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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 Fourier’s 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

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

0307-904X/83/05329-16/$03.00 0 1983 Butterwoxth &Co (Publishers)

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Appt. Math. Modelling,

1983,

Vol. 7, October

329

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. we are considering the situation when we expect a sharp moving boundary between two phases. T(x. Then it is natural to look at any arbitrary small volume V in space. The magazination of heat There are several physical processes by means of which heat can be moved from one place to another. October .dT for a density H of heat content. T(x. 7. This could also be written: [H(x) T(x) f + At>> . The change in heat content within Vdue to phase transition is then: L . and that motion should be guided by the variables and equations. p is the mass density and dT is the incremental change in temperature T.) The enthalpy function H(x. 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.T(x. For instance. Given any volume V in space with sufficiently smooth boundary 2 I/. The latent heat is not a pointwise differential quantity.p(x. the heat conductivity. Here. 1983. The methods described here meet all these requirements. The calorimetric phenomenon can be expressed in incremental form as: dH=c.ggradT where h. Of course. T(x. 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.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.7)-P(X. (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. t) = To has to be a more or less regular surface in space for each time t in order for this to make sense. and the enthalpy function will have its actual discontinuities. it is more natural to approximate the temperature field in terms of the basis functions than to write the enthalpy function.) represents heat. With this notation verified that: V s H(x. t)) dx q(x. which usually has a jump discontinuity (or at least a very steep gradient somewhere) as such a combination. T) = c(x. at which phase transitions take place. = s t dr i av Vx. To). and it is generally observed that they also depend on temperature. This is expressed by the Fourier law in the form: q=-_. 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. Vol. they should only be allowed to move locally. One also has to ensure that the relevant variables are approximated. is governed by the use of: T H(x. This means that: V s H(x.p . Math.r))~(X. t)) will be one of the fundamental variables in what follows. Winzell physics (see (i)). The case of several temperatures.T)= s X C(X. (In fact. and to denote by AV’the difference in volume of the phase of higher temperature.7)d7+CLip(x. In fact we are advocating a finite element Galerkin procedure in a fixed element partition. c and p are functions of space. (-I?) dS I dt where fi is the outer normal of a V./4x.r)dr I +&). t + At)) dx= I V H(x.H(x..AV The magazination of heat and the transport of energy are interrelated via the principle of preserved energy. the change in heat content within V is to be balanced by the heat flow into I/ through a V. with the fixed nodal pattern as a reference frame. stored in the volume Vunder the given temperature field T.Ti) i J?( T . T(x. T(x >t>)l dx s V t+At where L is the latent heat coefficient. On the other hand. (Note that the level set T(x. Hence H will be a function of x and T. Here c is the specific heat (at constant pressure)..FE for multi-phase Stefan problems: 6.p. t>)dx The Galerkin formulation will be equivalent to conservation of heat. 7). By grad T we always mean the gradient with respect to the space variables. (T-To) = 1 for it is easily where X(s) denotes the Heaviside functionX(s) s > 0 and_%(s) = 0 for s < 0. is a function of space and temperature. we only consider heat transfer due to conduction. If ‘time-dependent finite elements’ are used. Modelling.T)dS (1) 330 Appl. Ti.r). Since phase transformations are completed in a small temperature interval.

