Parabolic Stability Handout PDF

Review
Stability: Explicit Method

Stability: Crank-Nicolson
Summary
S TABILITY FOR PARABOLIC S OLVERS
Dr. Johnson
School of Mathematics
Semester 1 2008
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Dr. Johnson MATH65241

Review
Summary
O UTLINE
1 R EVIEW
2 S TABILITY: E XPLICIT M ETHOD
Explicit Method as a Matrix Equation
Growing Errors
Stability Constraint
3 S TABILITY: C RANK -N ICOLSON

Crank-Nicolson in a Matrix
Bounding the Growth of Errors
Matrix Polynomials
4 S UMMARY
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Review
Summary
F IRST AND S ECOND O RDER M ETHODS FOR

PARABOLIC PDE S
The explicit method is first order and has a stability

constraint.
The implicit method is first order and unconditionally stable.
But requires a direct solver.
The Crank-Nicolson is the average of the two schemes above.
It is second order.
It is unconditionally stable.
Multidimensional scheme require careful consideration.
ADI scheme may be preferred to Crank-Nicolson since it only
requires a 1D direct solver.
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Review
Growing Errors
Summary
Consider the first order explicit scheme which can be written

as
wjk +1 = βwjk−1 + (1 − 2β)wjk + βwjk+1 ,
for 1 ≤ i ≤ n − 1, with w0 , wn given.

We can write the above in matrix form as
 
(1 − 2β) β

 β (1 − 2β) β 

w k +1 =
 .. .. ..  k
w
 . . . 
 β (1 − 2β) β 
β (1 − 2β)
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Review
Growing Errors
Summary
S OME U SEFUL R ESULTS FOR M ATRIX N ORMS

1 ||cA|| = |c | ||A|| for a scalar c
2 ||AB || ≤ ||A|| ||B ||.
3 Gerschgorin’s first theorem
The largest of the moduli of te eigenvalues of the square matrix A

cannot exceed the largest sum of the moduli of the elements along
any row or column.
ρ(A) ≤ ||A||1 or ||A||∞
4 Gerschgorin’s circle theorem and the norm of matrix A
If the eigenvalues λs are estimated by the circle theorem, then the

condition |λs | ≤ 1 is equivalent to ||A||1 or ||A||∞ . university-logo

Review
Growing Errors
Summary
T HE G ROWTH OF E RRORS - E IGENVALUES
Now we have
wk +1 = Awk
Recall that if we begin some error e0 , the error at the kth step
can be written
ek = Ak e0 .
Now express the initial error e0 as a linear combination of the
eigenvectors of A
n
e0 = ∑ cs v s .
s =1
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Review
Growing Errors
Summary
T HE G ROWTH OF E RRORS - E IGENVALUES
Then we may write the error at the kth step as

n
ek = ∑ cs λks vs .
s =1
where λs are the eigenvalues of the matrix A.

This shows that errors will not increase exponentially if
max |λs | ≤ 1, s = 1, 2, . . . , n − 1.
s
This is equivalent to the condition
||A|| ≤ 1 university-logo

Review
Growing Errors
Summary
C ONSTRAINT
Stability requires ||A|| ≤ 1 for the explicit method.

The infinity norm ||A||∞ is defined as
n
||A||∞ = max ∑ |ai,j |
j
i
for an n × n matrix A.
For the explicit method we have
||A||∞ = β + |1 − 2β| + β
The scheme is therefore stable when
2β + |1 − 2β| ≤ 1. university-logo

Review
Growing Errors
Summary
C ONSTRAINT
We can evaluate the inequality
2β + |1 − 2β| ≤ 1.
to find that
1
||A|| ≤ 1 ⇐⇒ β ≤ .
2
Then the size of the timestep must satisfy
∆x 2
∆t ≤
2κ
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Review
Matrix Polynomials
Summary
The Crank-Nicolson scheme may be written as
− βwjk−+11 + (2 + 2β)wjk +1 − βwjk++11 =

βwjk−1 + (2 − 2β)wjk + βwjk+1
for j = 1, 2, . . . , n − 1.
We can express this in matrix form as
Bwk +1 = Awk
So that the iteration matrix defined from
wk +1 = B −1 Awk
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Review
Matrix Polynomials
Summary
T HE M ATRICES A AND B
 
(2 − 2β) β

 β (2 − 2β) β 

A=
 . .. . .. . .. 

 
 β (2 − 2β) β 
β (2 − 2β)
 
(2 + 2β) −β

 −β (2 + 2β) − β 

B=
 . . . . . . 
 . . . 

 − β (2 + 2β) −β 
−β (2 + 2β)
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Review
Matrix Polynomials
Summary
We may also write them as
A = 2In−1 + βSn−1 ,
B = 2In−1 − βSn−1 .
where  
−2 1
 1 −2 1 
 
S=
 .. .. .. 
 . . . 

