Viscous splitting approximation of mixed hyperbolic-parabolic convection-diffusion equations

Summary. We first analyse a semi-discrete operator splitting method for nonlinear, possibly strongly degenerate, convection-diffusion equations. Due to strong degeneracy, solutions can be discontinuous and are in general not uniquely determined by their data. Hence weak solutions satisfying an entropy condition are sought. We then propose and analyse a fully discrete splitting method which employs a front tracking scheme for the convection step and a finite difference scheme for the diffusion step. Numerical examples are presented which demonstrate that our method can be used to compute physically correct solutions to mixed hyperbolic-parabolic convection-diffusion equations. Received November 4, 1997 / Revised version received June 22, 1998     

Nonlinear scheme with high accuracy for nonlinear coupled parabolic-hyperbolic system

A nonlinear finite difference scheme with high accuracy is studied for a class of two-dimensional nonlinear coupled parabolic-hyperbolic system. Rigorous theoretical analysis is made for the stability and convergence properties of the scheme, which shows it is unconditionally stable and convergent with second order rate for both spatial and temporal variables. In the argument of theoretical results, difficulties arising from the nonlinearity and coupling between parabolic and hyperbolic equations are overcome, by an ingenious use of the method of energy estimation and inductive hypothesis reasoning. The reasoning method here differs from those used for linear implicit schemes, and can be widely applied to the studies of stability and convergence for a variety of nonlinear schemes for nonlinear PDE problems. Numerical tests verify the results of the theoretical analysis. Particularly it is shown that the scheme is more accurate and faster than a previous two-level nonlinear scheme with first order temporal accuracy.     

Entropy production in second-order three-point schemes

Summary We discuss semi-discrete three-point finite difference methods for the numerical solution of system of conservation laws which are second order accurate in space in the sense of truncation error. Particular discretizations of the numerical entropy flux associated with such schemes are studied clarifying the importance of this discretization with regard to the production of numerical entropy. Using a numerical entropy flux constructed in a canonical way we prove that a wide class of finite difference methods cannot satisfy a discrete entropy inequality. Together with a well known result of Schonbek concerning Lax-Wendroff type schemes our result indicates a strong relationship between entropy production and oscillations in numerical solutions.The research reported here was supported by a grant from the Stiftung Volkswagenwerk, Federal Republic of Germany. It is a part of the doctoral thesis of the above author, Universität Stuttgart, 1991.     

One-sided stability and convergence of the Nessyahu–Tadmor scheme

Non-oscillatory schemes are widely used in numerical approximations of nonlinear conservation laws. The Nessyahu–Tadmor (NT) scheme is an example of a second order scheme that is both robust and simple. In this paper, we prove a new stability property of the NT scheme based on the standard minmod reconstruction in the case of a scalar strictly convex conservation law. This property is similar to the One-sided Lipschitz condition for first order schemes. Using this new stability, we derive the convergence of the NT scheme to the exact entropy solution without imposing any nonhomogeneous limitations on the method. We also derive an error estimate for monotone initial data.     

Energy-conserved splitting FDTD methods for Maxwell’s equations

In this paper, two new energy-conserved splitting methods (EC-S-FDTDI and EC-S-FDTDII) for Maxwell’s equations in two dimensions are proposed. Both algorithms are energy-conserved, unconditionally stable and can be computed efficiently. The convergence results are analyzed based on the energy method, which show that the EC-S-FDTDI scheme is of first order in time and of second order in space, and the EC-S-FDTDII scheme is of second order both in time and space. We also obtain two identities of the discrete divergence of electric fields for these two schemes. For the EC-S-FDTDII scheme, we prove that the discrete divergence is of first order to approximate the exact divergence condition. Numerical dispersion analysis shows that these two schemes are non-dissipative. Numerical experiments confirm well the theoretical analysis results.     

Maximum norm error estimates of efficient difference schemes for second-order wave equations

The three-level explicit scheme is efficient for numerical approximation of the second-order wave equations. By employing a fourth-order accurate scheme to approximate the solution at first time level, it is shown that the discrete solution is conditionally convergent in the maximum norm with the convergence order of two. Since the asymptotic expansion of the difference solution consists of odd powers of the mesh parameters (time step and spacings), an unusual Richardson extrapolation formula is needed in promoting the second-order solution to fourth-order accuracy. Extensions of our technique to the classical ADI scheme also yield the maximum norm error estimate of the discrete solution and its extrapolation. Numerical experiments are presented to support our theoretical results.     

