Chapter 4

Parabolic equations
When considering space-time dependent functions, as in the case of parabolic and hyperbolic problems, we ought to interpret a function u(x, t), x , t (0, T ), as follows:

u(x, t) = u(t)(x) : (0, T ) H k ()

for some given integer k 0. That is, for each value of t (0, T ), the function (of the variable x ) that we denote by u(t) belongs to the space H k (). The notation v(t) is introduced to interpret v(t, x) as a family of functions, depending on the parameter t, where for each value of t (0, T ) the corresponding function v(t), whose values are denoted by v(t)(x), belongs to H k (). In this case v(t) must be interpreted as the name of a function, whose independent variable is denoted by x, with v(t)(x) = v(t, x). It is then natural to introduce the following functional spaces:

Lp (0, T ; H k ()) = {v(t) : (0, T ) H k ()

T

such that
0

v(t)

p dt Hk

< },

1p<

endowed with the norm

T

v
Similarly, we dene:

Lp (0,T ;H k )

=(
0

v(t)

1 p dt) p Hk

L (0, T ; H k ()) = {v(t) : (0, T ) H k () such that

with

v(t)

Hk

M}

= sup
0<t<T

v(t)

Hk

and

C 0 ([0, T ]; H k ()) = {v(t) continuous in [0, T ] such that f or any t [0, T ] v(t) H k ()}
with

C0

= max v(t)
0tT

Hk

For example, C 0 ([0, T ]; H k ()) is the space of functions which are continuous with respect to the variable t [0, T ], and are such that for every t [0, T ] the corresponding function v(t) of the variable x belongs to H k (). Several results are known for functions belonging to these spaces, which are useful to derive estimates and inequalities.

4.1 Weak formulations and FEM

We start by considering the simplest parabolic problem: the one-dimensional heat equation, with homogeneous Dirichlet boundary conditions:
2 u u = f t x2

in QT = (0, T ), f L2 (T ) u(x, 0) = u0 (x), x , u0 L2 () u(0, t) = u(1, t) = 0, t>0

where u = u(x, t), x = (0, 1), t (0, T ) is the unknown solution, f = f (x, t) is the given heat source and > 0 is the (known) constant thermal conductivity. To derive the associated weak formulation, we proceed as in the corresponding 1D elliptic problem. Thus we take the test function space V = 1 H0 (0, 1), hence write:
1

u vdx t

2u vdx = x2

f vdx,
0

v V

that is:

d 1
dt

u(t)vdx +

0 0 u(x, 0) = u (x), 0 x 1 0

u v x x dx

1 0

f (t)vdx,

v V

The weak formulation for the above 1D heat equation takes the following form:

given f L2 (QT ), u0 L2 (), nd u L2 (0, T ; V ) C 0 ([0, T ]; L2 ()) such that:

d dt (u(t), v) u(0) = u0

+ a(u(t), v) = (f (t), v)

v V

(4.1)

1 v where (, ) is the L2 () scalar product, and a(u, v) = 0 u x dx is the x bilinear form associated with the elliptic operator of our equation. Recall that u(0) and u0 are the symbols which identify the functions u(x, 0) and u0 (x), x , respectively. We recall that u L2 (0, T ; V ) C 0 ([0, T ]; L2 ()) means that u belongs to L2 (0, T ; V ), but also to the space C 0 ([0, T ]; L2 ()). This means, in particular, that for any given t, u(t), as a function of x , belongs to the 1 space H0 , but also that u(x, t), as a function of t, is continuous in [0, T ]. 1 To say that u(t) H0 means that for each t, u(x, t) and u (x, t) are both x square integrable in . Furthermore, since is a one dimensional domain, 1 the property u(t) H0 allows us to claim that u(x, t) is, with respect to the variable x, a continuous function in [0, 1], vanishing at the endpoints x = 0, 1 d Notice that in (4.1) the derivative dt and the equation itself ought to be dened in the distributional sense, since in general (u(t), v), as a function of t, is only C 0 continuous. (Under the assumptions we have made on the problem data f, u0 ) a sufcient condition for the existence and uniqueness of the solution of problem (4.1) is the continuity, i.e. the boundedness, and the weakly coerciveness of the bilinear form a(, ) in V. This latter property means that there exist constants 0, > 0 such that

a(v, v) + v

2 L2 ()

2 V,

v V

In our case, besides being bounded, a(, ) is actually coercive ( = 0). To apply the FEM to formulation (4.1) we choose:
N

