NUMERICAL SOLUTION OF TWO-POINT BOUNDARY-VALUE PROBLEMS Thesis By Andrew Benjamin White, Jr.

In Partial Fulfillment of the Requirements For the Degree of Doctor of Philosophy

California Institute of Technology Pasadena, California 1974 (Submitted March 13, 1974) 91109

Acknowledgements

The a u t h o r wishes t o thank P r o f e s s o r Herbert B , K e l l e r f o r h i s p a t i e n t guidence and i n v a l u a b l e a s s i s t a n c e i n t h e p r e p a r a t i o n of t h i s t h e s i s .

H i s encouragement and enthusiasm were e s s e n t i a l

t o t h e completion of t h i s work. The o p p o r t u n i t y t o c a r r y o u t t h i s r e s e a r c h was provided by C a l i f o r n i a I n s t i t u t e of Technology Graduate Teaching A s s i s t a n t s h i p s f o r which t h e a u t h o r i s g r a t e f u l .

H e a l s o wishes t o e x p r e s s h i s

a p p r e c i a t i o n t o t h e e n t i r e Department of Applied Mathematics, b o t h f a c u l t y and s t u d e n t s , f o r p r o v i d i n g an i n v i g o r a t i n g c l i m a t e i n which t o pursue t h i s work. The a u t h o r wishes t o thank M r s . J a n e t Smith and Mrs. Mary Beth Briggs f o r t h e i r e x p e r t t y p i n g of a d e t a i l e d and t e d i o u s manuscript.

ABSTRACT

The approximation of two-point boundary-value problenls by g e n e r a l f i n i t e d i f f e r e n c e schemes i s t r e a t e d .

A n e c e s s a r y and

s u f f i c i e n t c o n d i t i o n f o r t h e s t a b i l i t y of t h e l i n e a r d i s c r e t e boundary-value problem i s d e r i v e d i n terms of t h e a s s o c i a t e d d i s c r e t e i n i t i a l - v a l u e problem. P a r a l l e l s h o o t i n g methods a r e problem.

shown t o be e q u i v a l e n t t o t h e d i s c r e t e boundary-value

One-step d i f f e r e n c e schemes a r e c o n s i d e r e d i n d e t a i l and a c l a s s of c o m p u t a t i o n a l l y e f f i c i e n t schemes of a r b i t r a r i l y h i g h o r d e r of accuracy i s e x h i b i t e d . S u f f i c i e n t c o n d i t i o n s a r e found t o i n s u r e

t h e convergence of d i s c r e t e f i n i t e d i f f e r e n c e approximations t o n o n l i n e a r boundary-value problems w i t h i s o l a t e d s o l u t i o n s . ~ewton's

method i s c o n s i d e r e d a s a procedure f o r s o l v i n g t h e r e s u l t i n g nonlinear a l g e b r a i c equations.

A new, e f f i c i e n t f a c t o r i z a t i o n

scheme f o r b l o c k t r i d i a g o n a l m a t r i c e s i s d e r i v e d .

The t h e o r y

developed i s a p p l i e d t o t h e numerical s o l u t i o n of p l a n e C o u e t t e flow.

Table of Contents TITLE Introduction PAGE

. Linear Two-Point Boundary-Value Chapter 1 Problems

1. Existence Theory 2. Numerical Methods 3. Convergence for Linear BoundaryValue Problems Chapter 2. Difference Schemes

1 . Taylor Series 2. Quadrature 3. Gap Schemes 4. Other Schemes 5. Stability of Triangular Schemes 6. Asymptotic Error Expansions 7 . Increased Accuracy
Chapter 3 . Parallel Shooting

1. Parallel Shooting 2. Method of Complementary Functions 3. Method of Adjoints Chapter 4. Nonlinear Two-Point Boundary-Value Problems

1 . Finite Difference Schemes 2. Existence of Solutions 3. Newton's Method 4. Equivalence of Shooting and Implicit Schemes
Chapter 5. Block Tridiagonal Matrices

1 . Block LU Decomposition 2. A Split Decomposition

Chapter 6 .

A Numerical Example: Flow

Plane Couette

1. I s o l a t e d S o l u t i o n 2 . Numerical Procedure 3 . Numerical R e s u l t s

Appendix A References

Introduction

T h i s t h e s i s d e a l s w i t h t h e a p p l i c a t i o n of f i n i t e d i f f e r e n c e schemes t o two-point boundary-value problems. The assumption i s made

throughout t h a t t h e s e boundary-value problems have i s o l a t e d s o l u t i o n s ; t h a t i s , t h e homogeneous, l i n e a r i z e d problem h a s o n l y t h e t r i v i a l solution, The g e n e r a l t h e o r y developed p l a c e s no r e s t r i c t i o n s on t h e

form of t h e d i f f e r e n c e e q u a t i o n s ,

I n Chapter 1, t h e a p p l i c a t i o n of an a r b i t r a r y , c o n s i s t e n t
d i f f e r e n c e scheme t o a l i n e a r boundary-value problem i s t r e a t e d . t h e main theorem of t h i s c h a p t e r , Theorem 1.16, In

t h e s t a b i l i t y of t h e

d i s c r e t e boundary-value problem i s shown t o be e q u i v a l e n t t o t h e s t a b i l i t y of t h e a s s o c i a t e d d i s c r e t e i n i t i a l - v a l u e problem. This

a s s o c i a t e d i n i t i a l - v a l u e problem employs t h e same d i f f e r e n c e e q u a t i o n s t o approximate t h e d i f f e r e n t i a l e q u a t i o n , b u t i n i t i a l c o n d i t i o n s r e p l a c e t h e boundary c o n d i t i o n s . From t h i s r e s u l t , i t i s c l e a r t h a t

a simple s h o o t i n g method i s , i n f a c t , a s p e c i f i c procedure f o r s o l v i n g t h e d i s c r e t e boundary-value problem. S p e c i a l emphasis i s placed on one-step d i f f e r e n c e schemes i n Chapter 2 , High o r d e r a c c u r a t e d i f f e r e n c e approximations are developed

using b o t h Taylor series and t h e i n t e g r a l form of t h e d i f f e r e n t i a l equation, I n p a r t i c u l a r , one-step schemes of a r b i t r a r y o r d e r a r e

d e r i v e d which r e q u i r e t h e e v a l u a t i o n of a minimum number of new f u n c t i o n s (e.g d e r i v a t i v e s of A ( t ) , f ( t ) ) . The e q u i v a l e n c e shown i n

Chapter 1 i s used t o examine t h e s t a b i l i t y of t r i a n g u l a r d i f f e r e n c e

schemes.

In Chapter 3 , t h e e q u i v a l e n c e r e s u l t of Theorem 1.16 i s g e n e r a l i z e d t o i n c l u d e a l l p a r a l l e l s h o o t i n g methods. Theorem 3.22 shows

t h a t t h e s e methods a r e each a p a r t i c u l a r procedure f o r s o l v i n g t h e e q u a t i o n s d e r i v e d from approximating l i n e a r boundary-value problems. The Method of Complementary F u n c t i o n s i s examined i n d e t a i l a s an example of methods f o r s o l v i n g problems w i t h s e p a r a t e d boundary conditions. The Method of A d j o i n t s i s a l s o c o n s i d e r e d and i t i s shown

t h a t t h i s method i s n o t i n g e n e r a l e q u i v a l e n t t o t h e d i s c r e t e boundary-value problem, Nonlinear boundary-value problems a r e d e a l t w i t h i n Chapter 4. The d i f f e r e n c e schemes examined i n Chapter 2 a r e g e n e r a l i z e d t o be a p p l i c a b l e t o nonlinear d i f f e r e n t i a l equations. Following Keller [ 6

1,

e x i s t e n c e and uniqueness of t h e s e d i s c r e t e approximations i s shown.

W e n o t e t h a t ~ e w t o n ' smethod converges q u a d r a t i c a l l y .

Chapter 5 i s concerned w i t h t h e p r a c t i c a l problem of s o l v i n g t h e systems of a l g e b r a i c e q u a t i o n s a r i s i n g from t h e approximation of boundary-value problems w i t h s e p a r a t e d boundary c o n d i t i o n s . e q u a t i o n s a r e w r i t t e n i n b l o c k t r i d i a g o n a l form, M x = b. These

The s p e c i a l

z e r o s t r u c t u r e of t h i s system i s e x p l o i t e d t o show t h a t , w i t h a n a p p r o p r i a t e row s w i t c h i n g s t r a t e g y , such a m a t r i x p o s s e s s e s a simple b l o c k LU decomposition i f and o n l y i f M i s n o n s i n g u l a r .

A numerical example i s p r e s e n t e d i n Chapter 6.

The e q u a t i o n s

c o n s i d e r e d model p l a n e C o u e t t e flow.

The Gap4 scheme, a s d e r i v e d i n

Chapter 4, i s used t o d i s c r e t i z e t h e n o n l i n e a r boundary-value problem and ~ e w t o n ' smethod i s employed t o s o l v e t h e r e s u l t i n g s e t of

nonlinear equations.
A c o n s i s t e n t e f f o r t i s made t o u s e o t o r e p r e s e n t z e r o o r

a zero v e c t o r and O ' f o r z e r o m a t r i c e s , e x c e p t i n t a b l e s o r e q u a t i o n numbers. The numbering of theorems, e q u a t i o n s , o r t a b l e s i s done

c o n s e c u t i v e l y throughout e a c h c h a p t e r .

Chapter I L i n e a r Two-Point Boundary-Value Problems

1. E x i s t e n c e Theory
W e c o n s i d e r t h e system of n f i r s t - o r d e r , d i f f e r e n t i a l equations: linear ordinary

where u , f, 6 a r e n-vectors and A,B , B

0

a r e n x n matrices.

Before

proceeding t o t h e numerical approximation of ( l . l a , b ) ,

we p r e s e n t

a n e x i s t e n c e and uniqueness r e s u l t convenient f o r our purposes. Theorem 1 . 2 . Let A ( t ) c m [ o , l ] f o r some m 5 o. Define t h e

) s t h e s o l u t i o n of fundamental m a t r i x ~ ( t a

X' ( t )

A ( t ) X(t) = o

X(O) = I. has a

Then f o r each f ( t )

c m [ o , l ] and
E

E",

problem ( l . l a , b )

unique s o l u t i o n y ( t )

cm+l [0 ,l] i f f [BO+BIX (1) ] i s n o n s i n g u l a r

Proof:

The s o l u t i o n t o t h e i n i t i a l - v a l u e problem

is i n general

Uniqueness f o r t h e i n i t i a l - v a l u e problem i n s u r e s t h a t X(t) i s nonsingular on [ o , l ] . The boundary-value problem ( l . l a , b ) has a

s o l u t i o n i f and o n l y i f we can d e f i n e a n n-vector s a t i s f i e s t h e boundary c o n d i t i o n

r such t h a t y ( t )

This r e q u i r e s

Thus, ( l . l a , b ) nonsingular.

has a unique s o l u t i o n i f and only i f [B That y ( t )

E

X(1) 1 i s

cm+'[o,l]

i s an o b s e r v a t i o n from t h e form

of d i f f e r e n t i a l e q u a t i o n ( 1 . l a ) .

2.

Numerical Methods

Here w e d i s c u s s some s t a n d a r d concepts of numerical a n a l y s i s

and develop some n o t a t i o n . (l.la,b), I n approximating t h e s o l u t i o n of
i=J

wewillemployanetofpoints It,}

on [ o , l ] a n d a n e t

f u n c t i o n {v,

1i=J d e f i n e d

on t h i s n e t .

Each v

i i s a n n-vector and w e d e f i n e V such t h a t

where V i s an n ( J + l ) - v e c t o r , hi = ti

W e d e f i n e t h e mesh w i d t h s max t i=l,,..,J,andh = l l i l J h \Je f u r t h e r r e q u i r e i-1' o i' i

t h a t f o r each hi t h e r e e x i s t s a A

E [ E , ~ ]E , >

0,

such t h a t

T h i s c o n d i t i o n merely s t i p u l a t e s t h a t

s min h./max hi 5 1
1

and t h u s t h e mesh becomes dense i n [ o , l ] a s ho The norm we w i l l employ i s

o. Ilvill and f o r

1 IV 1 1

max
0SilJ

block m a t r i c e s , t h e u s u a l induced norm max

l l ~ l l= Ilvll

I IwI 1

I n t h e n = l c a s e , t h i s induced norm e q u a l s t h e maximum a b s o l u t e row sum, however t h i s r e s u l t does n o t g e n e r a l i z e t o n > 1. W e may e a s i l y produce t h e upper bound

I I"I I
where M
ij

max ' osi<J j =o

i s a n n x n m a t r i x element of t h e b l o c k m a t r i x M.

An approximation t o t h e d i f f e r e n t i a l e q u a t i o n ( l . l a ) may
be w r i t t e n as

The boundary c o n d i t i o n s ( l . l b ) a r e approximated by

W e define the truncation error T

t o be

where y ( t ) i s any s o l u t i o n of t h e d i f f e r e n t i a l e q u a t i o n ( l o l a ) . S i m i l a r l y , we d e f i n e a t r u n c a t i o n e r r o r T boundary c o n d i t i o n s

0

associated with the

where zero.

y(t)

i s any s o l u t i o n of (1. l b )

Note t h a t

ro w i l l always b e
(1.5b),

I n c o n s i d e r i n g the accuracy of approximations (1.5a),

w e a r e concerned w i t h y ( t ) a s o l u t i o n of ( l . l a , b )

and we d e f i n e

Combining t h e d i s c r e t e approximations (1.5a) and (1.5b), d i s c r e t e boundary-value problem may be w r i t t e n as

the

More briefly, we will write

where

Bh is an n(J+l)

x n(J+l)

matrix and r is an n(J+l)-vector

with ro = f3.

Employing Euler's method to approximate the differential

equation (lala), this formulation of the discrete problem becomes

This example will be used throughout to illustrate various points of interest. Consistency. The difference approximation (1.5a) is said

to be consistent with the differential equation (l.la) iff

where y ( t ) example.

is a solution of (l.la,b).

~uler'smethod provides an

I f y ( t )

cP [o,l], p

2, then

Thus, ~ u l e r ' smethod i s c o n s i s t e n t and we s a y t h a t i t i s f i r s t - o r d e r a c c u r a t e because t h e l e a d i n g term i n t h e t r u n c a t i o n e r r o r expansion

is linear i n h

.
A numerical scheme has an o r d e r of

Order of accuracy.

accuracy p > o i f p i s t h e l a r g e s t i n t e g e r such t h a t

f o r a l l n e t s w i t h h o 5 H. Stability. Let V be a s o l u t i o n t o (1.8). The d i f f e r e n c e

scheme (1.8) i s s a i d t o be s t a b l e i f f t h e r e e x i s t c o n s t a n t s
K
0

2 o, and H

> o, such t h a t

f o r a l l n e t s w i t h ho 5 H.

