Finite element Galerkin methods for multi-phase stefan problems

Bengt Winzell
Department of Mathematics, (Received Decern ber 1982) Linktiping University, S-851 83 Linksping, Sweden

The modelling of heat conduction with phase transitions in terms of integral indentities in Galerkin form is actually based directly on physical concepts like conservation of heat, the conduction law etc. In this way we obtain a formulation which apparently covers general physical situations, for instance with melting and freezing of layered materials. Choosing finite elements in a fixed grid we can still track the moving boundaries by an accurate treatment of the nonlinear enthalpy terms. This makes it possible to use standard finite element packages to build an efficient programme for Stefan-like problems. Key words: mathematical modelling, heat conduction, finite elements

Introduction
The existence of a solution of the Stefan problem was first proved by Kamenomostskaja. Her method of proof was to discretize a differential identity, and to successively refine the mesh to obtain a sequence of functions (defined for all values of space and time variables via interpolation), converging towards a weak solution. Since then the existence of classical solutions (i.e. solutions which are defined and have derivatives pointwise to satisfy the physical laws) have been proved for the onedimensional case. Caffarelli, Cannon, Friedman and Schaeffer have made significant contributions to this evolution. However, there still is no complete theory in the higher dimensional case, and it is known that one cannot always expect a regular surface, separating frozen and unfrozen parts of the medium. Nevertheless, there is a strong demand for computational methods to simulate solidification and a moving boundary for phase shifts in cases in which it seems reasonable to expect a (close to) sharp front with a smooth behaviour. Many methods have been proposed. Some of them are based upon an approximation of the temperature field and assume the existence of a sharp moving front. Others use the enthalpy function, which, however, in the case of a (nearly) sharp front has jump discontinuities. A celebrated formulation is obtained via the Baiocchi-Duvant transformation, i.e. the use of a freezing index:

equations obtained for 0 are possible only when the physical parameters, like the mass density, the heat capacity and the heat conductivity, do not depend explicitly on time or space variables (see Aguirre-Puente and Fremond or Bonnerot and Jamet3). Further information on specific methods is given in the articles by Meyer,4 Fix and Shamsundar or Fox. This paper introduces a somewhat different approach to the subject. Referring to the regularity theory for twophase Stefan problems which so far has only partly been developed our discussion has to be essentially heuristic. However, that is a weakness it shares with most other presentations. What, on the other hand, makes our proposals specific are the efforts we are making to obtain a model which complies with the basic requirements to which we think any computational model for phsyically motivated problems should respond: a comprehensive modelling, spanning from the physics, via the mathematical formulation to the computational code. (i) The underlying mathematical model should describe the physics of the problem. For instance, the model, and also the formulation of the approximation should expresss basic conservation laws and account for relevant phenomena like magazination of heat and Fouriers conduction law for the heat flow, also across interfaces. (ii) In actual engineering cases, materials are usually inhomogeneous (e.g. layered). That means that the physical parameters vary with temperature and in space. The equations should allow for this. (iii) In general, domains are not of simple rectangular or cylindrical form. The choice of a numerical method has to be flexible enough to cope with a more complex geometry. This, of course, makes the finite-element approximations very interesting. (iv) In the case of finite elements, it is desirable to use a Galerkin formulation that actually describes the laws of

qx,f) -

s
0

T(x, 7) dr

as the dependent variable. Thus function is smoother, since the jump singularities of the enthalpy are flattened out by time integration. The disadvantage is, however, that the

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FE for multi-phase Stefan problems:

6. Winzell

physics (see (i)). One also has to ensure that the relevant variables are approximated. For instance, it is more natural to approximate the temperature field in terms of the basis functions than to write the enthalpy function, which usually has a jump discontinuity (or at least a very steep gradient somewhere) as such a combination. (v) In order to be able to use already existing finite element packages it is preferable to have the finite element algorithm in terms of a fixed (in time) element net. If time-dependent finite elements are used, they should only be allowed to move locally, and that motion should be guided by the variables and equations, with the fixed nodal pattern as a reference frame. The methods described here meet all these requirements. In fact we are advocating a finite element Galerkin procedure in a fixed element partition, in which the temperature is approximated as a linear combination of shape functions with time dependant coefficients:

and we are assuming that they in fact occur at a constant temperature T,,, we introduce:
T

H(x, T) =

c(x,r).p(x,r)dr I +&)./4x, To). (T-To) = 1 for it is easily

where X(s) denotes the Heaviside functionX(s) s > 0 and_%(s) = 0 for s < 0. With this notation verified that:

H(x, T(x, t>)dx

The Galerkin formulation will be equivalent to conservation of heat, and the enthalpy function will have its actual discontinuities. (In fact, the variational form means that this non-smooth function is projected on to the finite element space and not just interpolated from its nodal values.)

represents heat, stored in the volume Vunder the given temperature field T. (Note that the level set T(x, t) = To has to be a more or less regular surface in space for each time t in order for this to make sense.) The enthalpy function H(x, T(x, t)) will be one of the fundamental variables in what follows. The case of several temperatures, Ti, at which phase transitions take place, is governed by the use of:
T

H(x,T)= s
X

C(X,7)-P(X,7)d7+CLip(x,Ti)
i

J?( T - Ti)

Physical laws and a corresponding

weak identity

The transportation of heat

We start by listing the laws for conduction and magazination of heat which are relevant to the type of problems we are discussing. Then we pass to the conservation principle and demonstrate how the conservation of heat is equivalent to a certain weak identity (Galerkin variational form) which in a succeeding section will be used as the base for several numerical methods.
The magazination of heat

There are several physical processes by means of which heat can be moved from one place to another. Here, we only consider heat transfer due to conduction. This is expressed by the Fourier law in the form: q=-_.ggradT where h, the heat conductivity, is a function of space and temperature. By grad T we always mean the gradient with respect to the space variables.
Conservation principle

We will account for two means of storing energy: the calorimetric capacity of the body and the latent heat corresponding to the phase shifts. The calorimetric phenomenon can be expressed in incremental form as: dH=c.p.dT for a density H of heat content. Here c is the specific heat (at constant pressure), p is the mass density and dT is the incremental change in temperature T. Of course, c and p are functions of space, and it is generally observed that they also depend on temperature. Hence H will be a function of x and T. The latent heat is not a pointwise differential quantity. On the other hand, we are considering the situation when we expect a sharp moving boundary between two phases. Then it is natural to look at any arbitrary small volume V in space, and to denote by AVthe difference in volume of the phase of higher temperature. The change in heat content within Vdue to phase transition is then:
L .p .AV

The magazination of heat and the transport of energy are interrelated via the principle of preserved energy. Given any volume V in space with sufficiently smooth boundary 2 I/, the change in heat content within V is to be balanced by the heat flow into I/ through a V. This means that:

H(x, T(x, t + At)) dx=

I
V

H(x, T(x, t)) dx

q(x, 7). (-I?) dS I

dt

where fi is the outer normal of a V. This could also be written: [H(x) T(x) f + At>> - H(x, T(x >t>)l dx

s
V

t+At

where L is the latent heat coefficient. Since phase transformations are completed in a small temperature interval,

= s t

dr i av

Vx.T(x,r))~(X,T)dS

(1)

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FE for multi-phase Stefan problems:

