# Properties of numerical methods The following criteria are crucial to the performance of a nume rical algorithm PDF document - DocSlides

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Consistency The discretization of a PDE should become exac t as the mesh size tends to zero truncation error should vanish 2 Stability Numerical errors which are generated during the solution of discretized equations should not be magni64257ed 3 Con ID: 23269

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## Presentations text content in Properties of numerical methods The following criteria are crucial to the performance of a nume rical algorithm

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Properties of numerical methods The following criteria are crucial to the performance of a nume rical algorithm: 1. Consistency The discretization of a PDE should become exac t as the mesh size tends to zero (truncation error should vanish) 2. Stability Numerical errors which are generated during the solution of discretized equations should not be magniﬁed 3. Convergence The numerical solution should approach the ex act solution of the PDE and converge to it as the mesh size tends to zero 4. Conservation Underlying conservation laws should be res pected at the discrete level (artiﬁcial sources/sinks are to be avoided) 5. Boundedness Quantities like densities, temperatures, co ncentrations etc. should remain nonnegative and free of spurious wiggles These properties must be veriﬁed for each (component of the) n umerical scheme

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Consistency Relationship: discretized equation diﬀerential equation Truncation errors should vanish as the mesh size and time step t end to zero Example. Pure convection equation ∂u ∂t ∂u ∂x = 0 discretized by CDS in space, FE in time: +1 +1 2 [( ( Taylor series expansions: +1 + ∂u ∂t ( ∂t . . . ∂u ∂x ( ∂x ( ∂x . . . Hence, +1 +1 2 ∂u ∂t ∂u ∂x = 0 where ∂t ( ∂x [( ( residual of the diﬀerence scheme for the exact nodal values x, m

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Stability Relationship: numerical solution of discretized equations exact solution of discretized equations Deﬁnition 1 Numerical errors (roundoﬀ due to ﬁnal precision o f computers) should not be allowed to grow unboundedly Deﬁnition 2 The numerical solution itself should remain unifo rmly bounded Stability analysis: can only be performed for a very limited ra nge problems Matrix method: Au +1 Bu +1 Cu where is assumed to be a linear operator. In practice = so that +1 Cu for the numerical solution of the discretized equations +1 for the exact solution of the discretized equations +1 Ce for the roundoﬀ error incurred in the solution process

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Matrix method for stability analysis In the linear case +1 Cu . . . , e +1 Ce . . . i.e., the error evolves in the same way as the solution and is bo unded by || ||≤|| || || || || || ) = max spectral radius of Unstable schemes: if 1 then || || 1 and the errors may grow Example. Convection-diﬀusion equation ∂u ∂t ∂u ∂x ∂x discretized by CDS in space, FE in time: +1 +1 2 +1 ( or +1 +1 ) + +1 where is the Courant number ( is the diﬀusion number

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Matrix method for stability analysis a b c a b c a b c = 1 lo frequencies high frequencies Eigenvectors = cos sin i , , i Eigenvalues a +1 b c divide by i = 1 + 2 (cos 1) + sin = 1 , . . . , N Stability condition = [1 + 2 (cos 1)] + 4 sin pure convection: = 0 ⇒ | | 1 unconditionally unstable :-( pure diﬀusion: = 0 ⇒ | | 1 if conditionally stable

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Von Neumann’s stability analysis Objective: to investigate the propagation and ampliﬁcation of numerical errors Assumptions: linear PDE, constant coeﬃcients, periodic boun dary conditions Continuous error representation x, t ) = ik Fourier series , e ik = cos sin i.e. the error is a superposition of harmonics characterized by their wave number (for wave length ) and amplitide +1 min = 2 max = 2 Discretization m , Here is the phase angle, is the number of waves ﬁtted into the interval L, L ) and determines the highest frequency resolvable on the mesh

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Von Neumann’s stability analysis Representation of numerical error (trigonometric interpolat ion) i i where Due to linearity, the error satisﬁes the discretized equati on and so does each harmonic. Hence, it suﬃces to check stability for i Ampliﬁcation factor +1 the enhancement of the th harmonic during one time step Stability condition | guarantees that the error component = ( remains bounded Remark. The accuracy of approximation can be assessed by analyzing ph ase errors i.e. the actual speed of harmonics as compared to the exa ct speed

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Example: pure convection equation in 1D 1. Let ∂u ∂t ∂u ∂x = 0 be discretized by CDS in space, FE in time +1 +1 2 = 0 and substitute iθj The resulting diﬀerence equation for the error can be writte n as +1 iθj i +1) i 1) ) = 0 , Divide by iθj +1 i i ) and note that i i = cos sin cos sin = 2 sin Ampliﬁcation factor +1 = 1 i sin is responsible for stability = 1 + sin the scheme is unconditionally unstable :-(

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Example: pure convection equation in 1D 2. Let ∂u ∂t ∂u ∂x = 0 be discretized by BDS in space, FE in time +1 = 0 and substitute iθj which yields ( +1 iθj νa iθj i 1) ) = 0 , = 1 νe i = 1 (cos sin ) = 1 sin i sin Re ) = 1 cos θ, Im ) = sin Stability restriction 1 means that must lie within the unit circle in the complex plane. This leads to the CFL condition v > 0 upwind scheme, stable for v < 0 downwind scheme, unconditionally unstable Im Re region of instabilit stabilit region of