For t h e l i n e a r c a s e , t h i s c o n d i t i o n i s
0

e q u i v a l e n t t o showing t h a t a KO 2

and H > o e x i s t such t h a t

f o r a l l n e t s w i t h ho 5 H. Convergence. The numerical scheme (1.8) i s covergent iff

max Ily(ti) oSi<J

- vill

4 0

as h

4 0

For convenience, we d e f i n e t h e n ( J + l ) - v e c t o r Y t o be

A s t a n d a r d r e s u l t may now b e s t a t e d ,

Lemma 1.10

L e t t h e boundary-value

problem ( l . l a , b )

have t h e e x a c t

solution y(t).

L e t t h e d i s c r e t e boundary-value

problem

be c o n s i s t e n t w i t h ( l . l a , b ) that is,

and s t a b l e .

Then t h e method i s convergent,

Proof:

The d e f i n i t i o n of t h e t r u n c a t i o n e r r o r ~ [ y ( t ) ] combined w i t h

(1.5a, b ) g i v e s

By h y p o t h e s i s , t h e d i f f e r e n c e scheme i s s t a b l e , t h u s t h e r e e x i s t c o n s t a n t s KO 2
0,

H > o such t h a t

f o r a l l n e t s w i t h ho 5 Ha Also by h y p o t h e s i s , t h e method i s consistent, that is

Hence,

l ly - 'I l

= .,i<J ly(ti)

max

vil

a s ho

For any p a r t i c u l a r scheme, we would l i k e t o be a b l e t o show t h a t t h e n e t f u n c t i o n approximates t h e e x a c t s o l u t i o n a t t h e n e t points: t h a t t h e method i s convergent. The t r u n c a t i o n e r r o r and

o r d e r of accuracy a r e g e n e r a l l y d e r i v e d v i a T a y l o r ' s Theorem, a s was done i n t h e example of ~ u l e r ' smethod. I n o r d e r t o show t h a t

~ u l e r ' smethod i s convergent f o r t h e d i s c r e t e boundary-value problem, we need t o prove t h a t t h e m a t r i x Bh i n (1.9) h a s a n i n v e r s e w i t h uniformly bounded norm a s h scheme would be convergent.
+

o.

Then by Lemma 1.10, t h i s numerical

However, even i n t h i s s i m p l e c a s e , t h e

n o n s i n g u l a r i t y of Bh i s n o t obvious. I n Theorem 1.2 t h e i n i t i a l - v a l u e problem i s used t o prove well-posedness of t h e boundary-value problem.

As Keller

[ 5 ]h a s

shown f o r t h e c a s e of t h e centered-Euler scheme, t h i s approach i s a l s o u s e f u l i n t h e numerical problem. of t h e i n i t i a l - v a l u e problem I f w e approximate t h e s o l u t i o n

~ ( 0 = ) B

b)

by E u l e r t s method, t h e f o l l o w i n g e q u a t i o n s r e s u l t

S i m i l a r l y , we d e f i n e t h e d i s c r e t e i n i t i a l - v a l u e m a t r i x w i t h any

Th

associated

(1.7) t o be

To form I

h '

w e r e p l a c e Bo,

i n t h e f i r s t block row of i 3h w i t h

1,0 respectively.

3.

Convergence f o r l i n e a r boundary-value problems T h e main r e s u l t of t h i s c h a p t e r i s t h a t a numerical scheme

a p p l i e d t o a boundary-value problem w i t h a unique s o l u t i o n i s s t a b l e and c o n s i s t e n t i f and o n l y i f t h e a s s o c i a t e d i n i t i a l - v a l u e problem

i s s t a b l e and c o n s i s t e n t .
first.

It w i l l be u s e f u l t o prove s e v e r a l lemmas

Lemma 1.12 ( F a c t o r i z a t i o n ) associated with

Let 7

be t h e i n i t i a l - v a l u e m a t r i x

' I ,.

Then

where L is a (J+l)n

n+l matrix

N is an (n+l) x (J+l)n matrix

and

6 is an (n+l)-vector

Proof: matrix

We take (1.7) to be the most general form of the boundary-value

Bh.

The associated initial-value matrix is

It may be d i r e c t l y v e r i f i e d t h a t L,N,C a r e t h e proper f a c t o r s ,

b u t t h e sequence of o p e r a t i o n s below may c l a r i f y t h e d e r i v a t i o n .

The i d e n t i t y ro = 6 i s used h e r e .

'

Lemma 1.13 (Reducing)

Let L,N be pxq and qxp m a t r i c e s r e s p e c t i v e l y . Further, l e t

Let x and b be a p-vector and a q-vector r e s p e c t i v e l y . L have r a n k q 5 p. Then t h e m a t r i x e q u a t i o n

has a s o l u t i o n

i f and o n l y i f

Proof:

The s u f f i c i e n c y i s t r i v i a l on s u b s t i t u t i o n of Lw i n t o ( 1 . 1 4 ) . S i n c e L i s a pxq m a t r i x w i t h rank q 5 p , t h e columns of L

a r e l i n e a r l y independent. matrix

Therefore, t h e r e e x i s t s a p x ( P - ~ )

L such

that

W e may write any v e c t o r x

EP u n i q u e l y a s

Using t h i s r e p r e s e n t a t i o n i n (1.14),

The v e c t o r x i s a s o l u t i o n of (1.14) i f and o n l y i f

and

The n e c e s s i t y f o l l o w s .

m
Note t h a t t h i s lemma r e d u c e s t h e s o l u t i o n of p simultaneous equations

t o s o l u t i o n of q e q u a t i o n s , q 5 p ,

Now w e s t a t e and prove t h e main r e s u l t of t h i s c h a p t e r .

Theorem 1.16

L e t t h e boundary-value problem ( l , l a , b ) have a

E

unique s o l u t i o n y ( t )

c [0,1].

Then t h e f o l l o w i n g a r e e q u i v a l e n t :

a ) The d i s c r e t e boundary-value problem i s s t a b l e , c o n s i s t e n t (and c o n v e r g e n t ) . b ) The a s s o c i a t e d i n i t i a l - v a l u e problem i s s t a b l e , c o n s i s t e n t (and c o n v e r g e n t ) . (b => a ) The F a c t o r i z a t i o n Lemma (1.12) s t a t e s t h a t f o r t h e

Proof:

boundary-value problem (1.8)

The i n i t i a l - v a l u e problem i s s t a b l e by h y p o t h e s i s , t h e r e f o r e Ih i s n o n s i n g u l a r f o r a l l ho
5

H, say.

L e f t m u l t i p l y i n g (1.17) by

1 Ih

we obtain

Define Z and z by

where Z i s an n ( J + l ) x n m a t r i x and z i s an n ( ~ + l ) - v e c t o r , From (1.18), we n o t e t h a t Z s a t i s f i e s

and t h u s i s a n approximation t o t h e fundamental m a t r i x s o l u t i o n (1-,3), By Lemma 1.10, t h e d i s c r e t e i n i t i a l - v a l u e problem i s convergent

max orilJ and i n p a r t i c u l a r

IIzi -

x(ti)II

+-

as h

-+

I IzJ - x ( ~ ) I I

as

ho

-+

By v i r t u e of ( 1 , 1 8 ) , we may w r i t e (1.17) a s

v+

[z:,z]rw

- 51

= 0

.
st I f t h e ( n + l ) - - column of L i s t h e
=

1z ] a r e l i n e a r l y independent The odumns of t h e n ( J + l ) x n + l m a t r i x [Z ,

provided t h a t r, # o, 1 5 i 5 J.
I

z e r o v e c t o r w e remove i t , r e p l a c e degeneracy i s removed, some j .

k]

by J =

[e]

and t h e

W e complete t h e proof assuming r

# o, f o r

- 1

By t h e Reducing Lemma, (1.20) h a s a s o l u t i o n i f and o n l y i f

,

satisfies

and t h e s o l u t i o n must be of t h e form

W e r e c a l l t h a t Zo = I and t a k e A = 1, s o t h a t (1.21) i s e q u i v a l e n t t o

Compare t h i s w i t h the c o n d i t i o n de.ri.vc?(l i n Theorem ( 1 . 2 )

f o r the.

s o l u t i o n of t h e boundary-value problem ( l . l a , b ) .

E x i s t e n c e and

uniqueness of t h e s o l u t i o n , V, of t h e d i s c r e t e boundary-value problem now h i n g e on t h e n o n - s i n g u l a r i t y of (B 0

BIZJ).

W e write

By h y p o t h e s i s y ( t ) i s unique, and Theorem 1.2 s t a t e s t h a t [Bo

+ BIX(l)]

must be non-singular.

It h a s a l r e a d y been shown t h a t

t h u s , by t h e Banach Lemma, B

+ B1Z J

i s non-singular
E

for a l l nets (o,l)

w i t h ho 5 H, provided H i s s o s m a l l t h a t f o r some p

It i s c l e a r t h a t t h e d i s c r e t e boundary-value problem i s s t a b l e s i n c e

and Z and z a r e s o l u t i o n s of d i s c r e t e i n i t i a l - v a l u e problems, which were assumed s t a b l e . ( a => b) The proof of t h i s p a r t i s e s s e n t i a l l y t h e same.

Consider t h e d i s c r e t e i n i t i a l - v a l u e problem I h V - r = o . Following t h e F a c t o r i z a t i o n Lermna (1.12), w e may w r i t e

Th v

r = Bhv

L{NV

+ 61.

By h y p o t h e s i s , t h e d i s c r e t e boundary-value problem i s s t a b l e , t h u s

i s non-singular

and we may d e f i n e [ Z

! 21

by

The Reducing Lemma (1.13) now i m p l i e s t h a t t h e s o l u t i o n V of (1.23) must be of t h e form

and e x i s t s i f and o n l y i f

Therefore, w e wish t o show t h a t Z h

0

i s non-singular

f o r a l l n e t s with

5 H,

f o r H s u f f i c i e n t l y small.

Theorem 1 . 2 d e r i v e s t h e s o l u t i o n

of t h e boundary-value problem t o be

where r must s a t i s f y

Thus, t h e s o l u t i o n t o t h e boundary-value problem

2' ( t ) - A ( t )
BoX(o)

~ ( t = ) o

BIX(l)

I =

i s given by

where R i s a n n x n m a t r i x and must s a t i s f y

By h y p o t h e s i s y ( t ) i s u n i q u e , t h u s t h e m a t r i x R i s n o n - s i n g u l a r ,
A
A

t h a t i s , X(o) i s n o n - s i n g u l a r .

W e n o t e t h a t Z a s d e f i n e d i n (1.24)

i s a c o n v e r g e n t approximation t o t h e e q u a t i o n s (1.26),

hence

and, a s b e f o r e , Z

is non-singular f o r a l l n e t s with h Now,

5 H,

where

H i s s u f f i c i e n t l y small.

and t h e d i s c r e t e i n i t i a l - v a l u e problem h a s a s t a b l e s o l u t i o n .

m
W e r e c a l l t h a t t h e o r d e r of a c c u r a c y of a scheme i s determined by t h e l a r g e s t i n t e g e r p such t h a t

I l ~ [ ~ ( t1 )1 ]5
C o r o l l a r y 1.27. solution y(t)
E

K h :

for all h

5 H.

L e t t h e boundary-value problem ( l . l a , b ) C P + ~ [ O , ~f ]o , r some i n t e g e r p accurate,

2

have a u n i q u e

1. L e t t h e d i s c r e t e

a p p r o x i m a t i o n s (1.5a,b) b e p-order

Further, l e t the d i s c r e t e Then f o r

i n i t i a l - v a l u e problem a s s o c i a t e d w i t h (1.5a,b) b e s t a b l e . a l l n e t s w i t h ho 5 H ,

where V i s t h e n ( J + l ) - v e c t o r

s o l u t i o n of (1.5a,b)

and

i s a constant

independent of h o e

Proof.

The proof f o l l o w s t h a t of Theorem 1.16.

These r e s u l t s and t h e m a n i p u l a t i o n s l e a d i n g t o them. s u g g e s t several further topics, Chapter 1 1 w i l l b e concerned w i t h t h e

o p e r a t i o n a l c h a r a c t e r i s t i c s of v a r i o u s s p e c i f i c n u m e r i c a l schemes, Theorem 1.16 w i l l b e e x p l o i t e d t o d e t e r m i n e t h e s t a b i l i t y p r o p e r t i e s of a p a r t i c u l a r c l a s s of schemes.

W e w i l l examine a s y m p t o t i c

e r r o r expansions and d i s c u s s methods of i n c r e a s i n g t h e a c c u r a c y of d i s c r e t e approximations. I n Chapter 1 1 1 , we w i l l e n l a r g e upon

Theorem 1.16 and t h e e q u i v a l e n c e of d i s c r e t e i n i t i a l - v a l u e and boundary-value problems.

D r . H , 0 , Kreiss h a s r e c e n t l y p u b l i s h e d a paper [ 7 ]

d e a l i n g w i t h t h e s t a b i l i t y of d i s c r e t e approximations t o a r b i t r a r y o r d e r systems of l i n e a r o r d i n a r y d i f f e r e n t i a l e q u a t i o n s . Thus, i t

a p p e a r s t h a t t h i s c h a p t e r i s perhaps a s p e c i a l c a s e of Kreisst r e s u l t s . However, i n Appendix A, we g i v e a n i n d i c a t i o n t h a t Kreisst complementary t o o u r own and n o t i n c l u s i v e . work i s

F u r t h e r , Theorem 1.16

g i v e s a n e c e s s a r y and s u f f i c i e n t c o n d i t i o n f o r s t a b i l i t y of t h e most g e n e r a l schemes, whereas D r . K r e i s s d e a l s w i t h k - s t e p methods.

Chapter I1

D i f f e r e n c e Schemes

I n t h i s c h a p t e r , w e w i l l examine some s p e c i f i c d i f f e r e n c e schemes; of p a r t i c u l a r i n t e r e s t a r e one-step (two-point) methods.

One-step methods f o r l i n e a r problems have t h e c h a r a c t e r i s t i c form

These methods a r e of s p e c i a l i n t e r e s t f o r s e v e r a l r e a s o n s . nonuniform n e t s and, a s K e l l e r solutions.

They admit

151

h a s shown, p i e c e w i s e smooth

I n addition, t h e c a l c u l a t i o n s involved i n solving t h e

matrix equation

f o r s e p a r a t e d boundary c o n d i t i o n s a r e p a r t i c u l a r l y simple.

In t h i s

c a s e , t h e m a t r i x 8 may b e p u t i n t o a b l o c k t r i d i a g o n a l form which h p o s s e s s e s a s i m p l e LU-decomposition. One of two methods i s u s u a l l y employed t o g e n e r a t e d i f f e r e n c e approximations t o ( l o l a ) and e v a l u a t e t h e i r o r d e r of accuracy. The

f i r s t approach i s v i a Taylor s e r i e s and n e c e s s i t a t e s e v a l u a t i n g t h e t r u n c a t i o n e r r o r f u n c t i o n s a t some r e f e r e n c e p o i n t t ( t ) where R i

Quadrature formulae may a l s o be used t o g e n e r a t e u s e f u l approximations. I f we w r i t e (1. l a ) i n t h e e q u i v a l e n t form

t h e a p p l i c a t i o n of q u a d r a t u r e i s immediately obvious.