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It is this relation which classically is used to produce the generalized heat equation:

s
s2

hgradT.grad$dx

dH
-

at

= div(h grad T)

where i3Hlat = cp(aT/at) whenever H is smooth enough. We are not interested in this second order differential equation, but will rather establish some weak identity which is appropriate for finite element application and also has a solid physical foundation. We claim that the following variational form meets with these requirements: Let 52 be a reasonably smooth domain in which there is defined a continuous temperature field T(x, t), The boundary X2 consists of three parts rr, T, and Ia on which T(x, t) is a given function g(x, t), the heat flux -A(aT/&z) is given as h(x, t), or the heat flux -h(aT/&z) is related to T and an exterior temperature Text(x, t) via -?@T/&z) = F(x, T, Text) respectively. For instance, F(x, T, T,,J could be u(x) . (T - TexJK. Then, provided T satisfies some further regularity conditions, the conservation of heat is equivalent to the identity:

This is easier to verify for the particular choice of Vi as cubes with sides parallel to the axes. In fact, the common side S of two cubes with normal fi, gives rise to the terms:

which can be approximated

by :

s2

.r sI
t+At

tH(x, T(x, t + At)) -f&x,

T(x, t))> . $4~) dw

dr

X(x, T(x, r))gradT(x,

t).grad$(x)

dx

where P is the set consisting of half of each of the two original cubes. Since there are sides with normals fi, along all the axes we obtain the scalar product of grad T and grad $ in an integral over almost all of !2. However, some parts of the dI$s, namely those touching X2, are not a common boundary of two I$s, so we are left with the term $aan h(aT/&z) $ dS which it is possible to express in terms of h and F over rz and r3, but would cause considerable trouble on I, unless 1+5 is zero here. These arguments can essentially be reversed, and this explains the equivalence of conservation of heat and the weak identity. For a detailed discussion of a similar case, see Peetre.7 Discussions of the physical questions can be found elsewhere.2,8

t+At P

JdTJF(x, T(x, 4, Te,t(x,

t
r3
t+At = c J t chc Wx, 7) IL(x) d&

7)) W) d&

Finite element type approximations dimensional case

in the one-

r*

(2)

Frost penetration in a horizontally layered soil with heat capacity, heat conductivity, and moisture content varying with depth and temperature is an example of a situation which naturally leads to the following problem: Find T(x, t) for 0 <x < d, t > 0 satisfying (possibly in a weak sense):
d ; j

for all piecewise differentials, continuous functions $ which are zero on Il. The demonstration of this equivalence principle contains the following steps, detailed verification is left to the interested reader. Let C2be a union of small pieces Vi of (closed) volume, such that the interiors are pairwise disjoint. Then (1) holds true for each Vi, and this is equivalent to the requirement that:

H(x, W, 9) G(x)dx

/ for all piecewise differentiable, continuous functions $ some function $, defined on Cl, and some collection of points Ri E Vi. Then:

ns

-,

/
zG(jii)

/ /

I ! ---._------.--71 /t
/ 1

aVi

$dSaa

X g.

G(x) dS Figure 1

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FE for multi-phase Stefan problems:

d + J 0 + (I. T(0, X(x, T(x,t)) .~(X,f).$(X)dX

B. Winzell

{Co)
t) .
G(O) + e . W)

z(x) . h(x) dx

and
(3)
&(t)= d A(x,?(x,t)).E

= (3 . Text(f)

. IL(O)

for all Lipschitz continuous functions $ on [0, CE]. This corresponds to a radiation condition:

(x,t).$:(x)dx

s
0

--x E (0, t)

= u . (T(0, t) - Text(f))

in which Text(t) is the exterior temperature at the surface of the ground, x = 0. It also models a constant flux Q of heat through the soil at depth x = d. In this one-dimensional case, the sharp moving front performance will be guaranteed if Q is positive, T&t) is negative for t > 0, and the initial temperature profile at time t = 0 is strictly monotonic near the single point x = s(O) where T(x, 0) = 0. Now we will describe two finite element procedures to obtain the approximate solution.
Method I

Hence the system of ordinary is:

differential

equations

for Ti(t)

tf) + K,(f) + uTotf>= 0. Text(t)

i= l,...,N-1

( z(t)+Ki(t)=O dHiv \dt (t) + KN(t) =

(4)

We assume that all physical parameters%= c .p, h and .Z? = L . p are piecewise smooth with a finite number of jump singularities. We also restrict the discussion to a case with a single phase shift temperature, which is the same at all points of the interval: T,, E 0. Moreover, Vand h may have jump singularities as functions of T, but only at
T= 0.

Let 0 = xc, < x1 < . . . < xN = d be a partition, chosen such that any jump of the parameters (in the x-variable) mentioned above occurs at one of the points in the partition. We introduce the finite element space M of Lipschitz continuous functions on [0, d] which are linear on every element [xi _i, xi]. As usual we will utilize the basis {1,5i}~~ for M, consisting of functions such that $i(Xi) = 1 but $i(xj) = 0 when i f j. By a finite element approximative solution of equation (3) we mean a linear combination:

As we will demonstrate in a succeeding section, the dependence of the vector H(t) = (H,(t), . . , HN(t))T on the vector T(t) = (T,(t), . . . , TN(t))Tis continuous only as long as no two consecutive components Ti _I(t) and Ti(t) both are zero. It is a main step in the proof of existence of a solution T(t) to show that a degeneracy of that kind does not occur. We now compute H(t) and K(t) = (K,(t), . . . , Kp~(t))~ for a few very important special cases:

Example

F(X> f) =

g Ti(f) hi(X)
i=O

For this example we assume that%?, h and pare constants and that all the subinterval lengths xi -Xi-i are equal to h = d/N. Assume that at time t, the position s(t) of the frost zone belongs to the specific subinterval [xi -r , xi]. Then C(f) can be computed as:

such that equation (3) holds for J, = $i, i = 0, 1, . . . ,N, and T(x, t) is replaced by T(x, t): In the next se$ion we will investigate the existence of such a solution T(x, t) and the function C((t)describing the position of the frost limit, defined as the point where T(x, t) = 0, i.e. T(g(t), t) = 0. Here we will compute the equations for determining the unknowns Ti(t), and design the time discretization and the numerical procedure for computing the temperature at each time step. The following quantities are essential:
d Hi(t) = H(x,

Tj-l(f)
C((t)=Xj_l+

Tj-I(t)

- q(t)

or
C(t)= Xj -

T(t)
Tj(f) - Tj-I(f)

Moreover, H(T) = M(T) + L(T) where M(T) is the usual application of a mass-matrix to T, i.e.
Mo=~~(?To+ T,)

?(x,

t)).

Jli(x)

dx
Mi=~.(Ti_, + 4Ti + Ti+,)

for 1 <i<N-

MN = $

* (TN-1 + ~TN)

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FE for multi-phase Stefan problems:

B. Winzell

and Lj(t)=O fori<j-1 t +1(t) = 9.h. i s(t) Yh 42

d

then the corresponding elimination from below in rows N up to j to produce the system of two equations for the two unknowns Tin+: and T.+l, surrounded by a simple triangular structure for t he remaining unknowns: +j

-l(x) dx
I

I b
a1 . . . I ai_l b b . . . . b a; b a;_l

To

5-1

Lj-1 =

Li(t) = m!Zh . d+(x) dx s SW

ri
b a

Li
0

TN

and
Li(t)=Zh

(6)
ifi>j where Ti_l and Ti are found from:

Finally, we have: Ko(f) =; . (To(r) - T,(Q)

Ki(t)=i.