TexJK. For instance. W. j for all piecewise differentials. October 331 . namely those touching X2. (T . along all the axes we obtain the scalar product of grad T and grad $ in an integral over almost all of !2. provided T satisfies some further regularity conditions. Te. t))> . Modelling. For a detailed discussion of a similar case. ’ / X -. 4. and this is equivalent to the requirement that: H(x.grad$(x) dx t n where P is the set consisting of half of each of the two original cubes. T(x. Winzell It is this relation which classically is used to produce the generalized heat equation: - s s2 hgradT.FE for multi-phase Stefan problems: B.J could be u(x) . T(x. T. The demonstration of this equivalence principle contains the following steps. In fact. continuous functions $ which are zero on Il. t + At)) -f&x. some parts of the dI$s.. detailed verification is left to the interested reader. t > 0 satisfying (possibly in a weak sense): d . F(x. $4~) dw + dr X(x. Since there are sides with normals fi. T. Let C2be a union of small pieces Vi of (closed) volume. Text) respectively. 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. defined on Cl. t).2. the heat flux -A(aT/&z) is given as h(x. 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. / zG(jii) / /’ I ! ---. but would cause considerable trouble on I. t) is a given function g(x. 1983. the common side S of two cubes with normal fi. t r3 t+At = c J t chc Wx. unless 1+5 is zero here. We are not interested in this second order differential equation.grad$dx dH - at = div(h grad T) where i3Hlat = cp(aT/at) whenever H is smooth enough. 7. Then (1) holds true for each Vi. heat conductivity. G(x) dS Figure 1 Appl. gives rise to the terms: which can be approximated by : s2 . However.7 Discussions of the physical questions can be found elsewhere. The boundary X2 consists of three parts rr. Then: x 1 0 / ns e I . 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. These arguments can essentially be reversed. but will rather establish some weak identity which is appropriate for finite element application and also has a solid physical foundation.--71 /t / 1’ / / aVi s $dSaa X g. Then. t). T. 7) IL(x) d& 7)) W) d& Finite element type approximations dimensional case in the one- r”* (2) Frost penetration in a horizontally layered soil with heat capacity. t) via -?@T/&z) = F(x.r sI t+At tH(x. r))gradT(x._------. and this explains the equivalence of conservation of heat and the weak identity. see Peetre. Math.t(x. such that the interiors are pair’wise disjoint.8 t+At P P + JdTJF(x. and I’a on which T(x. T. 9) G(x)dx 0 / for all piecewise differentiable. Vol. T(x. and some collection of points Ri E Vi. t) for 0 <x < d. are not a common boundary of two I$s. or the heat flux -h(aT/&z) is related to T and an exterior temperature Text(x. t). T(x. continuous functions $ some function $. 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).

xi]. h(x) dx and (3) &(t)= d A(x. G(O) + e . T(x. Mo=~~(?To+ T. d] which are linear on every element [xi _i.) ?(x. < x1 < .e. = $i.~(X. HN(t))T on the vector T(t) = (T.. IL(O) for all Lipschitz continuous functions $ on [0. t) is replaced by T(x. . Winzell + {Co) t) . h and . 0) = 0. In this one-dimensional case.?‘(x. Assume that at time t.(t).t)) . Moreover. the sharp moving front performance will be guaranteed if Q is positive.. 1983. . It also models a constant flux Q of heat through the soil at depth x = d. and T(x.Z? = L .q(t) or C(t)= Xj - T’(t) Tj(f) . Text(f) .$:(x)dx s 0 --x E (0.N. Kp~(t))~ for a few very important special cases: Example 1 F(X> f) = g Ti(f) ‘hi(X) i=O For this example we assume that%?. . . . . .E = (3 .p. the dependence of the vector H(t) = (H. . t) . (T(0. t) = u .5i}~~ for M. Modelling. Here we will compute the equations for determining the unknowns Ti(t). As usual we will utilize the basis {1. October .(f) + uTotf>= 0.f). W) s z(x) . . T(0.(t). t)). .. . .t). . i. Jli(x) dx Mi=~. CE]. Then C(f) can be computed as: such that equation (3) holds for J. chosen such that any jump of the parameters (in the x-variable) mentioned above occurs at one of the points in the partition. i. This corresponds to a radiation condition: (x.t)). T(g(t). h and pare constants and that all the subinterval lengths xi -Xi-i are equal to h = d/N. The following quantities are essential: d Hi(t) = H(x. By a finite element approximative solution of equation (3) we mean a linear combination: As we will demonstrate in a succeeding section. + 4Ti + Ti+. We introduce the finite element space M of Lipschitz continuous functions on [0. 1. consisting of functions such that $i(Xi) = 1 but $i(xj) = 0 when i f j. i = 0. Method I Hence the system of ordinary is: differential equations for Ti(t) y tf) + K. We also restrict the discussion to a case with a single phase shift temperature. t) = 0. Now we will describe two finite element procedures to obtain the approximate solution. X(x. Vand h may have jump singularities as functions of T. and design the time discretization and the numerical procedure for computing the temperature at each time step. defined as the point where T(x.. We now compute H(t) and K(t) = (K. . t): In the next se$ion we will investigate the existence of such a solution T(x. .(t). H(T) = M(T) + L(T) where M(T) is the usual application of a ‘mass-matrix’ to T.e. Text(t) i= l. t) and the function C((t)describing the position of the frost limit.N-1 ( z(t)+Ki(t)=O dHiv \dt (t) + KN(t) = (4) We assume that all physical parameters%= c . Q Let 0 = xc. < xN = d be a partition.. E 0. and the initial temperature profile at time t = 0 is strictly monotonic near the single point x = s(O) where T(x. Math. 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.(Ti_. T&t) is negative for t > 0. h Tj-I(t) .FE for multi-phase Stefan problems: d + J’ 0 + (I. xi].) for 1 <i<N- 1 MN = $ * (TN-1 + ~TN) 332 Appl. t) = 0. p are piecewise smooth with a finite number of jump singularities. the position s(t) of the frost zone belongs to the specific subinterval [xi -r . Tj-l(f) C((t)=Xj_l+ . Vol. . x = 0. which is the same at all points of the interval: T. TN(t))Tis continuous only as long as no two consecutive components Ti _I(t) and Ti(t) both are zero.Tj-I(f) h Moreover.Text(f)) in which Text(t) is the exterior temperature at the surface of the ground. 7.$(X)dX B. . but only at T= 0.