1.

Tavlor S e r i e s The centered-Euler o r Box-scheme ( K e l l e r 1 : 5 ] ) i l l u s t r a t e s

t h e u s e of Taylor s e r i e s .

Applied t o ( l o l a ) t h e c e n t e r e d E u l e r scheme

where t

i-112

ti

-hi
2
E

I f we assume t h a t y ( t )

2nrfl [ o , l ] and l e t t R ( t i )

= ti-1l2,

t h e t r u n c a t i o n e r r o r i s shown t o be

2 and the l e a d i n g term, 0 (hi)

, is

Here t h e c h o i c e of tR -

ti-1/2

i s i m p o r t a n t due t o t h e symmetry of

(2.2). (2.3b),

However, t h e f i r s t term of t h e t r u n c a t i o n e r r o r expansion,

i s i n v a r i a n t and hence t h e o r d e r of accuracy of any scheme

must b e i n v a r i a n t t o t h e r e f e r e n c e p o i n t t
tR

R.

I f we were t o u s e

- ti-l' the t r u n c a t i o n e r r o r i s shown t o b e

and t h e l e a d i n g term i s

However, r e c a l l i n g t h a t y ( t ) i s an e x a c t s o l u t i o n of (1. l a ) e x p r e s s i o n i s shown t o b e e q u i v a l e n t t o t h e f o l l o w i n g

this

Thus, t h e l e a d i n g term of (2.3a)

t~
= t

i s e x a c t l y t h e same a s (2.4a) w i t h Note t h a t t h e n e x t terms

i-1/2

and t

5-1 r e s p e c t i v e l y .

i n each expansion a r e n o t t h e same. The centered-Euler scheme may b e g e n e r a l i z e d t o an a r b i t r a r i l y h i g h o r d e r by employing t h e e x a c t form of t h e t r u n c a t i o n e r r o r . 2 c o r p o r a t i n g t h e f i r s t term, O(hi), In-

of t h e t r u n c a t i o n e r r o r expansion

Act) and f ( t )

, we

must a l s o e v a l u a t e A")

(t)

, A(')

(t) ,) ' ( f

(t )

f ( l ) ( t ) and v a r i o u s products of t h e s e f u n c t i o n s . Since t h e f u n c t i o n s C(t) and g ( t ) w i l l continue t o appear, we need t o d e f i n e t h e s e q u a n t i t i e s i n more g e n e r a l i t y . The u s u a l

procedure w i l l b e t o e v a l u a t e y ( p ) ( t ) i n terms of d e r i v a t i v e s and combinations of A ( t ) , f ( t ) and y ( t ) .

For s i m p l i c i t y , w e d e f i n e

where C ( t ) i s an n x n matrix and g ( t ) i s an n-vector.

Thus, Y ( 0 ) ( t ) = y ( t ) => Co = I, go =
0

The terms of p a r t i c u l a r i n t e r e s t a r e contained i n t h e following t a b l e .

Table 2.7

Employing t h i s n o t a t i o n , t h e fourth-order g e n e r a l i z e d centered-Euler scheme (2.5) i s

I n t h e n e x t s e c t i o n , t h i s method w i l l b e improved upon i n t h e s e n s e t h a t t h e f u n c t i o n s Co, C1, order-method. 2. Quadrature Employing (2.1) we g e t

C 2 , and C

w i l l b e used t o d e f i n e a s i x t h -

where y ( t ) is t h e e x a c t s o l u t i o n t o ( l . l a , b ) .
t r a p e z o i d a l r u l e t o (2.9), the result is

I f we a p p l y t h e

Thus a second o r d e r a c c u r a t e d i f f e r e n c e scheme ( ~ r a p e z o i d a l ~ u l e )may be d e f i n e d by

This may b e e q u i v a l e n t l y w r i t t e n a s

u s i n g t h e f u n c t i o n s i n Table 2.7.

This one-step method and o t h e r s of

a r b i t r a r i l y h i g h o r d e r may b e d e r i v e d i n a more g e n e r a l s e t t i n g by means of (2.9)

.
E

Lemma 2.11. d e f i n e d by

Let b ( t )

cdl[a,b].

Also l e t polynomials p i ( t )

be

wh.er e

5,

[arb].

Then

(-l)&l

(s) b(&')

( s ) ds

Proof:

Repeated i n t e g r a t i o n by p a r t s y i e l d s ( a ) immediately.

I n d u c t i o n on

v y i e l d s (b).

The i n d u c t i o n h y p o t h e s i s i s s t a r t e d by

(2.12a)

and, f o r m a l l y , i s

IP,-,(t)l

Ib-al

v-1

Thus,

Innumerable schemes p r e s e n t themselves by way of t h i s Lemma. The Euler-Maclarin s u m formula may b e d e r i v e d u s i n g polynomials

which look l i k e

where the s c a l e f o r each polynomial i s n e c e s s a r i l y d i f f e r e n t .

Thus,

t h e Euler-Maclarin formula may b e used t o d e f i n e a d i f f e r e n c e scheme

of a r b i t r a r i l y high o r d e r . manner i s

A f i f t h - o r d e r method d e f i n e d i n t h i s

One u n d e s i r a b l e a s p e c t of (2.13)

i s e v a l u a t i n g c 4 ( t ) and g ( t ) . 4 (t)

In

o r d e r t o employ (2.13) w e must e v a l u a t e A(t)

( t ) , A(') ( t )

f (3) ( t )

f C 2 )( t )

f (I) ( t )

f ( t ) and a s s o r t e d p r o d u c t s and sums of

these functions.

3.

Gap schemes

Thus f a r , w e have c o n s i d e r e d s e v e r a l one-step schemes.

The centered-Euler scheme w a s g e n e r a l i z e d i n S e c t i o n 1 t o a f o u r t h o r d e r a c c u r a t e scheme. This i n c r e a s e i n accuracy i s bought a t t h e

p r i c e of e v a l u a t i n g AC2)( t ) t o A(t) and f ( t )

, A(')

(t)

f (2) ( t )

, and

f (I) ( t ) i n addition

I n S e c t i o n 2, t h e Euler-Maclarin Sum Formula was

used t o d e f i n e a f i f t h - o r d e r method, b u t t h i s d i f f e r e n c e scheme r e q u i r e d e v a l u a t i o n of (t)

, f (3) ( t )

and a l l lower o r d e r d e r i v a t i v e s .

S i n c e each new f u n c t i o n t o b e e v a l u a t e d i n c r e a s e s b o t h programming complexity and computation time, we want t o examine h i g h - o r d e r , s t e p methods w i t h a minimum of d e r i v a t i v e s r e q u i r e d . The centered-Euler scheme and t h e T r a p e z o i d a l Rule (2.10) possess another u s e f u l property. Each of t h e s e d i f f e r e n c e schemes
1 1

one-

h a s a t r u n c a t i o n e r r o r expansion which c o n t a i n s o n l y even powers of

is

For r e a s o n s t h a t w i l l become c l e a r , s e e S e c t i o n 6 on asymptotic e r r o r expansions, w e want t o p r e s e r v e this p r o p e r t y i n c o n s i d e r i n g higho r d e r methods. R e c a l l i n g Lemma 2.11, we have the r e s u l t

+ (-l)&l

b
P&l (s) b(&') a
V=m

( s ) ds.

I f t h e sequence of polynomials ( p V ( t ) lvmo - could be d e f i n e d i n such a way t h a t 13y(a) = pV(b) =

0

v=n+l,. , ,2n

t h e n a d i f f e r e n c e method of o r d e r 2n can b e d e f i n e d which r e q u i r e s t h e e v a l u a t i o n of A )

(1,

f("-')

(t)

, and

a l l lower-order d e r i v a t i v e s .

For i n s t a n c e , a f o u r t h - o r d e r method s o d e f i n e d r e q u i r e s e v a l u a t i n g ~("(t) and f(') ( t ) where a s t h e g e n e r a l i z e d centered-Euler scheme f(2)(t), etc.

needs ~ ( " ( t ) ,

Lenrma 2.14

L e t pZn(t) =

(t-a)

(t-b)

Define t h e sequence of

polynomials {py ( t ) 3, V

2 0,

such t h a t

Then a) ( p v ( t ) ) s a t i s f y conclusion a) of Lemma 2.11.

Proof:

W e can r e p l a c e (.2.15a) w i t h

and t h e sequence s a t i s f i e s conclusion

a ) of Lemma 2.11.

b. i n d u c t ion. c. d.

Ib-alZn and t h e r e s u l t i s immediate by

Immediate from (2.15a). To prove t h i s p a r t of t h e Lemma, i t i s s u f f i c i e n t t o

show t h a t p 2 r ( t ) ,

2 n,

i s an even f u n c t i o n about t
b+a 2 0,

b+a 2 0.

Without

l o s s of g e n e r a l i t y , we assume t h a t hypothesis, p 2n ( t ) i s even about

thus

tZr=

BY
(t>

F,hence we assume t h a t p2 (v-1)

i s an even function.

Therefore, p

2v-1

( t ) i s an odd f u n c t i o n .

n
t l

Recalling t h e d e f i n i t i o n of P ( t ) ,

(L) f o r L < n, P (ti)

0.

Thus,

Define

8 k

m! 2n! (m-n) !

(2n-m) n! !

(hi)2n-m*

(-1)

(2n-k) ! 2n!(n-k)!

" I k!

and (2.16) becomes

Table 2.17

A s examples, w e w r i t e out t h e fourth-order and s i x t h - o r d e r schemes.

Fourth-order scheme:

Sixth-order scheme :

The m a t r i c e s C

and t h e v e c t o r s gv a r e d e f i n e d i n Table 2.7.

D r . K e l l e r n o t e d t h a t t h e s e gap schemes might b e d e r i v e d

u s i n g Hermite i n t e r p o l a t i o n t o e s t i m a t e t h e f u n c t i o n

b ( t ) = A(t)y(t)

f(t)

For the f o u r t h - o r d e r gap scheme ( 2 . 1 8 ) , we w r i t e

b ( t ) = H(t)

(b(t)

- H(t))

where B ( t ) i s t h e lowest o r d e r polynomial t h a t matches b (ti)

b(ti

, b(')

(ti)

and b0(tiel).

I n this c a s e ,

Recalling t h e i n t e g r a l equation (2.1)

, we

have

ff(t) may be i n t e g r a t e d e x a c t l y t o g e t

Since b ( t ) = J1\t),

t h i s formulation w i l l y i e l d a d i f f e r e n c e scheme

e x a c t l y t h e same a s (2.18) w i t h t h e t r u n c a t i o n e r r o r

4.

Other Schemes

W e a r e p a r t i c u l a r l y i n t e r e s t e d i n one-step

d i f f e r e n c e schemes of t h e form (2.2)

(2.5)

, and

(2.18)

, thus

only a

b r i e f mention w i l l b e made of o t h e r methods. (2.1) s u g g e s t s k-step methods of t h e form

The i n t e g r a l e q u a t i o n

Note t h a t (2.20)

r e p r e s e n t s (J-k+l)n

e q u a t i o n s i n ( J + l ) n unknowns, and These e x t r a

kn more e q u a t i o n must b e found t o determine V uniquely.

e q u a t i o n s are given by t h e u s u a l boundary c o n d i t i o n s (1.5b) and by

I1

s t a r t i n g " m-step d i f f e r e n c e schemes, m < k , u s u a l l y of lower o r d e r I n many c a s e s t h e " s t a r t i n g " scheme i s a one-s t e p scheme.

than (2.20).

Combining a l l of t h e s e e q u a t i o n s i n t o t h e form

t h e i n i t i a l - v a l u e matrix,
I1

Ih, i s lower t r i a n g u l a r .

I f t h e one-step

s t a r t i n g " scheme is of lower o r d e r than t h e k-step method, t h e mesh

s i z e , h ( l ) , a s s o c i a t e d w i t h t h e one-step method should b e s m a l l e r t h a n t h a t of t h e k-s t e p method, h(k) r e s p e c t i v e l y (p < q)

I f t h e methods a r e of o r d e r p and q

then C o r o l l a r y 1.27 i n d i c a t e s t h a t h ( 1 ) and

h(k) should b e r e l a t e d by

5.

S t a b i l i t y of T r i a n g u l a r D i f f e r e n c e Schemes

A l l of t h e methods

mentioned h e r e and most of t h o s e commonly used g i v e r i s e t o b l o c k triangular initial-value matrices Ih

That i s , they may be w r i t t e n

i n the form

The f a c t o r of J appearing w i t h a l l M i n v e r s e of t h e mesh s i z e .

ij

's is a n o r m a l i z a t i o n of t h e

W e would l i k e t o examine t h e s t a b i l i t y of The s t a b i l i t y theory f o r d i s c r e t e

f a m i l i e s of m a t r i c e s 1 of t h i s form. h

i n i t i a l - v a l u e problems i s well-developed provided t h a t a k-s t e p d i f f e r e n c e scheme i s used and a l l Mij scalar. can be w r i t t e n a s M. . I , M a 1J ij

W e a r e i n t e r e s t e d i n a r e s u l t which does n o t r e q u i r e t h e s e

two r e s t r i c t i o n s on I
Lemma ( 2 . 2 2 ) .
Dv, Nv,
V=0,1,

he
be a m a t r i x of t h e form of (2.21)

Let by

Ih

Define

L e t Do b e n o n s i n g u l a r and l e t

1 1 I IDo II = d , I I D ~ I I= dl, 1 1 ~ I ~ = 1 no,

0

and

I IN1/ 1

= nl,

independent of J.

Further, l e t

0 d < 1. 0

Then

Proof : -

T h e matrix 1

is w r i tten as

or, equivalently

where

and

By h y p o t h e s i s and the Banach Lemma, D

I

-1

I i s nonsingular f o r

J>Jo=-

, and

do

Since (Do

+ J-'D~)-'

i s block diagonal and (No

+ J-hl)

i s block

n i l p o t e n t , t h e product (Do Thus,

+ J - ~ D ~ )(N -o ~ + Jmbl)

i s block n i l p o t e n t .

where

Combining Corollary 1.27 and Lemma (2.22) Theorem without proof, Theorem 2.24.

, we

s t a t e t h e following

L e t t h e l i n e a r boundary-value problem ( l . l a , b )
E C

have a

unique s o l u t i o n y ( t ) pth-order accurate.

[O,l].

Also, l e t t h e d i f f e r e n c e scheme be

L e t Bh be of t h e form

is nonsingular f o r every i=O , where M ii

-1 . ..,J and I 1 Mvv 11

52 ,
0

I I M I ~5 dl, ~ ~independent

of J.

