Basic conditions for the finite difference and finite element approx-

In document Numerical Treatment of Linear Parabolic Problems (Pldal 35-40)

2.3 Discrete analogs of the qualitative properties - reliable discrete models

2.3.5 Basic conditions for the finite difference and finite element approx-

As it was mentioned in Section 2.3.3, the discrete mesh operators are derived via the discretization of the partial differential operators. Therefore, L is usually some approx-imation to L, which means the following. Let P denote the projection operator from the space domL to domL defined as follows. For v domL, (Pv)(xi, tn) = v(xi, tn) (i= 1, . . . ,N;¯ n= 0, . . . , M). (We note that domL, and hence L, depends on the choice

f u0 u DNP non-negative non-negative non-negative

NPCAP non-negative non-negative non-negative and time-decreasing

DWMP any any any

DSMP any any any

DWBMP non-positive any any

Ciarlet non-positive any time-decreasing

DSBMP non-positive any any

Stoyan zero non-negative non-negative and time-independent Table 2.3.1: Conditions for the given data of the continuous problem providing different qualitative properties.

of the mesh ¯QtM, i.e., on the discretization parameters h and ∆t. Therefore, for refined meshes they denote a family of the operators.)

Definition 2.3.42 We say that L locally approximates the operator Lif for all functions v domL and for all points (x?, t?)∈QT we have

(Lv)(x?, t?)(L(Pv))(x?h, t?∆t)0, (2.3.64) when x?h x? and t?∆t →t? as h,∆t 0.

The expression on the left-hand side in (2.3.64) is calledlocal approximation errorand the rate of its convergence to zero defines the order of the approximation. This will be denoted by the symbol O(g(∆t, h)), whereg is some function (typically polynom) of ∆t and h. 5

Aiming at preserving the qualitative properties, we want to use Theorem 2.3.18.

Therefore, first we should analyze validity of the conditions (2.3.120) and (2.3.130). In what follows, we consider the differential operator in the standard form


∂t Xd


∂xm(km(x, t)

∂xm) Xd


am(x, t)

∂xm −a0(x, t), (2.3.65) which will be discretized by two popular numerical techniques - the finite difference and finite element methods. Henceforward we assume that km are positive functions and a0 is a non-positive function.

a. The finite difference discretization

In the following we approximate the operator L in (2.3.65) with sufficiently smooth co-efficient functions on a rectangular mesh by the usual finite difference method according to Figure 2.3.2. (See e.g., [73, 116, 133]). The interior points of the mesh are denoted

5The “Big Oh notation” (it is also called as Landau notation, Bachmann-Landau notation, asymptotic notation) first appeared in the second volume of Bachmann’s treatise on number theory [2], and Landau obtained this notation in Bachmann’s book [85]. This symbol means the following. Let gτ be a vector function defined on an interval I ⊂ IR, gτ : I → IRn, with τ being a scalar parameter. We write gτ(t) =O(τp) if there exists a constantC0>0 such that for sufficiently small values of|τ|the inequality

kgτ(t)k ≤C0|τ|p

holds uniformly with respect tot∈ I andk · kis any vector norm on IRn.





i + x


i - x


i + x


i - x 1


2 11 11

Figure 2.3.2: A grid of a two-dimensional rectangular domain.

by x1, . . . ,xN and the boundary ones by xN+1, . . . ,xN¯. For the sake of simplicity, we also use the notation xi+xm (xi−xm) for the grid point adjoint to xi in positive (negative) xm-direction. The lengths of the segments [xi,xi+xm] and [xi−xm,xi] are denoted byhi+xm

and hi−xm, respectively. Furthermore, let us denote the uniform temporal discretization step size with ∆t >0, and we will use the notation tn=tn0.5∆t. The integer number M is defined by the propertyM∆t≤T <(M + 1)∆t.