(--Ti_r(t)

+ 2Ti(t)-

ri+i(t)) The system of equation (7) may be solved by Newtons method (with variable Newton steps) to give T?+: and Ty. Then equation (6) gives the rest of the vector iiby means of straightforward back substitution from row j - 1 upward, and from row j and down. This method performs very economically, since the computation of ai, . . . , a& anda$_i,..., ah can be done once for all. Of course, sometimes the obtained solution (Tj _-1, q) of (7) no longer satisfies both conditions Ti _-1< 0, Ti > 0. In that case, the position of ?(L~+,) should be in another interval. The obvious strategy to handle this is to change the index j. (See the proof of Theorem 6.)

forO<i<N &J(t) x = -. (-TIC-l(f) h + G(f))

Thus the problem reduces to: IMi.+-&)+O?T=R

(5)

where lJvland & are the (N+l) x (NS 1) matrices, which are always present in the corresponding heat evolution problem without phase transition. To solve equation (5) numerically, we apply an implicit time discretization (here T = T(t,) etc.): [M(T+ - T) + L(T+) - L(T) + At. ikT+l = AN, +I) system of equations for

Example 2

which leaves us with a nonlinear Tn+i: (WI + A&) p+

+ L(Tn+) = fjn+

We note, however, that in this example the nonlinearities occur only in two equations, namely those with indices j- 1 and j:
a b bab 0 0

In a more realistic model, the coefficients %and X have different values in the frozen and the unfrozen part of the domain. If we assume that this is the only dependence on temperature, we still obtain a system of the type (6) where we again are able to compute the values of u: (with 3 and X as in the frozen phase) and a: (with values for the unfrozen case) once for all. The bs above or below the diagonal also have to be changed to the corresponding value in the frozen or unfrozen part. Finally, the nonlinearity in the rows j - 1 and j now includes contributions also from and J%Qf_i and the integrals the termsj%?$~+r,J%?$~ JXJliGj -1, ShJ/j 3and JX$\<r in which @and X change at x = s. If we write c and A+, and c- and X- in the two phases, the quantities H and K assume the following form:
Hi =T. (Ti_l + 4Ti + Ti+l}

ba

b bab . . .

T+li

Lj-1

= ii

for l<i<j-

LIL.h %?+h +p. Ti

b a

The procedure for solving this is much simplified if we first apply Gaussian elimination from above in rows 0 to j - 1,

(Ti-T&j2

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FE for multi-phase

Stefan problems:

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H.

if?

T?_1
6 (q-q_,) 2qq_l

+EZ!Z
6

Method II The finite element approximating space used in the Method I has certain drawbacks. To force the temperature profile to be linear in the particular interval which contains the frost limit point x = s(t), necessarily reduces the accuracy of the solution. Intuitively it is clear that, when the frost penetration is comparatively fast, the position of the moving boundary is accurately simulated, since the latent heat dominates the magazination of energy. However, the actual temperature distribution has (in general) different slopes on the two sides of x = s(t). That means that a good accuracy for s(t) necessarily leads to less precise values for the temperature. Moreover, when the freezing process has come close to a steady state, the only circumstances in which a linear approximation represents T(x, t) within reasonable bounds is when the heat conductivity h is continuous at T = 0 as a function of T. This might lead to inaccuracy for s(t). Examples show that if, say, X = 10 x X, the error in the value of s could be as large as several tenths of the interval length h. This motivates a refinement of the method to allow for approximations T(x, t) which are linear in all intervals [Xi-r, Xi] except the one in which s(t) is situated, In that exceptional interval we now regard s as an extra unknown. For that reason, we also have to introduce an extra equation, arising from using equation (3) with a $ which has support in the interval [xi _l, xi] which contains s (see Figure 2). We now compute the particular system of ordinary equations for T(t) = (T,(t), . , TN(t))T and s(t) which corre-

x ,TF-

I (Tj - q_#

. Ti_l + 4Ti + Ti+I I I

and %+h Hi=~.CTi_,+4Ti+Ti+,}f~h forj<i<N

with similar expressions for i = 0 and i = N, or when j = 1 or N, Furthermore: Ki =: (-Ti_,+2Ti--Ti+l) for I<i<j1

Ki_r

=;.

(-h-q-r . (-h-q

+ 2-q

- h+q+r)

Ki =;

_-1+ 2XTi - h+q+i)

Ki=~(-Ti_,+2Ti_Ti+~)

forj<i<N

with the obvious changes when i = 0, i = N or when J= 1 orj=N. At the end of this section we will provide some results of a numerical computation, based on this model. Problem 3 Let us now look at the case when%, h and 2 have the properties mentioned at the beginning of this section. That means that @and h are smooth functions for T> 0 or T< 0 when restricted to any of the intervals [Xi _I, Xi]. Just as in the two examples discussed above, the alarming nonlinearities, which are due to the L-vector and the jumps in %Y and X where T passes T = 0, only appear in two equations with numbersi - 1 and j. That means that the system of differential equations for T now is in t.he form: WI(T) T + ; (M(T) + L(T)) + O<(T) T = R

where WI and IK depend very smoothly on T. Here l% and L contain the more complicated expressions and have nontrivial components only at positionsj - 1 andi. Two very natural time stepping procedures are: IM(Tn)(Tn + - T) + M(Tn+r) + L(Tnfl) + At . IK(T)Tn+l = At . Rn+ + ti(Tn) (a partially linearized, + L(Tn) (8)

fully implicit method), and:

IM(T)(Tn + - Tn) + M(y +l) + L(Tn+) + ;At IK(T) Tn+ = At . Rn++ + M(T) + L(T) - f At IK(T) Tn (9)

(a partially linearized Crank-Nicolson method). In both cases we arrive at a system like equation (6) where, however, all as and 4s depend on the temperature distribution at the previous time step. This means that we have to re-compute these pivot elements once at each time level.

b
Figure 2 (a), Method I, two unknowns Tj_1 and Tj determine shape of 7 in [x._~,x~] and s is uniquely determined from values of Tj_1 and Tj. (b_ I Method II, three unknowns Tj_1, Tj and s determine shape of T as linear on [Xi_,, sI and [s, XjI.

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sponds to the assumptions 2.