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Example: pure convection equation in 1D The numerical domain of dependence should contain the analyti cal one: if ν > 1, then the data at some grid point may aﬀect the true solution but not the numerical one on the other hand, for ν < 1 some grid points in- ﬂuence the solution although they should not for accuracy reasons it is desirable to have 1; some schemes are exact for = 1 (unit CFL property) +1 +1 dx dt dx dt 3. Let ∂u ∂t ∂u ∂x = 0 be discretized by CDS in space, BE in time +1 +1 +1 +1 2 = 0 and substitute iθj +1 iθj +1 i +1) i 1) ) = 0 1+ i sin It follows that 1+ sin 1 unconditional stability

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Spectral analysis of numerical errors Consider ∂u ∂t ∂u ∂x ∂x convection-diﬀusion equation Exact solution: x, t ) = ik vt dt ikx , a ) = ikvt dt a wave with exponentially decaying amplitude traveling at con stant speed Ampliﬁcation factor ex +1 ikv )( +1) ikv i ex , t, kv arg( ex Amplitude error num ex num numerical damping Phase error arg num arg ex arg num numerical dispersion where arg num is the numerical propagation speed Harmonics travel too fast if 1 (leading phase error) and too slow in the case 1 (lagging phase error)

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Convergence Relationship: numerical solution of discretized equations exact solution of the diﬀerential equation Deﬁnition: A numerical scheme is said to be convergent if it pro duces the exact solution of the underlying PDE in the limit 0 and Lax equivalence theorem: stability + consistency = convergence For practical purposes, convergence can be investigated nu merically by comparing the results computed on a series of successively re ned grids The rate of convergence is governed by the leading truncatio n error of the discretization scheme and can also be estimated numericall y: . . . )(2 . . . )(4 . . . (1 (1 )2 log log 2

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Conservation Physical principles should apply at the discrete level: if ma ss, momentum and energy are conserved, they can only be distributed improp erly Integral form of a generic conservation law ∂t u dV dS q dV, accumulation inﬂux source/sink ﬂux function Caution: nonconservative discretizations may produce reas onably looking results which are totally wrong (e.g. shocks moving with a wro ng speed) even nonconservative schemes can be consistent and stable correct solutions are recovered in the limit of very ﬁne grids Problem: it is usually unclear whether or not the mesh is suﬃcien tly ﬁne

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Discrete conservation 1. Any ﬁnite volume scheme is conservative by construction both locally (for every single control volume) and globally (for the whole domain) 2. A ﬁnite diﬀerence scheme is conservative if it can be written in the form +1 +1 which is equivalent to a vertex-centered ﬁnite volume discre tization 3. Any ﬁnite element scheme is conservative, at least globally =1 ∂u ∂t dV = 0 , i = 1 , . . . , N Summation over yields a discrete counterpart of the integral conservation law ∂u ∂t dV = 0 ∂t dV dS dV

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Boundedness Convection-dominated / hyperbolic PDEs Pe , Re spurious undershoots and overshoots occur in the vicinity o f steep gradients quantities like densities, temperatures and concentration s become negative the method may become unstable or converge to a wrong weak soluti on 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.2 0.4 0.6 0.8 low-order high-order 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0.2 0.4 0.6 0.8 Idea: make sure that important properties of the exact solutio n (monotonicity, positivity, nonincreasing total variation) are inherited by the numerical one

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Design of nonoscillatory methods Monotone methods ∂u ∂t ∂f ∂x = 0 +1 ) such that ∂H ∂u i, j Then +1 +1 Example. Let ∂u ∂t ∂u ∂x = 0 be discretized by UDS in space, FE in time +1 = 0 , H ) = Derivatives ∂H ∂u = 1 ν, ∂H ∂u ν, where monotone under the CFL condition 1 (cf. stability analysis) Lax-Wendroﬀ theorem: If a monotone consistent and conservative method converges, then it converges to a physically acceptable weak solution

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Design of nonoscillatory methods Godunov’s theorem: Monotone method are at most ﬁrst-order accurate Monotonicity-preserving methods (monotone if linear) +1 +1 i, If the initial data is monotone, then so is the solution at all times It is known that the total variation deﬁned as TV ) = ∂u ∂x dx is a nonincreasing function of time for any physically admissible weak solution Total variation diminishing methods (monotone if linear) TV +1 TV where TV ) = Classiﬁcation monotone TVD monotonicity-preserving

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Total variation diminishing methods Harten’s theorem: An explicit ﬁnite diﬀerence scheme of the form +1 ) + +1 +1 is total variation diminishing (TVD) provided that the coe cients satisfy , c +1 , c +1 Semi-discrete problem du dt +1 = 0 conservation form Idea: switch between high- and low-order ﬂux approximations depending on the local smoothness of the solution so as to enforce Harten’s conditions: +1 +1 + +1 +1 +1 where 0 +1 2 is a solution-dependent correction factor (ﬂux limiter)

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TVD discretization of convective terms Example. Pure convection equation ∂u ∂t ∂u ∂x = 0 , v > , f vu Linear ﬂux approximations +1 vu upwind diﬀerence +1 +1 central diﬀerence Smoothness indicator +1 Nonlinear TVD ﬂux +1 vu Φ( )( +1 Harten’s coeﬃcients 2 2 + Φ( Φ( , c +1 = 0 Standard ﬂux limiters: Φ( ) = 1+ Van Leer Φ( ) = max min , r }} minmod Φ( ) = max min 1+ MC Φ( ) = max min min , r }} superbee 1D stencil i−1 i+1 i+1 i−1