Convergence rates for the approximations of the solutions to algebraic Riccati Equations with unbounded coefficients: case of analytic semigroups

Summary Approximations schemes for the solutions of the Algebraic Riccati Equations will be considered. We shall concentrate on the case when the input operator is unbounded and the dynamics of the system is described by an analytic semigroup. The main goal of the paper is to establish the optimal rates of convergence of the underlying approximations. By optimal, we mean such approximations which would reconstruct the optimal regularity of the original solutions as well as the best approximation properties of the finite-dimensional subspaces. It turns out that, if one aims to obtain the optimal rates in the case of unbounded input operators, the choice of the approximations to the generator, as well as to the control operator, is very critical. While the convergence results hold with any consistent approximations, the optimal rates require a careful selection of the approximating schemes. Our theoretical results will be illustrated by several examples of boundary/point control problems where the optimal rates of convergence are achieved with the appropriate numerical algorithms.Research partially supported by the NSF Grant DMS-8301668 and by the AFOSR Grant AFOSR 89-0511     

On exact dimensional splitting for a multidimensional scalar quasilinear hyperbolic conservation law

A dimensional splitting scheme is applied to a multidimensional scalar homogeneous quasilinear hyperbolic equation (conservation law). It is proved that the splitting error is zero. The proof is presented for the above partial differential equation in an arbitrary number of dimensions. A numerical example is given that illustrates the proved accuracy of the splitting scheme. In the example, the grid convergence of split (locally one-dimensional) compact and bicompact difference schemes and unsplit bicompact schemes combined with high-order accurate time-stepping schemes (namely, Runge–Kutta methods of order 3, 4, and 5) is analyzed. The errors of the numerical solutions produced by these schemes are compared. It is shown that the orders of convergence of the split schemes remain high, which agrees with the conclusion that the splitting error is zero.     

MULTILEVEL AUGMENTATION METHODS FOR SOLVING OPERATOR EQUATIONS

We introduce multilevel augmentation methods for solving operator equations based on direct sum decompositions of the range space of the operator and the solution space of the operator equation and a matrix splitting scheme. We establish a general setting for the analysis of these methods, showing that the methods yield approximate solutions of the same convergence order as the best approximation from the subspace. These augmentation methods allow us to develop fast, accurate and stable nonconventional numerical algorithms for solving operator equations. In particular, for second kind equations, special splitting techniques are proposed to develop such algorithms. These algorithms are then applied to solve the linear systems resulting from matrix compression schemes using wavelet-like functions for solving Fredholm integral equations of the second kind. For this special case, a complete analysis for computational complexity and convergence order is presented. Numerical examples are included to demonstra     

Error estimate for the upwind finite volume method for the nonlinear scalar conservation law

In this paper we estimate the error of upwind first order finite volume schemes applied to scalar conservation laws. As a first step, we consider standard upwind and flux finite volume scheme discretization of a linear equation with space variable coefficients in conservation form. We prove that, in spite of their lack of consistency, both schemes lead to a first order error estimate. As a final step, we prove a similar estimate for the nonlinear case. Our proofs rely on the notion of geometric corrector, introduced in our previous paper by Bouche et al. (2005) [24] in the context of constant coefficient linear advection equations.     

Least-squares spectral element method for non-linear hyperbolic differential equations

The least-squares spectral element method has been applied to the one-dimensional inviscid Burgers equation which allows for discontinuous solutions. In order to achieve high order accuracy both in space and in time a space–time formulation has been applied. The Burgers equation has been discretized in three different ways: a non-conservative formulation, a conservative system with two variables and two equations: one first order linear PDE and one linearized algebraic equation, and finally a variant on this conservative formulation applied to a direct minimization with a QR-decomposition at elemental level. For all three formulations an h/p-convergence study has been performed and the results are discussed in this paper.     

An entropy satisfying MUSCL scheme for systems of conservation laws

Summary. For the high-order numerical approximation of hyperbolic systems of conservation laws, we propose to use as a building principle an entropy diminishing criterion instead of the familiar total variation diminishing criterion introduced by Harten for scalar equations. Based on this new criterion, we derive entropy diminishing projections that ensure, both, the second order of accuracy and all of the classical discrete entropy inequalities. The resulting scheme is a nonlinear version of the classical Van Leer's MUSCL scheme. Strong convergence of this second order, entropy satisfying scheme is proved for systems of two equations. Numerical tests demonstrate the interest of our theory. Received March 28, 1995 / Revised version received June 17, 1995     

Convergence of a finite volume scheme for nonlinear degenerate parabolic equations

Summary. One approximates the entropy weak solution u of a nonlinear parabolic degenerate equation by a piecewise constant function using a discretization in space and time and a finite volume scheme. The convergence of to u is shown as the size of the space and time steps tend to zero. In a first step, estimates on are used to prove the convergence, up to a subsequence, of to a measure valued entropy solution (called here an entropy process solution). A result of uniqueness of the entropy process solution is proved, yielding the strong convergence of to{\it u}. Some on a model equation are shown. Received September 27, 2000 / Published online October 17, 2001     