If we write c” and A+‘.(Q) Ki(t)=i. q) of (7) no longer satisfies both conditions Ti _-1< 0.and X. . (See the proof of Theorem 6..’ b a.) forO<i<N &J(t) x = -. If we assume that this is the only dependence on temperature. I ai_l b b . . b a. 6 (Ti-T&j2 Appl. This method performs very economically.): [M(T”+’ .1 and j: a’ b bab 0 0 In a more realistic model.FE for multi-phase Stefan problems: B.in the two phases. 7.1 upward. Then equation (6) gives the rest of the vector iiby means of straightforward back substitution from row j . ..1 and j now includes contributions also from and J%Qf_i and the integrals the termsj%?$~+r. surrounded by a simple triangular structure for t he remaining unknowns: +j -l(x) dx I I’ b a’1 . ah can be done once for all. . . +I) system of equations for Example 2 which leaves us with a nonlinear Tn+i: (WI + A&) p+’ + L(Tn+‘) = fjn+’ We note. ShJ/j 3and JX$\<r in which @‘and X change at x = s. Ti > 0. Finally.h ‘%?+h +p.+-&)+O?T=R (5) where lJvland & are the (N‘+l) x (NS 1) matrices. . In that case.L(T”) + At. d+(x) dx s SW ri b a’ Li 0 TN 0 and Li(t)=Zh (6) ifi>j where Ti_l and Ti are found from: Finally. the coefficients %‘and X have different values in the frozen and the unfrozen part of the domain. and c.‘+l. and from row j and down. which are always present in the corresponding heat evolution problem without phase transition.1.. that in this example the nonlinearities occur only in two equations. Vol. 1983. the nonlinearity in the rows j .J%?$~ JXJliGj -1. the position of ?(L~+. i s(t) Yh 42 d then the corresponding elimination from below in rows N up to j to produce the system of two equations for the two unknowns Tin+: and T’. (To(r) . we still obtain a system of the type (6) where we again are able to compute the values of u: (with ‘3’ and X as in the frozen phase) and a: (with values for the unfrozen case) once for all. a& anda$_i.T”) + L(T”+‘) . ikT”+l = AN. namely those with indices j. Ti” b a” The procedure for solving this is much simplified if we first apply Gaussian elimination from above in rows 0 to j . The bs above or below the diagonal also have to be changed to the corresponding value in the frozen or unfrozen part. sometimes the obtained solution (Tj _-1. . (--Ti_r(t) + 2Ti(t)- ri+i(t)) The system of equation (7) may be solved by Newton’s method (with variable Newton steps) to give T?+: and Ty. we apply an implicit time discretization (here T” = T(t. .. . . The obvious strategy to handle this is to change the index j. To solve equation (5) numerically. Winzell and Lj(t)=O fori<j-1 t +1(t) = 9. since the computation of ai. Of course. (-TIC-l(f) h + G(f)) Thus the problem reduces to: IMi. .‘_l To 0 5-1 Lj-1 = R’ Li(t) = m!Z’h . T”+li Lj-1 = ii”” for l<i<j- 1 LIL. the quantities H and K assume the following form: Hi =T. . Math. (Ti_l + 4Ti + Ti+l} ba b bab . however. we have: Ko(f) =.T.) etc. October 333 .h. Modelling.) should be in another interval.

