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A spline method for secondorder singularly perturbed
boundaryvalue problems
Tariq Aziz , Arshad Khan
Department of Applied Mathematics, Faculty of Engineering and Technology, Aligarh Muslim University,
Aligarh 202002, India
Received 18 July 2001; received in revised form 7 March 2002
Abstract
We consider a dierence scheme based on cubic spline in compression for secondorder singularly perturbed
boundary value problem of the form
c,
= (x),
= (x),
Corresponding author.
Email addresses: amt01ta@amu.up.nic.in (T. Aziz), akhan@bharatmail.com (A. Khan).
03770427/02/$  see front matter c 2002 Elsevier Science B.V. All rights reserved.
PII: S0377 0427(02)00479 X
446 T. Aziz, A. Khan / Journal of Computational and Applied Mathematics 147 (2002) 445452
The approximate solution of boundaryvalue problems with a small parameter aecting highest
derivative of the dierential equation is described. It is a wellknown fact that the solution of sin
gularly perturbed boundaryvalue problem exhibits a multiscale character. That is, there is a thin
layer where the solution varies rapidly, while away from the layer the solution behaves regularly
and varies slowly. This class of problems has recently gained importance in the literature for two
main reasons. Firstly, they occur frequently in many areas of science and engineering, for example,
combustion, chemical reactor theory, nuclear engineering, control theory, elasticity, uid mechanics
etc. A few notable examples are boundarylayer problems, WKB Theory, the modelling of steady and
unsteady viscous ow problems with large Reynolds number and convective heat transport problems
with large Peclet number. Secondly, the occurrence of sharp boundarylayers as c, the coecient
of highest derivative, approaches zero creates diculty for most standard numerical schemes.There
exist a variety of techniques for solving singularly perturbed boundary value problems [2,5,9,10,12,
1416]. The numerical solution of two point boundaryvalue problems using splines has been con
sidered by many authors; see for example, [1,3,6,7,9,11,15] and references therein.
In the present paper, we have derived a uniformly convergent uniform mesh dierence scheme
using cubic spline in compression for the solution of (1). The main idea is to use the condition
of continuity as a discretization equation for (1). The advantage of our second and fourthorder
methods is higher accuracy with the same computational eort. Kadalbajoo and Bawa [9] give a
secondorder method which becomes a special case of our method. The use of cubic splines for the
solution of (regular) linear two point boundaryvalue problems was suggested by Bickley [4]. Later,
Fyfe [7] discussed the application of deferred corrections to the method suggested by Bickley, by
considering the case of (regular) linear boundaryvalue problems. Our scheme for the corresponding
problem (i.e. c = 1, 0) reduces to the Bickley scheme.
However, it is well known since then that the cubic spline method of Bickley gives only O(h
2
)
convergent approximations. But cubic spline itself is a fourthorder process [13]. Hence, it is natural
to look for a fourthorder spline solution. In comparison with the nite dierence methods, spline
solution has its own advantages. For example, once the solution has been computed, the information
required for spline interpolation between mesh points is available. This is particularly important
when the solution of the boundaryvalue problem is required at various locations in the interval
[a, b]. Analysis of the method shows that it has secondorder convergence for arbitrary z
1
, z
2
such
that z
1
+ z
2
=
1
2
and fourthorder convergence for z
1
=
1
12
, z
2
=
5
12
. In Section 2, we have given
derivation of the method and in Section 3 convergence of the method has been discussed. Section 4
contains numerical illustrations and results are compared with the method of Kadalbajoo and Bawa
[9] to demonstrate the eciency of the method.
2. Derivation of the method
Let x
0
= a, x
N
= b, x
i
= a + ih, h = (b a)}N.
A function S(x, t) of class C
2
[a, b] which interpolates ,(x) at the mesh point x
i
depends on a
parameter t, reduces to cubic spline in [a, b] as t 0 is termed as parametric cubic spline function.
The Spline function S(x, t) = S(x) satisfying in [x
i
, x
i+1
], the dierential equation
S
(x) + tS(x) = [S
(x
i
) + tS(x
i
)]
(x
i+1
x)
h
+ [S
(x
i+1
) + tS(x
i+1
)]
(x x
i
)
h
, (3)
where S(x
i
) = ,
i
and t 0 is termed as cubic spline in compression.