Example 4

on%, h and .S?given in example

Assume that @and X have the constant value@. A,%-, A- in the respective phases, that Zis constant, and that the lengths of all [xi-i, xi] are the same, h = d/N. We will set up the equations in detail for the situation when <f:t>E [Xj_t,Xi] and l<j<N. It is more natural to introduce a variable X to describe s in the following manner: 5((t) = xj _ i + X(t) . h Now, obviously, the equations corresponding to O<i<j-landj<i<Nareexactlyasthosein example 2. We therefore have to compute only the functions Hi _-1, Hi, H, and Ki_l, Ki, K, in the equations:
tii z-+Ki=o

Ifj is 1 or N, we have to make some obvious changes in HO and KO, or in HN and KN. After an appropriate time discretization, it is natural to again apply the partial Gaussian elimination from both sides to reach the situation of equations (6) and (7) but now with a 3 x 3 system for Ti_l, Ti and X:
a;_,(X)

* Ti_l + b(X) * Ti +q

(l-X)=R;_,

6,(X) =R;

- TII+~~(x)TI+~

.(1-3X2+

2X3)

i=j-

1 andj

I
[xj_l,xj],

b(X) Ti_I+a;(X)

Ti+q

(2~X*)=R;I

(10)

a
dt+KS=o This is accomplished by introducing $ =_$i _r , $j and $, in equation (l), and assuming the shape T as indicated in
F@ueJ.Here

$,=(x-~j_l)(xj-x)/h*in
as zero outside that interval:

continued

This results in
Hi__~=<.{Tj_z+(2+3X-X2)Ti_~~

We have used a Newton method to solve this system. If X turns out to be less than zero or greater than one, we have to shift to another interval [xi _r , xi]. Also with this method, and the assumption that the coefficients are constant in each phase, we are able to save computing time since the coefficients in equation (10) are the coefficients obtained in example 2 with the addition of certain polynomial terms which do not depend on the index j. To conclude the section we compare the two methods in a specific case.
Example 5

+~$.(l-x).~+$(l-x)Z
V-h Hj=7.X2.7&+W5h

((4-X-X)

Ti + Tj+l} +F.

(2-X2)

H, =0-h ~.x(2-x)~_r+~$(l-x)2

X(l+X)Ti+P<.(l-3X2+2X3) and

Figure 3

We now present some tables, showing the computed depth of the frost after 10 days in a very moist material, essentially water. Thus means that we give values to #of the order 106, to Pof the order 3 x lOa and h is of the order of about 2. Assuming a temperature at the surface of - 10C and a heat flow from below of 2 W/m* s, we have fixed the physical parameters in such a way that the limit for stability of an explicit method, Af < h2/2 x V/X, now reads: At 5 2.5 x 10 * h2. We will present results for the subinterval length h equal to 10, 1 or 0.1 cm. That means that in the coarsest net, the time step At for an explicit method should be as small as half an hour, going down to just a few seconds for the finest case. Our computations will be done with the implicit Crank-Nicholson method, and use time steps ranging from one hour to two days. The first table presents the results according to Method I: The next table refers to Method II instead In Table I we find experimental evidence for the convergence of the position to a value around 8.91 cm. We also notice, that the error, depending on the mesh-size h, is approximately 17% of the discretization length. It is amazing how Method I appears to be very insensitive to the choice of time step. The most spectacular feature of Table 2 is the accuracy achieved already with the greatest space step, h = 10. Also here we notice high accuracy quite independent of the time step. Our final list of values show that the relative success of Methods I and II is due to the fact that we were treating the full nonlinear system of equations. In fact, for comparison we have also linearized the equations (at the previous time

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FE for multi-phase Stefan problems:

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Table 1 The position of the frost limit (in cm) after 10 days, computed with Method I in the nonlinear Crank-Nicolson version Space sub-interval Time step (h) 1 3 12 24 48 h = 10 10.57 10.60 10.61 10.62 10.62 h=l 9.07 9.07 9.06 8.99 8.94 h =O.l 8.92 8.91 8.90 8.90 8.89 length (cm)

Tab/e 2 The position of the frost limit (in cm) after 10 days, computed with Method II in the nonlinear Crank-Nicholson version Space sub-interval Time step (h) 1 3 12 24 48 h = 10 8.92 8.91 8.91 8.90 8.87 h=l 8.91 8.91 8.88 8.87 8.85 h = 0.1 8.90 8.90 8.89 8.87 8.83 lmgth (cm)

Tab/e 3

The linearized

versions of Method Method I (linearized) 9.51 9.72 50.53 78.13 87.57

I and

Method

II

It is far from obvious that these equations have solutions, since the mapping Td H(T), defined by the integral representations preceding equation (4) in the text, is not a continuous function, much less differentiable at certain values of T. A main ingredient in an existence proof is thus to show that during the progression of time, the T vector stays away from those singularities. We will not be able to do that for equation (11) with the consistent definition of H(T). However, if we replace the enthalpy vector H(T) by a perturbed one, H(T), obtained from H by lumping the mass matrix, then we can guarantee a solution of d@dt + K(T) = R for any future time interval. (As usual, the lumping of a mass matrix means that in the jth equation, the sum XiFisZ(7) $i$i dx is replaced by ?i * JV(T,I $j dx). For the discrete equation (12) however, we will give the proof for the consistent method under the assumption that At exceeds a certain low bound which apparently is essentially the same as the limit for how large At can be in an explicit method. Thus this limitation of At from below is not at all serious, and from the numerical point of view it is even completely negligible, since the reason for an implicit method is exactly the possibility for larger time steps. Our first lemma shows that the inverse of the map Td H(T) or To A(T) is Lipschitz continuous, and therefore equation (11) can be stated as: dH dr+.Y(H)=R (13)

Time step

O-4
1 3 6 12 24

Method I I (linearized) 8.60 8.65 8.79 9.05 Numerical

overflow

step) and computed the values in the next step from an implicit set up, but now with the constant approximate Jacobian. In both cases we used the same mesh-size h = 1 cm and obtained: It is obvious that one has to take small time steps to get an acceptable accuracy. A computation with At = 6 min in the linearized Method I gave s = 9.12 which is comparable with the result in Table 1 for h = 1, which gave s = 9.07. Evidently, a linearized version of Method II is completely out of the question. The experiments performed seem to confirm that Method I, in which s(t) is obtained,from linear interpolation in a rigid finite element approximation, introduces errors which are of the order of some tenths of h. On the other hand, we have also obtained numerical evidence for the drastic increase in accuracy by simulating a broken line shape of the linear element solution in the interval which contains the frost zone boundary. On the existence of a finite element solution

where X(H) is a Lipschitz map. This gives a C,l-solution t,+ H(t) of (13) as long as H(t) stays in the open set (H(T): no,pair (Tj_1, Ti) is (0,O):. The result of Theorem (5) below is that if H is replaced by fi, then there is such a solution of equation (13). To fix notation, recall that H and fi are defined by:

Lemma 1

The maps T,d H(T) and T/J h(T) are strictly monotonic: there is a constant C> 0 such that: {H(T) -H(U)} - (T - U) 2 C * (T - U 1 (16)

The object of the discussion in this section is the system of equations: dH dt+K(T)=R from equation (4) and the discrete version of it:

where - stands for the usual scalar product of vectors in Cl?+r, and IT - U 1is the Euclidean length of T - LJ. An inequality of the form (16) is also true for 8. The following two corollaries are formulated for H but hold equally well for A.

(11)
Corollary 2

H(Tn, Tn+) + At O<(Tn) T+l = H(T) + At . R(T+) (12)

Let T and U both be in the domain of definition of H (i.e. no pair (q-r, q) or (Uj_1, 0;) is (0,O)). Then: H(T) = H(U) =+T = U

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FE for multi-phase Stefan problems: Corollary 3

B. Winzell

The l-l map Te H(T) has a Lipschitz continuous verse on the range (H(T): T admissible}: ,T-U,+H(T)-H(U),

in-

Since, however, T - fi is a combination of {$i(x)> with coefficients (Ti - Ui}, and since the Gram matrix:
d

(17) has a positive least eigenvalue Xmtn, (16) follows with C Z min%(r) * Amin. This proves the lemma for H. However, the perturbed enthalpy function satisfies the same kind of estimate with Xmin replaced by the simpler:
d

where Cis the constant in (12) and the norm, l-1, of the vectors is the Euclidean length. That Corollary 2 follows from Lemma 1 is obvious.
Proof of Corollary 3. By equation

(16) and Schwarz

inequality

we obtain: rnjn

C~lT-U]2<IH(T)-H(U)I~lI-Ul This implies equation (17) after a division by IT - U 1. (11) we can write

$i(x) dx I
0

Proof of Lemma 1. From the definition

That completes the proof.

