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17 vues19 pagesfinite methods for linear hyperbolic Partial Diferential Equations Buckley Leverett

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finite methods for linear hyperbolic Partial Diferential Equations Buckley Leverett

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finite methods for linear hyperbolic Partial Diferential Equations Buckley Leverett

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2015/3/6

page 95

Chapter 5

for linear hyperbolic PDE

In this chapter, we discuss FD methods for hyperbolic PDE. Let us first list a few

typical model problems involving hyperbolic PDE.

Advection equation (one-way wave equation):

ut + aux = 0 , 0 < x < 1,

u(x, 0) = (x) , IC , (5.1)

u(0, t) = gl (t) if a 0 , or u(1, t) = gr (t) if a 0.

Here gl and gr are prescribed boundary conditions from the left and right

respectively.

Second order linear wave equation:

utt = auxx , 0 < x < 1,

u(x, 0) = (x) , IC , (5.2)

u(0, t) = gl (t) , u(1, t) = gr (t) .

ut = Aux + f (x, t) , (5.3)

where u and f are two vectors, A is a matrix. The system is hyperbolic if A is

diagonalizable, i.e., if there is a non-singular matrix T such that A = T DT 1,

and all eigenvalues of A are real numbers.

Non-linear hyperbolic equation or system, notably conservation laws:

2

u

ut + f (u)x = 0 , e.g., Burgers equation ux + = 0; (5.4)

2 x

ut + fx + gy = 0 . (5.5)

For nonlinear hyperbolic PDE, shocks (a discontinuous solution) can develop

even if the initial data is smooth.

95

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We know the exact solution for the one-way wave equation

u(x, 0) = (x) , t > 0,

is u(x, t) = (x at). If the domain is finite, we can also find the exact solution.

We can solve the model problem

u(x, 0) = (x) , t > 0, u(0, t) = gl (t) if a > 0

by the method of characteristics since the solution is constant along the charac-

teristics. For any point (x, t) we can readily trace the solution. In fact, for the

characteristic

along which the solution is a constant (z (s) 0), on substituting into the PDE we

get

z (s) = ut + kux = 0 ,

which is always true if k = a. The solution at (x + ks, t + s) is the same as at (x, t),

so we can solve the problem by tracing back until the line hits the boundary, i.e.,

u(x, t) = u(x + as, t + s) = u(x at, 0) if x at 0, on tracing back to the initial

condition. If x at < 0, we can only trace back to x = 0 or s = x/a and t = x/a,

and the solution is u(x, t) = u(0, t x/a) = gl (t x/a). The solution for the case

a 0 can therefore be written as

(x at) if x at,

u(x, t) = x (5.7)

gl t if x < at .

a

Now we can see why we have to prescribe a boundary condition at x = 0, but

we cannot have any boundary condition at x = 1. It is important to have correct

boundary conditions for hyperbolic problems!

The one-way wave equation is often used as a benchmark problem for different

numerical methods for hyperbolic problems.

5.1 FD methods

Simple numerical methods for hyperbolic problems include:

Lax-Friedrichs method;

Upwind scheme;

fdfem

2015/3/6

page 97

5.1. FD methods 97

Leap-frog method (note it does not work for the heat equation but works for

linear hyperbolic equations);

Box-scheme;

Lax-Wendroff method;

Crank-Nicholson scheme (not recommended for hyperbolic problems, since

there are no severe time step constraints); and

Beam-Warming method (one-sided second order upwind scheme if the solution

is smooth).

Consider the one-way wave equation ut + aux = 0, and the simple FD scheme

Ujk+1 Ujk a k k

+ Uj+1 Uj1 = 0,

t 2h

or Ujk+1 = Ujk Uj+1

k k

Uj1 ,

where = at/(2h). The scheme has O(t + h2 ) local truncation error, but the

method is unconditionally unstable from the von Neumann stability analysis. The

growth factor for the FW-CT FD scheme is

g() = 1 eih eih

= 1 2 i sin(h),

where = h, so

k k

and Uj+1 to get

1

Ujk+1 = k

Uj1 k

+ Uj+1 k

Uj+1 k

Uj1 .