u(x, t) uh (x, t) = uh (t)(x) =

j=1

cj (t)j (x)

where, using the same notation of Chapter 3, we have set N = Nh 1, and 1 {j (x), j = 1, . . . , N } is the Lagrangian basis of the space Xh,0 of the continuous piecewise linear functions, associated with the chosen mesh, vanishing at the space domain boundary points. Recall that we have j (xi ) = ij . Notice also that this last property implies:

cj (t) = uh (xj , t)
For simplicity we assume that u(x, t) is at least C 1 continuous with redcj (t) spect to the variable t. In this case du(t) = u(t) and dt = cj (t) are dened dt 3

in the classical sense and are continuous functions (with respect to the variable t). In such a case the variational equation in (4.1) can be rewritten as follows:

(u(t), v) + a(u(t), v) = (f (t), v)

v V

(4.2)

where, we recall once more, u(t)(x) = t u(x, t). We also assume that u0 C[0, 1] (recall that u(t), uh (t) V are both continuous functions of x [0, 1]). Thus from (4.1) we obtain: fi (t) N 1 N 1

cj (t)
j=1 0

j i dx +
j=1 mij

cj (t) a(j , i ) =
aij 0

f (t)i dx,

i=1:N

If we set:

c(t) f (t) u0 A M
we have:

= (c1 (t), , cN (t))T = (f1 (t), , fN (t))T = (u0 (x1 ), , u0 (xN ))T = [aij ] Stiness matrix of order N = [mij ] Mass matrix of order N

M (t) + Ac(t) = f (t), c c(0) = u0

t>0

(4.3)

The matrix M is symmetric and positive denite. Moreover, since the bilinear form a(, ) is symmetric and coercive, also the matrix A is symmetric and positive denite. Notice that the mass matrix M is always symmetric (besides being positive denite), while the stiness matrix A is symmetric only if the bilinear form is such. Next we consider the following 2D parabolic problem (heat equation), with homogeneous Dirichlet boundary conditions:
u u = f t

u(x, 0) = u0 (x) u(x, t) = 0,

in QT in in , t > 0

(4.4)

with data f L2 (QT ), u0 L2 (). To derive the associated weak formulation, we proceed exactly as in the 1 previous 1D case: we choose V = H0 (), multiply the heat equation by v V , and apply the Green formula for the Laplacian; we obtain:

d (u(t), v) + a(u(t), v) = (f (t), v), dt

4

1 v V H0 ()

(4.5)

where a(u, v) = ( u v)dx. Since this latter is bounded and coercive, the above weak formulation has a unique solution

u L2 (0, T ; V ) C 0 ([0, T ]; L2 ())

This is also the (unique) solution of the original problem (4.4), as long as this is interpreted in the distributional sense. In the more general case:
u t + Lu = f u(x, t) = 0, u
nL (x, t)

u(x, 0) = u0 (x) = 0,

in QT in in D , t > 0 in N , t > 0

(4.6)

where L is the elliptic operator dened at the end of Chapter 2, f L2 (QT ), u0 L2 (), we obtain:

d (u(t), v) + a(u(t), v) = (f (t), v), dt

1 v V HD ()

(4.7)

where a(, ) is the bilinear form associated with the elliptic operator L. We recall that under the assumptions we have made in Chapter 2 on the coecients of the operator L, the form a(, ) is symmetric, bounded and coercive. Thus the above weak formulation has a unique solution

u L2 (0, T ; V ) C 0 ([0, T ]; L2 ())

This is also the (unique) solution of the original problem (4.6), as long as this is interpreted in the distributional sense. All the above problems have been represented in the following canonical (weak) form:

(u(t), v) + a(u(t), v) = (f (t), v), u(0) = u0

v V

(4.8)

with f L2 (T ), u0 L2 (), and a(, ) symmetric and coercive. To apply to it the FEM method, we choose Vh = span{1 , , N } V , N = N (h) being the dimension of Vh , with {Vh } dense in V, and apply to (4.8) the Galerkin method. This gives rise to the following problem discretization: for each t > 0, nd uh (t) Vh such that :

uh (t)vh dx + a(uh (t), vh ) = (f (t), vh ), uh (0) = u0h

vh Vh

(4.9)

where u0h Vh is a convenient approximation of u0 in Vh . For example, when u0 C() we can take u0h coinciding with the interpolant of u0 at 5

the internal mesh nodes; while for a non continuous data u0 L2 () the approximant u0h can dened by the orthogonality relationship