T. Aziz, A. Khan / Journal of Computational and Applied Mathematics 147 (2002) 445452 447
Solving the linear secondorder dierential equation (3) and determining the arbitrary constants
from the interpolatory conditions S(x
i+1
) = ,
i+1
, S(x
i
) = ,
i
we get, after writing z = h t
1}2
S(x) =
h
2
z
2
sin z
M
i+1
sin
z(x x
i
)
h
+ M
i
sin
z(x
i+1
x)
h
+
h
2
z
2
(x x
i
)
h
M
i+1
+
z
2
h
2
,
i+1
+
(x
i+1
x)
h
M
i
+
z
2
h
2
,
i
. (4)
Dierentiating Eq. (4) and letting x tend to x
i
, we obtain
S
(x
i
+) =
,
i+1
,
i
h
+
h
z
2
1
z
sin z
M
i+1
(1 z cot z)M
i
.
Considering the interval (x
i1
, x
i
) and proceeding similarly, we obtain
S
(x
i
) =
,
i
,
i1
h
+
h
z
2
(1 z cot z)M
i
1
z
sinz
M
i1
.
Equating the left and righthand derivatives at x
i
, we have
,
i
,
i1
h
+
h
z
2
(1 z cot z)M
i
1
z
sin z
M
i1
=
,
i+1
,
i
h
+
h
z
2
1
z
sin z
M
i+1
(1 z cot z)M
i
. (5)
This leads to the tridiagonal system
h
2
(z
1
M
i1
+ 2z
2
M
i
+ z
1
M
i+1
) = ,
i+1
2,
i
+ ,
i1
, (6)
where
z
1
=
1
z
2
z
sin z
1
, z
2
=
1
z
2
(1 z cot z), M
i
= S
(x
i
), i = 1(1)N 1.
The condition of continuity given by (6) ensures the continuity of the rstorder derivatives of
the spline S(x, t) at interior nodes.
Substituting cM
i
=(x
i
),
i
+q(x
i
),
i
+r(x
i
), in Eq. (6) and using the following approximations for
rst derivative of ,:
,
i
=
(,
i+1
,
i1
)
2h
, (7)
,
i+1
=
(3,
i+1
4,
i
+ ,
i1
)
2h
, (8)
,
i1
=
(,
i+1
+ 4,
i
3,
i1
)
2h
, (9)
448 T. Aziz, A. Khan / Journal of Computational and Applied Mathematics 147 (2002) 445452
we arrive at the following linear system which may be solved to get the approximations ,
1
, ,
2
, . . . ,
,
N1
of the solutions ,(x) at x
1
, x
2
, . . . , x
N1
:
c + z
1
h
2
q
i1
3
2
z
1
h
i1
z
2
h
i
+
z
1
2
h
i+1
,
i1
+ (2c + 2z
2
h
2
q
i
+ 2z
1
h
i1
2z
1
h
i+1
),
i
+
c + z
1
h
2
q
i+1
z
1
2
h
i1
+ z
2
h
i
+
3
2
z
1
h
i+1
,
i+1
= h
2
(z
1
r
i1
+ 2z
2
r
i
+ z
1
r
i+1
), i = 1(1)N 1 (10)
with ,(a) = :
0
, ,(b) = :
1
, where
i
= (x
i
), q
i
= q(x
i
), r
i
= r(x
i
), i = 0(1)N.
Remark 2.1. For z
1
=
1
6
, z
2
=
1
3
, our method reduces to the Kadalbajoo and Bawas method [9] for
uniform mesh.
Remark 2.2. For c = 1 (regular problem), uniform mesh and 0, our method reduces to the
wellknown Bickley scheme [4] for the regular problem ,
2z
2
z
1
0
z
1
2z
2
z
1
0 z
1
2z
2
z
1
0
z
1
2z
2
z
1
0 z
1
2z
2
and C = (c
1
, 0, 0.........0, c
N1
)
T
,
T. Aziz, A. Khan / Journal of Computational and Applied Mathematics 147 (2002) 445452 449
where
c
1
=
c z
1
h
2
q
0
+
3
2
z
1
h
0
+ z
2
h
1
z
1
2
h
2
:
0
h
2
z
1
r
0
,
c
N1
=
c z
1
h
2
q
N
+
z
1
2
h
N2
z
2
h
N1
3
2
z
1
h
N
:
1
h
2
z
1
r
N
.
Also, we have
A
Y + h
2
BR = 1(h) + C, (12)
where
Y =(,(x
1
), ,(x
2
), . . . , ,(x
N1
))
T
denotes the exact solution vector, and 1(h)=(1
1
(h), 1
2
(h), . . . ,
1
N1
(h))
T
is the local truncation error vector, where
1
i
(h) = (1 + 12z
1
)
ch
4
12
,
(4)
(
i
) + (1 + 30z
1
)
ch
6
360
,
(6)
(
i
), x
i1
i
x
i+1
(13)
for any choice of z
1
and z
2
whose sum is
1
2
, except z
1
=
1
12
, z
2
=
5
12
. For the choice z
1
=
1
12
, z
2
=
5
12
,
1
i
(h) =
ch
6
240
,
(6)
(
i
), x
i1
i
x
i+1
. (14)
From (11) and (12), we get
A(
Y Y) = 1(h),
AE = 1(h), (15)
where E =
Y Y = (e
1
, e
2
, . . . , e
N1
)
T
.