2

The local truncation error is O(t + h) if t h. The growth factor is

1 ih

g() = e + eih + eih eih

2

= cos(h) 2 sin(h)i

so

= 1 sin2 (h) + 42 sin2 (h)

= 1 (1 42 ) sin2 (h) ,

fdfem

2015/3/6

page 98

that t h/|a|. This is the CFL (Courant-Friedrichs-Lewy) condition.

For the Lax-Friedrichs scheme, we need a numerical boundary condition at

x = 1, as explained later. The Lax-Friedrichs scheme is the basis for several other

popular schemes.

The upwind scheme for ut + aux = 0 is

a k k

h Uj Uj1 if a 0 ,

Ujk+1 Ujk

= (5.8)

t a U k U k if a < 0 ,

h j+1 j

which is first order accurate in time and in space. To find the CFL constraint, we

conduct the von Neumann stability analysis. The growth factor for the case when

a 0 is

g() = 1 1 eih

= 1 (1 cos(h)) i sin(h)

with magnitude

2

= (1 ) + 2(1 ) cos(h) + 2

= 1 2(1 )(1 cos(h)) ,

Note that no numerical boundary condition is needed for the upwind scheme,

and there is no severe time step restriction since t h/a. If a = a(x, t) is a

variable function that does not change the sign, then the CFL condition is

h

0 < t .

max |a(x, t)|

However, the upwind scheme is first order in time and in space, and there are some

high order schemes.

The Leap-Frog scheme for ut + aux = 0 is

Ujk+1 Ujk1 a k k

+ Uj+1 Uj1 = 0,

2t 2h (5.9)

or Ujk+1 = Ujk1 Uj+1

k k

Uj1 ,

fdfem

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page 99

5.1. FD methods 99

requires a numerical boundary condition at one end and need Uj1 to get started. We

know that the Leap-Frog scheme is unconditionally unstable for the heat equation.

Let us consider the stability for the advection equation through the von Neumann

analysis. Substituting

1 ij

Ujk = eij , Ujk+1 = g()eij , Ujk1 = e

g()

into the Leap-Frog scheme, we get

g 2 + (eih eih )g 1 = 0 ,

or g 2 + 2i sin(h) g 1 = 0 ,

with solution

q

g = i sin(h) 1 2 sin2 (h) . (5.10)

We distinguish three different cases.

1. If || > 1, then there are such that at least one of |g | > 1 or |g+ | > 1 holds,

so the scheme is unstable!

2. If || < 1, then 1 2 sin2 (h) 0 such that

|g |2 = 2 sin2 (h) + 1 2 sin2 (h) = 1 .

However, since it is a two-stage method, we have to be careful about the

stability. For linear FD theory, we know the general solution is

U k = C1 g

k k

+ C2 g+

|U k | max{C1 , C2 } |g k k

| + |g+ |

2 max{C1 , C2 } ,

PJ

so the scheme is neutral stable according to the definition kUk k CT j=0 kUj k.

3. If || = 1, we still have |g | = 1, but we can find such that sin(h) = 1

and g+ = g = i, i.e., i is a double root of the characteristic polynomial.

The solution of the FD equation therefore has the form

Ujk = C1 (i)k + C2 k(i)k ,

where the possibly complex C1 and C2 are determined from the initial condi-

tions. Thus there are solutions such that kUk k k which are unstable (slow

growing).

h

In conclusion, the Leap-Frog scheme is stable if t < |a| . Note that we can

use the upwind or other scheme (even unstable ones) to initialize the Leap-Frog

scheme to get Uj1 . We call a numerical scheme (such as the Lax-Friedrichs and

upwind schemes) dissipative if |g()| < 1, and otherwise (such as the Leap-Frog

scheme) it is non-dissipative.

fdfem

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page 100

A modified PDE is the PDE that a FD equation satisfies exactly at the grid points.