Further, l e t

and

0 5 d
0

1. Then f o r h

< H, -

H s u f f i c i e n t l y small,

This Theorem gives a p r e c i s e e s t i m a t e on the convergence of finite

difference solutions. However, we now want t o look a t a more d e t a i l e d

accounting of t h e e r r o r i n c u r r e d by approximating ( l . l a , b ) w i t h a d i f f e r e n c e scheme.

6.

Asymptotic E r r o r Expansions I n S e c t i o n 3, t h e gap schemes were derived s o t h a t t h e

t r u n c a t i o n e r r o r expansion would have only even powers of h

i*

The

advantage of t h i s arrangement w i l l be e v i d e n t i n t h i s d i s c u s s i o n . The g e n e r a l d i f f e r e n c e scheme is defined a s

The t r u n c a t i o n e r r o r i s h e r e defined t o be

where z(t) e c ~ + ~ [ 0 , 1 ] . For example, E u l e r ' s method has t h e t r u n c a t i o n e r r o r , l e t t i n g

tR - timl'

I n general, t h e t r u n c a t i o n e r r o r w i l l be assumed t o be of t h e form

= Lz(tR)

ctR)

where each f (A,f) i s a l i n e a r d i f f e r e n t i a l o p e r a t o r of a t most o r d e r

k + l which depends, in g e n e r a l n o n l i n e a r l y , upon A ( ~ ( ) t R ), f ( k ) (tR) and a l l lower o r d e r d e r i v a t i v e s . For E u l e r ' s method,

Theorem 2.27. solution y(t) Let

E

Let t h e d i f f e r e n t i a l equation ( l . l a , b ) have a unique

cq + l ~ where ~,l] A(t)

cq[O,l] and f ( t )

cq~0,1~.

b e a s t a b l e , c o n s i s t e n t d i f f e r e n c e approximation t o (1. l a , b )

Further,

let t h e t r u n c a t i o n e r r o r be given by

where z ( t )

CP+l[O,l]

and tR= ti

+ O(hi)
=

Also l e t

F k ( ~ ( t ), f ( t ) ) z ( t ) E nets with h

cv [ 0 , l ] where v

midp-k,q-k} .

Then f o r a l l

< H ,H -

s u f f i c i e n t l y small,

where yo(t) = y ( t ) and y k ( t ) , k

1, i s defined by

Proof: -

By i n d u c t i o n and t h e c o n t i n u i t y of Fk (A,), A(t)

, and

f(t) ,

i t can be shown t h a t

Immediately upon s u b s t i t u t i n g

i n t o t h e t r u n c a t i o n e r r o r expansion (2.28b), we g e t

Since yk(t) s a t i s f y (2.30a), we have immediately

and hence

The boundary conditions and .ro[w(t) J c l e a r l y y i e l d

By h y p o t h e s i s , t h e d i f f e r e n c e scheme i s s t a b l e , thus

O r equivalently,

The expression (2.29) e r r o r expansion. y(t)

E

f o r vi

- y ( t .)
1
E

i s termed t h e asymptotic

I n t h e following d i s c u s s i o n we assume t h a t
E

cm[O,l], A(t)

cm[O,l], and f ( t )

cm[O,l].
i'

Suppose t h a t t h e that is,

t r u n c a t i o n e r r o r -ri[z(t)] F2k+l
= 0 , k=O,l,

has only even powers of h

....

The f u n c t i o n y l ( t )

is defined by

Since t h e d i f f e r e n t i a l equation ( l . l a , b ) has a unique s o l u t i o n ,

Assume t h a t y2k-l(t)
defined by

Z 0,

k=1,2

,...,v,

then y2vtl(t)

is

r-l
h)
V

+ d

* r-l b? " g , & 4

" z a 3 r: t
. " ! g
&

*I4

(I]

g *d
U
(I]

3
rl

3 a
a,

(I]

-rl

r 3

h U

0 k

r l m

$ 8 *rl
U

It a
k

5
-

5 k

&
L

" 4

2 4 because the h. and h terms a r e 1 i

nonvanishing i n (2.32).

However,

c l o s e r examination of F2 and F4 y i e l d s t h e following i d e n t i t i e s :

d - ~ ( A ' ~ ) - ~ A A ( ~ ' - ~ Ad(t~ [Lz ) A ( t R )-f (tR) ]

+ ~(A(~)A+A~(~)+~A(~)A(~)) [Lz( t R )-(

Thus, y 2 ( t ) is defined by

tR) ]

1-

However, from (2.33)

i t can b e seen t h a t

thus, y 2 ( t ) =

0.

I n a similar f a s h i o n we can show t h a t y ( t ) = o. 4

Theorem (2.27)

and the i d e n t i t i e s ( 2 . 3 3 ) and ( 2 . 3 4 ) show that for t h e

Gap6 d i f f e r e n c e scheme

where y6(t) i s defined by

7.

I n c r e a s e d Accuracy

W e w i l l c o n s i d e r two methods of i n c r e a s i n g

t h e accuracy of numerical s o l u t i o n s t o t h e d i f f e r e n t i a l equation

(1.a , ) .
and
FOX'S

These methods a r e , by name, Richardson h

-t

o extrapolation

method of Deferred Corrections (Fox [ 2 1, Pereyra [

9 1)

Both methods r e l y on t h e e n t i r e t r u n c a t i o n e r r o r s e r i e s rather than t h e o r d e r of accuracy. Richardson e x t r a p o l a t i o n employs a s o l u t i o n

of the d i s c r e t e problem on two d i f f e r e n t n e t s t o e l i m i n a t e s u c c e s s i v e e r r o r terms; t h e method of Deferred C o r r e c t i o n s uses a s o l u t i o n t o t h e d i s c r e t e problem t o approximate t h e f i r s t t r u n c a t i o n e r r o r term. To i l l u s t r a t e t h e method of Deferred C o r r e c t i o n s we look a t t h e centered-Euler method (uniform mesh)

[ I ]

rl '44

Q)

a
Q)

3
rl

0 0 k
h l
\

a
k
Q)

[ I ]

[ I ]

w
I

=rl

6
cd
Q)

rl

3
0

5
I
U

rl

U C)

dfd
rl *rl
U

0 E:

0 U

k k

N 1

a
n

a ,
k k
Q)

rl I

.9,
d

cd

u
I I rld
n rl
U

I-l
0

8
w
0 0

f-1 -rl

g d
3

3 U

rl 0

rlld

rn

8
h

Q)

cd k

cd

5 0
k

ur
CV

Q)

k 0

rn

disadvantages.

At the boundary t=O, the quantity vo must be defined -1

and thus we have to examine the solution outside the domain of interest. Also, the solution procedure for
VO

is significantly different than

( 2 . 3 8 ) where the approximation to the first truncation error term is ( t ) included. Evaluation of higher-order derivatives of y delicate procedure and must be done with the utmost care. Richardson extrapolation avoids these particular problems. Once two aolutions are calculated, each on a different net, the power structure of the asymptotic error expansion is used to eliminate the leading error term at those points common to both nets. For example, is at best a

the sixth-order gap scheme has an asymptotic error expansion of the form

1 ) 3 and { v i ( 2 ) If we solve the discrete problem twice for {vi (

1 , then

i ( l ) Let t
J

i t ( 2 ) is the jth point of the second net.

= t.( 2 ) , where t ( 1 ) is the ith point of the first net and

Defh e

then

This elimination procedure may, of course, be carried on as long as

is practical, tkat i s , u n t i l the continuity of y ( t ) or round-off

errors make further refinement unproductive.

Chapter I11

P a r a l l e l Shooting

This c h a p t e r examines t h e r e l a t i o n s h i p between i m p l i c i t f i n i t e d i f f e r e n c e procedures and d i s c r e t e i n i t i a l - v a l u e t e c h n i q u e s . The proof of Theorem 1.16 y i e l d s t h e f o l l o w i n g r e s u l t : t h e boundary-value procedure I f both

and t h e i n i t i a l - v a l u e procedure

have un'ique s o l u t i o n s , t h e n procedure ( 3 1 ) (3.2a,b,c)

vIV = ViBV , i = o , . ..,J.

1

That i s , t h e

i s a c t u a l l y a method of s o l v i n g t h e e q u a t i o n s

The main r e s u l t of t h i s c h a p t e r s t a t e s t h a t any p a r a l l e l

s h o o t i n g t e c h n i q u e i s a l s o e q u i v a l e n t t o (3.1) and, t h u s , t o (3.2a,b,c). P a r a l l e l s h o o t i n g i n c l u d e s such procedures a s simple s h o o t i n g , Method of Complementary F u n c t i o n s , and t h e Godunov-Conte

o r t h o g o n a l i z a t i o n procedure ( f o r example, see S e c t i o n 2 on t h e Method of Complementary F u n c t i o n s ) .

W e include a s e p a r a t e treatment

of t h e Method of Complementary Functions i n o r d e r t o i l l u s t r a t e t h e i m p o r t a n t c a s e of s e p a r a t e d boundary c o n d i t i o n s . For completeness

t h e Method of A d j o i n t s w i l l be d i s c u s s e d even though i t h a s no s i m p l e r e l a t i o n s h i p t o (3.1)

1. P a r a l l e l Shooting
The boundary-value problem of i n t e r e s t i s

du dt

A(t)u

f (t) = o

[0,11

a) (3. 3 )

The simple s h o o t i n g method (Theorem 1.2) u s e s t h e s o l u t i o n of (n+l) i n i t i a l - v a l u e problems t o g e n e r a t e t h e s o l u t i o n of ( 3 . 3 a , b ) . p a r a l l e l shooting, t h e i n t e r v a l [ o , l ] i s divided i n t o s u b i n t e r v a l s , [Ty, Tv+l],
K

In

nonoverlappin~

and s e p a r a t e i n i t i a l - v a l u e problems a r e

s o l v e d on each s u b i n t e r v a l . by r e q u i r i n g c o n t i n u i t y a t Tv,

he s o l u t i o n of (3.3a,b) i s c o n s t r u c t e d

= 1,

...,K-1,and

s a t i s f a c t i o n of

t h e boundary c o n d i t i o n s (3.3b). D i s c r e t e p a r a l l e l s h o o t i n g methods mimic t h i s procedure. we p l a c e a n e t ( t y ~ f :on ~ each s u b i n t e r v a l [ Tv-l, 'fV]. O n this net,

a d i s c r e t e i n i t i a l - v a l u e problem i s s o l v e d w i t h i n i t i a l c o n d i t i o n s
V

Zo,

zo.

These n+l i n i t i a l c o n d i t i o n s a r e a r b i t r a r y except t h a t

V
0

we r e q u i r e t h e n x n m a t r i x Z

be n o n s i n g u l a r .

This i n i t i a l - v a l u e

s o l u t i o n can be r e p r e s e n t e d a s

o r , e q u i v a l e n t l y we w r i t e

z V '1I zV 1 =

jrv].
I

I n p a r a l l e l s h o o t i n g , i t i s sometimes n e c e s s a r y t o s t a t e an i n i t i a l - v a l u e problem on some i n t e r v a l [T

V'

Tvcl] backward by

f o r m a l l y g i v i n g n + l "boundary" c o n d i t i o n s a t T r a t h e r than v+l " i n i t i a l " conditions a t T

v*

However, Theoren 1.16 s t a t e s t h a t f o r

a l l n e t s w i t h ho 5 H, H s u f f i c i e n t l y s m a l l , t h e s o l u t i o n t o t h i s backward problem i s e q u a l t o t h e s o l u t i o n of (3.4) w i t h a p p r o p r i a t e l y chosen.

zV and 0

V
0

Thus, i n o r d e r t o exaniine t h e most g e n e r a l

p a r a l l e l s h o o t i n g methods, i t i s s u f f i c i e n t t o c o n s i d e r d i s c r e t e i n i t i a l - v a l u e problems of t h e form (3.4). Defining Z

V

, zv

by (3.4),

t h e s o l u t i o n of any i n i t i a l - v a l u e

v J problem on t h e n e t { t i j i i 0

i s g i v e n by

Thus, t h e c o n t i n u i t y requirements f o r p a r a l l e l s h o o t i n g a r e

I n o r d e r t o meet t h e boundary c o n d i t i o n s , t h e f o l l o w i n g r e l a t i o n s h i p must b e s a t i s f i e d

Combining ( 3 . 5 ) , solution,

(3.6),

(3.,7), and (3.8),

t h e p a r a l l e l shooting

vPS,

i s g i v e n by

Stability.

For t h e purposes of t h i s d i s c u s s i o n , t h e

discrete

p a r a l l e l initial value problem is said to be stable if

I n t h e p r o o f s t o f o l l o w , d e f i n e t h e nJv x n ( J +1) m a t r i x

via the relationship

The i n i t i a l - v a l u e m a t r i x I procedure is

associated with a p a r a l l e l

shoot in^

For convenience, we w i l l w r i t e t h i s m a t r i x a s

(K =

3)

where t h e (1,o) block element of M ' element of 1 h' Theorem 3.13.

i s t h e (SV+2,

Sv+l)

block

Let (3.3a,b) have a unique s o l u t i o n y ( t )

c1 [ o , l ] .

Let t h e d i f f e r e n c e scheme be c o n s i s t e n t with (3.3a). following a r e equivalent:

Then t h e

a) The d i s c r e t e i n i t i a l - v a l u e problem is stable. b) The d i s c r e t e p a r a l l e l initial value problem i s stable.

Proof:

b) => a) The m a t r i x lh can be f a c t o r e d i n t h e following

By hypothesis

v -1 I I I I(lh)

5 K,

= l,.,.,~ then ,
-K IK , 11-

111
a) =>

5 max

b ) Without l o s s of g e n e r a l i t y , w e w i l l consider

t h e c a s e i n which t h e i n t e r v a l [ o , l ] i s divided i n t o 3 s u b i n t e r v a l s ,
K

= 3.

The f i r s t s t e p i s t o show t h a t t h e m a t r i x

rh,defined below,

i s nonsingular,

M lo'

' '

By u s i n g t h e F a c t o r i z a t i o n Lemma (1.12),

t h e Reducing Lemma (1.13),

and t h e convergence of t h e i n i t i a l - v a l u e problem, i t can b e shown that

where K

i s independent of ho.
1 2 3 L e t V , V ,V b e nJ1, n(J +I), nJ vectors respectively. 2 3-

Consider t h e n ( J + l ) e q u a t i o n s

where g2 i s any n(J2+1)-vector.

g2 t h e r e i s a V

Since

7h

i s n o n s i n g u l a r , f o r each

such t h a t

R e c a l l i n g (3.14), we f i n d t h a t

Thus,

T h i s argument i s v a l i d f o r any

= 1,

...,

K,

t h u s we have

I I (lh) I I

v -1

' K1

V =

1,

a . a ,

Before proceeding w i t h t h e theorem which w i l l t i e a l l t h r e e of t h e s e d i s c r e t e methods t o g e t h e r , i t i s convenient t o p r e s e n t two lemmas. Lemma 3.17. L e t C1,
C

b e nonsingular m x m matrices.

