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Computational Differential Equations

http://www.math.unibas.ch/beilina

Course requirements
1. Lectures 2. Assignments (homework) 3. Project

Lectures
Mathematical Institute, grossen H orsaal 1. Wednesday, 12.00-14.00 2. Friday, 14.00-16.00

Project and Assignments:


Thursday, 14.00-16.00 Mathematical Institute, Seminarraum/Matlabraum

Literature
1. S.C.Brenner, L.R.Scott. The Mathematical theory of nite element methods, Springer-Verlag, 1994. 2. K.Eriksson, D.Estep and C.Johnson, Computational Differential Equations, Studentlitteratur, Lund, 1996. 3. Romanov V.G. and Kabanikhin S.I. Inverse Problems for Maxwells Equations. VSP, Utrecht, The Netherlands, 1994. 4. Kabanikhin S.I. and Lorenzi A. Identication Problems of Wave Phenomena (Theory and Numerics). VSP, Utrecht, The Netherlands, 1999. 5. L.Beilina, Adaptive Finite Element/Difference Methods for Time-Dependent Inverse Scattering Problems. www.phi.chalmers.se/preprints/
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Course plan
1. Basic Concepts : (a) Weak formulation of Boundary value Problem; (b) The Finite Element Method (FEM); (c) The Finite Difference Method (FDM); (d) Computer implementation of FEM and FDM. 2. Sobolev Spaces (a) Review of Lebesgue Integration Theory; (b) Weak Derivatives; (c) Sobolev norms and associated spaces; (d) Trace Theorems. 3. Variational formulation of boundary value problems (a) Hilbert Spaces ;
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(b) Riesz Representation Theorem; (c) The Lax-Milgram Theorem; 4. The construction of a Finite Element Spaces (a) Denition of a Finite Element. Triangular Finite Elements. Rectangular Finite Elements; (b) The Interpolant. 5. n-dimensional variational problems and adaptive error control (a) Variational Formulation of Poissons Equation. Treatment of different boundary conditions; (b) Adaptive error control; (c) The Heat Equation. A FEM for the Heat Equation. Error estimates and adaptive error control; (d) The Wave Equation. A FEM for the Wave Equation. Error estimates and adaptive error control.
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6. Application of FEM to inverse scattering problems (a) The FEM for Inverse Acoustic Scattering; (b) The FEM for Inverse Elastic Scattering; (c) The FEM for Inverse Electromagnetic scattering.

Weak formulation of Boundary Value Problem


Let us consider two-point boundary-value problem

2u 2 = f, x u(0) = 0, u (1) = 0.

in (0, 1), (1)

if u is the solution and v is any regular function such that v (0) = 0, then we can integrate by parts to get

(f, v ) :=
0 1

f (x)v (x)dx u (x)v (x)dx


0 1

= =
0

(2) u (x)v (x),

a(u, v ) :=
0

u (x)v (x)

Let us dene also V := {v L2 (0, 1) : a(v, v ) < , v (0) = 0}. Then the variational formulation of (1) is: nd u V such that a(u, v ) = (f, v ) v V. (4) (3)

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Theorem. Suppose f C 0 ([0, 1]) and u C 2 ([0, 1]) satisfy (4). Then u solves (1). Proof Let v V C 1 ([0, 1]), then integration by parts yields
1

(f, v ) = a(u, v ) =
0

u (x)v (x)dx + u (1)v (1)

(5)

Thus, (f (u (x)), v ) = 0 v V C 1 ([0, 1]) : v (1) = 0. We can choose w = f (u (x)) C 0 ([0, 1]). If w = 0, then w is of one sign on [x0 , x1 ] [0, 1] with x0 < x1 (continuity). Choose v (x) = (x x0 )2 (x x1 )2 in [x0 , x1 ], and v = 0 else. But in this case (w, v ) = 0 - contradiction. Thus u = f . Now we can apply (6) with v (x) = x to nd u (1) = 0. u V implies u(0) = 0 and u solves (1). 2

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Conventions for boundary conditions


Boundary Condition u(x) = 0 u (x) = 0 u(x) + u (x) = 0

Variational Name essential natural combination of both

Proper Name Dirichlet Neumann Robin

Dirichlet b.c. appears in the variational formulation explicitly and it is called essential. Neumann b.c. we call natural because it is incorporated implicitly.

