 h,. The main tool is a strengthened Cauehy-Sehwarz inequality
I<u" v,)1 ~ 'l' Iu,llv,l, 'l' < 1, for u, and V, from different subspaces spanning q["
The eonstant 'l' (as weIl as our eonstant CA. from (4.12 can be ealeulated by
studying the single triangles ofthe finite element triangulation. Values of'l' for
further finite element methods are given by Maitre-Musy [1]. Mandel [3] proves
the same eonvergenee results for the Gau-Seidel iteration as smoother and
extends the theorem to variational inequalities.
6.6 Exercises
Exercise 6.6.1. Prove that the matrix N, (V1' V2) (cf. (1.3.2 of the two-grid iter-
ation (3.2.2) is given by
N, (V1' v2) = 1/(V2) + Slv2) [1/(VIl - p L"l-\ r (L, 1/(VIl - I)],
where fI;(V) (u"Ji) = SIV) U, + 1/(v)Ji.
Exercise 6.6.2. Let A and B be two n x n-matrices and suppose that the norm
iseonnected with a sealarproduetby 1 1I<lI = <.,. )1/2. Prove: Forevery e > 0
there is a norm 1 II~ with 1 AB 11<lI+-<lI ~ IIA 1I<lI+-~ IIBII~+-<lI + e.
Exercise 6.6.3. Consider the Jacobi iteration (3.3.7') with LI = LT ~ O. Prove

that 11 LISt 11 ~ CL hl- 2m '10 (v) for WI E[1 j C L ,(2 _10g2 1 V)!cL] and CL from
(2.10). v+
Exercise 6.6.4. Consider the iteration (3.3.7') with some WI. Suppose that LI is
normal (i. e. LT LI = LI Ln and that WI h;m LI has eigenvalues only in a certain
domain Q c ce.
(i) Show: 11 LI St 11 ~ (WI h;m) -1 max I( 111 - (I'.
'eil
(ii) Remark: For any function '1* (v) ~ '10 (v) one can define
Q, = {, E ce: I( 111 - (I' ~ '1* (v)) .
Then 11 LI St 11 ~ '1* (V)/(WI h;m) holds if the spectrum of WI h;m LI lies in Q,.
,0
00
Show that Q, is not empty and that the smoothing property holds, if
n,
1
the spectrum is contained in Q, .
(iii) Set '1*(v):= [v 2j1 + v)(2 + V))]'/2j~. Let R,(ep) be the largest root
ofr[(1 - r)2 + 4rsin 2 (epj2)r/ 2 = '1* (v). Prove: IILIStl1 ~ '1* (v)/(wlh;m), if
the spectrum of WI h;m LI is contained in {z = r eiCP : 0 ~ r ~ R, (ep), Iep I ~ TC}.
Exercise 6.6.5. Let.ll . 11", and 11 II be defined by (2.4), (2.6), (2.7), and (2.28).
Assume oe:= (2 + S - s",)m ~ 2m, IIL; 11 ~ Cih l 2m , h'tIIL'i II ... "' .... O. Prove
that h;m 11 L'i 11", ... '" .... 0 as I .... 00 (cf. Corollary 6.2.18).
Exercise 6.6.6. Discretise the equation - u" (x) = f(x) in R. (without boundary
conditions) by (2.1.5') and define 91 by (2.3.1). Prove the following smoothing
property with respect to the supremum norm:
, <
11 LI SIll 00 = hl
-2 1-'( +
4 v
2v+ 1 )2k+ 1
k + 1 2v+ 1
~ [h l-2J!!e!(V + i)](1 + O(V- 1 / 2 )),
where k = (v + 1)/2 (v odd), k = v/2 (v even), 11 . 1100 = row-sum matrix norm.

Exercise 6.6.7. The elliptic equation Lu = L(x) u(x) = f(x) in Q has variable
coefficients. Let LI be a difference operator and SI the smoothing iteration
matrix. For simplicity assume that SI is sparse (i.e. exclude blockwise iter-
ations). Let the coefficients ofthe stencils LI and SI be bounded and uniformly
Hlder continuous. Denote the operators with constant coefficients evaluated
at some fixed ~ E Q by LI(~) and SI(~)' Define 11 . 11", = 11 . II = 1'10 by means
of (3.5.2). Prove: The smoothing property (1.7) with oe = 2m holds for LI St if
and only if
IILI(~)St@II ... ", ~ '1* (v) hl- 2m for all v< v(h l ), I ~ 1, ~ E Q,
with v independent of ~ and some '1* (v) .... 0 (v .... (0).

6.6 Exercises 159
Remark. The c 9 methods (3.3.16) and (3.3.17) yield a nonlinear gz<V). However,
the considerations of this chapter remain valid if the smoothing property (1.7 a)
is replaced by
11 L, [gz<V) (ul>fz) - L , 1 fz] 11 9" ~ '1 (v) h,-" 11 u, - L, l fz 11",
for an u, E OUI> jj E :F, . (6.6.1)
Exercise 6.6.8. Suppose < L, = Lt ~ 'I = '1*. Show:
(i) Let gz<V) be defined by (3.3.16). Inequality (1) holds with cx = 0,
'1 (v) = 1/(2 v + 1) if 11 fz 119" = IL, l / 2fz 10 and 11 u,ll", = 1'1 1/ 2u,lo
(ii) Let gz<V) be defined by (3.3.17). If 11 fz 119" = 1Wj-l/2 fz 10 and
Ilu, 11", = IL~/2Ullo, cx and '1 are as in (i). If instead Ilu,ll", = 1'I l / 2u,lo,

Inequality (1) holds with cx = and '1 equal to the right side of (2.49 a).
Hint: Use Note 3.3.5.
Exercise 6.6.9. Let L, = LT > 0, Ei, R" p" N, be as in 6.3.1.2. Prove that
< L-, 1 -P L-'-lr=,
0 = 1 < R~ (L- 1 - P' - 1L- 1 R
1-11-1
)R~
I
Exercise 6.6.10. Let A, B, C be matrices with A = A* ~ 0, B = B* ~ 0,

C = C*. Prove:
(i) If C ~ AP, C ~ Aq for some P ~ q, then C ~ AS for all P ~ s ~ q.
(ii) If AP ~ BP for some P ~ 0, then A S ~ BS for all SE [O,p J.
The stiffness matrix L, may be perturbed because ofintegration errors. This
situation is considered in
Exercise 6.6.11. Assume that L, : = L, + (j LI> where
11 (j L, II9"+-'" ~ eM.
Let e be sufficiently small so that L, is non-singular. Suppose that the norms
11 11"" 11 119" are defined as in 6.3 with cx = (2 - s'" + s9")m. Prove that
(i) under the conditions of the respective Theorems 6.3.15,6.3.21,6.3.26 the
approximation property is still valid for L,;
(ii) the damped Jacobi iteration applied to L, satisfies the smoothing property.
7. Convergence of the Multi-Grid Iteration
In 7.1 we shall prove that two-grid convergence, more precisely, the sufficient
conditions from Theorem 6.1.7, alm ost imply the multi-grid convergence. The
multi-grid contraction number is bounded by some C(v) < 1 with C(v) .... 0
(v .... 00), which is independent of 1, i. e. independent ofthe finest step size hl and
independent of the number of involved levels. However, the estimates are
somewhat pessimistic. In particular, the V-cycle (cf. 2.5) cannot be treated by
this approach. 7.2 provides sharper estimates, which apply to the V-cycle also.
7.1 The General Convergence Theorem
In addition to the suppositions of Theorem 6.1.7 we need

11 SlV) 1 1ft .... 1ft ~ Cs for all 1 ~ 1, 0 < v < v(h 1 ) (7.1.1)
with v(h) from (6.1.7 a, cl. This inequality has already been considered. Thanks
to Corollary 6.2.10, it suffices to prove (1) for the positive definite case
LI = L1 > O. The modifications of Jacobi's iteration satisfy (1) with Cs = 1. For
the Gau-Seidel iteration compare Proposition 6.2.23.
Further, we require the inequalities
,,;1 I UI-1111ft ~ Ilp ul-1111ft ~ Cp lI ul-1111ft for all ul-1EOIII-1, I~ 1
(7.1.2)
which have also been stated above for different choices of 11 111ft (cf. (6.3.12b),
(6.3.20c,d), Lemma 6.3.27 (iv)).
Remark 7.1.1. Let 0111 be a Hilbert space. An equivalent fonnulation of (2) reads
as folio ws: There exists some f: 0111 .... 0111_ 1 with
(7.1.2')
Condition (2) ensures that the nonns 1 111ft at the different levels I = 0,1, ... are
comparable.
7.1 The General Convergence Theorem 161
With these assumptions the assertions about the two-grid convergence (cf.
Theorem 6.1.7) can be established for the multi-grid case also. The symbol
M; (VI, Vz) denotes the iteration matrix of the multi-grid algorithm MGM(Vl'VZ)
described in (4.1.1).
Theorem 7.1.2 (multi-grid convergence of MGM(V,O. Suppose y ~ 2, (1), (2),
the smoothing property (6.1.7a-c), and the approximation property (6.1.8).
Let CE (0, 1) be a fixed number.
a) In the case of v(h) = 00 (cf. (6.1.7 c)) there is a number l' such that the
multi-grid contraction number satisfies
11 M;(v,O) 11'fI+-'fI ~ (' < 1, 11 M;(v,O) 11'fI+-'fI ~ ~1
y-
CA '1 (V), (7.1.3)
whenever V ~ 1', independently of I ~ 1.
n
b) In the remaining case of v(h) -+ 00 there exist > 0 and l' such that Inequal-
ity (3) holds for all V E [1', v(h l )) and all I ~ 1, provided that hl ~ Ti. For such
h1 the interval [1', v(h l )) is not empty.
c) Under condition (6.1.2) one obtains convergence u{ -+ L / l h as j -+ 00.
The prooj of part c) is immediate: C < 1 ensures convergence lim u{ =: ur
and ur = L / l h follows from j-+ 00
Remark 7.1.3. The discrete solution L , l h is a fixed point of the multi-grid

iteration (4.1.1), provided that (6.1.2) holds.
To prove the parts a), b) we have to characterise the multi-grid iteration
matrices Mav l , vz). The matrix is defined recursively like the iteration.
Lemma 7.1.4. The iteration matrix M;(v 1 , vz) ofthe multi-grid algorithm (4.1.1)
is defined by
(7.1.4a)
M;(Vl, V2) = M/(V I , vz) + S,tv,) p [M;-l (VI' v2)]y L,.! Ir L,S,tvll for I ~ 2,
(7.1.4b)
where M, is the two-grid iteration matrix from (6.1.1). One can also start with
Mo = 0 and use (4b) for I ~ 1.
Proof For 1= 1 the two- and multi-grid algorithms are identical and (4a)
folIows. Let (4 b) hold for 1 - 1 (instead of 1). By Exercise 1.5.1, M; = M; (VI' Vz)
equals S,tv z) C;S,tVI!, where C; represents the coarse-grid correction (4.1.1 c-e).
To determine C; set H = 0 and let UI E d/tl be arbitrary. Step (4.1.1 c) results in
dl - 1 : = r LI UI' In (4.1.1 d) y iterates Vl-l , ... , vl- 1 are computed from V?-l = O.
Since the multi-grid iteration at level 1 - 1 can be described by
v{:t:t = M;-l V{-l + N{-ld l - 1, M;-l:= M;-dv 1 , v2 ),
(cf. (1.3.2, Eq. (1.3.3) shows
y-l y-l
vl-l = L (M;_l)k Nz/_1d l - 1 = L (M;_l)k Ni-1rLlul'
k=O k=O
162 7. Convergence of the Multi-Grid Iteration
By virtue of Remark 7.1.3, Eq. (1.3.6) applies:

~'-l = (I - Mi-l) LI\
y-l
Using L ~k(l - ~) =1- ~Y, one obtains
k=O
VT-l = [I - (Mi-l)Y] LI_\rL,u"

Hence, the coarse-grid correction (4.1.1 e) results in C;U, = U, - pvl- l proving
C; = I - p [I - (Mi-l)Y] L, _l l r L, = I - pLI!l r L, + p(Mi-1F L'!l r L,
and
Mi = S'<V2) C; S,<VIl = S'<V2)[I - pLI!1 r L,] S,<v" + S'<V2) p(Mi-1)Y LI!1 r L,S,<vl).
Since the first term equals M,(V l , V2) (cf. (6.1.1)), Eq. (4b) is proved by induc-
tion. D
By Eq. (4 b), the multi-grid iteration matrix can be regarded as the two-grid
matrix M, plus aperturbation, which is hopefully smalI. This leads to the
estimate
IIMl(Vl'V2)11"' .... "'~ 11 M, (V l ,V2) 11", .... ",
+ 11 S,<V2) 11", .... ", Ilpll"' .... '" IIMi-l(Vl,V2)11~ .... ", IILI!lrL,S'<VI) 11", .... ",. (7.1.Sa)
Under the conditions of Theorem 7.1.2 we have 11 pli "' .... '" ~ Cp and
11 S'<V2) 11 "' .... '" = 1 because of V2 = O. Hence, (5 a) becomes
IIMi(v,O) ""' .... '" ~ 11 M, (v, 0) ""' .... '"

+ Cp 11 Mi-l (v,O) II~ .... ", 11 L'!l r L,Sj') ""' ...."'. (7.1.5b)
To estimate the last factor we may apply
Lemma 7.1.5. Suppose (1) and the first part of (2). Then
IILI!lrL,S,<V)II"' .... "'~ Cp(C s + 11 M,(v, 0) 11", .... ",)
Proof Use 11 L , _\ rL,S,<V) 11", .... ", ~ Cp IIPLI!lrL,Sj') 11", .... ", and
pLI!l r L,S,<V) = SjV) - [LI 1 - pL'!l r] L,St v) = SjV) - M,(v,O). D
We shall consider only v with 11 M,(v,O) ""' .... '" < 1. Hence, Inequality (Sb)
becomes
11 M,(v,O) ""' .... '" ~ 11 M,(v,O) II",+-", + C* 11 Mi-l (v,O) II~+-", (7.1.5c)
with C*:= CpCp(C s + 1). (5c) gives rise to the recursive inequalities
(1 ~ (, (, ~ (+ C*(l-l for all 1 ~ 2. (7.1.6)
An elementary analysis shows
Lemma 7.1.6. Assume C*y > 1. If
(7.1.7a)
7.1 The General Convergence Theorem 163
any solution of (6) is bounded by
'*
'*
,,~ < 1, (7.1.7b)
where and , are related by
,= '* - C*,u, '* ~ ~1 ,.

y-
(7.1.7 c)
In the case of the W-cycle (i. e. y = 2), requirement (7 a) becomes
y = 2, '~'max:= 1/(4C*) (7.1.7d)

and all " are bounded by
,,~ 2'1(1 + J1 - 4'C*). (7.1.7 e)
Proof of Theorem 7.1.2. Without loss of generality we may assume that C*
from (Sc) exceeds 1/y. Define '*: = min {c, (y C*) -l/(y-l)} with " from
Theorem 7.1.2 and set ,:= '* - C*,*y. Note that , satisfies (7a): '~'max.
Theorem 6.1.7 shows
11 M,(v, 0) 11 ifl+-ifl ~ CA '1 (V) ~ , (y ~ v < v(h l ) ~ v(h,), h l ~ Ti)
for suitable y and Ti. By (Sb) the quantities ',:= IIM;(v,O)lIifl+-ifl satisfy (6).
'* "
Lemma 7.1.6 proves
11 M;(v, 0) 11 ifI+-ifI ~ ~ for all v E [y, v(h l )), h l ~ Ti.

As explained in Theorem 6.1.7, v(h) = 00 implies Ti = 00; i.e., Inequality (3)
holds for all v ~ y without restriction on h l . 0
Since Lemma 7.1.6 requires y ~ 2, the V-cycle (y = 1) is excluded. To prove
" < 1 from the inequalities (6), one needs C* < 1 - , < 1, which is unrealistic.
Smaller values than C* ~ 1 cannot be expected.
Theorem 7.1.2 applies to the case of no post-smoothing. A dual result can
be proved in the case of no pre-smoothing (cf. Theorem 6.1.10):
Theorem 7.1.7 (multi-grid convergence of MGM(o.y)). Suppose y ~ 2, the
smoothing property (6.1.7a-c), the approximation property (6.1.8), and
IIL,SIY)LIIIIF+-F~Cs foralll~1, O<v<v(hd, (7.1.8a)
IIrIlF+-F~C" inf{II.liIlF:.liE~, r.li=.Ii-d~Crll.li-IIiF
for all .li-I E ~-l' (7.1.8 b)
Then the assertions of Theorem 7.1.2 hold for 11 L,M;(O, v) LI! IIF+-F'
The analogue of Remark 7.1.1 is
Remark 7.1.8. Let ~ be a Hilbert space. An equivalent formulation of (8 b) is
the following assumption: There exists some prolongation p: 1F, - I -.1F, with
(7.1.8b')
The multi-grid iteration MGM(v,. V2) with VI =1= 0, V2 =1= 0 will be diseussed
in the next ehapter. A very rough analysis of MGM(vt. V2) ean also be based
on (6.1.17), whieh also holds for Mi(VI,V2)' Note that Lemma 6.1.12 (or
Lemma 7.2.4) does not earry over to Mi (VI' V2), if Y ~ 2.
7.2 The Symmetrie Case
The symmetrie ease is eharaeterised by the assumptions (6.4.1 a-d):
LI = Lf > 0, r = p*, L I- 1 = rLIP, SI = I - Ut/-l LI, Ut/ = Ut/* ~ LI'

To obtain a sharper estimate than in 7.1, we have to analyse Mi (VI, V2) direetly
instead of using estimates of the two-grid matrix MI(VI, V2)' We reeall (1.4 b):
Mi(V 1 ,V2) = SiV 2) {I - p[I - (Mi-l (VI' V2))Y] LI!lrL I} Siv tl .
s" XI> and QI have already been introdueed in (6.4.4a, b); in addition, we define
Mi (VI, V2): = L}/2 Mi (VI' V2) LI 1/2 ,p = L}/2 pLI!{2 ,f = L I!{2 r L}/2 .(7.2.1 a)
Note that
QI = I - pr, f = p* . (7.2.1 b)
The representation of Mi (VI' V2) implies

M; (VI' V2) = S,(v 2 ) {I - P [I - (M;-I (VI, V2W]r"} Siv!). (7.2.2a)
First we eonsider the ease VI = V2 =:v/2 and abbreviate M,(v/2, v/2) by
Mi:=Mi (V2'2V) .
v v
(7.2.2 b)
If Spt) = Sr and therefore

S,(/l) = sr = (1- XI)/l, (XI from (6.4.4a)) (7.2.3)
formally, the definition (2 b) makes sense for any real value v ~ O. In partieular,
odd V are permitted.
The main step of the following eonvergenee proofs is
Lemma 7.2.1. Suppose (6.4.1 a-d), (2b), (3), and the approximation property
(6.4.8) for some s > - 1. Then
0;:;;Mi-l;:;;(1-1I, 0;:;;(1-1;:;;1 (7.2.4a)
implies
0;:;; Mi;:;; (11, (1:= min max f(~; ), (7.2.4b)
'~_!~fJ~l O~~~l
where
(7.2.4c)
Proof. M;-l ~ 0 proves M;-l ~ M,- 1 , which is positive semi-definite as stated
in (6.4.5d). Hence, M; ~ O. Using (4a), (1 b), (6.4.5c), and (6.4.9), we obtain
M; ~ 5,V /2 [I - (1 - ([-1) pr] 5,v /2 = 5,v/2 [(1 - ([-1) Q, + '1-1 I] 5,V /2
~ 5,v/2 {(1 - '1-1) [oe(CAX ,)l+. + (1 - oe) I] + ([-lI} s,v /2
for all 0 ~ oe ~ 1. Define := (1 - ([-1)(1 - oe) + '1-1. For all E ['1-1,1],

we have
M; ~ 5,v/2 {(1 - ) (CA X,) 1 +. + I} s,v /2 = f(X,; ); (7.2.5)
hence, by 0 ~ X, ~ I, (4 b) follows. o
Theorem 7.2.2 (convergence of the V-cycle). Let 11 u,II<rt: = 1L}/2 ud 0 be the
energy norm and suppose (6.4.1 a-d), the approximation property (6.3.13) (i.e.
(6.4.8) for s = 0), Si v ) = St, v > 0, Y = 1. Then the V-cycle converges:
(7.2.6)
Proof. 11 M; 11<rt<-<rt equals 11 M; 11. Formally, the proofby induction can be started
with '0 = 11 Mo 11 = 0 (cf. Lemma 7.1.4). Let the assertion hold for 1- 1, i.e.
'I
'1-1 ~ CA/(CA + v). Choose *:= CA/(CA + v). f(~; *) is maximum at ~ = 0
and one finds = f(O; *) = * = CA/(CA + v). 0
The contraction numbers improve with increasing y. For y -+ CX) they con-
verge to the right side of (6.4.3). The result for y = 2 reads as folIows.
Theorem 7.2.3 (convergence of the W-cycle). Under the conditions of
Theorem 7.2.2 (but y = 2), the W-cycle converges. If CA> 1 and
v ~ (CA - 1) [1 - (1 - 1/CA)2v], the contraction number is
(7.2.7 a)
Otherwise, the smallest root , = '(v) of' = 110 (v) [,2 + (1 - ,2) CA ]v+l satis-
fies
(7.2.7b)
for all 1 ~ o.
The bounds in (6) and (7 a, b) are independent of the level number I. The
contraction number of the V-cycle at a fixed level may be better, whereas the
W-cycle contraction numbers are less dependent on I.
Table 7.2.1. l-dependent contraction numbers

V-cycIe W-cycIe
11 M,(v/2, v/2) 11",_", for CA = V = 2 (computed by (4b
1 0.2963 0.2963
2 0.3699 0.3112
3 0.4041 0.3130
4 0.4239 0.313217
5 0.4369 0.313245
10 0.4659 0.313249
00 0.5 0.313249
For the analysis of Ml(vl> V2) with VI =F V2 we need a generalisation of

Lemma 6.1.12:
Lemma 7.2.4. Suppose (6.4.1 a-e) and y = 1. Then
(7.2.8)
Proof by induetion. (8) holds for I = 1 by Lemma 6.1.12. Suppose (8) for 1 - 1.
If suffiees to prove (8) for the transformed matriees Mi instead of Mi. Sinee
fQ, = 0, Q,p = 0, Qf = Q" and fp = I, one eoncludes that
Mi (0, V2) Ml(vl' 0) = SJv 2) [Q, + pMi- .(0, V2)f] [Q, + pMi-1 (VI' 0) f] 8,<v ll
= 8,<v ) [Q, + PMi-l (0, V2) Mi-l (VI, 0) f] 8,<v il
2
=,SV<v2) [Q ,+pvMv,-
I I (Vl, V2) rrlJ .),
<'r<v!l = MV,V I, V2 .
I (
o
)
An immediate result of Theorem 7.2.2 and Lemma 7.2.4 is

Theorem 7.2.5 (eonvergenee of the V-eycle). Under the eonditions of
Theorem 7.2.2 and if VI + V2 > 0, the V-eycle eonverges and its eontraetion
number is
IIMi(vl,v2)11'ft+-'ft~ J C
CA + Vl
j CA + V2 < 1. (7.2.9)
Proof Lemma 7.2.4 yields

11 Mi(Vl, V2) 11'ft+-'ft ~ 11 Mi (0, V2) 1I'ft+-'ft 11 Mi(vl,O) 11'ft+-'ft.
Sinee
11 Mi (0, V2) 11 ~+-'ft = 11 Mi (0, V2) 11 2 = 11 Mi (0, V2)* Mi (0, V2) 11
= II Mi (V2, 0) MI(O, V2) 11 = 11 Mi (V2, V2) I1 = 11 Mi (V2, V2) 11 'ft+-'ft
and similarly 11 Mi (VI' 0) 11 ~+-'ft = 11 Mi (VI, vl)ll 'ft+-'ft, inequality (9) folIows. 0
Although Lemma 7.2.4 does not extend to the W-eycle, Theorem 7.2.5 ean
be generalised to y ~ 2. The result is stated in Exercise 7.4.3.
Hitherto we assumed the approximation property (6.4.8) for s = O. In the
less regular ease - 1 < s < 0, one ean prove eonvergenee of the W-cycle, but
not of the V-eycle.
7.4 Exercises 167
7.3 Comments
As already hinted in an early paper by the author (cf. Hackbusch [1]), the
multi-grid convergence can be derived from almost the same basic assumptions
as the two-grid convergence. The additional suppositions (1.1) and (1.2) are
very weak. In the symmetrie case of 7.2 these inequalities are not men-
tioned explicitly. However, it is immediate that under the conditions of
7.2 the inequalities (1.1), (1.2), (1.8 a, b) hold with the optimal constants
Cs = C _p = Cp = Cs = C _r = Cr = 1 and v(h) = 00.
The proof of Theorem 7.1.2 is implicitly contained in the convergence
proofs by Fedorenko [2], Bachvalov [1], Astrachancev [1], Nicolaides [2], etc.
Usually, the theorem is proved slightly differently. First one can show that the
two-grid iteration converges with a contraction number C' = C' (e) even if the
coarse-grid equation is solved up to a relative error e > o. If (C(e))1 ~ e, one
obtains the assertions of Theorem 7.1.2. This variant of the proof will be
presented for the nonlinear multi-grid iteration in 9.5.
The results of 7.2, which have been described for the special case
I = 11 LI 11 I by Hackbusch [29] and Braess-Hackbusch [1], proceeded from the
proofs used by Braess [1], [2]. A V-cycle convergence proof requiring stronger
assumptions on the finite element space JfI is presented by McCormick [3]. The
V-cycle is also studied by Maitre-Musy [2], [3].
Bank-Douglas [1] gave the first V-cycle convergence proof, that applies to
the smoothing iteration (6.4.1 d) with a general I = 1* ~ LI. Though the
proof is formulated quite differently from our proof in 7.2, it is completely
equivalent. For instance, the inequality of their Theorem 4 (involving con-
stants (x, K) is the approximation property (6.4.2) with the same (X and CA: = K.
7.4 Exercises
Exercise 7.4.1. Let ~(V)(Uh}i) = S/V)UI + Ti(V) }i. Show thatthe matrix Nj'(Vl' V2)
of the multi-grid iteration (cf. (1.3.2)) equals NO(v 1 , V2) = L(j 1 for 1=0 and
for I ~ 1.
Exercise 7.4.1. Prove that Theorem 7.1.2 extends to the choice (4.1.5) of an
altemating y.
Exercise 7.4.3 (convergence of the W-cycle). Let 11 11 ... be the energy norm
IlullI ... =IL}/2 udo and suppose (6.4.1a-d), (6.4.8) for s=O, Slo) = SI,
VI + v2 ~ 1, Y = 2. Then the multi-grid method MGM(01,02) (W-cycle) con-
verges. Prove that its contraction number
11 Mi (VI, V2) 11 .......... ;;;; ((VI> v2) < 1
is defined as folIo ws. Set
cp(v;z):= min max f(~;)
z~P~1 O~~~l
with f from (2.4c). Then ( = (VI, V2) is the smallest root of

(= JCP(VI; (2) CP(V2; (2).
Note that the next result does not state uniform convergence (with respect
to 1).
Exercise 7.4.4. Assurne the symmetry conditions (6.4.1 a-c) and
11 L}/2 S/otl Ljl/211 11 L}/2 S/02) Ljl/211 < 1.
Prove that the multi-grid iteration MGM(01,02) with y ~ 1 (e.g. the V-cycle)
converges.
8. Fourier Analysis
For the analysis of difference discretisations of time-dependent problems the

Fourier analysis has proved as a very useful tao I (cf. Richtmyer-Morton [1]).
In 2.4 we applied the Fourier analysis to a one-dimensional model problem.
In this chapter the analogaus analysis is performed in two dimensions.
The analysis of the previous Chaps. 6, 7 yields insight into the behaviour
of the two- and multi-grid contraction numbers depending on the
smoothing iteration, on the number of smoothing steps, and on the involved
norm. However, the bounds on the contraction numbers are upper bounds.
Even the quantitative results of 6.4 and 7.2 cannot be used as predictions of
the convergence rate, since the constant CA from (6.4.2) is not easy to compute.
The goal of this section is to compute the exact two-grid convergence rate or
at least to give a rough approximation to this value.
Except for special model problems, the Fourier analysis can rarely be used
as a precise basis for convergence proofs. In particular there is no application
to irregular geometries which arise typically from finite element discretisation.
8.1 Model Examples
The model problems of this subsection admit an exact analysis by Fourier

transformation.
8.1.1 Poisson's Equation in a Square
We consider the Poisson equation (3.1.1) in the unit square 0 = (0,1) x (0,1)
with Dirichlet conditions (3.1.2a). It is discretised by the five-point scheme
(3.1.15) in the grid ofsize h, = 1/2 1 +1.
The eigenvectors of the matrix L, are the grid functions e,l' (1 ~ v,
p. ~ N, - 1, N,: = 1/h,) with
e,l'(x, y) = 2 sin(v1tx) sin(p.1t y), (x, y) E 0" (8.1.1)
(cf. (2.2.4. As in 2.4 we can state
170 8. Fourier Analysis
Remark 8.1.1. The Fourier transform

N,-l
QI: oc = (ocvl')..I'=l ..... N,-ll-+ L OCVl'e11' (8.1.2a)
v.l'= 1
is unitary (i.e. QI- 1 = Qt), since the vectors eil' form an orthonormal system
with respect to <. ,.
>from (3.5.2). We prescribe a special ordering of the
coefficients ocvl' ofoc. Enumerate the pairs {(v,jl): 1 ~ v, jl ~ N,-1} lexicographi-
cally and define
(8.1.2b)
where the 4-tuples OCVI' are
OCVI' = (OCVI',OCV'I',OCVI'"OCV'I")' 1~ V,jl ~ N,-1

(8.1.2c)
Vi = N, - V, Jl' = N, - jl.
If V = N,-1 = Vi ~ jl, OCVI' degenerates to (OCVI' , OCVI"); if jl = N,-1 = jl' ~ V, one

has OCVI' = (OCVI' , OC v' 1')' while OCVI' = OCVI' for V = jl = N,-1' At level 1- 1 the vector
oc = (OCVI') v, I' =1..... N,_,-l is ordered lexicographically.1
Since LI eil' = 4 hl- 2 [sin 2 (V 7l hzl2) + sin 2 (jl71 hzl2)] eil', one obtains
Lemma 8.1.2. The transformed matrices LI: = QI- 1 LI QI are
LI = blockdiag { ... , L\VI'), ... } (8.1.3 a)
with 4 x 4 blocks
T(VIl) _
LI -
4h-2
I
d'lag {2
Sv + SI"2 C v2 + SIl'
2 Sv2 + C 2 ' C 2 + C 2} '
Il v Il (8.1.3b)
Sv = sin(v71hzl2), Cv = cos(v71h,/2). (8.1.3c)
At level 1 - 1 one has
LI - 1 = diag { ... , L\V!L ... }, L\V!i = 4 h,- 2 (s~ c~ + s; c;). (8.1.3 d)
The definition of the degenerate 2 x 2 or 1 x 1 matrices L~VI') when V = N,-1
and/or jl = N,-1 is obvious.
Lemma 8.1.3. The nine-point prolongation (3.4.2) yields fi = QI- 1P QI- 1 with
a structure as in Lemma 2.4.3. The blocks of fi are
P<VI') = f- :~~~l'
- c; s~
1 ~ ~
V,jl N,-1-1. (8.1.4a)
s; s~
1 This is possible since we shall study the two-grid situation with fixed I. It would be more
consistent to define the ordering recursively. Instead of (2 b), the ordering from levell - 1
should be used
8.1 Model Examples 171
The blocks of the transformed nine-point restriction (3.5.4), f = QI-_\ r QI, are
r (v p ) = [C v2 C p'
2 - S2 2 -
v C p' C v2 S p'
2 S2 S 2]
v p , 1 =< VII<
,,.. = N.1-1 - 1 (8.1.4 b)
Proof (4 b) is proved as (2.4.16) in the one-dimensional case. Since p = r*, (4a)
is immediate. 0
From Lemmata 8.1.2-3 we obtain
Lemma 8.1.4. The transformed matrix of the coarse-grid correction
CI = I - pLi!1 r LI equals
C\ = QI- 1 CIQI = blockdiag{ ... , qv p ), ... }, (8.1.5a)
qv P ) = I _ cc T L\v P )/(4hl- 2 ), (8.1.5 b)
(8.1.5 c)
Although the damped Jacobi iteration is the simplest to analyse, we shall

study the Gau-Seidel iteration (3.3.1) with red-black ordering.
In 3.3.1 (Fig.3.3.5) we defined a four-colour ordering and defined four
subgrids Ql, ... , Qt. The points of Qj': = Ql u Q1 are the 'red' ones and those
of Qf: = Ql u Qt the 'black' ones of the red-black ordering. The Gau-Seidel
quarter step on Q{ (1 ~ j ~ 4) is defined by
ui = Y,j(u"J,), jE {1, 2, 3,4},
u;(x) = UI(X) for XE Qf(i =1= j), (LIUI - 1,) (x) = 0 for XE Q{.
Similarly, Y,r and Y,b denote Gau-Seidel half steps on Qj' and Qf, respectively.
The corresponding iteration matrices are SIj' Sir, Slb'
Note 8.1.5. Even for general nine-point schemes (3.1.16), the matrices Slj'
1 ~ j ~ 4, are projections. For a five-point formula one has in addition that
Sir = SI1 SI2 = SI2 SI1' Sib = SI3 SI4 = SI4 SI3 and that Sir and Sib are projections.
A straightforward analysis yields:
Lemma 8.1.6. Let LI be the five-point scheme (3.1.15) and Y,j as defined above.
The Fourier transformed matrices SIj = Q,I Slj QI are
SIj = blockdiag {... , S\?), ... } , (8.1.6a)
(8.1.6 b)
(8.1.6 c)
If v = N , - l = v', JI. =1= JI.', the vectors Sj become SI = S4 = [gJ. [! J/./2,

S2 =
S3 = [-n/./2 When JI. = JI.' and v =1= v', one has = = [gJ.
SI S3
S2 = [! J/./2, = [ _! J/./2,
S4 whereas SI = S3 = S4 = 0 and S2 = 1 holds
for v = JI. = N,-I'
Lemma 2.4.1 applies again and proves
Theorem 8.1.7. Let L, and L ,- l be the five-point discretisations (3.1.15), while
pis the nine-point prolongation (3.4.2) and r is the nine-point restrietion (3.5.4).
Let YI be the Gau-Seidel iteration with red-black ordering: YI = Ylb Ylr. Then
the contraction number of the two-grid iteration TGM(VI. V2) with respect to
11 11 is exactly
(8.1.7 a)
where the 4 x 4 matrices (or 2 x 2 or 1 x 1 matrices in the degenerate cases) are
(8.1.7 b)
The spectral radius equals
e(M, (VI, v2)) = max {e (MIVII): 1 ~ v, JI. ~ N,_ d . (8.1.7 c)
By this theorem we reduce the analysis of M, (VI, V2) to that of at most 4 x 4
matrices. The right sides of (7 a, c) can be evaluated numerically.
In what folIo ws we reduce the 4 x 4 matrices once more to 2 x 2 matrices.
Fix v, JI. E {1, ... , N ,- l - 1} and introduce
L: = L\VII), M:= L l / 2 MIVII) L -1/2, S.= L l / 2 S(YII) L -1/2
J' IJ '
C:= L l / 2 CjVII) L -1/2, Sr = S2 S 1, Sb = S4S3'
Since S; = Sr (cf. Note 8.1.5), the spectral radius equals
e(MlvlI) = e(C(Sbsrt1+V,) = e(SrC(SbSrtl+V2).
An eigenvector of Sr C (Sb Sr)Vl + V2 must lie in the range of Sr> which is spanned
hy the orthonormal vectors
0, - J(s~ + s~)/2f,
- J(c~ + s~)/2, O)T.
These vectors are invariant under Sr and eigenvectors of SrSb' One checks that
M(lXel + e2) = y el + ~e2 with (~) = A(). where
A=D- ( 22
Sv Cv
1
+ SII2C2II 0
[d l 0][1
d2 1 1
1][d0 3 0])
d4
DV l+V2- 1
' (8.1.8 a)
d 1 = a (cv2 c"2 - Sv2 s"2) ' d 2 = b (c; s; - s; c;),

d 3 = a (c 2v c"2 + Sv2 s"2) ( c 2v - s"2) ' d4 = b (c; s; + s;c;)(c; - c;), (8.1.8 b)
a = J(s; + s;)(c; + c;)/2, b = J(c; + s;) (s; + c;)/2,
1 - 2a 2 0 ]
D=[ 0 1 _ 2b 2
Since l! (M{v,,)) = l! (A), it suffices to calculate the eigenvalues of the 2 x 2 ma-

trices A. A depends on v, Il and vl , V2' Let A (e, 1]; Vl + V2) denote the matrix
e,
from (8 a) for s; = c; = 1 - e,
s; = 1], c; = 1 - 1]. One can show that in spite
of the degenerate cases v = v' or Il = Il', one obtains
(8.1.9)
from Theorem 8.1.7. The numerical evaluation of l!v yields the following con-
vergence rates:
2 3 4 5
0.07407 0.05273 0.04096 0.03349

It turns out that for V l + V2 ~ 2 the function l!(A(e,l];v l + v2 )) attains its
maximum at e= I] = (1 - JV/(l + v))/2. Therefore the value of the two-grid
rate equals
l!l = ~, l!v = ho (v) for v ~ 2 with 1]0 (v) from (6.2.1 b).
Generalisations of the previous analysis are considered in
Remark 8.1.8.
a) The contraction numbers (7 a) can also be calculated from 2 x 2 matrices.
b) The previous analysis applies to all symmetrie nine-point schemes. The
4 x 4 matrices can then be reduced to 3 x 3 matrices.
c) The generalisation to more than two dimensions is evident.
d) To extend the analysis to Neumann conditions one has to replace the
sine-functions in (1) by cosine-functions.
The Fourier analysis in the case of Poisson's equation is described in detail
by Stben-Trottenberg-Witsch [2].
8.1.2 Periodic Boundary Conditions
As pointed out in Remark 8.1.8, the approach of 8.1.1 can be extended to

more general difference schemes with constant coefficients, but it fails when
LI =1= Li. Unsymmetric LI arise e.g. from all differential operators involving
derivatives of odd order.
General constant difference schemes can still be analysed by Fourier
transform technique if we pose periodic boundary conditions in
Q=(-l,l)x(-l,l):
oV oV
ox v u( -1, y) = ox v u(l, y) (-1 < y < 1),
oV oV
oyV u (x, -1) = oyV u (x, 1) (-l<x<l) (8.1.10)
for all v = 0, 1 , ... , m,

where 2m is the order ofthe differential operator. Instead ofthe unit square we
could choose any rectangle Q. The grid is
Ql = {(x, y) E Q: x = v hl , Y = J1. hl , 1 - NI ~ v, J1. ~ NI}
with NI = l/hz, hl = ho/2 1 A grid function Ul on Ql can be extended to a
doubly 2-periodic grid function on the infinite grid Ql from (3.1.13). Then
(LI Ul) (x) = fi (x) has to hold at all x E Ql'
The 4 N? eigenvectors are e?, 1 - NI ~ v, J1. ~ Nb with
eV!,(x
I,
y) = .!e"i(vx+!,y)
2 "
(x y) E Q
I' (8.1.11 a)
Each low frequency (v, J1.), 1 - N l - 1 ~ v, J1. ~ NI-I, is associated with the corre-
sponding high frequencies (v', J1.), (v, J1.'), (v', J1.'), where v' and J1.' are now defined
by
v' = {v + NI if v ~ 0,
v-NI ifv>O.
The Fourier transform
NI
Ql: oe = (oev!') I - NI~ V, !,~NI ~ L oe v!' e,!' (8.1.11 b)

v,!,=l-NI
is unitary. Again the analysis of the two-grid matrix MI can be replaced by an

analysis of the blocks of the block-diagonal matrix MI: = Ql-I MI Qz, which is
composed of LI' r, p, LI-I, SI'
In what follows we briefly describe Lz, r,p for general LI, r,p. The difference
operator
LI = L c,,(h l ) T" (8.1.12 a)
alE.l 2
(T from (6.3.25 a is transformed into the diagonal matrix

LI = Ql- I LI Ql = blockdiag {... , L\v!') , ... }, (8.1.12 b)
L\v!') = L c,,(hl)e"i(va, +!'a 2 ) h' diag {1,( _1)a,,( _1)a 2 ,( _l)a, +a 2 }
oceZ 2
(8.1.12c)
To study the restrietion we start with the trivial injection r inj from (3.5.1).
'inj = Ql--\ rinj Ql equals blockdiag {... , ri:j, ... } with
ri:j = [1,1,1,1], 1- N l - 1 ~ V,J1. ~ NI-I,
.
smce rinj e,VI' VI' A
= r inj e,v' I' = rinj e,VI" = r inj e,v' 1" = e,-1' l res
genera t' nct'Ion
(ru,)(X) = (I:(lf2 Tf2U ,)(X) for xeO,-1 (8.1.13a)
'"
can be written as the product r = rinj A" where A, = I: (lf2 T"'. Using the repre-
12
sentation of rinj and applying (12 a-c) to A, instead of L" one obtains
f: = Qi~.\ r Q, = blockdiag {... , rVI', }, (8.1.13 b)
rVI' = I: (lf2e"i(<<, v+'I')h, [1,( -1)', (-1)', (-1)'+']. (8.1.13 c)
12
To calculate fi one has to apply (13 a-c) to r: = p* and to use pVI' = (f"I')*.
If ~ is also block-diagonal, M, proves to be block-diagonal. Once again the
two-grid contraction number and the spectral radius are then given by (7 a, c)
ifwereplace"1 ~v,J.I.~NI-1"by"1-N'-1 ~v,J.I.~N'-1"
If a Dirichlet problem with an unsymmetric operator L, is to be analysed,
one may replace the Dirichlet data by periodic boundary conditions and apply
the analysis of this section. The question arises, whether the periodic problem
yields convergence numbers which approximate those of the Dirichlet prob-
lem. For the one-dimensional singular perturbation problem
- eu"(x) + u'(x) = j(x), e ~ 0, (8.1.14)
a positive ans wer is proved by Hackbusch [34].
8.1.3 Tbe Case of U = Rd
Instead of posing periodic boundary conditions, we can omit the boundary

conditions by choosing 0 = R 2 (or 0 = R d, respectively). The grid 0 , coin-
cides with the infinite grid Q" Grid functions with finite Euclidean norm can
be represented by
(8.1.15 a)
That means that {U,(X, y): (x, y) e O,} can be regarded as Fourier coefficients of
the 2-periodic function
U,(~, '1): =! I: U,(X, y) e-i,,(x~+Y'l)/h,. (8.1.15 b)
(x,y)eU,
Using ej" from (11 a) we can rewrite (15 a) as

1 1
U, = J J 12, (~, '1) ej/h','I/h, d ~ d'1.
-1 -1
(8.1.15 a *)
The transform Q, is defined by u, = Q, 12,. All results of 8.1.2 remain valid

if we replace the integral frequencies v, J.I. e ( - N" N,] by the real variables ~/h"
'1/h" where ~,'1 e (-1,1]. The frequency ~' associated with ~ is
~' = {~ + 1 if ~ ~ 0
~ - 1 if ~ > O.
A detailed description of the Fourier analysis in the case of Q = 1Rd is given by

Hemker [2].
The Gau-Seidel iteration with red-black ordering considered in 8.1.1
leads again to a coupling ofthe four frequencies (~, '1), (C '1), (~, '1'), (~', '1'). But
for several other variants of the Gau-Seidel process the coupling can be
avoided. In this case the Fourier transform diagonalises the infinite matrix S,:
S, e"i(x~ + y~)lhl = o-,(~, '1) e"i(x~ + y~)lhl . (8.1.16)
Let L, be given by (12 a). The lexicographical Gau-Seidel iteration
u~ + 1 = g; (u~ ,f,) on the infinite grid Q, = Q, is defined by
u7+ 1 = [f, - LIC,,(h,)T"u7+ 1 - Luc,,(hl)T"uf]/co(h,).
where LI is taken over all oe = (!Xl' !X2) E 7L 2 with either !X2 < 0 or !Xl < 0,
!X 2 = O. Lu is the sum over the remaining oe =1= (0,0). Thus, one obtains
Note 8.1.9. Equation (16) holds for the lexicographical Gau-Seidel iteration
with
O'lex(~, '1) = - LIc"(hl)e,,i(~1~+~2~)lhl/[co(h,) + LIIc"(h,)e,,i(~1~+~2~)lhl).
(8.1.17)
The corresponding symmetrie Gau-Seidel process leads to
(8.1.18)
The characteristic value of the lexicographical x-li ne Gau-Seidel iteration is
(8.1.19)
Example 8.1.10. Let L, be the five-point scheme (3.1.15). The previous values
(17), (19) are
O'lex(~, '1) = (e"i~ + e"i~)/(4 - e-"i~ - e-"i~), (8.1.20 a)
O'line (~, '1) = e"i~/(4 - 2 cos 7t ~ - e-"i~). (8.1.20b)
The value corresponding to the damped Jacobi iteration is given by
(8.1.20 c)
8.2 Local Mode Analysis
The analysis of Poisson's equation by means of si ne-expansions was given in

the very first multi-grid paper of Fedorenko [2] (although in a complicated and
non-optimal way). The analysis of 8.1.1 can be found in the author's first
report on multi-grid methods (cf. Hackbusch [2])2. The 'local mode analysis'
2 A similar approach has been attempted by Brandt [3, Appendix Cl; however, the analysis
contains mistakes
8.2 Local Mode Analysis 177
introdueed by Brandt [3], [6], [12] uses a simplified Fourier analysis in whieh
the 'smoothing rates' play an important rle.
8.2.1 Neglect of the Boundary Conditions
The Fourier transform applies only to difference schemes in domains

Q = (al' b l ) x ... x (ad' bd), where - 00 ~ aj < bj ~ 00. Therefore, the bound-
ary of a general domain together with the boundary conditions will be ne-
gleeted. Either Q c ]R.d is enlarged to]R.d or replaced by a square (or rectangle)
with Dirichlet or periodic boundary conditions. This alternative problem can
be studied as in 8.1 and one may hope that the results ofthe Fourier analysis
are approximately valid for the original problem.
Coneerning the justification of this approach, we recall that one can study
loeal phenomena by means of such a Fourier analysis. An example is the
investigation ofthe interior regularity offinite difference solutions (cf. Thomee-
Westergren [1 J). The smoothing process, the prolongation, and the restriction
are largely loeal operations.
However, the coarse-grid correction involves the inverse LI_lI' which can
be deseribed only globally. For instance, the important question, whether L I - I
is non-singular or not, ean depend on the underlying domain Q.
That boundary eonditions should not be neglected without scruples is
supported by the following remarks. In the stability theory of time-dependent
problems it is known that the stability cannot be guaranteed alone by the
behaviour of the difference scheme in the interior (cf. Richtmyer-Morton [1,
p. 141/142], Kreiss [1]). Another example is the 'pollution effect' known in finite
element methods whieh shows that the shape ofthe boundary can influence the
solution far off in the interior of the domain.
8.2.2 Treatment of Variable Coefficients
Let LI = L c lX ( ; hl ) T IX be a difference operator in the infinite grid QI = hlZd

IX
(cf. (3.1.13)) with variable coefficients CIX (x; h l ). Replaeing the variable x by a
constant ~, we obtain the differenee operator LI (~) with 'frozen' eoefficients:
LI(~):= L CIX(~;hl)TIX, ~EQfixed. (8.2.1)
(XEZ d
Since ~ is fixed, LI (~) has constant coefficients and can be analysed by means
ofFourier transforms. The analysis offrozen difference operators together with
the 'partition of unity' (cf. Yosida [1, p. 60-62]) is a tool which is often used to
prove properties ofthe variable difference operator. For instance, under certain
conditions the smoothing property 11 LI(~)SI (~r 11 ~ hl-l1.fi(v) of the frozen
operators LI(~) is neeessary and sufficient for the smoothing property
11 LI Si' 11 ~ hl-11. 11 (v) (cf. Exercise 6.6.7).
One must be aware of the fact that the frozen operator is not uniquely
defined.
Example 8.2.1. The differential operator Lu (x) = (a (x) u' (x, with
a E Cl ([0, 1])can be writtenasL = DaD,L = aD 2 + a' D,or L = D 2 a - Da',
where D = %x. Replacing the function a() by the 'frozen' value a(e), we
obtain three different frozen operators L (~) = a(~)D2, L (e) = a(~)D2 a' (~)D.
The same conclusion holds for a difference operator LI = 0 ao.
The non-singularity of LI(~) is neither necessary nor sufficient for the non-
singularity of LI as can be seen from the following counter-examples.
Example 8.2.2. Consider the differential operator
(Lu)(x) = - (a(x)u'(x' - n 2 a(x) u(x) , 0< x < 1,
with boundary conditions u(O) = u(1) = O. The frozen operators L(~)u =
- a (~) [u" + n 2 u] are singular for all ~ E [0, 1]. Nevertheless, L is even positive
definite when we choose, e. g., a (x) = ~.
Example 8.2.3. The boundary value problem
== - (a(x) u'(x' - b(x) u(x) = f(x) , 0< x < 1, u(O) = u(1) = 0,
(Lu)(x)
is singular for the choice a (x) = exp ( - x 2/2), b (x) = a (x) (n 2 + x 2/4 - 1),
since Lu = 0 for u(x) = exp(x 2 /4)sinnx, but all frozen operators L(~)u =
- [a(~)u" + b(~)u], 0 ~ ~ ~ 1, are still positive defmite.
Similar counter-examples can be shown for difference operators. Therefore,
it is not possible to prove Exercise 6.6.7 for the approximation property instead
for the smoothing property.
8.2.3 Idealisation of the Coarse-Grid Correction and Smoothing Rates
Due to the previous techniques a general difference scheme with variable

coefficients in a general region subject to certain boundary conditions can be
turned into a problem (or a family ofproblems) with constant coefficients and
with boundary conditions as considered in 8.1.1- 3. But the two-grid analy-
sis is still complicated.
To simplify the analysis we change the coarse-grid correction. The
weighted restriction r: ~ -+~-l is changed into the orthogonal projection f
onto ~-l:
(8.2.2)
where ej" is defined in 8.1.2-3. If ej" is taken from 8.1.1, the upper case is
characterised by v h" P. hl E (0, H The kernel of f consists of all 'high frequen-
eies', that means of all (~, 11) = (v h" p.h ,) E I"igh with
I high := {(~,,.,) E (-1,1] x (-1, 1]:(~, 11)$( - !,!] x( -!,!]}. (8.2.3)
8.2 Local Mode Analysis 179
Analogously, the prolongation p is replaeed by p:

(8.2.4)
p = f* ean be regarded as trigonometrie interpolation. Substituting L,-1 by
L'-1 = fL,P, we obtain the eoarse-grid eorreetion step
U,I---4 U, - PL l -\ f(L, u, - f,) (8.2.5 a)
with the assoeiated matrix
C, = I - PL l -\ f L,. (8.2.5 b)
Note 8.2.4. C, is the orthogonal projeetion onto the subspaee of high frequen-
eies:
C- ,e, - {e"?
VI' _
o
if (~, 11) = (vh" p.h,) E I high ,
otherwise .
(8.2.5 e)
Definition 8.2.5. Assume ej'h"q/h, to be the eigenveetors of S['):

Si V)ej'h"q/h, = er!V) (~, l1)ej'h"q/h,. (8.2.6)
The quantity
l?B(V): = max {Ier!v) (~, 11)1: (~, 11) E I high} (8.2.7)
is ealled the 'smoothing rate' of S,<').
The smoothing rate is introdueed by Brandt [3], [6], [12] to roughly approx-
imate the eonvergenee rate as suggested by
Proposition 8.2.6. Let 11 u,ll'fl = h, [L lu, (xWF/ 2 be the lrnorm. If (i) L, is a
xeQ,
differenee operator on the infinite grid Q, with eonstant eoeffieients, (ii) S,<')
satisfies (6), (iii) the eoarse-grid eorreetion uses f, p, L,- 1 introduced above,
then the eonvergenee rate and the contraction number ofthe two-grid iteration
equal
(8.2.8)
1 1
Proo! Let u, = J J u, (~, 11) ef/h"q/h, d ~ dl1 be arbitrary. (8) follows from
-1 -1
1 1
M,(v)u, = J J a!V)(~, I1)U,(~, l1)ej'h"q/h'd~dl1
-1 -1
with
-(v)(): ). = {er!V)(~, 11) for (~, 11) E I high
er, .", '1 . 0
otherwise
and from
o
Example 8.2.7 (cf. Brandt [2], [3]). Let LI be the five-point scheme (3.1.15) ofthe
Poisson equation. Equations (20a-c) result in the following smoothing rates:
lexicographical Gau-Seidel iteration: eB(V) = 2-V,
symmetrie Gau-Seidel iteration: eB(V) = 4-V,
lexicographical x-line Gau-Seidel iteration: eB(V) = 5-./2 ,
damped Jacobi iteration (3.3.6), 0 ~ 0 ~~: eB(V) = (1 - (/2)".
We conclude with the following remark. If we replace CI from (5 c) by
Clel/h .. ~/hl = Llel'h,,"/hl/IlLIIIIft+-Ift for -1 < e,,, ~ 1,
Inequality (8) holds w!th eB (v) replaced by the smo,.,othing number eL (v) defined
in (2.6.6). Note that CI is not a projection but 11 Cdllft+-Ift = 1 is valid.
The estimation of 11 MI (v) 11 1ft +-'11 by means ofthe smoothing rate eB(V) under
the simplifying assumptions of 8.2.1- 3 is called the loeal mode analysis.
9. Nonlinear Multi-Grid Methods
With the intention of not overloading the presentation with the notational and
conceptual difficulties of nonlinear problems, we have so far considered only
linear equations. However, it will turn out that multi-grid algorithms are
perfectly suited for nonlinear boundary value problems. There are two different
approaches. The first one explained in 9.2 is based on a linearisation, thus
allowing the application of linear multi-grid solvers. The remaining subsec-
tions 9.3-5 are devoted to an intrinsie multi-grid treatment of non-linear
problems. A third approach will be described in 16.8.
9.1 The Nonlinear Problem
Equation (3.1.10), Lu = J, may become nonlinear when either the differential

equation Lu u = Iu or the boundary conditions L r u = Ir or both are replaced
by nonlinear equations. The nonlinear counterpart ofEq. (3.1.10) is denoted by
2(u) = O. (9.1.1)
Note that the choice of the right side in (1) is a matter of definition of 2. For
example, the original linear equation Lu = I is equivalent to (1) with
2(u):= Lu - f
The discretisation of Eq. (1) yields
(9.1.2)
at the levels 1= 0,1, .... Since the discretisation should make sense, we suppose
that Eq. (2) has at least one solution ur. We shall embed Eq. (2) into a family
of equations
2 1(u,) =f,. (9.1.3)
The derivative (the Jacobian) of 2 , is denoted by
L,(v,):= 2; (v,), L, := L,(ur) (ur is solution of(1. (9.1.4)
Problem (2) is well-posed only if L, is non-singular.
182 9. Nonlinear Multi-Grid Methods
ur
Remark 9.1.1. Let .fi11( ) be continuous in a neighbourhood of and suppose
LI = LI(ut) to be non-singular. Then the implicit function theorem guarantees
that there are connected neighbourhoods o/il of ur and fft of 0 such that
21 :o/il -+ fft is a homeomorphism , (9.1.5)
i.e. 21 is a bijection and 21 as weH as 21- 1 are continuous.
Therefore it makes sense to denote the solution of Bq. (3) by 21- 1 (J,) as
long as!t is small enough.
9.2 Newton-Multi-Grid Iteration
The Newton iteration transforms the nonlinear problem (2) into a sequence of
linear ones. Since the multi-grid method has proved to be a fast linear solver
it is obvious how to formulate the algorithm:
start: (9.2.1 a)
iteration: j: = 0, 1, ... :
(i) dl:=.st;(u/); L{:=L,(u/); (9.2.1 b)
(ii) apply one step of the (linear) multi-grid iteration to
L{ VI = dl starting with v? = 0 resulting in vt; (9.2.1 c)
(iii) u{ + 1 : = u{ - vt; (9.2.1 d)
Algorithm (1) is the prototype of a Newton-multi-grid iteration. Several modi-
fkations are possible:
a) L{ may be replaced by an approximation L{ of the derivative LI (u{). If L{
does not tend to LI = LI (ut) as j -+ 00 one loses the quadratic convergence of
the original Newton process. However, this does not matter since the multi-
grid step (1 c) causes only linear convergence.
b) As mentioned above there is a conflict between the quadratic conver-
gence of the Newton process and the linear multi-grid convergence. The qua-
dratic convergence of (1) can be accomplished if we perform }ij multi-grid
iterations in (1 c) instead of only one. However, it is not obvious how to guess
}ij'
c) It is well-known that an under-relaxed correction u[+ 1 : = ul - w j vt ,
0< Wj ~ 1, may enlarge the convergence domain {u?: u{ are well-defined for
j ~ 0 and u{ -+ ur} of admissible starting values (cf. Bank-Rose [1]).

d) Applying iteration (1 b-d) i-times at the levels 1= 1,2, ... , lmax with
u?: = ft ul-l we obtain a nested iteration comparable with (5.1.3). The last
matrix L~ may serve as coarse-grid matrix in the multi-grid algorithms at the
further levels I + 1, ... , lmax.
Since quadratic Newton convergence and linear multi-grid convergence
are superposed, the errors e{: = u{ - ur behave like
Ile{+111'ft ~ (l1e{11'ft + C 1Ie{1I.t,
9.2 The Newton-Multi-Grid Iteration 183
Table9.2.1. Euclidean norm of the corrections in iteration (1) for problem (2a, b) with
hl = h4 = i2
j o 2 3 4 5 6 7
where , is the multi-grid contraction number. Asymptotically the multi-grid

process dominates:
11m 11 e/+ 111",/11 e/ 11", ;;;;; ,
j-+oo
if the process converges to ur.