Using the notation νin for the value of v(xi, tn), the finite difference approximation results in the discrete mesh operator L defined in the canonical form (2.3.17), where for the entries ofM(n)(=M) we have

Mi,j(n) =Mi,j = (

1, if i=j

0, if i6=j, i= 1, . . . , N; j = 1, . . . ,N.¯ (2.3.66) Applying the central difference approximation for the first order derivatives, the nonzero elements of the i-th row of K(n) are Ki,i−x(n) m, Ki,i+x(n) m (m= 1, . . . , d) and Ki,i(n), where

Ki,i−x(n) m = −2(km)(n)i−0.5

hi−xm(hi−xm+hi+xm) + (am)(n)i

hi−xm+hi+xm (2.3.67) Ki,i+x(n) m = −2(km)(n)i+0.5

hi+xm(hi−xm+hi+xm) (am)(n)i

hi−xm+hi+xm (2.3.68) and

Ki,i(n) = Xd


2 hi−xm +hi+xm


hi+xm +(km)(n)i−0.5 hi−xm


(a0)(n)i , (2.3.69) where (km)(n)i±0.5 = 0.5(km(xi, tn)+km(xi±1, tn)), (am)(n)i =am(xi, tn) and (a0)(n)i =a0(xi, tn).

Hence, for the finite difference discrete mesh operators L, defined by (2.3.17) and (2.3.66)–(2.3.69), the relations

Me=e0 (2.3.70)


K(n)e (

0, if a0 0;

=0, if a0 = 0 (2.3.71)

hold. Hence, we have

Theorem 2.3.43 Let us assume that the finite difference discrete mesh operator L, de-fined by (2.3.17)and (2.3.66)-(2.3.69), is non-negativity preserving. Then, beyond the NP property, when a0 0, the operator L is DWMP, DWBMP and DMNC, too; while in the case a0 = 0 it has each of the DWMP, DSMP, DWBMP, DSBMP and DMNC properties.

Let us replace the central difference approximation with the upwind (upstream) ap-proximation. In this case the matrix M does not change and the elements of K have the following form

respectively. One can directly check that for the finite difference discrete mesh operators L, defined by (2.3.17) and (2.3.72)-(2.3.74), the relations (2.3.70) and (2.3.71) are satisfied and, hence, all the results of Theorem 2.3.43 remain valid.

b. The finite element discretization

We consider again the operatorL(with homogenous first boundary condition) in (2.3.65) with sufficiently smooth coefficient functions. ThenL can be written in the weak form as

follows Z continuously differentiable w.r.t. t and belongs to H1(Ω) for any fixed t.

In order to define a discrete finite element mesh operator, letφ1, . . . , φN¯ be finite element basis functions from H1(Ω) with the property




φi(x)1 (2.3.75)

in ¯Ω. Applying these functions to the space discretization and the θ-method to the time discretization, we arrive again at the discrete mesh operator in the canonical form (2.3.17).

Now the matrices MIRN¯ and K(n)IRN¯, respectively, have the elements Mi,j = (M?)i,jR 1

φi(x) dx, Ki,j(n) = (K?(n))i,jR 1

φi(x) dx, (2.3.76) where M? and K(n)? are, respectively, the so-called mass and stiffness matrices with the entries

Therefore, we can use Theorem 2.3.18.

For the row-sums of the matrix M, by using the relation (2.3.75), we get:

(Me)i =

R 1 then additionally we assume that the finite element basis functions are non-negative, i.e., the condition

φi(x)0 (2.3.80)

is satisfied. Then R

−a0(x, tni(x) dx inf(−a0)R

φi(x) dx. Hence, for this case K(n)e0. We can summarize our results as follows.

Theorem 2.3.44 Let us assume that the finite element discrete mesh operator L, de-fined by (2.3.17)and (2.3.76)-(2.3.78)for arbitrary finite element basis functions, is non-negativity preserving. For a0 = 0 it has each of the DNP, DWMP, DSMP, DWBMP, DSBMP and DMNC properties. When a0 is a non-positive, independent of x, function, or, when it varies in xand non-positive and for the basis functions the condition (2.3.80) is satisfied, then L has the DNP, DWMP, DWBMP and DMNC properties.

In the sequel we deal with the problem of how the non-negativity of the discrete mesh operator can be guaranteed for the above cases.

2.3.6 The non-negativity preservation of the discrete heat

In document Numerical Treatment of Linear Parabolic Problems (Pldal 35-40)