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Ritz-Galerkin Approximation
Let S V be any nite dimensional subspace. Let us consider variational formulation (4) with V replaced by S : uS S : a(uS , v ) = (f, v ) v S. (6)

Theorem. Given f L2 (0, 1), (6) has a unique solution. Proof We will write (6) in terms of basis {i : 1 i n} of S . Let n uS = j =1 Uj j and let Kij = a(j , i ), Fi = (f, i ) for i, j = 1, ..., n. Set U = (Uj ), K = (Kij ), F = (Fi ). Then (6) is equivalent to solving the square matrix equation KU = F. (7)

For square matrix eq. we know that uniqueness is equivalent to existence - this is a nite dimensional system. Nonuniqueness would imply that V
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nonzero such that KV = 0. Write v = Vj j and note that equivalence of (4) and (6) implies that a(v, j ) = 0 j . We mult. this by Vj , take 1 sum over j and get: 0 = a(v, v ) = 0 (v (x))2 dx we conclude that v = 0 v is constant. Since v S V v (0) = 0 and we must have v = 0. Since {i : 1 i n} is a basis of S , this means that V = 0. Thus, the solution to (7) must be unique (and hence must exist). Therefore, the solution uS to (6) must also exist and be unique. 2

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Error Estimate in energy norm


Orthogonality relation between u and uS : subtructing a(uS , v ) from a(u, v ) implies: a(u uS , w) = 0 w S. We dene energy norm as ||v ||E = a(v, v ) v V. (9) (8)

Relationship between energy norm and inner-product is Schwarz inequality: |a(v, w)| ||v ||E ||w||E v, w V. (10)

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Theorem. ||u uS ||E = min ||u v ||E : v S . Proof v S from Schwarz inequality we have: ||u uS ||2 E = a(u uS , u uS ) = a(u uS , u v ) + a(u uS , v uS ) = a(u uS , u v ) ||u uS ||E ||u v ||E w S. (11)

If ||u uS ||E = 0, we can devide by it to obtain ||u uS ||E ||u v ||E v S . If ||u uS ||E = 0, we take inmum over v S : ||u uS ||E inf {||u v ||E : v S }. Since uS S we have inf {||u v ||E : v S } ||u uS ||E , therefore ||u uS ||E = inf {||u v ||E : v S }. 2 This is the basic error estimate for the Ritz-Galerkin method.

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Error estimate in L2 -norm


Let us dene L2 (0, 1)-norm as
1

||v || = (v, v )

1/2

=(
0

v (x)2 dx)1/2

(12)

We want to estimate u uS in this norm. Theorem Assumption inf vS ||w v ||E ||w || implies that ||u uS || ||u uS ||E 2 ||u || = 2 f. Proof For the proof we use duality argument: let w be the solution of w = u uS on [0, 1] with b.c. w(0) = w (1) = 0. Integrating by

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parts, we get ||u uS ||2 = (u uS , u uS ) = (u uS , w ) = a(u uS , w) = a(u uS , w v ) v S ((u uS )(0) = w (1) = 0) (from orthogonality). (13)

Thus, Schwarz ineq. implies that ||u uS || ||u uS ||E ||w v ||E /||u uS || = ||u uS ||E ||w v ||E /||w ||. (14)

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We take now inf over v S to get ||u uS || ||u uS ||E inf vS ||w v ||E /||w ||. 2 We see that L2 -norm can be much smaller than the energy norm provided that w can be approximated well by some function in S .

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