This behaviour is confirmed by the following
results.
Consider the nonlinear equation
- Au(x, y) = eU(x,y) (9.2.2 a)
with homogeneous Dirichlet data on the boundary of the unit square
(0, 1) x (0, 1). By symmetry it can be reduced to Q = (O,!) x (O,!) with
u(x, y) =0 if x =0 or y = 0, ux (!, y) = uy(x, !) = O. (9.2.2b)
The program from 4.4.3 can be applied to the linearised equation
- A v-eU v =f arising in Step (1 cl. Starting with u? = 0 at level 1 = 4
(hk = 1/2k+ 1) we obtain the corrections 11 u{+ 1 - u{ 11", = 11 vt 11", (cf. (1 d)) listed
in Table 9.2.1. The complete computer code generating these numbers can be
found in Hackbusch [6], since in this report problem (2 a, b) was chosen as a
test example. Evidently, the numbers in Table 9.2.1 decrease by the same factor
as the linear problems reported in 4.4.3. The converged discrete value
at x = y =! is U4 (!' !) = 0.078044, while the continuous solution is
uH, !) = 0.078101.
Equation (2 a, b) has two solutions. The first one is computed above. The
second solution is harder to compute since the linearised problems become
indefinite (cf. 10.2.2). It can be obtained by a careful nested iteration (cf.
Hackbusch [4]). A systematical approach is the use of the continuation tech-
nique (cf. 13).
9.3 The Nonlinear Multi-Grid Iteration
The linearisation in the Newton process can be avoided by the nonlinear

multi-grid algorithm which is as efficient as the linear multi-grid iteration. In
the following subsections we develop this algorithm step by step. Its conver-
gence will be studied in 9.5.
9.3.1 Nonlinear Smoothing Iterations
There exist nonlinear counterparts of most of the smoothing iterations men-

tioned in 3.3. The smoothing process is again denoted by
U, f-+ g;<V) (u"fi). (9.3.1 a)
It is reasonable to assume that 2',-1 (fi) is a fixed point of g;<V):
u, = g;<v) {u,,!lI (u,)) for all u, E Oll" V ~ 1, (9.3.1 b)
ur
where Oll, is the neighbourhood of from (1.5). Condition (1 b) is satisfied for
all iterations mentioned below.
The nonlinear version of the Gau-Seidel iteration (3.3.1) reads as
for i:= 1 (1) n, do U"i:= Ui,i (9.3.2 a)
{where ui, i is the solution of
!lI,i{U"l"'" U',i-1, Ul,i' U"i+1"") = fi,i (9.3.2b)
with !lI, i and fi, i being the i th components of !lI and fi};
Note 9.3.1. a) It often happens that !lI,i is linear with respect to U',i since the
nonlinear terms are discretised by means of the neighbours of u" i' Iteration (2)
is then as easy to perform as in the linear case.
b) If !lI,i is nonlinear in U',i' one can replace the exact solution of (2b)
by one Newton step. Let L" ii (UI): = o!ll, i (UI)/OUI, i' The resulting iteration
U{+l = yt(u{,fi) = yt(j+1)(u?,fi) is
u:= u{;
for i:= 1 (1) nl do UI,i:= Ul,i - (!lI,i(U) - fi,;)/L1,ii{u); (9.3.3)
c) Blockwise Gau-Seidel variants corresponding to (3.3.12) require a

greater effort to solve the nonlinear block-counterpart of (2 b).
The nonlinear analogue of Jacobi's iteration (3.3.6) may be written as
ytUl(u?,fi) = u{, where
U{+ 1 : = (1 - ()) u{ + () u;; (9.3.4 a)
with ui being the solution of
!lI,i(uL,, U{,;-l, Ui,i' U{,;+l"") =fi,i' (9.3.4 b)
Again the exact solution Ui,i may be replaced by the result of one Newton step
applied to the starting value ul, i .
The solution of nonlinear equations is completely avoided when we use
the nonlinear counterpart of iteration (3.3.7). Only the evaluation of 2'1 is
9.3 The Nonlinear MuIti-Grid Iteration 185
needed:
yt(U"ft): = u, - OJ, hfm !l/ (u"ft). (9.3.5)
It is plain how to define the semi-iterative version yt(V)(U"ft; w) of (5) corre-
sponding to (3.3.15).
9.3.2 The Nonlinear Two-Grid Iteration
Although Eq. (1.2), !l/(U,) = 0, is to be solved, we shall see in 9.3.3 that the
more general problem (1.3), .!l;(U,) = ft, has to be considered. The two-grid
iteration consists again of a smoothing step and a coarse-grid correction. The
smoothing step is u; : = yt(v) (u/,ft) with yt(V) from 9.3.1. It remains to develop
the coarse-grid correction 1-+ U/+ 1.u;
The desired exact correction V, is defined by
!l/(U; - V,) = ft. (9.3.6a)
The defect
d, := !l/(ul) - ft (9.3.6 b)
is computable. Taylor's expansion yields
V, = u; - (u; - v,) = !l',-1(ft + d,) - !l',- 1(ft) = L I 1(u'()d, + O(lld'!I}),
(9.3.6c)
where u;': = !l',- 1(ft), since the derivative of !l', -1 (ft) is L l 1(!l/-1 (ft. To
approximate V, at level I - 1 we need some coarse-grid function ,_ l ' From
,_ 1 one determines
h-l:= !l/-d'-l)' (9.3.6d)

We define the right-hand side
d,-l:=h-l-srd" (9.3.6 e)
where r is a restrietion and s =l= 0 some real number. According to the two-grid
philosophy we assume that equations at level I - 1 can be solved exactly:
V'-i: = !l/= Ud , - 1) (9.3.6 f)
Taylor's expansion applied to
1
6, := -P(, -l - V,-i) with s from (6e) (9.3.6g)
s
results in
1
V, = -p[!l/=Uh-l) -
s
!l/=Uh-l - srd ,)]
= pL I _\ (,_l)rd, + O(s Ilrd'!I}).
Omitting the second order terms and the arguments of L , 1 and L , _\, one
concludes from the latter equation and Eq. (6 c) that V, ~ L , 1 d, and
V, ~ p L , _\ r d, (cf. (2.3.3-8. Hence, as in the linear case we expect V, ~ V, when
d, is smooth.
From (6a-g) we obtain the following procedure performing one step ofthe
two-grid iteration:
nonlinear two-grid iteration NTGM(v"V2) for solving 2z(U/) =f, (9.3.7)
given: U,-l and 1,-1: = 2z-1 (U,-l) (9.3.7 a)
procedure NTGM (1, u,f); integer 1; array u,f;

begin real s; array d, V;
u: = 9/(v,) (u,f); (9.3.7 b)
d:= r * (2z(u) - f); (9.3.7 c)
s: = (1 (l - 1, d); (9.3.7 d)
d:=1,-l - s * d; (9.3.7 e)
v:= 2z:::i(d); (9.3.7 f)
u:= u + p * (v - U,-l)/S; (9.3.7 g)
u: = 9/(V2) (u,f) (9.3.7 h)
end;
The choice of S in (7 d) has yet to be explained.

Note 9.3.2. Step (7 f) makes sense only if d E ffz-l with ffz-l from (1.5). Since
ffz-l is a neighbourhood of zero, d lies in ffz-l if sand 1,-1 are sufficiently
smalI.
In 9.5 we shall discuss in detail the choice (8) with suitable (1/:
(1 d) '= {(1'/lldlllj> if d, =1= 0,

(9.3.8)
(J , I 0 if d, = O.
Note 9.3.3. If d = 0 in (7 c), the coarse-grid correction (7 c- g) can be omitted

since it does not change the iterate whatever the choice of U,_ 1 and S =1= 0
IS.
The variant proposed by Brandt [3] uses

U,-l:= ru, (U, from (7b, S = (J(l-1, d,- 1):= 1, (9.3.9)
where r:
UU, -+ UU,- 1 may be different from the restriction r: !F, -+ !F,-l' The
auxiliary value U,-l changes in each iteration and1,-l has to be computed once
per iteration, unlike which is the case in (7 a). The resulting variant requires no
precomputed values:
9.3 The Nonlinear Multi-Grid Iteration 187
procedure NTGM (I, u,f); integer I; array u,f;

begin array d, v, u;
u:= 9;<vtl(u,f); u:= r* u; (9.3.10a)
d:= 21-1 (a) - r * (2j(u) - f); (9.3.10b)
v:= 2j~f(d); (9.3.10d)
u: = u + P * (v - a); (9.3.10d)
u: = 9;<V2) (u, f) (9.3.10e)
end
The algorithms NTGM (7) and (10) are genuine generalisations of the
linear two-grid iteration TGM (3.2.2) in the following sense:
Remark 9.3.4. Let 21 (u/) = L/ u/ be linear. For any choice of u/_ 1 and s =t= 0 the
iterations (7) and (10) are algebraically equivalent to the linear two-grid iter-
ation (3.2.2), i. e. NTGM (I, u, f) and TGM (I, u, f) yield the same results. If 21 is
affine: 2j(u/):= L/u/ - g" NTGM(I, u,f) is equivalent to TGM(I, u,f + g/).
9.3.3 The Nonlinear Multi-Grid Aigorithm

The two-grid iteration requires the (exact) solution ofthe coarse-grid equation
21 - 1(V/_ 1) = d,_ 1, which is not of the form (1.2) but of the more general form
(1.3). Since the two-grid iteration oflevell - 1 applies to this equation, one can
define the multi-grid iteration recursively as in the linear case.
At the lowest level 1 = 0 one has still to solve equations 2 0 (vo) = do on the
coarsest grid. Assume that these equations are solved by an iteration
ub+ 1 = <Po (ub,fo) (9.3.11)
converging to 2 0- (/0)' A possible choice might be <Po = .9'[}") for some v.
1
Replacing the statement (7 f) by Y calls of the same procedure we obtain the
nonlinear multi-grid iteration NMGM(Vl>V2) for solving 2j(u/)=fl (9.3.12)

given: uk and h: = !lk(k) for k = 0, 1, ... ,1 - 1 (9.3.12 a)
procedure NM GM (I, u, f); integer I; array u,f;
if 1 = 0 then u:= <Po (u,f) else
begin integer i; real s; array d, v; (9.3.12 b)
u: = 9;<vtl (u,f); (9.3.12 c)
d:= r * (2j(u) - f); (9.3.12 d)
s:= (T(l-1,d); (9.3.12 e)
d:=h-1 - s * d; (9.3.12 f)
v:= U/-1; for i:= 1 (l)y do NMGM(l- 1, v, d); (9.3.12 g)
u:= u + P * (v - u/- 1)/s; (9.3.12h)
u:= 9;<V2) (u,f) (9.3.12 i)
end;
The starting value v: = al - 1 is chosen since this is the exact coarse-grid solu-
tion if d = ];-1 in (12f) (i.e. if s d = 0 for d from (12d)).
The choice (9) leads to Brandt's [3, p. 346] F AS ("full approximation stor-
age") algorithm, which is the multi-grid version of (10):
procedure NMGM(1, u,f); integer I; array u,f;

if 1 = 0 then u: = <Po (u,f) else (9.3.13 a)
begin integer i; array v, d, u;
u:= yt(v!l(u,f); U:= r* u; (9.3.13 b)
d:= 21-1 (a) -r * (2I(u) - f); (9.3.13 c)
v:= 17; for i:= l(l)y do NMGM(/-1,v,d); (9.3.13 d)
u:=u+p*(v-a); (9.3.13 e)
u:= yt(V2)(U,f) (9.3.13 f)
end;
The FORTRAN formulation of the algorithms (12) and (13) follows the
pattern of subroutine (4.1.2).
Using Remark 9.3.4 one proves by induction the following remark.
Remark 9.3.5. Let Jlk (Uk) = L k Uk - gk for 0 ~ k ~ 1and suppose that one step
ofiteration (11) results in the exact solution of!l'o (uo) = 10' Then for any choice
OfUk' 0 ~ k ~ I, and s =!= 0 the results of NMGM (1, u,f) from (12) or (13) and
MGM (1, u,f + gl) from (4.1.1) coincide.
9.3.4 The Nonlinear Nested Iteration
In 9.3.3 we did not explain how to choose the auxiliary values ab

k = 0, 1, ... ,1 - 1, which are involved in the algorithm (12). However, these
quantities already appeared in the nested iteration (5.1.3). The only change in
the present nonlinear case is that we compute h from Uk:
nonlinear nested iteration (9.3.14)
Uo : = given approximation to u~; (9.3.14a)

for k: = 1 step 1 until 1 do
begin Uk:= PUk-l; (9.3.14 b)
h-l: = Jlk- dUk- d; (9.3.14 c)
for j: = 1 step 1 until i do NMGM (k, Ub 0) (9.3.14d)
end;
If NMGM from (13) is used, the statement (14c) can be omitted sinceh-l is
computed inside of NMGM.
9.4 Numerical Example: Natural Convection in an Enclosed Cavity 189
The optimal starting value would be uo := u~ = 20- 1 (0) which is usually

not available. Depending on the problem it may be easy to guess Uo or it may
be the most difficult part of the whole problem. If more than one solution of
2' (u) = 0 exists, the choice in (14 a) might decide what discrete solutions are
approximated in (14 b-d).
It is plain that the modifications mentioned in (5.1.4 b) and 5.4 are still
applicable.
9.4 Numerical Example: Natural Convection

in an Enclosed Cavity
This chapter is based on the author's contribution to areport of Jones-

Thompson [1], who chose the buoyancy driven flow in a rectangular cavity as
a test problem for computer programs.
The cavity is represented by the unit square Q = {(x,z):O < X,z < 1}. The
two-dimensional flow can be described by
Vh
0' 0'
ox + V v oz = ox
Ra . Pr oT + Pr L1 C (9.4.1 a)
'=-L1Ij1, (9.4.1 b)
oT oT
Vh ox + Vv & = L1 T, (9.4.1 c)
oljl
Vh =- oz' (9.4.1 d)
The physical meaning of the quantities is as folIows. Vh: horizontal velocity,

Vv :vertical velo city, T: temperature, ,: vorticity, 1jI: stream function, Ra: Ray-
leigh number, Pr: Prandtl number.
The boundary conditions are
oljl
ljI = 0 and on = 0 on r, (9.4.2 a)
oT oT
T(O,z) = 1, T(l,z) = 0, on (O,z) = on (l,z)=O (0 ~ z ~ 1), (9.4.2 b)
where ~ is the outer normal derivation. (2 b) indicates that x = 0 represents a

on
hot wall and x = 1 a cold one.
By means of(l b, d) the vorticity' and the velocities Vh, V v can be eliminated:
L1 2 1j1 _ Ra oT + ~ oljl ~ L11j1 _ ~ oljl ~ L11j1 = 0 in Q, (9.4.3 a)

ox Pr oz ox Pr ox oz
_ LJAT _ oljl oT + oljl oT = 0
in Q. (9.4.3 b)
oz ox ox oz
Although Eq. (3 a, b) represents a system of two equations, it behaves like a

scalar elliptic equation because each of the Eqs. (3 a, b) are of elliptic type. 1/1
and T are coupled in (3 a, b) by lower order terms.
We replace -,1 by the five-point formula ,1, from (3.1.15), ,12 by the
square Jr. All first differential operators a/ax and a/az are discretised by
centred differences. The unknowns I/I,(x), XE r, can be eliminated using (2 a).
Similarly, T,(O,z) and T,(1,z) are known from (2b). The difference scheme
for 1/1, e.g. at (x,z) = (h"z) involves 1/1,( -h"z). This value can be eliminated
by means of 1/1,( - h"z) = I/I,(h"z) (cf. (2a. Analogously, aT/an = (x = 0,1)
can be used to determine T,( -h"z) and T,(1 + h"z). The following system

results:
..<lI(u,) = 0, u, = [~l (9.4.4)
with (h,-l - W I/I,-variables and (h,-1 - 1) (h,-1 + 1) T,-variables.

The choice of the prolongation pu, = (p", I/I"PT T,) has to take into account
that Eq. (3 a) for 1/1 is of fourth order, whereas Eq. (3 b) for T is of second order.
Following 3.4.3 we define P", by cubic interpolation, while linear interpolation
(3.4.2) suffices for PT.
Split the defect d, = L,(u,) - fi into the components d, = (dt,df). The re-
striction r d, = (r", dt, rT df) is chosen here as folIows. r", as weil as rT are the
nine-point restrietion (3.5.4). Thus, rT is the adjoint of PT (cf. 3.5.3, whereas r '"
differs from P:. As pointed out in Example 3.5.4 this choice is sensible.
The smoothing iteration 91 is chosen as the pointwise Gau-Seidel iteration
(first applied to T, then 1/1,). Eq. (3 a) is nonlinear with respect to 1/1 because of
the terms 1/1 z ..11/1 x and 1/1 x ,1 1/1z. Since we discretise 1/1 z and 1/1 x by central differen-
ces, Note 9.3.1 a) applies: At each x E Ur the corresponding equation is linear
in 1/1, (x). Therefore the pointwise Gau-Seidel process is easy to perform. The
same conclusion would hold for an improved Gau-Seidel iteration, which
uses the blocks (1/1, (x), T,(xW instead of the single variables.
The further parameters of the multi-grid iteration (3.12) are V1 = 2, V2 = 0,
y = 2. The parameter s from (3.12e) is chosen as s = 0.001. The grid sizes start
at ho = i, i. e. h, = 2 - 2 -, The physical quantities are chosen as
Pr = 0.71, Ra = 10000.
The results of Tables 9.4.1 a-d are obtained by means of the non-linear
nested iteration (3.14). The approximation Uo in the grid with step size ho = i
(24 unknowns) is the result of several (20 or 40) Gau-Seidel iterations applied
to the starting value 1/10 (x, y) = 0, To (x, y) = 1 - x. The observed rate of con-
vergence is about (! = 0.5. According to Table 5.2.1 a reasonable value of the
number i in (3.14d) is i = 3. In Tables 9.4.1 a-d the numerical results are
compared for different values i = 3, 5, 7, 10. Obviously, the choice i = 3 is
sufficient. In the third column i = 7 is used only at the levels k = 1,2 (h 1 = i,
h2 = /6)' whereas only i = 2 iterations are performed at the highest level with
h3 = 312. In this case the computational work is comparable to that of j = 3.
9.4 Numerical Example: Natural Convection in an Enc10sed Cavity 191
Table 9.4.1 a. Values of the stream function '" at (x. y) = (~, ~)
3 5 7/7/2 10
h1
1
8 -2.8491 -2.8567 -2.8507 -2.8718
..L -2.4955 -2.4493 -2.4404 -2.4367
16
1
32 -2.3205 -2.3197 -2.3189 -2.3199
Table 9.4.1 b. Values of the horizontal velocity vh at (x. y) = (~, ~)
3 5 7j7j2 10
h1
1
8 10.668 11.135 11.225 11.554
1
16 11.001 10.869 10.834 10.817
1
32 10.616 10.615 10.605 10.616
Table 9.4.1 c. Values of the vertical velocity Vv at (x. y) = (~, ~)
3 5 7/7/2 10
h1
1
8 -10.185 -9.7178 -9.5050 -9.1902
1
16 9.1840 -9.0160 -8.9942 -8.9830
..L - 8.8680 -8.8749 -8.8648 -8.8757
32
Table 9.4.1 d. Values of the vorticity , at (x. y) = (~, ~)
3 5 7/7/2 10
h1
1
8 -62.981 -61.399 -62.559 -69.137
1
16 - 81.073 -70.063 -67.782 -66.801
1
32
-66.143 -66.764 -68.012 -66.758
Table 9.4.2. Results of the vertical velocity Vv for h 3 = :&.

x 1 2 3 4 5 6 7
8 8 8 8 8 8 8
Y
1
8 - 4.507 - 3.496 -0.963 0.576 0.901 1.398 4.727
2
8 -11.486 - 8.876 -3.087 0.814 2.769 5.524 12.302
3
-17.127 -12.011 -4.351 0.560 4.081 9.574 17.833
8
4
-19.544 -12.029 -4.572 -0.001 4.571 12.030 19.544
8
5
-17.833 9.574 -4.082 -0.562 4.351 12.011 17.127
8
6
-12.301 5.524 -2.769 -0.814 3.087 8.877 11.486
8
7
- 4.727 1.399 -0.901 -0.576 0.963 3.496 4.507
8
The CPU times on a CDC Cyber 70/76 for the complete nested iteration
(including the print out) are 1.18s (i = 3), 1.76s (i = 5), 1.18 s (i = 7/7/2),3.18 s
(i = 10).
Comparing the results of IjJ, vh , vv ' , for different step sizes h" we are able
to guess the accuracy of the difference solution.
9.5 Convergence Analysis
We analyse the two- and multi-grid iterations of 9.3.2-3. The main result
will be the following: Asymptotically the nonlinear two- and multi-grid iter-
ations behave as the linear ones when applied to the linearised equations.
Other than in the linear case one has first to prove that the iterations are
well-defined since it might happen that the iterates leave a certain domain of
definition and go astray.
9.5.1 Convergence of tbe Nonlinear Two-Grid Iteration
According to Remark 9.1.1 the grid functions u, and j, must belong to the
respective subsets OU, and :F,. We have still to restrict these sets. For a fixed
norm 11 11", on OU, there is some B, > 0 such that
ou,(1):= {u,: Ilu, - ur!l", ~ (I} (9.5.1 a)
satisfies
(9.5.1 b)
Usually we cannot expect B, to be independent of I for the following reason.
Assume that the coefficients of the differential equation depend on u (or even
on ux ' uy ). Then reasonable neighbourhoods of ur should be described by
means of the supremum norm 11 1100 (or 11 111,00 being the supremum of the
grid function and its first divided differences). But 11 11 00 (and 11 111,00) is not
uniformly equivalent, e.g., to the Euclidean norm 11 11",. In the two-
dimensional case we have 111100 ~ Ch,-1 1111", (or 11111,00 ~ Ch,-2111I",).
Hence, the radii B, behave like B, = B h, (or B, = B hl, respectively). However
under other circumstances B, = B may hold.
The image of OU, (I), 0 < (I ~ B" is
:F, (I): = 2; (OU, (I = {j, = 2; (u,): u, E OU, (I)} C :F,. (9.5.1 c)
To analyse the two-grid iteration we shall use divided differences D2; and
Dy/(V) satisfying
2; (u,) - 2;(u;) = D2;(u" u;)(u, - uD, u" u; E OU" (9.5.2 a)
!/{(V) (u"j,) - y/(v) (u;,j,) = Dy/(v) (u" u;,j,)(u, - u;), u" u; E ou"j, E :F,.
(9.5.2 b)
9.5 Convergence Analysis 193
Note 9.5.1. a) The difTerences D2" DY, are not uniquely defined by (2 a, b).
b) If 2, and Y,(V) are difTerentiable in the convex domain Olil , one may define
D2,(uz, u;) =! LI(ul + t(u; -
1
uI))dt, (9.5.2c)
(9.5.2d)
c) If 2, is difTerentiable at UI and D2, is continuous at (UI, UI), one has

LI(uI) = D2,(uI,uI)' (9.5.2 e)
d) The difTerences D2,-1 (.,.) of 2,-1 defined by
2, - 1(fz) - 2, - 1 (fz') = D2, - 1 (2, - 1 (fz), 2, - 1(fz')) (j, - fz') (9.5.2f)
satisfy
D2, -1 (Uz, u;) = [D 2, (UI, u;w 1. (9.5.2g)
The two-grid iteration (3.7) is well-defined if the input U and the inter-
mediate values U appearing in the right sides of (3.7 b, c, h) lie in Olil , so that Y,(V)
and 2, are defined, and if d from (3.7 f) lies in .'F, - l' The former conditions can
be satisfied if UI = !lI - 1 (fz) is in the interior of 0lI1 and if the input U is close
enough to UI' The latter condition is discussed in
Remark 9.5.2. Assurne Ul-l E 0lI1- 1 (el_ d2) for UI-l from (3.7 a) and
11 D2,= HUI-l, U;-I)11", +-F ~ CDL for all UI-l' U;-1 E 0lI1_ dei-I)'
Then the choice 0"1-1: = el_ d(2C D d in (3.8) ensures d E .'F,-1 (ei-I) for d from
the left-hand side of (3.7 e).
In general, one cannot ensure d E .'F,-1 for algorithm (3.10). It may happen
that the set 2,-1 rOliI is disjoint from .'F,-I' Then dEl: .'F,-l holds even for UI
arbitrarily close to the solution 2,-1 (fz). We give a sufficient condition in
Remark 9.5.3. Let all UI E Olil satisfy the consistency condition
IID2,=HuI-I' ut-I)[2,-druI) - r2,(uI)]II", ~ Chi-I
for all UI - 1 E 0lI1- 1 (ei-I) and assurne 11 rfz IIF/CDL + C hi-I ~ el _ 1 with CDL
from Remark 9.5.2. Then d from (3.10 b) lies in .'F,-I (ei-I)'
In the nonlinear case the contraction number CI can still be defined by
(9.5.3 a)
One mayaIso consider
11 U{+ 1 - !li-I (fz) 11", ~ CI,j 11 u{ - 2,-1 (fz) 11"" sup CI,j < 1. (9.5.3 b)
j
(3 b) implies (3 a) with CI = sup CI,j' while the asymptotic behaviour is governed

j
by the possibly smaller number cr:

cr := lim
j-+oo
C"j ;;;; C,: = sup C"j < 1 .
j
(9.5.3 c)
Note 9.5.4. Suppose (3.1 b). Then 2;-1 (jj) is a fixed point of the two-grid
iteration (3.7).
The computation of the contraction number can be based on
Lemma 9.5.5. Suppose (3.1 b). Ifthe two-grid iteration (3.7) is well-defined, the
errors c5 ut : = ut - 2; - 1(jj) satisfy
c5~+I= ~.5.~
D~(V2) (u;', u" };)[I - pD2;= t (V,-i> u,- 1)r D2;(u;, u,)] D~(v,)(u/, U,'};) c5u/,
where u, = 2;-I(jj), u; = ~(v,)(u/,};), V,-l = 2;=t(d,-I), d,- 1 =]',-1-
sr(2;(u;) - };), uj' = uj + P(V,-l - "'-I)/S.
Proof By (3.1 b) the error of uj from the left-hand side of (3.7 b) is
c5uj:= uj - U, = ~(V)(u/,};) - ~(V)(u,,};) = D~(V)(u/, ul'};)c5u/.
d from (3.7 c) equals r(2;(ul) -};) = r(2;(uj) - 2;(u, = r D2;(u;,u,)c5uj. The

left-hand side V'-1 of (3.7 f) satisfies
V'-1 - U,-l = 2;=t(J,-1 - sr(2;(uj) - }; - 2;=1 (J,-I
= - sD2;=l (vl_"ul_l)rD2;(uj,u,)c5uj.
Hence the error of ul' defined in (3.7 g) is

c5u;':= ul' - u, = c5uj + P(V,-l - U,- 1)/S = [1 - pD2,=t rD2,]c5u;
and the post-smoothing (3.7 h) yields (4). o
If 2, and ~(v) are affine, the matrices D2;, D~(v) become D2, = L"
D~(v) = SIv) and (4) proves again Remark 9.3.4.
Proposition 9.5.6 (convergence of NTGM(V, 0. Let (7.1.1), the smoothing prop-
erty (6.1.7 a-c), and the approximation property (6.1.8) be satisfied uniformly
forallL, := D2,(U;,UI),L'-I:= D2,-1 (U,_l,U;_I),S'<v):= D~(V)(ul,u,,};)with
arguments u,' u;, u;' E q[, (e,), U,-l, U,-l E qJ,-l (ei-I), where e, and e,-l satisfy
e, ~ G" e'-1 ~ GI-I, U,-l EqJ,(e,/2), Cse, ~ GI with Cs from (7.1.1).
Let 0"-1 from (3.8) satisfy 0"-1 ~ G,_ t!(2CDLl (cf. Remark 9.5.2) and assume
(5 a) or (5 b):
}; = 0 and u? E qJ,(e,), (9.5.5 a)
}; E ~ (eil3) and u? E qJ, (e,/3). (9.5.5 b)
'I
Then there exist y and Ti such that (3 a) holds for. the iterates of (3.7) with
~ CA '1(v) < 1, provided that v E [y, v(h, and h, ~ Ti. All iterates u/lie in q[,(e,),
Proofby induction. a) For j = 0 U? E %'1 (eh) holds. Assurne ul E %'1 (QI) Cs QI ~ el

ensures ui = y/(V) (ui,f,) E %'1 (eI) c %'1' By Remark 9.5.2 the left-hand side
dl - 1 of (3.7 e) lies in ffr- dQI-l)' Hence the application of iteration (3.7) to
u{ is well-defined. From Lemma 9.5.5 one concludes that 11 (ju{+ 1 11", ~
11 MI (v) 11"' .... '" 11 (ju{ 11", with MI (v) from (6.1.4). As in Theorem 6.1.7 one proves
11 MI (v) 11", .... ", ~ CA 17 (v) =:(1 < 1 for suitable v.
b) It remains to prove u{+ 1 E%'I (QI)' (5 a) and (5 b) are special cases of
f, E ffr ('I'), u? E %'1 (QI - 2'1') and 'I' ~ Qd2. (9.5.5 c)
Let UI: = 2,-1 (f,). U{+ 1 E %'1 (QI) is shown by
Ilul+ 1 - uf 11", ~ Ilul+ 1 - udl", + Ilul - uf 11",
~ (/+ Ilu? - ullI", + Ilul - uf 11",
1
~ (t 1 (11 u? - uf 11", + 11 uf - ullI",) + 11 UI - uf 11",

~ (j+l(QI_ 2'1' + Q') + Q' <QI' D
In Proposition 9.5.6 we postulate conditions for a family of matrices LI and
Sl'). It is more convenient to require the conditions (e. g. the approximation and
smoothing properties) for one LI = D2, and one S{') = Dy/(V) with fixed argu-
ments. Since we are interested in Eq. (1.2) withj, = 0 the favourable arguments
are UI = uf andj, = O.
We recall (2e).1f 2, and y/(V) are continuously differentiable, the derivatives
o 2,(uf),
L I :=;- S(v) =
I':::.
~,p(v) (u* 0)
071 I, (9.5.6a)
vUI vUI
are approached by D2, (Ub uD, Dy/(V) (Ulo ui, j,) as UI' ui --+ uf and j, --+ O. More
precisely, we require
11 Dy/(V) (UI' u;, j,) - Si V) 11"' .... '" ~ 8 (Qdel) for all Ul> u; E %'1 (eI), j, E ffr (eI)
(9.5.6 b)
11 Ljl D2, (UI, ui) - 111"' . . '" ~ 8 (Qdel) for all UI, u; E %'1 (eI), (9.5.6 c)
where 8 (e) decreases monotonely to 8 (0) = 0:
8(e) ~ 0 as e ~ O. (9.5.6d)
In Exercise 9.6.1 Inequality (6c) is stated for a particular example.
Theorem 9.5.7 (convergence of NTGM(v, 0. Let the conditions of Proposi-
tion 9.5.6 hold except that (6.1.7), (6.1.8), (7.1.1) are to be satisfied only for LI.
L I - 1 , SI(v) from (6 a). In addition assurne (6 b-d), (7.1.2). Then for sufficiently
sm all el> el-1 the two-grid iteration (3.7) satisfies (3 a) with a contraction
number
(I = (edel> el-del-1, v) < 1 (9.5.7 a)
with
(r.x,p,v)--+ 11 MI (v) 11", .... ", as rx,P--+O. (9.5.7 b)
Proof. Abbreviate the left-hand sides of (6b, c) by 11Y,(U"U;,Ji)II",_""

11 X, (u" ul) 11",_", and note that Dy/(V) = S{V) + Y" D!l',. = Lk(I + X k) for
k = 1 - 1,1. By Lemma 9.5.5 one has to estimate
[I - p(I + X ,_ 1)-1 Li-\ r L,(I + X/)](S{V) + Y,).

Using IIp 11", _'" ~ Cp , 11 Li-\ r L,II",_", ~ const (cf. Lemma 7.1.5),
III-(I+X'_1)-II1",_",~O(e), IIXdl",_",~e, 1Iy,1I",_",~e
with e= e(const(I,Je, + (l,-de,-I)) -+0 as (1" (1,-1 -+ 0, one proves (7a). 0

The asymptotic contraction number er from (3 c) can be characterised in
the following cases:
Corollary 9.5.8. a) Instead of (3.8) define
(J (k, dk): = min {const, (Jklll dk IIF} .
Then the two-grid iteration (3.7) has the asymptotic contraction number
er = 11 ~a uU,
y/(V2) (U" Ji) [I - p Li-\ (a,-I) r L, (u,)] ~ouU, Y/(Vtl (u" Ji) 11 "'_'" (9.5.7 c)
with U,: = 2z- 1 (li).
b) Ifthe modification (3.10) is well-defined, its asymptotic contraction num-
ber is given by
er = II~o u~
y/(V 2)(u" JiHI - pLi-\ (fuI)r L/(u,)] ~o
u~
y/(Vtl(Uz,Ji)11
"'_'"
.
(9.5.7 d)
9.5.2 Convergence of the Nonlinear Multi-Grid Iteration
First we consider a modified two-grid iteration. Let U,-l H 1J',-1 (U,-l, Ji-l) be
an iteration converging to 2z= t (li-I) with contraction number t/I,-l < 1:
11 'P,-1 (U,-l,Ji-l) - 2z= t (Ji-l) 11", ~ t/I,-ll1 U,-l - 2z= ~ (li-I) 11",
for all U,-l EOU,-de,-l),Ji-l Eff,-de,-d. (9.5.8a)
The modification of iteration (3.7) is described by
replace (3.7f) by "v:= 'P,-da,- 1 ,d);" (9.5.8 b)
Denote the result of (8 b) by V,-l = V/- 1 - t5V,-l, where V'-I: = 2z= ~ (d ,- 1 ) is
the exact solution. (8 a) implies
11 t5 V,-l 11 '" ~ t/I 1- 1 11 V,_ 1 - U,_ 1 11 '" .

V'-l - U/-l = - s D2z= t rD2z t5u; is already mentioned in the proof of
Lemma 9.5.5. Hence the modification (8 b) causes the following change. Instead
of an error bu;' we obtain b;' with

bl' = bu; + P (VI- 1 - I- 1)/S = bu;' - pbvI_ ds;
thus
11 b;' 11", ~ 11 bu;' 11", + 1/11-1 IIp 11", _ '" 11 D2;= ~ r D2; DYt'(V) 11", _ '" 11 bu{ 11",
shows that Theorem 9.5.7 has to be changed as follows.
Lemma 9.5.9. Under the assumptions of Theorem 9.5.7 the two-grid iteration
(3.7) modified according to (8 b) with 'P,-1 satisfying (8 a) has a contraction
number
'I = '(edel> (l!- d el- 1 , v) + C* 1/1/-1 (9.5.8 c)
with , from (7 a). Convergence holds for sufficiently small 1/11-1'
Let the iteration CPo from (3.11) satisfy

11 CPo (uo,Jo) - 20- 1 (fo)ll", ~ <Po 11 Uo - 20- 1 (fo)ll",
for all Uo E rl/to (eo), 10 E ~o (eo) (9.5.9)
Note 9.5.10. a) At level I = 1 the iteration NMGM(v,O) from (3.12) is identical
with the two-grid iteration considered in Lemma 9.5.9 when we define
Po: = CP'b (y-fold application of CPo).
b) The multi-grid iteration (3.12) can be described by
CP/(uhh):= output of NMGM(l, UI,h),
where NMGM is the two-grid iteration of Lemma 9.5.9 with 'P,-1 = cpr-l'
Denote the contraction number of CPI by 'I' From (8 c) and Note 9.5.10 one
concludes that
'I =, + C*G-l for I ~ 1, '0 = <Po, (9.5.10)
with' = '(edel' ei-dei-I, v) < 1. This is the inequality (7.1.6), only the start-
ing value is different.
in Lemma 7.1.6. The estimate 'I ~ '*

Remark 9.5.11. Assume C* y > 1 and (7.1.7 a) and let '* be the value defined
(l ~ 1) holds if <Po ~
Theorem 9.5.12 (convergence of NMGM(v,O. (i) Let NMGM(v,O) be the iter-
'*.
ation (3.12) with y ~ 2,
Uk E rl/tk(ek/6) for k = 0,1, ... , I - 1 (9.5.11 a)
and with (J (k, dk ) (cf. (3.12e defined by (3.8) involving
(9.5.11 b)
where CDL is defined in Note 9.5.2.
(ii) Let ek/ek (0 ~ k < l) and the contraction number <Po of CPo be sufficiently
small.
(iii) L, and SlV) defined by (6a) have to satisfy the smoothing property (6.1.7),
the approximation property (6.1.8), and (7.1.1). In addition assume (7.1.2) and
(6b-d).
n
Then for any , ... < 1 there are > 0 and ~ such that the following assertion
holds for NMGM(v,O) with h1 ;;;;; n,
~;;;;; v< v(h 1 ). The multi-grid iteration
(3.12) is well-defined for all starting values uP and right-hand sides fi satisfying
(5a), (Sb), or (Sc). The iterates remain in ~,(U,), The contraction number is
bounded by , ... ~ const . '1 (v) with '1 (v) from (6.1.7 a). Ir v(h) = 00 (cf. (6.1.7 c
there is no restrietion on h1 and v ~ ~ is the only condition on v.
Proof. a) Given any , ... < 1 one finds , such that Remark 9.5.11 implies 'I ;;;;; , ....
According to assumption (ii) lfJo ;;;;; , ... must hold. There exist Ti and l' such that
11 M, (v) 110ft <--oft ;;;;; CA '1 (v) ;;;;; '/2 for M, (v) : = (I - p L,_\ r L,)S[Y) provided that
h1 ;;;;; Ii, l' ;;;;; v < V(h 1)(cf. Theorem 6.1.7). Hence the two-grid contraction num-
her' (udel> U,- t/e,-1, v) from Theorem 9.5.7 is bounded by 'if U, and U,-l are
sufficiently small (cf. (7 b) and assumption (ii.
b) The assertion of the theorem is obvious for 1 = 0 since lfJo ;;;;; , ....
c) Let the assertion hold for the level 1 - 1. By Note 9.5.10 the multi-grid
iteration can be regarded as the two-grid method (3.7) modified by (8 b) with
~ - 1 = q,l- 1, where q,,- 1 is the multi-grid iteration (3.12) at level 1 - 1. We
have to check whether q,1-1 is well-defined. The arguments of q,1-1 are
UP-1 = U,-1 andfi-1 = ]',-1 - sd (d from (3.12d. By the choice of s (cf. (11 b
and because of ]',-1 E ~- du,- t!6) it follows that fi-l E F ,_ du,- d3).
Since U,-1 E ~,_ dUI-1/3) (cf. (11 a the requirement (5 b) is satisfied.
'1-1' The contraction number

'I = '(ul/e,,(!i-t!e,-1, v)+C""1-1;;;;;' + C"'''-1'
'I
For the given arguments q,1-1 is well-defined and has the contraction number
at level 1 is estimated in (10) by
d) Remark 9.5.11 proves that 'I ;;;;; , ... for all I. Because of (7 b) the contrac-
tion number behaves like const . '1 (v) for sufficiently small Uk' 0
9.5.3 Analysis of the Nonlinear Nested Iteration
As in the linear case we assume (5.2.3-4):

Ilftut-l - ut 110ft ;;;;; Cl ht , 1 ;;;;; k;;;;; I, (9.5.12)
11ft 110ft <--oft ;;;;; C20 , ht- 1 ;;;;; C21 ht, C2 := C20 C21 (9.5.13)
The exponent K from the relative discretisation error estimate (12) is the con-
sistency order. Although the nonlinear nested iteration (3.14) behaves almost
as the linear one, there is a characteristic distinction. Even if the approximation
Uk-1 is the exact solution Ut-1' the starting value ftUk-1 may he outside of
~k (ek) so that the iteration at level k may faH to converge to ut. ft Ut-1 E ~k (ek)
can be ensured by
(9.5.14)
9.6 Exercises 199
We recall that 8k may depend on hk as 8k = 8hf. If ~ K Inequality (14)

becomes Cl hi - P < 8, otherwise Cl hf - P < 8.
Theorem 9.5.13. Assurne that the iteration NMGM involved in (3.14d) is well-
defined for h = 0, Uk E OUk(8k) (cf. (5 a and has a contraction number ( < 1 for
all 1 ~ k ~ I. Suppose (12), (13), (14). Using (14) the number i involved in
(3.14d) can be chosen so that
C2 (i ~ 1 - Cl hJ.l8k> 1 ~ k ~ 1. (9.5.15)
Then the nested iteration (3.14) is well-defined and produces results k with
11 k - ut 11", ~ C3 (e i) Cl h~ with C3 (e i) = (i/(l - C2 (i)
for 0 ~ k ~ 1, (9.5.16)
provided that the starting value o from (3.14a) satisfies (16).
The proof is exactly the same as that for Theorem 5.2.3. In addition one has
to check that (15) implies Pk-l E OUd8k). It is obvious, that we may replace
NMGM in (3.14d) by any iterative solver defined on O/Ik(8k) with a contraction
number (. For instance, NMGM may be replaced by the Newton-multi-grid
iteration from 9.2. If we use the multi-grid iteration NMGM(V 1 ,V 2 ) defined in
(3.12), we need the previously computed approximations o, l"'.' /-l in the
iteration at level I. In Theorem 9.5.12 we required k E OUk(ed6). This can be
achieved by the nested iteration as stated in
e
Corollary 9.5.14. Theorem 9.5.12 requires ek = 8k with sufficiently small If e.
i from (3.14d) satisfies C3 (, i) Cl h~/8k ~ e/6 and if o E OUo (eo/6), the condition
k E OUk(ek/6), 0 ~ k ~ I, is met.lfwe replace 8k in (14) and (15) by ek' a sufficient
condition is
yi <! (9.5.17)
\, = 6'
9.6 Exercises
Exercise 9.6.1. Discretise the equation

-,1u+uux=j in Q=(O,l)x(O,l), u=O on r,
by 21 (u/): = - ,1/u/ + u/ 8x u/ - Jz, where ,1/ is the standard five-point scheme
and 8x u/(x, Y) = [UI(X + hl , y) - u/(x - hl , y)]j2h/.
(i) Prove that D 21 can be represented such that
(D 21 (Uz, ul) - L/) VI = vl 8Au/ - ur) + (u; - ur) 8x V/
(ii) Choose the energy norm 11 11", = 1 11 and prove inequality (5.6 c) with
the right-hand side e(el/81) = const . (ll' Therefore, the choice
80 = 8 1 = ... = 81 = 8 is possible. Hint: Use the discrete analogue of
11 IIL4(Q) ~ 11 IIH1(Q) (cf. Adams [1, p. 97]).
(iii) Choose 11' 11ft = 1 10 and prove (5.6 c) with 8, = 8 hl H (~ > 0) and
(9 (11) = const . 11
Exercise 9.6.2. In Theorem 9.5.12 we required Uk E I1IJk(!k/6). Prove that

I1IJk(!k/6) can be replaced by I1IJk (9(!k) with (9 = (5 - 0/(6(2( + 1, where (is
the multi-grid contraction number. As a consequence, Inequality (5.17) may be
weakened (cf. Hackbusch [33, p. 28]).
10. Singular Perturbation Problems
An operator L = L(e) depending on a parameter e is called singularly per-

turbed if the limiting operator L(O) = lim L(e) is of a type other than L(e) for
..... 0
e > o. For instance, an elliptic operator L(e) = e V + VI (e > 0) is singularly
perturbed if L II is non-elliptic or elliptic of a lower order. Different types of L II
give rise to the subsections 10.1-3.
When L II is not elliptie (of order 2m) the given boundary conditions can be
satisfied for e = 0 only partially. For e > 0 the remaining parts ofthe boundary
conditions generate a boundary layer. Under certain conditions such layers
mayaiso lie in the interior of the domain.
Instead of L(e) = eLI + VI one mayaiso consider V + cLII for c -+ 00.
For ease of exposition we consider linear boundary value problems. They may
serve as model problems approaching a more complicated nonlinear situation.
The discretisation of singular perturbation problems contains characteris-
tie difficulties. This fact influences the multi-grid iteration, since the discretisa-
tion process is hidden in the hierarchy of operators L k (0 ~ k ~ 1). A related
difficulty concerns the smoothing process. When the discrete problem is also
singularly perturbed, one has to construct special smoothing iterations whieh
are well-suited to the discrete analogue of L(O).
10.1 Anisotropie Elliptie Equations
10.1.1 A Model Problem
A particular model problem of an anisotropie problem is

- eUxAx,y) - Uyy(x,y) =f(x,y) in Q, U= 0 on r, (10.1.1)
where e ~ 1 (or e ~ 1) and Q = (0,1) x (0,1). The general anisotropie problem

is given in Eq. (14) below. However, most of the difficulties can be illustrated
even for Eq. (1). In a square grid Q/ of size h, Eq. (1) is discretised by the
202 10. Singular Perturbation Problems
Table 10.1.1. The convergence rates of the multi-grid iteration with pointwise and y-Iine
Gau-Seidel smoothing for h 3 = -h;
s 1000 100 10 2 0.8 0.5 0.4 0.2 0.1 0.05 0.01 0.001
point-
wise .92 .89 .63 .18 .074 .087 .18 .24 .44 .63 .76 .89 .92
y-line .92 .89 .63 .18 .058 .036 .022 .024 .034 .035 .043 .012 510 -5
-,l
five-point scheme
-1
L, ~ h,-' [-, 2 + 2e (10.1.2)
-1
In 4.4.1 we described a multi-grid iteration which uses a pointwise
Gau-Seidel iteration as a smoother. Applying this algorithm to Eq. (2) one
observes that the multi-grid iteration is much slower than for Poisson's equa-
tion (e = 1) as soon as e ~ 1 or e ~ 1 (cf. Table 10.1.1).
This effect can be explained as folIo ws. From 6.3 one finds that the con-
stant CA from the approximation property behaves like CA (e) = C~/e if e ~ 1 (cf.
Exercise 10.5.1), whereas the upper bound IJ (v) hl- a appearing in the smoothing
property is independent of e. Thus Theorem 6.1.7 yields a contraction number
~ const 1J(v)/e. Since the problem is symmetric we mayaiso apply
Theorem 6.4.4 and Theorem 7.2.2, which yield the upper bound (1 - const . e)V
in the two-grid case and 1/(1 + e . v . const) for the V-cycle.
For the lexicographical Gau-Seidel iteration the smoothing rate
l?B(V) ~ [(1 + e2)/(1 + 4e + 5e 2)]"/2 ~ (1 - 2e)" (cf. Brandt [3, p. 340)) shows
the same effect. The POOf smoothing rate is caused by the fact that for e ~ 0 the
pointwise Gau-Seidel iteration smoothes only with respect to the y-direction.
An error like sin((h- 1 -1)nx)sin(ny) which is smooth in y but highly oscil-
lating in x is hardly changed by either the pointwise Gau-Seidel process or by
the coarse-grid correction.
A well-suited smoothing iteration has to compensate for the difficulties
arising from the loss of ellipticity as e - O. One should look for smoothing
iterations satisfying
Criterion 10.1.1. Let LI (e) be the singularly perturbed discrete operator with
limit LI (0) = lim LI (e). The smoothing iteration should be a fast iterative (or
<-+0
even direct) solver of the equation LI (0) UI = j,.
In the present case L(O) U equals - Uyy and LI (0) UI = j, consists
of decoupled equations for the 'y-lines' (for the blocks
{UI (hj, y), UI (2hj, y), .. . , ul(1 - hj, y)}). Such a system is solved exactly by the
y-line Gau-Seidel iteration of 3.3.3. Unlike the case of pointwise smoothing
the convergence rate of the multi-grid iteration with y-line Gall-Seidel smoo-
thing does not slacken when e decreases. On the contrary, the rate improves
10.1 Anisotropie Elliptie Equations 203
as e approaches zero (cf. Table 10.1.1), though the smoothing rate '1B (v) equals
max {1/j5, e/(2 + e)}' (cf. Brandt [3, p. 340]).
The considerations of 6-7 can still be applied to prove that the two-
and multi-grid contraction numbers are uniformly bounded by const . 11 (v)
for all 0 < e ~ 1. The estimation of LI St in Proposition 6.2.22 does not fit
our needs if e ~ 1. But it is possible to prove 11 LI St 11 ~ e . const . 110 (v - 2)
with 110 from (6.2.1 b). Therefore, the factor lle from the approximation prop-
erty (cf. Exercise 10.5.1) is neutralised and the contraction numbers turn out to
be independent of e E (0, 1].
S,
The estimation of LI is easier for the following linewise iteration:
!/l(u!>J;): = UI - [Vi + e WI hl- 2m lJ- 1 (LI UI -J;), (10.1.3 a)
where
(10.1.3 b)
If W I = 0 the iteration would be a y-line Jacobi iteration. Note that applied to
V; UI = J; (i. e. e = 0) iteration (3 a) yields the exact solution (cf. Criterion 10.1.1).
The iteration matrix SI can be written as
SI = B- 1A with A:= e(w l h l- 2m I - LI), B:= Vi + ew l hl- 2m I.
(10.1.3 c)
Lemma 10.1.2. Suppose L1 = LP ~ 0, V; = Vi * ~ 0, WI ~ hf"m 11 LH Then

the smoothing property
IILISn ~ e 11' (v)h l- 2m , 11' (v) = WI 110 (v - 1) for v ~ 1 (10.1.4)
holds with 11' (v) independent of e.
Proo! Since LI = B - A we may write

LiSt = (B - A)(B- 1A)' = A(B- 1A)'-1 - A(B- 1A)'.
As A = A * ~ 0 by definition of WI' the matrix X: = A 1/2 B - 1 A 1/2 is well-
defined. One concludes that
IILISn = IIA1/2XV-1(I-X)A1/211 ~ IIA1/21121Ixv-1(I-X)11
= 11 A 11 11 XV - 1(I - X) 11 .
o s X s I folIo ws from 0 ~ A ~ B. Lemma 6.2.1 implies 11 Xv - 1(l - X) 11 ~
110 ~ - 1). The inequality 11 A 11 ~ e WI h/- 2m concludes the proof of (4). 0
By Theorem 6.1.7 the two-grid contraction number is ~ CA 11 (v). Since

CA = eie for e ~
1 (cf. Exercise 10.5.1) and 11 (v) = e11' (v) we have proved
Remark 10.1.3. Choose iteration (3 a, b) as the smoothing iteration for Eq. (2).
Then the two- and multi-grid contraction numbers are bounded by
const . 110 (v - 1) for all 0 < e ~ 1.
10.1.2 Smoothing with Respect to Alternating Directions
Equation (1) is a model problem for the more general equation

- a (x, y) U XX (x, y) - b (x, y)u yy (x, y) = f(x, y), (10.1.5)
where 0 < a (x, y) ~ b (x, y) (perhaps only loeally). The smoothers mentioned
in 10.1.1 work for Eq. (5) if a ~ b. Ha?;b one has to replaee the y-lines by
x-lines. Therefore, alternating versions have been proposed for the general
situation, where a ~ b and a ~ b oeeur in different parts of U. Denote the x-line
(y-line) Gau-Seidel iteration by fIIx (fIIY). The alternating linewise
Gau-Seidel proeess is defined by
91 = fIIY 0 fIIx . (10.1.6)
Aeeording to the ordering of the lines one distinguishes the lexieographieal
version from the alternating zebra-line version. Obviously, the eomputational
work of (6) is doubled. Exeept when a ~ b half of the work spent for smoothing
is wasted, sinee fIIX(fIIY) has almost no effeet if a ~ b (a ~ b).
Another smoothing process suited for anisotropie problems is the well-
known ADI (alternating direetion implieit iterative) method (3.3.14).lts seeond
half-step has the form (3 a), while the first one eorresponds to the x-direetion.
Sinee the mixed term U XY is missing in Eq. (5), the only dominating diree-
tions ean be x or y. As soon as the mixed term is added, every direetion
x sin lP = Y eos lP, 0 ~ lP < 2n, may be dominant. This situation ean even
arise for the isotropie Poisson equation, if for some reason the diseretisa-
tion uses a eurvi-linear grid. The dominant direetion of the operator L(e) =
- [(ojox + ojoy? + e(ojox - ojoy)2)f2 eorresponds to the angle lP = ~. L(e)
may be diseretised by the star
-e
1 + 3e (10.1.7)
-e
Note 10.1.4. Neither the alternating line-Gau-Seidel process nor the ADI
method is suited for Eq. (7) when e ~ 1.
Obviously, Eq. (7) requires a diagonalline method. In order to eonstruet a
smoother fitted for all angles lP, one should replaee 91 from (6) by
(10.1.8)
where fII Yx are linewise Gau-Seidel iterations with respeet to the two diag-
onal direetions y x = O. This method is safer than (6) but it eosts twiee as
mueh as (6) and four-times .the work of the usual Gau-Seidel iteration.
Methods safer than alternating line-Gau-Seidel iterations are the ILU
and ILLU smoothers deseribed below. In partieular, ILLU works for all domi-
nant direetions.
10.1 Anisotropie Elliptie Equations 205
10.1.3 The Incomplete LU Decomposition as a Smoother
The exact LU decomposition LI = AB (where A and Bare lower and upper

triangular matrices respectively) cannot be recommended except for one-
dimensional problems. The reason is the well-known fill-in: The factors A and
B are not as sparse as LI' However, a prescribed sparsity pattern can be
achieved if we replace LI = AB by
LI = AB - C (A is a lower, B an upper triangular matrix). (10.1.9 a)
In the two-dimensional case Q c R. 2 the sparsity pattern P can be described

by a subset of all pairs {(i,j): 1 ~ i,j ~ nl } of indices. A nl x nrmatrix M has the
pattern PM if (i, j) $ PM implies Mij = O. On the other hand M ij = 0 is permitted
for (i,j) E PM' For instance, LI is a five-point star if PL is the five-point pattern
which is defined by "(i,j) E li if and only if i and j are indices of horizontally
or vertically neighboured grid points". This five-point pattern will be
symbolised by
p,{ : .J
The notation of other patterns by
needs no explanation.
In the case of (9 a) we have to fix the patterns PA, &, Pe of A, B, and C. The
usual assumption is
(10.1.9 b)
i.e. A and C have no common non-zero entries (similarly Band C). If

(10.1.9c)
did not hold, the decomposition (9 a) would be too poor. In the following we
assume that the factors A, B can be normalised by A ii = B ii Then (9 a) may be
rewritten as
LI = (A' + D)D- 1 (B' + D) - C, (10.1.9 a*)
where A' (B') is a strictly lower (upper) triangular matrix, while in the
first instance D is diagonal. A', B', and D can be computed by the follow-
ing
..................................................................
algorithm for ILU factorisation (10.1.10)
..................................................................
F:=L,; (10.1.10a)
for i: = 1 (1) n, do for j: = 1 - i (1) n, - i do
if(i,j + i)E~ u& tben
Fi,j+i:= Fi,j+i - L
m<O
Fi,i+mFi:;:~,i+mFi+m,i+j; (10.1.10b)
m<j
(i,i+m)ePA
(i+m,i+j)ePB
comment Aik = Fik for i > k, Du = Fi;, Bik = Fik for i < k;
The matrix C can be computed by

C = A' D- 1 B' + A' + B' + D - L" (10.1.11)
Note that Cik = 0 for (i, k) E PA U &, while Cile = (A' D - 1 B')ik otherwise (cf. (ge.
Remark 10.1.5. a) Faetorisation (9 a*) with non-singular D exists if L, is a
symmetrie M-matrix (cf. Meijerink-van der Vorst [1]).
b) The ILU deeomposition depends on the ordering of the eomponents
ofu,.
e) If (i,j) E PA is equivalent to U, i) E & and if L, = LT > 0, algorithm (10)
yields A',B',D with A' = B' *, D = D*. The faetorisation (9a) with
A = (A' + D)D -1/2 and B = A * is ealled an incomplete Cholesky decomposition.
By Eq. (11) the sparsity pattern Pe of C ean be determined. Below we list two
examples of PA, PB and the resulting pattern of C. The underlying ordering of
the grid points is the lexicographieal one (left to right, bottom to top).
(10.1.12 a)
(10.1.12 b)
(10.1.12c)
1001 Anisotropie ElIiptie Equations 207
(10.1.12d)
(12 a), (12c), (12 d) are called five-, seven-, and nine-point ILU, respectivelyo The
computational work of algorithm (10) is comparatively smallo In the case of
(12a) the sum in (lOb) is empty for allj 9= o. Whenj = 0, the sum is taken over
two indices m (such that i + m is the index of the left or lower neighbour of i).
Therefore, algorithm (10) requires 6 operations per grid point.
An algorithm computing A, B from (9 a) with Au = B u (instead of A', B', D)
is described by Wesseling [3]. Operation counts of the five- and seven-point
IL U can also be found there.
The representations (9 a) and (9 a*) of L, give rise to the following iter-
ation:
Y/(u"fi):= U,- B- 1 A- 1 (L,u,- fi) = B- 1 A-1U; + Cu,)
= (B' + D)-l D(A' + D)-lU; + Cu,). (10.1.13)
An ILU smoothing process was first introduced by Wesseling-Sonneveld [1].
Remark 10.1.6. If Y/ from (13) is used as smoothing iteration one need not
store the matrix L" but only A', B', C, D. If PA U p" = II the matrices A', B', D
require the same storage as L,. The matrix Cis obviously very sparse. The
coarse-grid correction requires the defect d, = L, u; - fi of ui = y/(u fi). This
"
grid function can be computed cheaply from d, = C (u, - uD.
Remark 10.1.6 shows that the ILU smoothing (13) is easier to perform than
it might seem at first glance. The next result indicates that (13) is a good
candidate for a smoother of anisotropie problems.
Remark 10.1.7. The ILU smoothing process (13) with A, B, C from (9 a, b)
satisfies Criterion 10.1.1 for L,(e) from (2), for the analogous discretisation of
- U xx - e uyy = J, and for L, (e) from (7).
Proof In all cases L, (0) u, = fi represents a family of decoupled systems for

vertical, horizontal, or diagonallines. Since each system is tridiagonal, it ad-
mits an exact factorisation without fill-in. Hence, L, = AB-C holds with
C = 0 and one step of Y/ yields the true solution. 0
Wesseling [3, Table 50S] applied a multi-grid algorithm with seven-point
ILU smoothing to L, (e) u, = fi with L, from (2). The observed averaged reduc-
e
tion ratios are repeated in Table 10.1.2. The further details of the multi-grid
program are: V 1 = 0, V2 = 1, Y = 1,p: seven-point prolongation, r: seven-point
restriction, L,- 1 = rL,P.
Table 10.1.2. Multi-grid convergence for the anisotropie problem (2) with seven-point ILU
smoother
E 0.5 0.1 0.01 0.0001 2 10 100 1000
Averaged 0.036 0.023 0.0016 4 10 - 8 0.047 0.10 0.052 31 10 - 5
rate
The convergence behaviour shown in Table 10.1.2 differs from the prediction
by means ofthe smoothing rates (lB (cf. 8.2.3). Kettler [1, Theorem 3.2] proved
(lB(V) -+ (3 + 2 )2)-' as e -+ 0 and (lB(V) -+ 1 as e -+ 00. The smoothing rates
can be computed since for Q = R. 2 the matrices A, B become Toeplitz opera-
tors which are diagonalised by the Fourier transform (cf. also Hemker [3], [9],
Wesseling [3]).
Rotating Eq. (1) by an angle ~ we obtain
(10.1.14)
where c = cos~, s = sin~, 0 ~ ~ ~ TC. As pointed out by Hemker [11] ILU is an
excellent smoother for i ~ ~ ~ TC, but may cause divergence for values ~ E (0, i).
Nevertheless, rapid convergence can be achieved by using the line-version of
(9 a *), where A' (B') is a strict1y lower (upper) block-triangular matrix and D is
tridiagonal. The algorithm for the incomplete line LU decomposition (ILLU)
is explained below.
Define the lexicographically ordered x (or y) lines as blocks. Any nine-point
scheme involves three lines; hence its block pattern is 11 = (* * *). Interpret
the indices of Fik in algorithm (10) as indices of the blocks. Then the sum in
(10 b) is empty for j =1= 0 and is taken over m = - 1 for j = O. With this modifi-
cation Fii = D ii would become a full block ofthe block matrix F. To ensure the
tridiagonal structure of the matrix D the algorithm is changed into the
algorithm for the ILLU factorisation (10.1.15)
F: = LI; comment LI is at most a nine-point scheme; (10.1.15 a)

comment LI,ik are the blocks of LI; (10.1.15b)
for i:= 2(1) nl ine do
Fii: = Fii - tridiag {Fi,i-l Fi= L-l Fi-l,;}; (10.1.15 c)
comment meaning of the blocks Fik: Alk if i > k, D ii if i = k, B lk if i < k;
The symbol tridiag {C} denotes the tridiagonal matrix C with Cik = Cik for
li - k I ~ 1. nl ine is the number of lines (blocks).
The numerical results reported by Sonneveld-Wesseling-de Zeeuw [1] con-
firm that the multi-grid iteration with ILLU smoother works perfect1y for Eq.
(14) with arbitrary angle ~.
10.2 Indefinite Problems 209
10.2 Indefinite Problems
Another singular perturbation problem arises for operators L(e) like