Remark 4

+ s

LP(x)C(T~-U~)~C/~(X)

dx

(cr&>e) -

{l.lUj$Lj>O)

(i) Lemma 1 and its corollaries are true also for the higher-dimensional case. (ii) Note that the constant C in equation (16) depends on the mesh-size in the partition of [0, d]. In fact, for the esti-. mate of H, the integral Jbd$i dx equals (hi-t + hi)/2 where hi is the length of the sub-interval [xi-1, Xi].Note, however, that Xmin for the Gram matrix s, $i$i dx is >min(hi + hi+,)/6. That shows that equation (16) holds with C of essentially the same order for H and H. Now we state and prove our existence theorems. Theorem 5 Assume that T.&t) < Ofor t > 0, that Q > 0, and that the initial temperature xdT(x, 0) is strictly increasing at its unique zero S(0). Then there is a solution t-T(t) in the sense of Method I with the lumped mass matrix enthalpy formulation. For this solution, H(T(t)) has Lipschitzcontinuous time derivative, and T(t) and f(t) are Lipschitzcontinous.
Remark

L?(x) X(Ti-

Uj) $i(x)

dx

If we denote CTirLi by !? and ClJi$i by 5 this becomes:

i((-

+r)d,Jdx

{F>o)
-

@I>o}

s s

Y(x)

- (r

- i?)(x)dx

2(x)(?d

i?)(x)dx

A more careful analysis, in which it is observed that the Jacobian of H(T) is continuous along the solution, shows that T(t) and s(t) are continuously differentiable. The result for the time discrete case is:
Theorem 6

> mm%(r) * s
0

(F(x) - G(x))~ dx

c {GJo<Fj c
Y(x) Y(x)

Assume that Text(t) and T(*, 0) are as in the previous theorem. Then there is a solution of the implicitly discretized equation (12) based on Method I, provided the time step At exceeds a number A,* h2 where h is the length of the largest subinterval in the finite element discretization.
Remark 7

(F - 6)(x) dx
We can give a more precise estimate of A,. In fact:

- (?-

i?>(x) dx

Ae < sup%(T, x)/6 inf X(x, 7) x.T x,T Proof of Theorem 5. The key to the result is an exact characterization of the set:

Since _Y> 0 and ?- 6 is positive in the second integral and negative in the third, we.find that the left-hand side of equation (16) can be estimated from below by:
d

min%(r)

*
0

@(xj - &c))~ dx

In fact, we will show that the only possibility for the trajectory ta(&i _-1,fii) to escape from the set 9is

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FE for multi-phase Stefan problems:

B. Winzell

through boundary points where Ti _-1< 0 and Ti = 0 or Ti_l = 0 and Ti > 0.

According to the definition hi-1

=%i_1Ti_1+

we have:
Tj)
T,., =0

Li_1(Ti-1, q)

l?j =WjTj + Lj(Tj_1,

T, >O

where G5_r and %j are uniformly and Lj are the evaluations at:
S=

positive, and where Li _-1

ri
Tj - Tj -1

hi
T,

=o. T,.,<o

of
Figure 5 Admissible range ,#

and

and that:
Ki=-~j_~Ti-~-Xj~+~S(Aj-~+Xjj~ < -

s
Obviously,

hjr

Es(t)

hi

one piece of the boundary of *is given by (&i_;(s), Ai(s s E [0, hi], corresponding to the limits of (H&l, Hi) as Tj -1 P 0 and q L 0. This curve, denoted Cj in what follows, has the properties: ass runs through the values from 0 to hi, the curve goes from a point (oj, pi) to (0, 0;) where oj, flj and $ are given by the integrals for Lj_1 and Lj above, such that 0 < /3;< flj and aj > 0. Furthermore, it has a tangent vector in the direction (1 - (S/hi), S/hi) which shows that the slope is horizontal at (ol, 0.) but changes monotonically during the passage to $ (0, /3i) where it is vertical. This means that C is concave. TO complete the picture of X, we give the boundaries Tj _I= 0, Tj > 0 and Tj _I< 0, Tj = 0 which both correspond to rays, originating in the two points (oj, pi) and (0, $j, each parallel to one of the axes. Now assume that as fime progresses, the solution (fij_l(t),Hi(t)) is in &, but approaches the boundary. We will make the further assumption that it approaches the curved boundary Ci of 2. That means that both Tj -I(t) and Tj(t) tend to zero. However, by the maximum principle applied to (To(t), . . . , q-~(t)), and (Tj(f)z . . , TN(~)) respectively, we can conclude that Ti _*(t) < - y < 0 and Tj+l(t) > y> 0 during this process. That means that:
Kj_~=-~j__Ti_~-Xj_~Ti+(Xj-~+~j-~)~-~
>-hj_2(-Y)-El(t)

where er(t) and eZ(t) go to zero as T&I(t) zero. This leads to a contradiction, since:

and Tj(f) go to

dEji
-1

-=-Ki_1~-K<O dt

djli_ --KK;>K>O
dt

which forces the point (Hi _1, Hi) to move in a direction away from the curved boundary, and with a positive speed: By this indirect argument we have proved that for all t > 0, Tj _-1< 0 and Tj 2 0, and they are not both zero at the same time. Thus H and T are well defined, and in the equation (1 l), X(fi) is Lipschitz continuous in the argument fi. That proves that there is a C1>l solution t* h(t). Since T is related to fi via a Lipschitz continuous map, the theorem follows. QED.
Remark 8

An essential information, used in the proof, is the maximum principle for the space discrete heat equation. Since we only know of that principle for the lumped mass matrix case, we see no way to extend Theorem 5 to the case with consistent H. Proof of Theorem 6. Again the proof will rest on a precise description of the set in which the enthalpy components may move. However, we first have to apply a Gaussian elimination procedure to reduce the investigation to a system of two equations for two unknowns, i.e. a situation like equation (6). Now (12) takes the form:

L,

F
c0.P;) Figure 4 Curvesf-=%~_,M,

(a,

P,)
(c~,~+At(x,+a)>T,+(c,,,--atX1)~l+Lo(Te,T,)

= HO(T) + At - u - Ttxxt
(ci,i_l-At hi)Ti_,+(ci,i+At(xi+xi+,j)Ti

+(Ci,i+1-At.x,+ljTi+l+Lj(Ti-1,Ti,Ti+l>

.
L,.,

= Hj(T)

i=
TN+

l,...,N-1
TN

(cIv,N_-~ - At&v)
L&s))
+

(CN,N+A%I)

LN(TN-~,

TN) = H&I)

+ At * Q

(18)

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FE for multi-phase

Stefan problems:

B. Winzeil

Here the coefficients matrix:

ck,z are the entries of the Gram

strictly negative for i<j1, while it has the other sign as i > j. Hence the right-hand side of equation (19) satisfies:
H1<Cj_l,j_1Tin_l+Cj_l,jTin+Lj_1(Tin_l,Tin)