}f~h forj<i<N with similar expressions for i = 0 and i = N. At the end of this section we will provide some results of a numerical computation. Vol. 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). however. To force the temperature profile to be linear in the particular interval which contains the frost limit point x = s(t). That means that the system of differential equations for T now is in t. Math. Just as in the two examples discussed above. Winzell H. (b_ I Method II. Moreover.+2Ti_Ti+~) forj<i<N with the obvious changes when i = 0. xi] which contains s (see Figure 2)._~.h+q+r) Ki =.1 andi. only appear in two equations with numbersi .(t). 7. i = N or when J’= 1 orj=N. the only circumstances in which a linear approximation represents T(x.)’ 2qq_l +EZ!Z 6 Method II The finite element approximating space used in the Method I has certain drawbacks. three unknowns Tj_1. + L(Tn) (8) fully implicit method). and: IM(T”)(Tn +’ . (-h-q-r . when the freezing process has come close to a steady state. say.he form: WI(T) T + . That means that @and h are smooth functions for T> 0 or T< 0 when restricted to any of the intervals [Xi _I.FE for multi-phase Stefan problems: 6. XjI. However. based on this model. Two very natural time stepping procedures are: IM(Tn)(Tn +’ .T’) + M(Tn+r) + L(Tnfl) + At . Method I. For that reason. which are due to the L-vector and the jumps in %Y and X where T passes T = 0. or when j = 1 or N.. sI and [s. In both cases we arrive at a system like equation (6) where. Intuitively it is clear that. We now compute the particular system of ordinary equations for T(t) = (T. the error in the value of s could be as large as several tenths of the interval length h. That means that a good accuracy for s(t) necessarily leads to less precise values for the temperature. t) which are linear in all intervals [Xi-r. IK(T”)Tn+l = At . Xi] except the one in which s(t) is situated. (-h-q + 2”-q .+4Ti+Ti+.q_# . the alarming nonlinearities.h+q+i) Ki=~(-Ti_. the actual temperature distribution has (in general) different slopes on the two sides of x = s(t). In that exceptional interval we now regard s as an extra unknown.CTi_. all a’s and 4”s depend on the temperature distribution at the previous time step. _-1+ 2X’Ti .TF- I (Tj . the position of the moving boundary is accurately simulated. TN(t))T and s(t) which corre- x . This motivates a refinement of the method to allow for approximations T(x. since the latent heat dominates the magazination of energy. Rn+’ + ti(Tn) (a partially linearized. we also have to introduce an extra equation..+2Ti--Ti+l) for I<i<j1 Ki_r =. 1983. This means that we have to re-compute these pivot elements once at each time level. 334 Appl. (M(T) + L(T)) + O<(T) T = R where WI and IK depend very smoothly on T. X” = 10 x X. .Tn) + M(y +l) + L(Tn+‘) + . Rn++ + M(T”) + L(T”) .1 and j. I if? T?_1 6 ‘(q-q_. October . Xi].At IK(T”) Tn+’ = At . Problem 3 Let us now look at the case when%‘.f At IK(T”) Tn (9) (a partially linearized Crank-Nicolson method). Tj and s determine shape of T as linear on [Xi_. Ti_l + 4Ti + Ti+I I I and %+h Hi=~. Modeiling. . b Figure 2 (a). Furthermore: Ki =: (-Ti_. h and 2 have the properties mentioned at the beginning of this section. arising from using equation (3) with a $ which has support in the interval [xi _l. when the frost penetration is comparatively fast. Here l% and L contain the more complicated expressions and have nontrivial components only at positionsj .x~] and s is uniquely determined from values of Tj_1 and Tj. necessarily reduces the accuracy of the solution. Examples show that if. two unknowns Tj_1 and Tj determine shape of 7 in [x.