L(e) = ee + L S, L S = (LS)* ~ 0, (10.2.1)
where order (LS ) < order (L") = 2m. I! may be assumed to be positive definite.
The two cases of e > 0 and e < 0 are to be distinguished. In the first case L(e)
is always positive definite and relatively easy to solve (cf. 10.2.1), whereas the
second case leads to indefinite problems (cf. 10.2.2), i.e. L(e) has positive and
negative eigenvalues.
10.2.1 Strongly Positive Definite Problems
The discrete analogue of (1) is

L() LP+LsI,
,e=e, TS,=(LS,)*>=O,
I.J e >0. (10.2.2)
Usually, the perturbed problem L,(e)ul =Ji is easier to solve than Lfu, =Ji,
provided that Criterion 10.1.1 is satisfied: The multigrid iteration must be fast
for the equation L7 u, = Ji.
In the case of the standard five-point difference scheme of Heimholtz'
equation - Liu + cu =f, c = 1/e > 0, the matrix L7 is diagonal. Then for
instance any variant of the Gau-Seidel iteration yields the exact solution of
L7 u, = Ji in one step. Therefore, a multigrid iteration with such a smoother
satisfies Criterion 10.1.1.
The perturbation mayaiso be induced by the boundary condition as shown
in the next example. The finite element method with penalty replaces the
Poisson equation - Li u = fa in Q, u = fr on r by
ou
- Liu =fa in Q, U + e on = fr on r (10.2.3)
(cf. Babuska [1], Hackbusch [31]). The variational formulation of Eq. (3) is
a.(u,v) = e !favdx + jfrvdr for all vEH 1 (Q)
with
!
a.(u, v): = e (grad u) . (grad v) dx + j u v dr. (10.2.3')
The operator L(e) associated with a.(.,.) can be split into eLP + L S as in Eq.
(1).e corresponds to the Poisson equation with Neumann conditions, while
j
L S defined by (Ls u, v) = u v dr is an operator of order 1, which is obviously
positive semi-definite. The finite element discretisation yields a stiffness
matrix (2), where L7 has non-zero entries (M)ij only if i,j are indices of elements
({JI,i> ({JI,i (cf. (3.1.29 a)) with support ({JI) n support ({JIJ =1= 0. To satisfy
Criterion 10.1.1 one may apply a multi-grid iteration with the following
Gau-Seidel process: Let the coefficients of all epl,i with support (epl,i) n r ~ 0
form the first block, while the further blocks may consist of only one variable.
10.2.2 Weakly Indefinite Problems
For negative e the non-singularity of the operator L(e) from (1) cannot be
guaranteed. Under usual conditions L(e) is singular for e(/Io) with
o > e(1) < e(2) < ... < e(p.) < ... /' O.
As soon as e(1) < e < 0, L(e) is indefinite. The strength ofindefiniteness is given
by the largest v such that e(v) < e < O. Here we consider "weakly" indefinite
Problems, i. e. v is not too large.
The discretisation by LI (e) represents a non-singular system if and only if
e is not equal to one of the eigenvalues
ejl) < ei2 ) < ... < eind < O.
Since ei V) --+ e(v) (l --+ 00) should be assumed, we obtain the following result: Let
L(e) u = 1 be solvable (i. e. e ~ e(p.) for alt J,l); then for hl sufficiently small (e. g.
for llarge enough) the discrete problem LI (e) UI = j, is non-singular.
First we consider a numerical example, where e(1) < e < e(2), ep) < e < e\2).
The problem
- tru xx - e-Yuyy + sin (nx) u)l - [A + n 2(e x + e-)l) + ncos(nx)]u = 1
in Q, u = 0 on r: (10.2.4)
with Q = (0,1) x (0,1) has A. = 0 as first eigenvalue. Hence it is indefinite
for A > O. Multiplying (4) by e:= -1j(A + 1) we can cast (4) into the form
e L P u + LS u = e with LS = I. Decreasing values A --+ 00 correspond to e /' O.
The observed convergence factors are listed in Table 10.2.1. The applied multi-
grid program is taken from Hackbusch [6]. Since the discrete systems are
indefinite, almost all classical iterations are divergent. Nevertheless they can be
used as smoothing iteration (cf. Lemma 6.1.5). But the smoothing iteration
cannot be applied at the lowest level to solve approximately for Uo = Li) 1/0'
Therefore one has to follow
Remark 10.2.1. The equations L o Uo = 10 appearing at the lowest level I = 0
have to be solved exactly as formulated in (4.1.1 a). An iterative solution as in
(9.3.12 b) does not suffice unless the iteration applies to indefinite systems as
e. g. Kaczmarz' algorithm (3.3.20).
The theoretical considerations of 6- 7 proved multi-grid convergence
provided that the coarsest grid size ho is chosen small enough. The dependence
on ho is illustrated by the numbers of Table 10.2.1. ho = l yields worse results
than ho = i. In particular for A = + 1 the multi-grid iteration turns from
convergence (ho = i> to divergence (ho = l).
10.2 Indefinite Problems 211
Table 10.2.1. Convergence rates of problem (4) for h, = th
;. -5 -2 -1 2 3 5 8 10 15
ho = ~ 0.042 0.14 0.32 0.23 0.12 0.083 0.049 0.078 0.11 0.34
ho = ~ 0.12 0.37 0.64 3.7 0.95 0.55 0.29 0.15 0.21 0.55
To understand this effect one has to study the behaviour of an error

fil U 1 = vI 1 ), where vji) is the eigenvector defined by (ji) Lf + L~) vP) = O. The
-
error will be slightly increased by the (divergent) smoothing iteration. Conver-
gence of the multi-grid process can only be achieved by the coarse-grid correc-
tion. For that reason vP) must be sufficiently weH approximated by v!1J l ' In
particular, vb1 ) has to approximate weH the vector v\ll. If ho is too coarse, vb1 )
is only a rough approximation and the multi-grid convergence deteriorates.
Moreover, additional difficulties arise even if the approximation is perfect as
pointed out below.
Table 10.2.1 shows also that the rates depend on the distance of 2 to the
next eigenvalue. Since 2 = + 1 is elose to the first eigenvalue 2(l) = 0 and since
2 = + 15 is elose to the second eigenvalue 2(2), the rates are worse than in
between (e. g. for 2 = + 5). A brief explanation of this effect follows.
Let vP) be the eigenvector satisfying (P) Lf + L~) v1 1 ) = 0, where L~ = I
holds as for Eq. (4). Assurne !ll < I' < 1'1 2 ) for l = 0, 1 and study the behaviour
of the error fi 1 - U1 = Vii) under the optimal assumption that Vii) and vbll are
connected by r V)I) = vb1) and p vb1 ) = V)1). The defect of fi 1 equals (1 - 1'/1')1) v)ll
and the coarse-grid correction results in the new error U1 - U 1 = (X V\1)
with (X = [1'/1'\1) - b ll ]j[l - /b 1)]. Replacing I' by - 1/(2 - const) as in Eq. (4)
we obtain
(10.2.5)
The coarse-grid correction would be perfect if 2)1) = 2b ). However, 2)1) and 2b1)
1
differ by some discretisation error <> A}l{. We conclude from Eq. (5) that
the coarse-grid corrections becomes poor if IA - Ab1 )1 ~ I<>AIU!. In particular
min ,Ap) < A < max ,Ap) is disastrous since I(XI > 1.
1=0,1 1=0,1
Following this advice in the case of 1'(1) < '" < (v) < I' < (v + 1) we have to
ensure
(10.2.6)
for aHl = 0, 1, ... , Imax. For larger v three severe problems arise:
Possibly the vth eigenvector viv) is hardly representable on the coarsest grid
Do . Then ho must be refined.
Usually, inequality (6) cannot be guaranteed. In the case of Fig. 10.2.1 (6)
does not hold for v = 2 since 2~) < 2~2). In general, not even 2b") < 2b" + II can
be ensured which is necessary for (6).
If v > no there is no eigenvector vb") and the coarse-grid correction cannot
work.
.1. 111 .:i 111

3 .:i 131
3
3
0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
.:il'I
o
.:i111
0 .:i11J
0 .:i131
0 0 Fig.l0.2.1.
Distribution of eigenvalues
In order to overcome these difficulties, one has to use smoothing iterations

working for indefinite problems or one has to have some knowledge about the
eigenvalues and possibly the eigenvectors. In the situation of Fig. 10.2.1 one
can replace the coarse-grid matrix LI> I < 3, by L,: = L, + (A.~2) - A.1 2 I
provided that A.h2 ), ,A.~2) are known. Since the new eigenvalues are
1102 ) = 11/) = 1Il) = A.~2), there is a better chance for the modified multi-grid
process.
If also the eigenvectors vlll ) of the first eigenvalues are known, they can be
used within the smoothing process: The projection
"11-+"1 - IX vlll ) , IX = (vl ll ), d,)/1I vlll ) 11 2 , d, = L,u, - fi,
annihilates the villterror component provided that Lf = (Ln*, Lf = I. As so on
as the smoothing step deals weIl with these components, it does not matter that
the coarse-grid correction is poor or even divergent.
We have restricted our interest to weakly indefinite problems since severe
difficulties arise for very small 8. For instance, one has to choose an unreal-
istically small h, to obtain a difference scheme that approximates the strongly
indefinite differential operator (but compare Ta'asan [1]).
10.3. Interface Problems
10.3.1 A One-Dimension Model Example
The equation
- (a(x) u' (x)' = f(x) in 0 = (0,1); u(O) = 0, u(l) =1 (10.3.1 a)
describes the stationary temperature u in a wire which is heated according to
the source term f. The heat conductivity a(x) is a material constant. In the
classical sense the derivative of a (x) u' (x) is reasonable only if a E Cl (0). How-
ever, when the pieces [O,~] and [~, 1] of the wire consist of different materials,
10.3 Interface Problems 213
u
Fig.l0.3.1. Solution of Eq. (1 a, b) with

f = 0, a- = 1, a+ = 10, ~ = 0.2
x
a(x) becomes a piecewise constant function, which is discontinuous at e:
a(x)={a- O<x<e, b)
a+ e < X < 1. (10.3.1
To treat the arising problem we have to write Eq. (1 a) in the variational

formulation (cf. (3.1.11:
! a (X) u' (X) v' (X) dx = !f(x) v (X) dx

1 1
for all v E HA (0). (10.3.2)
Equation (2) makes sense even for the discontinuous a(x) from (1 b). Separate
integration by parts over [0, e] and [e, 1] yields a new classical formulation:
- (a- u')' = f in (0, e), - (a+ u')' = f in (e,l),
u(O) = 0, u(l) = 1, u(e - 0) = u(e + 0), (10.3.3)
a- u'(e - 0) = a+ u'(e + 0),
where the argument e - 0 (e + 0) denotes the limit from the left (right) side.
Because of the additional condition at e, Eq. (3) is called an interface problem.
The solution u (x) of the equivalent problems (2) and (3) is no longer smooth
in D. As depicted in Fig. 10.3.1 the solution is continuous, but has a discon-
tinuous derivative at e.
Formulation (2) can be used to define a rmite element discretisation. How-
ever, the discretisation error will be relatively large unless the finite element
space fits to the behaviour of the solution. This is the case only when e coin-
eides with a grid point of 0 1,
Also carefully defined difference schemes are suited. The scheme (3.1.18)
reduces in the present case to LI UI = Ji, where LI is the steneil
If eis a grid point, the choice (1 b) implies

if e> XE 0 1, (10.3.4a)
- a +] if e= X E0 1, (10.3.4 b)
if e< XE 0 1 , (10.3.4c)
The piecewise linear finite element discretisation would result in the same
matrix L, but in a slightly different right side j,.
Let Qo c Ql C ... c Q, be the grids with size hk = ho/2 k We emphasized
that ~ should be a grid point of Q, to avoid large discretisation errors. If ~ E Qk
holds for all levels k = 0, 1, ... , 1 no problems arise during the multi-
grid solution process. However, in general it is diflicult to achieve
~ E Qo C Q1 C ... c Q" Therefore assume that ~ E Q, holds for the first
grid but ~ $ Q,_ l' The prolongation P has to interpolate V,_ 1 by (p V,_ 1)(~)
at ~. From Fig. 10.3.1 it is plain that the linear interpolation
(p VI-1)(~) = [V,-1 (~ - h,) + V,-1 (~ + h,)Jl2 does not approximate the discon-
tinuous behaviour of the derivative. Using the homogeneous difference equa-
tion (L,pv,-d(~) = 0 (cf. (4b we obtain the following definition of PV,-1
at ~:
while the usuallinear interpolation is applied to all x E QI\Q,-1, x =F ~. The

stencil of P is defined by
p=[P-dx) Po (x) pdx)] (10.3.5 a)
if the unit vector ex with ex (x) = 1, eAY) = 0 (x =F y), is mapped into V, = P ex
with V, (x + v h,) = P. (x), V E 7L. P. = 0 is assumed for Iv I ~ 2. In the present
case the coefficients are
( ) =1 , P - 1 (X ) = {a+ I(a- + a+) if x = ~ + hl }

Po x 1 th "
"2 0 erWIse
( ) = {a- j(a- + a+) if x = ~ - h l }
P, x (10.3.5b)
1
"2 oth "
erWIse
Writing(4a-c)asL, = [L,,-dx) L"o(x) L ,,1 (x)] we can express the sten-
eil (5 a, b) by means of L,:
L, 1 (x - h,)
[ 1 (10.3.6)
P = - L,:o(x - h,)
If L, = const . h,- 2 [-1 2 -1] we regain P = [~ 1 1] from (6).

Note 10.3.1. The construction (6) of the prolongation P can be used for all
three-point formulae L" It describes the interpolation at XE QI\Q,-1 by means
of L,(pv,-d(x) = O.
Since the variation al formulation (2) is suited for the discontinuous coef-
ficient a (x), the definition of the coarse-grid matrix by means of the Galerkin
approximation
(10.3.7)
10.3 Interface Problems 215
(cf. (3.7.1 is the only reliable approach. The considerations of 3.5 showed
that the choice
r =p* (10.3.8)
is reasonable. It guarantees that the symmetry of L, implies the symmetry of
L,-i
Summarising, we note that by definitions (6), (8), (7) the prolongation, the
restriction, and the coarse-grid matrix are automatically produced from the
data of the matrix L, corresponding to the finest grid.
10.3.2 Two-Dimensional Interface Problems
Consider the selfadjoint equation

- (aux)x - (buy)y =1 in Q (10.3.9)
and assume that the coefficients are discontinuous across an interface
y: a = a-, b = b-Ieftfrom y, a = a+, b = b+ right from y. Then the discontinu-
ity of grad u = (u x , uy) is determined by
(a- u; - a+ u:)n x + (b- u; - b+ u;)n y = 0 at (x, y) E y,
where n = (n x , nyf is the normal direction of y. Only the derivative of u with
respect to the tangential direction is continuous. As in 10.3.1 the interface y
must coincide with grid lines since otherwise the discretisation error would
become large. If y is not a straight line the finite element approach of 3.8.2 is
applicable.
Unfortunately, it is not possible to extend the approach of 10.3.1 into
two dimensions without modifications. The reason is that the equations
(L,P V,-l)(X, y) = 0 for (x, y) E Q,\Q,-l (cf. Note 10.3.1) yield no explicit defini-
tion of p unless Q,_ 1 is the coarse-grid of Fig. 3.4.3 and L, is a five-point
formula (cf. 4.4.4).
For a nine-point scheme L, one may define the prolongation p in the
subgrid m of QI (cf. Fig. 3.3.5) by
(L,pV,-l)(X, y) = 0 for (x, y) E m= {(x', y') E Q" x'/h l and y'/h , odd},
(10.3.10a)
provided p VI-l is already defined in mum uQt. The obvious definition at
E Q{ = Q,-l is
(x, y)
(p VI-l)(X, y) = V,_ dx, y) for (x, y) E m = Q,-l . (10.3.10 b)
It remains to define p at (x, y) EmU m.
To apply the ideas of 10.3.1 we
define one-dimensional three-point formulae by means of'projections' onto the
x and y axes:
1
L~=[LI-dx,Y) Ll,o(x,y) Ll.dx,y)] with LL:= L L ij,(10.3.11a)
"
j= -1
Vi, 1 (x, y) ] 1
Vi = [ L~,o(x,y) with Vi,j:= .J:
1- -1
L"ij' (10.3.11 b)
Vi, -1 (x, y)
where L"ij(X, y) are the entries of L,:
1
(L,u,)(x,y)= L L"ij(x, y) u, (x + ih"y+jh,). (10.3.11 c)
i,j= -1
Given any three-point formulae L" L~, e.g. those from (11 a, b), we may define
(p V'-I)(X, y)
= [L~ -dx, y)v,-dx - h" y) + Ll.dx, y)v,-dx + h" yrVL'l.o(x, y)
for (x, y) E (10.3.10 c) Qr,
(p V'-I)(X, y)
= [Lf, -dx, y) v,_ dx, y - h,) + L~, .(x, y)v,-dx, y + h,)]JVi, o (x, y)
for (x, y) E Qt. (10.3.10d)
The choice (11 a, b) leads us to the
Example 10.3.2 (cf. Dendy [2] 1983). Choose L" Vi by (11 a, b) and define p by
(lOa-d), r by (8), L'-1 by (7).
Further approaches using other L" L~ have been described.
Example 10.3.3 (cf. Hackbusch [2] 1976). Define L, and L~ by h,- 2 [-1 2 -1]
and p, r, L'-1 as in Example 10.3.2.
Example 10.3.4 (cf. Kettler-Meijerink [1], Kettler [1] 1981). Set
LI = [L" -1,0 (x, y) - L" -1,0 (x, y) - L"I,O(X,y) L"I,O]' (10.3.12a)
L"O,I (x, y) ~
Vi = [ - L"o. -1 (x, y) - L"O,I (x, y) , (10.3.12 b)
L"o, -1 (x, y)
and define p, r, L'-1 as in Example 10.3.2. Further, the coarse-grid correction
of each multi-grid iteration has to be followed by a quarter Gau-Seidel step
with respect to m.
According to Note 4.3.4 (ii) p V'-1 may remain undefined on
Ql, since the Gau-Seidel step defines u, (x, y) by (L, u,) (x, y) = fi (x, y),
(x, y) E Ql.
Example 10.3.5 (cf. Alcouffe-Brandt-Dendy-Painter [1] 1981). Choose the
quantities as in Example 10.3.4 but omit the post-smoothing step on and m
replace (10a) by
(pv,_.)(x,y) = L L"ij(X,y)u,(x+ih"y+jh,)/ L L"ij(X,y)
(i,j)*(O,O) (i,j) * (0,0)
for (x, y) E Ql, (10.3.13)
where the values of u, = p V'-1 are already defined by (10 b-d).
10.4 Convection Diffusion Equation 217
Discretise Eq. (9) by (3.1.18). Then the definitions of L"V; by (11 a, b) and
(12 a, b) coincide. Also (10 a) and (13) are equivalent. But (12 a) and (13) are less
suited for general equations as can be seen from the following example. Con-
sider the h[~7Iess SlelfaodljOint equation - Au + uxy = fAdding the discretisa-
tion hl- 2 -1 0 of uxy to the five-point Laplacian operator, one

1
o 0 0
L,
obtains a reasonable matrix LI (even an M-matrix). Then (12 a) yields
= [0 1 -1 ]Jht, which describes an extremely unbalanced interpolation,
whereas definition (11 a, b) describes the usuallinear interpolation.
10.4 Convection Diffusion Equation
10.4.1 The Continuous Problem
The model problem of the convection diffusion equation is

- I> Au + c grad u = fQ in Q, u = fr on r. (10.4.1)
When 0 < I> ~ 1, the convection term c grad u = L Ci ux , dominates and
i
c . grad u ;:::; fQ holds in the interior. The curves x (s), where s is a parameter,
defined by x = c are called characteristics when I> = 0 and subcharacteristics
when I> =1= O. The prescription of one boundary value per characteristic deter-
mines the solution ofthe reduced equation c . grad u = fQ uniquely. In general,
u = fr cannot be satisfied for I> = O. Therefore boundary layers are generated
for 0< I> ~ 1.
Equation (1) is a non-selfadjoint problem whenever c =1= O. However a suit-
able transformation u 1-+ v changes Eq. (1) into a selfadjoint problem. For
constant c the choice v (x) = u (x) exp ( - c . x/21 with c . x = L Ci Xi leads us to
the equation
- I> Av + (~ L
41> i
cr) v = f exp ( - c . x/21 in Q, (10.4.1 *)
which is again a singular perturbation problem, but now a strongly positive

definite Heimholtz equation (cf. 10.2.1). The equivalence to Eq. (1 *) proves the
solvability of Eq. (1) for all c and I> =1= O.
Some difficulties of the multi-grid solution of Eq. (1) originate from the
discretisation process. Therefore we shall first discuss the discretisation of
Eq. (1). For simplicity we shall study in particular the case of c = (1, Of:
-I>Au +ux=fQ in Q=(0,1)x(0,1), u=fr on r. (10.4.2)
10.4.2 Stable Discretisations
Difference formula (3.1.18) applied to Eq. (2) yields the star

-e
4e (10.4.3)
-e
Remark 10.4.1. Scheme (3) has the consistency order 2. If h , < 2e, LI is an

M-matrix. Therefore standard arguments prove a discretisation error
11 UI - U 11'iI = (h;).
We recall that a matrix A is called an M-matrix if A ii > 0, A ik ~ O(i =1= k),
(A- 1 )ik >0 (cf. Varga [1]). If h, ~ 2e is violated, the discretisation becomes
unstable. The larger hde the more oscillatory is UI' In Table 10.4.1 the solution
UI(X, i) of scheme (3) withfa = O,fdO, y) = sin (rr y),fr(x, y) = elsewhere, is
M-matrix, the maximum principle holds: minfr = ~ UI ~ 1 = maxfr. For e
shown for h, = {2' The upper part corresponds to e with h , ~ 2 e. Since LI is an
slightly sm aller than hd2 = 614 = 0.015625 the maximum principle is obviously
violated. For decreasing e the solution UI (x, i), x/h, even, tends to 1 - x,
whereas 'wiggles' of size 0 (h; je) form in between. Concerning astability analy-
sis we refer e. g. to de Zeeuw-van Asselt [1] .
If e is sufficiently smalI, a grid size h, with hde ~ 2 may be too fine. In
particular, the coarsest grid sizes ho, h 1 , can hardly satisfy hde ~ 2. There-
fore, one might try to change e into el such that hde, is reasonable. This
approach yields the star
(10.4.4 a)
e. g. with el = max (e, hd2) or el = e + hd2.
Table 10.4.1. Solution u, (x,~) of Eqs. (2), (3) with Ja = 0, Jr(x, y) = sin (n y)(1 - x),
h, = :b.
G~ 2 4 30
0 1
32 32
3
32 32 ... 32
31
32 1
0.5 1 0.93 0.87 0.81 0.75 ... 0.04 0.02 0

0.1 1 0.97 0.95 0.92 0.89 ... 0.22 0.13 0
0.05 1 0.99 0.97 0.96 0.94 ... 0.47 0.31 0
0.02 1 0.99 0.99 0.98 0.98 ... 0.82 0.73 0
0.01 1 1.00 0.99 0.99 0.99 ... 0.87 1.11 0
1 10 - 3 1 1.03 0.99 1.04 0.99 ... 0.23 1.89 0
1 10 - 4 1 4.95 0.95 5.00 0.90 ... 0.08 5.88 0
1 10 - 5 1 48.6 0.94 48.7 0.88 ... 0.06 49.6 0
1 10 - 7 1 4859.5 0.94 4859.6 0.88 ... 0.06 4860.4 0
On the other hand the stability of the discretisation can be ensured if we

replace u" by the one-sided (backward) difference h,l [-1 1 0]. The resulting
scheme is
-'l
-8
L, = h,2 [ - 8 - h, 48 + h, (10.4.4 b)
-8
Remark 10.4.2. Scheme (4 b) is stable for all 8> 0, h, > 0, since L, is an M-

matrix. The consistency order of (4 b) is only 1.
When the formulae (4a, b) are applied to a smooth function u, Taylor's
expansion shows that
L,u =- 8Au + u" - ICh,Au + o(h;) for (4a) with 8, = 8 + ICh"
L,u = - 8Au + u" - ~h,u"" + O(h;) for (4b).
In the former case one says that an artificial viscosity (or artificial ellipticity)
- IC h, A u is added, while in the latter case - ~ h, u"" is called the numerical
viscosity.
The extension ofthe difference schemes (4a, b) to Bq. (1) with c = (Cl' C2)T
yields
- 8, + c2h,/2
L, = h,-2 [ - 8, - Cl h,/2 481 (10.4.5a)
- 8, - C2h,j2
- + ci h ,
8
48 + Icdh, + IC2Ih, (10.4.5b)

- 8 - ci h,
where ct = max (0, Ci), ci = min (0, Ci)' In contrast to scheme (5 a), formula
[00 -1]
(5 b) can also make use of diagonal differences. !fe.g. c = (1, 1)T, the convection
term C grad u may be discretised by h,- l 0 1 0 yielding a six-point

formula L" 0 0 0
Remark 10.4.3. Scheme (5 a) yields an M-matrix if 8, = max {Icd, IC21} h,/2,
whereas scheme (5 b) is an M-matrix for all 8> 0, h, > O. The consistency
errors are 18 - 8,1 + O(ht) for (5a) and o (h,) for (5b).
The instability of difference scheme (3) occurs also for the finite element
discretisation since the usual approach yields centred formulae for c . grad u.
To produce one-sided differences one has to generalise the Galerkin method by
the Petrov-Galerkin method: Seek u E JftI such that a (u, v) = (f, v) for all v E ~,
where ~ is different from JftI but dim (JftI) = dim (~). For the choice of JftI and
~ we refer e. g. to Brooks-Hughes [1], Johnson-Nvert [1], Fletcher [1], Thom-
asset [1].
10.4.3 Multi-Grid Aigorithms
The choice of the smoothing process depends essentially on the discretisation.

Scheme (5 a) ("artificial viscosity approach") is considered in 10.4.3.3, while
10.4.3.1-2 refer to the "upwind difTerencing scheme" (5b).
10.4.3.1 The Case of the Stable Discretisation (5 b)

Consider again the special scheme LI = LI (e) from (4 b). According to
Criterion 10.1.1 one should study the multi-grid behaviour for LI(O) =
o
hl- 1 -1 1 O. In particular, one has to check whether the smoothing iter-
o
ation annihilates high-frequency errors which cannot be reduced by the coarse-
grid correction.
The Gau-Seidel process can easily be analysed. The lexicographical ver-
sion (left-to-right ordering in each x-line, bottom-to-top ordering of the x-
lines) results in SI UI = 0 for all u/> i. e. it is an exact sol ver of LI (0) UI = ft. The
inverted lexicographical iteration (top-to-bottom, right-to-Ieft) yields
U/+ 1 = SI u/ with u{+1 (x, y) = uj(x - hl , y). Hence, even oscillating errors are
only shifted but not reduced. A similar result holds for the red-black ordering,
since then u{+ 1 = SI u/ with u/+ 1 (x, y) = u{+ 1 (x + hl , y) = u{ (x - hl , y) for
(x + y)jh l even. Obviously, the x-line Gau-Seidel iteration is an exact sol ver.
The y-line version (left-to-right, right-to-Ieft, or zebra) yields the same results
as the corresponding pointwise iteration. We summarise:
Note 10.4.4. Let LI be defined by (4 b). The only Gau-Seidel versions working
as smoothing iterations are the x-line Gau-Seidel iteration, the pointwise
version with left-to-right ordering in each x-line, and the y-line Gau-Seidel
iteration with left-to-right ordering of the blocks. The respective inverted or-
derings or the chequer-board version are not suited for smoothing.
The treatment of LI UI = ft with LI from (4 b) is very similar to the iterative
solution of the one-dimensional problem - e u" + u' = f with
- e] (10.4.6)
in Q = R. Table 10.4.2 exhibits the contraction numbers (v of the following
two-grid iteration: V1 = V, V2 = 0, L I - 1 defined by (6), r from (2.3.7), p from
(2.3.9), [1[: lexicographical Gau-Seidel iteration. The two-grid contraction
number (v is determined according to 8.1.3 by Fourier analysis (for details see
Hackbusch [34]). (v depends on the ratio "I: = hde. "I -+00 indicates increasing
perturbation (e -+ 0), while "I = 0 corresponds to the unperturbed stencil
LI = const . hl- 2 [-1 2 -1]. Table 10.4.2 shows that "I = 0 is the worst
case. This reflects the fact that the smoother becomes an exact solver as
e -+ 0 ("I -+ (0).
Table 10.4.2. The two-grid contraction numbers C., v = 1, 2, for scheme (6)
h,je 0 0.1 0.5 1.0 2.0 10.0 ..... 00
J2/3 0.425 0.348 0.286 0.212 0.069

0.2 0.178 0.122 0.099 0.072 0.022
Scheme (4 b) corresponds to the perturbation + U X ' If we replace

- 8 LI U+ U x = f by - 8 LI U - U x = f, the left-to-right ordering mentioned in
Note 10.4.4 has to be replaced by the right-to-Ieft ordering. If Ux is turned
into uY ' the x-line and y-line versions change their rles. Roughly speaking,
the ordering has to follow the characteristics.
In the general case of scheme (5 b) the situation becomes more complicated.
Assume e.g. Cl > 0 and C2 > O. Then the Gau-Seidel iteration with one ofthe
following orderings is an exact solver: pointwise lexicographical, x-line
(bottom-to-top), y-line (left-to-right). If Cl < 0 (C2 < 0) the ordering has to be
reversed with respect to the x-direction (y-direction). Obviously, there is no
ordering that works for all directions c = (Cl' C2)T ER?, but combinations of
different iterations can be used as pointed out in
Remark 10.4.5. The symmetrie x-line (bottom-top-bottom) or y-line (left-right-
left) Gau-Seidel iterations are possible smoothers for the upwind discretisa-
tion (5 b).
An excellent smoother is given by the ILU or ILLU decomposition defined
in 10.1.3. Set c = (cos 0(, sin O()T. For 0;;;;; 0( ~ ~ and small eILU is aImost exact
(cf. Exercise 10.6.3) as confirmed by the left part ofTable 10.4.3, which gives the
observed average reduction factor (approximating the convergence rate) of a
multi-grid iteration with the following components: p: seven-point prolonga-
tion, r = p*, L ,- I = r L,P, VI = 0, V2 = Y = 1,91: seven-point ILU iteration (cf.
(1.12c)), h, = Z-l-'. ILU is no longer an exact solver of L,(O) u, = jj if~ < 0( < n
(unless the lexicographical ordering is changed into top-to-bottom and left-to-
e
right numbering). This fact partly explains the poorer rates from the right
part of Table 10.4.3.
Another reason is the use of the standard Galerkin approximation
L ,- I = r L,P, as explained in Wesseling [4], Hemker-Kettler-Wesseling-
de Zeeuw [1). With each step L, 1-+ L ,- I = r L,P the star becomes closer to
the finite element discretisation (cf. Notes 3.4.1- 2, Exercise 3.9.4), which
involves centred differences. Hence the one-sided difference formulae for
c . grad u in L, change during the repeated Galerkin approximations
L, 1-+ L ,- I = r L,P into more balanced differences. Consequently, the in-
stability of L k grows as k - 0 and poisons the multi-grid iteration at least if
the maximum level I is large enough. For instance, if 8 ~ 10- 5 and 0( = 11n/12,
the multi-grid algorithm described above diverges as soon as I ~ 6. A
simple remepy is the use of the prolongations and restrietions defined in
10.3.2.
Table 10.4.3. Average reduction factors {j for the multi-grid iteration with ILU smoother
applied to Eq. (1) with c = (cosa, sina)T, Il = 10- 8 , h s = i4
(cf. Hemker-Kettler-Wesseling-
de Zeeuw [1])
a 0
To illustrate the effeet of these matrix-dependent prolongations we eon-

sider the one-dimensional problem - s u" + u' = f, u (0) = u (1) = 0, and its
diseretisation by (6). The steneils of the resulting prolongation P and restriction
rare
P = [1 - 1 ], r = p* = H 1 1 - ],
= (s + hl )/(2s + h,) E [0, 1].
This unsymmetrie interpolation corresponds to the upstream Petrov-
Galerkin method mentioned at the end of 10.4.2. In the limit ease of s = 0,
p = [0 1 1] is a one-sided pieeewise eonstant interpolation. The Galerkin ap-
proximation yields L I - I (0) = r LI (O)p = h,-_\ [-1 1 0] (cf. Exereise 10.6.5).
Thus we eondude with
Remark 10.4.6. the Galerkin approximation L 1- I = r L1P with p and r from
10.3.2 preserves stable one-sided differenees.
10.4.3.2 Wesseling's Multi-Grid Algorithm

The multi-grid algorithm of Wesseling [3], [4] is applieable to seven- or nine-
point discretisations ofthe linear seeond order differential equations (3.1.4 a, b).
The eomponents of the algorithm are as folIo ws (cf. Hemker-Kettler-Wesse-
ling-de Zeeuw [1], Wesseling [3], [4]):
h, = ho/2 1 for 1= 0, 1, ... , Imax (10.4.7 a)
p: either defined by Example 10.3.4 (10.4.7 b)
or seven-point prolongation (3.4.3) (10.4.7 b')
r = p* (10.4.7 e)
L I - I = rLIP for 1= Imax, Imax -1, ... ,1 (10.4.7 d)
VI = 0, V2 = 1, Y = 1 ("sawtooth eyde") (10.4.7 e)
9/: seven-point ILU smoother (cf. (1.12e), (1.13)) (10.4.71)
or ILLU iteration (cf. (1.15), (1.13)). (10.4.7f')
The iteration defined by (7 a-f) is perfeetly suited to serve as a blaek-box solver
for the diserete systems deseribed above. The user has to provide only for the
data LI", , h",.x of the linear system. The auxiliary matriees LI, I< Imax, are
automatieally generated. The smoothing proeess is fixed and need not be
controlled by the user.
Table 10.4.4. Average reduction factors q for multi-grid iteration (7 a, b, c, d, e) applied to
Eq. (1), C = (cosoc, sinocl, h4 = i2
~
ILU smoother with (7 b) ILLU smoother (7 f')
0 K/ 12 K/4 K/2 3K/4 llK/12 0 K/12 x/4 K/2
.31 .06 .06 .06 .06 .06 .06 .04 .04 .04 .04
.031 .05 .04 .04 .06 .05 .05 .04 .04 .03 .02
.0031 .08 .04 .02 .01 .15 .15 .01 .02 .009 .002
.00031 .02 .007 .002 3 10 -4 .18 .24 2 10 -4 .002 .001 1 10 -4
The term 'black-box sol ver' does not imply that all systems LI UI = /i can be
solved by (7). For instance, it might fail for the indefinite problems of 10.2.2.
However, it can indeed be called a robust solver since it applies to large classes
of problems. According to 10.3.2 the choice (7 b, c, d) enables the treatment
of discontinuous coefficients. Because of the IL U or ILL U smoothing process,
anisotropie problems can be solved efficiently (cf. 10.1.3). As pointed out in
10.4.3.1 ILU is a smoother suited for convection diffusion equations. The
difficulties indicated in Table 10.4.3 for IX = l1n/12 can be reduced by the
choice (7 b) as shown in the left part of Table 10.4.4. Much faster convergence
is achieved with the ILL U smoothing (7 f'). In the limit case of e = 0 the system
LI(O)ul =/i with LI(e) from (5b) is solved exactly by ILLU for all ceR2
(cf. Exercise 10.6.4). The reduction factors of Table 10.4.4 are cited from
Hemker-Kettler-Wesseling-de Zeeuw [1].
For further material about Wesseling's multi-grid algorithm we refer to
Hemker-Wesseling-de Zeeuw [1] and Hemker-de Zeeuw [2]. A similar ap-
proach is also recommended by Dendy [1).
10.4.3.3 Tbe Case of Scbeme (5 a) witb Artificial Viscosity

T.he main reason for replacing e by a sufficiently large number el is the stabili-
sation of LI: LI (ei) becomes an M -matrix. But there are further consequences.
Since the principal elliptic term is enlarged by - (ei - e)A I (AI: five-point
Laplacian), the convection term is no longer dominating and the problem
behaves in a more elliptic fashion. The Gau-Seidel iteration need not be
chosen with a special ordering, because the direction c does not govern the
problem so strongly as in the case of (5 b). In particular, the chequer-board
ordering can be used, which prefers no direction (note that in the case of
five-point schemes the ordering inside the blocks of red and black points is
arbitrary). Because of this convenience Brandt [9] recommends the artificial
viscosity approach.
Throughout this subseetion the coarse-grid matrices L o, ... , L I - 1 are also
defined by (5 a). At all levels we denote the ratio of hl and el by
2
KI:= max hdcd/el' (10.4.8)
i=l
In the case of matrix (5 a) the condition for L, being an M -matrix is K, ~ 2 (cf.

Remark 10.4.1). The choice
(10.4.9)
implies that the numbers K, are kept constant (K, = K) as long as h, ~ 8/11 c 11 00'
If 8 ~ 1, the latter inequality holds for all realistic grid sizes. The constancy of
K, = K implies that the parameters 8,- 1 = 28, must increase for decreasing l.
This fact reveals the drawback ofthe artificial viscosity approach: The fine-grid
equation L,(8,)u, =/, and the coarse-grid analogue L,-d8,-1)U'-1 =/'-1 are
not consistent with respect to their principal terms. As pointed out below the
resulting multi-grid convergence is comparatively slow.
As an illustration we consider the one-dimensional problem - 8 u" + u' = f
with periodic boundary conditions in [-1,1]. The discrete problem with
L, = h,- 2 [ - 8, - h,/2 28, - 8, + h,j2], 8, = h,jK"
is solved by a two-grid iteration characterised by Vi = V E {1,2}, V2 = O,p and
ras in 2, 9[: Gau-Seidel iteration with red-black ordering (first odd indices).
The two-grid contraction numbers (. = (.(K,) dependingon K, = h,I8, and V are
computed according to 8.1.2 (cf. also Hackbusch [34]). Tables 10.4.5-6 ex-
hibit the contraction numbers (1 and (2 in the case of K, = K'-l = K for differ-
ent values of K. Although K = 2 yie1ds a reasonable difference scheme (L, is an
M-matrix), not only the contraction number but also the spectral radius (con-
vergence rate) is ~ 1 for K ~ 2. The divergence is not a result of the 'wrong'
choice 8,-1 = 28,. The values in Table 10.4.5 marked by an asterisk cannot be
improved by any choice of 8'-1' These values (,(K,) exceed ~K,J1 + Kf/4,
which is a lower bound independent of K,-l or 8/-1.
Table 10.4.5. The two-grid contraction numbers for v = 1, K, = K , _ 1 = K (i. e. E'-I = 2 E,)
K 2.0 1.5 1.148 1.0 0.8 0.7 0.6 0.5 0.1 --+0
(,(K) fi* 15/16* 0.707 0.662 0.630 0.623 0.622 0.626 0.684 --+1/fi
Table 10.4.6. The two-grid contraction numbers for v = 2, K1 = K,_ 1 = K

K 2.0 1.5 1.0 0.7 0.5 0.2 --+0
0.590 0.460 0.476 0.512 0.610 --+ 1/fi
Table 10.4.7. The two-grid contraction numbers for v = 1, K, = K , _d2 (i.e. E, - 1 = E,)
K, = K, _d2 2.0 1.5 1.148 1.0 0.8 0.7 0.6 0.5 0.1 --+0
(I (K,) fi 15/16 0.662 0.565 0.484 0.456 0.435 0.418 0.386 --+0.385
The choice GI-1 = GI instead of GI-1 = 2 GI does improve the other contrac-
tion numbers of Table 10.4.5 as can be seen in Table 10.4.7. The entries of
Table 10.4.5 show the uniform estimate '1 (K) ~ 1/.Ji of the two-grid contrac-
tion number for all K = ht/G' ~ 1.148. A good choice of K is 0.6.
Similar results can be found for multi-dimensional problems. Several test
results for Eq. (1) with constant and variable c are reported by Brgers [1]. He
considers the following multi-grid algorithm: VI = 1, v2 E {1,2}, y E {1,2},!I{:
chequer-board Gau-Seidel iteration,p: (3.4.2), r: (3.5.4) [but also (3.8.8), alter-
nativelyJ. For LI(GI)uI =!t with LI from (5a), GI from (9), K = 1, hl = 614' the
following reduction numbers (approximating the convergence rate) are ob-
served (cf. Brgers [1, p. 89 and p. 111]):
Table 10.4.8 Convergence rates e (VI' v2 ) and smoothing rate eB (VI + v2 )

V-cycle rate (y = 1) W-cycle rate (y = 2) Twogrid Smoothing
rate (v, = 1) rate (IB (v)
v, = 1 v, = 2 v, = 1 v, = 2
v2 =0 v2 =1 v2 =0 v2 =1 v2 =0 v2 =1 v2 =0 v2 = 1 v2 =0 v2 =1 v=1 v=2
c=(~) 0.80 0.71 0.66 0.59 0.46 0.33 0.34 0.27 0.39 0.32 0.31 0.096
c=(D 0.78 0.63 0.55 0.46 0.44 0.29 0.30 0.23 0.38 0.30 0.34 0.116
It can be shown that the smoothing rates eB(V), V= VI + V2, satisfy

max
ceR2
eB(V) = 1 if K = 2, max
CE~2
eB(V) ~ 1 if K > 2
for all v. The divergence for K = 2 has already been observed in the case of the
one-dimensional example described above. The analysis of the two-grid iter-
ation in Q = R 2 (cf. 8.1.3) yields the following result, which in particular
confirms that the choice of a large Vis needless.
Lemma 10.4.7 (Brgers [1, p. 113]). Let Eq. (1) in Q =]R.2 with a constant
vectorc E]R.2 bediscretised bymatrix(5 a)withGI = m;:tx hllcil/K. The two-grid
I
iteration is characterised by p: nine-point prolongation, r: nine-point restric-

tion, !I{: chequer-board Gau-Seidel iteration. Then for all C E ]R. 2, h , > 0,
K > 0, and all V = VI + V2 > 0 the contraction number and the convergence
rate exceed 1 - Gt/ GI_ I = 0.5:
(10.4.10)
For the proof one has to study Mlu, for u, = exp {i1t(x~ + y",)/h,} with~,
", such that Cl ~ + C2'" = 0, I~I + 1",1 ~ 0, A similar result is stated by van
Asselt [1], who analysed the coarse-grid correction step. Inequality (10) contra-
dicts inequality (6.1.9), where e may be arbitrarily small. Theorem 6.1.7 does
not apply since the approximation property does not hold. Note that the
different values G, i= GI-I' involved in the coarse-grid correction process, deter-
mine the lower bound in (10). We summarise the results in
Remark 10.4.8. The artifieial viseosity approach (5 a) for L, and L'-l permits
the use of simple pointwise Gau-Seidel smoothing iterations (chosen indepen-
dently of the eharaeteristie direetion c). On the other hand the two-grid and
multi-grid eonvergenee is very slow in eomparison with the rates reported in
4.4 or 10.4.3.1- 2. In spite of the centred differenees for c . grad u; the
diseretisation error is of first order: 0(8, - 8) = 0 (h,), as long as 8 < 8,.
The latter disadvantages ean partly be removed by the defeet eorreetion
teehnique mentioned in 14.3.4.
10.5 Comments
Anisotropie problems. One has to be aware of the fact that isotropie differential
operators ean also lead to anisotropie diserete problems. The dis-
eretisation of Poisson's equation by means of a eurvi-linear grid eorre-
sponds to a differenee method in a square grid applied to the transformed
equation, whieh usually eontains also the mixed term. The more the transfor-
mation differs from a eonformal mapping the more anisotropie is the arising
diserete problem. A similar effeet may happen in the finite element ease. If for
some reason Poisson's equation is approximated by finite elements eonsisting
of triangles distorted in one or another direetion, the diserete problem is
anisotropie. Viee versa, anisotropie problems produee isotropie diserete equa-
tions, if one sueeeeds in eonstrueting a suitable grid. However, this task turns
out to be very diffieult.
Semi-coarsening. The anisotropie problem (1.1) admits another very simple
multi-grid approach. Instead of the standard eoarsening we may use a eoarse
grid Q'-l with anisotropie grid widths hf-l = h" hf-l = 2 h, (cf. Fig.3.4.2).
Then pointwise Gau-Seidel iteration is still applieable. Sinee there is no
eoarsening in the x-direetion, errors highly oseillating in the x-direetion are
annihilated by the eoarse-grid eorreetion. The smoothing proeess has to damp
only the high frequencies in the y-direetion. This is done perfeetly by a point-
wise Gau-Seidel iteration as long as 8 ~ 1. The five-point seheme of Eq. (1.1)
in the rectangular grid with h, = hi- 1 = hf_ d2 is the star
-+
The operator is still anisotropie when 8 < }. Then the grid sizes at level I - 2
must be hf-2 = h" hf-2 = 4h,. An alternating eoarsening (hi-2 = hf-2 = 2h,)
is forbidden ifwe do not apply linewise smoothing processes as in 10.1.1. The
semi-eoarsening in the y-direetion has to be repeated up to level 1- k until
8 ~ 4 - \ i. e. until L,_ k is no longer anisotropie.
10.5 Comments 227
Unfortunately, this approach cannot be extended to problem (1.5) with

varying coefficients, unless we allow an irregular coarsening as in the algebraic
multi-grid (AMG) method (cf. Stben [2]).
ILU and ILLU. The ILU factorisation was first used as a smoother for multi-
grid methods by Wesseling-Sonneveld [1] in 1979 and Hemker [3] in 1980.
Previously, the ILU iteration (1.13) has proved to be an efficient pre-
conditioner for C g methods (cf. Meijerink-van der Vorst [1], Kershaw [1 ]). The
first ILLU smoother was introduced by Kettler [1].
Discontinuous grid sizes. In 10.3.1 we discretised Eq. (3.1 a) with discon-
tinuous coefficient a(x) in a grid with equidistant width hl We obtain a dis-
crete problem of the same kind if we discretise the equation - u" (x) = J(x)
in a grid Ql with step size Llx I in Ql n [O,~] and step size Llx II in Ql n [~, 1]
for some ~ E Ql' The prolongation p = [-! 1 -!] would yield Ul(~) =
[Ul (x - Llx I ) + Ul (x + LI XII) ]/2, which is obviously different from the linear
interpolation. The linear interpolation is again given by formula (3.6). There-
fore, multi-grid algorithms should use the prolongations and restrictions con-
structed in 10.3, ifthe difference or finite element equation is based on a grid
with discontinuously varying sizes.
Nonlinear singular perturbation problems. In 10.1-4 we considered only
linear equations. According to 9 nonlinear problems can be treated by two
multi-grid approaches: by the Newton-multi-grid iteration (9.2.1) and by the
nonlinear multi-grid algorithm (cf. 9.3.3). The choice between these algo-
rithms is closely connected with the choice of the smoothing process. For the
artificial viscosity approach of 10.4.3.3 it suffices to use a pointwise
Gau-Seidel iteration. This smoother can easily be extended to a nonlinear
equation (cf. (9.3.2)). Hence it is possible to perform the nonlinear multi-grid
iteration (9.3.12). To apply the same algorithm to the nonlinear analogue of
scheme (4.5 b) one would need appropriate smoothers, e. g., nonlinear counter-
parts ofthe ILU or ILLU iteration, which are not available. Nevertheless, the
Newton-multi~grid method is still applicable, since the powerful linear
smoothers of 10.4.3.2 can be used for the linearised problems (cf. Wesseling-
Sonneveld [1 J). Choosing the Newton-multi-grid algorithm one has to ensure
that LI is differentiable. Usually, discretisations of a differentiable operator L
yield a differentiable LI' However, scheme (4.5 b) is a counter-example. If
c = c(x) E Cl (Q,1R 2 ) has components ci(x) with changing signs, the coef-
ficients of LI as defined in (4.5 b) vary non-differentiably. An easy remedy
folIows.
The Il'in scheme Jor the convection diffusion equation. II'in [1] proposes the
discretisation of - SU xx + Cl Ux by Lf Ul with
Lf=yh l- 2 [-12 -1]+c l hl- I [--!0 --!], y=-!c l h1 coth(c l hz/2e),
and a similar scheme Vi for - e Uyy + C 2 u y LI: = Lf + V; is an M -matrix
depending smoothly on c. Moreover, y is chosen such that in the one-
dimensional case the Dirichlet problem - e u" + cu' = 0, u (a) = U a , U (b) = Ub'
is solved exactIy.
Non-elliptic problems. The reduced equation c grad U = f, which results
in the limit e -+ 0 from (4.1), is of hyperbolic type. Usually, such hyper-
bolic initial-boundary value problems are solved by other numerical methods;
but, in principle, it would be possible to apply the multi-grid algorithms
developed in 10.4.3.1-2 (because they satisfy Criterion 10.1.1) or add a
further boundary condition and an elliptic part - eLf u in order to
solve the arising elliptic problem - e.1u + c . grad u = f as described in
10.4.3.3.
It is more interesting thaI non-elliptic problems can be solved without
introducing artificial or numerical ellipticity. In 3.1.1 we defined the
ellipticity of the continuous problem. A difference operator L, may be called
uniformly elliptic of order 2m if the characteristic function A(x, ~; h) of L,
satisfies
IA(x,~;0)I~e"12m forall ~e[-1t,1t]d, xeQ withfixede>O
(10.5.1)
(cf. Thomee-Westergren [1]). Re A instead of lAI is used in Theorem 6.3.33 (cf.
Hackbusch [23, p.74]). The characteristic function, for instance of the nine-
point scheme (3.1.16) with coefficients cllp = cllp (x; h,) is given by
A(x,~;h):= L cIlP(x;h)ei(Il~I+P~2). (10.5.2)
-l~Il.P~l
The discrete ellipticity is essential for the discrete regularity needed for proving
the approximation property (cf. 6.3.2.1). As pointed out by Brandt-Dinar [1,
p. 89] the 'h-ellipticity measure'
E(h) - . {IA(X, e;h)I." < 1"1 1"'1 <

- mm IA(x,~';h)i'2 = .. a:" .. <Xl = 1t,
n}
xe u (10.5.3)
must not be too small to promise a success of the smoothing process. It is

possible to satisfy E (h) ~ const > 0 by a difference operator approximating a
non-elliptic equation, since definition (3) does not involve low frequencies
1~1<Xl < l' For instance, the hyperbolic wave equation u"" - U yy = f can be
discretised by the scheme
~
-1
L, = h,- 2 0 0 3
-1
From IA(x,~;h)12 = 4 [(C2 - C1)2 + 2(1 - c2)(1 - Cl)2], Ci = COSei> one con-
cludes that E(h,) ~ const > 0, although inequality (1) is violated because of
e
A(x, ~; h) = 0 (I ~ 13 ) as 1 = e2 -+ 0.1t still remains to analyse the complete two-
or multi-grid iteration.
10.6 Exercises 229
These considerations are important for the multi-grid solution of the tran-
sonic potential equation
(e<P,)x + (e<Py)y = 0,
y- 1
e(x, y):= [ 1 + -2-M!(1 -lgrad<P1 2 )
J1 /(Y-l)
,
(10.5.4)
(cf. Glowinski [1], T. J. Baker [1]), which is elliptic in the subsonic region
{e(x,y):lgrad<P1 2 = <P~ + <P; < 1} and hyperbolic when Igrad <PI > 1. A
multi-grid approach to the transonic small perturbation equation
oe - <Px) <Px)x + <Pyy = 0 is described by South-Brandt [1] using Murman's
conservative difference scheme and by Fuchs [2]. Jameson [1] treated Eq. (4) by
a multi-grid method with a special alternating direction smoothing process (cf.
also Schmidt-Jameson [1]). Deconinck-Hirsch [1], [2] discretised Eq. (4) by a
finite element method. A successful application of program (4.7) to the tran-
sonic potential flow is reported by Nowak-Wesseling [1].
10.6 Exercises
Exercise 10.6.1. Let Jt/ be the finite element space ofpiecewise linear functions
over triangies as in Exercise 3.9.3 b. a) Show that the finite element method
applied to the Dirichlet problem (1.1) in Q = (0,1) x (0,1) produces a stiffness
matrix LI, which is identical with (1.2). b) Let p (r) be the seven-point pro-
longation (restrietion). Prove the approximation property (6.1.8) with
CA == CA (B) = C~/B, where C~ is independent of B.
Exercise 10.6.2. Let LI be a nine-point scheme and define the patterns of the
ILU factors by Ps = [: * : l' PA = [: : . Prove that the ILU iteration
(1.13) coincides with the lexicographical Gau-Seidel iteration. Note that

(1.9 c) is violated. Formulate the analogous statement for ILLU. Does the
five-point ILU (1.12 a) coincide with the symmetrie Gau-Seidel iteration
(6.2.41)?
Exercise 10.6.3. Let LI(B) be the scheme defined in (4.5 b) with c = (cos oe, sin oe)T.
Prove that the seven-point factorisation (1.12c) of LI(O) is exact (Le.
LI (0) = AB) for 0 ~ oe ~ j and n: ~ oe ~ 32",. The range of oe can be extended to
+]oe
[0, 3;] U [n:, 74"'] if U x - uy is discretised by a diagonal difference.
J
Exercise 10.6.4. Consider the ILLU factorisation with the patterns
PA ~[ ~ PD ~ [: ~ :], Pr A', D, Ir. Prove that

a) the ILLU factorisation is exact if 11 =[: : :] or PL =[~ ~ ~];

. . . * * *
b) the ILLU iteration (1.13) is a direct sol ver of L,(O)ul =f, with L, as in
Exercise 10.6.3, whatever the direction CE R. 2 iso
Exercise 10.6.5. Define p, r, L ,- l according to 10.3.1. Prove that
a) the three-point scheme L, = h,- 2 [ C l Co cd yields the coarse-grid matrix
<1>(L,):= L ,- l = h,-_2dc'_l Co c~] with C'l = - 2c~dco, Co = 2co-
4c l c-dco;
b) (weak) diagonal dominance is preserved under <1>: L,HL,- l ;
c) the schemes L, = const . h,- 2 [-1 2 -1], const h,- l [-1 1 0], and
const . h,- l [0 1 -1] are fixed points of <1>;
d) unbalanced schemes (i.e. C l =1= Cl) tend to one-sided schemes under the
repeated application of <1>.
11. Elliptic Systems
In the preceding chapters only scalar differential equations Lu = fhave been

considered. In the present chapter it will be pointed out that the multi-grid
approach applies to elliptic systems as weIl. In 11.1 we introduce examples of
elliptic systems. The main difficulty of the multi-grid solution is the choice of
an appropriate smoother. In 11.2 we present a smoother which is related to
the Jacobi iteration for scalar problems. A counterpart of the Gau-Seidel
iteration is the distributed relaxation described in 11.3.
11.1 Examples
11.1.1 Systems of Coupled Elliptic EquatioDs
Two kinds of elliptic systems will be distinguished: (i) systems of n equations

(11.1.1)
where each equation can be regarded as an elliptic equation for the respective
unknown Ua;, which is coupled via the right-hand side ({Ja; with low order
derivatives of up ( = 1, ... , n) - and (ii) systems which do not have the
property described in (i). In this subsection we study case (i).
A nonlinear system of the first category is already described in 9.4. The
principal terms in Eq. (9.4.3 a, b) are LI ~ = A 2 ~ and L 2 T = - AT. Both
equations are elliptic, but of different orders. Another example with
LI = L 2 = A2 is the von Karman equation describing large deflections of
plates:
A2 ~ + cc[w, w] = 0, A2 w - [~, w] =f2'
where [({J,t/I]:= ({Jxxt/lyy + ({J)I)It/lxx - 2 ({Jxyt/lXY (cf. Necas-Hlavacek [1]). Three
coupled second order equations arise in the physics of semiconductor devices
(cf. Bank-Jerome-Rose [1]). In 16.10.1 we shall mention a system of elliptic
equations which are coupled by means of the boundary conditions.
232 11. Elliptic Systems
The discretisation of the nonlinear version of Eq. (1) yields

!li (u,) =.t;, (11.1.2 a)
where u, E 'Yt, and.t; E !Fj are vector-valued grid functions:
u, = (u" 1, ... , U"n)T, .t; = (h, 1, ... ,.t;,n)T. (11.1.2 b)
Equation (2 a) can be rewritten blockwise:
!li,a (u,) =.h.a (X = 1, ... , n). (11.1.2 a *)
The Jacobian L,(u,):= o!li(u,)/ou, may be split into the blocks L"aP =
o!li,a/ou"p. By assumption the diagonal blocks L" .... contain the principal
terms.
The multi-grid treatment of Eq. (2 a) is hardly different from the scalar case.
U sually, the prolongation p: 'Yt,_ 1 --+ 'Yt, is blockdiagonal, i. e.
P = blockdiag {Pl,'''' Pn}, (P U'-l)a = Pa u'-l,a (1 ~ (X ~ n). (11.1.3)
One has to define Pa so that Pa is suitable for L"a u',a = .h.a. In particular, the
degree ofthe interpolation Pa has to be chosen according to the order ofthe (Xth
differential equation (cf. Note 3.5.1). This is important when the orders of
L 1, ... , Ln do not coincide as in the example of 9.4. The blockdiagonal struc-
ture (3) is proposed to obtain a sparse matrix p. A prolongation of the general
n
form u',a = L PaP U'-l,p would result ifwe extend the construction of 10.3.2
P=l
to the present case.
Similar comments hold for the restrietion r. Usually, we assume
r = blockdiag{r 1 , ... ,rn }, (ru')a = rau"a (1 ~ (X ~ n). (11.1.4)
The choice r: = p* with P from (3) yields r satisfying (4) with ra = P:.
The Gau-Seidel smoothing iteration allows various orderings of the un-
knowns. In the case of a vector-valued grid function u" new variants arise.
Below we describe appropriate versions for system (2) depending on the
strength of the coupling.
(i) Assume that the coupling of the u"a-components in Eq. (2 a) is sufficiently
weak, Le. the off-diagonal blocks L ap (X =1= ) are small enough. Then the
pointwise Gau-Seidel iteration with the following ordering of unknown vari-
ables can be applied:
U',l (Xl), U',l (x 2), ... , u" 1 (xnJ ), U,,2 (Xl), ... , U',n (xnJ) , (11.1.5 a)
where Xl, ... , XnJ is some ordering (lexicographical, chequer-board, etc.) of the
grid points of 0,. Here we assume for simplicity that all components u',a are
defined on the same grid 0,. Otherwise, one has to describe the set of grids by
0, = (0,,1"'" O"n)'
(ii) Let n = 2. Assume that U',l is strongly coupled with U',2 by means of
!li,1 (u,) = .h.l , whereas U',2 in !li,2 (U,) =.h. 2 is weakly coupled with u" l' Then
11.1 Examples 233
the pointwise Gau-Seidel process has to start with u" 2' Hence, the order-
ing is
(11.1.5 b)
(iii) Assume that all components u',a(1 ~ 0( ~ n) are strongly coupled by
..<R"a(u,) = h,a with the other ones. Then a blockwise Gau-Seidel iteration is
required, where each block consists of the n components of u, (x '). The ordering
of the blocks that arises,
(11.1.5 c)
is geometrically pointwise.
(iv) If the diagonal equations L"aa u',a = h.a require a linewise Gau-Seidel
iteration, one has to construct the linewise counterparts of (5 a -c). The blocks
that arise consist of {u"a(x):x in a certain line} in the case (5a, b) and of
{U, (x): x in'a certain line} in the case of(5c).
11.1.2 Examples: Systems of Caucby-Riemann, Stokes, and Navier-Stokes
Let U be the solution of the Neumann problem Au = In in Q c R 2 , au/an = Ir

on r, and set v: = ux ' w: = uY ' Then the pair (v, w) is a solution of the Cauchy-
Riemann system
Vx + wy = I in Q, (11.1.6 a)
vy - Wx = 0 in Q, (lU.6b)
(v, w) . n = I on r. (11.1.6 c)
Neither Eq. (6 a) nor Eq. (6 b) can be considered as an elliptic equation for v
or w.
Similarly, the biharmonic equation A 2 u = In with boundary conditions
U = IIr, au/an = lu can be split into two equations of second order for the
functions u and v: = Au:
v - Au = 0 in Q, (11.1.7 a)
- Av = - In in Q, (11.1.7 b)
u = Im au/an = lu on r. (11.1.7 c)
Because of the boundary condition au/an = ... the system (7 a, b) cannot be
regarded as a system of two coupled elliptic equations.
Stokes' equations for the velocities u = (UI, . .. , Ud) and for the pressure p
reads as
- Au + gradp =In in Q eRd, (lU.8a)
- divu = 0 in Q, (lU.8b)
u = 0 on r, (11.1.8 c)
where div u = OU1/0X1 + ... + OUd/OXd' Given p, Eq. (8 a, c) is an elliptic prob-

lem for u; however, Eq. (8 a) is also the only one determining p. Stokes' equa-
tions are the linear principal part of the nonlinear Navier-Stokes problem
- vL1u + U gradu + gradp =fa in Q, (11.1.9a)
- divu = 0 in Q, (11.1.9b)
u =0 on r, (11.1.9 c)
where u . grad u: = (.~ )-1

uj OUdOX))._
.-1 ... d
. As in system (8) the pressure pis
determined up to a constant. System (9) is not uniquely solvable unless v is
large enough (cf. Temam [1]). For small viscosity parameter v one obtains a
singular perturbation problem.
11.1.3 Ellipticity of a General System
The preceding systems of n (linear) equations can be written as

Lau =fa, (11.1.10 a)
..
where La is a matrix of differential operators:
-l~l1
La - :
~1n]
:. (11.1.10 b)
L n1 ... L nn
Each Lij = L ij (D) = L c" D" can be considered as a polynomial in
1"1 ~k
D = %x (cf. (1.4.2. Lij is of order k, if there exists some c" =l= 0 with loel = k.
We ass urne that there exist indices m 1 , ... , mn , m/1 , , m~ with
n
2 m = L (mi + mD, such that
i= 1
order of L ij ~ mi + mj. (11.1.11 a)

With mi' m; also mi + k, m; - k is a possible choice. For given m;, m; we define
the 'principal term' Lfj(D) = L c"D"'. Note that Lfj(D) may vanish al-
l"'l=m, +m~
though Lij =l= O. The matrix with entries Lt (D) yields the principal part Lb (D)
of La (D). Replacing D by ~ = (~1'"'' ~d) one obtains a matrix-valued poly-
nomial L P (~) in ~. If the coefficients of Lb depend on x E JRd, we write e (x,~)
instead of e (~). The ellipticity is defined by means of the determinant
Je (x, ~) : = det e (x, ~) (11.1.11 b)
(cf. (10.5.1.
Definition 11.1.1 (Agmon-Douglis-Nirenberg [1]). The differential operator
La of system (10a) is called uniformly elliptic if there exist numbers mi , m;
11.1 Examples 235
with (11 a) and

CI~12m ~ 1A.(x,~)1 ~ 81~12m for all x, ~ERd (11.1.11 c)
with fixed 8> 0, where 1~12 = ~f + ... +~: and 2m = m1 + ... + mn +
m~ + ... + m~.
For systems (6) and (7) the respective quantities are given in (12 a) and
(12 b):
n = 2, m1 = m2 = m~ = m2 = i, m = 1,
n = 2, m1 = m~ = 0, m2 = m2 = 2, m = 2,
System (8) contains n = d + 1 equations; e. g., for d = 2 one has

n = 3, m1 = m~ = m2 = m2 = 1, m3 = m3 = 0, m = 2,
(11.1.12 c)
Hence, all systems of 11.1.2 are uniformly elliptic.