H;>Cj,j_1Tin_l+Cj,jrin+Lj(Tin_l,

Ty)

b
and
Xk ik = s Xk-l h-,* h(x) ?(x, tn))

inequalities which are even more strengthened by the positivity of Q and the negative values of Text. Thus the point (Hi, Hi) lies strictly inside the plane set: ~={(Cj-~,j-~T~+~j-~,jT~+Lj-~,~j,j-~T~ dx +Cj,j_1T1+Cj,jTz+Lj): T1<O,Tz>O)

Assume that At > A, - h2. Then:

ci,i _I-

Atxi G
xi-l Xi

which is bounded by the curve Vj: s4 (Lj -I(S), Lj(S)) as in the proof of Theorem 5, and by two rays with the positive slopes Cj,j _l/Cj _l,j -1 and cj,j/Cj _l,j, originating in the two points (~j, Fj) and (0,/3;) respectively. On the other hand, the left-hand-side of equation (19) defines a map of the set {(T1, Tz): T1<O, T2>O} into the HiHi-plane via: &=A j_lTl+ (Cj_l,j-At~j)T*+Lj_,(T,,T*)

X s
xi-l

hi2 X dx ~~{hil-h2~h;~~}~0

( i;:=(~j,j_1_Atxj)T,+AjT,+Lj(T,,T,) with the range equal to a set 2, bounded in part by the same curve %j as we used for 3 and by two rays #I and tz with slopes: (Cj,i -Iand Ai/(cj_l,j - Ati,) = - l/r;_, At$)/Aj -1 = - yj

if A, is as in Remark 7. Similarly, it follows that: Ci,i+lAtxi+l G 0

That means that the tri-diagonal matrix in the linear part of equation (18) has non-positive off diagonal elements, and thus during the elimination procedure, rows are added, never subtracted. More precisely, there are two sequences yN and ~h_~, YL_~, . . . , -ybof non-negative Yl>YZ> ..> numbers, such that in the elimination from above, yi times the row with index i - 1 is added to the ith row, while in elimination from below, 7: times the row with index i+ 1 is added to the ith row. NOW let S = F(fn) E [Xi -1, Xi]. We will first try to find a solution Tn+ such that the new position Sn+ of the frost limit is in the same interval. In case that fails we will have to try another interval as described later on. A closer look at equation (18) shows that for i > j we have the same term:
%+l ~pll/i I xi-l

The map (T,, T2) + (&T, s&) is one-to-one according to Lemma 1 and Corollary 2, and since the Gaussian elimination procedure is reversible. That means that the set .@ is in a one-to-one correspondence with {(T1, T,): T1< 0, T2> 0). To ensure that the picture in Figure 7, showing an open truncated sector, is correct, we have to prove that rj< l/ r; _-1. However, from the iteration formula: Athi+l-Ci+l,i
7i+1= Ci,i+

At@i + Xi+,) - yi(Athi-ci_l,i)

and the first estimate:

Atho
Yl =

cl, o u

co,,+ AtA,+

<I

dx

it follows inductively

that yi < 1 for all i. Similarly one

on both sides in equation i. (Note that here we use the assumption that Tn+ can be found with Sn+ still in [~i_~, xi].) Thus let all those terms cancel. We then arrive at.the equations in the unknowns T1 and T, for determining Tyfi and Tyl: Aj_1T1+(Cj_l,j_At~j)T,+Lj_1(T1,T2)=H, (Cj,j_l+Atkj)T~+A~T2+Lj(T1,Tz)=H; where: I HI =Hj_l(Tn) +rj-l Hi = Hj(T) ++... + rj-1Mj-2(Tn) + ... (20) (19)

. * y1 (M,,(Tn) + At . T&z) + yjMj+l(T) + ..

* YL-~ * (M&T) + At * Q)

(21)
Figure 6 Set.%? of (Hi, H;) in equation (19)

Once more we have used the notationMi(Tn) for the quantityci,i_lT~_l+ci,iT~ +~i,i+lTF+l. Note that Mi is

Appl.

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FE for multi-phase

Stefan problems:

B. Winzell

where the role of (Hi, Hi) in equation by: HT=Hi(Tn) + ri *Hi

(19) was taken over

( HC = (Hi - Hi (T))/Y~ + L$+I We now have a situation where the left-hand-side equation (23) defines a new set $* analogously before. We will now prove two statements which means that we either obtain a solution with Fn+ or we can go on to the next interval [Xj+r,~~+~]: (i) (H$, Ht) is below the new ray C; (ii) @>/3. 1+i

(24) of to 2 together E [Xj,Xj+i]

In the figure below we indicate the meaning of(i) and (ii). To prove (i), we have to show that:
Figure 7
Range 3&f map (.@,.@I

proves that the 7: are less than unity, and that is enough to obtain the inequality for the slopes of *I and tz. We know that (H,, Hi) E 2. Then we can distinguish three possibilities. The point can belong to the set &or one of the rays cl or c*, it can lie below the ray pi, or it can be above c,. The first case, (If;, II;) E A?, is the simplest. It_means that there are values T1 < 0 and T2> 0 such that Hi = H; and E?; = Hi for these values.,-Thus with Ti_: = T1 and T;+i = T2 we start the back substitution upwards and downwards respectively in the reduced system of equations. This produces negative values for q+ where i <j - 1 and positive ones for i > j, because the off-diagonal elements in the matrix are non-positive, and the right-handside data have the corresponding sign. This provides us with a solution Tn+ . (If (Hi, H;) happens to be on one of the rays j1 or ta, we get a similar result with the only difference being that precisely one of the variables Tin+: and Ty+l is zero .) We now turn to the case when (Hi, Hi) is below ti . (The case when it is above c2 is analogous and will not be discussed.) Thus assume that:
xj+1

is negative. However, this is: (H, - Hj)/Yi + (Hi + 7jHI - aj +i)/~j = (Hi + Y~H;- aj +i)/~; Since, however:

which also equals /3;, we obtain the final expression:

cY$ti dx = 0; (22) I 5 which is the condition for being under the ray tr . Now return to equation (18) and try j + 1 instead of j. This time we cannot let the term: H; + TiYiH; <
xj+2 YJIi+l I dx

which by equation (22) is a negative quantity. The proof of (ii) is immediate, since Hz is the sum of flj+i and the righthand-side of equation (21) with j replaced by j + 1. That last term, however, is positive. To conclude the proof we have to make up for the case that the change of the interval for the frost penetration P+l (which by (i) proved above is a monotone shift) eventually leads out of domain 0 <x < d. This is to be interpreted as if the whole interval has become frozen, and the system (18) corresponds to the usual heat equation for determining the temperature in [0, d] which by now is negative everywhere. (The shift in the other direction cannot lead to a similar result, since Text < 0.) QED.