L e t C1 and

C2 be r e l a t e d by

where L, N a r e m x q, q x m m a t r i c e s r e s p e c t i v e l y . L have rank q I m. Then t h e q x q m a t r i x [I

Further, l e t i s nonsingular.

+ NL]

Proof.

By h y p o t h e s i s C1 i s n o n s i n g u l a r , t h e r e f o r e f o r each b

E?,

t h e r e e x i s t s a unique m-vector,

x, such t h a t

R e c a l l i n g (3.18), t h i s e q u a t i o n can b e r e w r i t t e n a s

o r equivalently a s

The Reducing Lemma (1.13) t h e form

s t a t e s t h a t (3.19)

o n l y h a s s o l u t i o n s of

where

S i n c e a unique x, s o l u t i o n of (3.19), matrix ( I

e x i s t s f o r every b , t h e

+ hZ)

must b e n o n s i n g u l a r .

x ~(J+K) expanded boundary-value m a t r i x Lemma 3.20. Let t h e ~ ( J + K ) 8 ' b e d e f i n e d by h

L e t t h e boundary-value mat r i x Bh b e n o n s i n g u l a r nonsingular.

Then

Proof.
V E

Suppose t h a t B~ i s s i n g u l a r , t h e n t h e r e i s a ~ ( J + K ) - v e c t o r

such t h a t

However, i f we d e l e t e t h e K-1 elements v from V

E
i'

i = SV+v,

= 1,

...,K-1,

E and c o l l a p s e VE t o form a n(J+l)-vector, V, then

By h y p o t h e s i s Rh i s n o n s i n g u l a r , t h u s each element vE d e l e t e d from V i

E

1 [ v [1

= O.

Note t h a t f o r

t o form V

and vE a p p e a r s a s a n element of V. i-1

Thus,

and

by c o n t r a d i c t i o n , w e have 8 n o n s i n g u l a r . h

m
Now, w e s t a t e and prove t h e main theorem of t h i s Chapter, which
w i l l i n c l u d e Theorem 1.16.

Theorem 3.22.

Let (3.3a,b) have a unique s o l u t i o n y ( t )

c1[ o , l ]

Let t h e d i f f e r e n c e scheme employed b e c o n s i s t e n t w i t h (3.3a).

Denote

by B V , IV, and PS the following methods:

BV.
IV. PS.

D i s c r e t e boundary-value procedure, (3.1)

D i s c r e t e i n i t i a l - v a l u e procedure, (3.2a,b,c), Discrete p a r a l l e l shooting procedure, (3.9a,b,c).

L e t one of the d i s c r e t e problems (3. I ) , ( 3 . 2 a ) , and ( 3 . 9 a ) be stable. Then,

f o r a l l n e t s w i t h ho 5 1 1 , H s u f f i c i e n t l y small, i) Each method uniquely d e f i n e s a n n ( J + l ) v e c t o r as an approximation t o y ( t ) on t h a t n e t , and

ii) This approximation i s t h e same f o r each method.

Proof: Note that stability of (3.1) is equivalent to (3.2a) or (3.9a).

Re i).

Theorem 1.16 proves that methods SV and IV uniquely To show that method PS uniquely
x

define approximations to y ( t ) .

defines an approximation it is sufficient to show that the nK

nK

matrix in (3.9b) is nonsingular. Without loss of generality, we consider the case where 3n
x
K

= 3.

Thus, we want to show that the

3n matrix P, defined by

) , Bh is nonsingular, hence by is nonsingular. From conclusion i E Lemma 3.20, 8 is nonsingular. Recall the n(J+l)-vector
h

r in

(3.la), and define the ~(J+K)-vector r by

Consider the matrix equation

Define the expanded parallel shooting matrix

E Ih by

R e c a l l i n g t h e p a r a l l e l s h o o t i n 3 method [3,9a,b,c), can be w r i t t e n a s

eq-uation (3.23)

where

and

I n z e n e r a l , L i s a n(J+K)x nK and N i s a nK that

1natrix,

< is

an ( n ~ + 1)-vector,

1 x n(J+K) m a t r i x .

R e c a l l i n g Lemma 3.17, w e n o t e

i s n o n s i n g u l a r , where

When t h e proper s u b s t i t u t i o n s a r e made, i t i s c l e a r t h a t (I

i s n o n s i n g u l a r i f and o n l y i f P i s n o n s i n g u l a r .

- NL)

R e ii).

Theorem 1.16 i s s u f f i c i e n t t o p r o v e t h a t

vBV =
that

vIV* Recalling (3.23),

t h e Reducing Lemma 0 . 1 3 ) s t a t e s

where t h e n-vectors, wi,

must s a t i s f y

Now, we have t h e r e l a t i o n s h i p

Recalling (3.23) and t h e d e f i n i t i o n of B:,

we n o t e t h a t

and thus it is clear that vps

=

vBv =

vIV

Unfortunately, Theorem (3.22) contains no information on the numerical stability of any parallel shooting technique. To

say that a unique solution to the difference equations (3.9a,b,c) exists is not to say that it can be accurately approximated numerically. It is well-known that a simple shooting method may produce disastrous numerical solutions if the linearly independent solutions of (3.3a) grow at different rates. the problem For example, consider

( t ) This problem has a unique solution for all f

f3
E

c[o,l] and

, because

the matrix

[Bo + BIX(l)

+ e6o
60

1 l+e

l+e

-..]
be represented this matrix will

is nonsingular. However, if we try to invert this matrix numerically, on a machine with less than 85-bit accuracy, the computer will consider (Bo

+ BIX(l))

singular, because 1

+ eg60 will

as 1. Thus, no matter how close ZJ gets to X ( 1 ) ,

be numerically singular due to round-off error.

For this reason,

methods which are equivalent in the sense of Theorem 3.22 may yield greatly different numerical solutions. 2. Method of Complementary Functions The Method of Complementary Functions (Goodman and Lance [ 3 ] ) is used to approximate the solution of (3.3a,b) when the boundary conditions are separated. can be written as That is, the boundary conditions (3.3b)

where Bo is a p qy p

n matrix of rank p, B1 is a q Bo,

n matrix of rank
In

+ q = n, and

B1

are a p-vector, q-vector respectively.

this section, we use the convention that a single matrix in parentheses, ( B , ) , has p rows and a single matrix in brackets, [B 1, has q rows. 1

The original equations (3.3a9b) can now be rewritten as

In what follows, we assume that the boundary-value problem (3.27ayb)

has a unique solution y ( t ) . If the boundary-value problem has

a unique solution, then there exists a vector q 0 such that

(Do)qo =

(Bo)

where qo is orthogonal to the null space of (E 0 ). Let the orthonormal

s e t { ~ ~ } span z = ~t h e n u l l s p a c e of (Bo), t h e n

(qi,

?'lo) =

1 s i S q .

With t h e s e n o t i o n s i n hand, t h e s o l u t i o n of (3,27a,b) can b e c h a r a c t e r i z e d i n t h e f o l l o w i n g way. i n i t i a l - v a l u e problems Solve t h e q homogeneous

and t h e inhomogeneous problem

The unique s o l u t i o n of (3.27a9b) i s g i v e n by

where t h e c o n s t a n t s cii,

i = . . q ,

a r e determined from

I n t h e i n t r o d u c t i o n t o t h i s c h a p t e r , i t was s t a t e d t h a t
t h e Method of Complementary Functions i s a s p e c i a l c a s e of p a r a l l e l shooting. clear. T h i s i s t h e b e s t p o i n t a t which t o make t h i s r e l a t i o n s h i p

P a r a l l e l s h o o t i n g n a t u r a l l y c o n t a i n s t h e c a s e of s i m p l e

shooting.

I n o r d e r t o c h a r a c t e r i z e y ( t ) by means of s i m p l e s h o o t i n g ,

s o l v e t h e n homogeneous i n i t i a l - v a l u e problems

and t h e inhomogeneous problem

-dx(t) - A ( t ) x ( t )
dt

f (t)

where C i s a n o n s i n g u l a r n x n n a t r i x and c i s an n - v e c t o r .

Now,

where t h e n-vector

i s determined by

The r e s u l t of s p e c i a l i z i n g t h e s i m p l e s h o o t i n g p r o c e d u r e ( 3 , 3 2 a , b ) , (3.33a,b), (3.34), (3.35) by t a k i n g

i s t h e Method of Complementary F u n c t i o n s . The d i s c r e t e Method of Complementary F u n c t i o n s ( h e r e a f t e r r e f e r e n c e t o t h e Method of Conzplementary F u n c t i o n s w i l l imply t h e d i s c r e t e p r o c e d u r e ) i s d e r i v e d by s o l v i n g e q u a t i o n s ( 3 . 2 8 a Y b ) ,

(3.29a,b),

(3.30),

and (3.31) numerically.

Solve the q homogeneous

discrete initial-value problems

c .

'li
0

0
L r

and the inhomogeneous discrete initial-value problem

For convenience, we write (3.32),

(3.33) as

where Z is a (J+l)n x q matrix with its ith column being z discrete approximation to y ( t ) is given by

The

where

The i n i t i a l - v a l u e e q u a t i o n (3.34) may b e f o r m a l l y w r i t t e n a s

(Go)

I [ol I

l o

I I I

I I I

l o , The f i r s t n(q+l) e q u a t i o n s of (3.37) s t a t e t h a t t h e columns of Zo a r e orthonormal and belong t o t h e n u l l - s p a c e of Boy and a l s o t h a t

0

Bo Zo

Po

and zo i s o r t h o g o n a l t o t h e n u l l - s p a c e of B

we want t o show t h a t

V?

Now,

c a l c u l a t e d v i a (3.37),

(3.35),

and (3.36)

i s a s o l u t i o n of t h e e q u a t i o n s

The d i s c r e t e boundary-value problem i s

R e c a l l i n g t h e F a c t o r i z a t i o n Ler~una (1.12), t h i s m a t r i x can b e w r i t t e n as

where
by

Th

is the n(~+1) x n(J+l) matrix in (3.37).

Left-multiplying

T~~~ and

recalling (3.37), this equation is shown to be

The Reducing Lemma (1.13) states that

where w and A are determined from

When this is unraveled, we have

Recall (3.35) and (3.36) and compare with (3.30) and (3.40) to show that

3.

Method of A d i o i n t s

The Method of A d j o i n t s completes t h e s t u d y of s o l u t i o n procedures f o r d i s c r e t e boundary-value problems. This method

i n t r o d u c e s t h e a d j o i n t e q u a t i o n which can n o t be d e f i n e d v i a l i n e a r t r a n s f o r m a t i o n s of t h e o r i g i n a l problem. For t h i s r e a s o n t h e t e c h n i q u e s and p a r a l l e l -

e q u i v a l e n c e e x h i b i t e d between boundary-value s h o o t i n g procedures i s l a c k i n g h e r e .

A good e x p l a n a t i o n of t h e

Method of A d j o i n t s i s found i n Goodman and Lance [ 3 ] . The problem c o n s i d e r e d i n [ 3 ] i s a v e r y s p e c i a l one: du dt

A(t)u = f ( t )

a)

The a d j o i n t d i f f e r e n t i a l e q u a t i o n i s

From (3.41),

(3.42),

t h e following r e l a t i o n s h i p i s derived

I n t e g r a t i n g t h i s expression, we o b t a i n

By s o l v i n g t h e a d j o i n t problem n-p times w i t h i n i t i a l c o n d i t i o n s

u (0) = e
n-p

-V

v'

v = p+l,

...,n ,

t h e e q u a t i o n (3.44) r e s u l t s i n a s e t of i = p+l,

( o r q ) e q u a t i o n s f o r t h e q u a n t i t i e s ui(o),

...,n.

( o ) Now, the initial conditions u

are explicitly known and the solution

of a single initial-value problem determines y ( t ) . If we use the sane discretization for (3.41a,bYc) and (3.42), (3.44), it is not in general true that the solution of the

discrete Method of Adjoints,

?, is equal to vBV.

However, if we The

employ the centered-Euler scheme this equivalence does hold. discrete analogue to (3.44) is naturally

-*

MA

-*
0
0

it

v~ " J

i=l

i-I )

f(ti_

l ) = 0- (3.45)
2

From the difference equations

and

the following identity can be derived

Upon summing from i = 1,

...,n, this identity yields

(vi

vi-1)

ik

BV BV YA also satisfies (3.66) and vi = vi , i = 0,. . . , J . Thus, V

Remember t h a t t h i s e q u i v a l e n c e h a s been shown o n l y i f t h e c e n t e r e d E u l e r scheme i s used t o d i s c r e t i z e t h e Method of A d j o i n t s . Identities

s i m i l a r t o (3.47) can be d e r i v e d f o r any number o f o t h e r d i f f e r e n c e schemes, b u t t h e summation which y i e l d e d (3.48) does n o t i n g e n e r a l show e q u i v a l e n c e .

Chapter IV

Nonlinear Two-Point Boundary-Value Problems

T h i s c h a p t e r d e a l s w i t h numerical approximations t o t h e s o l u t i o n of n o n l i n e a r two-point boundary-value problems of t h e form

where u, f , b a r e n-vectors. i s o l a t e d s o l u t i o n s of ( 4 . l a , b ) .

A f t e r Keller [GI, we a r e i n t e r e s t e d i n The s o l u t i o n of ( 4 , l a , b ) i s i s o l a t e d

i f t h e l i n e a r i z e d boundary-value problem

has only t h e t r i v i a l solution.

Note t h a t w e have used t h e n o t a t i o n

When c o n s i d e r i n g t h e d i s c r e t e problern, w e w i l l a l s o examine ~ e w t o n ' smethod a s a means of c a l c u l a t i n g an a p p r o x i n a t i o n t o y ( t ) . The n ( J + l ) - v e c t o r Y i s d e f i n e d t o be

where y ( t ) i s a n i s o l a t e d s o l u t i o n of ( 4 . l a , b ) .

W e also define

S,,[g(t)l

Ix

E",

1 lx -

g(t)l

p},

1. F i n i t e D i f f e r e n c e Schemes
Each of t h e d i f f e r e n c e schemes d i s c u s s e d i n Chapter 2 can be modified t o make i t a p p l i c a b l e t o n o n l i n e a r d i f f e r e n t i a l e q u a t i o n s of t h e form ( 4 . l a ) . Thus, t h e centered-Euler scheme (2.2) becomes

f o r a general nonlinear equation. u, t h a t i s ,

I f equation (4.la)

is linear i n

t h e n t h e d i f f e r e n c e e q u a t i o n (4.3) reduces t o (2.2). The n o n l i n e a r analogue of t h e i n t e g r a l e q u a t i o n (2.1)

is clearly

A s i n Chapter 2, q u a d r a t u r e fornlulae and i n t e g r a t i o n by p a r t s can

be used t o g e n e r a t e c o n s i s t e n t numerical schemes. I n t h i s manner t h e

g e n e r a l form of t h e t r a p e z o i d a l r u l e i s shown t o be

Again n o t e t h a t i f f (u, t ) i s l i n e a r i n u, t h e n (4.5) r e d u c e s t o

(2.10),

which i s t h e t r a p e z o i d a l r u l e a p p l i e d t o a l i n e a r problem. The Gap schemes can be d e r i v e d i n t h e same manner a s i n

Chapter 2. that

R e c a l l i n g L e m a 2.11 and Lemma 2.14,

i t can be shown

where t h e c o n s t a n t s

a r e g i v e n by Table 2.17.