Consider the upwind method for the advection equation ut + aux = 0 in the case

a > 0:

Ujk+1 Ujk a

+ Ujk Uj1

k

= 0.

t h

The derivation of a modified PDE is similar to computing the local truncation error,

only now we insert v(x, t) into the FD equation to derive a PDE that v(x, t) satisfies

exactly, thus

v(x.t + t) v(x, t) a

+ (v(x, t) v(x h, t)) = 0 .

t h

Expanding the terms in Taylor series about (x, t) and simplifying yields

1 1 1 2

vt + t vtt + + a vx hvxx + h vxxx + = 0 ,

2 2 6

1 1

vt + avx = (ahvxx tvtt ) ah2 vxxx + (t)2 vtt + ,

2 6

which is the PDE that v satisfies. Consequently,

1

vtt = avxt + (ahvxxt tvttt )

2

= avxt + O(t, h)

= a (avx + O(t, h)) ,

x

so the leading modified PDE is

1 at

vt + avx = ah 1 vxx . (5.11)

2 h

This is a advection-diffusion equation. The grid values Ujn can be viewed as giving a

second order accurate approximation to the true solution of this equation, whereas

they only give a first order accurate approximation to the true solution of the

original problem. From the modified equation, we can conclude that:

term (the second order derivative term is called numerical dissipation, or

numerical viscosity);

accuracy);

fdfem

2015/3/6

page 101

we can add the correction term to offset the leading error term to render

a higher order accurate method, but the stability needs to be checked, For

instance, we can modify the upwind scheme to get

k

Ujk+1 Ujk Ujk Uj1

k

1 at Uj1 2Ujk + Uj+1

k

+a = ah 1 ,

t h 2 h h2

which is second order accurate if t h;

from the modified equation, we can see why some schemes are unstable, e.g.,

the leading term of the modified PDE for the unstable scheme

Ujk+1 Ujk k

Uj+1 k

Uj1

+a =0 (5.12)

t 2h

is

a2 t

vt + avx = vxx , (5.13)

2

where the highest derivative is similar to the backward heat equation that is

dynamically unstable!

methods

To derive the Lax-Wendroff scheme, we notice that

u(x, t + t) u(x, t) t

= ut + utt + O((t)2 )

t 2

1

= ut a2 (t)uxx + O((t)2 ) .

2

We can add the numerical viscosity to the 21 a2 uxx to improve the accuracy in

time, to get the Lax-Wendroff scheme

Ujk+1 Ujk k

Uj+1 k

Uj1 1 a2 t k

+a = Uj1 2Ujk + Uj+1

k

, (5.14)

t 2h 2 h2

which is second order accurate both in time and space. To show this, we investigate

the corresponding local truncation error

u(x, t + t) u(x, t) a (u(x + h, t) u(x h, t))

T (x, t) =

t 2h

a2 t (u(x h, t) 2u(x, t) + u(x + h, t))

2h2

t a2 t

= ut + auxx uxx + O((t)2 + h2 )

2 2

= O((t)2 + h2 ) ,

fdfem

2015/3/6

page 102

since ut = aux and utt = auxt = a x ut = a2 uxx .

To get the CFL condition for the Lax-Wendroff scheme, we carry out the von

Neumann stability analysis. The growth factor of the Lax-Wendroff scheme is

ih 2 ih

g() = 1 e eih + e 2 + eih

2 2

= 1 i sin 22 sin2 (/2),

where again = h, so

2

|g()|2 = 1 22 sin2 + 2 sin2

2

2 2

2

= 1 4 sin + 44 sin4 + 42 sin2 1 sin

2 2 2 2

= 1 42 1 2 sin4

2

1 42 1 2 .

that |g()| > 1 so the scheme is unstable.

The leading modified PDE for the Lax-Wendroff method is

2 !

1 at

vt + avx = ah2 1 vxxx (5.15)

6 h

which is a dispersive equation. The group velocity for the wave number is

2 !

1 at

cg = a ah2 1 2 , (5.16)

2 h

which is less than a for all wave numbers. Consequently, the numerical result can

be expected to develop a train of oscillations behind the peak, with high wave

numbers lagging farther behind the correct location, cf., Ref. [23] for more details.

If we retain one more term in the modified equation for the Lax-Wendroff scheme,

we get

2 !