Xi

on the right-hand-side be annihilated by an equal term to the left. The cancellation of terms is thus carried out only from equation j + 2 and down. After another Gaussian elimination, this time from above all the way down to row number j and from the last row upwards only to the row with index j + 1, we get a new nonlinear system for the determination of Ty+l and Ty+:): AiTl+(Ci,i+1_Atxi+l)T,+Li(T~,Tz>=H: (Ci+l,i_Afxi+l)T,+AJ+,+Li+l(T1,T*)=H,* (23)
Figure 8
Point (HI*, k/T) is either in.@ large negative number

HI
or is below CT with H:

* a

340

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FE for multi-phase

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Numerical method in two space variables

In the previous section we could give existence results for the discrete solution in a one-dimensional situation. Since there is very little known about regularity of the moving boundary in the higher dimensional cases, we cannot hope for such a successful outcome of the discussion to be presented next. As an example, consider a cube of ice, melting from all sides. Then of course, a moving boundary eventually collapses, and the simulation of that is not possible to do with piecewise linear approximation for T if one expects a sharp limit between the two phases. On the other hand, the method we will give is a very resourceful tool in numerical experiments and engineering design. One only has to remember the limitations of its applicability. As before, the equations for the finite element approximation are of the form: IMT+-d(L)+IKT=R (25)

that the corner in Fat which $i = 1 now has become (0, 1). It is easily verified that: ?PJli dx = 2 * area(Y) nF * i&h

I (no)

s {F>o}nY

where WI and IK are square matrices which depend on T, and L is a vector-valued function of T representing the latent heat. Th right-hand-side vector R depends on t, and carries information about the boundary data. In what follows we will design means of computing WI, IK and L, and we will also suggest methods to solve equation (25) numerically. We will limit the discussion to linear triangular elements in a fixed partition of fi into triangles & However, at the end of the section we will introduce a method analogous to Method II in the one-dimensional case. The most important and sensitive term in equation (25) is L. It has no correspondence in available standard finite element program packages. Since it also is the essential nonlinear term in the equations, we will require a (at least approximate) Jacobian for Newton iterations or linearization. By definition we have : Li(T) = Eli f {T>O) dX (26)

(27) where 0 is linear with values zero at (0, 0) and (1, 0),but $(O, 1) = 1. Furthermore, r is the linear function which has the values of Tatcorresponding corners. The integral on the right-hand-side of equation (27) can be explicitly computed, and we actually present the typical form of the result as equations (28) and (29) below. The computation Of Mii and Kii is much simpler, and is possible to do, almost entirely with the use of routines aleady in the package. In fact, let %=@ +V2 and h = hi + X2where% and Xi are smootbin the temperature variable and%? and X2 are (for e&h fixed x) step functions in T. The integrals S UJli$j and I hiV$iV$j are computed as usual. However, to compute S q2$i$j or $ X2V$iV$j, we go to the subroutines with new coordinates for the corners. In fact, sincew2 and h2 have jump discontinuities, we can assume thatg and h2 are zero on the set where T > 0, and assume different values on

{T>O}.
Thus, in case {T> 0}rl rfor a particular triangle is again a triangular set, we go to the routine for computation of JJ$i$i with the coordinates of the corners of that subtriangle. We also observe that since VQi * V$i is constant in z the integral:

V$iV$i

* (proportion where

of Y

T> 0)
$j when ,Yn

The final case is to compute JJyw2$i ,-

{T> O>is not triangular. However, that integral is:

Now the support of hi is the union of a small number of trangles, and it is enough to study the integral over one of them. Let us first do an affine transformation of c_oordinates so that ygoes over into a standard triangle Ywith right angle and two sides of unit length. This can be done so

where both integrals are over triangular

Observation 7. The map T-L(T) Lipschitz continuous in the set:

domains.

from lR N to IR N is of T, corresponding

{T E [RN: no three components

to the corners of one triangle, are all zero) the map is Cl except at points T where two components, corresponding to two nodes on a common edge of a triangle, are both zero. In fact, the components are sums of terms of the form: 1+or T: (29)
CT, T212 . VI To)

TO

+
(Tz-

TZ
ToXT2Td

To-T2 T1-T,

(28)

Figure 9

In these, the values of To, Tland T2 are such that in the differences occurring in the denominators, the T-values are

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FE for multi-phase

Stefan problems:

B. Winrell

of different sign. However, the degenerate situation occurs when two values simultaneously approach zero. In equation (28) we have to look at the case when T2 L 0 and T, 7 0. The degeneracy is observed in the two expressions: r-7 2
12
T2 TI

and
CT2

TIT;
Td2

the initial steps, when there is no frozen part. That allows the linearized model (which now believes that it is solving a usual heat equation without latent heat) to push the zero level of T way down into the domain. With a more careful code such misconduct could be avoided. In the case we now are dealing with, large savings of computer time can be gained with the following method: First compute: A n+l = m(Tn) + g (Tn) (32)

These are obviously continuous, and their gradients are bounded by fi and 1 respectively. Thus the expression in equation (28) has a gradient which is bounded as long as To stays negative while T1 and T2 go to zero. The estimate, however, becomes meaningless as all three variables degenerate. For the term in equation (29) we will only have to consider T1 & 0 and T2 P 0 while To < 0. That is the worst case. The degenerating factor is T:/(T, - T2), which, however, has a gradient bounded by 4. The expression in equation (29) is thus Lipschitz continuous as long as one variable stays away from zero. Finally, we have to investigate the behaviour of equations (28) and (29) as two variables are separated from zero, but the third varies in a small interval centred about the origin. Actually, when a change of sign occurs, we pass from one case to another. It is more tedious than difficult to show the Lipschitz continuity of the derivations. The seemingly discouraging discovery in observation 7 that the map Td L(T) is not even differentiable for such natural values of T as those when T = 0 along an edge of a triangle, is lightened by the following result, which is proved exactly as Lemma 1 and its corollaries. Lemma 8 Let H(T) = WIT + L(T) (where WI has been frozen to its values at some To). Then the map Tel H(T) is strictly monotonic, and the inverse map from the range of H (over admissible vectors T) to [RN is Lipschitz continuous. This lemma shows that as long as the trajectories of: dH -+ dt (H) = R (30)

where aL/aT is the Jacobian of L. Then solve for Tn+ in: [A + Ato<( Tn+i = An+'Tn+ AtR(t,+,) (33)

This is a completely linearized model and thus loses accuracy. On the other hand, stability properties for implicit methods are retained. Actual computation indicates that the direct solution of equation (25) with an ordinary differential equation solver is very time consuming and perhaps cannot be justified. For the method based on equations (32) and (33) we will present computations results in Example 9 below. The method of equation (3 1) is under development. It has some very interesting links to fast algorithms in linear algebra. We will briefly discuss that issue later in the paper.
Example 9

stay in the range of H (over admissible T) they can be continued in time. Here x(H) = KT(H) is Lipschitz continuous in H, and that guarantees existence of solutions of equation (30) at least locally. One way of solving equation (25) in time is of course to use a standard method for ordinary differential equations. However, since the regularity of the functions involved is so low, it hardly pays to apply otherwise efficient multiple step methods. Another method is the classical way of solving evolution equations: set up an implicit finite difference scheme in time. We suggest the following version in which IM and IK are frozen at the values of T at a previous time step, while for L(Tn+) we have nonlinearities to deal with: [lM(Tn) + Ato<( Tn+)+ L(Tn+) (31)

In the following example s2 is a rectangle consisting of zonesof different materials. To simplify the description let fi = ai U a2 where a, is a rectangle inside r;2 in which V, X and L have values different from those in !& = fi\fir. In R there is given an initial positive temperature distribution, and on aR we have d radiation type condition on the top: +T/&z) + u(T - Text) = 0, a Neumann (symmetry) condition aT/an = 0 along the sides, and a prescribed flux Q = - h(aT/an) on the bottom. Figure 11 shows the actually computed frost lines at their positions at the end of five consecutive weeks with freezing temperatures Text on the surface, the heat conductivity in Rr being only 2% of that in f12, and with latent heat equal to zero in fli. The time steps taken are 20 min to 1 h, there were slightly less than 300 triangles, but the actual computing time on a DEC-10 computer was approximately 3 min. Remark 10 In order to solve equation (3 l), a number of iterations have to be performed. To reduce the actual computing