I n order t o derive

Gap 4 , we need t o e v a l u a t e (4*la),

Using t h e d i f f e r e n t i a l e q u a t i o n

Thus, we d e f i n e t h e n o n l i n e a r Gap4 scheme by

hi [ f (V t . ) f ( v i 9 t i ) 1 i' 1

+ f2(vi,ti)

fl(vi-l,ti-l)

f(vi-l'ti-l

T h i s i s a f o u r t h - o r d e r a c c u r a t e scheme i f y ( t )

c [o,l],

Coupled w i t h any of t h e s e d i f f e r e n c e schemes, t h e boundary

conditions (4,lb) are approximated by b ( v

,v ) O J

o.

Employing

the trapezoidal rule, an approximation to the solution of (4.la,b) can be determined from the following set of n(J+l) equations:

More concisely we write

where N v = o may represent any difference approximation of the h i

4 .la) differential equation (

The truncation error associated with such a difference scheme is defined to be

where y ( t )

is a solution of (4.1a9b).

The truncation error associated

with the boundary condition is ~,[~(t)l and is always zero. n ( V ) b ( y ( o ) ,

~(1))
(4.8a,b) by

Denote the n(J+l)-equations

= 0

(4.9)
V is

where the n(J+l)-vector

2.

E x i s t e n c e of S o l u t i o n s

W e w i l l now c o n s i d e r t h e q u e s t i o n of e x i s t e n c e of s o l u t i o n s t o systems of n o n l i n e a r e q u a t i o n s of t h e form ( 4 . 8 a , b ) .

A s a prelude,

l e t us examine t h e r e s u l t of a p p l y i n g t h e s e n o n l i n e a r d i f f e r e n c e schemes t o t h e l i n e a r i z e d problem.

Lermna 4.10,

L e t t h e boundary-value problem ( 4 . l a , b ) Let

have a n i s o l a t e d

solution, y(t).

be t h e n ( J + l ) e q u a t i o n s which r e s u l t from t h e a p p l i c a t i o n of t h e d i f f e r e n c e scheme (4.8a,b) t o t h e l i n e a r i z e d problem:

where g , f3 a r e n-vectors,

and g ( t )

c [0,1].

Let t h e d i f f e r e n c e

scheme be c o n s i s t e n t and s t a b l e when a p p l i e d t o a l i n e a r two-point boundary-value problem w i t h a unique s o l u t i o n , z ( t ) j=(y,t) r [ y ( t ) ] x [ o , l l ] and b(x,y)
2
E E

c [o,l].

Let

P Then f o r a l l n e t s w i t h ho and

Sp[~(1)]Is P H, H s u f f i c i e n t l y s m a l l , L i s n o n s i n g u l a r

c1 [S [ Y ( o ) ]

where K Proof.
z (t)
E

i s independent of ho.
By h y p o t h e s i s , e q u a t i o n (4,12a,b) h a s a unique s o l u t i o n

c2 [o , I ] .

Also, t h e d i f f e r e n c e scheme i s s t a b l e when a p p l i e d

t o (4.12a,b),

thus there e x i s t constants

t o , H > o such t h a t

Ilvll
f o r a l l nets with h
0

KO llrll
5

H.

This i s equivalent t o

Theorem 4.13.

L e t (4.la'b)

have a n i s o l a t e d s o l u t i o n y ( t )

cL[o,l].

Let t h e h y p o t h e s i s of Lemma 4.10 hold. (4.8a,b) be c o n s i s t e n t w i t h ( 4 . l a , b ) ,

E

Let t h e d i f f e r e n c e scheme and l e t t h e J a c o b i a n m a t r i x Further, l e t " ( v ) be

q (V) be continuous f o r V

Po

[y(t)].

such t h a t

and

where

Then f o r each p , o < p 5 p0 ' po s u f f i c i e n t l y s m a l l and. for a 1 1 n e t s

w i t h ho 5 EL@),

Il(p) s u f f i c i e n t l y s m a l l , t h e n ( ~ + l ) e q u a t i o n s
rl(v) =

have a unique s o l u t i o n W

S [y (t ) ]

Proof:

W e define t h e vector function

I f t h i s h a s a s o l u t i o n , $(W)

= W,

then

n(W)

= o.

The C o n t r a c t i n g

Mapping Theorem w i l l be used t o show t h a t a unique s o l u t i o n e x i s t s . That i s , we need t o show t h a t f o r some h

E

(o,l)

i)
ii)

1 IY - $(Y) I I
II1/'(v1)
Vl,
V2

(1 -

$(v2)II 5 Sp[y(t)l

xIIv~ -

v21[,

where

By t h e h y p o t h e s i s t h e numerical scheme i s c o n s i s t e n t , hence

Re i i )

Now, w e employ the mean v a l u e theorem

and immediately

By h y p o t h e s i s q (V) i s c o n t i n u o u s , t h u s

I IJ, (

-q

II

5 KoIK1p

I IL - rlV(Y) I I } I Iv1

- v21 I

By h y p o t h e s i s , p r o p e r t y ( 4 . 1 4 ) ,

Thus, l e t po and H(po) be s u f f i c i e n t l y s m a l l such t h a t

and c o n d i t i o n i i ) i s s a t i s f i e d . that

Let H(P) be s u f f i c i e n t l y s n a l l such

Then J,(V) i s a c o n t r a c t i n g map f o r V a unique s o l u t i o n W

E

S [ y ( t ) ] and t h e r e e x i s t s P

S [~(t)].

C o r o l l a r y 4.17 (Convergence). hold. Then, i f q ( W )

= o,

L e t t h e h y p o t h e s i s of Theorem 4.13 sp[y(t)],

Proof.

It i s s u f f i c i e n t t o prove t h a t f o r any

> o, t h e r e e x i s t s

an H such t h a t

f o r any n e t w i t h ho 5 H. Theorem 4.13 w i t h

E

However, t h i s i s t h e c o n c l u s i o n of

r e p l a c i n g p.

rn
C o r o l l a r y 4.18. Let t h e h y p o t h e s i s of Theorem 4.13 hold. Let t h e d i f f e r e n c e scheme (4.8b) be pth o r d e r a c c u r a t e ,

Then, f o r a l l n e t s w i t h ho 5 H, li s u f f i c i e n t l y s m a l l ,

Proof.

From t h e proof of Theorem 4.13, w e know t h a t W

S [y,t]

i f p 5 po, ho 5 H(po), and

where

(0,1) and f i x e d .

By h y p o t h e s i s

and t h e r e f o r e

Theorem 4.13 s t a t e s t h a t W

S [y(t)] is a solution i f P

t h u s i t must be t r u e f o r

Hence,

Idhat d i f f e r e n c e schemes s a t i s f y c o n d i t i o n (4.14)?

It would appear t o be f o r t u i t o u s indeed i f any schene had t h e

property t h a t

however t h i s i s t h e c a s e f o r many common d i f f e r e n c e schemes. examples, t h e centered-Euler be examined. (4.3) and t h e Gap

As

(4.5) schemes will

Gap4.
P

Application

of t h e Gap4 scheme t o the l i n e a r i z e d problem

(4.12a, b) y i e l d s t h e f o l l o w i n g n(J+l) e q u a t i o n s

where t h e right-hand s i d e of (4.19b) i s w r i t t e n simply a s si because

i t i s n o t of p a r t i c u l a r i n t e r e s t h e r e .

From (4.19a,b),
1J

w e can

completely c h a r a c t e r i z e t h e elements ( L . . ) Let t h e ( i , jlth n

X

of L.

n b l o c k element of nV(Y) be Nij

Then

and Noo = Loo. b e shown t h a t

Similarly, N

0j

= Lo

,j

= l,...,J.

From 4 . 6 , i t can

Similarly,

N..

11

= Lii,

i = 1,

...,J.

Thus, t h e Gap4 scheme s a t i s f i e s c o n d i t i o n (4.14) and i n f a c t

Centered-Euler.

The centered-Euler scheme s a t i s f i e s e q u a t i o n (4.14), Employing t h e centered-Euler scheme,

however L i s n o t e q u a l t o nV(y).

( 4 3 ) , t h e J a c o b i a n m a t r i x 17 (Y) h a s t h e f o l l o w i n g nonzero n x n

b l o c k components:

The m a t r i x L h a s t h e s e n x n block elements

Thus, we have

Clearly f o r f ( u , t )

c [Sp[y(t)l

[ o , l ] l and y ( t )

1 c [o,l],

p r o p e r t y (4.14)

holds.

Note t h a t t h e q u a n t i t y

need n o t approach z e r o l i k e hP i n o r d e r f o r a pth o r d e r a c c u r a t e

0

scheme t o s a t i s f y

3.

S o l u t i o n of q(V) = o by Newton's Method

I n t h e p r e v i o u s s e c t i o n i t was shown t h a t under c e r t a i n c o n d i t i o n s a s o l u t i o n e x i s t s t o t h e n(J+1) n o n l i n e a r e q u a t i o n s

W e would l i k e t o examine a s p e c i f i c procedure f o r s o l v i n g t h e s e

e q u a t i o n s , namely ~ e w t o n ' smethod. each i t e r a t e d e f i n e d by

That i s , w e want t o show t h a t

e x i s t s u n i q u e l y and t h a t t h e sequence {V ) converges when V j u d i c i o u s l y chosen.

is

The proof of t h e f o l l o w i n g theorem i s i d e n t i c a l

t o t h a t given i n K e l l e r [ 6 ] , with t h e a p p r o p r i a t e generalizations.

Theorem 4.23

Let t h e h y p o t h e s i s of Theorem 4.13 hold and l e t W of t h a t theorem where

be t h e n ( J + l ) - v e c t o r

Let

VO

b e such t h a t

VO

S [y(t) P
0

and
5 H,

[ IvO - w [ I

is sufficiently

small.

Then f o r a l l n e t s w i t h h
0

H s u f f i c i e n t l y s m a l l , and

f o r a l l p, o < p 5 po, p

s u f f i c i e n t l y small, t h e Newton i t e r a t i o n

(4.22) u n i q u e l y d e f i n e s a sequence {V q u a d r a t i c a l l y t o W, Proof:

v 1 and t h i s sequence converges

A s noted b e f o r e , see Keller [ b ] .

Chapters 1 and 3 examined t h e e q u i v a l e n c e between s h o o t i n g methods and i m p l i c i t t e c h n i q u e s f o r l i n e a r boundary-value problems. I n t h e n e x t s e c t i o n , w e want t o d e f i n e a n o n l i n e a r s h o o t i n g procedure and s t u d y i t s r e l a t i o n s h i p t o t h e method d e s c r i b e d h e r e .

4.

Equivalence of Shooting and I m p l i c i t Schemes f o r Nonlinear Problems

The n o n l i n e a r s h o o t i n g scheme h a s t h e same u n d e r l y i n g i d e a a s i n

Chapter 1. The i n i t i a l - v a l u e problem

i s d i s c r e t i z e d , s o l v e d , and t h e n t h e i n i t i a l c o n d i t i o n

x(o) = c i s

wiggled u n t i l t h e d i s c r e t e boundary c o n d i t i o n b ( c , u J ( c ) ) = o i s satisfied. For example, t h e f o l l o w i n g system of e q u a t i o n s r e s u l t i f we u s e ~ u l e r ' smethod t o approximate (4.24a):

Note t h a t t h e s e e q u a t i o n s can be solved e x p l i c i t l y , however a n i t e r a t i o n scheme must be employed t o s a t i s f y t h e n o n l i n e a r boundary condition

The a p p l i c a t i o n of Newton's Method t o s o l v e (4.26) i s s t r a i g h t forward

However, t h e n x n m a t r i x

ac

'du

must be e v a l u a t e d a t each s t e p .

This

m a t r i x i s determined by s o l v i n g t h e v a r i a t i o n a l e q u a t i o n s

A d i s c r e t e s h o o t i n g procedure r e s u l t s from combining ( 4 , 2 5 a , b ) , (4.28a,b), and (4.27):

An a l t e r n a t i v e t o t h i s procedure i s ~ e w t o n ' smethod a s

described i n t h e previous section. That i s , Newton's method i s

employed t o s o l v e t h e system of e q u a t i o n s

This r e s u l t s i n t h e following i t e r a t i o n scheme

It has a l r e a d y been shown t h a t {V

e x i s t s and converges.

It i s c l e a r t h a t i n each c a s e t h e method d e f i n e s a s o l u t i o n

of t h e same s e t of e q u a t i o n s :

The i m p l i c L t method (4,31a,b) n ( J + l ) e q u a t i o n s of (4,30a, b)

a p p l i e s Newton's method t o e a c h of t h e

The s h o o t i n g method (4.29a, b , c , d , e )

f o r m a l l y s e p a r a t e s t h e f i r s t n e q u a t i o n s from t h e remaining n J ,

I n l i e u of t h i s set of e q u a t i o n s , t h e s h o o t i n g method s u b s t i t u t e s the equations

which can be s o l v e d e x a c t l y when a n e x p l i c i t d i f f e r e n c e scheme i s used t o approximate (4.23a). Then t h e i n i t i a l v a l u e c i s v a r i e d

u n t i l a n i n i t i a l v a l u e i s found such t h a t

The p r i n c i p a l d i f f e r e n c e i s t h a t t h e s h o o t i n g procedure s a t i s f i e s t h e l a s t n J e q u a t i o n s e x a c t l y and t h e i m p l i c i t Newton procedure does n o t . That i s ,

where i n g e n e r a l

I IV ; II

0.

Theorem 4.34

L e t t h e h y p o t h e s i s of Theorem 4.16 hold.

V

Let t h e

s h o o t i n g Newton i t e r a t e s be {U

1,

S [ y ( t ) 1, and l e t t h e i m p l i c i t P

Newton i t e r a t e s b e {V

v 3,

Let ?(vv) = r

-v

, [[;'I

[ >

o.

Then

uV f vV.

Proof:

Define
r
V
= q(uV)

- q(vV)

A s i n Theorem 4,13, t h e mean v a l u e theorem i s employed i n t h e

following way

B y hypothesis, q

i s continuous on S [ y ( t ) ] , hence P

llrVll 5 Q

lluV - vVII

A s i n t h e proof of Theorem 4 . 1 3 , i t can b e shown t h a t the m a t r i x

1

lo

V v (sU +

(1-s) vV)ds i s nonsingular, thus Q > o.

Immediately

from t h e above,

Thus,

1 luV - vV[I

> o ->

uV # vV.