Finite volume transport schemes

We analyze arbitrary order linear finite volume transport schemes and show asymptotic stability in L ¹ and L ^∞ for odd order schemes in dimension one. It gives sharp fractional order estimates of convergence for BV solutions. It shows odd order finite volume advection schemes are better than even order finite volume schemes. Therefore the Gibbs phenomena is controlled for odd order finite volume schemes. Numerical experiments sustain the theoretical analysis. In particular the oscillations of the Lax–Wendroff scheme for small Courant numbers are correlated with its non stability in L ¹. A scheme of order three is proved to be stable in L ¹ and L ^∞.     

On convergence of numerical schemes for hyperbolic conservation laws with stiff source terms

We deal in this study with the convergence of a class of numerical schemes for scalar conservation laws including stiff source terms. We suppose that the source term is dissipative but it is not necessarily a Lipschitzian function. The convergence of the approximate solution towards the entropy solution is established for first and second order accurate MUSCL and for splitting semi-implicit methods.

     

Space–time discontinuous Galerkin finite element method for shallow water flows

A space–time discontinuous Galerkin (DG) finite element method is presented for the shallow water equations over varying bottom topography. The method results in nonlinear equations per element, which are solved locally by establishing the element communication with a numerical HLLC flux. To deal with spurious oscillations around discontinuities, we employ a dissipation operator only around discontinuities using Krivodonova's discontinuity detector. The numerical scheme is verified by comparing numerical and exact solutions, and validated against a laboratory experiment involving flow through a contraction. We conclude that the method is second order accurate in both space and time for linear polynomials.     

Locally linearized fractional step methods for nonlinear parabolic problems

This work deals with the efficient numerical solution of a class of nonlinear time-dependent reaction-diffusion equations. Via the method of lines approach, we first perform the spatial discretization of the original problem by applying a mimetic finite difference scheme. The system of ordinary differential equations arising from that process is then integrated in time with a linearly implicit fractional step method. For that purpose, we locally decompose the discrete nonlinear diffusion operator using suitable Taylor expansions and a domain decomposition splitting technique. The totally discrete scheme considers implicit time integrations for the linear terms while explicitly handling the nonlinear ones. As a result, the original problem is reduced to the solution of several linear systems per time step which can be trivially decomposed into a set of uncoupled parallelizable linear subsystems. The convergence of the proposed methods is illustrated by numerical experiments.     

Analysis of a symplectic difference scheme for a coupled nonlinear Schrödinger system

In general, proofs of convergence and stability are difficult for symplectic schemes of nonlinear equations. In this paper, a symplectic difference scheme is proposed for an initial-boundary value problem of a coupled nonlinear Schrödinger system. An important lemma and an induction argument are used to prove the unique solvability, convergence and stability of numerical solutions. An iterative algorithm is also proposed for the symplectic scheme and its convergence is proved. Numerical examples show the efficiency of the symplectic scheme and the correction of our numerical analysis.     

Global extrapolation with a parallel splitting method

Extrapolation with a parallel splitting method is discussed. The parallel splitting method reduces a multidimensional problem into independent one-dimensional problems and can improve the convergence order of space variables to an order as high as the regularity of the solution permits. Therefore, in order to match the convergence order of the space variables, a high order method should also be used for the time integration. Second and third order extrapolation methods are used to improve the time convergence and it was found that the higher order extrapolation method can produce a more accurate solution than the lower order extrapolation method, but the convergence order of high order extrapolation may be less than the actual order of the extrapolation. We also try to show a fact that has not been studied in the literature, i.e. when the extrapolation is used, it may decrease the convergence of the space variables. The higher the order of the extrapolation method, the more it decreases the convergence of the space variables. The global extrapolation method also improves the parallel degree of the parallel splitting method. Numerical tests in the paper are done in a domain of a unit circle and a unit square.Supported by the Academy of Finland.     

Minimal dissipation hybrid bicompact schemes for hyperbolic equations

New monotonicity-preserving hybrid schemes are proposed for multidimensional hyperbolic equations. They are convex combinations of high-order accurate central bicompact schemes and upwind schemes of first-order accuracy in time and space. The weighting coefficients in these combinations depend on the local difference between the solutions produced by the high- and low-order accurate schemes at the current space-time point. The bicompact schemes are third-order accurate in time, while having the fourth order of accuracy and the first difference order in space. At every time level, they can be solved by marching in each spatial variable without using spatial splitting. The upwind schemes have minimal dissipation among all monotone schemes constructed on a minimum space-time stencil. The hybrid schemes constructed has been successfully tested as applied to a number of two-dimensional gas dynamics benchmark problems.