We refer to Agmon-Douglis-Nirenberg [1] for the well-posedness of the
boundary conditions.
11.1.4 Variational Formulation
The systems (7) and (8) give rise to the following variational formulation: Seek
U1 E 1I't and U2 E 1f/i with
a(u1,v1) + b(U2' v1) = (f1' V1) for all V1 E 1I't,

(11.1.13)
where a: 1I't x 1I't -+ er

and b, c: 1f/i x 1I't -+ er
are sesqui-linear forms. For
instance, Stokes' problem (8) is of the form (13) with
1I't = HA (Q)d, 1f/i = {pEU(Q):AP(x)dx = O} ~ L 2 (Q)jer,
a(Ui, Vi) = (gradu1, gradv1)' b(U2' V1) = C(U2' V1) = -(u2,divV 1),
!1 =!u; !2 = 0, (11.1.14a)
where (.,.) denotes the scalar product in L 2 (Qt = L 2 (Q) x ... xL2 (Q)
with m = 1 in (!2, V2), m = d in (f1' V1), m = d2 in (grad U1, grad Vi) =
236 11. EJliptic Systems
d
i.~ 1 l OU1,;/OXj oVl,;/oxj dx. Ul in (13) equals u = (Ul>"" Ud) from (8), while U2
from (13) equals p in (8).
The variational form of system (7) reads as (13) with
"fI/i = H 1 (0), "fI/i = HA (0),
a(Ul' VI) = (Wl, VI)' b (U2, VI) = C(U2, VI) = (grad U2, grad VI)'
fl = 0, f2 =fo, (11.1.14b)
if/;r = 0 (cf. Ciarlet [1]). Ul from (13) equals V in (7), U2 from (13) equals U in (7).
Defining U = (::). V = G:),f (j:),

= we may rewrite (13) as
A (u, v) = (J, v) for all UE "fI/i x "fI/i (11.1.13')

with A(u, v):= a(ul' VI) + b(u2' VI) + C(V2' ud. (13) is called a 'saddle point
problem' because of
Note 11.1.2. The form A (. , .) is indefinite.
Remark 11.1.3. The saddle point problem (13) is equivalent to Eq. (10) with
L = [L ll
L 21
L 12 ] ,
0
(11.1.15)
where L l l , L 12 , L!l are the operators associated with the respective forms a,
b, c.
Though it is often possible to eliminate one of the variables and to obtain
a variational formulation with a positive definite form a, one prefers formula-
tion (13). E. g. the biharmonic problem (7) is described by a H~ (O)-elliptic form
a; but finite elements in H~ (0) are more complicated than elements in H~ (0)
and H l (0) as required in (14 b). Using the .TI'-elliptic formulation of Stokes'
problem (8): (grad u, grad v) = (fa, v) for all v E .TI', would require the need for
finite elements in the space .TI' = {u E HA (0): divu = O}, which would not be
practical. There are even numerical justifications for splitting a convenient
equation such as Poisson's equation Llu = f into the system div w = J,
rotw = 0 (cf. Neittaanmki-Krizek [1]).
11.1.5 DiscretisatioD
Replacing the differential operators Lij in (10 b) by suitable difference schemes

or restricting the variational formulation to finite element subspaces, one ob-
tains
L,u, =f,. (11.1.16 a)
11.1 Examples 237
Numbering first the grid function U " 1 (corresponding to the first component U1
of U from (10 a)), then U',2 etc" one may write L, as
L, -:
_ [LI:11 '" LI:1n]
:' (11.1.16b)
L " n1 '" L"nn
according to (lOb), L"ij(i =1= j) may be non-square blocks,
The difficulties of the discretisation process can be illustrated by the saddle
point problem (13), Because of Note 11.1,2 the discretisation of problem (13)
t
may be singular or ill-posed. L, is singular, if L" 21 L~ 1 L" 12 is singular. There
are well-known simple ill-conditioned finite element discretisations of Stokes'
problem. In the finite element case, Eq. (16a) is well-posed if Brezzi's [1] condi-
tion is met, which reads
sup{l(divv,q)l:vEJf;,1 cHA(Q)d,lvI1 = 1} ~~Iqlo

for all q E Jf;,2 C L2 (Q)jCC
for Stokes' problem. As described by Brezzi-Pitkranta [1] well-posedness can
be ensured by adding special finite elements or by modifying the discrete
incompressibility condition.
11.2 A Multi-Grid Approach to a General System
11.2.1 Appropriate Norms and Scales
11.2.1.1 Tbe Continuous Case

For a single differential equation we have introduced a scale of spaces JeS such
that L is an isomorphism of ~s+2 onto ~s. The standard choice in 6 is
~S c H sm (Q) depending on the order 2m of L. In the present case there are
different orders m; + mj of the operators Lij in (1.10 b). For each component
u;,j; of the vector functions u, f we define spaces f!f;s, I1Jf;s (i = 1, ... , n; S ER),
where S indicates the order of differentiability. U andfbelong to the respective
product spaces
f!(Sl' ... , Sn : = f!(i 1 X ... X f!(:n, (11.2.1 a)
OYSl,oo"Sn:= OYl 1 x ... xoy:n. (11.2.1 b)
fljS and I1Jf;s have to be chosen such that (at least for suitable values of t) the
mappings
L: f!(t+m 1 , ... , t+mn -+ oyt-m\ , ... , t-m~, (11.2.2 a)
L-1: oyt-m\, ... ,t-m~ -+ f!(t+m1"" ,t+mn , (11.2.2 b)
are bounded. mj and mj are the numbers given by Definition 11.1.1. In contrast
to Ln, the operator L includes the boundary conditions, which are specified
only for the examples in 11.1.2.
Example 11.2.1 (Stokes' equations). Split u from (1.10a) into (u I , U2)T with
U I = U, U2 = p, where the right-hand quantities are those from system (1.8).
Define
f!lS = {[H'(Q)nHg'iO(I,S)(Q)]d if s ~ 0,
I [H-S(Q)d]' = dual space of H-s(Q)d if s< 0,
S {H' (Q)j<C if s ~ 0,
fI2 = [H-S(Q)]'j<C if s < 0,
OJIt = (fIl - s)" OJI; = (fI2- S r.
For a saddle point problem, conditions (2 a, b) can easily be described by
means of the operators Lij.
Proposition 11.2.2. Let L be given by (1.15). Assume that the following map-
pings are bounded:
L II : fII+m t ~ OJIr- m\, L1l: OJIr- m\ ~ fIf+m t ,
(11.2.3 a)
L 12 : fIi+ m2 ~ OJIr- m\, L 21 : PIf+m t ~ OJIi- m,. (11.2.3 b)
Then
(11.2.3 c)
is well-defined. Land L - I satisfy (2 a, b) if
S - I : <2Yi - m, ~ PIi + m2 is bounded. (11.2.3 d)
For Stokes' problem S = - div LI-I grad is an isomorphism of
X~
t
= Y20 = L 2 (Q)j<C onto itself and (3 d) [hence (2 a, b)] can be shown also for
> (cf. Kellogg-Osborn [1]).
11.2.1.2 Discrete Spaces
In the discrete case, Lij is replaced by the blocks LI, ij from (1.16 b). The Hilbert
spaces
(11.2.4)
are the discrete analogues of(l a, b) (cf. (6.2.4 b) and 6.3.2.1). The counterparts
of the conditions (2 a, b) are
II LdLw. -m' . .. -m~+-!r.. +m +m. ~ C for all I ~ 0, (11.2.5 a)

II L i 1 11a;.+m.. . +m.+-~.-rn, . . '-rn' ~ C for all I ~ 0, (11.2.5 b)
The latter inequality replaces (6.3.26) in the scalar case.
11.2 A MuIti-Grid Approach to a General System 239
Note 11.2.3. Since the spaces :1:;0, 0Jf;0 equal U (0) (or L 2 (O)d, L 2 (Q)/<C etc) the
discrete spaces f!li?i and ~?i are endowed with the usual Euclidean norm, which
is again denoted by I' 10' As in (6.2.6 a) the matrix norm 11 . 11 means the
corresponding spectral norm. Note that a common symbol is used for the
different cases
11 . 11 = 11 . 11 9i?, <- <W,?; 11 . 11 = 11 . IIq:o1,1 +-q:O,
I,}
etc. (0 ~ i, j ~ n) (11.2.6)
Proposition 11.2.2 carries over to the discrete case. To simplify the nota-
tion, we shall write
I Is<-tl
where "s ~ t" means one of the subscripts "f!li~ i ~ !!EU', "f!li~ i ~ dJlU', .... For
example, in (8 a) ILI,l1lt- m i +-t+m, means 11 LI, 11 11 <Wf.,m' <-<WW" The full notation is
used, when the meaning is not quite obvious as e. g. in (8 e).
Lemma 11.2.4. Consider the saddle point problem (1.16 a) with
LI = [LI,ll L I,12], (11.2.7)

L I ,21 0
and define SI: = LI, 21 LI, \ 1 L I,12' Inequalities (5 a, b) hold if
ILI,l1lt-m', +- t+m, ~ C, (11.2.8 a)
IL ,,12It-m', +- t+m2 ~ C, (11.2.8 b)
ILI,211t-m2 +- t+m, ~ C, (11.2.8 c)
IL~ f llt+m, +- t-m', ~ C, (11.2.8 d)
ISI- 1 It+m2 +- t-m'2 = 11 SI- 1 11q:,+m'+-'!II.,-m' ~ C.
1,2 1.2
(11.2.8 e)
Corollary 11.2.5. In the case of a finite element discretisation, Brezzi's [1] condi-
tion is equivalent to inequality (8 e) with t = 0, m2 = mz.
Criteria of condition (8 e) are mentioned by Hackbusch [19].
11.2.1.3 Approximation Property

The approximation property (6.1.8) requires an estimation of L , 1 - P L , _11 r
with respect to suitable norms 11' 11", and 11' 11j>. In 6 we chose e.g.
11'11", = 11 '11j> = l'loanda = 2m = orderofL. Since now the different blocks
Lij have different orders, 11 . 11", cannot be the norm of:?lt, 0, which would
be the simplest choice. Instead we may define
n
11 u,11 '" : = L" hl- 2 mi 11 UI, i 11 ir, i ' 11f, 11j>: = L hr m, 11 f,,;II;r., (11.2.9)
i= 1 i= 1 '
which are weighted Euclidean norms (cf. Note 11.2.3).

Remark 11.2.6. Denote the blocks of L , l by ZI,ij' Assume that p and rare
block-diagonal (cf. (1.3), (1.4 and define the norms of il/II and ~ by (9). Then
the approximation property

IILi1-pLi_\rll'ft<-~~CA (11.2.10)
is equivalent to
IIZ',jj - pjZ,-1,ijrjll ~ cijh';'I+mJ for all 1 ~ i, j ~ n, I ~ 1, (11.2.11)
where 11 11 is the spectral norm from (6).
Hence, each block of Li 1 - P Li!l r satisfies an estimate ofthe form (6.1.8),
where the exponent 0( = mj + mj depends on the block location (i, j). The
right-hand side in (10) is independent of h" since the norms are suitably scaled
(cf. Note 6.1.4).
For the saddle point problem (7) the following result can be proved by the
techniques presented in 6.3.2.2.
Proposition 11.2.7. Consider the saddle point problem with L, from (7). Assurne
m1 = m~, m2 = m~, and define the norms by (9). Suppose (8 a-e) for t = 0,
m1, m2' Assurne that there exists a block-diagonal restriction
r': UU, --4 UU,_ 1 such that
II-Plr~ls<-I~Chj-S for t=2m l , m1 +m2 and 8=0, m1 -m2'
11 - P2 r~ IS<-I ~ C hj-S for t = 2m 2, m1 + m2 and 8 = 0, m2 - ml'
Ir 1 ls<-s ~ C for 8 = 0, m2 - m1' - m1 - m2' - 2m1'
Ir2ls<-s ~ C for 8 =- 2m2' - m1 - m2,
Ip1ls<-s ~ C for 8 = 0, m1 - m2' 2m1'
Ip2ls<-s ~ C for 8 = 0, m2 - m 1, m2 + m1, 2m 2 ,
Ir'lls<-s ~ C for 8 = 2m1, m1 + m2'
Ir~ Is<-s ~ C for 8 = 2m 2, m1 + m2'
The consistency assumptions are
IriL"ijpj - L,- 1 ,ijls<-t ~ C hrS-m,-m j
for t = 2mj , ml + m2' 8 = - 2mj, - m1 - m2
for (i, j) = (1, 1), (1,2), (2, 1). Then the approximation property (10) is valid.
Prooj(cf. Hackbusch [19]). We introduce the following abbreviations:
A = L"ll' B = L " l2' C = L ,,21' S = S, = CA- 1 B,

Z=Z',21'
A' = L'-l,ll, B' = L , - 1,12' C' = L , - 1,21' S' = S,-1,
Z' = Z,-1,21'
The blocks Z" jj of the inverse matrix Li 1 are
Z"ll = A- 1 (I - BZ), Z,,12 = A- 1 BS- 1 , Z,,21 = Z = S-l CA- 1 ,
Z,,22 = - S-l.
11.2 A Multi-Grid Approach to a General System 241
As in the proof of Criterion 6.3.35 we split A - 1 - PI A' - 1 r 1 into

A- 1 -P1 A '-l r1
= [I - PI A'-l r1 A][I - PI r~]A -1 - PI A'-l [r1 Ap1 - A']r~ A- 1
and obtain
IA- 1 -P1 A'-l rd.+-1 ~ Chj-+2m 1
for t = 0, m2 - m 1 and s = 0, m1 - m2 (11.2.12 a)
as in Criterion 6.3.35. From
r2Sp2 - S' = r2 CA- 1 Bp2 - C' A,-l B'
= r 2 C [A -1 - PI A,-l r 1]Bp2 + [r 2 Cp1 - C']A,-l r 1 Bp2
+ C' A,-l [r1 Bp2 - B']
we conclude that
Ir2Sp2 - S'I/+-. ~ Chl-- 2m2
for s = 2m2' m1 + m2 and t = - 2m2' - m1 - m2'
Hence
P2S,-1 r 2 - S-l = [P2 S,-1 r2 S - 1][1 - P2r~]S-1
+ P2S,-1 [r2 Sp2 - S']r~S-l
can be estimated by
Ip2 S'-l r2 - S-l 1'+-1 ~ C hj-+2m 2
for t = 0, m1 - m2 and s = 0, m2 - m1 (11.2.12 b)
proving (11) for i =j = 2 since Z',22 = - S-l, The splitting
P2Z'r2 - Z = P2S,-1 C' A,-l r2 - S-l CA- 1
= P2S,-1 [C' - r2 CpdA,-l r 1
+ [P2S,-lr2 - S-1]CP1 A ,-l r1
+S-lC[PI A'-l r1 -A- 1]
implies
Ip2 Z' r 2 ZI.+-o ~ C h,-+m 1 +m2 for s = 0, m2 - ml ' (11.2.12 c)

-
The particular case s = demonstrates the validity of (11) for i = 2, j = 1.

Similarly, the representation
Z,,12 - PI Z'-l,12 r 2 = A -1 BS- 1 - PI A,-l B' S,-l r 2
= [A -1 - PI A,-l rdBS- 1
+P1 A,-l'l B [S-1_ P2 S'-l'2]
+ PI A,-l ['1 Bp2 - B']S,-l'2
proves (11) for i = 1,j = 2. The remaining block Z"l1 is the difference of A- 1
and A - 1 BZ. The estimation of the first term is already given by (12 a),
s = t = O. The estimation ofthe second term can be obtained from (12c) and
A -1 BZ - P1 A,-l B' Z'r1 = [A -1 P1 A'rdBZ
-
+ P1 A,-l r1 B[Z - pzZ'rd

+ P1 A'-l [r 1Bpz - B'JZ' r1 . 0
This Proposition is especially suited to difference schemes LI' But it can
also be applied to finite element discretisations.
Example 11.2.8. Discretise the Stokes equations (1.8) in a convex domain by
linear finite elements for u and p, where the triangles of the p-elements have
twice the size ofthe u-elements (cf. Bercovier-Pironneau [1J). Then the assump-
tions of Proposition 11.2.7 are satisfied.
Another approach suitable for finite element methods is mentioned below
in Proposition 11.2.13.
11.2.2 A Smoothing Iteration for a General System
The smoothing iterations developed in 3 for the scalar case do not work for
the elliptic system considered here. For instance, the Gau-Seidel iteration is
not applicable to any saddle point problem (7), since the diagonal ofthe matrix
LI is singular. Even more sophisticated iterative methods like the Kaczmarz
iteration (3.3.20), which is a convergent method when applied e. g. to the dis-
crete Stokes problem, are not suited for smoothing, since the multi-grid con-
vergence rate would be h,-dependent.
In this chapter we describe the simplest smoother that applies to a general
linear system. In the scalar case of 6, the smoother simplest to analyse was the
modified Jacobi iteration fII(u/>J;) = UI - wlhrm(L,u, -J;) (cf. (3.3.7 or the
squared version fII(u/> J;) = UI - wr
hjm LT (LI UI - J;) in the non-symmetrie
case (cf. (3.3.10. First we shall extend the latter variant to the present problem.
Let mj, mj be the numbers from Definition 11.1.1. Assume that LI has the
block structure (1.16 b) and define the block-diagonal matrices
H I : = blockdiag {hi 1 I, ... , hin I}, H;:= blockdiag {hi\ I, ... , hin I},
(11.2.13)
which will be used for scaling.
Note 11.2.9. The norms defined in (9) can be written
Ilullllft = IH;-l udo, IIJ;II,. = IHIJ;lo,
where Iudo = (tl IUI.il~r/2 is the Euclidean norm.
Consider
[,1:= HILIH;. (11.2.14)
11.2 A Multi-Grid Approach to a General System 243
The blocks of L, are L"ij = h'{'i+mj L"ij' 1 ~ i, j ~ n. Because of order (Lij)

~ mi + mj, we may assume the boundedness of the spectral norms,
1 L',i) 1 ~ Cij, independent of I, which corresponds to inequality (6.3.23) in the
scalar case. Hence, we obtain
1/ro,:= IIL,II ~ CL <00 for all 1 ~ 0 (11 11: spectral norm). (11.2.15)
The generalisation of iteration (3.3.10) is the smoothing process
f/j(u"j,):= u, - ro1 H? LT H1(L,u, - j,) (11.2.16)
with ro, from (15). Its iteration matrix is
S, = I - ro1 H? LT Ht L,. (11.2.16')
The smoothing property of (16) is stated in
Proposition 11.2.10. Assume (15) and defme thenorms 1111<ft, 1111,. by(9). The
smoothing iteration (16) satisfies the smoothing property (6.1.7):
IL,S,",. .... <ft~'1(V):=CLJ'10(2v) forall v~O, 1~0 (11.2.17)
with CL from (15) and '10 from (6.2.1 b).
Proof Note that S, = I - rot H;LT L,H;-l and S,:= H;-l S,H; = I
fi
- ro,2 L, L, = I - Xl> wh ere X, : = ro,2 L,
At A
L, satIs
At A
les 0 ~ X I ~ I. The
smoothing property (17) follows from Note 11.2.9 and Lemma 6.2.1:
IIL,S,";- .... <ft = IIH,L,S, Hill 2 = IIH,L,H;H;-l S, H;1I 2 = IIL,s,II 2
= 1 Sr LT L, stil = rol-2I1X,(I - X ,)2vlI. 0
Since the norms (9) are also suited for the approximation property (10), the
conditions (6.1.7/8) can be satisfied simultaneously and Theorem 7.1.2 ensures
multi-grid convergence.
Proposition 11.2.10 remains valid if we replace definition (13) by
H , = blockdiag{ ... ,cih'{'iI, ... }, H; = blockdiag{ ... ,cih'{'II, ... },
Ci> ci > o.
The constants Ci> ci can be used to balance the blocks of L,.
Example 11.2.11. Consider Stokes' problem - v Liu + gradp = J, div u = 0
with very small or large v. The blocks of Ln are Lu = - v Li, L 12 = grad,
L 21 = - div, L 22 = o. The weighting factors should be Cl = Cl = const/JV
and C2 = c; = const JV.
Then the multi-grid convergence rate is indepen-
dent of v.
A further improvement can be achieved by the semi-iterative approach
discussed in 6.2.5.
Remark 11.2.12. Let f/j(V)(Ul>j,;ro) be the semi-iterative process defined by (16)
with ro1 replaced by ro,JIILdI2, J1. = 1, ... , v, where roll is taken from (6.2.50b).
Then the following estimate holds:

IIL,SfV)(w)II~+-<fl ~ CL /(2v + 1) for all v ~ 0, I ~O.
In the symmetrie ease of LI = Lt the preeeding iteration is equivalent to the
semi-iterative proeess with 2 v steps of the form
(11.2.18)
where w l = - W2' w 3 = - w 4 , ete. (cf. Exereise 3.9.1). This ehoice is optimal if
only the bounds - CL I ~ LI ~ CL I are known. If - Cl I ~ LI ~ C2 I with
Cl =F C2 , other parameters w il might be optimal for (18).
In Example 11.2.8 we stated the approximation property of a finite element
diseretisation of Stokes' equations. The latter equation is also studied by
Verfrth [2]. He ehooses the same multi-grid method, in partieular, the same
smoother (16). In his proof the smoothing property takes the form
IIISz'u,llb ~ '1{v)llIuzlllo, with speeially defined norms 1111110, 1111112' However,
sinee IIlv,11I2 = IIL,v"I~/h, and IlIvllllo = hilIvIII"" with 11 11", and 11 . II~ from
(9), his result eoineides with (17). His eonclusion is stated in
Proposition 11.2.13 (Verfrth [2)). Consider Stokes' equations (1.8) in a domain

Q smooth enough to satisfy the regularity assumption lub + Ipil ~ C 1/10 (cf.
Kellogg-Osborn [1)). Let JtI, 1 C H~ (Q)d and Yf!,2 c U {Q)/ce be finite element
subspaces with
inf lu - vls ~ C h:- s lul ,
VE Jff'z, 1
for all u E H' (Q)d n H~ {Q)d, 0 ~ s ~ 1 ~ t ~ 2,

inf Ip-qls~Ch:-slpl, forallpEH'(Q)/CC, 0~s~t~1,
qE.Jt',,2
luli ~ Ch,-llulo forall uEJtI,l'

1
sup{lb{P,u)l:uEJtI,l,luli=1}~Clplo forallpEJtI,2' 1~0
with b (. , .) from (1.14 a) and Sobolev norms I . I. of order s. Define the multi-
grid iteration by (4.1.1) with Vi = V, V2 = 0, and 51from (16). Then the smooth-
ing and approximation properties hold with respeet to the norms (9) and imply
the multi-grid convergence for suitable V ~ y.
The assumptions of Proposition 11.2.13 are, e. g., satisfied for
Example 11.2.8. Unfortunately, Brezzi's condition sup {lb{P, u)l: u E JtI,l'
luli = 1} ~ ~ Iplo is violated if JtI,l (JtI,2) consists of piecewise linear (con-
stant) functions over triangles of a eommon triangulation !1i (cf. Johnson-
Pitkranta [1 ]). Pitkranta-Saarinen [1] confirm by numerical examples that in
this case the multi-grid algorithm yields poor convergence. Moreover, they
prove that this choiee of finite element spaces still leads to multi-grid eonver-
gence, when the second equation ofthe variational formulation (1.13), (1.14a)
11.3 The Distributive Relaxation Smoother 245
is changed to
b(Ul' V2) + d(U2' V2) = (f2' V2),
where the form d (. , .) is specially defined.
Concerning the choice of the Uzawa method as a smoothing iteration we
refer to arecent paper of Maitre-Musy-Nigon [1].
11.2.3 Nonlinear Systems
Let .!l;(u,) = fz be a discretisation of a nonlinear elliptic system and define

L, (u,) : = .!l;' (u,) as in (9.1.4). The nonlinear variant of iteration (16) is
= u, - wf H? LT(u,)Hf (.!l;(u,) - fz),
ffI(u"fz) (11.2.19)
since the derivative S, = offl(ut, O)/ou, (cf. (9.5.6 a equals S, from (16'). If
H; = H, and if L,: = L, (u,) and LT have the same principal terms or even
L, = LT, the computation of L, can be avoided by the choice
ffI(u" fz; w,,) = u, - w" Hf (.!l; (u,) - fz), (11.2.20)
which is the nonlinear analogue of iteration (18).
In the case of the Navier-Stokes equations (1.9) the linearisation of !l'u
equals
L ()=[-VL1+<5L ll (U) grad] (11.2.21)

u u - dIV 0'
d
where (<5 Lu V)i = L (Ujov;/OXj + Vjou;/ox) is a lower order term. The prin-
j= 1
cipal term is the Stokes operator. The analysis of 9.5.2 would yield multi-grid
convergence provided ho is small enough. However, a difficulty arises for small
v. From Example 11.2.11 the iterations (19) and (20) are well-suited for the
principal part of operator (21), but <5L u leads to a singular perturbation
problem. As pointed out in 8, the modifications ofthe Jacobi iteration do not
work in the singular perturbation case.
11.3 The Distributive Relaxation Smoother
In 11.1.2 we split the Poisson equation into the Cauchy-Riemann system with
Lu = [~j~; _~;~~J. On the other hand we regain Poisson's equations by
squaring Lu: L~ = [~ ~l For system (1.7) with Lu = [!L1 ~L1J the
multiplication by L u := [~L1 =~J reproduces the biharmonic operator:

0]2 . Multiplying the Stokes operator Ln = [ -LI

d' grad] b
LI - IV o y
grad] (11.3.1 a)
LI '
one obtains
_ [ -LI
LnLn = d'IV (11.3.1 b)
-
which differs from a diagonal operator only by a lower order term. Instead of
solving the system Ln Un = In, one can look for a solution of (Ln Ln) W = In,
where Ln Ln is (almost) diagonal.
Similarly, one can try to replace the discrete problem L, U, = J, by
L, L, w, = J" where L, L, has a diagonal block structure. According to 11.1.1
such systems are easier to handle. In particular, one can formulate a
Gau-Seidel iteration with respect to the new unknown grid function W,. This
method defines a new iteration with respect to U, = L, w" which is called the
'distributive relaxation method' of Brandt-Dinar [1].
First we shall discuss the Stokes problem. Let U, be partitioned into
U, = C:), = (UI, 1> U,,2) and P, correspond to
1
where U, U and P from Eq.
(1.8). The induced block structure of L, is L, = [~r ~ where
r
LI u, = (LI I, 1 U" 1> LI / 2 U,,2)' 01 P, = (0 " 1 P" 01,2 PI), ot u, = L ot; U"
i
i are discrete
" m LQ
counterparts 0 f t h e entnes grad] . T h e simpiest
= [ - d'LI . difference
0 - IV
scheme can be formulated when the staggered grids of Fig. 11.3.1 are used.
Uf,i (i = 1,2) is a grid function on Q: = {x E Q: xjJh E lL for j + i, xJh - i E lL},
while P, is defined on Qf = {x E Q: x/h E lL d }. In the interior ofthe grids we may
define LI/i:= standard five-point scheme on Qi (cf. (3.1.15)),
for interior x E Q: ,
(Oti UI,;)(X) = [U"i(X - h, ei J2) - U"i(X + h, eiJ2)]Jh, for interior XE Qf,
where ei E lL d is the i th unit vector. Near the boundary other discretisations are
needed. According to (1 a) we may define
Llf: standard five-point scheme on Qf.

Set
W12 ]
W22
with W12 = - Llr 01 + 01 Llf, (11.3.2)
11.3 The Distributive Relaxation Smoother 247
p p p p
Fig. 11.3.1. Two-dimensional staggered grid. 1, grid
points for U'.1; 2, grid points for U'.2; p, grid points
p p p p for p,
Obviously, one has W12 = 0 and W22 = Af in the interior of 0 (i.e. when
applied to p, vanishing in a certain neighbourhood of r). Hence, according to
11 coincides with [~~r
(1 b), 0 ] in the interior.
v,
-Af
We consider the well-known Gau-Seidel iteration for 11 w, = J" where
w, = (w" l' W" 2, q,) is defined by L, w, = u,. All components of w, can be in-
dexed by XE 0,: = Dl u Ot u Of: w,(x) = W',1 (x) if XE Dl etc. Denote the di-
agonal entries of 11 by t". Then the Gau-Seidel correction at x E 0, reads
w, (x) H W, (x) + b w, (x) with b w, (x): = t;; 1 (J, - 11 w,)(x) (11.3.3)
and all other components of w, remain unchanged. By (2), t" = 4 h,- 2 except
perhaps near the boundary.
The 'distributive relaxation' results, when we write (3) in terms of u, = L, w,:
(i) Let x E Dl. Defme the grid function bw, by bw, (y) = 0 if y =F x, while
bw,(x) is given by (3). Set bu,: = L, bw, and note that bu, = bw, by definition of
L,. Since J, - 11 w, equals J, - L, u" the Gau-Seidel step at XE Dl effects the
change
U,(X)HU,(X) + bu,(x) with bu,(x) = t;;1(J, - L,u,)(x), (11.3.4a)
while all other components u, (y), y =F x, are unchanged. Since t" is also the
diagonal entry of L" (4 a) represents a usual Gau-Seidel step applied to
(L, u, - J,) (x) = O.
(ii) The analogous result holds for the correction at x E m.
(iii) Let x E Of. Define bw,:= (0,0, bq,) with bq,(y) = Ofory =F x, bq,(x) =
t5w,(x) as in (3). t5q,(x) equals
b q, (x) = t;; 1 (f, - 11 w,)(x) = t;; 1 (f, - L, u,)(x)
= t;; 1(J"p - 0',1 U',1 - 0,,2 U" 2)(X) , (11.3.4 b)
where t" = 4 h,- 2 for interior x as mentioned above. bW, induces the correction
bu, = L,bw,:
U,H u, + b u,
with
bu, = (bU,,1,bu,,2,bp,), bU"i = O"ibq" bp, = Afbq,. (11.3.4 c)
Therefore, the following nine components are changed:
bU,,1 (xh,e1 /2) = h, 1 bq,(x), bU,,2 (xh,e2 /2) = h,-1 bq,(x),
(11.3.4c')
bp,(x) = 4h,-2 bq,(x), bp,(x ei h,) = - h,-2 bq,(x), i = 1, 2.
In the general case one has to determine a matrix L, = (LiAi= 1, ... ," such
that L, L, is suitable for the Gau-Seidel method. Then the Gau-Seidel step
related to U,,; (x) reads as

determine b : = t;; 1 (};, i-Li! U" 1 - . - L;n U" n (x), where t x is the diagonal
entry of L L;jLj; at x;
j
set bW;(x):= b, bW;(Y) = 0 for Y =1= x;
correct U, by U,f-+U, + bU, with bU"j:= Lj;bw; U = 1, ... , n).
We conclude with the following comments:
(i) The favourable form of L, L, is a block-diagonal matrix. At least no
principal terms should appear above the diagonal. However, the following
difficulties might arise:
(ii) Consider the off-diagonal block W12 defined in (2). If Ar, 0" Af are
constant difference operators on regular grids, they commute (i. e.
0',1 Llf = Ll u 0',1' etc.) and prove W12 = O. This result does not hold for
. - [I
difference operators with variable coefficients. Replace, e. g., LI in Stokes'
problem by a (x) ,1. Then even in the contmuous case Lu = 0 grad] . ds
aLi Ylel
LuL u = [-a.A R] with R = - aLi grad + grad (a LI) = grad(a)LI, which

-dlV -LI
is also of second order. Although R is not a principal term of Lu Lu, the
remainder can impair the Gau-Seidel process, especially if a is not smooth
enough.
(iii) If L, represents a system of constant difference schemes in the interior
of Q, the blocks do not commute because of the irregularity near the boundary.
Concerning this defect, some advices are given by Brandt-Dinar [1, p. 129].
(iv) Even for regular discretisations problems may arise. Consider the finite
element discretisation of Stokes' equations by a regular triangulation. Approx-
imate u by linear elements on triangles of size h whereas pis approximated by
"
linear elements on triangles of size 2h, (cf. Example 11.2.8). As a result, Qf has
only about a quarter of the points of Ql or Df. The operator Llf in L, has to be
defined with respect to the step size 2 h,. Therefore, W12 from (2) cannot vanish.
(v) If L, is obtained from a finite element discretisation with some irregular
triangulation (cf. Fig. 3.8.6), there will be no chance to find a suitable L"
(vi) Concerning the prolongation p for the staggered grids of Fig. 11.3.1 we
refer to 3.8.4.
11.4 An EUiptic Problem Augmented by an Aigebraic Equation

11.4.1 The Linear Case
Often a function v and a scalar quantity A is to be determined by the system
Lv + AW = g, (11.4.1 a)
<1> (v) + IX A = Jl., (11.4.1 b)
11.4 An Elliptic Problem Augmented by an Algebraic Equation 249
where W, 41, oe, g, {l are given quantities. W is a function, 41 ( . ) represents a linear

functional, and oe, {l are scalar numbers.
The discretisation of (1 a, b) yields the system
L, u, = j, wlth . L, = [L,<p,
T W'
oe,
J ' j, = []',J
{l,' u, = ['J
A, . (11.4.2)
The multi-grid solution ofthe augmented system (2) is as simple as the solution
of the reduced equation L, , =]',. Since A, E 1R or <C for all levels I, this compo-
nent requires no prolongation, no restrietion, and in particular, no smoothing
process. Let p (1') be the prolongation (restrietion) for the reduced problem
L, , =]',. We define
p= 0J
[p 1 ' r=
[, 0J1 ' (11.4.3)
and assume
1X, = IX,_ 1 = ... = 1X0 , (11.4.4 a)
<pT-1 = <pT p for 1= 1,2, ... (11.4.4 b)
Hence the coarse-grid vector <P'-1 should be defined by pT <P,. We recall that
the transposed pT and the adjoint p* differ by a constant factor (cf.
Exercise 2.7.2).
Let ,I----+ f(,,]',) be a suitable smoothing iteration for the reduced problem.
Define g; by
u, = [~:J 1----+ 9l(u" j,) = [~] with ;: = f(, j, - A, w,), j, = [~,].

(11.4.5)
SI{ is the simplest extension of f to the augmented system and leaves .1, un-
changed.
Proposition 11.4.1. Assume (3), (4 a, b) and define the multi-grid algorithm by
(4.1.1) with V2 = 0, y ~ 1. Then all iterates ul satisfy the additional equation
[<pT, oe,)u, = {l, exactly.
Proof The assertion holds for 1 = 0 because of (4.1.1 a). Let the assertion be
valid for I - 1. The pre-smoothing at level I yields the defect
d'-1 = rd, = [~:~J, J'-1 = <pTu, + 1X,1,- {l,.
[
B~tducJtiOn, the coarse-grid correction produces JUI [~;:J:= pJU,-1 = =
p W,-1 where
JA,-1 '
[epT-1, 1X,-1]JU,-1 = epT-1 JW'-1 + 1X'-1 JA,-1 = J'-1
Therefore, ui+ 1: = ii, - i5ul satisfies
Since
15 - 1 = [q>!-1,IXI-1]i5U,-1 = [q>!ft,IXI]i5U,-1 = [q>!,IXI]pi5U,-1 = [q>!,IXI]i5UI
'
by (3) and (4a, b), Proposition 11.4.1 is proved. D
Let [1[1 be the smoother described above. If also the A.I-components

should be corrected, one can apply the combination [1[: = [I[ll [1[1 (Le. 0
[I[(u" Ji) : = [I[ll ([1[1 (u" Ji), Ji, where [I[ll is defined by
=[~J
, [VI]
[I[ II (u"Ji):= u, + Jl.1 - q>,q>!
T -
I - 1X, ..1.
v, + IX,
1 for UI = [I]
, ,
"'I Ji
(11.4.6 a)
The grid function V, has to satisfy (approximately)
(11.4.6b)
Note 11.4.2. Denote the defects of u, and u; = [I[II (u" Ji) by d, = [!;] and
d; = [!], respectively. [I[II is defined such that 15; = 0, while .1; = .11 The
denominator q>! V, + IX, in (6 a) does not vanish if L, is regular and if V, satisfies
(6b).
11.4.2 The Nonlinear Case
The nonlinear counterpart of system (1 a, b) is

~(v, ..1.) = g, (11.4.7 a)
4> (v, ..1.) = J.L (11.4.7b)
For instance, eigenvalue problems can be formulated by (7 a, b) (cf. 12.2.1). A
further example will be mentioned in 13.
The discrete problem is denoted by !lj (U,) = Ji with
U, = [~:l Ji = [~J, g; (" ..1.,) = .h, 4>1 (" ..1.1) = JlI
The construction of CPI-l and IXI-l by (4 a, b) can be translated into the

nonlinear situation. Let (ii" x,)
and (ii,_ 1, X, -1) be given approximations.
11.4 An Elliptic Problem Augmented by an Algebraic Equation 251
The given functional tPI - 1 can be adjusted to tPl by the modification

A _ _ _ otPl(/oXJ _ _
tPl- 1 (UI-l, .1.1- 1 ):= tPl- 1 (UI-l, .1.1- 1) + 0 P(UI-l - UI-l)
UI
otPl(/o XI) (' 1") (11.4.8)

+ 0.1.1 /1.1-1 - /1.1-1
Since $1-1 is affine, it is very easy to define $1-2, ,$0 in the same manner.
Proposition 11.4.1 remains almost true: A multi-grid step without post-
smoothing using $k for k < I, yields u; so that tP l (;, .1.1) ditTers from the desired
right-hand side Jl.I only by 0(11 I - uilli + lAI - XI12 ).
It is also possible to extend definition (6) by
(11.4.9)
12. Eigenvalue Problems and Singular Equations
12.1 Discussion of the Problems
We shall study two closely related problems: the eigenvalue problem

LI UI = AI U,' and the system L, UI = fz with a singular matrix L"
12.1.1 Eigenvalue Problem
U nder usual assumptions the inverse operator L - 1 of the elliptic eq uation

Lu = fis compact and the Riesz-Schauder theory (cf. Yosida [1, p.283))
ensures the existence of isolated eigenvalues A and eigenvectors e with
Le = Ae. (12.1.1)
The discretisation of Eq. (1) is written
L,el = Alel' (12.1.2)
Concerning the approximation of Aand e by Al and el we refer to Chatelin [1].
We recall that the left eigenvector er
is the non-trivial solution of
LT er = A, er . (12.1.3)
The eigenspaces are denoted by
%,(A,) = {ei: solution of (2)}, %,* (AI): = {er: solution of (3) with AI}'
If AI is fixed, we write %" %,* . The geometrical multiplicity of an eigenvalue AI
is defined by dirn (%,(AI = dirn (%,* (A,, whereas the algebraic multiplicity is
the multiplicity of the root AI in the characteristic polynomial det (LI - AI).
Both eoincide for symmetrie LI = Lt. AI is ealled a single eigenvalue if its
algebraie (and henee also the geometrieal) multiplieity is 1.
Note 12.1.1. (i) Suppose A, =F /ll' Then (eI> er> = 0 for all el E %,(..1.1),
er E %,* (/lI)'
(ii) Let k be the geometrie and algebraie multiplieity of Al' There are eigen-
veetors ejl> ejr, 1 ~ j ~ k, spanning %,(A/) and %,* (AI)' respeetively, sueh that
(eil' ej,) = bij (bij: Kroneeker's symbol).
12.1 Discussion of the Problems 253
We recall the computation of an eigenvalue approximation from an eigen-

vector approximation el by means of the Rayleigh quotient
(12.1.4 a)
LemmaI2.1.2. Assume eIE%,(A/) and "e:=min{le,-aedo:aE<C}. The
eigenvalue error estimation
1..1, - A, (ei) I ~ C "e (12.1.5 a)
holds in the general case, while
1..1 / - AI (ei) I ~ C"; (12.1.5 b)
holds for symmetrie L, = LT or, more generally, for normal LI (i. e.
LT L, = L,Lf).
The quadratic estimate (5 b) can also be achieved in the general case, pro-
vided that an approximation er- of the corresponding left eigenvector er is
available.
Lemma 12.1.3. Assume el = eji), er = eji)* for some j E {1, ... , k}, where eji),
"e
eji)*, and kare defined in Note 12.1.1 (ii). Define the errors and ": of el and
er as in Lemma 12.1.2. Then the generalised Rayleigh quotient
Al(el,en: = <Llel,ef)/(Iedo ler 10) (12.1.4 b)

yields an eigenvalue approximation satisfying
1..11 - Al(el, enl ~ C "e ": . (12.1.5 c)
12.1.2 Singular Equations
Let L, be a singular matrix and consider the problem L, u, = j,.

Lemma 12.1.4. Let %, = %,(0), %,* = %,* (0) and suppose h 1- %,*, i.e.
<h, VI) = 0 for all VI E %,*. Then the equation LI UI = his well-posed and has
a unique solution u, 1- %,*:
(12.1.6)
Such singular equations have already appeared in previous chapters. Often,
the solution is determined up to a constant; i.e.
%, = %,* = {UI: constant grid function} (12.1.7 a)
in Eq. (6). Examples are the Poisson equation Llu = fwith Neumann or peri-
odic boundary conditions (cf. 4.4.3). In Stokes' problem (11.1.8) the pressure
p is determined up to a constant. Consequently, the integrability condition
h 1- %,* must be met. In the former case, this condition reads 0 = <1" h> =
ht LxeQI h (x), where 1 1 is the grid function with constant value 1.
254 12. Eigenvalue Problems and Singular Equations
In the case of (7 a), the multi-grid computation of Eq. (6) yields no compli-
cation because of
Remark 12.1.5. Suppose (7 a),li 1-1, and
L,1,=O, p1'-1=1" r*1'-1=1" S,1, = 0",1, for someO",.
(12.1.7 b)
Then the usual multi-grid algorithm (4.1.1) does not deteriorate in spite of the
singularity of L,. The convergence u{ -... u, holds modulo%" i.e. with respect
to the norm of the quotient space dII,/%,. In particular, u? 1- 1, implies
ui 1- 1" provided that the solution of L o Uo = fo in (4.1.1. a) satisfies Uo 1- 1 0
according to (6).
Corollary 12.1.6. Suppose (7 a, b) and, in addition,
r1, = 1'-1' '1/1, = 'r,1, ('1/ from (2.2.6a), 'r, Eer). (12.1.7 c)
Even the conditionli 1- 1, can be omitted, since for any (X E er the right-hand
side li + (X 1, yields the same multi-grid iterates ul modulo %,.
In the case of (7 a) it is sometimes recommended to remove the singularity
of L, u, = li by fixing u, at some Xo E 0, and to solve the reduced equation
L,, =J" where , is defined on O,\{xo}. This approach is not suited for
multi-grid methods. The artificial equation u,(xo) = c is a condition on a
boundary, which degenerates to the isolated point Xo. Such a condition yields
bad regularity and causes the convergence speed to deteriorate considerably.
If %, and %,* are not of the special form (7 a), conditions (7 b, c) cannot be
expected for e, E %" er
E %,* instead of 1,. Therefore, the following problems
arise:
(i) Iteration errors in %, will not be reduced during the multi-grid process, but
(H) error components in %, induce new errors orthogonal to %,*.
(iii) The coarse-grid equation reads L'-l U'-l = li-I: = r (L, u, - fJ. Even if
u,1- %,*, li 1- %,*, the condition li-l1- %,! 1 of (6) is violated unless
r* %'!1 = %,*.
In practice, the matrix L, will not be singular but almost singular; L, is to
be replaced by LI + 81 with small 8:
(L, + 8/)u, =li, u,1-%,*, li 1-%,*. (12.1.8)
Even this problem is well-posed as stated in
Lemma 12.1.7. For all 181 ~ 80' with 80 sufficiently small, Eq. (8) admits a
unique solution u, with lu,lo ~ c llilo, where Cis independent of 8.
ao
Proof. The geometrical sum u, = L (- 8 L , 1)i L , 1 li is well-defined. 0
i=O
Appropriate multi-grid solutions of Eq. (6) or Eq. (8) are described in

12.2.2 and 12.3.5.
12.2 Reformulation of the Problems 255
12.2 Reformulation of the Problems
12.2.1 Reformulation of the Eigenvalue Problem as a Nonlinear Equation
Assume tbat A, is a single eigenvalue witb eigenvector e,. To obtain a unique

solution (ei' A,) one can cboose various normalisations of eh e.g. (1 a) or (1 b):
led~ = 1, (12.2.1 a)
(eh W,) = 1 (12.2.1 b)
for some W, EI: %,. In tbe latter case, e, is uniquely determined, whereas (1 a) has
two solutions e" In general, tbe normalisation condition is of tbe form
({J,(e,) = 0, (12.2.1 c)
wbere ({J, is an affine or nonlinear, differentiable mapping from 0//, into CC.
Hence, tbe eigenvalue problem (1.2) can be written as
~(UI):= [LI~I~I~,eIJ = 0, U, = [~:J. (12.2.2)
The nonlinear system (2) is well-posed because of

* *
Remark 12.2.1. Let e, 0 and AI be a solution of Eq. (2) and assume tbat AI is
a single eigenvalue. Suppose wT e, 0 for wT: = o({Jl(e,)/oe" Then U, = (eh A,)
is an isolated solution of Eq. (2). The derivative ~'(uJ is non-singular.
Equation (2) can be solved as discussed in 11.4.2. The functional ~'-t
from (11.4.8) equals
~1-de,-t,AI-t)= le,-d~-1 +2(p*eh el-t- e,-t) (12.2.3 a)
in tbe case of (1 a), and is given by (3 b) in the case of (1 b):
~,-t (e,-t, A,-t) = (e,-t, W,-t) -1 + (e,-t - el-t,p*W,>, (12.2.3 b)
A good cboice of ({J, is (1 b) where W, is some approximation to the desired
eigenvector e, (cf. Ruge [1], Brandt-McCormick-Ruge [1)). On the coarser grids
we may define W,-t = p* W" w,_ 2 = p* W'-t' etc. according to (3 b).
The additional scalar equation in system (2) can be avoided. Let ({J,(e,) be
a linear or nonlinear functional and normalise e, by
({J,(e,) = Ah (12.2.4)
where again ({J, (ei): = le"~ - const, ({J, (ei): = (eh WI) - const, but also
({J, (ei): = e, (x) - const for some fixed XE D,
are possible choices. ({J, should be differentiable. EIiminating AI in L, e, = A, el
by (4), one obtains the new nonlinear equation
~ (ei): = LI el - ({J, (ei) el = o. (12.2.5)
The equivalence of Eq. (5) to eigenvalue problem (1.2) is stated in

Note 12.2.2. (i) Let e, =1= 0 be an eigenvector of L, corresponding to the eigen-
value A" Assume that A, is in the ran~e {IP, (oe e,): oe E R or oe E cr:,
respectively}.
Then, after a suitable normalisation ~,: = oe e" e,
is a solution of Eq. (5) with
IPI(e,) = A" One should choose IPI such that the scaling factor IX does not vanish:
IPI (0) =1= A"
() Let e, =1= 0 be a solution of Eq. (5). Then el is an eigenvector correspond-
ing to the eigenvalue AI: = IPI (ei)'
The well-posedness of Eq. (5) is ensured by
Remark 12.2.3. Let e, with IP; (ei) e, =1= 0 be a solution ofEq. (5) and suppose that
A, = IPI (ei) is a single eigenvalue. Then e, is an isolated solution and !lj' (ei) is
non-singular.
Equation (5) is a nonlinear problem which can be solved as described in 9.
Note that the linearised problem is weakly indefinite.
A recommendable modification of the prolongation ft in the nested itera-
tion (9.3.14) is
ak : = P(a"-I): = (J ft a"-1 with (J such that IP" (a,,) = IP"-1 (a"-I)
in (9.3.14 b), since then the eigenvalue approximation X" = IPda,,) coincides
with Xk - 1at level k - 1. X" can also be obtained by extrapolation from X"-1
and X"-2 (cf. Hackbusch [18]).
Note 12.2.4. If A, is a double eigenvalue, one can use the formulation (2) or (5)
with an additional scalarequation (eI> v,) = 0, where v, 4%'.l.. However, often
higher multiplicities occur due to geometrical reasons and for the same reasons
one-dimensional subspaces of %, can be characterised by a symmetry condi-
tion E,e, = e where e.g. Elu,(X, y): = - u,(1 - x, y) for 0 ~ x, y ~ 1, or
"
E, u, (x, y): = u, (y, x). If these symmetries are preserved by the discretisation,
the restrietion, the prolongation, and the smoothing iteration (i. e.
L,E , = E, L" r E, = E, - 1 r, etc.), a starting value e? with E, e? = e? yields el
satisfying the same symmetry condition and the iteration is not influenced by
the existence of further eigenvectors.
12.2.2 Reformulation of tbe Singular Equation
Assume that A, = 0 is a single eigenvalue of the matrix L" The condi-

tion U,1. %,*, which is added in Bq. (1.6) to ensure uniqueness of u can be
"
replaced by U,1. v, for any v, with (VI> e,) =1= 0, e, E %,. The resulting equations
are
L, u, = j" j, 1. %,*, U,1. v,, (12.2.6)
For V,: = er E .AIi* we regain Eq. (1.6).
12.3 Direct Multi-Grid Approach to Eigenvalue Problems 257
Lemma 12.2.5. Assume that A-l = span {ei} and <VI, el) =1= O. Then problem (6)
has a unique solution UI> whieh differs from the solution u; of Eq. (1.6) only by
U;-UIEA-l.
The augmented system
(12.2.7)
is equivalent to problem (6) in the following sense:

Lemma 12.2.6. Assume that A-l = span {ei}, A-l* = span {et}, <VI> el) =1= 0,
<Wb et) =1= O. Then the matrix LI from (7) is non-singular. If fz 1.. A-l*, the
solutions of Eq. (6) and Eq. (7) are related by UI = [ ~ J.
Since LI is non-singular, Eq. (7) makes sense even iffz 1.. A-l* is violated, or
if the singular submatrix LI is replaced by the almost singular matrix LI + eI
with Ie I sufficiently smalI.
The multi-grid solution of LI UI = J; is described in 11.4.1.
12.3 Direct Multi-Grid Approach to Eigenvalue Problems
12.3.1 Derivation of a Two-Grid Iteration
A direct multi-grid solution of LI el = AI el is described by Astrachancev [2],