This theorem s t a t e s t h a t t h e i t e r a t i o n sequences defined by i m p l i c t Newton and shooting Newton a r e not t h e same, even though t h e y a r e used t o s o l v e t h e same s e t of nonlinear equations.

Chapter V Block T r i d i a g o n a l M a t r i c e s

T h i s c h a p t e r develops a computational method f o r s o l v i n g t h e systems of l i n e a r e q u a t i o n s t h a t have a r i s e n i n p r e v i o u s chapters. That i s , we w i l l develop a t e c h n i q u e f o r s o l v i n g t h e

n (J+l) l i n e a r equations

o r , when t h e boundary-value problem i s n o n l i n e a r , t h e e q u a t i o n s

%(vv) (vW1

- vV) + T,(vV)

g e n e r a t e d by ~ e w t o n ' s method,

More s p e c i f i c a l l y we a r e i n t e r e s t e d

i n m a t r i c e s which r e s u l t from t h e approximation of two-point boundary-value problems w i t h s e p a r a t e d boundary c o n d i t i o n s . i s , problems which may be w r i t t e n a s That

u' ( t ) = f (u,t)
bo(u(o)) = bl(u(l)) =
0

[0,1]

a)
b)

c)

where t h e boundary c o n d i t i o n s (5. l b ) and (5. l c ) r e p r e s e n t p and q conditions respectively, p

+q

= n.

To i l l u s t r a t e t h e form t h a t t h e s e m a t r i c e s w i l l t a k e ,

consider the approximation of

by ~uler's method. are

The resulting finite difference equations ( J = 2 )

where we have used the convention that a single matrix in parentheses, (B0), has p rows and a single matrix in brackets, [B1], has q rows. The matrix of (5.3) can be rewritten in block tridiagonal form

where each Ai, Bi, Ci is an n

n matrix.

Block matrices of this

type have a very special zero structure: the first p rows of Bi and the last q rows of Ci are zero rows. The solution procedure of interest is a block LU decomposition:

I d e a l l y , w e would l i k ;

t o show t h a t t h i s decomposition e x i s t s Unfortunately t h e r e s u l t i s not i s a 4 x 4 diagonal

i f t h e matrix 8 is nonsingular. h

that clear.

For example, i f A ( t ) i n (5.2a)

m a t r i x and (Bo) = (1 o o o ) , t h e n

and A

is clearly singular.

N o m a t t e r how s m a l l h

becomes, t h i s

matrix w i l l remain s i n g u l a r .
interchanged w i t h t h e 2 x o

However, i f t h e 5th row of Rh i s

nd

row, t h e n o o

Ao-[!x!!]
A
0

i s n o n s i n g u l a r , and t h e L U f a c t o r i z a t i o n can proceed.

Thus,

a row s w i t c h i n g s t r a t e g y w i l l be i n c l u d e d i n t h e decomposition procedure.

1. Block L U Decompostion
The block t r i d i a g o n a l m a t r i x M i s c o n s i d e r e d i n the f o l l o w i n g

generality ;

where each Ai,

Bi,

C. i s a n n x n matrix.
1

W e also require that the

f i r s t p rows of each Bi b e z e r o and t h e l a s t q rows of Ci be zero. Such a m a t r i x M w i l l b e r e f e r r e d t o a s a b l o c k t r i d i a g o n a l

matrix w i t h p / q z e r o s t r u c t u r e .
The s t r a i g h t f o r w a r d b l o c k decomposition i s

where t h e m a t r i c e s Li,

Di are d e f i n e d by

U decomposition i s completed, t h e s t a n d a r d procedure i s Once t h e L adopted t o s o l v e MV = r: LW= r ,

= W.,

The n(J+l) v e c t o r s W and V a r e defined by t h e r e c u r s i o n r e l a t i o n s :

and

I f i t should occur t h a t some Di i s s i n g u l a r , then t h e s e r e c u r s i o n formulae w i l l have t o be a l t e r e d t o allow f o r t h e a p p r o p r i a t e row interchanges.

Lemma 5.10.

Let M',

M denote n(m+l) x n(m+l) block t r i d i a g o n a l

m a t r i c e s w i t h p / q zero s t r u c t u r e .
MO,

Denote t h e block elements of Let

MO

M by Ai,

Bi,

Ci and Ai,
0 0

Bi,

Ci r e s p e c t i v e l y .

be

nonsingular. of rows (p A
0

Then e i t h e r A

i s nonsingular o r by an i n t e r c h a n g e
MO

+ 1,..., p + n)

of

a m a t r i x M can be formed such t h a t

i s nonsingular.
Immediate because M
0

Proof. m = o. -

= Ao.

m > o. p rows of Ao.

0

Let (S ) be t h e p x n m a t r i x composed of t h e f i r s t

Let S be t h e n x n m a t r i x whose f i r s t q rows a r e n

0

t h e l a s t q rows of A ' of C1.

0

and whose l a s t p rows a r e t h e f i r s t p rows

MO

With t h e s e d e f i n i t i o n s i n hand, t h e m a t r i x

can be

written a s

where Q i s a n (nm-tq) x n m matrix.

By h y p o t h e s i s

MO

is nonsingular ,

t h u s t h e rows of (S ) a r e l i n e a r l y independent and t h e (n+p) x n P m a t r i x S d e f i n e d by

h a s r a n k n.

These two c o n d i t i o n s imply t h a t t h e r e a r e q rows of

Sn which, t o g e t h e r w i t h t h e rows of (S ), form a set of n l i n e a r l y

independent row v e c t o r s . rows of M

0

Thus, by i n t e r c h a n g i n g t h e a p p r o p r i a t e
0

we can form a m a t r i x M such t h a t A

i s nonsingular.

S i m i l a r rows.

Define rows of a block t r i d i a g o n a l m a t r i x w i t h

p/q z e r o s t r u c t u r e t o be s i m i l a r i f by i n t e r c h a n g i n g t h e s e rows t h e m a t r i x remains b l o c k t r i d i a g o n a l w i t h p / q zero s t r u c t u r e . Theorem 5.11, Let be a n n ( J + l ) x n ( J + l ) b l o c k t r i d i a g o n a l Let M

0

MO

matrix with p/q zero s t r u c t u r e .

be n o n s i n g u l a r .
0

Then

by a n i n t e r c h a n g e s t r a t e g y among s i m i l a r rows of M

a matrix M

can be formed such t h a t M h a s a b l o c k LU decomposition of t h e form

where each Dip

o 5 i 5 J, i s nonsingular.

Proof.

R e c a l l i n g Lemma 5.10,

there i s an interchange strategy of M

0

among rows (p

+ l,...,p + n)

t h a t forms a n

MI

such t h a t

where D1 i s n o n s i n g u l a r and M '

0

i s a block t r i d i a g o n a l m a t r i x

with p/q zero s t r u c t u r e . t h e following p r o p e r t i e s : i) where

k Assume t h a t t h e r e e x i s t s a m a t r i x M w i t h

Mk

= F~ G~

and

ii) iii)

i+l ,o 5 i 5 k Each Di

- 1, i s n o n s i n g u l a r ,

and

Mk

is a block t r i d i a g o n a l matrix w i t h p/q zero

s t r u c t u r e formed by a n i n t e r c h a n g e s t r a t e g y of s i m i l a r rows of M0

.
, ii),
and i i i ) i t i s s u f f i c i e n t t o show t h a t By h y p o t h e s i s M0 i s n o n s i n g u l a r , Define the n(J+l-k)
x n(J+l-k)

1 Since M has p r o p e r t i e s i )
from M thus

w e can proceed t o Mk+'.

be n o n s i n g u l a r

Mk must

m a t r i x H by

n o t i n g t h a t H i s b l o c k t r i d i a g o n a l w i t h p/q zero s t r u c t u r e . matrix

The Recalling

Mk

i s n o n s i n g u l a r i f and o n l y i f H i s n o n s i n g u l a r .

Lemma 5.10, t h e r e i s a n i n t e r c h a n g e s t r a t e g y among rows (p of H which produces a n such t h a t

1,. . . , p

+ n)

where

i s nonsingular

Note t h a t an interchange of any rows

(p+l, . . . , p + n ) of H i s equivalent t o an interchange of rows (nk

+ p + 1,...,nk + p + n)

of M'.

k+l k+l k By d e f i n i n g Lk+l, Dk 9 Bk, and

k+l i n t h i s manner, we have found M = Fk+l G ~ + ' which has p r o p e r t i e s i ) , i i ) , and i i i )

.
m
Let
MO

Corollary 5.12.

be an n ( J + l ) x n ( J + l ) block t r i d i a g o n a l Let P be a permutation m a t r i x of

matrix with p/q zero s t r u c t u r e . t h e form

where I
1

i s t h e p x p i d e n t i t y , I i s t h e q x q i d e n t i t y , and each q P. i s an n x n permutation matrix. Then t h e following a r e e q u i v a l e n t

a)

i.s n o n s i n g u l a r

b) There e x i s t s a p e r m u t a t i o n m a t r i x P such t h a t

where each Di,

o 5 i 5 J, i s n o n s i n g u l a r .

Proof:

a ) => b ) . b) => a ) .

The proof i s e x a c t l y t h a t of Theorem 5.11. Immediate from h y p o t h e s i s .

Using t h i s r e s u l t , a b l o c k t r i d i a g o n a l f a c t o r i z a t i o n can be designed t o s o l v e t h e e q u a t i o n s

where M i s a b l o c k t r i d i a g o n a l m a t r i x w i t h p / q z e r o s t r u c t u r e . R e c a l l i n g C o r o l l a r y (5.12), t h e e q u a t i o n s can be w r i t t e n a s

which a l l o w s s o l u t i o n v i a (5.6)

(5.8)

, and

(5.9)

The o n l y

problem remaining i s t h e p r a c t i c a l one of determining each of t h e permutation m a t r i c e s P

i

comprising P.

Each Pi can be found

a s the L U decomposition (5.6) proceeds.

Theorem 5.13. structure.

Let M be a block t r i d i a g o n a l m a t r i x w i t h p / q z e r o

L e t M be n o n s i n g u l a r .

L e t r , V , W be n ( J + l ) v e c t o r s

d e f i n e d by

Then t h e following procedure can be used t o f i n d t h e s o l u t i o n of

MV = r :
I,

Forward s u b s t i t u t i o n
A. B,

S t a r t i n g values:

Do

Ao, wo = r

I t e r a t i o n procedure (k = o , l ,

...,J-1)
of M i n o r d e r t o form

1.

I f t h e c u r r e n t D i s s i n g u l a r , i n t e r c h a n g e rows k (kn

+ p + l , . , , , k n + p + n)

a n o n s i n g u l a r D and form new w k k' rk+l by i n t e r c h a n g i n g corresponding elements.

2,

Compute:

4c+l -

-1 Ck+l Dk

Dk+l = %+l - Lk+l Bk+l

w = r k+l k+l
11. Back s u b s t i t u t i o n
A.

Lk+l wk

(k = J , J - ~ , . . . , o ) k

Compute v

via D

Wk

Bk+l Vk+l

Proof:

The proof i s t h e same a s t h e proof of Theorem 5.11,

Thus f a r o n l y one method of decomposing t h e m a t r i x M has been considered: t o block m a t r i c e s , t h e n a t u r a l e x t e n s i o n of t h e u s u a l LU decomposition Consider a n LU decomposition where U r a t h e r

than L has a u n i t diagonal:

The g e n e r a l r e c u r s i o n r e l a t i o n s f o r Di,

Ui a r e

Allowing f o r row i n t e r c h a n g e s , t h i s . d e c o m p o s i t i o n can always be performed, however i t h a s a p r a c t i c a l d i s a d v a n t a g e .

1

In the L U
i'

decomposition ( 5 . 6 ) , L . h a s t h e same z e r o s t r u c t u r e a s C t h e l a s t q rows a r e zero.

namely

Thus, t h e m a t r i c e s L, U c a n b e s t o r e d However, from

x

i n t h e same l o c a t i o n s a s t h e o r i g i n a l m a t r i x M.

(5.14) i t i s c l e a r t h a t Ui i s i n g e n e r a l a f u l l n

n m a t r i x , and

t h i s decomposition r e q u i r e s pnJ more s t q r a g e l o c a t i o n s t h a n M.

2.

A S p l i t decomposition Another p o s s i b i l i t y i s t h e f a c t o r i z a t i o n

UL
That i s , i n t h e c a s e J = 2, we have

where U h a s a u n i t d i a g o n a l .

C o r o l l a r y 5.15.

Let PI0 be an n<J+1) x ncJ+I) b l o c k t r i d i a g o n a l Let P b e a permutation m a t r i x Then t h e f o l l o w i n g a r e

m a t r i x w i t h p/q z e r o s t r u c t u r e ,

of t h e same form a s C o r o l l a r y 5.12, equivalent:

0

a) b)

i s nonsingular

There e x i s t s a permutation m a t r i x P such t h a t

where each Di,

i 5 J, i s nonsingular.

Proof,

b) ==> a) a ) => b )

Immediate from h y p o t h e s i s . Let Q b e t h e n ( J + l ) x n ( J + l ) permutation m a t r i x

= 1.

where q

i , n (J+l)-i+l

Then

go =

QM'Q

i s a nonsingular t r i d i a g o n a l there

m a t r i x w i t h q/p zero s t r u c t u r e . e x i s t s a permutation m a t r i x

R e c a l l i n g C o r o l l a r y 5.11, that

P such

where

% i s a block t r i d i a g o n a l m a t r i x w i t h

q/p z e r o s t r u c t u r e .

Note t h a t QQ = I , t h e n w e have

where P =

QFQ, U

QE,

and L =

60.

Rather t h a n p u r s u i n g this UL decomposition d i r e c t l y , we w i l l examine a h y b r i d o r s p l i t procedure. f a c t o r e d i n t h e f o l l o w i n g way: The m a t r i x M might be

This decomposition i s a hybrid of t h e LU and t h e UL decompositions discussed previously.

Theorem 5.19.

Let

MO

be a n n(J+l) x n(J+l) block t r i d i a g o n a l matrix Let ~ ( s be ) a permutation m a t r i x of Then t h e f o l l o w i n g a r e e q u i v a l e n t :

with p/q zero s t r u c t u r e ,

t h e same form a s C o r o l l a r y 5.12.

0

a) b)

i s nonsingular.,

For each i n t e g e r s , o I s I J , t h e r e e x i s t s a
0

permutation m a t r i x P ( s ) such t h a t 14 = P(s)M of t h e form:

has a s p l i t f a c t o r i z a t i o n

where

and each Di,

o 2 i 5 J, is nonsingular.

Proof:

The proof i s sketched here.