1 at

vt + avx = ah2 1 vxxx vxxxx , (5.17)

6 h

where the in the fourth order dissipative term is O(h3 ) and positive when the

stability bound holds. This high order dissipation causes the highest wave number

to be damped, so that the oscillations are limited.

fdfem

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page 103

The Beam-Warming method is a one-sided FD scheme for the modified equation

a2 t

vt + avx = vxx .

2

Recall the one-sided FD formulas

3u(x) 4u(x h) + u(x 2h)

u (x) = + O(h2 ) ,

2h

u(x) 2u(x h) + u(x 2h)

u (x) = + O(h) .

h2

The Beam-Warming method for ut + aux = 0 for a > 0 is

at (at)2

Ujk+1 = Ujk 3Ujk 4Uj1

k k

+ Uj2 + 2

Ujk 2Uj1

k k

+ Uj2 ,

2h 2h

(5.18)

which is second order accurate in time and space if t h. The CFL constraint is

2h

0 < t . (5.19)

|a|

we need a scheme to compute the solution U1j . The leading terms of the modified

PDE for the Beam-Warming method is

2 !

1 2 at

vt + avx = ah 1 vxxx . (5.20)

6 h

In this case, the group velocity is greater than a for all wave numbers when 0

at/h 1, so initial oscillations would move ahead of the main hump. On the

other hand, if 1 at/h 2 the group velocity is less than a, so the oscillations

fall behind.

The Crank-Nicholson scheme for the advection equation ut + aux = f is

Ujk+1 Ujk k

Uj+1 k

Uj1 k+1

+ Uj+1 k+1

Uj1 k+ 1

+a = fj 2 , (5.21)

t 4h

which is second order accurate in time and in space, and unconditionally stable. A

numerical boundary condition is needed at x = 1. This method is effective for the

1D problem, since it is easy to solve the resulting tridiagonal system of equations.

For higher dimensional problems, the method is not recommended in general as for

hyperbolic equations the time step constraint t h is not a major concern.

fdfem

2015/3/6

page 104

Different MOL methods can be used, depending on how the spatial derivative term

is discretized. For the advection equation ut + aux = 0, if we use

Ui Ui+1 Ui1

+a =0 (5.22)

t 2h

the ODE solver is likely to be implicit, since the Leap-frog method is unstable!

We need a numerical boundary condition at one end for the one-way wave equation

when we use any of the Lax-Friedrichs, Lax-Wendroff, or Leap-Frog schemes. There

are several possible approaches.

x x2 x x1

f (x) f (x1 ) + f (x2 ) .

x1 x2 x2 x1

We can use the same time level for the interpolation to get

k+1 k+1

UM = UM1 , first order,

UM = UM2 + UM1 , second order.

xM1 xM xM2 xM1

If a uniform grid is used with spatial step size h, this formula becomes

UM = UM2 + 2UM1 .

get

k+1 k

UM = UM1 , first order,

UM = UM2 + UM1 , second order.

xM1 xM xM2 xM1

We may use schemes that do not need NBC at or near the boundary, e.g., the

upwind scheme or the Beam-Warming method.

The accuracy and stability of the numerical scheme usually depend upon the nu-

merical boundary conditions used. Usually, the main scheme and the scheme for

NBC should both be stable.

fdfem

2015/3/6

page 105

5.5. Finite difference methods for second order linear hyperbolic PDE 105

hyperbolic PDE

Consider the problem involving the wave equation

IC: u(x, 0) = u0 (x) , ut (x, 0) = u1 (x) ,

BC: u(0, t) = g1 (t) , u(1, t) = g2 (t) .

We can use DAlemberts technique to find the exact solution if the domain is the

entire space. Thus introducing the new variables

+

(

= x at x=

2

or (5.23)

= x + at

t=

2

and using the chain-rule, we have

ut = au + au ,

utt = a2 u 2a2 u + a2 u ,

ux = u + u ,

uxx = u + 2u + u .

u a2 2a2 u + a2 u = a2 (u + 2u + u ) ,

which simplifies to

4a2 u = 0 ,

u(x, t) = F (x at) + G(x + at) .

