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Numerical Methods for the Solution of Partial

Numerical Methods for the Solution of Partial

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Numerical Methods for the Solution of PartialDifferential Equations
Lecture Notes of the Numerical-Methods Course at SISSA, ItalyLuciano Rezzolla
 Albert Einstein Institute, Max-Planck-Institute for Gravitational Physics,Potsdam, Germany
Available also online at
www.aei.mpg.de/
rezzolla
1 May 2007
 
Contents
1 Introduction 3
1.1 Discretization of differential operators and variables . . . . . . . . . . 41.2 Errors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.2.1 Machine-precision error . . . . . . . . . . . . . . . . . . . . 51.2.2 Round-off error . . . . . . . . . . . . . . . . . . . . . . . . . 61.2.3 Truncation error . . . . . . . . . . . . . . . . . . . . . . . . 6
2 Hyperbolic PDEs: Flux Conservative Formulation 93 The advection equation in one dimension (1D) 11
3.1 The 1D Upwind scheme:
O
(∆
t,
x
)
. . . . . . . . . . . . . . . . . 113.2 The 1D FTCS scheme:
O
(∆
t,
x
2
)
. . . . . . . . . . . . . . . . . . 163.3 The 1D Lax-Friedrichs scheme:
O
(∆
t,
x
2
)
. . . . . . . . . . . . . 183.4 The 1D Leapfrog scheme:
O
(∆
t
2
,
x
2
)
. . . . . . . . . . . . . . . . 213.5 The 1D Lax-Wendroff scheme:
O
(∆
t
2
,
x
2
)
. . . . . . . . . . . . . 233.6 The 1D ICN scheme:
O
(∆
t
2
,
x
2
)
. . . . . . . . . . . . . . . . . . 253.6.1 ICN as a
θ
-method . . . . . . . . . . . . . . . . . . . . . . . 27
4 Dissipation, Dispersion and Convergence 31
4.1 On the Origin of Dissipation and Dispersion . . . . . . . . . . . . . . 314.2 Measuring Dissipation and Convergence . . . . . . . . . . . . . . . . 354.2.1 The summarising power of norms . . . . . . . . . . . . . . . 354.2.2 Consistency and Convergence . . . . . . . . . . . . . . . . . 364.2.3 Convergenceand Stability . . . . . . . . . . . . . . . . . . . 39
5 The Wave Equation in 1D 41
5.1 The FTCS Scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . 425.2 The Lax-Friedrichs Scheme . . . . . . . . . . . . . . . . . . . . . . . 435.3 The Leapfrog Scheme . . . . . . . . . . . . . . . . . . . . . . . . . . 445.4 The Lax-Wendroff Scheme . . . . . . . . . . . . . . . . . . . . . . . 46
6 Boundary Conditions 49
6.1 Outgoing Wave BCs: the outer edge . . . . . . . . . . . . . . . . . . 496.2 Ingoing Wave BCs: the inner edge . . . . . . . . . . . . . . . . . . . 516.3 Periodic Boundary Conditions . . . . . . . . . . . . . . . . . . . . . 51i
 
CONTENTS
1
7 The wave equation in two spatial dimensions (2D) 53
7.1 The Lax-Friedrichs Scheme . . . . . . . . . . . . . . . . . . . . . . . 547.2 The Lax-Wendroff Scheme . . . . . . . . . . . . . . . . . . . . . . . 557.3 The Leapfrog Scheme . . . . . . . . . . . . . . . . . . . . . . . . . . 56
8 Parabolic PDEs 63
8.1 Diffusive problems . . . . . . . . . . . . . . . . . . . . . . . . . . . 638.2 The diffusion equation in 1D . . . . . . . . . . . . . . . . . . . . . . 638.3 Explicit updating schemes . . . . . . . . . . . . . . . . . . . . . . . 648.3.1 The FTCS method . . . . . . . . . . . . . . . . . . . . . . . 648.3.2 The Du Fort-Frankel method and the
θ
-method . . . . . . . . 648.3.3 ICN as a
θ
-method . . . . . . . . . . . . . . . . . . . . . . . 668.4 Implicit updating schemes . . . . . . . . . . . . . . . . . . . . . . . 688.4.1 The BTCS method . . . . . . . . . . . . . . . . . . . . . . . 688.4.2 The Crank-Nicolson method . . . . . . . . . . . . . . . . . . 69
A Semi-analytical solution of the model parabolic equation 71
A.1 Homogeneous Dirichlet boundary conditions . . . . . . . . . . . . . 71A.2 Homogeneous Neumann boundary conditions . . . . . . . . . . . . . 74
Acknowledgments
I amindebtedto theseveralstudentswhohavehelpedme withthetypingofthe lecturesnotes into at TEXformat. They are too numerous to be reported here but my specialthanks go to Olindo Zanotti for his help with the hyperbolic equations and to GregorLeiler for his help with the parabolic equations and Chapter 4.

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