The o n l y element of F o r G

t h a t i s n o t guaranteed e x i s t e n c e by C o r o l l a r y (5.12) (Lip i = 1, (Ui,

... , s ;

Di,

i = o,

i =s+l,.. . , J ; Di,

...,s-1) o r Corollary(5.15) i = s + l , ..., J ) i s Ds. I n order

for the

factorization (5.20) t o e x i s t , Ds must be d e f i n e d t o be

S i n c e Ds i s given i n terms of known q u a n t i t i e s , t h e proof i s complete.

m
Note t h a t t h i s s p l i t procedure i n c l u d e s t h e LU f a c t o r i z a t i o n (s = J ) and t h e UL f a c t o r i z a t i o n ( s = o ) a s s p e c i a l c a s e s . The g e n e r a l

a l g o r i t h m f o r s o l v i n g MV = r i s given below where any q u a n t i t y n o t p r e v i o u s l y d e f i n e d i s assumed t o be zero. S o l u t i o n of MV = r (o 5 s

\

J)

I.

Decomposition procedure A. Forward ( i = o , l , . . .,s-1)

1. Compute:
2.

Di

- Ai

- LiBi
I f D. i s s i n g u l a r
1

Interchange s t r a t e g y : i n t e r c h a n g e rows ( n i n o n s i n g u l a r Di,

+ p + 1,...,ni + p + n )

to form

and new B

Change i+19 'i+l9 *i+lq

r 3.

i'

accordingly. i+l
w
i

Compute:

= r -Lw
i

i i-1

D - ~ Li+l 'i+l i
B. Backward ( i = J ,

...,s + l )
= *i

1. Compute:
2.

Di

'i+lci+l

If Di i s s i n g u l a r , i n t e r c h a n g e rows

(ni Di,

1,

...,n i - q - n )
C i

t o form n o n s i n g u l a r Change ri,

f

and new B ,

A i l

i-l

accordingly.

3.

Compute:

wi = r i

'i+lwi+1

C.

S p l i t point

1.

Compute:

Ds = As

LsBs

- us+l Cs+l

11.

Solution routine
A.

S p l i t point

1.
B.

Solve f o r vs:

Dsvs = w

Backward (i = s-1,

...,o )
Divi
= wi

1.
C.

Solve f o r vi:

Ei+lVi+l

Forward (i = s+l,

...,J )
Divi
= wi
,-

1. Solve f o r vi:

Ci~i-l

The numerical example cited i n Chapter 6 uses s = o exclusively.

In some cases however it has been found that the split point
s = (5+1)/2 yields good numerical results when the s = o, s = J decompositions are unsuitable.
CY

Chapter VI

A Numerical Example:

P l a n e Couette Flow

I n t h i s c h a p t e r , e q u a t i o n s modeling p l a n e C o u e t t e f l o w a r e used a s a t e s t c a s e f o r some of t h e t h e o r y p r e s e n t e d p r e v i o u s l y . This p a r t i c u l a r example was chosen because f o r c e r t a i n s p e c i a l c a s e s t h e e x a c t s o l u t i o n i s known and can b e shown t o b e a n i s o l a t e d s o l u t i o n ( s e e Chapter 4 ) . The e q u a t i o n s a r e g i v e n i n F. K. Moore [

$1

a s a s i m i l a r i t y s o l u t i o n of t h e Navier-Stokes e q u a t i o n s d e s c r i b i n g t h e motion of a compressible, v i s c o u s f l u i d c o n t a i n e d between two p a r a l l e l surfaces. These w a l l s a r e i n r e l a t i v e motion and each i s

k e p t a t a c o n s t a n t temperature.

lvariable.

OW
Fig, 6.1

The u s u a l n o - s l i p boundary c o n d i t i o n s a r e imposed a t t h e wall-s, and t h e v a r i a b l e s of i n t e r e s t a r e T ( t ) , t h e normalized t e m p e r a t u r e d i s t r i b u t i o n , and u ( t ) , t h e normalized x-component of v e l o c i t y .

I n accordance w i t h o u r p r e v i o u s n o t a t i o n , t i s used a s t h e independent

The e q u a t i o n s w i l l be c o n s i d e r e d i n t h e f o l l o w i n g form:

where p(T) is the viscosity-temperature relation. Isolated -

Solution

In the case where K = o, the differential equations (6.2) reduce to

with the same boundary conditions.

These equations are easily

integrated if we restrict the viscosity-temperature relation to be of the form

An exact solution for ( 6 . 3 ) is shown to be

The homogeneous, linearized problem becomes

where

and

Substituting the exact solution from (6.4) into A ( t )

, it

can be shown

that the linearized problem has only the trivial solution, and thus, the solution ( 6 . 4 ) is isolated. 2. Numerical Procedure

The Gap4 will be employed to approximate the differential

n (6,2). equations i

Substituting @(T) = p

-1

(T) and letting

in (6.2),

this two-point boundary-value problem can be written as:

where

In order to use the Gap4 scheme, the vector f f must be evaluated. Y Let a = (a b c d l T , then

The Gap 4 difference approximation is given by

Coupling these difference equations with the discrete boundary conditions,

yields 4J+4 nonlinear equations which must be solved in order to evaluate V. ~ewton'smethod is employed to solve these equations.

2 1 Define the 4 x 4 matrices N ( a ) , N ( a ) by

N1(a)

af (a) aa ,
=

2 (a) N (a)=-. aa
T

Thus, again letting a

(a b c d)

and

N (a)

where

4, 4 '

a r e understood t o s t a n d f o r $ ( c ) , $ ' ( c ) r e s p e c t i v e l y .

~ e w t o n ' smethod y i e l d s t h e following l i n e a r d i f f e r e n c e equations:

3

These d i f f e r e n c e equations may be p u t i n t o a form

where t h e matrix, qV(vV), i s block t r i d i a g o n a l m a t r i x w i t h 2/2 zero structure. The s p l i t decomposition r o u t i n e (s=o) was used t o s o l v e

each of t h e s e equations f o r (vW1 t h e i n i t i a l guess,

vV)

I n each c a s e considered,

vO, was

taken t o be

3.

Numerical r e s u l t s

These computations were performed i n double p r e c i s i o n o n an I B M 360/65. Three s e p a r a t e c a s e s a r e r e p o r t e d here:

i i ) 1. = -1, p(T) = T, i i i ) K = -1, p(T) = T

3/2

.
~ ( 0 = )

The left-hand boundary c o n d i t i o n , T(o) * A, was taken to be

1/2,

I n each c a s e , t e n uniformly spaced n e t p o i n t s (J=9) were placed on t h e i n t e r v a l [ o , l ] . e q u a t i o n s (6.5), ~ e w t o n ' smethod w a s used t o s o l v e t h e

(6.6) and t h e i t e r a t i o n procedure w a s terminated

when t h e r e s i d u a l ,

I lI1(vV)I I , was

acceptably small

The

r e s u l t s of t h e s e c a l c u l a t i o n s a r e summarized i n Table 6.7.

(w*)
(O,1)

[~ll(v~)II
.-

Time ( s e c .)

. 1 1 D 00

2.51

1
2 3 (-191) 0
1

.7142D-02 .1169D-04 .5071D-10

, 1 1 1 1 D 00

3.67

.1072D 00 -54521)-02 .1363D-04 ,12421)-09

. 1 1 1 1 D 00

2 3 4

0
1

4.64

.1004D 00 .1157D-01 .7149D-04 -6233D-08 t h e v i s c o s i t y r e l a t i o n p(T) = T~ Table 6.7

2 3 4

*Represents

Note t h a t i n each c a s e t h e Newton i t e r a t e s e x h i b i t q u a d r a t i c convergence.

An e x a c t s o l u t i o n i s known for c a s e i ) , ( o , l ) , s o a more

d e t a i l e d i n s p e c t i o n of t h e numerical s o l u t i o n i s i n o r d e r . e x a c t s o l u t i o n f o r K = o, p(T)
= T

The

is

3/4
3/8

[l-t] [l-t] The approximations t o y ( t ) 1 1 f o r a l l i:

+ +
y ( t ) , vi2, a r e c o n s t a n t s

. , vil , and

Recalling t h e exact s o l u t i o n (6.8),

t h e corresponding e r r o r s a r e L e t Ivi3

.907 D-05 and .453 D-05 r e s p e c t i v e l y . and (vi4

y3(ti)

= ei 3

y4(ti)

= ei4-

COMPARISON OF NUMERICAL SOLUTION

WITH EXACT SOLUTION

Table ( 6 - 9 )

The maximum e r r o r o c c u r s i n t h e approximation of t h e c o n s t a n t function yl(t)

= ;(t),

thus

For t h i s example, t h e Gap4 scheme y i e l d s a n e x t r e m e l y a c c u r a t e numerical s o l u t i o n on a comparatively s p a r s e n e t . Also, ~ e w t o n ' s

method e x h i b i t s q u a d r a t i c convergence once a n "acceptable" i n i t i a l g u e s s h a s been found.

Appendix A

Ordinary D i f f e r e n t i a l Equations of Higher Order

I n a r e c e n t paper H, 0. Kreiss [ 7 ] examined d i f f e r e n c e schemes used t o approximate l i n e a r two-point boundary-value problems:

where

% are nxn

m a t r i c e s and y,F,g a r e m-vectors.

A t f i r s t glance,

a t r e a t m e n t of e q u a t i o n s (A.la,b) the equations (l.la,b)

seems t o be more g e n e r a l t h a n
However, we g i v e t h e theory

considered i n Chapter 1.

an i n d i c a t i o n h e r e t h a t t h e t h e o r y of Kreiss

[ 7 ] and

developed i n Chapter 1 a r e a c t u a l l y concerned w i t h t h e same c l a s s of problems.

A s an approximation of ( A . l a ) , Kreiss c o n s i d e r s d i f f e r e n c e
schemes of t h e form

i = r,.. .,J-s

where D

+ is

t h e forward d i f f e r e n c e o p e r a t o r (D+ viWl

?; (vi

v ~ - ~ ) ) .

The d i s c r e t e boundary c o n d i t i o n s a r e w r i t t e n

where D- vi = D+ vi-l. W e w i l l c o n s i d e r o n l y t h e c a s e i n which ( A . 2 ) i s "as compact a s possible", t h a t i s , r+s=n. With t h i s r e s t r i c t i o n , (A.2) and (A.3)
vi,

r e p r e s e n t m(J+l) e q u a t i o n s i n m(J+l) unknowns,

i = 0,

. . .,J .

For

t h i s c a s e , t h e d i f f e r e n c e e q u a t i o n (A.2) can b e w r i t t e n a s

L~ vi = A ( t i , h ) ~ + vi-r

+ 1
k=o

n-1

~ ~ k ( t+ ~ v,i-r h )= ~ F~ ~

i = r , . . .,J'S

where So (h)

(ti,h)

i s an m x m m a t r i x and r e p l a c e s t h e d i f f e r e n c e o p e r a t o r

The boundary-value problem (A.la,b) can b e w r i t t e n a s a f i r s t - o r d e r system by d e f i n i n g z k+l (t) = y(k)(t),

Thus, a f i r s t - o r d e r

system of e q u a t i o n s e q u i v a l e n t t o (A.la,b)

is

dzn(t) dt

+ 1
k=o

n-1

q ( t ) z

k+l

(t) = F(t)

dzk (t)
dt

= z k+l ( t )

k = ~,...,n-1

It remains t o show t h a t , i n some s e n s e , (A.2),

(A.3)

can be

c o n s i d e r e d as a n approximation of ( A b 5 a , b , c ) . Analogous t o t h e d e f i n i t i o n s (A.5b), d e f i n e t h e m-vectors,

k k = 1, i'

...,n ,

by

S u b s t i t u t i n g t h e s e q u a n t i t i e s i n t o (A. 2) and (A. 3 ) , we g e t n

i-r

k+l i-r
(A. 7a)

and

(A. 7b)

Kreiss d e f i n e s t h e d i f f e r e n c e scheme (A.4) t o be c o n s i s t e n t w i t h

n-l

Thus, i f t h e d i f f e r e n c e scheme ( A . 4 ) i s c o n s i s t e n t , then c l e a r l y (A.7a), (A.6b), and (A.7b) form a c o n s i s t e n t approximation of Thus, w e have N e q u a t i o n s i n N unknowns t h e o n l y d i f f e r e n c e between (A. 7 a , b ) ,

(A05a,b,c).
(N = m(nJ

- $[n2 - n ] ) ) , and
k

(A.6b) and t h e approximations c o n s i d e r e d i n Chapter 1 i s t h a t t h e v a r i a b l e wi i s o n l y d e f i n e d f o r i = o ,

...,J-k+l.

1 - 2 In order to mimic Chapter 1, we introduce T ( n +n)

new equations. This can be formally done by expanding the range of i in (A.7a) from J-s to J+r-1 and the range of each i in (ADGb) from J-k to J-1, The only restriction we place on these new equations is that

be consistent with the differential equation (A.5a).

In this way equations (A.ga,b,c) define a consistent difference

approximation of (A.5a,b,c) where (A.2), ( A . 3 ) .

w1

V, V being a solution of

Thus, a stable solution, {w1,w2

,...,W"],

of the

difference approximations (~.9a,b,c) yields a stable solution, A . 3 ) . V, of (A.2) and ( In addition, the theory presented in

Chapter 1 provides a necessary condition for stability where no restrictions are placed on the form of the difference approximations.

References [I] S. D. Conte,

he Numerical S o l u t i o n of L i n e a r Boundary-Value ~ r o b l e m s " , SIAM Review, Volume 8, No. 3, (1966), pp. 309-321.
"Numerical S o l u t i o n of Ordinary and P a r t i a l D i f f e r e n t i a l Equations", Addison-Wesley, London, 1962.

[2]

L. Fox,

[3]

T. R. Goodman and G. N. Lance, "The Numerical I n t e g r a t i o n of Two-Point Boundary-Value Problems", Mathematics of Computations, Volume 1 0 , (1956), pp. 82-86. E. I s a a c s o n and H. B. K e l l e r , "Analysis of Numerical Methodsv', John Wiley, New York, 1966.
H. B. K e l l e r , "Accurate D i f f e r e n c e Methods f o r L i n e a r Ordinary D i f f e r e n t i a l Systems S u b j e c t t o L i n e a r C o n s t r a i n t s " , SIAM J o u r n a l on Numerical A n a l y s i s , Volume 6, No. 1, (1969), pp. 8-30. H. B. K e l l e r , "Accurate D i f f e r e n c e Methods f o r Nonlinear TwoP o i n t Boundary Value Problems", t o appear.

[4]

[5]

[6]

(71

H. 0. Kreiss, " ~ i f f e r e n c eApproximations f o r Boundary and Eigenvalue Problems f o r Ordinary D i f f e r e n t i a l ~ q u a t i o n s " , Mathematics of Computation, Volume 26, No. 119, (1972), pp. 605-624. F. K. Moore, e d i t o r , " ~ h e o r yof Laminar ~ l o w s " , P r i n c e t o n U n i v e r s i t y P r e s s , P r i n c e t o n , 1964, pp. 171-175. V. P e r e y r a , " I t e r a t e d Deferred C o r r e c t i o n s f o r Nonlinear Boundary Value Problems", Numerische Mathematik, Volume 11, (1968), pp. 111-125.

[8]

[9]