h and . going down to just a few seconds for the finest case.(X) * Ti_l + b’(X) * Ti +q (l-X)‘=R.(1-3X2+ 2X3) / i=j- 1 andj I [xj_l. Af < h2/2 x V/X. in equation (l). 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. h = 10. Our computations will be done with the implicit Crank-Nicholson method.TII+~~(x)TI+~ . b”(X) Ti_I+a.(l-3X2+2X3) and Figure 3 We now present some tables. now reads: At 5 2.~+$(l-x)Z V-h Hj=7. xi] are the same. October 335 . for comparison we have also linearized the equations (at the previous time Appl. the equations corresponding to O<i<j-landj<i<Nareexactlyasthosein example 2.=(x-~j_l)(xj-x)/h*in as zero outside that interval: continued This results in Hi__~=‘<. Math.5 x 10’ * h2. .xj]. We will present results for the subinterval length h equal to 10. H. Thus means that we give values to ‘#of the order 106. in the equations: tii z-+Ki=o Ifj is 1 or N.10°C and a heat flow from below of 2 W/m* s. Also with this method. and Ki_l.91 cm. To conclude the section we compare the two methods in a specific case.I (10) a dt+KS=o This is accomplished by introducing $ =_$i _r . h = d/N. showing the computed depth of the frost after 10 days in a very moist material. The most spectacular feature of Table 2 is the accuracy achieved already with the greatest space step. Winzell sponds to the assumptions 2. It is amazing how Method I appears to be very insensitive to the choice of time step.S?given in example Assume that @and X have the constant value@. we have to shift to another interval [xi _r . After an appropriate time discretization. We also notice. we are able to save computing time since the coefficients in equation (10) are the coefficients obtained in example 2 with the addition of certain polynomial terms which do not depend on the index j.%‘-. Example 4 on%‘. Vol. (2-X2) H.x’(2-x)~_r+~$(l-x)2 X(l+X)Ti+P<.7&+W5h X ((4-X-X’) Ti + Tj+l} +F. xi]. and the assumption that the coefficients are constant in each phase.(X) =R. 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._. A. and that the lengths of all [xi-i. Modelling.Xi] and l<j<N.‘(X) Ti+q (2~X*)=R. Hi. 6. Example 5 +~$. A”. we have to make some obvious changes in HO and KO. essentially water. and use time steps ranging from one hour to two days. or in HN and KN.in the respective phases. $j and $.(l-x)‘. We therefore have to compute only the functions Hi _-1. and assuming the shape T as indicated in F@ueJ. obviously. the time step At for an explicit method should be as small as half an hour. that Z’is constant. 1983.Here $. 7. If X turns out to be less than zero or greater than one.FE for multi-phase Stefan problems: 6. we have fixed the physical parameters in such a way that the limit for stability of an explicit method. It is more natural to introduce a variable X to describe s in the following manner: 5((t) = xj _ i + X(t) .{Tj_z+(2+3X-X2)Ti_~~ We have used a Newton method to solve this system. K. That means that in the coarsest net. is approximately 17% of the discretization length. Ti and X: a. We will set up the equations in detail for the situation when <f:t>E [Xj_t. 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. =0-h ~. h Now.X2. 1 or 0. Also here we notice high accuracy quite independent of the time step. In fact. Ki. to Pof the order 3 x lOa and h is of the order of about 2. Assuming a temperature at the surface of ._.1 cm. depending on the mesh-size h. that the error.