1

u(x, t) = u(x at, 0) + u(x + at, 0) ,

2

demonstrating that a signal (wave) propagates along each characteristic x at and

x + at with speed a at half of its original strength.

fdfem

2015/3/6

page 106

equation

We can use the central FD discretization both in time and space to get

Ujk+1 2Ujk + Ujk1 U k 2Ujk + Uj+1

2 j1

k

= a , (5.24)

(t)2 h2

which is second order accurate both in time and space ((t)2 + h2 ). The CFL

h

constraint for this method is t |a| , as verified through the following discussion.

The von Neumann analysis gives

g 2 + 1/g eih 2 + eih

2

= a2 .

(t) h2

When = |a|t/h, this equation becomes

g 2 2g + 1 = 2 42 sin2 g

or

g 2 2 1 42 sin2 g + 1 = 0

where = h/2, with solution

q

g = 1 22 sin2 (1 22 sin2 )2 1 .

Note that 1 22 sin2 1. If we also have 1 22 sin2 < 1, then one of roots

is

q

g1 = 1 22 sin2 (1 22 sin2 )2 1 < 1

To have a stable scheme, we require 122 sin2 1, or 2 sin2 1, which

can be guaranteed if 2 1 or t h/|a|. This is the CFL condition expected.

Under this CFL constraint,

2 2

|g|2 = 1 22 sin2 + 1 1 22 sin2 =1

since the second part in the expression of g is imaginary, so the scheme is neutrally

stable.

A FD scheme for a second order PDE (in time) Pt,h vjk = 0 is stable in a

stability region if there is an integer J such that for any positive time T there is

a constant CT independent of t and h, such that

p J

X

kvn kh 1 + n2 CT kvj kh (5.25)

j=0

for any n that satisfies 0 nt T with (t, h) . The definition allows linear

growth in time. Once again, the FD method converges if it is consistent and stable.

fdfem

2015/3/6

page 107

5.5. Finite difference methods for second order linear hyperbolic PDE 107

order system

Although we can solve the second order wave equation directly, in this section, let

us discuss how to change this equation into a first order system. The first order

linear hyperbolic system of interest has the form

ut = (Au)x = Aux ,

f

ut + (f (u))x = 0 or ut + ux = 0

u

are a special case. To transfer the second order wave equation to a first order

system, let us consider

(

p = ut

utt = pt , qx = uxx ,

q = ux ,

then we have

(

pt = utt = uxx = qx

qt = uxt = (ut )x = px

or in matrix-vector form

" # " #" #

p 0 1 p

= (5.26)

q t

1 0 q x

From the given boundary conditions for u(x, t), we get

u(1, t) = g2 (t) , ut (0, t) = g1 (t) = p(1, t) ,

and there is no boundary condition for q(x, t). The initial conditions are

q(x, 0) = ux (x, 0) = u(x, 0) = u0 (x), known.

x

To solve the first order system numerically, we usually diagonalize the sys-

tem (corresponding to characteristic directions) and then determine the boundary

conditions and an appropriate numerical method (e.g. the upwind method). Thus

fdfem

2015/3/6

page 108

eigenvalues of A on the diagonal and T is a non-singular matrix. Then

ut = Dux

one by one. We also know at which end we should have a boundary condition,

depending on the sign of i .

For the second order wave equation, let us recall that the eigenvalues are 1

and 1. The unit eigenvector (such that kxk2 = 1) corresponding to the eigenvalue

1, found by solving Ax = x, is x = [1, 1]T / 2. Similarly, the unit eigenvector

corresponding to the eigenvalue 1 is x = [1, 1]T / 2, so

1 1 1 1

2 2 2 2

T =

1

,

T 1 =

.

1 1 1

2 2 2 2

The transformed result is thus

1 1 " 1 1 1 1

# " # " #

2 2 p 2 2 0 1 2 2 p

=

1 1 q 1 1 1 0 1 1 q

t x

2 2 2 2 2 2

1 1

" # " #

1 0 2 2 p

= ,

1 1 q

0 1 x

2 2

or in equivalent component form

1 1 1 1

p q = p q

2 2 t 2 2 x

1 1 1 1

p+ q = p+ q .