Frederickson [3], Strachovskaja [1], and Hackbusch [11]. Before we explain
this method, we recall the inverse iteration or Wielandt's iteration, which is
quite different from ours:
= AI(ut 1);
A!i) a{: = LV)-l U(l with LV): = LI - A!i) I;
U{:= u{la{lo, (12.3.1)
where AI denotes the Rayleigh quotient (1.4 a). It seems obvious to apply the
multi-grid method to the linear problems LY) U I = fz with the alm ost singular
matrices LV) (cf. Wachspress [1]). However, note that these equations are com-
pletely different from Eq. (1.6). In Eq. (1.6) the right-hand side is orthogonal to
A-l*, whereas now fz = U{-l is almost in A-l. The convergence of Wielandt's
iteration is based upon the fact that the A-l-component in U( 1 is greatly
increased by the iteration step U( 1 1---+ u{ = LV) - 1 U( 1. In contrast to problem
(1.6), a multi-grid iteration applied to L\J) u{ = ut 1 has to treat the
.h';"-component correct1y, which is a very hard task. Bank [3] analyses the case
of a finite element discretisation with symmetrie LI = LT > 0, where the in-
equalities A < Ao < Al < ... < AI can be ensured for the first continuous and
discrete eigenvalues. He proposes a fixed shift J1.1 instead of A!i) such that
AI - JlI > 0 is large enough. Then multi-grid convergence can be proved, pro-
vided that A is the smallest eigenvalue, A is single, and ho is sufficiently smalI.
The following method avoids the difficulties sketched above, since the
linear problems involved are of the form (1.6). The two-grid version again
consists of a smoothing step and a coarse-grid correction. Let 9j(u l ,J;; A) be a
smoothing iteration for the linear problem (LI - AI) U I = k The linear
mapping SI (A) UI: = 9j(u l , 0; A) serves as smoothing process for the eigenvalue
problem LI el = AI el' For instance, the damped Jacobi iteration (3.3.7') yields
SI(A):= I - (j)lhfm(L I - AI). (12.3.2a)
If LI = D I - AI - BI according to (3.3.2), the Gau-Seidel iteration is given by
SI(A):= (D I - A I - AI)-l BI' (12.3.2b)
When A coincides with the discrete eigenvalue AI' one concludes from Eq.
(1.3.4) that
(12.3.3)
Let X be an approximation to AI' The application of smoothing steps
UI ~ ul : =
St (l) UI has the same effect as for linear equations: High frequency
errors ofthe eigenvector approximation UI are reduced, while, in particular, the
desired eigenvector component is nearly unchanged (cf. (3) in the case of
X= AI)'
For the coarse-grid correction we need the defect
(12.3.4 a)
Assuming JV; = span {ei}, JV;* = span {er} with <eI> et) = 1 according to
Note 12.1.1 (ii), we may split the approximation ul into the sum (/. el + VI with
vl.l JV;*. Hence, d l can be decomposed into
(12.3.4 b)
The interesting part of dl is (LI - XI) VI' We introduce the projection onto the
orthogonal space JV;*.L: = {VI: vl.l JV;*}:
(12.3.5)
Since VI .l .hj* implies (LI - X I) VI E A'/*.L , the projection of d l results in
d .L. -
l . = QI d l = (LI - AI) VI .
The exact correction of UI would be UI ~ UI - VI = (/. el E A'/, where VI is the
solution of the equation
(LI-XI)vl=dt with dt.lA'/*, vl.lA'/*. (12.3.6)
By Lemma 12.1.7, Eq. (6) is well-posed, although the matrix LI - XI is al-
most singular as Xapproaches AI' Again, we emphasize this difference between
the linear equation in (1) and Eq. (6). The solution of Eq. (6) is denoted by
~l = (L, - X1) - 1 dt. To indicate the domain Ai d and the range Ai d of the
Inverse operator, we shall write Q, (L, - X1) - I Q, instead of (L, - X1) - 1:
The exact correction (fine-grid correction) reads U,l-+ U, - V, or
Transferring the correction process to the coarse grid, we obtain
U,l-+U, - pQ,-I (L'-I - X1)-1 Q,-I r(L, - X1)u,. (12.3.7)

The resulting two-grid method reads as folIo ws:
..................................................................
two-grid iteration for the eigenvalue problem L, e, = A, e, (12.3.8)
..................................................................
X:= A, (ul); (A, from (1.4 a (12.3.8 a)
U,: = S,v (X) ul; (smoothing step) (12.3.8 b)
d,- I := r(L, - XI)u,; (12.3.8 Cl)
dt- 1 : = Q,- 1 d, - 1; (coarse-grid (12.3. 8c 2)
V'-I: = (L'-I - X1)-1 dt-I E Ai!t; correction) (12.3.8 d)
ul + 1 : = U, - P Q,- 1 V, - I (12.3.8 e)
which can be summarised as:
X:= A,(uD; ul+ l := M,(X)ul

(12.3.8')
with M,(A):= [1 - pQ,-I (L'-I - A1)-1 Q,-l r(L, - H)]S,v(A)
The exact solution in (8 d) will be removed in the multi-grid version. The

projection in (8 C2) requires the knowledge of the eigenvectors ei-I' ei-I' We
shall approximate Q,-I by means of the results obtained from the nested
iteration described below.
The behaviour of the two-grid iteration can easily be understood, when X
coincides with the exact eigenvalue A" Let ui = rJ. e, + V" V, E Ai*l.. Equation
(3) implies M, (A,) e, = e,; therefore, the eigenvector component remains un-
changed during the iteration. The result M, (AI) V, is similar to the result M, V,
with the usual two-grid iteration matrix M, from (6.1.1), since L,- I - A,-I 1
is non-singular in Ai*l.. Again, the inequality 11 M, (AI) 11", +- '" ~ C (v),
lim C (v) = 0, can be expected. The convergence analysis in the case of X=F A,
v .... 00
is described by Hackbusch [11] for the situation where: (i) L, is obtained from
a finite element discretisation, (ii) rand p are the canonical restrictions and
prolongation of 3.6, (iii) S, (A) is given by (2 a).
12.3.2 Modifications and Generalisations
If .hl =1= .hl*, the quadratic eigenvalue approximation requires the Rayleigh
quotient (1,4 b). Therefore approximations a: of the left eigenvector er are also
to be computed:
..................................................................
Simultaneous two-grid solution of L, e, = A, e" Li er = A, er (12.3.9)
..................................................................
i: = A, (u:' aD; (A, from (1,4 b)) (12.3.9 a)
ui+ := M, (i) ui;
1 (M, from (8')) (12.3.9 b)
a:+ 1 := M, (i) a:; (12.3.9c)
..................................................................
where
M,(A):= [I - pQr-1 (Li-1 - I1)-1 Qr-l r(Li - II)]S,v(I). (12.3.9d)
The adjoint operator Qr- 1 equals
Qr u, = U, - <U,' e,) er (12.3.10)
and is the projection onto .hl.L. S,(l) is a smoothing iteration for
(Li - I I) u, = O. The analogue of S, (A) from (2 a) is S, (l) = S, (A)*, whereas
S, (I) =1= S, (,1,)* in the case of the Gau-Seidel smoother (2 b).
Another modification is required for multiple eigenvalues. Assume
.hl = .hl(A,) = span {eu, .. , ekl}, .hl* = span {er" .. , et,}, and <eil' e1i) = (;ij
according to Note 12.1.1 (ii). Then iteration (8) or (9) has to be applied simulta-
neously to the starting values {U~""" u~,}, which span.hl. The projection Qk
is defined by
k
Qk Uk: = Uk - I: <Uk> el) eik'
i= 1
In algorithm (8) we chose equal shifts i at the levels I and 1- 1 (see (8 Cl)
and (8 d)). Since L, - A,l is related to L ,- 1 - A,_lI rather than to L ,- 1 - All,
the optimal shift at level I - 1 would be L ,- 1 - A' 1 with .A.' - ,1,,-1 = X - A"
where Ak denotes the eigenvalue at level k. Since X-+ A, is expected, a good
choice is .A.' = A,- 1 in (8 d):
(12.3.8 d*)
The exact solution involved in (8 d) or (8 d*) can be replaced by an approx-
imation V,-l satisfying 11 V,- 1 - V,-l 11", ~ K 11 V'- 1 11", with sufficiently small K.
As soon as the exact projection Q,-l is replaced by an approximation
Q,- 1 defined by
QI-l U,-l = U,- 1 - <UI-1,q-l)e,- 1, (12.3.11)
the vector Jt-1 : = Q,-1 d, - 1 does not necessarily belong to .hl~t.
12.3.3 Multi-Grid Iteration for the Eigenvalue Problem and

the Nested Iteration
Since the coarse-grid problem in (8 d) is a singular equation and not an eigen-
value problem, algorithm (8) cannot be applied recursively. In 12.3.5 we shall
describe a multi-grid method SMGM for the approximate solution of (8 d).
Together with the modifications (8 d*) and (11) we obtain the following
multi-grid iteration EMGM for the eigenvalue problem Llel = Alel

(12.3.12)
procedure EMGM (I, u); integer I; array u;

comment I: level number,
u: ul as input, ul + 1 as output;
begin real A; array d, v; integer j;
A:= AI (u); (12.3.12 a)
u: = SnA) u; (12.3.12 b)
d: = <2/-1 r(L I - AI)U; (12.3.12 c)
v: = 0; for j:= 1 step 1 until y do SMGM (1- 1, v, d); (12.3.12d)
u:=u-pv
end;
..................................................................
The implementation of algorithm (12) requires
(i) the knowledge of approximations ei-I' ef-l' which are involved in <2/-1 (cf.
.
(11
(ii) the knowledge of an eigenvalue approximation i;-l' since SMGM has to
solve (L I - l - XI - l I) Vl-l = dr-l .
These quantities can be obtained by means of the nested iteration. Two
cases are to be distinguished. If .Ar, = .Ar,* since LI = LT or since LI is normal,
and if dirn (.Ar,) = 1, one can apply algorithm (13), while algorithm (14) is
required in the case Y, =l= .Ar,*:
..................................................................
nested iteration for solving LI el = Al el' 0 ~ 1 ~ Imax (12.3.13)
..................................................................
comment eo is a given approximation to eo; (12.3.13 a)
for I: = 1 step 1 until Imax do
begin ei-I: = el- dlel-llo; i;-l : = AI- 1(ei-I); (12.3.13 b)
el := pel - l ;
(12.3.13 c)
for j: = 1 step 1 until i do EMGM (I, el ) (12.3.13 d)
end;
..................................................................
..................................................................
nested iteration for L, e, = A, e" LT er = A, er, 0 ~ I ~ lmax (12.3.14)
..................................................................
comment eo, e~ are given approximations to eo, e~; (12.3.14 a)
for I: = 1 step 1 until lmax do
e'-l:=
begI - - I( e'-I>
e'-l - -*
e'-l >;-
; 11.'-1:= A '-1 (-e'-1' e'-1
-*) ; (12.3.14 b)
er :
e, := ft e,_ 1; = ft er- 1 ; (12.3.14 c)
for j : = 1 step 1 until i do
begin EMGM(l, e,); EMGM*(I, ei) end (12.3.14d)
end;
..................................................................
EMGM* is
the counterpart of EMGM for the adjoint problem
LT er = ~ er
(cf. (9 d)). In particular, EMGM* involves the procedure
SMGM*, which is obtained from SMGM by interchanging L, and LT, X,
and A,.
If dirn (.Al) = k > 1, approximations eH'.'" ek' and possibly er,, .. , et,
have to be computed simultaneously by a similar nested iteration.
Note 12.3.1. Because of the approximation Q'-l in (12 c), the vector d from
(12 c) does not necessarily belong to .Al~t. Therefore, the conditionh_1 1. .Al~ 1
ofEq. (1.8) is violated. Split d into d = dt-1 + Pe'-1. We must require that the
iteration SMGM produces a solution v = V'-l + W'-l' where V'-l is the result
of a right-hand side dt-1, while IW'-110 ~ c IPI with C independent of
X,_ 1 - A,_ 1
Let Al < A2 < ... be the eigenvalues ofthe continuous problem: Le j = Aje j .
Choosing an approximation eo = ejO to ej in (13 a) one decides that the r
eigenvalues Aj" 1 ~ I ~ lmax, and the corresponding eigenvectors ej' will be
computed. One might expect difficulties if j is large, or if Aj is elose to one of
the neighbouring eigenvalues Aj l ' However, such complications do not arise
for the following numerical ex am pie reported by Hackbusch-Hofmann [1]. Let
the biharmonic eigenvalue problem
,12 u = AU in Q = (0,1) x (0, 1), r,
u = au/on = 0 on
be discretised by a finite element method with grid size ho = /6"'"h 3 = 1i8'

For the first 46 eigenvalues (24 single and 11 double ones) the multi-grid
iteration succeeds, although several eigenvalues are in elose proximity. For
example A38 and 2 39 :
A37:::::: 3.41 10 5 < A38:::::: 4.19 10 5< A39:::::: 4.20 10 5< A40 = 241 :::::: 4.59 10 +5.
The corresponding eigenvectors are depicted in Fig. 12.3.1. The nodallines (i.e.
the curves defined by e,(x, y) = 0) are shown in Fig. 12.3.2. The figures are
reprinted from ZAMP 31 (1980) p. 733-737.
....
IV
W
Cl
a
~
S-
b
::1.
0-
~

B-
Fig.12.3.1. Eigenvectors corresponding to A37' A3s, A 3 9' A,40
tT1
~.
::s
-<
~
~
o
0-
(]VD "3
'"
37 38
()~D
39 40
~
....,
Fig. 12.3.2. Nodal lines of the eigenvectors
12.3.4 Ritz' Projection
As mentioned above, the multi-grid method (13) permits the computation of a

selected eigenvalue and eigenvector. However, if approximations to the first n
eigenvalues and eigenvectors are desired, the eigenvector iteration can be im-
proved by means ofthe Ritz projection as proposed by Ruge [1]. According to
Note 12.1.1, the exact eigenvectors can be normalised such that <ea, ejl) = b ij
(1 ~ i,j ~ n). Given approximations ejl and eJ;, we can enforce the analogous
equations by the bi-orthonormalisation process
u= 1, ... , n). (12.3.15 a)
If ejl = ej, because of LI = Lr, iteration (15 a) is the usual Gram-Schmidt

orthonormalisation where we scale ejl and ej, such that ejl = ej" lejdo = 1.
Define an n x n matrix A by
(12.3.15 b)
Were eil> ej, exact eigenvectors, A would be the diagonal matrix
diag {A. ll , ... , A.nl}. Therefore, we look for vectors eil E span {ejl: 1 ~ j ~ n} =
span {ejl: 1 ~j ~ n}, ea E span {ej,: 1 ~j ~ n} = span {ej,: 1 ~j ~ n}, i.e.
n
ea = L ttej" (12.3.15 c)
j=1
such that <Llejl> ea) is diagonal. One has to solve the eigenvalue problems
(12.3.15 d)
which consume relatively little computational effort as long as n is not too
large. The coefficients tij and tt in (15 c) are the components of the eigenvectors
ti = (til,.,tin)T, t~ = (t/'i, ... ,t:'V. Since the vectors eil and ea from (15c)
satisfy <eil' ej,) =,.hij and <L, eil> ej,) = Jl.;C)jj' they are better approximations
than eil> ea,
and A.il: = Jl.i are the new eigenvalue approximations.
The combination of the multi-grid iteration with Ritz' projection reads as
folIows:
(i) Compute approximations ell' ... ' enl and erl> ... , e:'1 (unless ejl = e~) by
one iteration of algorithm (12) or by some other multi-grid iteratio~ (e.g.
applied to the reformulated problems (2.2) or (2.5.
() Perform (15 a), ca1culate the matrix A from (15 b), and diagonalise A:
T -1 A T = diag {Jl.t. ... , Jl.n}. (12.3.16)
The latter task is equivalent to (15 d) since T = (t 1, ... , t n), T-1
= (tr, t! , ...)H.
(i) Define ell"'" enl> er" ... , e:1 by (15 cl. Repeat the process (i) to (iii) with
eil: = eil> e1i : = e1i. The eigenvalue approximations Xl' ... , Xn are given by
Jll"'" Jln from (15 d), since (15 b) can be regarded as a generalisation ofthe
Rayleigh quotient (1.4 b).
It is not necessary to apply the Ritz projection with eih 1 ~ j ~ n, corre-
sponding to all first n eigenvalues All ~ A2 1 ~ ~ Anl' It suffices to treat
simultaneously a cluster of eigenvalues Ai+ 1,1 ~ Ai+ 2,1 ~ ~ Ai+n,h which are
well separated from Ail and Ai+n+ 1,1'
Another multi-grid algorithm for the simultaneous eigenvalue computa-
tion is recently described by Hackbusch (38).
12.3.5 Direct MuIti-Grid Solution of the Singular Equation
Tbe equation arising in (8 d) is

(LI - XI/)U I = f" UI1. %z*, f, 1. %z*, (12.3.17)
where for ease of notation 1 - 1 is replaced by 1. Equation (17) coincides with
Eq. (1.8), where we rename LI - AI I by LI and set e = AI - XI' XI is assumed to
be an approximation to the exact eigenvalue AI' 1; as weIl as XI _ l' 1; - 2, ... are
known from the nested iteration (13) or (14).
Tbe two-grid iteration for Eq. (17) is
('p(v) (u i 1", ,).
1.=..71
-.
U hJ"II.I,
ul+ 1: = QI [al - p(L I - 1 -1;_1/)-1 QI-1 r(Lla l - XI al - f,)], (12.3.18)
where 9/(V) (u"f,; 1;) is the smoothing iteration for Eq. (17), possibly different
from the choice in (8 b) and (12 b). The coarse-grid correction process is almost
the same as in (8 Cl' C2' d, e). The only difference is the additional projection QI
applied to the result of(8e). Thejustification is related to Note 12.3.1. Assume
thatf, 1. %z* is violated since an approximate projection (11) is used in (8C2)'
The perturbation el off, = N + el , f,l. E %zd, must not induce a perturba-
tion of the size of (LI - 1; I) -1 el = (/(AI -1; eh which would be increas-
ingly large as XI -+ AI' Iteration (18) can be written as
uj'+1 = Mluj. +N 111
' h
I "Wlt
NI = QINf + QINfI 1j(v), Nf:= p(L I - 1 -1;_11)-1 QI-1 r,

'1'" )
NIH :=I-p(LI-1-AI-1I)
- -1
QI_lr(LI-A.II,
where 1j(V) is defined by 9/(V) (u"f,; 1;) = Sjv)ul + 1j(v)f,. The influence of a per-
turbation el inf, is characterised by NI el' Let Tr(v) el = VI + C( el' VI E %z*l.. One
observes that NfI el = el + O(IX, - All), hence QINfI el = 0(11; - A!I) is small.
The remaining term NfI VI is smaIl, provided that VI = QI1j(v) el is smooth. Thus
QINfI 1j(V) el is small. The first term Q,Nf el is small since QI-1 rel = o (hf),
where 1C is the consistency order (cf. Hackbusch [11; Lemma 1]). We obtain
Note 12.3.2. If Jl = N + e/> NE .#;*\ in spite of the condition in (17), iter-

ation (18) resuIts in 1 = u:+ :+
1 + w" where :+
1 is the resuIt for the un-
perturbed right-hand sideN, and Iw,l", ~ C with small C = O(h , + 11 N{1 Q,ID
even if X, approaches A"
The foregoing considerations reveal that the .#;d_part of 1/(v) e, yields the
major contribution to the perturbation of u; + 1. If 1/(V) e, E.#;, this term
vanishes and even [Nt + N,I l 1/(v)]e, is smalI:
Note 12.3.3. Assurne 1/(V) e, = 't',ve" which holds, e.g., for the damped Jacobi
smoother. Then the projection Q, can be omitted in (18).
The coarse-grid equation arising in (18) is of the same form as Eq. (17).
Hence, the construction of the multi-grid iteration folIo ws algorithm (4.1.1):
multi-grid solution of the singular Eq. (17) (12.3.19)
Xk> 0 ~ k ;;;; I: given eigenvalue approximations;

Qk,O ;;;; k ;;;; I: approximate projections onto .#;*1.; e.g. defined
by Eq. (11).
procedure SMGM(l, u,f); integer 1; array u,f,

if 1= 0 then u:= Qo(L o - Xo I)-1 Qofelse (12.3.19 a)
u: = Y,(V) (u,f; x,); (12.3.19b)
d:= Q,-1 * r * (L,u - X,u - f); (12.3.19c)
v:= 0; for j:= 1 step 1 until y do SMGM(l-l, v, d); (12.3.19 d)
u: = Q, * (u - p * v) (12.3.19 e)
end;
..................................................................
A convergence analysis of algorithm (19) is given by Hackbusch [11]. Accord-
ing to Note 12.3.3 the projection in (1ge), or even in (19c), can be omitted.
These modifications of SM GM and EMGM are discussed by Hofmann [1].
12.3.6 Simultaneous Solution of n Singular Equations

The Ritz projection of 12.3.4 yields approximations E, and Er of
E,: = (eu,.., enl), Er: = (4/> ... , e:,),
i:";'H of _ n r~ght ~nd _n left _ eigenvectors, such that Er HE, = land
E, L,E , = D, = dlag{A u , ... , Anl }. Hence the defect Ei defined by
Ei:= L,E, - E,D,
satisfies Er H Ei = 0, i. e all n column vectors of Ei are almost orthogonal to
.AI,*: = span {4/> ... , e:,},
12.4 The Generalised Eigenvalue Problem 267
whereas previously the i 1h eigenveetor defeetJi: = L, eil - A; eil was assumed to

be orthogonal only to %;,*: = span {e~}. Instead of Eq. (17) one now has to
solve the problem
L, U, - u,15, = .fI, u, E (%,*ll, .fI E (%,dt, (12.3.20)
whieh eonsists of n equations
L,uiI - A;UiI =!iI, UiI,!iI E %,*.L, i = 1, ... , n. (12.3.20')
The simultaneous solution of these equations is more stable than the solution
of Eq. (17), sinee the i 1h equation in (20') is not impaired by the existenee of
possibly c10sely neighbouring eigenvalues A.j, 1 ~ j ~ n, j =1= i.
The multi-grid solution of problem (20) is also given by algorithm (12), if
u, d, f, v denote n-tuples U = (u}, . .. , un) ete. The meaning of P v, r f, Q, U is
(P VI, , P Vn) ete. Q" approximates the projeetion onto .A-k*l.:
n
Q"u,,:= u" - L (u", ei~)eik.
i=1
Assignment (19 b) beeomes u: = 51(V) (u, f; 15,); Xzu in (19 e) has to be replaeed by
u15,.
Analogously, EMGM from (12) ean be applied to the simultaneous eompu-
tation ofn eigenveetors E,. Note that the Rayleigh quotient in (12a) has to be
replaeed by Ritz' projeetion from 12.3.4.
12.4 The Generalised Eigenvalue Problem
Usual finite element diseretisations of Le = .1. e do not yield L, e, = .1., e, but

Lle, = A.IMlel. (12.4.1)
where M, = R , Pz is positive definite (Pz, R , are defined in (3.1.30-31. Equation
(1) is ealled a generalised eigenvalue problem. In partieular, this equation is
obtained if the eontinuous problem is a generalised eigenvalue problem
Le = .1. Me. The left eigenveetors er are eharaeterised by
LT er = A.IM,* er (12.4.2)
Lemma 12.4.1. If L, = LT and M, = M,* > 0, all eigenvalues .1., are finite and
real; furthermore, %,(.1.,) = %,* (.1. ,).
The eondition M, = M,* > 0 exeludes the ease .1., = 00, whieh eorresponds
to %,( (0): = kernel of M,. However, there are reasonable eigenvalue problems
with singular M,:
Example 12.4.2 (Steklov eigenvalue problem). The diseretisation of
- LI u = 0 in D, au/on = .1. u on r (12.4.3)
yields Eq. (1), where M, is singular, since the rank of M, equals the number of
grid points on r. M, = M ,* ~ 0 holds in the finite element case. See also
16.10.3.
The equivalent of Note 12.1.1 is
*
Note 12.4.3. (i) Suppose A, 11" Then <M, e" ef) = 0 for all e, E .;tj'(A ,),
et E .;tj'* (11,),
(ii) Let k: = dirn (.;tj'(A,)), Then we presuppose that there exist eil E .;tj'(A,),
e~ E .;tj'* (A,), 1 ~ i ~ k, such that <M, eil' erz) = c)ij'
The Rayleigh quotients (1.4 a, b) are to be replaced by
A,(e,):= <L, el,el)/<M, e" e,), (12.4.4 a)
AM" et):= <L,e" et)/<M,e" ef). (12.4.4 b)
(M, .;tj')1. and (M,* .;tj'*)1. are the orthogonal spaces of
M,.;tj': = {M,e,:e, E.hJ, M,*.;tj'*: = {M,* er: et E .;tj'*}.
In Eq. (1.6) and Eq. (1.8) the condition u,..L.;tj'* is to be changed to
u, ..L M,* .;tj'*:
(12.4.5)
Then Lemmata 12.1.4 and 12.1.7 remain valid.
The necessary modifications ofthe multi-grid methods are described below.
Remark 12.4.4 (modified EMGM). A, in (3.12 a) is given by (4 a). In (3.12 c) I is
to be replaced by M" <2'-1 from (3.12 c) has to be an approximation to the
following projection onto ,:"t:
<2: Uk = Uk - <Ub eD Mkek (if dirn (..hI:) = 1, <Mk ek' eD = 1), (12.4.6 a)
<2t is the adjoint of the projection <2, onto (M, .;tj')1.:
(12.4.6 b)
Similar comments hold for the lines (3.8 a), (3.8 c2 ) of the two-grid iteration. In
line (3.8 d) .;tj'!t has to be replaced by (M,*_ 1 .;tj'! 1)1..
Remark 12.4.5 (modified EMGM*). The iteration EMGM* involved in (3.14 d)
requires the (approximate) projection Qt-l' in the statement corresponding to
(3.12c). Qt with
Qt U, = U, - <u"e,) M ,* et (12.4.6c)
is the adjoint of
Q, u, = U, - <u" M,* ef) e/. (12.4.6 d)
Remark 12.4.6 (modified nested iteration). A, from (3.13 bj14 b) is given by
(4 ajb). The normalisation reads e,-l : = e,- d<M,- 1 e'-I> e,- 1 )1/2 in (3.13 b)
and e'-I: = e,- d<M, - 1 e/- 1 , er-I) in (3.14 b).
12.5 The Nonlinear Eigenvalue Problem 269
Remark 12.4.7 (modified Ritz projection). (3.15 a) becomes
1-1
ejl:= ejl - L (Mlejh e~)eil'
j=1
eJi:= (eJI - :t: (ej"Mleil) e~)1 (eJi,Mlejl)

Let B = (bij), bij:= (Mlej"eJi). (3.15d) has to be replaced by
A t i = Jl.iB t i, A H tt = Jl.iBH tt, tt H tj = ~ij.
Step (ii) requires the computation of T with T -1 A T = diag {JL1' .. , JLn} B.
Remark 12.4.8 (modified SMGM). The assignment in (3.19 a) becomes
u: = Qo(Lo - I o Mo)-l Q~ J, (3.19c) becomes d: = Qt-1 r(Llu - X,Mlu - f),
while QI from (3.1ge) is now defined by (6d).
12.5 Tbe Nonlinear Eigenvalue Problem
Equation (4.1) is a special example of the nonlinear eigenvalue problem

LI el = MI (AI) el (12.5.1)
arising from the continuous problem
Le = M(A)e. (12.5.2)
For instance, bifurcation problems lead to Eq. (2). Consider the nonlinear
equation
9'(U;A) = 0 with 9'(U;A) = Lu - .4 (u;A).
If .4 (0; A) = 0 for all A, U (A) = 0 is the trivial solution. Other branches bifurcate
at A = A*, where A* is characterised by Eq. (2) with M (A) : = '0.4 (0; A)/'OU.
We presuppose that there exists a generalised Rayleigh quotient AI (ei) or
AI (ei' e'!), respectively, such that the inequalities (1.5 a-c) hold. If, for example,
a quadratic eigenvalue problem with MI (AI) = AI AI + Af BI is given, AI (ei) can
be defined to be one of the roots of (LI e" el) = (AI eh el) A + (BI eh el) A2.
Remark 12.5.1. Define AI as mentioned above. The modified algorithms of
12.4 apply to the nonlinear eigenvalue problem (1), where the matrices Mh Mt
in (4.6 a-d) and in Remark 12.4.6 are replaced by MI (AI)' M I* (AI). Evidently, all
expressions AlM" for example in Llul - AI MI UI - h, are to be changed to
MI (AI)
The convergence analysis presented by Hackbusch [11] applies to the
multi-grid algorithms for the nonlinear eigenvalue problem (1).
13. Continuation Techniques
13.1 Continuous Continuation Problem
Instead of the elliptic equation Y (u) = 0 we consider the family of nonlinear

equations
Y(u(2), 2) = 0, (13.1.1)
depending on the scalar parameter 2. For ease of notation we assume that Eq.
(1) is defined for 2 ~ O. For each 2 ~ 0 there may exist several solutions u(2)
of Eq. (1). A smooth curve (u(A), A) E dIJ x IR is called a solution branch. Inter-
section points of branches are called bifurcation points. At such points
OY (u*, *)/ou is singular (see AA in Fig. 13.1.1). For the computation of bifur-
cation points we refer to 12.5 and the approaches of Weber [1] and
Mittelmann-Weber [1].
In this section we shall study branches without bifurcation points. u (2) is
not necessarily a function of 2. Branch B in Fig. 13.1.1 is multi-valued in the
interval ( B , Ac). B and c are called turning points (or limit points). To de-
scribe the branch as a function of a parameter one has to choose a new
parameter. A suitable curve parameter of all branches in Fig. 13.1.1 would be
IluIAIII",
branch B
Fig. 13.1.1. Solution branches, bifurcation point, turning points

13.2 Modified Nested Iteration 271
the norm J.l = 11 U11", A general approach is the parametrisation of U and A by

the arc length J.l:
Ildu(J.l)/dJ.lll~ + IdA(J.l)/dJ.l1 2 = 1 (13.1.2)
(cf. Menzel-Schwetlick [1], Keller [1]). A modified approach is described by
Bank-Chan [1]. The problem that arises takes the form of Eq. (11.4.7), where
the additional equation <P(U,A) = J.l is needed to determine A as a function
of J.l.
13.2 Modified Nested Iteration
The solution of the discrete continuation problem

2;(Ul (A), A) =0 (13.2.1)
requires the solution ofEq. (1) for several values Ao < Al < '" < Av < .... One
could use the nested iteration (9.3.14) to solve each equation 2;(Ul(A.v), Av) = 0
separately, without exploiting the already computed values U l (A v - 1 )' On the
other hand, the nested iteration could be omitted, since at all levels I the
foregoing values Ul (A v _ 1) could be used as starting iterates u? (A v), provided that
Av ~ Av - 1 ' In 13.2.2 we shall study a modified nested iteration, which makes
use of the known approximations at the previous value A = Av - 1 ' We shall
restrict our considerations to branches without turning points, since by virtue
of 13.2.1 one may assume without loss of generality that Ul(A) is a function
oU.
13.2.1 Treatment of Turning Points
Given a new parameter J.l of u(J.l) and A(J.l), Eq. (1) has to be replaced by Eq.
(11.4.7), for which the multi-grid solution is alm ost identical with the multi-grid
solution of Eq. (1). As a particular example we consider the parametrisation
(1.2) by means of the arc length J.l. Initially, for A = 0 set J.lo: = O. At level I = 0
the differential equation (1.2) can be discretised by
J.lv: = J.lv-1 + JII Uo (J.lv) - Uo (J.lV-1)11~ + 1Ao (J.lv) - Ao (J.lv- 1W , (13.2.2)
which together with 2 0 (uo (J.lv), Ao (J.lv = 0 forms the augmented system for
Uo (J.lv) and AO (I1v)' The analogous parametrisation could be used also for the
levels I ~ 1. However, a better coincidence of Uo (J.lv), udJ.lv),'' Ul (J.lv) can be
achieved, if the difference of (Ul (J.lv)' Al (J.lv and (Ul- 1 (J.lv), Al- 1 (J.l. is perpen-
dicular to one of the branches ul(J.l) or Ul-1 (J.l) (cf. Fig. 13.2.1). More precisely,
for given Ut-1 = Ul-1 (J.lv) and At-1 = Al - 1(J.lv) the values ur and At are defined
as solutions of
2; (Ul' Al) = 0,
(13.2.3)
272 13. Continuation Techniques
volues Uk (pp) 10 be compuled

ovolues Uk(/'x),X<v, olreody compuled
Fig. 13.2.1. Parametrisation by Eq. (3)
where the ratio V1-1: m1-1 approximates dUI_ ddJ1.: dA I_ ddJ1.; e. g. V1-1: =
UI- 1(J1.v) -UI-1 (J1.v-1), m1-1: = AI- 1 (J1.v) - AI- 1 (J1.v-1) can be chosen.
According to Proposition 11.4.1, the scalar equations CPk (Uk' Ak) = 0 at the
coarser grids k < 1 should satisfy (11.4.4 a, b). Definition (11.4.8) yields
CPk (Uk' Ak): = <r' Plduk - Uk), V1-1) + m1- 1 (A k - Xk), k ~ 1 - 1, (13.2.4)
where Pik is the product PI,I-1PI-1,1-2 ... Pk+1,k of the prolongations
P = Pm,m-1: i5Jtm- 1 --+ i5Jtm Uk and Xk are the previously computed approxima-
tions (see nested iteration (5. A possible choice of the restriction r': i5Jt1 --+ i5Jt1_ 1
is r' = r inj from (3.5.1). Then, since r' P = I for any interpolation P = PI,I_ 1 , one
has r' Pik = PI-1,k and Eq. (4) can be rewritten
~k(Uk' .A.k):= <Uk - uk, vt*) + mr-1 (.A.k -Xk), k ~ 1- 1, (13.2.4')
where vt*: = pr-1,k Vr-1 (= rk,l-1 Vt-1 if r = p*).
13.2.2 Modified Nested Iteration

In the sequel we assume that .A. is a reasonable parameter (otherwise introduce
instead of A a new parameter J1. as described in 13.2.1).
Starting with given values UdA o), one can compute udA v) by applying
algorithm (5) for v = 1,2, ... (cf. Fig. 13.2.2):
..................................................................
modified nested iteration for solving 2'k(UdA v),A v)=O, O~k~1 (13.2.5)
..................................................................
comment compute Uo (A v ) from Uo (A v - 1) by some continuation method;
(13.2.5 a)
for k : = 1 step 1 untili do
begin UdA v):= Uk(Av-d + p[uk-dAv) - Uk-dA v- 1)]; (13.2.5 b)
for j: = 1 step 1 und) i do N MGM (k, Uk (A v ), 0; Av ) (13.2.5 c)
end;
...................................................................
NMGM( .. . ;),) is the nonlinear multi-grid iteration for Eq. (1) at),. Although
this algorithm is as easy to execute as the usual nested iteration (9.3.14), the
error of k is not only proportional to h~ but also to h~ LI)', where
LI),: = ),V - ),.-1 . (12.2.6)
The correction step (5 b) is used by Brandt [12, p. 306/7] in another connection
(cf. 13.2.4).
In 9.5.1 we introduced spheres OUt (Bk) for the single problem ..2' (u) = o.
The spheres out
(Bk) with centre Uk (),) correspond to L(u,),) = O. The radius Bk
must be small enough so that ~ ( .,)') is injective on (Bk). out
Proposition 13.2.1 (convergence of the modified nested iteration).
(i) For all u~ E out
(Bk), 0 ~ k ~ 1,)' ~ )'0' the iteration NM GM is assumed to
produce U~+ 1 with a uniform contraction number ( < 1:
Ilu~+l - Uk(),) 111ft ~ (1Iu~ - ud),) 111ft.
(ii) Suppose
11 Uk(),v-l) - ud)'v) - p[uk-d),v-l) - uk-d),v)]lllft ~ Cl h~ LI),. (13.2.7)
(iii) Define C2 by (9.5.13), with K from (7).
(iv) Choose i and LI), such that
(i(l + 2C2) < 1. (13.2.8 a)
Cl LI)'h~/[l - (i(l + 2C2)] ~ Bk' 1 ~ k ~ I. (13.2.8 b)
(v) Determine starting values k (),o) at ), = ),0 such that inequality (9) holds
for v = o.
(vi) Perform (5 a) so that inequality (9) holds for k = O.
Then the modified nested iteration (5) is well-defined and produces ap-
proximations k (),v), 0 ~ k ~ I, at all ),. = ),0 + v LI)', such that the errors
are bounded by
11 k(),v)-Uk(),v) 111ft ~ (i. Cl . LI), h~/[l-(i(l +2C2)], 0 ~ k ~ l. (13.2.9)
Proof We prove the inequality by induction over v and, secondarily, over k. By
(v) and (vi) we may presuppose inequality (9) for k-l (),v-l), k(),v-l), k-l (),v)
to prove (9) for k (),.). The error in the starting value u~: = u~ (),v) : =
k(),v-l( + P [k- d),v-l) - k-l (),v)] from (5 b) is
11 u~ - U k (),v) 111ft
= 11 {Uk(),v- 1) - Uk(),v) - P[Uk- 1(),v- 1) - Uk- 1(),v)]} + [k(),v- 1) - Uk(),v- 1)]
- p{[k-d),v-l) - Uk-l (),v-l)] - [k - 1 (),v) - Uk-l (),v)]} 111ft
I< (i Cl L I ) ' " (i Cl LI), I<
~ Cl hk LI), + 1 _ (i (1 + 2 C2) hk + 2 C20 1 _ (i (1 + 2 C2) hk - 1
~ [Cl + 1 _ (i~i1C~ 2C2) (1 + 2C2)JLI)'h~

= Cl LI), h~/[l - (i (1 + 2 C2)].
o unknown volues
o known volues
Fig. 13.2.2. Solution process of algorithm (5)
By (8 b), u~ E 0lJ~ (ek) forA. = . 1. Since iteration (5 c) is well-defined, Inequality

(9) follows also for k, completing the proof. D
Note that Proposition 13.2.1 guarantees that all results udA..) belong to the
same branch.
13.2.3 Modifications
The equidistant step size LI . 1. has been chosen to simplify the analysis. The error
estimate by 0 (hk 1..1.. - ..1..- 1 1) can still be proved if the previous step size
..1.. _ 1 - ..1.. _ z is not too large compared with ..1.. - ..1.. _ 1 (otherwise the approxi-
mations Uk (A._ d, which are involved in the computation of U k (..1..), are too
rough).
Remark 13.2.2. Suppose (i), (ii), (iii), and (8 a) from Proposition 13.2.1. Let
E (0, 1] satisfy
> (1 + Cz) (ij(l - Cz (i)
and define the maximum step width by
LlA. max := max edl - CZ,i - (1 + CZ),i/]/[C1h~(1 - Cz,i)].
1 ~k~l
Choose the A.-steps such that

(A..-1-A..-Z)~A..-A..-1 ~LlA.max for v=2,3, ...
Assurne that the errors of Uk (..1. 0 ) at . 1. = . 1. 0 and that the errors of Uo (..1..) at the
coarsest grid satisfy (10). Then algorithm (5) yields approximations with errors
bounded by
11 Uk (..1..) - udA..) 11'11 ~ Cl hk(..1.. - A.._lg i/[1 - C2 ,i - (1 + C2 ) ,i/]'
(13.2.10)
Proof Cf. Hackbusch [33]. o
If solutions at Ay = Ao + V LlA' are desired, it might happen that LlA.' is too
large to satisfy eondition (8 b). Then the ehoice LlA' eould lead to divergenee or
to eonvergenee to the wrong braneh, ete. However, it is not necessary to use a
smaller LlA < LlA' at all levels.
Remark 13.2.3. Let LlAo ~ LlAl ~ ... ~ LlA, be step sizes with LlAk+ dLlAk E N
and
LlAk ~ 8khkK[1 - (i(1 + 2C2 )]/C1
Algorithm (5) ean be modified so that approximations Uk (A) are eomputed only
at A = Ao + V LlAk (v E N). The step width LlA in (5 b) is to be replaeed by LlAk and
the loop over k stops as so on as Ay - Ao is not a multiple of LlAk' If, for example,
LlAk = 2k LlAo, the eomputational work is proportional to 1/LlA"
13.2.4 Frozen Truncation Error Technique
Let 7 be the restrietion from (9.3.9); e.g., 7 = 7k-l,k: OUk --. OUk- 1 may be
the trivial injeetion rinj' The produets of 7 are denoted by 7k': =
1)., k+ 1 7k+ I, k+ 2 PI - I, ,. The truneation error at level k (relative to level l) is
defined by
tkl (A): = ,p" (7k' u, (A), A) (13.2.11).
(cf. 14.1.2). By definition Uk (Ay): = 1)., u, (Ay) is the solution of ,p" (Uk' Ay) =
tk,(Ay). The so-ealled 'frozen-. teehnique' of Brandt [6], [12] is based on the
equation
,p" (Uk' Ay) = tkl (A y - 1), (13.2.12)
where the eorreet right-hand side t k , (A y ) is replaeed by the truneation error
t k,(AY -l)' whieh ean (approximately) be eomputed from the data at Ay - l ' Let
Uk(. y ) be the solution of Eq. (12). Under suitable smoothness eonditions one
ean prove
(13.2.13)
Note that UdA approximates u, (A y ) rather than Uk (A y ). If the right side in (13)
y)
is small enough, one might omit the eomputation of Uk+ 1 (A y ), , U,(Ay). If

U,(A y ) is desired, the following modifieation of algorithm (5) ean be applied:
comment U, (A y -l) is given; tll(Ay-l): = 0;
for k: = 1- 1 step - 1 until 0 do
begin Uk(Ay- 1 ):= 7uk+dAy-l); tk,(Ay-l):= 'p"(Uk(Ay-l), Ay -l) end;
comment eompute approximate solution Uo(Ay) of 20 (uo (A y ), Ay ) = to,(A,y-l);
for k: = 1 step 1 untH 1 do
begin I1k(Ay): = Uk (Ay-l) + ft (Uk- dA y) - Uk- dA y-l;
for j: = 1 step 1 until i do N MGM (k, Uk (Ay), t k , (Ay-l); Ay)
end;
13.3 Parabolic lnitial-Boundary Value Problems
The simplest implicit time-discretisation of the parabolic problem

ou/ot + .P(u,t) =0 for t ~ 0, XEQ, (13.3.1 a)
u(x,O) = uo(x) in Q, (13.3.1 b)
u(',t) =fdt) on r, (13.3.1 c)
leads to the sequence
UI(',t) + Lltl.!t;(UI(',t),t) = UI(',t - Llt,) for t = Llt 2Llt,,...
"
(13.3.2)
of elliptic problems. As in Eq. (1.1) the functions U,(X' t) depend smoothly on
the parameter t, and again algorithm (2.5) applies. A more general approach is
described by Hackbusch [35].
Another algorithm of Brandt [12] is based on the frozen truncation error
technique and involves Uk (x, t.) only at grids as coarse as possible (i. e. Uk ( , , t.)
is not necessarily computed at all levels k = 0, ... , 1). However, this variant is
restricted to problems with U ( , , t) -+ Uoo (t -+ 00), since, in contrast to problem
(1.1), errors at previous times t o, ... , t.- 1 generate an error at t., which cannot
be removed by furtheriterations at t .
14. Extrapolation and Defect Correction Techniques
14.1 Extrapolation
14.1.1 Richardson's Extrapolation
In 5.4 we have already described the use of Richardson's extrapolation from

hk - l ' hk - 2 to hb to provide sufficiently accurate starting iterates in the nested
iteration (5.4.3).
The usual extrapolation from hl _ 1 and hl to the limit (i. e. to h = 0) reads
, . - rUI
UI-l- - + [hK1-1 jh IK- 1] - 1 (-rUI - UI-l ) , (14.1.1)
where f: 0/11 -+ 0/11-1 is a suitable restriction (e. g. f = r inj if 0 1_ 1 C ( 1). K is the
consistency order. The accuracy of the extra pola ted value UI_ 1 is described in
Lemma 14.1.1 (Richardson's extrapolation). Let U be the exact solution and
assurne that Rk : 0/1-+ O/Ik satisfies f RI = RI - 1. The extrapolated value UI - 1 from
(1) is of order T > K, i.e.
UI-l = RI- 1 U +0 (hi-l)' (14.1.2 a)
if there exists an asymptotic expansion
Uk = Rku + h~Rke + o (hk), T > K, (14.1.2 b)
of the global error for k = 1 - 1, I.
Note 14.1.2. To obtain order h'-1 from approximations UI-t, UI, their iteration
errors have to be at least of the same order. Such values can be obtained from
the nested iterations of 5.4.
Unfortunately, assumption (2 b) is often violated. It requires a regular dis-
cretisation method at both levels I, I - 1.H e. g. irregular difference schemes are
used ne ar the boundary, the corresponding error must be of order hi. (cf.
Pereyra-Proskurowski-Widlund [1], Marchuk-Shaidurov [1, 4.2.1) and the
references given therein). Nonetheless, even a finite element solution with ir-
regular triangulation admits an extrapolation (1), ifthe triangulations i-I and
278 14. Extrapolation and Defect Correction Techniques
:fi are suitably constructed (cf. Lin Qun-Lu Tao-Shen Shumin [1]). Since ex-
pansions Uk = Rk (u + h~l el + h~2 e2) + 0 (hk), "I < "2 < t, are difficuIt to ob-
tain, we shall not consider extrapolations of higher order.
14.1.2 Truncation Error Extrapolation
A very similar extrapolation technique is based on the truncation error

t k : = 54 (Rk u) (where U is the continuous solution) (14.1.3 a)
and on the relative truncation error
t kl : = 54('kIUI), k < 1 (with'kl RI = R k) (14.1.3 b)
(cf. Brandt [5, 2.3]). Because 2 (u)
= and 2!(UI) = 0, we may rewrite (3 a, b)
tk = 54(Rku) - R k 2(u), tkl = 54 ('klUI) - rkl 2!(u l) (14.1.3c)
Assuming expansion (2 b) one expects from (3 c) that
tk = h~ R k t + 0 (hk), tkl = (hk - hf) R k t + 0 (hk), (14.1.3 d)
where t = - Le, L:= 2(u). Using (3d), one can approximate t,- 1 from t' -l,l:
(14.1.3 e)
Lemma 14.1.3 (truncation error extrapolation). Let UI and UI_I be the discrete

solutions of 54 (Uk) = (k = 1- 1, I). Compute the relative truncation error
t l - 1 ,1' Extrapolate i l _ 1 according to (3 e), and solve
.'l/-dUI-l) = tl-I' (14.1.3 f)
Then UI - 1 = RI - 1U + O(h/- t ) is expected.
For apreeise proof one has to specify a suitable norm 11 11.9" (so that (3 d)
becomes 11 t k - hkR k t 11.9" ~ C hD and formulate suitable assumptions on the
inverse of 54.
Note 14.1.4. If 54 (u k ) = L k Uk - f,. is affine, Richardson's extrapolation and the
truncation error extrapolation yield the same resuIts.
An obvious implication of Note 14.1.4 is
Note 14.1.5. The truncation error extrapolation requires the same assumptions
on an asymptotic expansion (2 b) as Richardson's extrapolation.
14.1.3 -r-Extrapolation
The computation of UI_ 1 from (3 f) requires the (approximate) solution ofthree

equations: 2!-tCUI-t) =0, 2!(u l) =0, 2J-dul-d= tl-I' Instead, one can
apply the following iterative process which involves an extrapolation of the
14.1 Extrapolation 279
form (3 e) in each iteration step. This iteration is proposed by Brandt [12,
p. 274] and called the r-extrapolation.
................................................................. .
r-extrapolation process applied to 21 (UI) = 0, 1 ;;;; 1 (14.1.4)
..................................................................
procedure EXTRAPOLATED NMGM(l,u); integer I; array u;
begin integer j; array U, v, d;
u: = fII(v l (u; 0); (14.1.4 a)
u:= r* u; (14.1.4 b)
d:=21-1 () - r * 21(u); (14.1.4 c)
d:= (1 - hi/hi_1)-1 * d; (14.1.4d)
v:= u; for j:= 1 step 1 until y do NMGM(/-1, v,d); (14.1.4 e)
u:=u+p*(v-) (14.1.4f)
end;
requals fI-1,1 from (3b).

Note 14.1.6. Without extrapolation (4d), algorithm (4) would coincide with
NMGM(l,u,O) from (9.3.13) for the special choice V2 = 0 (i.e. no post-
smoothing).
In general, UI = 21- 1 (0) is not a fixed point of iteration (4). According to
9.5, it suffices to study the two-grid version of(4), where line (4e) is replaced
by
v:= 21=Hd). (14.1.4e')
Further, the nonlinear iteration may be replaced by the linearisation about the
limit value a/o the existence of which is still to be proved. The linearisation
coincides with algorithm (4a-d, e', f) applied to the linear equations
!lk (Uk) : = L k Uk - Ik = O. In this case the iteration becomes
two-grid r-extrapolation process applied to the linear equations

L I- 1UI- 1 = h-1' LI UI = h (14.1.5)
i := filM (ui, h); (14.1.5 a)

dl - 1 := (1 - hi/hi_1)-1 [(LI-Jj - h-1) - r(Lli - h)]; (14.1.5 b)
uj+1:= j + p[Li-\ (h-1 + dl - 1) - rD; (14.1.5 c)
Lemma 14.1.7. Suppose that fII(vl(u/oh) = slvl ul + T,(vlh. Iteration (5) can be
written as
(14.1.6 a)
where
M; = C; S,tvl, C; = I - p[r - L,_\ er(L'-1 r - r L,)] (14.1.6 b)
er = (1 - M/hi_l)-l, (14.1.6 c)
9, = C; T,<vlfi + pLI_li (fi-I + er(r li - li-tl] (14.1.6d)
From the representation
MI = [er(L,1 - pL,_11 r) + (1 - er)(I - pi')L,I]L,S[Vl (14.1.6 e)
one obtains
Proposition 14.1.8. In addition to the smoothing property (6.1.7 a-c) and the
approximation property (6.1.8), suppose
11(/ - pr)L,1 II<iI"''' ~ CJhf. (14.1.7)
Then the two-grid convergence holds as in Theorem 6.1.7: There exist numbers
y and Ti> 0 such that
11 M; II<iI ... <iI ~ (er CA + (er -l)CJ )'1(V) < 1 (14.1.8)

for aIl l' ~ v < v(h,), if h, ~ Ti. er is defined by (6 cl.
Note that Inequality (7) already occured in (6.3.29 cl. By (8) the matrix I - M;
is non-singular, and Lemma 14.1.7 implies
Remark 14.1.9. Assurne 11 M; II<iI ... <iI < 1. Iteration (5) converges to
lim ui = u, = (/ - MI) - I 9, (14.1.9)
i-+oo
with M; and 9, from (6 b-d).