= IM(T) T + L(Tn) + AtR(t,+,)

Since L is merely Lipschitz continuous, an iteration cannot use the exact Newton step, but has to minimize the error in the search direction given by that vector. Earlier in the paper some results were presented for the linearized one-dimensional model. As was observed, the accuracy is not nearly as good as for the nonlinear versions. However, a large portion of its failure comes from

I
1

Q*
a, separated into two zones of different

Figure 70 Domain characteristics

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FE for multi-phase Stefan problems: 10 -

6. Winzell

and such that the variables become reordered correspondingly. Then perform a Gaussian elimination of all linear parts of the matrix and perform the Newton iteration only in the lower right corner, in the block of nonlinear equations. This is similar to the idea presented earlier in the paper where we carried out a Gaussian elimination from both sides to solve a small 2 x 2 nonlinear system of equation. A version which is even more analogous to that idea is the next: (iii) During the process of time stepping, do a renumbering of the variables now and then, if necessary, to have the matrix of equations consist of three sections: one upper part of linear equations corresponding to variables on one side of the moving boundary, one lower part of linear equations corresponding to the other side of the frost limit, and a middle section of essentially nonlinear equations related to nodes close to the free boundary. Do Gaussian elimination from above and from below to obtain the following structure of a triangular form on each side of a block of nonlinear equations.
Remark 11

I. -5

-2

--3

___A

___

_ 5

Figure

17

Frost limit at different

time instances

KXX

xxx

xxx xxx
xxx

xxx
xxx xxx xxx xxx xxx xxx

or

The amazingly great improvements which are observed in experiments with Method II urges us to try a twodimensional generalization. What we should aim for is of course a globally piecewise linear approximation of T which locally, i.e. in triangles which contain the moving boundary, is altered to more accurately account for the natural jump in grad T along T = 0. Let us look at a triangle F where the values of temperature are of different signs at different corners. Then there h has to be a curve representing T= 0 across 37 In particular, on two of the sides there has to be a point at which T= 0. As usual, we had better look at the situation after a transformation to a standard triangle, so that the points A and B (cf. Figure 13) lie on the x- and y-axes. Now introduce two new unknowns r and s which label the points on the triangle edges where T = 0. Since it is desirable still to have T piece-wise linear along the edges in order to match the approximations in adjacent triangles, and since it is easy to handle linear approximations of (T = 0} inside 3 we suggest the following shape function for T:

xxx
xxx

xxx
Figure 12

(;+;- 1) .(TIx
%,Y) =

+ T,y)

in Yia (;+;1) +(1--x--y)

time we should take advantage of the sparsity of the nonlinearities. In fact, only those equations which correspond to nodes in a triangle where there is a frost limit are nonlinear. That means that the matrix for the linear system that has to be solved in each step of the iteration is subject to a low rank perturbation. In fact, the number of columns and rows that are affected is of the order 4N. To handle this efficiently, we have to choose between several ideas of computation: (i) Update the factorizations of the matrix by algorithms like those presented by Gill, Golub, Saunders. (ii) Perform a pivoting of the matrix such that iteration starts, all equations that are nonlinear means of Murray and before any appear last,

in Fe where r, s, 5, and ye, To, T1 and T2 refer to Figure 14.

Figure

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343

FE for multi-phase
T2

Stefan problems:

B. Winzell

lY

(0.1) To
Figure 14

.X

(r,O)

T,

case we expect an O(h)-error in L2-norm. The examples show that this is the best possible for Method I. The proof of such estimates will be the subject of a forthcoming paper. (ii) The convergence of the discrete solution of Method I for the one-dimensional case is a consequence of uniform Hr-estimates. (iii) The existence of a weak solution of equation (2) has never been proved in published papers. However, in a personal communication Kamenomostskaya has demonstrated the proof. (iv) Many of the difficulties of the computations in the situation in this paper is of course due to the jump in enthalpy. It is known that, in actual physics, there never is a sharp moving boundary, i.e. there is a small interval of temperatures in which the enthalpy rises rapidly. Since, however, the rise is so steep, the numerics for a continuous model are as bad. Moreover, one would like to know whether problems with small intervals of temperature for the freezing have the sharp phase transition problem as limiting case, also in terms of the convergence of the solutions. In all circumstances, our point of view is that in most cases of engineering physics with Stefan-type problems, it is the temperature profile that is to be considered the primary variable, and the enthalpy should be computed as accurately as possible from the temperature distribution. Of course, in case of finite elements, one can use the generalized enthalpy vector with components:

f&(f) =
Figure (---I 75

f-G>T(x, t>>rcli(x)dx

Support

of special

test functions.

{T = O} is shown by

because of Lemma 8. Note that this relates to projections on to the finite element space; it is not an interpolation!

Acknowledgement
Since we now have a number of new unknowns, we have to give more equations. These are obtained from the weak identity, equation (2) by using test functions $ which are built up from the form: Jl(G9 =.Y . (1 -x-v> The computations referred to in this paper were all made on the DEC-10 system at Linkoping University. The preparation of the paper was completed during the authors stay at the University of Kentucky.

in the standard triangle and with support in the union of two adjacent triangles sharing one boundary point where T = 0. (When the edge in question is along aa, the support of the corresponding $ is just one triangle, and $ does not vanish on .F fl an.) All integrals can be computed explicitly. They give rise to expressions involving logarithms and rational functions of r and s, etc. It might also be more convenient to use quadrature formulae for an approximate computation of terms which go into the mass and stiffness matrices. The computation of the latent heat component, however, should be carried out exactly. The investigation of this method is a top priority for the immediate future.

References
Kamenomostskaya, S. L. On Stefans problem, Math. Sbornik 1965,53 (95), 485 Aguirre-Puente, J. and Fremond, M. Frost propagation in wet porous media. Lecture notes in Mathematics 503, Springer Verlag, Berlin, 1976, pp. 137-147 Bonnerot, R. and Jamet, P. Numerical computation of the free boundary for the two-dimensional Stefan problem by space-time finite elements,J. Comp. Phys. 1977,25. 163 Moving boundary problems (Ed. by Wilson, Solomon and Boggs), Academic Press, New York, 1978 Meyer, G. H. The method of lines for Poissons equations with moving or free boundary conditions Fox, L. The Stefan problem: moving boundaries in parabolic equations. In A survey of numerical methods for partial differential equations (Ed. GladweU, I. and Wait, R.), Clarendon Press, Oxford, 1979 Peetre, J. Hilbert space methods for partial differential equations, Monografia no. 1, Universidade de Brasilia, Instituto Central de Matemzitica, 1965 Elliott, G. M. and Ockendon, J. R. Weak and variational methods for moving boundary problems, Pitman Books, London, 1982 Curtis, P. E. M. Numerical analysis of Stefan problems, Thesis, University of Oxford, 1977

Conclusions
(i) This paper does not contain any error estimates. In fact, for the higher dimensional case it should be as difficult to prove accuracy as it is to say something about regularity for the moving boundary. However, in the one-dimensional

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