2 2 t 2 2 x

By setting

1 1

y1 = p q,

2 2

1 1

y2 = p + q.

2 2

fdfem

2015/3/6

page 109

5.6. Some commonly used FD methods for a linear system of hyperbolic PDE 109

we get

y1 = y1 ,

t x

y = y ,

2 2

t x

i.e., two separate one-way wave equations, for which we can use various numerical

methods.

We already know the initial conditions, but need to determine a boundary

condition for y1 at x = 1 and a boundary condition for y2 at x = 0. Note that

1 1

y1 (0, t) = p(0, t) q(0, t),

2 2

1 1

y2 (0, t) = p(0, t) + q(0, t),

2 2

and q(0, t) is unknown. We do know that, however,

2

y1 (0, t) + y2 (0, t) = p(0, t) ,

2

and can use the following steps to determine the boundary condition at x = 0:

1. update (y1 )k+1

0 first, for which we do not need a boundary condition; and

2. use (y2 )k+1

0 = 2 pk+1 (y1 )k+1

2 0 0 to get the boundary condition for y2 at x = 0.

system of hyperbolic PDE

We now list some commonly used FD methods for solving a linear hyperbolic system

of PDE

The Lax-Friedrichs scheme

1 t

Uk+1

j = Ukj+1 + Ukj1 A Ukj+1 Ukj1 . (5.28)

2 2h

t

Uk+1

j = Ujk1 A Ukj+1 Ukj1 . (5.29)

2h

fdfem

2015/3/6

page 110

t

Uk+1

j = Ukj A Ukj+1 Ukj1

2h (5.30)

(t)2 2

+ 2h2 A Ukj1 2Ukj + Ukj+1 .

form A = T 1 DT and the new system ut = Dux with u = T u.

The canonical form for the 1D conservation law is

ut + f (u)x = 0 , (5.31)

2

u

ut + = 0, (5.32)

2 x

in which f (u) = u2 /2. The term f (u) is often called the flux. This equation can be

written in the non-conservative form

ut + uux = 0 , (5.33)

and the solution likely develops shock(s) where the solution is discontinuous,4 even

if the initial condition is arbitrarily differentiable, i.e., u0 (x) = sin x.

We can use the upwind scheme to solve Burgers equation. From the non-

conservative form, we obtain

k

+ Ujk = 0, if Ujk 0 ,

t h

Ujk+1 Ujk k

Uj+1 Ujk

+ Ujk = 0, if Ujk < 0 ,

t h

and from the conservative form

Ujk+1 Ujk (Ujk )2 (Uj1

k

)2

+ = 0, if Ujk 0 ,

t 2h

Ujk+1 Ujk k

(Uj+1 )2 (Ujk )2

+ = 0, if Ujk < 0 .

t 2h

If the solution is smooth, both methods work well (first order accurate). However,

if shocks develop the conservative form gives much better results than that the

non-conservative form.

4 There is no classical solution to the PDE when shocks develop because u is not well defined.

x

We need to look for weak solutions.

fdfem

2015/3/6

page 111

We can derive the Lax-Wendroff scheme using the modified equation of the

non-conservative form. Since ut = uux,

utt = ut ux uutx

= uu2x + u(uux )x

= uu2x + u u2x + uuxx

= 2uu2x + u2 uxx ,

so the leading term of the modified equation for the first order method is

t

ut + uux = 2uu2x + u2 uxx , (5.34)

2

and the non-conservative Lax-Wendroff scheme for Burgers equation is

k k

Uj+1 Uj1

Ujk+1 = Ujk tUjk

2h

!2

k k k k k

(t)2 k Uj+1 Uj1 U j1 2U j + U j+1 .

= + 2Uj + (Ujk )2

2 2h h2

Consider the conservation law

ut + f (u)x = 0 ,

and let us seek a numerical scheme of the form

t k

uk+1

j = ukj k

gj+ 1 gj 1 , (5.35)

h 2 2

where

gj+ 12 = g ukjp+1 , ukjp+2 , , ukj+q+1

is called the numerical flux, satisfying

g(u, u, , u) = f (u) . (5.36)

Such a scheme is called conservative. For example, we have g(u) = u2 /2 for Burgers

equation.