(u0h u0 , vh ) = 0, vh Vh
i.e., by the conditions:

(u0h , i ) = (u0 , i ), i = 1, . . . , N
Recall that u0h Vh implies u0h (x) = N bj j (x); thus the latter condij=1 tion will (uniquely) determine the values of the coecients {bj }. Formulation (4.9) denes a semi-discretization of (4.8), since the time variable t has not yet been discretized. Assuming, for simplicity, u0 C[0, T ], and setting
N

uh (x, t) =
j=1

cj (t)j (x),

j (x ) = j

where {cj (t) = uh (xj , t)} represent the unknown coecients to be determinant, we then have:
fi N N cj (t) a(j i ) = cj (t) j (t)i dx + f (t)i dx, i = 1 : N (4.10) j=1 j=1 aij mij

cj (0) = u0 (xj ), j = 1 : N

Thus also in this more general case the system (4.10) takes the form:

M (t) + Ac(t) = f (t) c c(0) = u0

with matrices M, A symmetric, positive denite and (highly) sparse. This is a linear system of (N ) rst order ordinary dierential equations (ODE) with initial conditions, for whose solution several numerical methods are available. Here we use the so-called method. To construct it, we consider rst a sequence of temporal instants, for simplicity equidistant, tk = kt, k = 0, 1, . . .; then, after considering the dierential equation at the time instant t = tk + t, for a chosen value of 0 1, we discretize the temporal derivative by a simple incremental ratio and replaces the other terms via a linear combination, depending on the parameter , of their values at the times tk and tk+1 :

uk+1 uk h h + A[uk+1 + (1 )uk ] = f k+1 + (1 )f k , h h t

6

01

where we have set

uk c(tk ) = {cj (tk ) = uh (xj , tk )}, h

1. When = 0 we have the explicit Euler method

f k = f (tk )

uk+1 uk h h + Auk = f k h t

which is a rst-order method (with respect to t.) 2. When = 1 we have the implicit Euler method

uk+1 uk h h + Auk+1 = f k+1 h t

of order 1 (with respect to t). 1 3. When = 2 we have the Crank-Nicolson (or trapezoidal) method

uk+1 uk 1 1 h h + A(uk+1 + uk ) = (f k+1 + f k ) h h t 2 2

which is of order 2 with respect to t (O(t2 )). All three methods lead to a linear system for the unknown uk+1 , since h at this stage uk is known. In particular, for = 0 its matrix is: h

1 M, t
while for = 1 its matrix is:

1 M+A t
We recall that the matrix M is invertible since it is positive denite. In general, for any given 0 1 the system will have the following form:

Kuk+1 = gk , h

K=

1 M + A t

where the matrix K does not depend on the time t, but only on the time integration stepsize t. Moreover, since both matrices M, A are symmetric and positive denite, then also K is symmetric and positive denite. Indeed we have: 1 1 KT = MT + AT = M + A = K t t and 1 T xT Kx = x Mx + xT Ax > 0, x = o t 7

We also remark that in general the matrix K is a banded matrix, with a very small bandwidth. Therefore if the space domain mesh does not change with t, this matrix can be factorized once for all at the beginning of the process. In particular we can construct the Cholesky factorization K = LLT , which in this case will give rise to a banded lower triangular matrix L, once for all, and then, for each k , nd the unknown uk+1 by solving the following two h triangular systems:

Ly = gk y LT uk+1 = y uk+1 h h

4.1.1 Stability of method and convergence of the - FEM method

Stability (i) if 1 , the method is unconditionally stable, i.e. it is stable for each 2 t (no matter what is the value of h) (ii) if <
1 2

the method is stable only for

2 (1 2)N h

with Awi = i Mwi , i = 1, , N, 0 < 1 2 N N h h h Since for h suciently small we have N ch2 , this means h

t C()h2 ,
a restriction which may turn out quite severe. Convergence Under the assumption that the data f, u0 and the solution u are suciently smooth, the -FEM method we have dened in the previous section is, in the L2 ()-norm, unconditionally convergent in case (i), and conditionally convergent in case (ii). Moreover, for the associated errors we have the following estimates: if p = 1 max1nN u(tn ) uh (tn ) L2 () C1 h2 + t 2

max1nN u(tn ) uh (tn )

L2 ()

C2 h2 + (t)2

if p =

1 2

where the constants C1 , C2 do not depend on h and t.