Clearly,
S
1
=
N1
)=1
a
1, )
= c + 2z
2
h
2
q
1
+
3
2
z
1
h
0
z
1
2
h
2
+ z
1
h
2
q
2
+ z
2
h
1
,
S
i
=
N1
)=1
a
i, )
= h
2
(z
1
q
i1
+ 2z
2
q
i
+ z
1
q
i+1
) = h
2
B
i
, i = 2(1)N 2,
S
N1
=
N1
)=1
a
N1, )
= c + z
1
h
2
q
N2
+
z
1
2
h
N2
z
2
h
N1
3
2
z
1
h
N
+ 2z
2
h
2
q
N1
.
In the following cases:
(i) (x) 0, q(x) 0,
(ii) (x) 0, q(x) 0,
(iii) (x) 0, q(x) 0,
(iv) (x) 0, q(x) 0,
(v) (x) 0, q(x) 0.
450 T. Aziz, A. Khan / Journal of Computational and Applied Mathematics 147 (2002) 445452
we can choose h suciently small so that the matrix A is irreducible and monotone [8]. It follows
that A
1
exists and its elements are nonnegative.
Hence from Eq. (15), we have
E = A
1
1(h). (16)
Also, from the theory of matrices we have
N1
i=1
a
k, i
S
i
= 1, k = 1(1)N 1, (17)
where a
k, i
is the (k, i) element of the matrix A
1
.
Therefore,
N1
i=1
a
k, i
6
1
min
16i6N1
S
i
=
1
h
2
B
i
0
6
1
h
2
B
i
0

(18)
for some i
0
between 1 and N 1.
From (13), (16) and (17) we have
e
)
=
N1
i=1
a
), i
1
i
(h), ) = 1(1)N 1 (19)
and therefore
e
)
 6
Kh
2
B
i
0

, ) = 1(1)N 1, (20)
where K is constant independent of h.
Therefore
E = O(h
2
). (21)
However, for the choice of parameters z
1
=
1
12
, z
2
=
5
12
,
e
)
 6
Kh
4
B
i
0

, ) = 1(1)N 1 (22)
Therefore E = O(h
4
).
We summarise the above results in the following theorem:
Theorem. The method given by Eq. (10) for solving the boundary value problem (1)(2) for
q(x) 0 and suciently small h gives a secondorder convergent solution for arbitrary z
1
, z
2
with
z
1
+ z
2
=
1
2
and a fourthorder convergent solution for z
1
=
1
12
, z
2
=
5
12
.
4. Numerical illustrations and discussion
We have implemented our method on one example which supports the theoretical analysis for
second and fourthorder convergence. The maximum error at the nodal points, max ,(x
i
) ,
i
 is
tabulated in Tables 1 and 2 for dierent values of the parameters c, N, z
1
and z
2
.
T. Aziz, A. Khan / Journal of Computational and Applied Mathematics 147 (2002) 445452 451
Table 1
Maximum absolute error for secondorder method
z
1
and z
2
c = 10
5
c = 10
8
c = 10
10
N = 100 N = 200 N = 250
1}18, 4}9 1.44463E 03 6.22342E 02 6.27380E 02
1}14, 3}7 1.52823E 02 8.33647E 02 8.39115E 02
1}24, 11}24 1.00616E 02 4.50702E 02 4.55413E 02
1}30, 14}30 1.67078E 02 3.52995E 02 3.57527E 02
1}6, 1}3 1.1971E 01 2.6683E 01 2.6793E 01
Table 2
Maximum absolute error for fourthorder method
z
1
= 1}12, z
2
= 5}12 c = 10
3
c = 10
4
N = 50 1.1727E 04 8.3186E 03
N = 100 7.9662E 06 7.4138E 04
N = 200 8.1975E 07 4.7790E 05
Example 4.1 (Doolan et al. [5]).
c,
= , + cos
2
(x) + 2c
2
cos(2x),
,(0) = ,(1) = 0.
The exact solution is given by
,(x) = [exp((1 x)}
c) + exp(x}
c)]}[1 + exp(1}
c)] cos
2
(x),
since 0 and q 1 0, the boundary layer exists at both ends.
The numerical calculations were carried out on a ALPHAVMS 3000}4 AS Computer at the
Computer Centre, Aligarh Muslim University, Aligarh, using double precision arithmetic in order to
reduce the roundo errors to a minimum.
Acknowledgements
The authors would like to thank the referee for the valuable suggestions and comments.
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