It remains to study the accuracy of U,. We introduce the errors
8,:= 12, - ur, 5,:= , - ur, where ur = R,u, ,:= 9[(vl (u"li).
N~te that lim l = , differs from 12,. Consider iteration (5) for u\ = ui+ l = 12,
i-+ 00
and l = ,. (5 b) and (5 c) yield
12, = I - P [rl - L I_\ (li-I + d,-!l]
= , - p lt--\ [L'-l r, - li-I - d,_I]
= ,- pL I_\ [(1 - er)(L'-1 r, -li-I) + err(L,u, - li}].
Since L,, - li = L,ur - li + L,i), = t, + L, i), and L,_I r, - li-I =
L , - I Ur-l - li-I + L'_I r5, = t'_1 + L/- I r5, because of rur = rR/u =
R/_ I U = ur- I, the error 8, = u, - ur equals
8, = u, - ur - p L,_ll [(1 - er}(t,- l + L,-I ri),) + er r(t, + L,i),}]
={I-pLI-\[(1-er)LI_lf+errLI]}51-pL,_\[(1-er}t,_l +errt,]
=C;i),-pL I_1d(1-er}t,_ 1 +errt,] (14.1.10a)
14.1 Extrapolation 281
with Ci from (6 b). From
~ = l - U( = fI/(V) = S1") ul + 1/(V) fi - U(
(UI> fi) - U(
= SlV) ul + (1 - S?) L fi - U( = (I - SlV)(ul - un
, 1 + SI(v) (UI - un
= (1 - SiV)(ul - un + SiV) 8 1 (14.1.10 b)
(cf. (1.3.6)) we conclude that
81 = Ci Siv) 81 + Ci (I - Si V) [UI - U(] - p L , _\ [(1 - 0) t l - 1 + (J r tl ]
= Mi 8 1 + VI + wl , (14.1.10c)
where
VI = Ci (1- SiV)(ul - un, WI = - pL,_lI [(1 - (J) tl - 1 + (J r t l ]. (14.1.10d)
It suffices to study VI and W z because of
Lemma 14.1.10. Let 11 Mi 11", .... ", ~,< 1 (cf. (8)). Then (10c) implies
118, 11", = Ilu,- Rlull", ~ (1Ivzll", + Ilwzll",)j(1 - O. (14.1.11)
If t k = h'k Rk t + 0 (hk) (cf. (3 d)), the following inequality should hold:
11 L ,_\ (r t l - (hl'/hi'-I) tl-l)ll", ~ Cr hL r > K. (14.1.12)
Lemma 14.1.11. Suppose (12) and Ilpll"' .... '" ~ Cp (cf. (7.1.2)). Then
11 wzll", ~ Cw h1, Cw : = Cp Cr (J with (J from (6c). (14.1.13)
Below we shall discuss the inequality 11 viii", ~ Cv hL which may be written as
(14.1.14)
.
smce u, - UI* = L-I l (I"
VI - L IU I*) = - L-I 1 t l an d T,(v)
I = (I - S(V)
I L- l
I L em-
mata 14.1.10-11 yield
Proposition 14.1.12. Assurne f RI = RI - 1 , 11 Mi 11"' .... '" ;;; , < 1 according to (8).
Suppose that the truncation errors tl> t l - 1 satisfy (12) and (14). Then the
r-extrapolation process (5) converges to a limit UI with
(14.1.15)
It remains to study Inequality (14).
Note 14.1.13. Let 11 11", be the Euclidean norm 110. Inequality (14) holds with
r= K + 2m if
11 - p L , _\ r Lzlo .... o ~ C, (14.1.16 a)
I1/(V) 10""0 ~ Cht m , (14.1.16b)
Itll o ~ Chi'. (14.1.16 c)
Inequality (16 a) follows from the approximation property (6.1.8):
IIL , l - pL , _\ rll"' .... ~ CAh't, and from IIL,II .... '" ~ CLhl-a. {smoothing
property (6.1.7) for V = 0, so that S[v) = I). We mayaiso derive (16 a) from
Lemma 7.1.5 with v = 0 and from IIp 1 ~ Cp
Inequality (16 b) is evident for the damped Jacobi iteration (3.3.7') because
1/ = ())I hr m I, 1/(V) = (1 + SI + ... + Sr - 1) 1/. In the case of the Gau-Seidel
iteration the matrix 1/ equals (DI - AI) -1, where LI = D I - Al - BI (cf. (3.3.4.
Assuming 1(1 - DI- 1 A I )-llo<-o ~ C, we obtain Inequality (16 b) from (6.2.36):
IDI-1Io<-0 ~ c1hl m
Concerning an estimation of VI from (14) with r > K + 2m, we refer to the
discussion of inequality (3.20') in 14.3.3.3.
I is the limit of the results ; after the smoothing step (5 a). Although
I =t= U" this value has the same order of accuracy.
Corollary 14.1.14. Assurne (15) with r ~ K + 2m, 11 11", = I '10, (16b, cl, and
(6.2.17): IS[v)lo+-o ~ Cs(v). Then
Ill- Nlull", ~ C(v)hf (14.1.17)
Proof (lOb) implies I- Nlu = 51 = S[v)81 - 1t)tl o
14.2 Defect Correction Techniques
The drawbacks of the extrapolation methods of 14.1.1- 2 are that: (i) the
accurate solution ul _ 1 is defined on the coarse grid 0 1_ l' (ii) the asymptotic
expansion (1.2 b) requires a certain regularity of the discretisation process. A
more flexible method is the defect correction technique, which yields an im-
proved accuracy on the fine grid 0 1 , A particular form of the defect correction
technique is the deferred correction method (cf. Fox [1]), which can also be
applied to elliptic problems (cf. Pereyra [1], [2]). In this subsection we recall the
defect correction process. Its combination with multi-grid ideas is presented in
14.3.
14.2.1 Tbe Iterative Defect Correction
Let
(14.2.1 a)
be a given discretisation of a linear problem Lu = f To improve the solution
(1 a) we shall use a more accurate discretisation
T' ,
LIUI= fi'
I (14.2.1 b)
without solving the second system (1 b). For instance, for the Poisson equation
we may choose (1 a) to be the five-point scheme (consistency order: 2) and (1 b)
to be the Mehrstellenverfahren (3.1.17) (consistency order: 4). In the latter
14.2 Defect Correction Techniques 283
case not only the matrices L, and L'" but also the right-hand sides f, and f,'
differ.
In general, it is assumed that: (i) problem (1 a) is relatively easy to solve, (ii)
the respective consistency orders of (1 a) and (1 b) are K and K ' with K < K '
Only the solution of Eq. (1 a), with different right-hand sides, is required
in the
iterative defect correction process (14.2.2)
,.= L-l
U D. , J"r (14.2.2 a)
ul+ 1: = ul - Li 1(L', ul - f,') for i = 0, 1, ... (14.2.2 b)
Lemma 14.2.1. Iteration (2) converges to the solution u; of Eq. (1 b) if and only
if
(14.2.3)
Note 14.2.2. (a) A necessary condition for convergence is the non-singularity of
the matrix L',.
(b) If L, is stable, i.e. IILi111<fl . . j> ~ C for alll ~ 0, and ifiteration (2) has
a contraction number , < 1: 11 I - Li 1L~ 11<fl . . <fl ~ , < 1, then L', is also stable.
Proof (a) Denote the iteration matrix by M,: = I - L , 1 L',. If [;, is singular,
choose v, =t= 0 with J), v, = O. Since M, v, = v" {! (M,) ~ 1 folIows.
(b) The representation Lt 1 = (I - Mr 1 L , l proves that IIL/ 111<fl . . j> ~
Cj(l - O. 0
If one does not require L, u, = f, to be a consistent discretisation of Lu = f,
any iterative method for the solution of Eq. (1 b) can be cast in the form of
iteration (2) (cf. Hemker [5], [10]).
The defect correction principle is not restricted to linear problems. Replace
(1 a, b) by 2, (u,) = 0 and 2,' (u!) = O. Nonlinear counterparts ofiteration (2) are
U?:=2,-I(O); ul+ 1 :=ul-[2,-I(2,/(ul-u?] (14.2.4a)
and
u?:= 2,-1(0); ul+ 1:= 2,-l(2,(ul) - 2,/(ul)). (14.2.4 b)
Both (4 a) and (4 b) coincide with (2) when 2, and 2,' are affine mappings. For
further details and references see Stetter [1].
14.2.2 The Defect Correction as a Finite Process
One need not compute the limit u; of iteration (2). After a certain number i of
iterations one obtains an iterate ul which already has the same order 0 (hn of
accuracy as u;. In general, one expects that the iterate ul is of order
min {K ' , (i + 1) K}, where K(K /) is the consistency order of L,(L/,). For the precise
statement we need scales 1lIJ', ff' of Banach spaces and their discrete analogues
1lIJ;, ~'. Let R" Ri, and RI be restrietions:
R I : ffa ~ fft, Ri: ffa ~ fft, RI : llIJa ~ IlIJj
such that the right-hand sides of Eq. (1 a, b) are given by
fz = Rzf, fz' = R; f (14.2.5 a)
Proposition 14.2.3. Let SE Rand i ~ 0 be fixed. Suppose (5 a) and (i) to (iii):
(i) consistency of LI and VI with the respective orders" and ,,':
IIRIL- LI Rzll,-r- 2 ... ",ah/m ~ Chf for (j = S + i"jm, (14.2.5 b)
IIR'L
I -
L'R-II
I 1'-1'
-2
... "'.
<Chmin(K'.(t-a)m)
= I
for = S, S + "jm, ... ,s + (i

(j -1)"jm and 1: = S + (i + 1)"jm, (14.2.5c)
where 2m is the order of the differential operator Lu;
(ii) relative consistency of LI and VI:
11 I:, - Lzll,-r- 2 ... ",yh/m ~ C hf for (j = s, s+"jm, ... ,s +(i + l)"jm (14.2.5 d)
(iii) (j-regularity of LI (cf. Definition 6.3.31):
IILi111"'r ... ,-r-2 ~ C for (j = s,s + "jm, ... ,s + i"jm. (14.2.5 e)
Then the jth iterate ul of the iterated defect correction (2) satisfies
11 ul - ut 11"'1 ~ Ci hj"in{K'.(i+ 1)K) 11 U 11 ",.+(i+ l)K/m, (14.2.6)
where ut = R I u is the restriction of the solution u of Lu = f.
Proof Use the representations
u? - ur = L I 1 (R I L - LIRI)u,
ul - ut = ui- 1 - ur - L I 1 (L'lui- 1 - fz')
= L I 1 (LI - Lj)(ui -1 - ur) + L I 1 (Ri L - L'I R I) u (i ~ 1)
and prove the assertion by induction over i. o
As a consequence the optimal order of accuracy is obtained as soon as
- 1. Assumption (5 e) implies the stability of LI; however, in contrast
j ~ ,,' j"
to Note 14.2.2, neither the stability nor the regularity of are required. L,
14.3 Combinations of the Multi-Grid Method
and the Defect Correction Principle
14.3.1 The Multi-Grid Algorithm as a Secondary Iteration
Given a multi-grid program for solving LI UI = fz (or 21 (UI) = fz in the nonlinear

case) the exact solution in (2.2 a, b) (or (2.4 a, b can be replaced by a certain
14.3 Combinations of the Multi-Grid Method and the Defect Correction Principle 285
number j of multi-grid iterations. To obtain sufficiently small iteration error,

this number j has to satisfy
(i ~ Chf,
where ( is the contraction number of the multi-grid iteration.
Regarding iteration (2.2 b) or (2.4 b) as an infinite process we may replace
L I I or g;-l by one multi-grid step. In the general nonlinear case of (2.4 b)
we obtain
U,:= ui;
d, : = g; (U,) - g;' (U,); (14.3.1)
NMGM(l, u" d,); comment multi-grid process for g;(U,) = d,;
ui+ l := U,;
Lemma 14.3.1. Let ( be the contraction number of NMGM, while q is the
contraction number of the iterated defect correction process (2.4b). The com-
bined process (1) has the contraction number ii ~ ( + q + (q. If ii < 1, itera-
tion (1) converges to the solution of g;'(ul) = O.
Proof (cf. Auzinger-Stetter [1]). Let i+ l := g;-l (d,) be the exact result of
(2.4 b) applied to ui. The Lemma is proved by
"ui+ l - u;lI", ~lIi+ 1 - ui+lll", + lIi+ 1 - u;lI",
~ ( 11 ui - l + I 11 '" + q 11 ui - u; 11 '"
~ ( + q) lIui - u,lI", + (lIi+ 1 - u,lI",
~ ( + q + (q)lIui - u'II",. o
14.3.2 The Defect Correction with Additional Smoothing
By Lemma 14.3.1, iteration (1) is fast only if both the multi-grid iter-
ation and the iterated defect correction (2.2) are fast. Unfortunately,
11 1 - L I I L'd'''' .... '" ~ q ~ 1 cannot be expected in general. The consistency
implies (1 - L I I L',) V, ~ 0 only for smooth V" We are in the same situation as
with the coarse-grid correction (1 - pLI_lI r L,)V" which yields a small residual
only if V, is smooth. Therefore, each step of iteration (2.2 b) or (1) should be
preceded by a smoothing sttp. Let .9/' be a smoothing iteration with respect to
g;' (u,) = O. The resulting iteration reads
U,: = .9/'<1,) (ul, 0); (additional smoothing w.r.t. g;' (u,) = 0) (14.3.2a)
d, := g;(U,) - g;'(U,); (14.3.2b)
NMGM(l, u d,); (multi-grid process w.r.t. g;(U,) = d ,) (14.3.2c)
"
ui+ l := U,; (14.3.2d)
This iteration proposed by Auzinger-Stetter [1] requires no change in the
multi-grid program. In the linear case of Eqs. (2.1 a, b) iteration (2a-d) is
equivalent to
I:= 5{'<!')(ul,fi'); VI: = 0; MGM (I, v" L', , - fz'); ul+ 1 := I - v,.
(14.3.3)
Remark 14.3.2. (i) u; = L'I- 1 fi' is a fIxed point of iteration (3), provided that
5{' (u;, fi') = u;.
(ii) The iteration matrix of iteration (3) is given by
(14.3.4)
where S;<!') and M, are the iteration matrices of 5{'<!') and MGM, respec-
tively.
Proof (i) is obvious. (ii) The result of MGM (...) with starting value v!O) = is
v,:= M10 + N,(L'lul - fz').Hence, the iteration matrix is (I - NIL',)S;<!'). Using

NI = (I - MI) L , 1 (cf. (1.3.6 we obtain the proof of the Remark. 0
To prove convergence, the fIrst term in (4) can be written as
(L'I -1 - L , 1 ) 1:, S;<!'). The inequality
IIL; -1 - L,llI'f(+-~ ~ Cl hr
is similar to the approximation property, while
11 L', S;<!') II~ +-'f( ~ ri' (Jl.) h,-a
coincides with the smoothing property of 5{'<!'). The second term in (4) can be

split into 11 M,II'f( +- 'f( 11 L , l L'I S;<!') 1I'f( +-'f(. Assume 11 M,II'f( +-'f( ~ , is the multi-
grid contraction number) and 11 L , l L', S;<I') 11'f( +-'f( ~ C2 Then Cl 11' (Jl.) + C2 Cis
an upper bound of the contraction number of iteration (3).
A further iteration method proposed by Auzinger-Stetter [1, p. 338]is algo-
rithm (2) with 5{'<!') replaced by the smoother 5{<!') with respect to the equation
!ll (UI) = 0, which is also used inside the multi-grid iteration. In the linear case
this version reads thus:
MGM (I, V" L'I UI - fi'); ul+ l := , - VI.
(14.3.5)
The proof of the following result is left to the reader:
Remark 14.3.3. (i) The iteration matrix corresponding to (5) is given by

M; = [I - (I - MI)L, l L'I]S/Jl), which results from (4) by replacing SI by
SI
(ii) Since u; is not a fIxed point of 5{<!') , u; is also not a fIxed point of iteration
(5). The fIxed point of (5) is represented by
121 = u; - (I - M;)-! [I - (I - M,)L, ! L'I](1 - S/!')(u; - UI).
(iii) The error 1112, - u; 1I'f( is determined by 11 (I - S/!'(u; - UI) 1I'f( =
111,<!') LI (u; - u,) 1I'f(. For 1/<!') see (1.16 b).
14.3.3 The Defect Correction Inside the Multi-Grid Process
14.3.3.1 Algorithms
The algorithms from 14.3.2 have performed the defect correction outside the
multi-grid process. The obvious advantage of this is that standard multi-grid
programs can be applied. On the other hand, the outer and inner smoothing
iterations require more computational work than is necessary. The defect
correction process can be combined with the coarse-grid correction
U,I--+ U, - P Li-1l r d, by replacing the defect d, = L, u, - J; by d,: = V, U, - J;' (cf.
Brandt [9], [12], Hackbusch [26], [30]). The resulting iteration can be written
,.-.7,
U~ - <,p(v) (u I,
i jj)'
I, (14.3.6 a)
d, - 1 := r * (L', * 11, - J;'); (14.3.6b)
V,-i:=O; for j:= 1(1)y do MGM(l-1,VI-1,d , - i ); (14.3.6 c)
(14.3.6d)
where MGM is the usual multi-grid process (4.1.1). Specifying Vi and V2 in
MGM by Vi = V and V2 = 0, we can rewrite algorithm (6) as
..................................................................
multi-grid iteration for L, u, = J; with defect correction (14.3.7)
by L',u; =J;'
..................................................................
procedure MGMDC (k, u,f); integer k; array u,f;
comment k is restricted by k ~ I,
I> 0 is the level number of the finest grid;
if k = 0 then u:= Li/ *felse (14.3.7 a)
u: = y/(v) (u, f); (14.3.7b)
d:= r * (if k = 1 then L', * u - J;' else L k * U - f); (14.3.7 c)
v:= 0; for i:= 1 (1)y do MGMDC(k - 1, v, d); (14.3.7 d)
U:=U-p*v (14.3.7 e)
end;
..................................................................
Remark 14.3.4. The same modification can be built into the nonlinear multi-
grid iteration NM GM. For that purpose replace statement (9.3.12d) in algo-
rithm (9.3.12) by
d:= r * (if 1 = lmax then :t"max(u) - felse g:(u) - f). (14.3.8)
The analogous replacement for g: (u) - f can be used in (9.3.13c).
In general, neither u, = L , i J; nor u; = L"- 1 J;' (provided V, is non-
singular) is a fixed point of iteration (7). However, we shall show that the
iteration converges to a fixed point U, with 11 U, - ur

11"11 = 0 (hi"in(I<', 1<+2 m),
where K and K' are the consistency orders ofthe discretisations (2.1 a) and (2.1 b)
respectively.
14.3.3.2 Convergence Analysis of the Multi-Grid Iteration

with Defect Correction
Lemma 14.3.5. Let u, = Li l f, be a fixed point of 9';'(V) and denote the iteration
matrix ofthe (usual) multi-grid iteration at level I - 1 by M,-I' Thus, iteration
(7) at level I can be represented by
(14.3.9 a)
where
M; = M; (v) = [1 - p(1 - Ml-I)Li-\ r L',]S{-) , (14.3.9b)
g, = g,(f"f,', v) (14.3.9c)
= [1 - p (1 - Ml- 1) Li-\ r 1:,] [1 - S{-)] Li f, 1 + P (I - Ml- 1) Li_lI r f,' .
From (2.5 d) [with K = 0(, a = s"IIm] and (2.5 e) [with a = (s,j> + 2)m and
a = s"IIm] one concludes
(14.3.10)
where 11 11"11 (11 11,j is the norm ofOUr<il (ffrs$) and 0( S"II + 2)m accord-
= (S,j> -
ing to Eq. (6.2.9). Note that 0( is identical with 0( from the smoothing and
approximation properties.
Proposition 14.3.6. Suppose (10). lJnder the conditions ofTheorem 7.1.2 with
smoothing property (6.1.7 a) also holding for v = 0 (Le. Si V ) = 1), the multi-grid
convergence stated in Theorem 7.1.2 remains valid for iteration (7):
IIM;(v) 11"11_"11 ;;;; C1'/(v) < 1, (14.3.11)
if l' ;;;; v < v(h 1 ), h 1 ;;;; Ti.
Proof By (9 b),
M; = [1 - p (1 - Ml- 1) Li-\ r L,] Si V)
+ p (1 - Ml- 1 ) Li-\ r L, [Li 1 (L, - L~) Li l ]L, Sr).
The first term is the usual multi-grid iteration matrix M" while the second term
can be estimated by
IIp(I - Ml- 1 )Li-\ r L, 11"11_"11 11 Li 1 (L, - L',)Li l II"II-,j> 11 L,S,(V) 1I,j>-"II
;;;; IIp1I<ft-<ft(1 + IIMI-II1~_"II)IILi-\rL,II<ft_"IICI1'/(v).
Using (7.1.2) and Lemma 7.1.5 [with v = 0] we obtain 11M; 1I<ft-<ft;;;; C1'/(v). D
Note 14.3.7. (i) In general, 0( from (10) cannot exceed the consistency order K of
L" provided that 11 11"11 = 11 1I,j>.
(ii) The convergence result stated above involves the inverse of L, but not
of L',. Convergence holds even when L', is unstable or singular (cf. Note 14.2.2).
(iii) Thanks to (11) there exists a unique limit u, = u,{v):= lim uj of the
. . j-+oo
Iterates uf of algorithm (7). u, is the fixed point of iteration (7) and can also be
characterised by means of (9 b, c):
(14.3.12)
14.3.3.3 Error Estimates of tbe Limit ",

Let ut = R, u be a restriction of the continuous solution u = L - 1 f onto the
grid Q,. From (12), (9 c) and
[I - M{] ut = [I - P (l - Ml- 1) Li--\ r L',][I - Sf V )] ut
+ p{l- Ml- 1 )L,-1 r L1ut
one obtains the following representation of the error u, - ut.
Lemma 14.3.8. Suppose (11). The error u, - ut = u, - R, u can be decomposed
into
u,- ut = [I - Mir I {v, + w,) (14.3.13 a)
with
v, = [I - P (I - Ml- 1 ) Li-\ r L',][I - Sf V )]L/ 1 (!c - L, ur), (14.3.13 b)
w, = p{l- Ml-I)L/_\ r{fc' - L',un (14.3.13 c)
The equivalent of Lemma 14.1.10 is stated in

Lemma 14.3.9. Let IIMill",+--", ~,< 1 (cf. (11)). Then (13) implies
11 u, - (11 v,ll", + 11 w,II",)/(l - O.
u( 11", ~ (14.3.14)
The decomposition into v, + w, separates the influences of the defects
!c - L, ut and fc' - V, ut . w, can be expected to be of order h;', where K' is the
consistency order of L', u; = fc':
Lemma 14.3.10. Suppose 11 11", = 11 II",~ and let s ~ r ~ S + K'/m. In addition
to the conditions of Proposition 14.3.6 assume
IIL/III"'f+--$'r2 ~ C, IIL,ut - fc'11$'r 2~ Ch\t-s)m Ilull'fl<' (14.3.15)
Then inequality (16) holds:
11 will", ~ C h\t-s)m 11 u 11",<. (14.3.16)
Proof The first factor in the right-hand side of

11 w,ll'fI ~ IIp (l - Ml- I ) L/_\ r L,II", +--'" 11 L/III'flf +-- $'r 1 LI ut - fc' 11$'(-
2 2
is bounded by a constant as already used in the proof of Proposition

14.3.6, 0
A straight-forward analysis yields the order h;m+Jc of V" where 2m is the

order of the differential operator and K is the eonsisteney order of L,u, = J,.
Again, we exploit inequality (1.16b) of 1/(Y) , whieh equals
(1+S,+ ... +S,.-1)1/ if !If(Y)(U"J,)=Stu,+1/(v)J,. We reeall that
1/(V) = (1 - S/V Li 1 and Ti = (1 - S,) Li 1 (cf. (1.3.6.
Lemma 14.3.11. Let s + 2 ~ 't" ~S + 2 + Klm. Suppose 11 11", = 1 II"'t and

11 1/(V) II"'f-jOt ~ CT(v)h;m, (14.3.17 a)
11 L, uf - J, 11 jOt ~ C hl,-s-2)m 11 U11"'<+2 (14.3.17 b).
Then, under the eonditions of Proposition 14.3.6, Inequality (18) holds:
Ilvdl", ~ C(v)hl,-s)m Ilull",2+<. (14.3.18)
Proof. Write V, as
V, = AB(fr - L, ur), A:= 1 - p(1 - Ml- 1 ) Li_lI r L"
B:= 1/(V) = (I - St L,l.
V
(14.3.19)
A equals Mi (0) (i.e. Mi for v = 0, cf. (9 b. Proposition 14.3.6 yields
11 A 11", ... ", ~ C. Together with (17 a, b), Inequality (18) results. 0
The previous results are summarised in
Proposition 14.3.12. Let 11 11", = 11 11",;. In addition to the eonditions of
Proposition 14.3.6, whieh ensure 11 Mi 11",+-", ~ , < 1, assume (15) and (17a, b)
for 't":= S + min{2m + K, K'}/m. Then
R,u 1I'ft ~ c(v) hj"in(2rn +JC,JC'I11 U 1I'ft'+~'n(2+K1~.K'I~},
1112, - (14.3.20)
where u is the eontinuous solution of Lu = f.
sisteney order K' > K, when K' ~ K + 2m. L,

From this result we eonclude that iteration (7) leads to the higher eon-
is not required to be stable. The
restrietion K' ~ K + 2m is not quite sharp. In the proof of Lemma 14.3.11 we
used an estimation, whieh eoineides with
11 v,II", ~ 11 A 11"'1 "'' '111 B 1I"'I"'jO{ 11 L,uf - J, 11 jOt
when t = s. It is reasonable to expeet IIA II"'f+-"'1 = o (hjt-s)m) for S ~ t ~ S +
Klm. In addition, were 11 B 1I'ft1+- jOt = 0 (hIrn) and 11 L, ur -
J, 11 jOt = 0 (hf), one
would obtain 1112, - R,ull", = o (hj"lD(2m+ 2",K', which is also the result ofthe
- I I
loeal mode analysis. However, in general, one obtains no essentially better

result than
1112, - R,ull",p ~ C(v,e)hj 11 U 11 "'<Im for
't" = min {2m + K + e, K'}, where e < t. (14.3.20')
The restrietion e < t is caused by the estimation of B. Consider e. g. the Jaeobi
iteration, where B = rohl m 1. 111 ""'1+-9': ~ C(t) holds only for tm< t, ifOUI and
jt are the respective discrete analogues of'fl t = H~m(o) and!F t = Htm(o). We

i.
recall that HCI (0) is continuously embedded in Hg (0) only if (J < The restric-
i
tion e < depends on the Dirichlet boundary condition. For Neumann bound-
i.
*
ary value problems one would expect e < These inequalities are almost
sharp. An example with Iv,lo = Chr-5 + o (ht) (c 0,3.5 = 2m + K + 0.5) is
given by Hackbusch [30].
14.3.3.4 Extensions
Let l be the intermediate result g,'(') (ul, j,) after the pre-smoothing process.lts
limit is
, = g,'(V) (14" j,).
From
, - ut = SI
14, + (1 -
Y) SI Li 1 j, -
Y
ut
= S/y) (141 - ut) + (1 - s/" Li 1 (L, ut - j,)
= slY) (14, - ut) + B (L, ut - j,)
we conclude
Remark 14.3.13. Inequality (20) is also valid for the limit , = g,'(Y) (u"j,).
Since smoothing with respect to L, u, = j, does not destroy the accuracy of
the defect correction, we mayaiso perform a post-smoothing step after state-
ment (7e).
A further modification is the use of defects LI. Uk - Jk at all levels k ~ I,
which makes sense only ifj, = j,' in Eqs. (2.1 a, b). The resulting algorithm reads
as folIows:
procedure MGMDC(l, u,f); integer I; array u,J;
if I = 0 then u: = La
1 *J else (14.3.21 a)
u: = g,'(") (u,f); d:= r * (L', * u - f); (14.3.21 b)
v:= 0; for j:= 1 (1)y do MGMDC (1-1,u,d); (14.3.21 c)
u:= u - p * v; u:= g,'(y,) (u,f) (14.3.21 d)
end;
The discretisation L, u, = j, is used only in the smoothing process g,'(V), which
has the fixed point u, = L , 1 j,. In (21 d) a possible post-smoothing step is
added according to the previous Remark.
Note 14.3.14. (i) The accuracy of the limiting value 14, of iteration (21) is the
same as for iteration (7).
(ii) The modification in (21 b) influences the multi-grid convergence. Only
if the fine-grid equation L, u, = j, is approximated better by ])'-1 u; - 1 = r j,
than by L'-l U'-1 = r j" is iteration (21) expected to be faster than (7).
Finally, we state that all theoretical results and all algorithmical extensions
also carry over to the nonlinear iteration of Remark 14.3.4.
14.3.4 An Application to the Convection Diffusion Equation

Consider Eq. (10.4.1): -eAu + cgradu =/Q. Denote discretisation (10.4.5a)
by L, (ei). Define
L, = L,(e,), I.:, = L, (e) , (14.3.22)
where, e. g., e, is defined by
e, = max{e, Ictlhi> IC2Ih,}
(cf. (10.4.9. The consistency orders are K = 1, K' = 2. L, is stable, whereas I.:,
is unstable for sufficiently smalle/h, (cf. 10.4.2). As stated above the iterations
(7) and (21) do not suffer from the instability of L',. The latter iteration has been
introduced by Brandt [12] under the name 'double discretisation'.
Unfortunately, the analysis of 14.3.3 does not apply so easily to (22). For
instance, the defects IL, ur -};
10 and IL', ur -
Rio cannot be expected to be of
order hl and hf, respectively, since, in general, ur u
= N, is not sufficiently
smooth but contains a boundary layer. Therefore, an analysis would be needed
which yields 12, - ur
= 0 (hf) outside the neighbourhood of the layer.
As mentioned in 10.4.3.3, the convergence of the usual multi-grid iteration
with L, from (22) is relatively slow, because L ,- 1 is a poor approximation to
L,. In this situation it pays to apply iteration (21) instead of (7) (cf.
Note 14.3.14ii), i.e. to use L'k also on the coarser grids. A closely related state-
ment is given in
Note 14.3.15. The usual coarse-grid correction is u, f-+ U, - P U'-1 with
U,-1 = L,_\ d'-1' d,- 1 = r(L , u, - };),
where L'-I = L'-I (e,_ Jl, L, = L, (e,). Brgers [1, p. 119] considers a two-grid
iteration, where the coarse-grid solution U'-I is replaced by Ut-I' which is
defined to be the first iterate of the defect correction process (2.2) with
L , - I = L , - I (ei-I) instead of L, and L ,- 1(e,) instead of L',. The explicit descrip-
tion is
U,f-+U, - pul-I>
ul- I : = L ,- 1 (e,_1)-I [2 L ,- I (ei-I) - L ,- 1 (e,)]L,-I (e,_I)-I d,- I .
Under the conditions of Lemma 10.4.7, the contraction number and spectral
radius of the iteration matrix M; satisfy
11M; 11", . . ", ~ e(M;) ~ 0.25,
which has to be compared with (10.4.10).
Another so-called 'mixed defect correction process' is described and dis-
cussed by Hemker [6], [7], [12], Hemker-de Zeeuw [1].
15. Local Techniques
In this chapter we shall discuss techniques which improve the discrete solution
by locally defined discretisations. The general framework is given by the 'local
defect correction' in 15.1. Aglobai discretisation of the continuous problem
is completely avoided by the 'domain decomposition methods' studied in 15.3.
15.1 The Local Defect Correction
Let
(15.1.1)
be a given approximation of the boundary value problem Lu = f in Q. For
some reason (e.g., because of a re-entrant corner) this discretisation might be
insufficient in a subregion
(15.1.2)
with the boundary r 1U (oQ1 n r), where r 1 = oQ1\r c Q and r: oQ.
One remedy is the use of a locally refined grid. In the finite element case a
triangulation can be constructed with increasingly small elements as depicted
in Fig. 3.8.6 (cf. also Schatz-Wahlbin [1]). Even difference equations can be
formulated on grids Ql with locally refined grid widths (cf. Kaspar-Remke [1]).
A second remedy makes use of the known local behaviour of the solution.
The finite element discretisation of boundary value problems with re-entrant
corners is e. g. studied by Babuska-Rosenzweig [1] and Blum-Dobrowolski [1].
In the finite difference case one can use a special asymptotic expansion (cf.
Zenger-Gietl [1]).
All approaches mentioned above yield one system of equations. Instead, we
can consider two separated equations: firstly, discretisation (1) in a regular grid
Q" and secondly, a discretisation of the local boundary value problem
Lnv =fn in QI c Q, Lrv =fr on cQI nr, (15.1.3 a)

v = u on rl, (15.1.3 b)
294 15. Local Techniques
.... .... ...

---_-f . ------,
--1 .. .. .. :~~~~~~"I
::::::::::
.........:~I7
::::::::
1
I
I
t ----, I
..........
........
I
t 1
. i .. ......... eel
I
I
a b c e
Fig. 15.1.1 a-e. Subregions and grids
where u = L - 1 fis the solution of Lu = J in Q. The seeond diseretisation

L 'I V, = Jl1"" n1
In u,' (15.1.4)
is assumed to be adapted to the particular singularity of Eq. (3 a, b). In Eq. (4)
the boundary eonditions V, = 1, u, on fi1 are formulated separately. 1, deseribes
some interpolation of u, in the Q,-grid at the boundary points of fi1 . The grids
Q, and Df may have different sizes (e.g. h; < h where h; is the grid size of Df,
"
h, the grid size of Q,) and Df may use other (Ioeal) coordinates (cf. Fig. 15.1.2).
The following iteration requires further subgrids
Qf C Q1 (1 Q, (cf. Fig.15.1.1d), (15.1.5a)
Qf:= {x E Qf: (L',v,)(x) involves only V,(y) at YE Qf} (cf. Fig.15.1.1 e).
(15.1.5b)
Qf eonsists of the 'interior points' of Df. Possibly the inclusion Qf c Q1 is
strenghtened to
distanee (Qf, r 1) ~ d > 0 independently of I. (15.1.5 e)
Sinee Df c Q1, it makes sense to interpolate V, (defined on Ql) at XE Df. This
interpolation will be denoted by J,.
The 'loeal defeet eorreetion' eombines the two diseretisations (1), (4). Start
with
J;0: = J; (ft from Eq. (1. (15.1.6a)
The iterative proeess is defined by Step a) to Step g):
Step a) Compute the solution ui of Eq. (6 b) on n, (cf. Fig. 15.1.1 b):
(15.1.6 b)
Step b) Interpolate the boundary values on fi1 (cf. Fig. 15.1.1 e):
uLr: = 1, ui (l, from Eq. (4; (15.1.6 e)
Step c) Solve the loeal problem (4) in Ql (cf. Fig.15.1.1 e):
(15.1.6 d)
15.1 The Local Defect Correction 295
....... ...
. .. .. .. . . .
Fig. 15.1.2. Global grid Q, and local grid Q,I around an interface
Step d) Interpolate vl on Qf c QI (cf. Fig. 15.1.1 d):

(15.1.6 e)
Step e) Compute the defect in Qf (cf. Fig. 15.1.1 e):
dl := L,u, - ft in mc QI; (15.1.6 f)
Step f) Define the next right-hand side by
fti+ 1: = ft + d, on Qf, R+ 1: = ft on QI\Qf. (15.1.6 g)
Example 15.1.1. Consider the Poisson equation in the square grids of

Fig. 15.1.3 with h; < h, (where, e.g., h; = ht/8 is the grid size of Ql), and assurne
that the solution is u (x, y) = log (x 2 + y2) (i. e.fQ = 0). Both Eq. (1) and Eq. (4)
are defined to be the standarsi five-point schemes with respect to the grid sizes
h, and h;. Because of the singularity at the lower left corner x = y = 0 the result
of LI ul = ft is very poor, whereas the first iterate ul of (6 a-g) is already
sufficiently accurate due to the finer grid size h;. Numerical results are reported
by Hackbusch [37].
Equations (1) and (4) may be based on different types of discretisations. An
extreme case is given in
Example 15.1.2. Sometimes local problems can be solved exactly without dis-
cretisation. Such an example is the Laplace equation - Llu = 0 in a sector Ql
N
(cf. Fig. 15.1.4), if u = 0 on the sides of the angle and u = L OC v sin (vncp/cpo),
v= 1
o ~ cp ~ CPo = ~n, at the boundary point on r 1 corresponding to the angle cp.
Therefore, we may choose Eq. (4) to be the (undiscretised) Laplace equation
- Llv, = 0 with the boundary condition VI = 11 UI, where 11 UI is a suitable repre-
N
sentation L OC v sin (vncpjcpo). Possible singularities emanating from the re-
v= 1
entrant corner are represented exactly and do not reduce the accuracy. For the
complete definition of equations (1), (4) and for numerical results see Hack-
busch [37].
The local defect correction process (6a-g) converges with a contraction
number of order hf, where K > 0 depends on the consistency order of
the global and local discretisations and on the orders of the interpola-
h'f {
Fig. 15.1.3. Orids from Example 15.1.1 Fig. 15.1.4. Sector Ql from Example 15.1.2
(15.1.7)
provided that hl is sufficiently small and d > 0 in condition (5 c) (cf. Hackbusch
[37)).
Remark 15.1.3. The limit value UI in (7) is characterised by the system
LI AI
0 L 'I (15.1.8 a)
--- ---
-li 0 1
where
fz,I - AI VI: = fz + X(Lzli VI - fz),
d (x) = {d (x)
1)
l at x E Qf,
(15.1.8 b)
(X 0 elsewhere .
Concerning the condition d > 0 in (5 c) we draw attention to
Note 15.1.4. In the case of d = 0 a counter-example can be given such that Eq.
(8) is singular although both problems (1) and (4) are positive definite (cf.
Hackbusch [37, Example 3.3.1)).
Let U( = RI U be a restrietion of the exact solution u = L -1 f onto QI, while
V( = Rt u is a restrietion onto Qt. The error ul - U( is determined by the
following quantities (cf. Hackbusch [37, 3.3.2)):
(i) LI U( - fz on QI\Qr; it does not depend on LI U( - fz in Qr, where the
residual is supposed to be relatively large.
(ii) L 'I V( - f( on at; ifEq. (4) is chosen appropriately, this residual is assumed
to be relatively smalI.
(iii) JI V( - U( on at (interpolation error of JI).
(iv) 11U( - V( on 1;1 (interpolation error of 11),
15.2 A Multi-Grid Iteration with a Local Grid Refinement 297
15.2 A Multi-Grid Iteration with a Local Grid Refinement
The local discretisation (1.4) can be regarded as a problem at level 1 + 1 rather

than I. Equation (1.8) becomes
(15.2.1 a)
(15.2.1 b)
when we rename: VI as UI+1, L'I as L I + 1,!z' asfz+1' JI as f, r,1 as r,+1' 11 aSPB

(PB is a prolongation from the grid DI only onto the boundary points r,+ 1 of
the finer grid D!+ 1)' The grid DI+ 1 = DI \r,+ 1 covers only apart of DI unlike
the standard case (cf. Fig. 15.2.1).
The smoothing iteration UI + 1 1--+ Yt'~~ (UI + 1, fz + 1) is performed on the grid
Q/+ 1> while the boundary values of U/+ 1 on r,+ 1 are left fixed.
For the coarse-grid correction one has to compute the defects
(15.2.2a)
d1+ 1 = L/+ 1 U1+1 - fz+1 in QI+1, (15.2.2b)
dB,I+ 1 = UI+ 1 - PB U1 on r,+ l ' (15.2.2c)
of the approximations UI, UI + l ' The exact corrections JU I = Ul - ul and

JUI+ 1 = Ul+ 1
- Ul+ 1 are the solutions of
LI JUI - XL l fJU I+1 = dl in Qz, (15.2.3 a)

L I+ 1JU/+1 = dl + 1 in Q/+1' (15.2.3 b)
Ju/+ 1 - PB JU I = dB,I+ 1 on r,+ 1 . (15.2.3 c)
A suitable coarse-grid analogue of system (3 a-c) is
L 1 c5u? - xL/c5ul = d/ in Q/, (15.2.4 a)

L 1 Jul=rd l + 1 inQI, (15.2.4 b)
Jul - Ju? = rBd B,/+ 1 on r,1, (15.2.4c)
where the pair (Ju?, Juf) is the coarse-grid approximation to (Ju l , Ju/+ 1)' The
grid Q/ is unchanged, whereas Q/+ 1 from Eq. (3 b) is replaced by m,
which is
a subset of D I For instance, one may choose
m= QI n Q1 (Q1 from (1.2)).
The equations (LI Jul - r d l + 1)(X) = 0, X E m,

involve Jul (y) at the boundary
points y E r,1 . These values are prescribed by (4 c). r B is a restrietion from r,+ 1
onto r,1.
System (4 a-c) can be decoupled. Inserting (4 b) into (4 a), we can determine
Ju? by
(15.2.5 a)
.. . .

.

0 /1 r,1
0/ /'1 1(.1 /
Fig. 15.2.1. Grids Q/, Q/ + !' subgrid Qf, boundaries r; + !' r;!
while bul is the solution of

Llbul=rdl+l inQI, bul=bu?+rBdB,l+l onr;l. (15.2.5 b)
The complete multi-grid iteration consists of the following steps:
(i) pre-smoothing: perform Ul+l:= g,~i)(ul+l,f,+l) on QI+l with given
boundary values ul + 1 (x), X E r; + l' uI : = ul requires no smoothing.
(ii) coarse-grid correction:
(ii l ) Compute the defects dl , dl+l , dB,l+l by (2a-c).
(ii 2 ) Solve the coarse-grid equation (5 a) by y steps of the multi-grid iter-
ation on QI' Denote the approximate solution by DU?
(ii 3 ) Solve the coarse-grid equation (5 b) by y steps of the multi-grid iter-
ation on Q{ . Denote the approximate solution by Dul.
(ii 4 ) Correct UI and UI + 1 by
(15.2.6)
. ") If post-smoot h"mg IS d eSlre,
(111 . d perlorm "-P('2) ( i+ 1 1")
+ 11 1--+ JI n +1
l'
U Ii + U I + 1 ,J I+ 1 on ~til
with renewed values uit ~ = PB ui+ 1 on Ii+ 1
Lemma 15.2.1. The solution process becomes simpler if we assume:

a) m, involved in the definition (1.8 b) of X, coincides with Ql, i.e.
(X dl ) (x) = {d l (x) X E Qf,
(15.2.7 a)
o elsewhere.
b) (LI VI) (x) at x E Ql involves only VI (y) at YE QI U fil .
c) Let WI be a grid function on Q/o which coincides with VI on QI u r;l. Then
PBWI = PVI on fi+l' (15.2.7 b)
rp = I (15.2.7 c)
must hold. Equation (7 b) can be regarded as adefinition of PB by means of
p. Equations (7 c) requiresr = rinj (cf. (3.5.1.
Then the coarse-grid correction (ii) applied to ul and Ul+ 1 with
(15.2.7 d)
15.3 Domain Decomposition Methods 299
yields corrected values ul+ 1, ult 1also satisfying Eq. (7 d). In this case step ( 3)
can be omitted since
out = c5u? . (15.2.7 e)
Proof (7 a) and (7 d) imply d, = 0 on at
and dB " +1 = O. One concludes from
assumption b) that the solution c5u? ofEq. (5 a) also satisfies Eq. (5 b). Equation
(5 c) holds for ul+ 1 and ult L since
u,i+l_- l: 0_--
-U,-uU, - l: 0_-(-
-ruI+1-rpuU, l: 1)
- r U'+l-puU'+l - i+1 on AIi,
=rul+1 n1 u , 1, r.
ultl = '+l - pc5ut = PB, - PBc5u? = PB(U,- c5u?) = PBul+ 1 on I/+1' 0
Note 15.2.2. Suppose that PB fu, depends only on u, (x) at x e I/+ l ' Then condi-
tion(7 d) holds ifu?+ 1 = pBfu?+ Ion I/+1 and ifeach smoothing stepis followed
by ,(x):= rl+dx) at all xeat uI/ 1.
The resulting iteration coincides with the algorithm briefly described by
Brandt [3, p. 359]. The nonlinear version corresponding to aigorithm (9.3.13)
takes the following form.
Start: u?, u?+ 1 with u?+ 1 = pBru?+ 1 on I/+ l'
Iteration:
(')
1 pre-smoo thi ng: perlorm
'" i -
U'+lHU'+l ("p(v) (i
= 07'+1 U,+1, fi'+1 )
(ii) set,(x):=f,+dx) at all xeatuI/ ; 1
(iii) coarse-grid correction:
d,:= ft/(,) - r(ft/+ dI+1) - fi+1);
v,:=,; forj:= 1(1)y doNMGM(l,v"d,);
ul tl : = l+ 1 + P (v, - ,),
If at = a" this aigorithm coincides with iteration (9.3.13) at level I + 1.
above cannot be obtained if m

Remark 15.2.3. Equation (7 e) and thus the simplified algorithm described
is a proper subset of at. Note that l = at
contradicts condition (1.5 c) with d > O.
15.3 Domain Decomposition Methods
15.3.1 Domain Decomposition
The loeal defeet correction methods described in 15.1 - 2 enables us to intro-

duce one or even more Ioeal grids, but a global grid is always required. On the
other hand, there are domain decomposition methods, which involve only
Iocal grids. Two approaches are to be distinguished. The first approach is based
upon a decomposition of a into two or more disjunct subdomains (cf.
a Fig. 15.3.1 a, b
Fig. 15.3.1 a). The second approach uses overlapping subdomains. In the situa-
tion of Fig. 15.3.1 b, there are two interior boundaries:
rr = aQr\r = aQr ( I Q, r' = aQ'\r = aQ' (I Q.
Any solution of Lu =! in Q gives rise to solutions u' = u In', ur = u Inr of the
local problems
Lnu' =!o in Q', Lru' =!r on aQ,\r', (15.3.1 a)
Lour =!o in Qr, Lrur =!r on aQr\p, (15.3.1 b)
on rr. (15.3.1 c)
On the other hand, any pair of solutions u', ur of Eq. (1) coincides with the
restrictions of u = L - 1 ! onto Q' and Qr, provided that the boundary value
problem in Q' ( I Qr is uniquely solvable.
The discrete analogue of Eq. (1) is
,u,
in Q:' L r r =JIrr in Qj, (15.3.2 a)
uj = nr ul on Ii', (15.3.2b)
where n' u, denotes the interpolation of the grid function uj at points of the
discrete interior boundary r;'. We permit different grids or different kinds of
Q: Q,
discretisations in u Qr and (lQ'. As a consequence there are two possibly
different solutions in Q' (I Qr.
It is also possible to discretise the original problem by Eq. (1.1) and to
decompose the grid Q, into overlapping subgrids Q: and Qj as we did for the
continuous problem. In this case the solutions u' , ur of (2 a, b) coincide in
Q: Q,
(I ur
and the mapping u, ~ n' u, is the injection n' (x) = U l (x) for all
XE r,' c: Qj.
Domain decomposition methods with non-intersecting subdomains are
presented for instance by Bj0rstad-Widlund [1] and Dryja [3]. Overlapping
subdomains are used, e.g., by Starius [2], Glowinski-Periaux-Dinh [1], and
Hackbusch [14].
15.3.2 The Schwarz Iteration
A basic iterative method for solving the coupled local systems in Eqs. (1 a-c)
is the Schwarz iteration:
Ul,i+l is the solution of LI,UI =1,' in QI, ul = n'uj,i on r,', (15.3.3a)
y
Fig.15.3.2
x
U~,i+l is the solution of L,u~ =f{ in .Qi', ui' = nrul,i on Tir, (15.3.3b)
which can be regarded as a particular block-Jacobi method.
Under suitable conditions one can prove the convergence of iteration (3).
It turns out that the rate depends on the distance
d: = distance (r l , P) > 0 (15.3.4)
(cf. Corollary 15.3.2).
For a precise analysis we consider Poisson's equation on .Q, which is de-
composed into two overlapping squares .QI and .Qr (cf. Fig. 15.3.2).
Lemma 15.3.1. Let L II and L, be the standard five-point schemes on the re-
spective square grids .Ql and .Qj' of Fig.15.3.2 and define n l and nr by
(ni uD (x) = uj' (x) at x E Ti l , (n ruD (x) = ul (x) at x E Ti r. The convergence rate of
Schwarz' iteration (3) is given by
O.5/cosh CU2n ) = 0.199 ... + 0 (hf) with fi = n2

h, Ar sinh (sin n: )
(15.3.5)
Proof The error of uj"o on Ti l can be represented by
NI
ui'olrl= L IX/lsin(jlny), N I =h l- 1 -1. (15.3.6)
/l=l
The boundary values ul,l = sin (jl n y) on Ti l and ul,l = 0 at the other boundary
points yield the solution
ul,l = sin(jlny)sinhx - l)fin)/sinh(fin),
where
fi 2 Ar sm
= n h,
. h (. jl n h l )
sm -2- .
Hence, the error of ul' 1 on Tir equals A/l sin (jl n y), where
A./l = sinh (fi2n) Isinh (fi n) = 0.5/cosh (fi2n ). (15.3.7)

Thus the eigenvalues of Schwarz' iteration (5) are Al > A2 > '" > AN" and the
spectral radius is given by Al' 0
Corollary 15.3.2. Replace Q' from Fig. 15.3.2 by

Q' = {(x, y): 1 - d < x < 2 - d, 0 < y < 1};
i.e. the width of the overlap is d instead of t. Then the convergence rate (5)
becomes 1 - IX d + 0 (hf + d2 ), where IX = n cosh (n)jsinh (n) ~ 6.3.
15.3.3 Multi-Grid Methods with Domain Decompositions
We consider the more general problem

L 11ul = ftl , L, u'i = /t' , (15.3.8 a)
ul - n1u, = gl on r,l, ul - n' ul = gl on r,'. (15.3.8b)
For gl = 0, g, = we regain Eqs. (2 a, b). We introduce the notations
Ul: = (ul, u/), ft: = W,/t', g:' g/)
and abbreviate Eqs. (8 a, b) by
L1Ul =ft (15.3.8')
The prolongations and restrictions can be defined blockwise:
. (pI Ul-l,P
PUl- l '= I "
Ul-)
l ,
where i maps from Ql-l onto Ql-l' etc. Hence, the coarse-grid correction of
Eq. (8') can be defined. It remains to define a smoothing process. Let .'111 (v) be
a v-fold smoothing process on Ql with fixed boundary values on r,l. Similarly,
g;'(v) acts on Q'.
The smoothing iteration g;(V) can be defined as follows (cf.
Hackbusch [37]):
given: Ul = (ul, uD W,/t', gl, gD;
and ft =
a) set ul:= ul on Ql, u,:= Ul on Qi'; (15.3.9 a)

b) define boundary values
ul := n1 u, + gl on r,l, u,: = n' ul + g, on r,'; (15.3.9b)
c) applyg;l(v) to ul with fixed boundary values
on r,l; denote the result by ul; (15.3.9c)
d) apply g;'(v) to U/ with fixed boundary values
on r,', denote the result by u,; (15.3.9d)
define: Y;(V) (Uz, ft): = Ul = (u:' U/). (15.3.9 e)
Using the smoothing process (9) in algorithm (4.1.1) we obtain the complete
multi-grid iteration.
Remark 15.3.3. The multi-grid iteration based upon (9) has the following prop-
erties:
(i) The smoothing processes (9 c) and (9 d) are independent. Hence, (9 c) and
(9 d) can be performed in parallel (e. g., by parallel processors).
(ii) The grids .oj and a, are coupled by the following operations: by the
computation of the defects of Bq. (8 b), by the step (9 b), and by the solution of
L o Uo = 10 on the coarsest grid. All other components of the multi-grid algo-
rithm involve only one ofthe grids Qj or .o!. Hence, most ofthe subroutines can
be designed separately for each of the components of the domain decom-
position.
During the smoothing process the boundary values (9 b) remain un-
changed. Nevertheless, the multi-grid iteration converges. This fact can be
understood more easily, if we consider the limit v --. 00 of Yz(v). Then the steps
(9 c) and (9 d) are replaced by the exact solution of Bq. (8 a). The resulting
smoothing process is the Schwarz iteration (3 a, b). From Bq. (7) one conc1udes
that Schwarz' iteration is very fast with respect to high frequency components.
Since the low frequency error is reduced by means of the coarse-grid correc-
tion, the combination of Schwarz' iteration with the coarse-grid correction is
a fast convergent process. More precisely:
Remark 15.3.4. The multi-grid iteration, using one step of the Schwarz iter-
ation (3) as the smoothing process, is a multi-grid iteration of the second kind
(cf. 16). Its convergence rate is of order hf (cf. Hackbusch [14]).
In the case of the smoothing iteration (9), the fast convergence mentioned
in Remark 15.3.4 is superposed with the usual multi-grid convergence of the
local problems in .01 and Q". The first row of Table 15.3.1 shows the observed
reduction factors of the multi-grid iteration with the smoothing process (9).
The underlying problem is the five-point Poisson discretisation in the domains
of Fig. 15.3.2. The parameters are v = 2, Y = 2, YzI, flir: Gau-Seidel iteration.
rr
The restrictions r} and of the defects on Ii l and Iir are given by the stencil
[ 1 1 1]
424'
Another smoothing process is proposed by Stben-Trottenberg [1, p. 153],
which, in contrast to (9), updates the boundary values in every iteration
step. fIi(V) = fliv is the v-fold application of the following smoothing
method fIi.
Table 15.3.1. Convergence rate for a multi-grid method with domain decomposition
1 1 1 1
h, 4: 8 16 32
parallel smoothing (9) 0.15 0.095 0.08 0.06
sequential smoothing (10) 0.08 0.06 0.06 0.06
given: UI = (ul, uD and jj = Ui',f{, gl, gD;

a) set 111: = n u~ +
l g: on r;1, 11:: = ul on .o~; (15.3.10a)
b) apply one smoothing step 91 to 11: 1 on .0:;
denote the result again by al; (15.3.10b)
c) set ~:= n'al + gj" on r;r, ~:= u~ on a,; (15.3.10c)
d) apply one smoothing step 9jr to ~ on.o~;
denote the result again by ~; (15.3.10d)
define: 9j(ul,jj):= 111 = (Ul, ~). (15.3.10e)
The main part ofthe computational work of 9j(v), either defined by (9) or (10),
is the performance of v local smoothing steps on .ol and a,. The interpolations
nr and n l have to be executed only onee in the case of (9) and v-times for (10).
Under suitable conditions the smoothing iteration (10) converges to the sol-
ution of Eq. (2 a, b), unlike iteration (9). The multi-grid convergenee improves,
as can be seen from Table 15.3.1. However, as a consequence ofRemark 15.3.4,
the rates differ significantly for very coarse grid sizes only. Remark 15.3.3 (i)
contrasts with
Remark 15.3.5. The steps (lOb) and (tOd) cannot be computed in parallel,
since the boundary data needed in (10d) are the result of (lOb, c).
16. The Multi-Grid Method of the Second Kind 1
16.1 Fredholm's Integral Equation of the Second Kind
16.1.1 Historical Comments
Multi-grid methods were first developed for elliptic boundary value problems.
However, a two-grid iteration closely related to a multi-grid algorithm for
integral equations of the second kind (which we call a multi-grid iteration of
the second kind) is already described in 1960 by Brakhage [1]. Abramov [1] and
Sisov [1] also describe algorithms for integral eigenvalue problems that ap-
proach the two-grid idea. Atkinson [1, 2] took up the idea of Brakhage and
developed automatie pro grams for linear integral equations.
Independently of the author, Hemker and Schipper formulated the multi-
grid iteration of the second kind (Schippers [1], Hemker-Schippers [1] and
Wolff [1]). The author's first report (1978) on this subject appeared in 1981
(Hack busch [20]).
16.1.2 Fredholm's Integral Equation of the Second Kind
Fredholm's integral equation of the second kind is

u(x) = ! k(x, y)u(y)dy + f(x) for all XE D (16.1.1)
with given kernel function k defined on D x D and givenf A short notation for
Eq. (1) is
u = Ku + f, (16.1.2)
where (K u)(x) = ! k (x, y) u (y) dy defines the integral operator K.
1 This chapter is based on the author's contribution to the proceedings volume of Holstein-
Paddon [1]
306 16. The Multi-Grid Method of the Second Kind
Let OU be the underlying Banach space involved in Eq. (2): for fE OU a

solution of (2) is sought. Under the usual assumption that K: OU -+ OU is com-
pact, the estimate
(16.1.3)
holds, whenever A. = 1 is not an eigenvalue of K (cf. Yosida [1, X.5J).
In the following, we assume that there exists some Banach subspace "Y c OU
such that image (K) c "Y, or
(16.1.4)
The elements of"Y must have a higher order of differentiability than those of
0/1, as in the following examples. Inequality (4) expresses the smoothing effect
of K.
Example 16.1.1. Suppose kEes (D x D) with bounded D, where es is the

Hlder space (cf. 1.4.1). Then K satisfies (4) with OU = CO (D), "Y = es (D).
The assumption on k can be weakened. Weakly singular kerneis are in-
cluded, as shown:
Example 16.1.2. For D = [0,1J and k(x, y) = 1/lx - yl A with

equality (4) is satisfied with OU = CO (D) and "Y = e 1 - A (D).
~ A. ~ 1, in-
OU and "Y mayaiso be chosen as Sobolev spaces OU = HS (D) and "Y = H t (D)
with t > s as in the following
Example 16.1.3. Let D = [0,1J and k(x, y) = 1/J2 - x - y. Inequality (4)

holds for all pairs OU = HS (D), "Y = H S + 1/2 (D) with constants e = e (s) as long
as - 1 < s < i, where H- t (D) is the dual of H t (D) for t > 0.
In all the previous examples, "Y is compacdy embedded in OU and
Note 16.1.4 applies.
Note 16.1.4. If (4) holds for "Y compacdy embedded in OU, the operator
K: OU -+ OU is compact.
16.1.3 Discretisation
There are various kinds of discretisation methods, e. g. kernel approximations,

projection methods (in particular Galerkin and collocation methods), and
Nystrm's method (cf. CTH Baker [1 ]). Taking the trapezoidal rule as quadra-
ture formula, we obtain the following very simple discretisation.
Example 16.1.5 (Nystrm's method with repeated trapezoidal rule). Suppose

D = [0, 1J, k E CO (D x D) and
h, = 1/n" n, = 2' no (l = 0,1, ...) (16.1.5 a)

16.1 Fredholm's Integral Equation of the Second Kind 307
with some no E N. The desired solution u, is a grid function defined on

D, = {O, h"2h,, ... , 1 - h,,1} (16.1.5 b)
satisfying the system
u,(x) = h, L w(y)k(x, y)u,(y) + f(x), XE D, (16.1.5c)
yeD,
of n, + 1 equations. The weights are w(O) = w(1) =! and w(y) = 1 elsewhere.
System (5 c) or any other discretisation with discretisation parameter h, will
be denoted by
(16.1.6)
A special collocation approach is described in
Example 16.1.6 ('panel method'). Let h, as in (5 a) and define the i h element of
the finite element basis by ({Jj(x) = 1 for jh, ~ x ~ U + 1)h, and ({Jj(x) = 0
elsewhere. The entries of the matrix K, are
(16.1.7 a)
The components.h,i = fi + !)h,) form the grid functionJi. The i th component
of u, is the value of u = L U"j ({Jj at x = (i + !) h,. Therefore, the grid D, is given
by j
D, = {h,j2, 3 h,/2, ... , 1 - h,j2}. (16.1.7b)

The grid functions u, andJi in Eq. (6) belong to t1iI" which is the discrete
analogue oft1il. Similarly, a discrete counterpart "f'j of"f'" is needed. For instance,
the discrete space "f'j = es (D,) corresponding to CS (D) has the norm
Ilv,llco(Dll = max Iv,(x)1 if s = 0,
xeD,
11 V,IICB(Dll = max {li v,IIco(Dll' IV, (x) - V, (x') 1/1 x - x/l s : x, x' E D" x =F x'}
if 0< s ~ 1,
etc. The respective norms of t1iI, and "f'j are written as 11 11'ft and 11 11.,.
Under usual assumptions (cf. Anselone [1]) system (6) is soluble if h, is
sufficiently smalI. Further, (I - K,)-l is uniformly bounded. The counterpart
of inequality (3) is the stability assumption
II(I-K,)-lll'ft+-'ft~Cs (1=0,1, ...) (16.1.8)
with Cs independent of I.
The analogue of inequality (4) is the regularity assumption
11 Kdl.,.+-'ft ~ CR (I = 0,1, ...). (16.1.9)
Example 16.1.7. Under the conditions ofExample 16.1.1, the discretisation of
Example 16.1.5 satisfies the regularity assumption (9) with
CR = max{lIk(',y) IICB([O, 1]):0 ~ y ~ 1}.
Instead of Note 16.1.4 we have

Note 16.1.8. Assume (3) and (9), and let "f/' be compactly embedded in OU.
Suppose that there are interpolations ~: 11---+ "f/' and restrictions R , : OU ---+ OU,
with Ilmf-f ~ c, 11 Rdl"ll_"II ~ C, satisfying R,~ = 1. Under the consistency
condition
lim 11 (li'K , R, - K) V 11"11 =0 for all v E OU,
the stability condition (8) folIo ws for sufficiently large l.

Again, a restriction
r: OU, ---+ OU,- 1 (16.1.1 0)
is needed in the multi-grid process. The restriction r may be weighted, but
whenever D,- 1 C D, and OU, = es (D,), 11 = C' (D ,), the trivial injection r = rinj ,
(rinjU,)(X) = u,(x), xED,- 1, (16.1.11)
can be used (cf. (3.5.1.
The relative consistency condition states that the expression (r K ,- K ,- 1 r)v,
is small for smooth V,; more precisely:
(16.1.12)
where K is called the consistency order. K depends on the discretisation (e. g. on
the order of the quadrat ure formula) and on the choice of OU and "f/'.
Example 16.1.9. Let K, be the discretisation of Example 16.1.5, assume
11 k (., y) Ib([o, 1]) ~ C and choose r = ri.j' Then for all s ~ 0, 0 ~ t ~ oe the
estimate
11 r K , - K ,- 1 r Ilc'(D,_ d-CS(DI) ~ C(t, s) hiin(2.~.S)
holds. The appropriate choice of OU, and 11 will be OU, = CO (D,) and
11 = cmin(2'~)(D,) corresponding to t = 0, s = K = min (2, oe).
The stability of a prolongation p: OU,- 1 ---+ OU, is characterised by
Ilpll"ll-"II ~ Cp (16.1.13)
The interpolation error of p should be small enough to satisfy
11 I - pr 11 "11_ f ~ CI hj. (16.1.14)
Example 16.1.10. Let r = rinj, h, - 1 = 2 h"p be a piecewise linear interpolation
operator, OU, = CO (D,), 11 = C~ (D,). Then (13) holds with Cp = 1, while the
interpolation error is 11 I - p r 11"11_ f ~ CI (oe) hiin(~. 2) with CI (CX) = 1 for
o ~ CX ~ 1, CI(cx) = t for CX > 1, K = min(2, oe).
Roughly speaking, the maximum K satisfying (12) and (14) is the minimum
of the interpolation order of p, the order of the quadrature method and the
differentiability order of k.
16.2 Multi-Grid Iteration 309
Example 16.1.11. For the collocation method of Example 16.1.6 one should
define rand P by
(ru,)(x) = iu,{x - hd2) + iu,{x + hd2) for x ED'-l'
(p U'-I)(X hd2) = U'-l (x) for XE D'-l .
Then, inequality (14) holds with K = 1,~, = CO{D,), 11 = Cl (D,). Nonetheless,
K = 2 can be obtained by the choice of~, equipped with
11 u,II'fI=max {Iu,{x) vl{x) + u,{x-h,)v,{x-h,)I: x, x - h,ED" 11 V, b(D!l~ 1}.