We can derive general criteria that g should satisfy, as follows.

1. Integrate the equation with respect to x from xj 12 to xj+ 12 , to get

Z x 1 Z x 1

j+ j+

2 2

ut dx = f (u)x dx

xj 1 xj 1

2 2

= f (u(xj+ 21 , t)) f (u(xj 12 , t)) .

fdfem

2015/3/6

page 112

Z tk+1 Z x 1 Z tk+1

j+

2

ut dx dt = f (u(xj+ 21 , t)) f (u(xj 12 , t)) dt ,

tk xj 1 tk

2

Z xj+ 1 Z tk+1

u(x, tk+1 ) u(x, tk dx =

2

f (u(xj+ 21 , t)) f (u(xj 12 , t)) dt .

xj 1 tk

2

Z xj+ 1

1

ukj = u(x, tk )dx ,

2

(5.37)

h xj 1

2

which is the cell average of u(x, t) over the cell (xj 12 , xj+ 12 ) at the time level k.

The expression that we derived earlier can therefore be rewritten as

Z tk+1 Z tk+1 !

k+1 k 1

uj = uj f (u(xj+ 21 , t))dt f (u(xj 12 , t))dt

h tk tk

Z Z !

tk+1 tk+1

t 1 1

= ukj f (u(xj+ 12 , t))dt f (u(xj 21 , t))dt

h t tk t tk

t

= ukj gj+ 21 gj+ 21 ,

h

where

Z tk+1

1

gj+ 21 = f (u(xj+ 21 , t))dt .

t tk

to evaluate the integral.

Some commonly used schemes are:

Lax-Friedrichs scheme

1 t

Ujk+1 = k

Uj+1 k

+ Uj1 k

f (Uj+1 k

) f (Uj1 ) ; and (5.38)

2 2h

Lax-Wendroff scheme

t

Ujk+1 = Ujk k

f (Uj+1 k

) f (Uj1 )

2h

(t)2 n k k

k k

o

+ A j+ 1 f (U j+1 ) f (U j ) Aj 1 f (U j ) f (U j1 ) ,

2h2 2 2

(5.39)

fdfem

2015/3/6

page 113

where Aj+ 12 = Df (u(xj+ 21 , t)) is the Jacobian matrix of f (u) at u(xj+ 21 , t)).

A modified version

1 t

k+ 1

Uj+ 12 = Ujk + Uj+1

k

k

f (Uj+1 ) f (Ujk )

2 2 2h (5.40)

U k+1 = U k t f (U k+ 12 ) f (U k+ 12 ) ,

j j j+ 1

j 1

h 2 2

called the Lax-Wendroff-Richtmyer scheme, does not need the Jacobian ma-

trix.

5.9 Exercises

1. Show that the following scheme is consistent with the PDE ut +cutx +aux = f :

n+1 n

Ui+1 n

+ Ui1 U n Ui1

n

+ c i+1 + a i+1 = fin .

k 2kh 2h

Discuss also the stability, as far as you can.

2. Implement and test the upwind and Lax-Wendroff schemes for the one-way

wave equation

ut + ux = 0.

Assume the domain is 1 x 1, and tf inal = 1. Test your code for the

following parameters:

(a) u(t, 1) = 0, and u(0, x) = (x + 1)ex/2 .

0 if x < 1/2,

(b) u(t, 1) = 0, and u(0, x) = 1 if 1 x 1/2,

0 if x > 1/2.

Do the grid refinement analysis at tf inal = 1 for case (a) where the exact

solution is available, take m = 10, 20, 40, and 80. For problem (b), use m = 40.

Plot the solution at tf inal = 1 for both cases.

2

u

ut + =0

2 x

4. Download the claw-pack for conservation laws from Internet. Run a test

problem in 2D. Write 2 to 3 pages to detail the package and the numerical

results.

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