SSC335/394 Scientific and Technical Computing

Non-Linear Problems and Optimization

The University of Texas at Austin, 2012 Please see the final slide for Copyright and licensing information

Linear PDEs
u_t - \Delta(u) = f

Linear PDE review: Methods to solution Spacial discretization ( FDM, FVM, FEM ) Time stepping methods ( Forward Euler, Crank Nicholson, Runga Kutta )

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Non-linear Problem
The heat equation also takes the following form:

u_t div( q(u) * grad(u)) = f

Previously q(u) = k, which can be taken out of the equations and thus all variables separated. If q(u) is based upon the heat of the system (such as a linear heat disappation q(u) = u), we have a non-linear system

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Non-linear Problem
Simplify it a bit

div( u * grad(u)) = f
Methods for attacking: Initialize: the current guess Update: Determine a new guess from the current guess Stop or Repeat: If the stopping criterion is not satisfied and progress is being made, use the new guess as the current guess and repeat the process from step 2.
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Picard Iteration
Simplify it a bit

div( u * grad(u)) = f
Simplify further by using the previous solution to model q(u) div( u_old * grad(u)) = f

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Picard Iteration
Pick initial guess that makes sense,

div( u_old * grad(u)) = f

in this case u_0 = {1} Why does this make sense?

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Picard Iteration
How will we stop?

div( u_old * grad(u)) = f

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Picard Iteration
How will we stop?

div( u_old * grad(u)) = f

Measure the difference between u_old and u. Absolute difference: ||u_old u|| < eps Relative difference: ||u_old u || / ||u|| < eps
What makes these two different?
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Picard Iteration
How will we stop?

div( u_old * grad(u)) = f

After iterating a critical number of times. The iteration might not converge to true solution May be unacceptably slow

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Picard Iteration
Successively substitute non-linear parts of equations

Initialize: Guess or previous linear solution Update: Substitute previous guess into non-linear method Stop or Repeat: Until difference between successive iterates is small or reached too many iterations

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Problems with Picard

Numerous iterations Only solves very small non linearities i.e. small perturbations on linear equations.

How do we improve? Better guess Better update

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Newton Iteration
Basic idea, use the derivative of the function to update. That is:

Take the non-linear function as:

F(u) = 0 Then the iteration is formed by: u_new = u_old F(u_old) / F^-1 (u_old)

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Newton Iteration
What does it mean to take derivative step in multiple dimentions? Same as solving: J(u) \delta u = F(u) Then the iteration is formed by: u_new = u_old w \delta u Where w is a parameter in [0,1]
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Newton Iteration
J(u) is called the Jacobian:

J_ij = F^i_j
What does this mean for div(q(u) * grad(u)) = f

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Newton Iteration
F(u) = div(q(u) * grad(u)) - f

J(u) = div(q(u) \delta u * grad(u) + div( q(u)*grad(u)) \delta(u)

Update turns into solve for delta(u) with u = u_old

div(q(u) \delta u * grad(u) + div( q(u)*grad(u)) \delta(u) =div(q(u) * grad(u)) - f

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 The University of Texas at Austin, 2012 This work is licensed under the Creative Commons Attribution Non-Commercial 3.0 Unported License. To view a copy of this license, visit http://creativecommons.org/licenses/by-nc/3.0/ When attributing this work, please use the following text: "[Title of this Slide Deck] by The Texas Advanced Computing Center, 2012. Available under a Creative Commons Attribution Non-Commercial 3.0 Unported License