We conclude with estimates of the relative discretisation errors (error of
U'-l relative to u,).
Proposition 16.1.12. Let j, _ I = r j,. Regularity (9) and consistency (12) imply
11 r UI - U'-l 1I'fI ~ CR Ce hj 11 udlf' (16.1.15)
The similar statement
Ilu, - pU'-lll'fl ~ (CpCR Ce + C1)hj Ilu,lIf (16.1.15')
requires (13) and (14) {cf. (5.2.3. We can estimate 11 u,llf from
11 udlf ~ CR Cs 11 j, 1I'fI + 11 j, Ilf ~ (CR Cs 11 I 1I'fI+-f + 1) 11 j, IIf' (16.1.16)
Proof Use u'_I-ru,={I-K'_I)-I{rK,-K'_lr)u, and PUI-I-UI=
P{UI- I - rUI) - {I - pr)ul' 0
16.2 Multi-Grid Iteration
16.2.1 First Variant
16.2.1.1 Algorithm
Formally, the multi-grid iteration is the same as algorithm (4.1.1) with LI
replaced by 1- K,. However, the smoothing step is much simpler than in the
elliptic case, where a careful choice ofthe smoothing iteration is essential. Here
we use Picard's iteration U,I-+ K, UI + j, and perform only one (v = 1) iteration
step. The choice v ~ 2 is possible (cf. 16.5.1), but has quite a different justifi-
cation than in the elliptic case. The convergence of the Picard iteration {i. e.
(] (K I ) < 1) is not required.
Two-grid iteration TGM for solving u, = K , U I + j, (16.2.1)
uj:= Klu{ + j, (smoothing step) (16.2.1 a)

U{+l:= uj - p{I - KI_d- 1 r{uj - K,uj - j,) (coarse-grid correction)
(16.2.1b)
By (1 a), the error u{ - UI (UI: solution of (1.6)) of the jth iterate is mapped int?
ui - UI = K I (u{ - UI)' Because of the regularity assumption (1.9), this error IS
smoothed.
As in 4, the recursive solution of (1 - K I _ 1)-1 dl - 1 , dl - 1 : =
r (ui - K I ui - f,) in (1 b) by two steps of the same iteration at level 1 - 1, yields
the first variant MGM' of the multi-grid iteration .
................................................................. .
Multi-grid iteration MGM' for solving UI = K,ul + f, (16.2.2)
..................................................................
procedure MGM (I, u,f); integer I; array u,f;
if 1 = 0 then u:= (1- Ko)-ljelse (16.2.2 a)
begin integer i; array d, v;
u:= K I * U + j; (16.2.2 b)
d:= r(u - K I *U -
f); (16.2.2cd
v:= 0; for i:= 1,2 do MGM (1- 1, v, d); (16.2.2 C2)
u:=u-p*v (16.2.2C3)
end;
Formally, algorithm (2) is the W-cycIe variant of (4.1.1) (i.e. y = 2) with LI

replaced by 1- K I and 9!(UI,f,):= Klul + f,. Three iterations in (2C2) yield
no further improvement, while one iteration does not give the convergence
results described in 16.2.1.3.
16.2.1.2 Computational Work

The work of one multi-grid iteration is dominated by the multiplication
K I * Uf, since K I is a full matrix. Therefore, the work required by r, p and vector
additions can be neglected. Assurne that there are numbers n l = dirn ('fll ) +
0(1) (cf. Example 16.1.5) such that
UII--+ K I UI requires ~ C K nf + 0 (ni) operations (16.2.3 a)
UII--+r Klul requires ~ CrKnf + o (ni) operations (16.2.3 b)
while
nl - 1 ~ CNn l (16.2.4)
Note 16.2.1. For a usual matrix multiplication the constant in (3 a) is given by
CK = 2 (1 addition, 1 multiplication). In the case of a weighted restriction r the
constant CrK equals CK. If r is the trivial injection rinj (cf. (1.11)), K I UI has to be
evaluated only partially. One needs 2nl-l nl ~ 2 CN nf operations; hence
CrK = CK CN The standard choice (1.5 a) of nl satisfies (4) with CN = !. There-
fore, depending on r, (5 a) or (5 b) hold:
CK = 2-, CrK = 2, CN -- 2'
1
(16.2.5 a)
CK =2, CrK =1, CN =!. (16.2.5b)
By the following observation one can save some matrix multiplications:

Note 16.2.2. The two multi-grid iterations in (2 cz) are started with UI-l = o.
Whenever the starting iterate is zero, the smoothing step (2 b) requires no
matrix multiplication.
Thanks to Note 16.2.2, two multi-grid iterations at level 1 starting with
u? ct nf + 0 (ni) operations, where CI* satisfies the inequality
= 0 require
Ct ~ CK + 2 CrK + 2 C~ ct- 1. Since the work of (2 a) can be neglected, we
obtain ct ~ (CK + 2CrK )/(1 - 2CJ). One iteration (2) applied to u? =1= 0 re-
quires C~GM nf + 0 (ni) operations, where C~GM ~ CK + CrK + CJ ct. This
proves
Proposition 16.2.3. Suppose CN < A. One step of the multi-grid iteration (2)
requires C~GM nf + 0 (ni) operations, where
C~GM = [(1 - CJ) CK + Cr d'(l - 2 C~). (16.2.6)
The constants from (5 a) and (5 b) yield
C~GM = 7 (case of(5a, C~GM = 5 (case of(5b). (16.2.7)
The last number expresses that one multi-grid iteration costs as much as 2!
Picard iterations. A more precise analysis is needed to answer the following
question. Let a fixed finest step size h = lln, n = n/~ax be given. The choice of
lmax determines no = nl2 /max What is the optimal;Q? Taking into account the
work of the exact solution in (2 a), one finds no ~ 3 n12. However, this choice
gives ~ a very slight improvement: C~GM = 5 from (7) is replaced by
5 - .J6In. The same calculation shows that the three-grid iteration (lmax = 2)
is cheaper than the two-grid iteration (lmax = 1) as soon as n > 10.
16.2.1.3 Convergence Analysis

The two-grid iteration (1) can be written as
U{+ 1 = MrGM u{ + Nr GM f,
with the iteration matrix
MrGM = [I - p(l - KI_1)-1 r(l - K/)]K I (16.2.8)
K > O. Then
Theorem 16.2.4. Assume (1.8), (1.9), (1.12), (1.13), (1.14) with some
the contraction number of the two-grid iteration (1) with respect to 11 11", is
given by
(16.2.9)
with CTGM ~ (CI + Cp Cs Cd CR
Proof. The splitting
M TGM = {(I - pr) + p(l - KI_1)-1 [(I - KI_1)r - r(I - K/)]}K I
= [(I - pr) + p(I - K'_l)-l (r K, - K'-l r)]K,
implies
11 Ml GM 1I'f1+-'fI ~ [111 - prll'fl+-'"
+ IIpll'fI+-'fIII(I - K,_t)-tll'fl+-'fIlir K, - K,-trll'fl+-.,.]IIK,II.,.+-'fI
~ (CI + Cp Cs Cd CR hf . o
Inequality (9) implies convergence for sufficiently small h,. Convergence cannot
be guaranteed for all levels, since possibly CTGM h~ ~ 1.
The multi-grid iteration (2) can be represented by
u/+ t = MI ul + N; f,.
As in Lemma 7.1.4 one proves
Lemma 16.2.5. The iteration matrix M; of the multi-grid algorithm (2) is recur-
sively defmed by Mi = M[GM and
MI = [I - p(I - M;~t)(I - K,_t)-t r(I - K,)]K, (16.2.10)
= MlGM + pM;~t (I - K,_t)-l r(l- K,)K, (16.2.10')
= M,TGM + pM;~dr - (I - K,_t)-t(rK,- K,_tr)]K,. (16.2.10")
Let r be bounded by
IIrll'fl+-'fI ~ Cr (16.2.11)
In all previous examples Cr = 1 holds. Usually, the estimate 11 Ktll'fI+--'fI ~
11 Ktll.,.+-'fI ~ CR is valid. We assume
(16.2.12)
CK may be small or large depending on the problem. Equations (10") yields the
inequality
IIM;II'fI+-'fI~ IIMlGMII'fI+-'fI
+ Cp IIM;-tll~+--'fI[CrCK + Cs Ce CR hf). (16.2.13)
If h t is small enough there exists C* with
Cp CTGM (1 + C* hf_t)2 [G,. CK + Cs Ce CR hf) ~ C* for I ~ 2. (16.2.14)
This proves
Theorem 16.2.6 (convergence of the multi-grid iteration). Assume (1.8), (1.9),
(1.12), (1.13), (1.14) with K > 0, (11), and (12). Let h1 be sufficiently small. Then
C* exists such that
(16.2.15)
Hence, asymptotically, two-grid and multi-grid iterations have the same con-
traction numbers. However, if h 1 is too large, there is no C* satisfying (14), and
11 MI 11'fI +- 'fI diverges rapidly:
11 M; 1I'f1+-'fI = O([CpCrCKt- 1) ..... 00.

To gain a better understanding we shall suppose r p = I, which holds for

r = rinj (cf. (1.11 whenever pis an interpolation.
Lemma 16.2.7. If r p = I, a further representation of M; is
M; = M{GM + pM;~l r(M{GM - K l ). (16.2.16)
For the usual values Cp = Cr = 1, Eq. (16) yields
1 M; 11",+-", ~ 11 M{GM 11",+-", + 11 M;-lll~+-",(Il M{GM 11",+-", + CK ) (16.2.17)
with CK from (12).
Note 16.2.8. Assurne rp =1, Cr = Cp = 1, and define, = sup{II M{GM 11", +-",: I~ 1}
(usually' = 1 MfGM 11", +- ",). The inequalities (15) and 11 M; 11", +- '" < 2' < 1 im-
plying multi-grid convergence are ensured by
4' (, + CK ) ~ 1. (16.2.18)
Obviously, it is hard to satisfy this condition if CK ~ 1.
16.2.2 Second Variant
16.2.2.1 Algorithm
Hemker-Schippers [1] proposed a modification of the multi-grid iteration
which is applicable also for large CK It is based on the equivalent formulation
of the coarse-grid correction in the two-grid iteration (1) by
Uf+l = u; + pr(u{ - uD - p(1 - KI_1)-1 [(1- KI-1)r(u{ - uD + rd l ],
(16.2.19)
where dl = u; - K l u; - fz. The restriction r in front of u{ - u; mayaiso be
replaced by another f =F r. The evaluation of the square bracket requires a
further multiplication by K I - 1 .
Although (19) and (1 b) are equivalent, the multi-grid versions differ.
Multi-grid iteration MGM" for solving Ul = KIUI + fz (16.2.20)
procedure MGM (I, u,f); integer I; array u,f;

if 1 = 0 then u:= (1- Ko)-ljelse (16.2.20a)
begin integer i; array v, d;
d:= u - K l * U - j; (16.2.20b 1 )
u:= U - (1- pr)d; (16.2.20 b 2 )
d:= I - K I - 1 ) * r - r * K l) * d; (16.2.20 b 3 )
v:= 0; for i:= 1, 2 do MGM(I- 1, v, d); (16.2.20 b 4 )
u:=u-p*v (16.2.20 b s)
end;
The smoothing step is hidden in statement (20 b 3 ).

Note 16.2.2 remains valid. Instead of Proposition 16.2.3 we obtain
Proposition 16.2.9. Suppose CN < A.

One step of the multi-grid iteration (20)
requires CMGM n; + 0 (ni) operations, where
CMGM = (CK + C,K)/(l - 2 C~) (16.2.21)
with CK, C,K from (3). The constants (5 a) or (5 b) yield
CMGM = 8 (case (5 all, CMGM = 6 (case (5 b. (16.2.22)
Note 16.2.10. In special cases the work can be less than indicated by (22).
Assume (5 b). If r = rinj and if K I is obtained by the trapezoid al rule (1.5 cl,
the components of r K I VI are the sum of! K I - l r VI and ni/2 further terms.
Therefore, the evaluation of (K I _ 1 r - r K I ) VI in (20 b 3 ) requires only
2 nl_ 1 nl ~ 2 CN n; operations. One concludes that CMGM = 5, as in (7).
Again, the two-grid iteration matrix M{GM is given by (8), whereas the multi-
grid iteration matrix Mt of algorithm (20) equals M; = M[GM for I = 1 and
MI' = 1 - {I - pr + p(1 - M;'.!l)(1 - KI_l)-l [(I - KI-l)r - r Kin (I -K I )
= M{GM + pM;'-2 l [r - (I - KI_1)-l (r K I - K I- 1 r)K I ] (16.2.23)
for I ~ 2. Note that (23) differs from (10") only in that the initial term r in the
square brackets of (23) has been replaced by r K I in (10"). Instead of (13) one
obtains
11 Mt IIIfl<--Ifl ~ 11 M{GM IIIfl<--Ifl + Cp " M;'-tll.i.<--Ifl(C, + CsCe CR hf). (16.2.24)

Theorem 16.2.11. Assume (1.8), (1.9), (1.12), (1.13), (1.14) with K > 0, and (11).
Let hl be sufficiently smalI. Then C* exists such that (15) holds for Mt. In
contrast to Theorem 16.2.6, the upper bound of h l and the constant C* do not
depend on CK (cf. (12.
The situation becomes simpler in
Corollary 16.2.12. If r p = I, a further representation of MI' is

MI' = M{GM + pM;'.!l r(M{GM - I). (16.2.25)
If in addition Cp = &r = 1, the multi-grid iteration converges when
11 M{GM IIIfl<--Ifl ~ 1/[2 (y' 2 + 1)] ~ 0.207 for I ~ 1.
Proof. MI' satisfies Inequality (17) with CK : = 1. Note 16.2.8 with CK = 1 yields
the desired result. 0
16.2.3 Third Variant
16.2.3.1 Aigorithm
The difficulty of the first variant was due to the presence of the factor K, in the
second term of (10"). This factor is not avoided in the second version but the
dominant term r K, from (10") is replaced by r in (23). In the case of the first
variant (2) the multiplication by K, yields a smoothing which has not been
exploited hitherto. Since the defect d from (2 Cl) is already smooth, the first of
the two iterations (2 c 2 ) can be performed without the smoothing step (2 b).
Therefore, the resulting third variant is even cheaper than the first one. The
resulting procedure MGM'" has a further parameter sm. If its value is true
(false), the smoothing is (not) performed. One step u{ - t u{+ I is defined by
means of MGM (.,.,., true). The value sm = false is used only inside the algo-
rithm at lower levels.
Multi-grid iteration MGM'" for solving u, = K,u, +}; (16.2.26)
procedure MGM(/,u,j,sm); integer I; array u,J; Boolean sm;

if 1 = 0 then u: = (I - K o) - I f else (16.2.26 a)
begin array v, d;
if sm then u: = K, * u + f; (16.2.26b)
d: = v * (u - K, * u - f); (16.2.26c l )
v:= 0; MGM(l- 1,v,d,false); MGM(l-l,v,d,true); (16.2.26 c 2)
u:=u-p*V (16.2.26c 3 )
end;
..................................................................

Proposition 16.2.13. Suppose CN < Ji.
One step of the multi-grid iteration
matrix (26) (with sm = true) requires C;:JGM n1 + 0 (n,) operations, where
C;:JGM = (CK + CrK )(1 - C~)/(l - 2 C~) (16.2.27)
(cf. (3), (4)). The constants (5 a) or (5 b) yield
C':GM = 6 (case (5 a)), C':GM = 4.5 (case (5 b). (16.2.28)

The two-grid iteration matrix (for all variants) can be written as
M{GM = ATGM K, with
ATGM = I - pr + p(I - K'_l)-l (r K, - K'-l r)
(cf. (8. The proof of Theorem 16.2.4 showed

IIAT GM 11'fl-"I';;;; (CI + CpCs CdM =: rxTGM. (16.2.29)
The iteration matrix of algorithm (26) is Mi" = A;" K I with
A;" = ATGM + p A;'~ 1 K I - 1 A;'.~ dI - K I _ 1 )-1 r(1 - K I )
= AT GM + p A;'~ 1 K I - 1 A;'~ 1 [r - (1 - K I _ 1 )-1 (r K I - K I - 1 r)] (16.2.30)
(cf. (10') and (10". We need an estimate of 11(1 - K I _ 1 ) - l r (1 - K,)II"I'_"I"
Inequality (1.16) proves
Lemma 16.2.14. The constant Cl : = CR Cs 11 I 11 'fl-"I' + 1 satisfies
11(1 - K ,)-III"1'_"I';;;; Cl (16.2.31 )
Lemma 16.2.15. Inequalities (1.9),111 11'fl+-"I';;;; const, (31), and
11 r 11"1' +-"1' ;;;; Cr* , (16.2.32)
imply 11(1- K I _ 1 )-1 r(1- K,)II"I'+-"I';;;; const.
(1 - K I - 1) -1 r(1 - K I ) equals r - (1 - K I _ 1 )-1 (r K , - K I - 1 r). A natural
estimate of the latter difference is
11 r K I - K I - 1 r 11"1' +-"1' ;;;; C~ h't (16.2.33)
(cf. Example 16.1.9 with 1/ = C" (D I.
Lemma 16.2.16. (31), (32), and (33) imply
(16.2.34)
Set I: = const in the case of Lemma 16.2.15 or I: = Cr* + Cl C~ h't in the
case of Lemma 16.2.16. The norm rx l : = 11 At 11 'fl-"I' can be estimated by
rxl ;;;; rxT GM + Cp rxf-l CR I'
Thus we obtain the inequality
11 Mi" 1I'fl+-'fl ;;;; 11 Al" 11'fl+-"I' 11 Kdl"l'+-'fl ;;;; rxl CR =: (I
with
(I ;;;; aGM + C (f-l I, aGM : = rxT GM CR'
p rxT GM from (29).
This recursion formula is similar to (24), if I is defined by the right side of (34).
Therefore, this third variant (26) as weil as the second variant are both appli-
cable for large values of CK = sup {li KIII'fl +- 'fl: I ~ 1}.
16.3 Numerical Results

16.3.1 Comparison of the Three Variants
Consider the integral equation
1
u(x) = Jo Acos(nxs)u(s)ds +f(x), xED = [0,1], (16.3.1)
16.3 Numerical Results 317
withf such that u (x) = eX cos (7 x) is a solution (cf. Atkinson [1], [2], Hemker-
Schippers [1]). The parameter A. will be chosen as 1, 10, and 100. We discretise
Eq. (1) by the trapezoid al rule ofExample 16.1.5 and use the step sizes h, = l/n,
of (1.5 a). Since this quadrat ure formula is of second order, the appropriate
prolongation p is the piecewise linear interpolation (2.3.9). The restrietion can
be chosen as f = finJrom (1.11). Then, conditions (1.8), (1.9), (1.12), (1.13), (1.14)
are satisfied with K = 2.
Table 16.3.1. Observed rate of convergence of the two-grid iteration (nI = 2n o) for Eq. (1)
with A = 1
nl 2 4 8 16 32 64 128
rate 1.5 10 -1 3.1 10 -2 9.6 10 -3 2.5 10 -3 6.3 10 -4 1.6 10 -4 4.0 10 -5
The observed convergence rates of the two-grid iterations are listed in

Table 16.3.1 for A. = 1. The 'observed convergence rate' is defined by
[11 uf - u,II<ft/11 u? - udl<ftF/ 5 (we do not claim that these numbers are always
very close to the true rate). The corresponding convergence rates of the multi-
grid iterations (2.2), (2.20) and (2.26) are almost independent of the number of
levels. For instance, the two-grid iteration with no = 64, n 1 = 128 has nearly
the same rate (namely 0.00004) as any of the three multi-grid variants with
no = 1, n 1 = 2, ... , n7 = 128. Hence, the numbers of Table 16.3.1 also hold for
the multi-grid case (n 1 replaced by nl)'
Table 16.3.1 shows that the rates are proportional to hi = hf as predicted
by Theorem 16.2.4. Theorem 16.2.6 as weil as Theorem 16.2.11 and the corre-
sponding statement in 16.2.3.3 are also confirmed, since two-grid and multi-
grid rates can hardly be distinguished. It can be checked that conditions (1.8),
(1.9), (1.12), (1.14) are needed. If, e.g., the prolongation p is chosen as un-
symmetrie, piecewise constant interpolation (of order 1), inequality (1.14) is
satisfied at most for K = 1 and consequently the convergence rates are ob-
served to be 0 (h,). Later ( 16.11.2), numerical results will demonstrate that in
the case of Example 16.1.3 (K = t) the rates are proportional to ht/ 2 . In the
present example, where the kernel is very smooth, one should employ higher
order quadrature formulae. Simpson's rule is fourth order. To obtain a rate
o (hi) one has to choose p as cubic interpolation (K = 4).
As stated in Theorem 16.2.6, the success of the first variant (2.2) depends on
the smallness of the bound CK of 11 KIII<ft ... <ft. Obviously, this number is propor-
tional to the factor A. in Eq. (1). Tables 16.3.2 and 16.3.3 contain the observed
rates of the multi-grid variants for A. = 10 and A. = 100 respectively. The finest
step size l/n is determined by n = nl' The coarsest grid width is l/no on level
o (cf. (1.5 a)). As predicted by Theorem 16.2.6, the first variant (2.2) diverges if
the coarsest step size ho is not small enough (ho ~ t for A. = 10, ho ~ -A- for
A. = 100).
Table 16.3.2. Observed multi-grid convergence rates for Eq. (1) with .l. = 10
n no = 1 no = 2 no = 4 no = 16 no = 32 no = 64
2 7.2 10 -1 - - - - - -
i5 4 6.7 10 +0 4.5 10 -1 - - - - -
o:s 8 6.8 10 + 1 1.2 10 +0 1.2 10 -1 - - - -
C
o:s 7.3 10 +4 4.4 10 +0 1.2 10 -1 3.3 10 -2
-;> 16 - - -
32 4.7 10 +10 1.6 10 + 2 2.5 10 -2 1.4 10 -2 8.3 10 -3 - -
.....
00
64 2.0 10 +22 1.7 10 +5 9.2 10 -3 2.7 10 -3 2.4 10 -3 3.6 10 -3 -

128 2.5 10 +45 4.0 10 +11 5.1 10 -4 5.7 10 -4 5.5 10 -4 5.5 10 -4 5.6 10 -4
2 7.2 10 -1 - - - - - -
i5o:s 4 7.0 10 -1 4.5 10 -1 - - - - -

C 8 5.8 10 -1 1.7 10 -1 1.2 10 -1 - - - -
o:s
;> 16 4.2 10 -1 4.0 10 -2 2.1 10 -2 3.3 10 -2 - - -
"0 32 2.2 10 -1 7.9 10 -3 8.0 10 -3 7.5 10 -3 8.3 10 -3 - -
N = 64 6.1 10 -1 2.1 10 -3 2.1 10 -3 2.1 10 -3 2.1 10 -3 3.6 10 -3 -
128 4.7 10 -3 5.3 10 -4 5.3 10 -4 5.3 10 -4 5.3 10 -4 5.3 10 -4 5.6 10 -4
2 7.2 10 -1 - - - - - -
4 4.2 10 -1 4.5 10 -1 - - - -
i5o:s
-
C 8 1.9 10 -1 1.5 10 -1 1.2 10 -1 - - - -

o:s
;> 16 6.2 10 -2 3.6 10 -2 2.1 10 -2 3.3 10 -2 - - -
32 5.8 10 -3 8.8 10 -3 7.9 10 -3 7.5 10 -3 8.3 10 -3 - -
"E 64 2.1 10 -3 2.0 10 -3 2.0 10 -3
r')
2.0 10 - 3 2.1 10 -3 3.6 10 -3 -
128 5.3 10 -4 5.3 10 -4 5.3 10 -4 5.3 10 -4 5.3 10 -4 5.3 10 -4 5.6 10 -4
Table 16.3.3. Observed multi-grid convergence rates for Eq. (1) with .l. = 100
n no = 1 no = 8 no = 16 no = 32 no = 64
2 9.3 10 +0 - - - - - -
4 7.7 10 +3 5.0 10 +0 - - - - -
i5o:s
C 8 1.5 10 + 7 1.1 10 +3 1.3 10 +0 - - - -
o:s
;>
16 1.7 10 +17 1.0 10 + 7 8.5 10 + 1 4.1 10 -1 - - -
in 32 1.0 10 + 36 1.7 10 +16 1.7 10 +4 5.7 10 +0 1.2 10 -1 - -
..... 64 1.0 10 + 74 8.2 10 +33 4.6 10 +10 2.5 10 +2 3.8 10 -1 3.2 10 -2 -
128 - 8.0 10 +69 8.6 10 +22 9.1 10 +6 7.3 10 -1 2.9 10 -2 2.0 10 -2
2 9.3 10 +0 - - - - - -
i5o:s 4 3.7 10 +2 5.0 10 +0 - - - - -
C 8 6.8 10 +5 8.5 10 +0 1.3 10 +0 - - - -
o:s
;> 16 5.7 10 +11 3.5 10 + 1 1.3 10 +0 4.1 10 -1 - - -
"8
N
32 3.2 10 +23 1.4 10 + 3 1.4 10 +0 2.4 10 -1 1.2 10 -1 - -
64 1.0 10 +47 1.8 10 +6 1.8 10 +0 6.7 10 -2 4.3 10 -2 3.2 10 -2 -
128 - 3.3 10 +12 2.9 10 +0 1.0 10 - 2 9.2 10 -3 8.9 10 -2 2.0 10 -2
2 9.3 10 +0 - - - - - -
i5o:s 4 1.2 10 + 2 5.0 10 +0 - - - - -
C 8 1.5 10 +4 1.9 10 + 1 1.3 10 +0 - - - -
o:s 16 2.1 10 + 8 3.1 10 +2 1.1 10 +0 4.1 10 -1 -
;> - -
"E 32 4.\0+ 16 8.5 10 +4 8.1 10 -1 2.3 10 -1 1.2 10 -1 - -
r')
64 1.9 10 +33 6.2 10 +9 8.0 10 -1 7.9 10 -2 4.3 10 -2 3.2 10 -2 -
128 3.8 10 +66 3.7 10 +19 5.7 10 -1 1.4 10 -2 9.6 10 -3 8.9 10 -3 2.0 10 -2
16.3 Numerical Results 319
The numbers of Tables 16.3.2 and 16.3.3 in the diagonal entries (n = 2n o)

eorrespond to the two-grid ease. As mentioned above, all three variants are
equivalent as two-grid iterations and their rates eoineide. The two-grid rates of
both Tables 16.3.2-3 show that Theorem 16.2.4 holds even in the ease of
divergenee.
The numerieal results illustrate th!#t there may be two different reasons for
divergenee. The first variant diverges if 1 K,ll", _ '" is too large and all three
variants fail if the two-grid iteration with some eoarsest grid size no has a
eonvergenee rate of about 1.
The seeond and third variants yield very similar eonvergenee rates; how-
ever, the latter variant is eheaper. It is remarkable that the third multi-grid
version (2.26) eonverges for A = 100, no = 4, n, ~ 32, although the two- and
three-grid iterations (n ~ 16) diverge.
16.3.2 The Integral Equation Method for Elliptic Problems
Let Q c R 2 be a eonneeted domain with boundary r. Consider the Diriehlet

problem
A !P = 0 in Q, !P = g on r. (16.3.2)
A harmonie funetion (i. e. a solution of A !P = 0) in R 2\r is given by the 'double
layer potential'
!Pd() = ~ f fl(z)eos(nz,z -()Iz - (1-1d~, ($r. (16.3.3)

211:1-
with arbitrary 'doublet distribution' fl. The term eos (n z , z - () is the eosine of
the veetor z - (E R 2 and the outward normal nz at ZEr. The integral!Pd ()
ean also be evaluated at ( E r, provided that r is suffieiently smooth. The limits
!Pt () and!Pi (0 of!Pd at ( Erfrom the outer and inner side, respeetively, differ
()
by fl if fl is eontinuous at (:
!pi (0 = !Pd() + fl()/2, (E r.
The solution of the Diriehlet problem (2) is !Pd if !Pi (0 = g() on r, i.e.
g() = !Pd() + fl(0/2. From this eondition we obtain the integral equation
fl(O =- ~ Jfl(z)eos(nz,z - () Iz - (1- 1 d~ + 2g(O (16.3.4)
for the unknown fl. Given a representation y(t), 0 ~ t ~ 1, of the boundary r,

the funetion u (t): = fl (y (t is the solution of
u(s) = - -1 J
1 1 )
u (t) eos (ny(t), y (t) - y (s Iy(t) - y (s)l- 11 dy/dt 11 dt + 2g(y (s).
11: 0 (16.3.4')
The regularity (1.4) is proved by Schippers [5]:

r
Proposition 16.3.1. Assurne E eH with 0 < (X < 1, i.e. there is a parametri-
sation of r by y(t), 0 ~ t ~ 1, with 0< Ildyfdtll, such that the periodic exten-
sion of y to R satisfies y E e 2 + IX (R). Then the integral operator associated with
Eq. (4) is a bounded mapping from L'X)(r) (or eO(r into e 1 + 1X (r):
IIKllc1+~(r)""LOO(r) ~ e, (xE(O,l).
Problem (4') can be discretised by the collocation method of Exam-

pIe 16.1.6 (panel method).
An exterior boundary value problem arising from the non-circulatory po-
tential flow around an aerofoil can be described by the same integral operator
(Schippers [6]). The flow is represented by the potential ifJ satisfying
LlifJ =0 in R 2\Q (exterior of .0),

oifJfon =
ifJ() -+ (U,O
on r (16.3.5)
for 11 ' " -+ 00
>
where (. , . is the scalar product in R 2 U ER2 is the velocity of the un-
disturbed flow. The solution ofEq. (5) is given by the double layer potential (3)
with JL satisfying the integral equation
1
JL() = - -; ~ JL(z) cos(nz,z - 0 Iz - ,,-1 dI;, - 2 (U, O.
The following numerical results are taken from Schippers [6]. He considers
problem (5) for the Karman-Trefftz aerofoil, which is defined in the complex
plane by
z(s) = c(e is - j1--=--? + ifl)kf(ei - ~ + ifl)k-l, 0~ S ~ 2n, (16.3.6)
with c = 2L(~ + J1 - fl2)k-lf(2 j1--=--?)k, ~: thickness, fl: camber, k:

trailing edge angle, L: length.
The conformal mapping
zH W = z(1 - ZfZ)1 -1/k, Z E.Q fixed,
removes the corner (' trailing edge', cf. Fig. 16.3.1).
a
Fig. 16.3.1. Karman-TrefTtz aerofoil in (a) z- and (b) w-coordinates
16.4 Nested Iteration 321
The resulting boundary r is described by w = wes), 0 ~ s ~ 2 n. The pa-

rameters in Eq. (6) are e = 0, L = 1, () = 0.05, k = 1.9 and k = 1.99.
Further data are U = (1, oV, Z = 1.95.
Following Schippers [6], the observed convergence rates of the multi-grid
iteration (2.2) (first variant) with coarsest grid size ho = i are listed in
Table 16.3.4. The numbers confirm that the convergence rate is proportional
to h't, K = 2 (cf. Example 16.1.11).
Table 16.3.4. Multi-grid convergence rates for non-circulatory

potential flow problem
n 16 32 64 128 256
k
1.90 0.26 0.091 0.020 0.0045 0.0011
1.99 0.43 0.26 0.095 0.022 0.0054
The circulatory flow problem will be discussed in 16.5.3.
16.4 Nested Iteration
16.4.1 Aigorithm
The following nested iteration coincides with algorithm (5.1.3):

..................................................................
Standard nested iteration (16.4.1)
...................................................................
Uo:= (I - KO)-lfo; (16.4.1 a)
for k : = 1 step 1 until 1 do
begin Uk: = PUk- 1;
(16.4.1 b)
for j: = 1 step 1 until i do MG M (k, Uk' fk) (16.4.1 c)
end;
..................................................................
The work of the nested iteration with i =1 is less than the work of two
multi-grid iterations at level I.
Note 16.4.1. Assume (2.4): n/-l ~ CNn/ with C N < A.

The work of (1 a) and
(1 b) can be neglected. The total computational work of algorithm (1) is
bounded by i/(l - C~) times the work of one MG M-iteration at level I. For
i = 1 the nested iteration requires C nf + O(n/) operations with C given in

Table 16.4.1:
Table 16.4.1. The factor C in the formula for the compu-

tational work of the nested iteration (1)
multi-grid variant first second third
case (2.5a) 9.33 10,67 8.00
case (2.5b) 6.67 8.00 6.00
case of Note 16.2.10 6.67
16.4.2 Accuracy
As in 5.2 we can prove

Proposition 16.4.2. Assume
11 U" - pU"-tll",, ~ CDh k (relative discretisation error) (16.4.2a)

Ilpll""+-",,hk-tlhk ~ const (jJ = Pk+-"-t) (16.4.2b)
11 M:'GM 11""+-",, ~ CMGM hk (16.4.2 c)
for 1 ~ k ~ I, where M:'GM is the respective iteration matrix M~" Mi: or Mt

of the multi-grid algorithm (2.2), (2.20), (2.26). Then all results U" (0 ~ k ~ l) of
the nested iteration (1) satisfy
(16.4.3)
The relative discretisation error (2 a) is already mentioned in (1.15 ').
Proposition 16.4.2 shows that the iteration error of Uk is much smaller than the
(relative) discretisation error. Note that condition (2c) implies multi-grid
convergence. In that case we know from Theorem 16.2.6 that
11 MjI'GM 11""+-",, ~ CTGMh k + O(hfK). Thereby, (3) may be replaced by
16.4.3 Nested Iteration with Nystrm's Interpolation
If a quadrature formula is used as discretisation method, one can replace the

interpolation P in (1 b) by Nystrm's interpolation (cf. Nystrm [1 D:
Uk: = K",k-t Uk-1 + Jt, (16.4.4a)

where the rectangular matrix K k,k-1 is defined by
(Kk,k-1 Uk-t) (x) = hk - 1 L w(y) k(x, y) U"-1 (y), XE D". (16.4.4b)
yeDk-\
16.4 Nested Iteration 323
K,+ I,'U, + f,+ I is the right-hand side of (1.5c) evaluated at X E D,+ I instead of
XE D,. If Dk- I C Dk and fk(X) = fk-I (X) on Dk- I , the restriction of
Kk,k-I Uk- I + hc to Dk- I equals K k- I Uk- I + fk-I .
The interpolation (4) is much more expensive. It requires
(16.4.5)
operations, whereas standard interpolations Uk = PUk- 1 take work of order
o (nk)' Nonetheless, it pays to apply Nystrm's interpolation, since the resulting
approximation Uk is already smoothed. The first iteration of the following
multi-grid algorithm (if i = 1 there is only one iteration) can be performed
without a smoothing step. Combining the modified nested iteration (i = 1) with
the third multi-grid variant (2.26), we obtain the following algorithm:
..................................................................
Nested iteration with Nystrm's interpolation (16.4.6)
..................................................................
Uo := (I - K O)-1 fo; (16.4.6a)
for k: = 1 step 1 until I do
begin uk : = Kk,k- I Uk- 1 + fk; (16.4.6b)
MGM(k, Ubhc, false); comment MGM from (2.26) (16.4.6c)
end;
..................................................................
Note 16.4.3. The nested iteration (6) requires Cnr operations with
C = 6.67, case (2.5 a),
C = 4.67, case (2.5b).
The respective numbers are C = 8 and C = 5.33 if the first multi-grid variant
(2.2) is used in (6c).
It is remarkable that 134 nr operations (equivalent to 2% Picard iterations)
are sufficient for producing results uo , u1 , , U, to an accuracy beyond the
discretisation error.
We conc1ude with numerical results. Let uk be the results of the nested
iteration (6) for the problem from 16.3.1 with A. = 10. A comparison of the
iteration error 11 Uk - Uk 11 00 with the discretisation error 11 Uk - U 11 00 is given in
Table 16.4.2:
Table 16.4.2. Results of nested iteration (6) applied to problem (3.1)

k 0 2 3 4 5 6
1 1 1 1 1 1
hk 2 4 8"
~
16 32 64 128
iteration error 0.0 4.8 10 - 1 8.2 10 - 26.7 10 - 3 1.4 10 - 46.3 10 - 66.0 10 -7
16.5 Comments and Modifications
16.5.1 More than One Picard Iteration
Multi-grid algorithms for elliptic equations use v steps of some smoothing

iteration, where v must be sufficiently large (cf. Theorem 7.1.2 or The-
orem 7.2.2). One can try to replace the smoothing step (2.2b) by
for i = 1 step 1 untH v do u:= K , * U + f; (16.5.1)
As known from 16.2.1, the choice ofv > 1 is dangerous if 1 K,ll 'P/+-'P/ ~ 1. Even
if 1 K,ll 'P/+-'P/ ~ 1 the analysis given above shows no advantage in taking v > 1.
However, there are eases where v > 1 is reasonable.
In Example 16.1.3 the operator K does not map from L2 (D) into HY(D) for
fixed Y E (~, 1), but K 2 does so. Another example follows.
Example 16.5.1. Assume D = [0,1] and let k(x, y) be sufficiently smooth in the
two triangles 0 ~ x ~ y ~ 1 and 0 ~ y < x ~ 1, but diseontinuous aeross the
diagonal x = y. Then K maps from CS(D) into CS+ 1 (D), s ~ 0, but not into
Ct(D) with t > s + 1. As a eonsequence K 2 : CO(D)-+ C 2 (D) holds.
Assume that the multi-grid iteration (2.2) (with v = 1) is applied. In the ease
of Example 16.1.3 one has to choose d/t, = L2 (D,), "f/ = H l / 2 (D,) (discrete ana-
logues of L 2 (D), H l / 2 (D, which yields K = ! as maximum exponent in the
O(h K ) right-hand sides of (1.12), (1.14). For Example 16.5.1 we have
d/t, = CO (D,), "f/ = Cl (D,), and K = 1. The possibly better orders of the inter-
polation p and of the quadrature formula cannot be exploited. The multi-grid
convergence rate is only 0 (hi) with K = ! or K = 1 respectively.
The situation improves if we perform v ~ 2 smoothing iterations (cf. (1.
The regularity eondition (1.9) ean be replaeed by
1 Kl'lIf+-'P/ ~ CR
Now the respective choices of "f/ in the previous examples are HY (D,), Y E (t, 1),
and C 2 (D ,). The multi-grid eonvergence rates beeome 0 (hf) and 0 (hf) respec-
tively, instead of 0 (h,t/2) and 0 (h,).
16.5.2 Other Smoothing Iterations
A general iteration ean be written as
ul-+AI-l(BIU,+!t) with A,-B,=I-K,. (16.5.2)

We always used Pieard's iteration: A, = I, B, = K ,. In the ease of a weakly
singular kernel k (x, y) = k l (x, y) f (x - y) with f (s) = Is 1-). or f (s) = log Is I
ete. one might think of employing a Jaeobi-like iteration, sinee the main diag-
16.5 Comments and Modi/kations 325
onal and the neighbouring diagonals contain entries oflarger size than outside
the diagonal band. A natural choice of A, and B, would be
A,=I-Kr, B,=K,-Kr, (16.5.3 a)

where the entries of Kr are
Kr .. = {KI'i j if li - jl ~ rl , } (16.5.3b)
,11 0 otherwise '
The number r, determines the band width of A" For periodic functions the
difference i - j in li - j I ~ r, is to be understood modulo dim(OU,).1t has to be
ensured that A, is stable: 11 A ,- 1 11 'fI+-'fI ~ const.
The smoothing iteration (3) can be regarded as Picard's iteration applied to
a modified integral equation. Set kO(x, y) = k(x, y) if Ix - yl ~ J, kO = 0 else-
where, and define the operator KO by means of the kernel kO. The integral
equation u = Ku + f can be written as
(16.5.4)
Iteration (2) with A" B, from Eq. (3) is Picard's iteration applied to the discreti-
sation of Eq. (4), if J = r,h,.
A somewhat modified splitting of 1- K , may be better than (3). Define the
integral operator K by the kerne! f(x, y) = k( x, y) for Ix - y I ~ J, f smoothly
continued for Ix - yl ~ J. KO:= K - K can be used in (4). The corresponding
discrete version (3) involves a matrix B, with improved smoothing property.
The previous iterations can also be applied to integral equations of the
first kind as done by Oskam-Fray [1]. In this case Eq. (4) becomes
u = (KO) - 1 [(K - KO) u + fJ. Another approach to equations of the first kind
will be proposed in 16.10.5.
Not only the diagonal entries of K , can become large. The next subsection
reports such an example and describes an efficient smoothing iteration.
16.5.3 AppUcation of the Integral Equation Method to the Calculation

of Circulatory Flow around an Aerofoil
Consider the exterior boundary value problem (3.5) in the case of an aerofoil
with trailing edge (r (cf. Figs. 16.3.1 a and 16.5.1). Again the double layer poten-
tial (3.3) is used. At both sides of the edge (r the flow speed must coincide
('Kutta condition'). As a consequence
dll(O/dT -+ 0 as (-+ (I> (E r,

must hold for the doublet distribution Il, where djdT represents derivation in
the tangential direction. The resulting integral equation for Il is
(16.5.5)
---
---
Fig. 16.5.1. Neighbourhood of the trailing edge
where m =!1t arg(, - () and K is the integral operator associated with

Eq. (3.4). The quantity Jl.+ (Jl.-) is the limit of Jl.() along the upper (lower) side
ofthe trailing edge (cf. Fig. 16.5.1). Schippers [4], [6] discretises the problem (5)
by the panel method of Example 16.1.6. The parametrisation of r is chosen
such that y(O) = y(1) = (,. For SE (O,!) the boundary points y(s) and y(1 - s)
are lying on the upper and lower part of r having ~the same x-coordinates.
Quantities Jl. + and Jl. - are identified with the first and last components u" 1 and
U',n, ofthe discrete grid function (cf. Fig.16.5.1). The matrix K, ofthe resulting
discrete equation
u,=K,u,+f, (16.5.6)
has large entries K"i,n,-i-l in the cross-diagonal. The size of K"i,i is deter-
mined by the angle at the ith grid point with sides intersecting the end points
of the jth interval. Figure 16.5.1 depicts the respective angles involved by
K"i,n,-1 for i = 1,2,3. Obviously the angle is extreme for i = 2 (in general for
i + j = n, + 1).
It turns out that the Picard iteration does not yield a fast converging
multi-grid iteration. This is in accordance with the following result of Schip-
pers [6].
Note 16.5.2. If a trailing edge is present, the integral operator K is not bounded
as a mapping from U)(r) into C(r).
Schippers [4], [6] proposed to smooth Eq. (6) either by block-Jacobi iter-
ation (calIed 'paired Jacobi iteration'), where the ith block consists of U',i and
u',n,+ I-i (1 ~ i ~ n,j2), or by the corresponding 'paired Gau-Seidel relax-
ation'. In the former case, the matrix A, from (2) is given by
if j = i,
1;
1- K"ii
A"ii = K " i,n,+I-i if j = n, +1- i,

otherwise.
16.5 Comments and Modifications 327
The multi-grid convergence is satisfactory if paired Jacobi iterations are used
for smoothing. Even better results are obtained for paired Gau-Seidel iter-
ation (cf. Schippers [6], [7]).
16.5.4 Construction of the Coarse-Grid Discretisation
If one chooses a quadrature formula like the trapezoidal rule, one obtains a
nested hierarchy of grids D,. A different situation arises if one wants to apply
a Gaussian quadrature formula. The first possibility would be to define each
matrix K, by a Gaussian quadrature rule with n, grid points, where
no< nl < ... < n,. Since D'-l q:: D" the restriction r cannot be injection. For
example, ru, may be the evaluation of the piecewise linearly interpolated grid
function u, at the points of D'-l. Similarly, p u,_ 1 can be defined.
A second possibility is explained below. For a fixed (finest) levelllet K, be
a given discretisation using the grid D,. Choose Do c D1 C ... C D'-l cD"
and define rand p suitably, and set
(16.5.7)
For example, r may be the trivial injection (1.11), while pis a piecewise inter-
polation.
Proposition 16.5.3. Let K o, K 1, ... , K,_ 1 be constructed by (7). The two-grid
iteration matrix (2.8) equals
M[GM = [/ + p(/ - Kk_1)-1 rK k][/ - pr]Kk> k = 1,2, ... , l.
The multi-grid iteration matrices M~ and M; from (2.10) and (2.23), respec-
tively, become
M~= M[GM + pM~:'l [r - (I - Kk_1)-1 r Kk(I - pr)] K k,
M; = M[GM + pMt~l [r - (/ - Kk_1)-1 rKk(I - pr) K k).
The relative consistency condition (1.12) follows from rK,- K'_lr =
r K, [1 - pr], while the regularity condition (1.9) at level 1 implies the same
inequality at the coarse-grid levels k < 1 if 11 pli <l/ .... <l/ ~ 1, 11 r 11 -r .... -r ~ 1.
16.5.5 Further Modifications
All multi-grid variants involved y = 2 iterations of the coarse-grid equation

(cf. (2.2c 2), (2.20b 4 ), (2.26c2)). It does not pay to perform y = 3 iter~tions since
the multi-grid rate is already sufficiently dose to the two-gnd rate (cf.
Theorem 16.2.6 etc.).
In particular, if 11 K,II <l/ .... <l/ < 1, the choice y = 1 is possible. Ho~ever, if
11 K,II <l/ .... <l/ ~ 1, the contraction numbers 11 Mi 11 <l/ .... <l/ and 11 Mi' 11 <l/+-<l/ wIll be of
the size of 11 M'{;GM 11 <lI+-<lI (instead of 11 MT GM 11 <lI+-<lI): A compromise is to choose

y = 2 if I ~ 1*, Y = 1 if I > 1*.
Then, 11 M;' 11 <lI+-<lI ~ 11 M~GM 11 <lI+-<lI can be expected for I > 1*. If 11 K, 11 "'+-<lI ~ 1,
the first variant cannot be used with y = 1.
The convergence beha viour described in Theorems 16.2.6 and 16.2.11 is
preserved by the choice
y = 1 if I is odd, y= 2 if I is even. (16.5.8)
Note 16.5.4. Assurne (2.5b). The nested iteration (4.1) with odd land with
MGM from (2.2) modified by (8) requires Cnl + O(n,) operations, where
C = ~; ~ 5.47. The corresponding number for the analogous modification of
the nested iteration (4.6) is C = ~ 3.47. i;
For the sake of convenience only, the ratio h'-llh, = 2 is proposed (cf.
(1.5a)). One can, instead, use a sequence {h,} with increasing quotient h'-llh,
(cf. McCormick [1]).
16.6 Tbe Nonlinear Equation of tbe Second Kind
The equation of the second kind is the fixed point equation

u = .%(u), (16.6.1)
where .%: 011 c: Oll -+ Oll is a (nonlinear) operator. Equations (1) is assumed to
have at least one isolated solution u* E 011. If .% is affine (i. e. .% (u) = Ku + f),
we regain the linear problem (1.2).
Example 16.6.1. The nonlinear Fredholm integral equation of the second kind
u(x) = Jk(x, y, u(y)) dy + g(x), XE D,

D
L
leads to Eq. (1) with .% (u) = k ( , y, u (y)) dy + g. However, there are numer-
ous other problems that can be formulated by Eq. (1). Examples will be given
in 16.8, 16.10, 16.11.
The discrete problems are denoted by
u, = .;r;(u,), I = 0,1, ... , (16.6.2)
where .;r;: 0/1,0 c 0/1, -+ 0/1, are nonlinear mappings. At least one isolated sol-
ution ur E 0/1,0 is supposed to exist. The derivative of .;r; is denoted by
K,(vz):= .;r;'(vz) for V,Eo/I?
16.6 The Nonlinear Equation of the Second Kind 329
and is assumed to be Lipschitz continuous:
IIK,(v,)-K,(w,)"tft .... tft~CK"V'-W'''tft forall V"W,EdIt,o, 1~0.

(16.6.3)
The derivative at v, = ut (ut: solution of Eq. (1 is denoted by
(16.6.4)
We shall require that the matrix MT GM from (2.8) defined with K, and K'-l
from (4) satisfies
11 M1 GM IItft .... tft ~ CTGM hj, MT GM := [I - p(1 - K'_l)-l r(1 - K, K,.

(16.6.5)
Consequently, the linear two-grid iteration applied to the linearised equation
has a contraction number ~ CTGM hj. By Theorem 16.2.4, estimate (5) follows
from (1.8), (1.9), (1.12), (1.13), (1.14).
Example 16.6.2. Discretise the nonlinear integral equation of Example 16.6.1
by the trapezoidal rule as in Example 16.1.5. K,(v,) is given by Eq. (1.5c)
with k (x, y) replaced by k u (x, y, v, (y. Relations k u E Cl (D X D x ditO) and
dIt, = CO(D,) imply Inequality (3). Concerning the choice of "fI and K the ex-
amples of 16.1.3 still apply.
The assumptions (3) and (5) are relatively weak. For example, Inequality (5)
is to be satisfied only by K, = K,(ut), not by K,(v,) for v, + ur. Note that (3)
does not imply the regularity assumption (1.9) for K,(v,).
For the multi-grid process it is necessary to consider the perturbed equa-
tions
u, = %,(u,) + fz, 1= 0,1, ... (16.6.6a)
with sufficiently small perturbations fz. For example, we may require
11 fz "tft ~ E,. (16.6.6b)
For simplicity, one may set

OU,o:= {u,: u, is the solution of(6a) for fz with (6b)}.
Note 16.6.3. Let ur E dIt,o be a solution of(2). By the inverse mapping theorem,
the assumptions (3) and (1.8) establish the unique solvability of (6a, b) in a
neighbourhood of ur, if E, > 0 from (6b) is sufficiently smalI.
The inverse mapping fz ~ u, is denoted by 4>,: u, = 4>, (fz) is the solution of
Eq. (6a). The mapping 4>, is defined on {fzE dIt,: 11 fz 11", ~ E,}. Its derivative is
(I - K, (4), (fz))) - 1 . In particular,
4>,(0) = ur, 4>;(0) = (I - K,)-l (16.6.7)
holds.
16.7 Nonlinear Multi-Grid Method of the Second Kind
16.7.1 Two-Grid Iteration
The following algorithm corresponds to (9.3.7):
Nonlinear two-grid iteration for solving u, = %,(U/) + Ir (16.7.1)

..................................................................
u;:= %,(ui) + Ir; (16.7.1 a)
d,- 1 : = r * (u; - %,(u;) - Ir); (16.7.1 bd
U,-l E OU,o-1 must be given; possibly determined aposteriori by
The defect of U,-l must be given also:

1,-1:= U,-l - %'-dU,-l); (16.7.1 b 3 )
u[+ 1:= u; + P [41, - dJ,-1 - sd ,- 1 ) - U,_ dis (16.7.1 b 4 )
tP k denotes the inverse of I -~. <Pdik) is the solution of Eq. (6.6a):

Uk - ~ (Uk) = k <P k replaces 'pk- 1 from 9.
The equivalent of Remark 9.3.4 is
Note 16.7.1. If %, and %'-1 are affine (i.e. Jf';.(Uk) = K k Uk + gd, algorithm (1)
with arbitrary U,- 1 E OUI_l and SE R is algebraically equivalent to the linear
iteration (2.1).
The function 41' - 1 (1,-1 - S d,- 1 ) is only defined if
111,-1 - sd ,- 1 11", ~ B'-I' (16.7.2)
Note 16.7.2. Let U,- 1 be given apriori with, e.g.,
1 I, - 1 11 '" ~ B, _ 1 12. (16.7.3)
Then the choice s: = 11 1,-1 1 ",/(2 1 d, - 1 1 "') ensures (2). The fixed choice of U,-l
has the advantage that 1,-1 (cf. (1 b 3 has to be computed only once, whereas
the definition of U,- 1 by (1 b 2 ) requires the computation of 1,-1 by (1 b 3 ) in
every iteration.
Note 16.7.3. The analogue ofthe FAS scheme (9.3.10) is obtained by (1 b 2 ) and
S= 1; ];-1 has to be recomputed in every iteration. The inequality (2) in
question becomes
11 [ru; - %'-1 (ru;)] - r [u; - %,(ul) - Ir] 1 <VI
= Ilr%,(u;) - %'-dru;) + rlr 1 '" ~ B'-I'
16.7 Nonlinear Multi-Grid Method of the Second Kind 331
The first term 11 r Jfi (uD - Jfi - 1 (r ui) 11", may be expected to be of 0 (hi)' pro-
vided that u; is smooth. However, the smoothing step (1 a) guarantees the
smoothness of the error u; - tP/U;), though not necessarily of u; itself.
16.7.2 Multi-Grid Iteration
As in (9.3.11) we assume that there exists an iterative method
(16.7.4)
for solving coarse-grid equations at level 1 = O.
Note 16.7.4. If ~ is contractive (i.e. 11 %0 (v o) - %0 (wo) 11 '" ~ L 11 Vo - Wo 11 "',

L< 1), a certain number of Picard iterations may serve as tPo . Another pos si-
bility is a Newton iteration tPo requiring an approximation ofthe Jacobi matrix
Ko(ub)
The multi-grid iteration needs arbitrary values
(16.7.5a)
with defects
(16.7.5b)
These values may be given apriori (cf. (8 b or aposteriori analogously to (1 b 2 )

by inserting statements
between (6b) and (6cd. The first variant (2.2) becomes
Nonlinear multi-grid iteration (first variant) for solving

u/ = Jfi(u/) + fz (16.7.6)
procedure NMGM(/,u,f); integer I; array u,f;

if I = 0 then u: = tPo (u,f) else (16.7.6a)
begin integer j; real s; array v, d ;
u:= Jfi(u) + J; (16.7.6b)
d:= r * (u - Jfi(u) - f); (16.7.6c 1)
s:=if d=O then I else O"/-l/lldll<fl; (16.7.6c 2)
d:=h-l-S*d; (16.7.6c 3 )
v:= U/-l; (16.7.6c4 )

for j:= 1,2 do NMGM(I- 1,v,d); (16.7.6cs)
u:= u + p(v - u/- 1 )/s (16.7.6c 6 )
end;
According to Note 16.7.2, one should choose 0'/-1 ~ 8/-1/2. IfJ,-1 =1= 0 satisfies
(3), the choice
0'/-1 = 111,-1 II'ft

is permitted. For the case of d = 0 see Note 9.3.3.
Note 16.7.5. Iteration (6) requires no derivative. Only the evaluation of fz(u,)
is needed.
Also the second variant (2.20) can be generalised to nonlinear problems.
Nonlinear multi-grid iteration (second variant) for solving

u/ = fz(u,) + h (16.7.7)
procedure NMGM(I,u,f); integer I; array u,f;

if 1 = 0 then u: = $0 (u,f) else (16.7.7a)
begin integer j; real s; array v, u', d;
u':= Jtl(u) + j; (16.7.7b)
d:= fz-dru') - fz-dru) + r * (u - fz(u') - f); (16.7.7c 1)
u:= u - pr(u - u'); s:= if d = 0 then 1 else O'/-I/IIdll'ft; (16.7.7c2)
d:=J,-I-s*d; (16.7.7c 3)
v:= u/- 1 ; for j:= 1,2 do NMGM(l- 1,v,d); (16.7.7c 4 )
u: = u + P * (v - u/- 1 )/s (16.7.7cs)
end;
..................................................................
In (7c 1) the difference fz-l(ru') - fz-l(ru) may be replaced by
fz-du/-l + r(u' - u - u/- 1 + 1,-1'
The nonlinear formulation of the third multi-grid variant (2.26) is obvious.
Analogously to Note 16.7.1 one proves
Note 16.7.6. If the mappings x,.(Uk) = K k Uk + 9k, 0 ~ k ~ I, are affine, the

iterations (6) and (7) are algebraically equivalent to the respective linear multi-
grid iterations (2.2) and (2.20), independently of the choice of O'k and Uk-1'
16.7 Nonlinear Multi-Grid Method of the Second Kind 333
16.7.3 Nested Iteration
The equivalent of algorithm (9.3.14) is the
..................................................................
nested iteration for solving Uk = Jt'k(Uk), 0~k~I (16.7.8)
..................................................................
o: given approximation to u~; (16.7.8a)
for k: = 1 step 1 until 1 do
begin "'-1: = k-1 - Jt'k-1 (k-l); (16.7.8b)
k:= Pk-1; (16.7.8c)
for i:= 1 step 1 undl i do NMGM(k,k'O) (16.7.8d)
end;
The nested iteration (8) is used not only to provide good starting guesses
at the next level, but also to compute the auxiliary k from (5 a) and their defects
o, 1"'" k-1 and 1o,ft, ... ' ' -1

(5b). When procedure NMGM is called in (8d) at level k, the values
are already computed. The statement (8 b)
can be omitted if (1 b 2,3) is used inside (6) or (7).
If %, is defined by Example 16.6.2, also the nonlinear counterpart of the
nested iteration (4.6) with Nystrm's interpolation can be applied.
16.7.4 Convergence
In 16.9.3 we shall analyse the convergence ofthe multi-grid iteration and the
accuracy of the results k of the nested iteration. A necessary condition for
convergence U/ -+ ur
is stated in
Note 16.7.7. The exact solution ur is a fixed point ofthe multi-grid iterations
(6) and (7).
As in 9.5 it will turn out that the nonlinear multi-grid iteration converges
asymptotically as fast as the linear iteration applied to the linearised problem
U, = K , U, + fi with K , from (6.4).
As with any nonlinear iteration, the multi-grid iteration may fail if the
starting guess is not dose enough to the solution. The starting values k from
(8c) must be inside the 'convergence domain' IlIik*:= {VkE IlIiR: iteration with
ur = vk,.h = 0 yields u~ -+ ut}. However,pk_l E 0/.1: cannot be guaranteed in
general even if k-l is very acurate, since PUt-1 Ej:o/.I: may hold. In that case,
one should try to apply continuation techniques.
16.7.5 Computational Work
The work ofvector additions and ofmultiplications by r,p or scalar factors can
be neglected, since the dominating part ofthe computation is the evaluation of
Jf!(VI). Assume
VI~ Jf!(VI) requires ~ CI operations, (16.7.9a)

(vo'/o) ~ cPo (vo'/o) requires ~ C'" operations. (16.7.9b)
Note 16.2.2 can be extended to the present case.
Note 16.7.8. The coarse-grid equations are solved in (6c s) and (7 C4) by two
iterations at level 1- 1 starting with u?_ 1 = UI_ 1 The evaluation of Jf!- 1 (UI_ 1)
can be omitted since Jf!-dUI-l) = UI-l - ];-1.
Taking into account Note 16.7.8 one proves
Proposition 16.7.9. Assume uk,J,., 0 ~ k ~ 1- 1, to be known. One multi-grid
iteration at level I requires at most
1-1
2C, + 3 L 2 1- k- 1 Ck + 21 C", for 1st variant (6)
k=1
I
Cr MGM = L 21-k+ 1 C k + 21- 1 Co + 21 C'" for 2nd variant (7)
k= 1
1-1 (16.7.10)
2 CI + L 2/- k Ck + 2' C'" for 3rd variant
k=1
operations. If Uk and h are computed in every iteration by means of(1 b 2. 3)' the
respective numbers are
I
L 2/- k + 1 Ck + 21 - 1 Co + 21 C", for 1st variant,
k=1
1-1
Cr MGM = 2C I + 5 L 21- k- 1 Ck + 2 /(C O + C"') for 2nd variant,
k=1
1-1 (16.7.11)
2CI +3L 2/ - k + 1 C k + 2 /- 1 Co + 2 / C", for 3rd variant.
k=1
The nested iteration (8) requires at most

1-1
2iC I + L: [1 +i(321- k -1)]Ck +C O
k= 1
1-1
CInesled il. -_ 2iC I + L [1 + i(4 21- k - 2)] C k + [1 + i(2' - 1)] Co

k=1
1-1
2iC I + L [1 + i2 / - k + 1 ] C k + Co
k= 1
+ i (21+ 1 - 2) C'" (16.7.12)

16.8 Application to Nonlinear Elliptic Equations 335
operations. If Uk' J,. are computed in each iteration and if (8 b) is omitted, the
respective numbers are
I
L (2 1- k + 2 -
k;l
2) C k + (21 - 1) (Co + 2C<1,
I
qested it. = L (5 21- k - 3) Ck + 2(21- 1 - 1) (Co + C<1, (16.7.13)
k;l
I
L (3 21- k - 1) Ck + (21 - 1) (Co + 2C<1.
k;l
These formulae do not take into account that the evaluation of r ~ (UI) may be
cheaper than the evaluation of ~(UI).
16.8 Application to Nonlinear Elliptic Equations
Equation (6.1) of the second kind may be representative of equations other

than integral equations. A prototype is studied in this section.
16.8.1 Reformulation of the Continuous Boundary Value Problem
Consider the elliptic boundary value problem
- Llu(x, y) = g(x, y, u(x, y)) in Q = (0,1) x (0,1),

(16.8.1)
u = 0 on r = aQ
with some (nonlinear) function gE CO (Q x IR). Problem (1) is equivalent to
U=(-Ll)-l g(,,u), (16.8.2)
where w = ( - LI) -1 V denotes the solution of - Llw = v in Q, w = 0 on r. Ab-
breviating the right side of (2) by
%(u):= (- LI)-l g(.,. ,u), (16.8.3)
we obtain the equation (6.1), u = %(u). The derivative of % is

K(v):=(-Ll)-l gu(,,v),
if gu = ag/au exists. The relation w = (- LI) -1 V can be represented by means

f
of Green's function G(x, y; ~,IJ): w(x, y) = G(x, y; ~,IJ) v(~, IJ) d~ dlJ. Hence,
Q
formally, %(u) is the weakly singular, nonlinear integral operator
%(u) (x, y) =
Q
f G(x, y; ~,IJ) g(~,IJ, u(~,IJ)) d~ d1J. (16.8.4)
We have to check the regularity (1.4), 11 K 11 f+-'f{ ~ C, of K = K (u*), since

otherwise there is no hope of satisfying (1.9). We may choose
OU = CO(Q), "1/'= C 1 +a(Q) with fixed txE[O,l). (16.8.5)
The well-known estimate 11 (- LI) -1 W 11 C'+'(D) ~ Coll W 11 corD) yields
11 K W 11 f = 11 ( - LI) - 1 gu ( , ,u*) W 11 Cl+'(m

~ Co 11 gu( , ,u*) 11 COrD) 11 W 11 CO(D) ,
hence
(16.8.6)
16.8.2 Discretisaon
The boundary value problem (1) can be discretised by
L,u, = g,(u,), (16.8.7)
where g,(u,) is the grid function with values g,(u,) (x, y) = g(x, y, u,(x, y)) on the
grid
D, = {(x, y) = (vh" Jlh,) E R 2 : v, Jl E 7L, < v, Jl < 1/h l },

(16.8.8)
L, may be the five-point scheme including the homogeneous boundary condi-

tions. The reformulation (1) f-+ (2) applied to (7) yields
u, = %,(u,) with %,(u,):= L , l g,(u,). (16.8.9)

Note that the discretisation of u = :f{' (u) by (9) is much easier than a discretisa-
tion of the integral operator (4). The performance of u, f-+ %,(u,) is relatively
cheap:
Note 16.8.1. The evaluation of %,(u,) requires the evaluation of g,(UI) [O(h l- 2)
operations] and one call of a direct Po iss on solver. For example Buneman's
algorithm (cf. Buneman [1], Meis-Marcowitz [1]) can be used. The required
work amounts to O(h,-2110ghl l).
The derivative of %,(Ul) at VI equals
KI(VI) = L , l gi(VI)' where (g;(VI) wl) (x, y) = [og(x, y, Vl)/OU] WI(X, y).
One can prove
Lemma 16.8.2. Assume g, gu E CO(Q x R.), and suppose that there are solutions
ur of (7) bounded by 11 ur IlcO(D,) ~ const for I = 0, 1,2 .... Then K l = %,'(uf)
16.8 Application to Nonlinear Elliptic Equations 337
satisfies the regularity condition (1.9) for the choice OU, = CO (D,),
"f/ = Cl +IX(D,), IX< 1 (cf. 16.1.3). Also, (1.12) and (1.14) can be shown to hold
with 1C = 1 + IX.
Although Eq. (9) is not a discrete integral equation, the multi-grid iterations
(7.6) and (7.7) can be applied to Eq. (9), since according to Note 16.8.1 ~(U,)
can easily be evaluated. The convergence depends on the conditions (1.8), (1.9),
(1.12), (1.13), (1.14), not on the fact that %, represents an integral equation.
Nevertheless, the abstract equation (9) ofthe second kind gives rise to some
other properties of the multi-grid process. The reason is not the nonlinearity.
The following comments hold even for a linear equation u, = Jf/(u,), as ob-
tained for g(., ., u) = gl + g2U,
1) In the case of discrete integral equations (1.6), the entries K ,. i j of the matrix
K, are explicitly known and they are used for the matrix multiplication. In
the case of a linear Eq. (9) the entries of K, are never computed and the
mapping U,I--+ K, U, = %,(u,) - %,(0) is not performed as a matrix multipli-
cation.
2) As a consequence, the modifications mentioned in 16.5.2 cannot be gener-
alised, since the matrix A, involves the knowledge of special matrix compo-
nents.
3) Nystrm's interpolation (cf. 16.4.3) cannot be extended to problem (9).
4) The computational work of the mapping u, ~ %, (U,) is not necessarily pro-
portional to (dirn OU,)2. In fact, in the case of Eq. (9) the work is O(n, log n,),
n, = dirn (OU,) (cf. Note 16.8.1).
5) In the case of Eq. (9) the evaluation of rinj %,(V,) is not cheaper than the
evaluation of %,(VI)'
6) Often, %,(U,) from (9) has to be approximated iteratively, as po in ted out in
16.9.
16.8.3 Computational Work
According to Note 16.8.1, the work C, required in the evaluation of %,(U,)

satisfies
(16.8.10)
as for (one-dimensional) integral equations.