 1 −2 1 
1 −2
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Review
Matrix Polynomials
Summary
The Crank-Nicolson scheme is defined by the equation
wk +1 = B −1 Awk
so the scheme will be stable if
||B −1 A|| ≤ 1, or max |λs | ≤ 1

s
This time we will work with the eigenvalues of the matrices,

rather than norms.
We need to show that the maximum eigenvalue of B −1 A is
less than unity.
How to find the eigenvalues?
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Review
Matrix Polynomials
Summary
E IGENVALUES AND P OLYNOMIALS
Recall that λ is an eigenvalue of the matrix S, and x a

corresponding eigenvector if
Sx = λx.
Thus for any integer p
S p x = S p −1 Sx = S p −1 λx = · · · = λp x.
Hence the eigenvalues of S p are λp with eigenvector x.
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Review
Matrix Polynomials
Summary
E IGENVALUES AND P OLYNOMIALS
Extending this result, if P (S ) is the matrix polynomial
P (S ) = a0 S n + a1 S n−1 + · · · + an I
then
1
P (S )x = P (λ)x, and P −1 ( S ) x = x
P (λ)
Finally if Q (S ) is any other polynomial in S then we see that
Q (λ)
P −1 ( S ) Q ( S ) x = x.
P (λ)
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Review
Matrix Polynomials
Summary
B ACK TO C RANK -N ICOLSON ...
If we let
P = B (Sn−1 ) = 2In−1 − βSn−1 ,
and
Q = A(Sn−1 ) = 2In−1 + βSn−1
then the eigenvalues of the matrix B −1 A are given by
2 + βλ
µ=
2 − βλ
where λ is an eigenvalue of the matrix Sn−1 . university-logo

Review
Matrix Polynomials
Summary
E IGENVALUES OF A T RIDIAGONAL M ATRIX
It can be shown that the generic tridiagonal matrix T where

 
b c
 a b c 
 
. . . .
T = . .. ..
 

 
 a b c 
a b
has the eigenvalues
√
½ ¾
sπ
λs = b + 2 ac cos , s = 1, 2, . . . , n − 1
n+1
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Review
Matrix Polynomials
Summary
E IGENVALUES OF B −1 A
Hence the eigenvalues of Sn−1 are

n sπ o
λs = −4 sin2 , s = 1, 2, . . . , n − 1
2n
and so the eigenvalues of B −1 A are
2 − 4β sin2
© sπ ª
2n ª
µs = , s = 1, 2, . . . , n − 1
2 + 4β sin2
© sπ
2n
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Review
Matrix Polynomials
Summary
C ONSTRAINT ON C RANK -N ICOLSON
For stability, we require
max |µs | ≤ 1,
s
Clearly we can choose any value of beta and this will be

satisfied.
Hence the scheme is unconditionally stable.
If maxs |µs | ∼ 1 the solution may be prone to ringing.
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Review
Summary
Errors will propogate through the solution;
ek = Ak e0 .
We can bound the errors by the equivalent conditions
||A|| ≤ 1, or max |λs | ≤ 1

s
Using the norm condition, we find the explicit scheme requires
1
β≤
2
and from eigenvalue analysis the Crank-Nicolson scheme has
no restrictions.
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Review

Stability: Explicit Method

S TABILITY FOR PARABOLIC S OLVERS

Dr. Johnson MATH65241

3 S TABILITY: C RANK -N ICOLSON

Dr. Johnson MATH65241

F IRST AND S ECOND O RDER M ETHODS FOR

The explicit method is first order and has a stability

Dr. Johnson MATH65241

Consider the first order explicit scheme which can be written

wjk +1 = βwjk−1 + (1 − 2β)wjk + βwjk+1 ,

for 1 ≤ i ≤ n − 1, with w0 , wn given.

Dr. Johnson MATH65241

S OME U SEFUL R ESULTS FOR M ATRIX N ORMS

The largest of the moduli of te eigenvalues of the square matrix A

ρ(A) ≤ ||A||1 or ||A||∞

4 Gerschgorin’s circle theorem and the norm of matrix A

If the eigenvalues λs are estimated by the circle theorem, then the

Dr. Johnson MATH65241

T HE G ROWTH OF E RRORS - E IGENVALUES

Dr. Johnson MATH65241

T HE G ROWTH OF E RRORS - E IGENVALUES

Then we may write the error at the kth step as

where λs are the eigenvalues of the matrix A.

This is equivalent to the condition

Dr. Johnson MATH65241

Stability requires ||A|| ≤ 1 for the explicit method.

The scheme is therefore stable when

Dr. Johnson MATH65241

We can evaluate the inequality

Dr. Johnson MATH65241

The Crank-Nicolson scheme may be written as

− βwjk−+11 + (2 + 2β)wjk +1 − βwjk++11 =

Dr. Johnson MATH65241

Dr. Johnson MATH65241

We may also write them as

Dr. Johnson MATH65241

The Crank-Nicolson scheme is defined by the equation

||B −1 A|| ≤ 1, or max |λs | ≤ 1

This time we will work with the eigenvalues of the matrices,

Dr. Johnson MATH65241

E IGENVALUES AND P OLYNOMIALS

Recall that λ is an eigenvalue of the matrix S, and x a

Dr. Johnson MATH65241

E IGENVALUES AND P OLYNOMIALS

Extending this result, if P (S ) is the matrix polynomial

Finally if Q (S ) is any other polynomial in S then we see that

Dr. Johnson MATH65241

B ACK TO C RANK -N ICOLSON ...

P = B (Sn−1 ) = 2In−1 − βSn−1 ,

Q = A(Sn−1 ) = 2In−1 + βSn−1

then the eigenvalues of the matrix B −1 A are given by

where λ is an eigenvalue of the matrix Sn−1 . university-logo

Dr. Johnson MATH65241

E IGENVALUES OF A T RIDIAGONAL M ATRIX

It can be shown that the generic tridiagonal matrix T where

has the eigenvalues

Dr. Johnson MATH65241

Hence the eigenvalues of Sn−1 are

Dr. Johnson MATH65241

C ONSTRAINT ON C RANK -N ICOLSON

For stability, we require

Clearly we can choose any value of beta and this will be