Note 16.8.3. Assuming (10) and neglecting C<z>, one obtains the following oper-
ation counts for the nested iteration (7.8):
= CI * 1.3
CInested it. < j
1.+
3 4 l3 ' i
+ 51..
3
1.3 + 4 i
i
(1st variant)
(2nd variant)
(3rd variant).
(16.8.11 )
338 16. Tbe Multi-Grid Method of the Second Kind
16.8.4 Numerical Example
Consider the problem (1) with g(x, y, u) = eU :

- LI U =e U in Q = (0, 1) x (0, 1), U =0 on r (16.8.12)
(cf. (9.2.2. In (7) the five-point discretisation is chosen with ho = !'
h1 = i, ... ,
hs = l4' At level I = 0 the discrete problem Uo = .%o(uo) + Jo is a
scalar equation (dirn ~o = 1), which is solved approximately by
Vo 1--+ tPo (vo ,Jo) = 0.0668 - 1.07Jo
The nested iteration (7.8) is started with uo(!'!) = 0.066819. The number of
iterations in (7.8d) is i = 1. The same piecewise linear interpolation p = p is
used in (7.8c) as inside the multi-grid iteration (7.6). The resulting values Uk at
the midpoint H,!) are listed in Table 16.8.1.
The iteration errors are much smaller than the discretisation errors. Ri-
chardson's extrapolation applied to the values Uk(!, !), k = 4, 5, 6, given in
Table 16.8.1 yields the number 0.078101022605, which coincides with the accu-
rate value of u(!,!> to nine digits. For more details, see Hackbusch [9].
Table 16.8.1. Results of the nested iteration applied to Eq. (12)

level k 0 1 2 3 4 5
1 1 1 1
grid size hk 2" 4 8
~
16 32
1
64
u (1,1)
k 0.066819 0.074579 0.077190 0.077872 0.078043 0.078087
observed re-
duction factor - 0.02 0.007 0.0026 0.001 0.0007
According to (11), the above computation requires a work ~ 5 es, equiv-

alent to five calls of a direct Poisson solver. Were the problem (7) solved by
Newton's iteration, direct Poisson solvers could not have been applied, since
the resulting linear equations - LI w = gu w have variable coefficients gu(x, y).
16.9 Multi-Grid Methods with Iterative Computation of ~(U,)

16.9.1 Notation
In the examples of 16.8 the computation of Jt';(UI) involves the solution of a
discrete Poisson equation. Applying a direct Poisson solver we are able to
evaluate Jt';(u l) explicitly. However, if Eq. (8.7) involves a more complicated
operator LI, it cannot be inverted by a direct solver and one has to use an
iterative method, e. g. a linear multi-grid iteration. Thus, Jt';(UI) will not be
16.9 Multi-Grid Methods with Iterative Computation of %,(u/) 339
determined exactly. Instead, an approximation can be computed depending on

the starting value and on the number of iterations. By
we denote the result of Il iterations with starting iterate w, =: Jt';(v,; w" 0).
Example 16.9.1. Let u{+ 1 = M, u{ + ~ f, be a (e. g. multi-grid) iteration solving

L,u,= f, with L, from (8.7). An iterative computation of Jt';(v,) = Li 1 g,(v,)
from (8.9) is given by
w, =: Jt';(v,; w" O)H Jt';(v,; w" 1) : = M,w, + ~g,(V,)H ...

HJt';(V,; w" Il) := M,Jt';(v,; w" Il- 1) + ~g,(v,) H ...
converging to Jt';(v,) if e(M,) < 1. The explicit description of Jt';(v,; w" Il) is
1'-1
Jt';(v,; w" Il) = Mrw, +L Mt ~g,(v,), (16.9.1 a)
x=O
Jt';(v,; w" Il) - Jt';(v,) = Mr(w, - Jt';(v, (16.9.1 b)
(cf. (1.3.3. According to (1 b) we shall assume the error estimate
(16.9.2)
which is true for (elliptic) multi-grid iterations.
16.9.2 Algorithm
The multi-grid iteration (7.6) is to be reformulated with Jt';( ) replaced by

Jt';( . ; ., Il,), Il, depending on I. If some rough approximation ii, of the solution
u, = Jt';(u,) + f, is known, the obvious starting guess of Jt';(ii,) is ii, - f,. Hence,
Jt';(ii,) will be substituted by Jt';(ii,; ii, - f" Il,)
Multi-grid iteration (first variant) for solving

+ f, with interior iterations
u, = Jt';(u,) (16.9.3)
procedure NM G M (I, u, f); integer I; array u,f;

if I = 0 then u: = ~o (u,f) else (16.9.3a)
begin real s; integer j; array v, d;
u: = Jt';(u; u - J, Il,) + f; (16.9.3 b)
d: = r * (u - Jt';(u; u - J, Il,) - f); (16.9.3 Cl)
if d '* 0 then (16.9.3c 2 )
begin s: = 0'1- d 1 d 1 tfI ; (16.9.3c 3 )

d:=1,-l-S*d; V:=ii'-l; (16.9.3c 4 )
for j:= 1,2 do N MGM(l- 1, v, d); (16.9.3cs)
u:= U + P * (v - iil - 1)/S (16.9.3c 6)
end end;
The auxiliary values iik,lk(k < I) are assumed to be related by
lk: = iik - $k(iik; iik , J-tk), k = 0, 1, ... ,1 - 1. (16.9.4)
Under condition (2) the mapping VI H ~(v,; VI - };, J-t,) + }; has the fixed point
VI = qJI(};) (solution of UI = ~(u,) + };). But a difficulty arises from the coarse-
grid correction (3 c).
Note 16.9.2.lfthe parameter S were fixed (in contrast to (3 c 3 as it is in the case
of Note 16.7.3, the multi-grid iteration (3) would not converge to the solution
UI = ~(UI) + };.
Proof Apply the iteration (3) to the exact solution UI = qJI(};)' As mentioned
above, d = 0 results in (3 Cl)' Neglect (3 C2, 3)' The statements (3 c4 ) yield
V = ii l - 1 and d = 1,-1' For the case J,. = Uk - $k(iik), k < I, one would obtain
V = ii l - 1 by (3c s)' However, J,. from (4) does not necessarily equal ii k - $k(iik);
hence (3 C6) yields U =l= UI' This proves that UI = qJI (};) is not a fixed point, at
least if (3 c 2) is omitted. Even with (3 C2) present, we can repeat the proof with
u? arbitrarily elose to UI and obtain a next iterate ul with 1 ul - u? Iitfi ~ C > 0
for all u? in a neighbourhood of UI' 0
It turns out that the fixed point of iteration (3) with constant s is some UI
with
IluI - udltfl = 0(111,-1 - ii l - 1 + ~-1(iil-1)lltfi/s).
By (2) the right-hand side equals O(eill - ' IIU I - 1 - ~-dUI-1)lltfI/s)

= O(eill - ' IIlz-11Itf1/s) with lz-l from (7.5b). The difference UI - U, is small if S
is large. However, S must be small enough to ensure 111,-1 - sd 1 'VI ~ el-1 (cf.
(7.2. Thanks to (3c 3 ), the value of s increases as u{ tends to ul since IId k 1 'VI
decreases.
The nested iteration (7.8) becomes
Nested iteration for solving Uk = $k(Uk), k = 0, 1, ... ,1 (16.9.5)
ii o: given approximation to u~; (16.9.5a)

for k: = 1 step 1 until 1do
begin lk-l : = iik- 1 - $k-l (iik - I; iik- I, J-tk-1); (16.9.5b)
16.9 Multi-Grid Methods with Iterative Computation of %,(u/) 341
Uk : = ft * Uk - I ; (16.9.5 c)
for j:= 1 step 1 until i do N MGM(k, u b 0); (16.9.5d)
comment NM GM from (3)
end;
Note 16.9.3. The algorithms (7.6) and (7.8) are special cases of (3) and (5), where
Xl( . ; . , . ) is defined by Xl(vz; Wb 0) = w/, Xl(vz; Wz, Jl) = Xl (v z) for Jl > 0, and
where Jlk = 1. Then, formally, inequality (2) holds with e = O.
16.9.3 Convergence Analysis
We recall that ur denotes the exact solution of (6.2).

Theorem 16.9.4. Assurne
(6.5): II Mzll<fl+-<fI ~ CTGM h'l, K > 0 (16.9.6a)

(two-grid convergence of the linearised problem),
(2): contractivity of Xl( . ; . , . ), (16.9.6b)
IlcPo(uo,Jo) - cPo(fo)ll<fl ~ C<t>h'O Iluo - cPo(fo)ll<fl (16.9.6c)

for allilfoll<fl ~ eo (cf. (6.6b)) with C<t>h'O < 1,
h o sufficiently smalI, (16.9.6d)
Jlk is such that

el'k ~ C,CTGMh'k, k = 0,1,2, ... , 1- 1, (16.9.6e)
for some C, with e from (2),
11ft 11<fI+-<fI ~ C p, (16.9.6f)
Iluo - utll<fl ~ Cu,ohH+ I ) \ (16.9.6g)
Ilftut-l - un<fl ~ CehL k = 1,2, ... , I, (16.9.6h)
hZ-I/h, ~ C H (16.9.6i)
there exist constants (: and C such that a k satisfies

II h -.h 1I<fI ~ (; lakl CTGM hL 0~k~/-1, (16.9.6j)
lakl ~ ek/2, lakl ~ CCTGMh'k, 0~k~I-1, (16.9.6k)
with .h from (7.5 b),
ek-l/ek ~ (hk-l/hkt (16.9.61)

K k (Vk) is uniformly bounded and Lipschitz continuous (cf. (6.3)).
Then there exist eonstants Cu, Cf' Cf, CNMGM so that values Uk and J"
produeed by the nested iteration (5) satisfy
Iluk - ut 1I'il ~ Cuh'k(CNMGMh'k)i, 0 ~ k ~ I, (16.9.7 a)
Illkll'il ~ CJh'k(CNMGMh'k)i, 0 ~ k ~ 1-1, (16.9.7b)
provided that i ~ 1. CNM G Mh'k is the eontraetion number of the nonlinear
multi-grid iteration (3). More preeisely, if u?, Jj, lk satisfy
Ilu? - tP,(Jj)II'il ~ Cuhj, (16.9.8a)
11 Jj 11'il ~ min(Cfhj, e,), 11 J,,11'il ~ min(C jh'k, ek/2), 0 ~ k ~ 1- 1, (16.9.8 b)
iteration (3) with / = Jj yields ul satisfying
Ilul- tP,(Jj)II'il ~ CNMGMhj Ilu? - tP,(Jj)II'il' (16.9.9)
The assumptions (6j), (6k) seem eomplieated. We shall propose a simple
ehoiee of (Jk in Corollary 16.9.5. Inequality (61) excludes the ease of rapidly
deereasing ek. Usually, eo = e1 = ... will hold.
Proof 1) First we prove the eonvergence statement (9).
1 a) Analysis 0/ statement (3 b). The error of u? is b?: = u? - tP,(Jj), tP,(Jj)
solution of u, = .ff, (u,) + Jj. Set
u;: = .ff,(u?; u? - Jj, Jl.,) + Jj.
Then
b;: = u; - u, = .ff,(u?; u? - Jj, Jl.,) - .ff,(u,)
= .ff,(u?) - .ff,(u,) + .ff,(u?; u? - Jj, Jl.,) - .ff,(u?)
= K,(u,) b? + 0(11 b? II~) + eil 11 (u? - Jj) - .ff,(u?) 11'il
I
by (2). Sinee u? - Jj - .ff,(u?) = b? - (.ff,(u?) - .ff,(u,)) = 0(11 b? 11'il) and

K,(u,) = K, + 0(11 u, - ur 1I'il) = K, + 0(11 Jj 11'il)' we eonclude that
b; = + 0([11 b? 1I'il + elll + IIJjII'il] 11 b?11'il)'
K,b? (16.9.10)
1 b) Analysis 0/ statement (3e 1 ). The defeet
d,: = u; - .ff,(u;; u; - Jj, Jl.,) - Jj
ean be written as
d, = Jj + O(elll 11 u; - .ff,(u;) - Jj 11'il)
u; - .ff,(u;) -
= [I - K,(u,)] b; + 0(11 b; II~ + elll 11 b; 1I'il)
= [I - K,] b; + 0([11 b; 11'il + elll + 1 Jj 11'il] 11 b; 11'il)'

Equation (10) implies
d, = [I - K,] K,b? + 0([11 b? 1I'il + elll + 1 Jj ll'il] 11 b? ll'il)' (16.9.11)

16.9 Multi-Grid Methods with Iterative Computation of %,(u,) 343
1c) Analysis of the coarse-grid equation. Vector dl - 1 : = /,-1 - srd, satisfies
Ildl- 111", ~ 11/,-111", + 10'1-11 ~ (Ci + CCTGM)h7-1

and Ild,- 111", ~ BI-I' Choose Cf in (8b) large enough so that Cf ~ CJ
+ C C TGM . Let VI - 1 = IP 1_ dd l - 1) be the exact solution of the coarse-grid
equation. The error of the starting value V?-l : = UI - 1 is
11 V?-l - VI - 1 11", = 11 1P , - 1(};- d - IP I - 1(d l - 1) 11", ~ C' 11 };-1 - dl - 1 11",
= C' 11 };-1 - /,-1 + srdzll", ~ C' [{:' CTGM h7-1 + 1] 10'1-11
~ C'[{:'C TGM hi-1 + 1] CCTGM hi-1
with C': = sup {li K I_ dv l - 1) 11"' .... "': VI-1 = IPI- 1(!z-1), 1 !z-1 11", ~ BI_ d
Choose Cu so large that C' [{:'C TGM h7-1 + 1] CC TGM ~ Cu. Then, the data
dl - 1 and V?-l satisfy (8 a, b). By induction, two iterations at level 1- 1 yield
Vf-1 with
11 Vf-1 - VI-1 11", ~ C~MGM hf.~ 1 11 V?-l - VI-1 11",
~ C~MGMC' hf~dll!5!z-lll", + lai-ti),
where
!5fk:= h - j" = Uk - ff,.(Uk) - j". (16.9.12)
1 d) Analysis of correction step (3 c6 ). The new error !5t is
!5t:= ut - UI = u; + P(Vf-1 - UI-1)/S - UI
= u; + P[IP I- 1(/'-1 - srd,) - IP,-d/'-d)Js - UI
+ P[(Vf-1 - VI-I) + IPI- 1(/'-1) - IPI -d};-l))JS
=15; - p[I - K I _ 1 (IP I _d],_d)r 1 rd,
+ O(lslllrd,ll.i + c~MGMhf/C(llb!z-ll1", + la,- 11)/s + lI!5fz-111",/s)
r
= K , !5? - p[I - K I _1 1r[I - K I ]K, !5?
+ 0(11/'-111", Ilrd,ll", + la'-11I1rd, ll",

+ C~MGMhf/C(II!5!z-111",/la'-11 + 1) 11 rd , 11",
+ lI!5fz-111", Ilrd, II",/l al-11)
since s = 0'1- dll rd,ll",. The first term equals M I !5? with MI from (6a) and (2.9).
Using (6a, e) and (11) one obtains
!5t = M I !5? + O([II};-tII",+ 10'1-11 + 1I!5!z-111",/l a'-11
(16.9.13)
11151 11", ~ CTGM h7
. {1 + C[C + {:' + c. + (CJ + 2C e + Cf + C~MGMhn/CTGM]} 11!5? 11",
Make the ansatz CNMGM = a.C TGM . The expression in braces becomes
{1 + C[ ... + a. 2 C TGM hf]}. By (6d), a. can be chosen such that { ... } ~ a.
yielding
11 c5lll", ~ a.CTGMhf 11 c5? 11", = CNMGMM 11 c5? 11",
and proving (9).
1 e) Start of the induction prooj. In step 1 c) we used induction. At the
lowest level 1 = 0 the c1aimed inequality (9) follows from (6c) if we choose
CNMGM ~ C~.
2) Next, we prove (7 a, b) by induction.
2a) k = O. Equation (6g) implies (7a), if Cu is chosen such that
Cu. 0 ~ Cu C~ MGM' Equation (7b) follows from
2 b) (7 a) implies (7 b). There is a constant C with
11 h 11'ft = 11 Uk - Jt'k (Uk) 11 'ft = 11 Uk - Jt'k (Uk) - (ut - Jt'k (ut 11 '"
~ C 11 Uk - ut 11",
where ut = cI>k(O) is the solution of Uk = Jt'k(Uk)' Equation (2) shows

11 c5};'11 '" = 11 Jt'k(uk; Uk,Jlk) - Jt'k(Uk) 11 '" ~ eil' 11 Uk - Jt'k(Uk) 11 '" = eil' 11 h 11",
(16.9.14)
(cf. (12. The combination yields
11 ],.11 '" ~ 11 h 11", + 11 c5};'11 '" ~ (1 + eil') 11 h 11 '" ~ C 11 Uk - ut 11",.
Set Cl = Cu C; then (7 b) is valid.
2 c) It remains to prove (7 a) for k = I, assuming that (7) holds for k < ,.
The error of the starting guess u?: = ftU'-l (cf. (Sc is c5, = u? - ur. It is
bounded by
1Ic5? 11", = Ilftu'-l - ur 11", = Ilft('-l - Ur-i) + pUr-l - ur 11'ft

~ Cch~ + CjiCuhf-dCNMGMh~-l)i.
Choose Cu such that
Cu ~ Ccl[1 - CjiCn(CNMGMhf-l)i],
which is possible by (6 d), and i > O. One obtains 11 c5? 11 '" ~ Cu hf . Since (8 a, b)
are satisfied, (9) implies (7 a). 0
The choice of 0',-1 is still to be discussed. According to (13), the optimal
value of 0',-1 is O<lIc5.fi-ll1.v 2 ). However, the magnitude 11c5.fi-lll.v2 is not
known in practice. A very simple and practical choice is proposed in
Corollary 16.9.5. Set 0',-1 : = 11 h-l 11 '" with h-l from (Sb). This value vanishes
if and only if U,-l = Ur-l (i.e. ]',-1 =h-l = 0). The inequalities (6j,k) are
satisfied with C = C./(1 - C. C TGM h).
16.10 Applications to Elliptic Boundary Value and Eigenvalue Problems 345
Proof. From 11 <>h 11 .. ~ ellk II 11 .. (cf. (14 and II 11 .. ~ 11 1,. 11 .. + 11 <>h 11 .. one
concludes II 11 .. ~ 111,. 11 .. /(1 - ellk ). Hence, O"k = 0 implies Jk = = 0 and
Uk = ut. The term 11 <>h 11 .. 11 O"k I is bounded by ellk /(l - ellk) ~ C. C TGM hV
(1 - C. CTGM hn, proving the definition of ". 0
To avoid 0",-1 = 0 and the effects ofrounding errors one should modify the
choice 0"k by
(16.9.15)
where eps is the relative machine precision.
Corollary 16.9.6. If %,(U,) is evaluated exactly (i.e. %,(U,; , ) = %,(U,, the

conditions (6 b, e,j) can be omitted. Then 1,. = k
There are several modifications of the nested iteration (5). Instead of com-
puting1,.-1 in (5b) after the multi-grid iterations at level k - 1, one may define
1,.-1 together with the defect (3c 1) during the last multi-grid iteration at level
k - 1. Then 11 1,. - 1 11 .. and 11 <>h - 1 11 .. equal 0 <11 <>i"=- ~ 11 ..). Possible choices of
O"k-l are 1I1,.-111,}/2 and 111,.-1 11 .. , or(15).
16.10 Applications to Elliptic Boundary Value and Eigenvalue

Problems
16.10.1 Elliptic Boundary Value Problems
In 16.8 we mentioned an application of the multi-grid iteration of the second

kind to equations of the form - Au = g(u). The technique can be extended to
which can be reformulated as the fixed point equation

U = <pI('pII(U (<PI is inverse of 'pI),
provided that 'pI contains the principal part of the (nonlinear) elliptic oper-
ator, whereas 'plI is of lower order. Examples are given by see Hackbusch [9].
Interesting applications arise from systems of weakly coupled elliptic equa-
tions. A prototype of this form is
- Llv = gI(V, w), - Aw = glI(V, w) in fl, v = w = 0 on r,

which yields the system
v = (- A)-1l(v, w), w = (- A)-1 gII(V, w)

346 16. The Multi-Grid Methods of the Second Kind
of two equations of the second kind. Set u: = (v, W)T. The evaluation of
%(u):= - LI)-1 gI(U), (- LI)-1 gII(u}f
requires only the solution of two scalar Poisson equations. In the discrete case
of U, = ~(U,) one can make use of Poisson solvers.
Storage can be saved if the components of the elliptic system are coupled
only by (linear or nonlinear) boundary conditions. Such systems arise, for
instance, from optimal control problems (cf. Hackbusch [15]). We give a particu-
lar example.
Let Q = (0, n) x (0, n), r = oQ, 11 = {(Xl' X2) E r: Xl = n} = {n} x (0, n),
I; = r\rl For any u E L2(rl ), y(u) is the solution of
{-(1+xD-I(02/oxD-(02/oxmy(u)=0 in Q,
(16.10.1)
(1 + n 2) -1 (OY(U)/OXI) = U on 11, y(u) = 0 on 2. r
We seek the control U minimising the functional
J(v) = 1 y(v) Ir, - sin x21li2(rtl + (1 + n 2 ) -1 11 v Ili2(rtl
The solution u (optimal control) is determined by
u = - (1 + n 2) p(u)lr" (16.10.2)
where p(u) is the solution of the adjoint problem
- (0 2 / 0x i) [P(u)/(1 + xi)] - (0 2 /OX~) p(u) = 0 in Q, (16.10.3)
(%x l ) [P(u)/(l + xi)] = y(u) Ir, - sin X2 on r l , p(u) = 0 on r2
Equation (2) can be used to eliminate Eq. (1). Then we obtain a system oftwo
elliptic equations for y and p, which are coupled by means of the boundary
conditions. On the other hand, Eqs. (1), (3), (2) describe affine mappings
u t--> y(u) t--> p(u) t--> u, which give rise to an equation u = Ku + f of the second
kind, where Ku + f is the right-hand side of Eq. (2). It can be shown that K
satisfies the regularity assumption (1.4) for d/i= L 2 (11), "1/= H 2 (rl ) 11 HA(l1).
Replacing the differential equations by difference schemes, we obtain
U, = K,u, + f, with K , satisfying the regularity assumption (1.9) for the discrete
analogues d/i" "Y,. Conditions (1.12) and (1.14) hold with K = 2. The evaluation
of K , requires the solution ofthe difference counterparts ofEqs. (1) and (3). The
comparison of the rates of the multi-grid convergence shows that the rate is
decreasing as 0 (hf), confirming K = 2. The nested iteration (9.5) with i = 1
yields the following values u,(I). For details see Hackbusch [15].
Table 16.10.1. Results of nested iteration (9.5) applied to Eqs. (1)-(3)

step size ho = 1 h, =~ h2 =i h3 =- h4 = TI hs = i4
uG) 0.0126 0.0919 0.1286 0.1456 0.1505 0.15128
iteration error 0.0 9.2'0- 4 7.8'0 - 3 2.5'0 - 3 1.9'0 - 4 8.2'0 - 6
(iil - ul )(1)
discretisation error 1.4'0 - 1 5.9 10 - 2 1.5 10 - 2 3.3'0 - 3 7.8'0 - 4 1.9 10 - 4
(u l - u) (~)
16.10.2 Eigenvalue Problems
Consider the eigenvalue problem

U = Aku, u =1= 0, (16.10.4)
where k may represent a linear integral operator. Let
(16.10.5)
be the discrete analogues. According to 12.2.1, the eigenvector can be normal-
ised by q>1(U,) = AI and Eq. (5) becomes
U, = q>1(U,) klu l =: Jfj(UI)' (16.10.6)
The continuous analogue is
U = q>(u) ku =: %(u). (16.10.7)
Concerning the equivalence ofEqs. (5) and (6) see Note 12.2.2. Equation (7)
is reasonable because of
Lemma 16.10.1. Let 0 =1= U E OU be a solution of Eq. (7), U = %(u). Assurne
1 k Ilf-~ :;:; C, "Y" compactly embedded in OU,
(cf. (1.4), Note (16.1.4. Suppose that A = q>(u) is a single eigenvalue of k, i.e.
(l - Ak) w = QU implies Q = 0 and WE span (u).
Further, let the derivative q>' of q> satisfy
q>'(u) U =1= 0, q>'(u): OU ~<r bounded.
Then the derivative K = %'(u) is compact and satisfies (1.3) and (1.4). Thus, the
solution u of Eq. (7) is isolated.
Proof Since K v = q>(u) kv + (q>' (u) v) ku, the estimate (1.4) follows and implies
compactness of K. Therefore, it suffices to show that v = K v implies v = O.
Now v = K v is equivalent to
(1 - Ak) v = QU, where A = q>(u), Q = q>'(u) vjq>(u).
Since A is a single eigenvalue, one concludes v = cx.u, Q = O. Hence,
Q = cx.q>'(u) ujq>(u) = 0, implying cx. = 0 and v = O. 0
Similarly, one can prove the regularity assumption (1.9). The consistency
condition (1.12) on K l follows from the corresponding condition on k, and
simple assumptions on q>, (cf. Hackbusch [18]).
Remark 16.10.2. The above reformulation of(4) as (6) can also be applied ifthe
eigenvalue appears nonlinearly: u = k(A) u. In that case, Jfj becomes
Jfj(UI): = kl (q>l (Ul Ul'
An example of u = k(A) u is given in 16.10.4. The operator k may arise

from an elliptic boundary value problem. In 16.1 0.3 we show that even non-
standard problems such as the Steklov eigenvalue problem can easily be
solved.
16.10.3 First Example: Steklov Eigenvalue Problem
Consider the boundary value problem
- Ay =0 in Q = (0, 1) x (0, 1), (16.10.8a)

oy/on = AY on r = oQ. (16.10.8b)
This can be reformulated as (1), u = Aku, with

k: tJtt c L2 (r) ..... "f/ cHI (r)
defined as follows. Let Oll = {v E L2 (r): fvdr = O}. For u E tJtt the Neumann
problem
- Ay = 0 in Q, oy/on = u on r,
has solutions y determined up to a constant. We make y unique if we require
YlrEtJtt. Set ku:=ylr. It lies in "f/=tJttnH1(r). The eigenvalue problem
u = Aku is equivalent to (8). According to the definition of.Yt" by (7), Bq. (8) is
equivalent to u = .Yt"(u). The discrete problem can be written as Eq. (6):
u, = %z(u,), where u, is defined on the boundary 1;.
In the following, the functional ({J, is defined by ((J,(u,) = u,(O, 0). In order to
compute the fifth eigenvalue, one may start with the grid size ho = ~. At level
I = 0 the fifth eigenvalue and corresponding eigenvector can be computed to
be
1"0 = uo(O,O) = 4.628, uo(~,O) = - 0.726, uoH, 0) = - 3.175.
The remaining values of Uo on 10 are defined by symmetries
uo(X, y) = uo(1 - x, y) = uo(x, 1 - y). (16.10.9)
Using this starting value uo, the nested iteration (7.8) with i = 1 yields the
numbers of Table 16.1 0.2.
Table 16.10.2. Fifth eigenvalue of the Steklov problem (8)

step size ho = ~ h1 =i h2 = -l6 h4=~ h4 = i4
X= U,(O,O) 4.6277 4.6918 4.6562 4.651034 4.647942
exact ,1., 4.6277 4.6690 4.6552 4.649417 4.647822
Although the fifth eigenvalue is a double one, no extra computational

difficulties arise since the symmetry (9) determines the eigenfunctions uniquely.
For further details, see Hackbusch [18].
16.10.4 Second Example: Nonlinear Eigenvalue Problem
Consider the integrodifferential equation
- u"(x) =! 1
eAlx-YI u(y) dy; u(O) =u(1) =0; u =1= o. (16.10.10)
This nonlinear eigenvalue problem can be written as

u = k(..1.) u, u =1= 0,
where k(..1.) v is the solution w of
- w"(x) =! 1
eAlx-YI v(y) dy, w(O) =w(1) =O.
According to Remark 16.10.2, one obtains the nonlinear equation u = %(u)
with %(u):= k(cp(uu. Here, we use cp(v) = v(1j2).
The discrete nonlinear equation u, = %,(u,) results by replacing - u" by
second differences and the integral by the trapezoidal rule. Starting with
uo(O) =uo(1) =0, uo(:!> =uoW =6.925668, uo@ =7.734301
for step size ho = h we ca1culate the eigenvalues given in Table 16.10.3 without
difficulty.
Table 16.10.3. Results of problem (10)

h, 1 1 1 .!.. .!..
4 8 16 32 64
)., 7.734 6.535 6.3024 6.2975 6.2339
16.10.5 Elliptic Boundary Value Problems (Revisited)
In 16.3.2 we formulated an elliptic problem as a Fredholm integral equation

of the second kind. In this section we discuss integral equations of the first kind.
Again, we consider Laplace's equation
Au(C) = 0 in R 2 \r, (16.10.11 a)
um = G(C) on CEr, (16.10.11 b)
j
with u(C) = B log"l + 0(1) as "1--+ 00. We represent u(C) by v(z) log" - zl dI;
with v satisfying the integral equation
g(C) = Jv(z) log" - zl dI; (16.10.12)
r
ofthe first kind. Let z(t), 0 ~ t ~ 1, be a parametrisation of r. Eq. (12) becomes
g(t) = !v(s) loglz(t) - z(s)1 ds,

1
0~t~1 (16.10.13)
where g(t):= G(z(t and v(s):= V(z(s Idz(s)/dsl. To avoid non-trivial sol-
utions of the homogeneous problem, one should consider the system
g(t) =
1
Jv(s) loglz(t) -
o
z(s)1 ds + w, !v(s) ds
1
= B, (16.10.14)
with given g, B for the unknowns v, w. However, to simplify the situation, we

shall discuss Eq. (13) instead of (14).
The multi-grid iteration (2.2) applies to integral equations of the second
kind only. Equation (13) can be rewritten as
g(t) = !v(s)logl5(s -
1
t) ds !
1 Iz(s) - z(t)1
+ v(s) log l5(s _ t) ds, (16.19.15)
where l5(s - t) = min {Is - tl, Is - t - 11, Is - t + 11} IS the distance

modulo 1. Equation (15) reads as
g = Av + kv, (16.10.16)
where the first integral operator A is a convolution, whereas the second one has
a smooth (non-singular) kernei, provided that r (hence z( . is sufficiently
smooth. It can be shown that A - 1 is a pseudo-differential operator of first
order. If rE er with r > 2, k: L 2 (0, 1) -+ W- 1(0, 1) holds and A -1: W- 1 (0, 1)
-+ W- 2 (0, 1) implies K: = - A -1 k: L 2 (0, 1) -+ W- 2 (0, 1). Therefore,
v=Kv+! with K=-A- 1 k, !=A- 1 g, (16.10.17)

is an equation of the second kind, to which the multi-grid process applies.
The discretisation (e.g. by the Galerkin method) leads us to the system
Aivi + kivi = gl> (16.10.18)
where AI = (aY~) is a nl x nl Toeplitz matrix, i.e. aYl = aY)k' for j - k
== U' - k') mod nl' The Galerkin discretisation (18) and its discretisation error
are analysed by Hsiao-Kopp-Wendland [1].
According to Eq. (17), the discrete equation can be written as
(16.10.19)
with K I = - AI- 1 kj, f, = AI- 1 gl' Let 11 be the discrete Fourier transform
VzHVI = 1Ivl' Since for any Toeplitz matrix AI the transformed matrix
D I : = 11- 1 AI 11 is diagonal, A Z- 1 equals 11 DI- 1 11- 1 The multiplication K I VI
requires the usual multiplication kl VI (0 (nl) operations), while 11- 1 and 11 can
be performed by fast Fourier transforms (O(n l log nl) operations). One con-
cludes that the computational work of the multi-grid iteration applied to (19)
is almost the same as for a usual integral equation (1.6) of the second kind.
16.11 Application to Parabolic Problems 351
We conclude with numerical results for the system (14). Let r be an ellipse
with axes of length 2 and 1. The discrete equations (18) are obtained by a
Galerkin approach with piecewise constant finite elements. At the lowest level
I = 0 the dimension of the finite element space is no = 4. The observed multi-
grid convergence rates are as follows:
n, 16 32 64
Multi-grid rate 0.079 0.037 0.019
Obviously, the rates behave as 0 (hj) with K = 1.
16.11 Application to Parabolic Problems
We begin with the time-periodic problem, since this can more easily be formu-
lated. The more interesting parabolic boundary control problem is discussed
in 16.11.2.
16.11.1 Time-Periodic Parabolic Problems
Let Q be a domain in R d with boundary r.

(0, T) is a fixed time interval. Set
Q = Q x (0, T) and L r
= x (0, T). We consider the parabolic equation
y, + Ly = gl in Q, (16.11.1 a)
subject to some boundary condition
By = g2 in L. (16.11.1 b)
The solution has to be T-periodic:
y(., T) = y(. ,0) in Q. (16.11.1c)
The usual initial value problem consists of (1 a, b) and y( ,0) = u. Denote its
solution by y(x,t; u) and define .Jt'"(u):= y(., T; u). Therefore, Eq. (1a-c) is
equivalent to u = .Jt'" (u). Here, .Jt'" is affine: .Jt'" (u) = Ku + f with f depending
on gl and g2'
Discretising (1 a, b) e.g. by a totally implicit difference scheme, we obtain a
discrete analogue Jfj(UI)' It involves the solution of one discrete initial-
boundary value problem. The regularity assumption (1.9) is discussed in Hack-
busch [25]. Therein, numerical examples are reported. In the case of Q c R 1
and discretisation parameters ..1 t l = 0 (..1 xl), the nested iteration (4.1) requires
less than 4.6 CI operations, where CI is the work required by one discrete
initial-boundary value problem at level I.
352 16. The Multi-Grid Methods of the Second Kind
The method described above has been applied by Schippers [2], [4], [6] to
oscillating disk flow (rotating flow due to an infinite disk performing torsional
oscillations). The governing nonlinear equations for the unknowns f, g, h are
w Q 2 2 k
QIr = 2 w fzz + 2 h fz - f + 9 - ,
w Q
Q gt = 2w gzz + 2h gz - 2fg,
hz =f
16.11.2 Optimal Control Problems for Parabolic Eqnations
Let Q, Q, 1:, (0, T) be defined as in 16.11.1, and 1:0 c 1:. F or any u E L 2 (1: 0) the
state y(u) is defined as the solution of
Yt(u) + Ay(u) = gl in Q, (16.11.2 a)

By(u) = u on 1:0 , By(u) = g2 on 1:\1:0 , (16.11.2 b)
y ( ,0; u) = Yo on Q, (16.11.2 c)
where A is an elliptic differential operator and B a boundary operator. We seek
u minimising a cost function, e. g.
J(v) = IIY(',T;v)-zllhm+ 11 v 11T.2(m
for some given z. The optimal control u is characterised by
u = - p(u)lr o ' (16.11.3)

where p(u) is the solution of the adjoint parabolic equation
- Pt(u) + A* p(u) = 0 in Q, (16.11.4a)

Cp(u) = 0 on 1:, (16.11.4 b)
p( . , T; u) = y( , T; u) - z on Q (16.11.4c)
(cf. Hackbusch [12]). Eliminating u in (2b) by (3), we obtain a coupled system
of two parabolic equations, where the second one (Eq. (4 has reversed time
direction. The discretised problem would be a large sparse system.
Instead, we consider another representation of the problem. Equation (2)
describes a mapping u H y(u), while Eq. (4) defines a mapping Y(U)H p(u). Set
$" (u): = p (u) Iro' This is affine: $" (u) = Ku + f with f depending on gl, g2, Yo,
z. Equation (3) is equivalent to u = $" (u).
Replacing Eqs. (2) and (4) by difference schemes, we can define analogous
equations u/ = ~(u/). The evaluation of ~(uz) requires the solution of
two discrete initial-boundary value problems, namely UZH y/(uz) and
yz( " T; U/)H P/(uc).
16.11 Application to Parabolic Problems 353
Consider the particular case of Q = (0,1), T = 1, 170 = {O} x (0, T),

A = A * = - 02 /ox 2 , B = C = %n. Then the equations for y(u), p(u) become
Yt = Yxx + gl' - Pt = Pxx' y(x, 0) = Yo, = y(x, T) - z,
p(x, T)
- YAO, t) = u(t), YA1, t) = g2' pAO, t) = Px(1, t) = 0.
It can be shown that K is a bounded mapping from dIt = JJ (170) into
"Y = H l / 2 (17o), while K I = f,' satisfies the analogous discrete estimates. K can
be reprpsented as integral operator with the kernel function from
Example 16.1.3. The inequalities (1.12) and (1.14) hold with K = ~ and
hl = LI t l = o (LI x1).
The following numerical results are obtained for
gl = - i cos(i(1 - x, g2 = 0, Yo = - i cos(i(1 - x,
z= 1- i cos(i(1 - x.
Table 16.11.1 shows grid sizes LI XI> LI t l and the convergence rates e!i of the
multi-grid iteration (2.2). The rates decrease as o (LI tl l2 ) confirming the above
value of K =~.
Table 16.11.1. Multi-grid convergence rates

0 2 3 4 5
1 1 1 1 1 1
LI t, "2 4 8" 16 32 64
LI x, 1
4
1
8"
1
8"
1
16
1
16
1
32
Ih 0.086 0.063 0.044 0.030 0.019
Extensions to control problems with bounded controls are discussed in

Hackbusch [17]. Quite a different algorithm for parabolic bang-bang control
problems is described by Hackbusch-Will [1].
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Wesseling P: see Sonneveld P et al
Westergren B: see Thomee V et al
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Widlund 0: see Bj0rstadt PE et al
Widlund 0: see O'Leary DP et al
Widlund 0: see Pereyra V et al
Widlund 0: see Proskurowski W et al
Will Th: see Hackbusch W et al
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Winter G: see Ries M et al
Wirth N: see Jensen K et al
Witsch K: see Foerster H et al
Witsch K: see Schrder J et al
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Subject Index
Main references in italies
Alternating direction method (ADI) Consistency 44, 46, 224, 240, 282 ff., 308
55/, 134,204 relative 69, 100, 110, 284, 308, 327
AMG 227 Contraction number 8, 35 f., 49, 88, 98,
Anisotropie equation 201 ff., 207, 226 100,115,161, 166ff., 172, 179, 193, 221,
Approximation property 113, 135 ff., 140, 224, 285, 311 f., 342
142f., 148, 151, 155f., 202f., 229, 239ff.
Associated operator 15, 16,236 Defect 19,21, 35, 116, 132, 185, 331
Asymptotic expansion 102, 104, 277 f., Defect correction 226, 282 ff.
293 local 293 ff.
Augmented system 248 ff., 257, 271 mixed 292
Difference equations 18, 43 ff., 145 ff.
backward 219 ff.
Bifurcation 269 f. Difference star, stencil 18,44, 79
Biharmonie equation 189 f., 233, 236, Discontinuous coefficients see Interface
245 f., 262 problems
Boundary condition 42, 177 Distributive relaxation method 245 ff.
Dirichlet 41, 43, 95, 175, 291
Domain decomposition 299 ff.
mixed 42,95
Double discretisation 292
natural 43,46 Double layer potential 319f., 325
Neumann 42, 45, 76, 95 f., 173, 253,
291 Efficiency 1, 88, 93 f., 97, 103
periodic 42, 95, 173 ff., 224, 253
Eigenvalue 210, 252
separated discrete 69 f., 110
multiple 256, 260
Buoyancy driven flow 189 f.
problem 250, 252/, 255, 260, 347
problem, generalised 267 f.
Cauchy-Riemann equations 233, 245 problem, nonlinear 269, 347, 349
Coarse-grid correction 23, 30, 35, 40, 49, single 252, 255, 347
171, 178, 185, 207, 258 f., 292, 297, 309, Eigenvector 252, 267
340 left 252 f., 260, 267
Coarse-grid matrix 68/, 182, 214, 327 Eigenspace 252
Coarsening see Mesh coarsening Elliptic 42, 43, 147, 202, 228, 234
Computational work 86, 103f., 31Of., Error, discretisation 48, 98
314f., 321 f., 328, 334, 337 expansion see Asymptotie expansion
Conjugate gradient method (CG) 38 f., iteration 98, 115, 277
57, 159 relative discretisation 100, 102, 309,
Continuation problem 183, 270 ff. 322
Convection diffusion equation 217 ff., (relative) truncation 275, 278
227, 292 Extrapolation see Richardson extrapo-
Convergence rate (rate of convergence) 6, lation
49, 90, 173, 179, 224 f., 317f. ,-extrapolation 278 ff.
Subject Index 375
FAS 188, 330 Incomplete (line) LU-decomposition see

Finite element 47 ILU (ILLU)
discretisation 46ff., 66, 71 ff., 135 f., Indefinite equations 209ff., 236
150, 219, 242, 244, 293 Injection, trivial 22, 64, 66, 77 f., 174 f.,
isoparametrie 156 272, 275, 308
piecewise bilinear 60, 78 f., 139 Integral equation see Fredholm integral
piecewise linear 60, 78 equation
Five-point scheme 44, 51, 55 f., 63, 79, method 319f.
89,100, 126f., 169, 171f., 176, 180, 202, Interface problems 212ff., 295
218 f. Interpolation see Prolongation
Form, adjoint 14 Interpolation of Hilbert spaces 11 f, 114
bi-linear 14 Inverse assumption 136, 142
bounded 14 Iteration, general 5
continuous 14 Gau-Seidel see Gau-Seidel iteration
sesqui-linear 14, 16, 46, 47, 235 f. Jacobi see Jacobi iteration
'Y-coercive 15 f. Kaczmarz 58
'Y-elliptic 14 matrix 5, 19, 112, 161, 311 ff., 327
Fourier analysis 25,156, 169ff., 208, 220 multi-grid see Multi-grid iteration
Fredholm integral equation nested see Nested iteration
of the first kind 325, 349 f. Picard 309,311,323, 324f., 331
of the second kind 305 ff, 328 Richardson 56, 131
Frozen coefficients 177 f. Schwarz 300 f., 303
Frozen truncation error technique 275 two-grid see Two-grid iteration
Full weighting 78
Jacobi iteration 18,52, 57, 184
Galerkin approach, approximation 68, damped 19, 20, 52, 122 ff., 151, 158,
94, 214, 221 f. 184, 266, 282
Galerkin method see Finite element linewise 55, 203
discretisation
Gau-Seidel iteration 40, 49, 58, 63 f., 78,
90, 125ff., 155, 171 f., 184,202,209, Level, level number 17, 24, 48
220 f., 224, 226, 232 f., 246f. Limit point see Turning point
accelerated symmetrie 133 f. Local grid refinement 297 ff.
alternating 204 Local mode analysis 156, 176ff., 180,290
blockwise (linewise) 54 f., 126, 176,
180, 184, 202, 233 Matrix
lexicographical 51, 128, 176, 180, 229 iteration see Iteration matrix
symmetrie 52, 129, 133, 151, 176, 180, M 206, 218, 223 f., 227
221 normal 8, 128, 253
2-cyciic 125 f., 130 positive definite 8, 16, 69
zebra-line 55, 95 stiffness 47, 67f., 79,137,159
Grids 17, 43, 58 f., 89 symmetrie 8, 69, 253
infinite 43 unitary 8, 25
non-uniform 71, 75, 227 Mehrstellenverfahren 44, 282
staggered 76 f., 246f. Mesh coarsening 58 f., 71, 77, 226 f.
MGR 96
Half-weighting 78, 96 Model problem 169 ff., 173 ff., 201 ff.,
h-ellipticity 228 217
Hierarchy of finite elemtent subspaces one-dimension 17,212,224
46, 66, 71ff, 136, 156 Multi-grid iteration 30ff.,80ff
Hilbert scale 11f, 15f., 118, 136 algorithm of the linear 31, 80f, 82, 90
Hyperbolic equations 228 f. algorithm of the nonlinear 183 ff.,
187f, 272f., 299
ILLU 204,208,221 ff., 227, 230 convergence of the linear 85ff.,92,
ILU 204, 205ff, 208, 221 ff., 227 161, 163, 165 f., 203
376 Subject Index
Multi-grid convergence of the piecewise cubic 61 f., 66, 107, 110, 190,
nonlinear 196 ff. 317
fuH (FMG) 98 piecewise linear 22, 59f/, 66, 77, 308,
for eigenvalue problems 261 f., 268 317
for singular equations 266, 269 piecewise quadratic 61 ff., 66, 110
of the second kind 303, 305.fJ., 310, seven-point 60/, 78 f., 222
313,315
of the second kind, nonlinear 331 f., Rayleigh quotient 253, 265, 268 f.
339f. Re-entrant corner 75, 95, 140, 293, 295
with defect correction 284 ff. Reduction factor, averaged 95
Regularity 95, 137, 140, 154, 156
Natural convection 189 f. discrete 145 ff., 156, 284, 307
Navier-Stokes equations 234, 245 Relaxation see Gau-Seidel iteration
Nested iteration 98f/, 321 ff., 333, 340 Restriction 21 f., 64 ff., 174 f., 308
for eigenvalue problems 261 f., 268 canonical 66/,78, 136
modified 272 ff. five-point 78
nonlinear 188 f., 198 nine-point 65, 78 f., 90, 171 f.
Newton-multi-grid iteration 182 f., 227 weighted 22,65,77
Nine-point scheme 44,51,69,79, 126, seven-point 65, 78 f.
171,173 Richardson extrapolation 104 f., 277 f.,
Norm, dual 11, 16,77,146 338
energy 36, 77, 151, 153 f., 165 Ritz projection 264, 267, 269
Euclidean 7, 35, 113, 239, 242
vector 6,118, 145f. Saddle point problem 236, 238 ff.
matrix 7, 118, 157 Sawtooth cycle 222
Sobolev 10 Scalar product 6 f., 10 f., 40, 64, 66
spectral 7, 25, 27, 35, 52, 118, 239 Scale see Hilbert scale
Nystrm's interpolation 322 f., 333, 337 Semi-iterative methods 56/, 76, 131 ff.,
152, 185, 243 f.
Seven-point scheme 44, 204
Optimal control 346, 352 f. Shortley-Weller scheme 45, 94, 146
Optimal error estimates 139, 156 Singular equation 253 f., 256 f., 265 ff.
Ordering of the grid points 50, 232 Singular perturbation 201 ff., 234, 245
chequer-board 50j., 78, 126, 171 Smoothing iteration 20, 49.fJ., 76, 207,
four-colour 51, 78 242 ff., 302, 309, 324
lexicographical 50/, 126 nonlinear 184 f.
red-black see Chequer-board post- 25, 34, 36, 49, 63 f., 76, 81, 84,
zebra-line 51, 126 115 f., 163
pre- 24, 36, 48, 63 f., 76, 84, 161
Panel method 307, 320 Smoothing number 37,49,53,56,115,
Parallel processing 303 124, 127, 132, 180
Parabolic problems 276, 351 ff. Smoothing property 113/, 116ff., 120,
Peaceman-Rachford method 56 122ff., 125ff., 131ff., 144, 155, 158,203,
Petrov-Galerkin method 219,222 243
Poisson equation 14,38,41, 44f., 49, 56, Smoothing rate 37,53,56,177,179/,
89 f., 97, 139, 146, 157, 180, 236, 295, 202 f., 208, 225
301, 319f., 349 Sobolev space 10 f.
Potential flow 320 Space, dual 10, 46
Projection, orthogonal 13, 67, 142, 151, intermediate 11
154, 178 f. Spectral radius 6f., 25, 27,112,172,292
Prolongation 22, 58.fJ., 232, 308 Spectrum 6
canonical 66/, 78 f., 136 Steklov eigenvalue problem 267, 348
matrix-dependent 214 tT., 222 Stiffness matrix see Matrix
nine-point 60, 78 f., 90, 170, 172 Stokes equations 233, 235, 238, 242 ff.,
piecewise constant 77, 222, 309 246,253
Subjeet Index 377
Storage 89, 346 for eigenvalue problems 257 ff.

Suecessive overrelaxation (SOR) 37 f., 52, nonlinear 185 ff.
94 of the seeond kind 309 f.
symmetrie 37, 52
Symmetrie ease 150f.,164f. Upwind differeneing see Baekward
Systems of elliptie equations 231 ff., differenee
345 f.
von Karman equations 231
Time-dependent problems see Parabolie Variational problem 14, 43, 135, 209, 235
problems V-Cycle 33,81,83, 86f., 94,104, 165f.
Transonie potential equation 229 Viseosity 234
Trivial injeetion see Injeetion artifieial 219 f., 223 ff.
Turning point 270 ff. numerieal 219
Two-grid iteration 21 ff., 23, 48f, 74 f.,
112ff.,179 W-eycle 33, 81, 86 f., 163, 165, 168,
eonvergenee of the linear 25 ff., 310
112,114,116,172 Weak formulation see Variational
eonvergenee of the nonlinear 192 ff. problem

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Springer Series in 4

With 43 Figures and 48 Tables

Cataloging-in-Publication Data applied for

Bibliographie information published by Die Deutsche Bibliothek

Second Printing 2003

Mathematics Subject Classification (2000): 65 N 55

Printed on acid-free paper 46/3142DB-54321

Kiel, June 1985 W. Hackbusch

2. Introductory Model Problem 17

3. General Two-Grid Method 41

3.1.2 Finite Difference Discretisation . . . . . 43

4. General Multi-Grid Iteration 80

5. Nested Iteration Technique 98

5.6 Comments .109

6. Convergence of the Two-Grid Iteration .112

7. Convergence of the Multi-Grid Iteration . .160

8. Fourier Analysis. .169

9. NonIinear Multi-Grid Methods .181

10. Singular Perturbation Problems .201

10.3.1 A One-Dimension Model Example . .212

11. Elliptic Systems .231

12. Eigenvalue Problems and Singular Equations . .252

12.3.3 Multi-Grid Iteration for the Eigenvalue Problem and the

13. Continuation Techniques . . . . . .270

14. Extrapolation and Defect Correction Techniques .277

15. Local Techniques . . . . . . . . . . . . . . . . .293

15.3.2 The Schwarz Iteration . . . . . . . . . . . . . .300

16. The Multi-Grid Method of the Second Kind . . . .305

16.8.2 Discretisation. . . . .336

a, a(, .) sesqui-linear form; see 1.4.5

linear space of right-hand functions; see 6.1

iteration matrix of Y[; see 2.2

11'1I'ft,II'II norms of 0/1, and ff'" respeetively; see 6.1.1

1.3 Some Elements from Linear Algebra

1.3.1 Analysis of Iterative Processes

Let 0/1, be an n,-dimensional veetor spaee 1 and eonsider a system

Assuming (4) for all fi E cpj, one obtains

I 11", is a norm on a vector space cpj, if

(Oll, 11 11<ft) is a Hilbert space 2, if 11 11<ft is generated by a scalar product:

where c is a suitable scaling factor.

1.3.3 Symmetrie Matrices

The ehoiees f (x) = jX and f (x) = XS yield the first parts of

1.4 Some Elements from Functional Analysis

1.4.1 Continuous Functions and Hlder Spaces

1.4.2 Sobolev Spaces

{J lu(x)l~ dX}l 1P (1 ~ P < (0),

where vraimax lu(x)1 = inf{llvllco: v = u a.e.}. 1l p is the p-norm on 1Rm

If necessary we add the subscript L 2 (Q): ( , }u(Q).

For p = 2 we write Hk(Q) instead of W 2 ,k(Q):

1.4.3 Dual Spaces 3

1.4.4 Hilbert Scales 5

A family {X s : - t ~ s ~ t} of Hilbert spaees XS is ealled a Hilbert

Lemma 1.4.2. Let {yts: - t ~ s ~ t} be a Hilbert seale. Then

The operator norm 1 A II.*'<-J!" for A E L(X, %) is defined by (3.11).

Lemma 1.4.3. Let {yts: - t ~ s ~ t} and {%s: - t ~ s ~ t} be two Hilbert

11 A lI.*'s<-J!"s ~ 1 A II;q~J!"q 11 A 11;r'!-J!"r (- t ~ q ~ S ~ r ~ t). (1.4.10a)

Proposition 1.4.4. Let the boundary of Q be smooth enough.

1.4.5 Sesqui-Linear Forms

(ii) bounded (or eontinuous) if

A is called the associated operator. Equation (18) is equivalent to the linear

2.1 One-Dimensional Model Problem

Setting Ji(v h,): = f (v hl ) and defining the vectors

UI = (UI(V hl))~l= 1, Ji = (Ji(v hl))~l= 1 (ni k- 1),

2.2 Smoothing Effect of Classical Iterations