12 which is comparable with the result in Table 1 for h = 1.85 h = 0.90 8. 1983. An inequality of the form (16) is also true for 8.91 8. H(T).06 8. The experiments performed seem to confirm that Method I. Modelling.57 10.79 9. R(T”+‘) (12) Let T and U both be in the domain of definition of H (i. since the reason for an implicit method is exactly the possibility for larger time steps. obtained from H by ‘lumping the mass matrix’.e. Our first lemma shows that the inverse of the map Td H(T) or To A(T) is Lipschitz continuous.83 lmgth (cm) Tab/e 3 The linearized versions of Method Method I (linearized) 9.72 50.(T . and IT .07 9.stands for the usual scalar product of vectors in Cl?+r.1 8. Math.U) 2 C * (T .FE for multi-phase Stefan problems: B.+ H(t) of (13) as long as H(t) stays in the open set (H(T): no. On the existence of a finite element solution where X(H) is a Lipschitz map.90 8.90 8. computed with Method I in the nonlinear Crank-Nicolson version Space sub-interval Time step (h) 1 3 12 24 48 h = 10 10. but now with the constant approximate Jacobian. much less differentiable at certain values of T.91 8.07 9. and from the numerical point of view it is even completely negligible.92 8. To fix notation.65 8.13 87.57 I and Method II It is far from obvious that these equations have solutions. Vol. (11) Corollary 2 H(Tn. On the other hand.pair (Tj_1.92 8. However. Winzell Table 1 The position of the frost limit (in cm) after 10 days. in which s(t) is obtained. no pair (q-r. a linearized version of Method II is completely out of the question.60 8.U 1is the Euclidean length of T .89 8.62 10.87 8. then we can guarantee a solution of d@dt + K(T) = R for any future time interval. which gave s = 9. 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. Ti) is (0.LJ.from linear interpolation in a rigid finite element approximation.99 8. introduces errors which are of the order of some tenths of h.O)).88 8. 0. A computation with At = 6 min in the linearized Method I gave s = 9.91 8. 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. recall that H and fi are defined by: Lemma 1 The maps T.l 8.89 length (cm) Tab/e 2 The position of the frost limit (in cm) after 10 days.60 10.91 8. then there is such a solution of equation (13).61 10.62 h=l 9. (As usual.I $j dx). This gives a C’. 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. Tn+‘) + At O<(Tn) T”+l = H(T”) + At .87 h=l 8. The following two corollaries are formulated for H but hold equally well for A. and therefore equation (11) can be stated as: dH dr+. is not a continuous function. the sum XiFis’Z(7) $i$i dx is replaced by ?i * JV(T.91 8. q) or (Uj_1.87 8. The result of Theorem (5) below is that if H is replaced by fi.) is (0.Y(H)=R (13) Time step O-4 1 3 6 12 24 Method I I (linearized) 8. 7.51 9.O):.07.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 . computed with Method II in the nonlinear Crank-Nicholson version Space sub-interval Time step (h) 1 3 12 24 48 h = 10 8.90 8.05 Numerical overflow step) and computed the values in the next step from an implicit set up.53 78. We will not be able to do that for equation (11) with the consistent definition of H(T). the lumping of a mass matrix means that in the jth equation. if we replace the enthalpy vector H(T) by a perturbed one. October .l-solution t.94 h =O. since the mapping Td H(T). the T vector stays away from those singularities. Then: H(T) = H(U) =+T = U 336 Appl. Evidently. For the discrete equation (12) however. Thus this limitation of At from below is not at all serious. defined by the integral representations preceding equation (4) in the text.d H(T) and T/J h(T) are strictly monotonic: there is a constant C> 0 such that: {H(T) -‘H(U)} .90 8. A main ingredient in an existence proof is thus to show that during the progression of time.

mate of H. 7. 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. that Q > 0. of the vectors is the Euclidean length. Math.G(x))~ dx + - c {GJo<Fj c Y(x) Y(x) Assume that Text(t) and T”(*. Then there is a solution of the implicitly discretized equation (12) based on Method I. (11) we can write $i(x) dx I 0 Proof of Lemma 1. Vol.FE for multi-phase Stefan problems: Corollary 3 B. For this solution.Ui}. for the esti-. however.&c))~ dx In fact. October 337 . Remark 7 . However.i?)(x)dx 2(x)(?d i?)(x)dx A more careful analysis. Proof of Corollary 3. we.)/6. The result for the time discrete case is: Theorem 6 > mm%(r) * s 0 (F(x) .fi is a combination of {$i(x)> with coefficients (Ti .&t) < Ofor t > 0. Remark 4 + s LP(x)C(T~-U~)~C/~(X) dx (cr&>e) - {l.(r . In fact. x)/6 inf X(x.” $i$i dx is >min(hi + hi+. Now we state and prove our existence theorems. From the definition That completes the proof. provided the time step At exceeds a number A. 7’) x. Winzell The l-l map Te H(T) has a Lipschitz continuous verse on the range (H(T): T admissible}: .lUj$Lj>O) s (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. By equation (16) and Schwarz’ inequality we obtain: rnjn C~lT-U]2<IH(T)-H(U)I~l’I’-Ul This implies equation (17) after a division by IT . and T(t) and f(t) are Lipschitzcontinous.Note.find that the left-hand side of equation (16) can be estimated from below by: d min%(r) * 0 @(xj . in which it is observed that the Jacobian of H(T) is continuous along the solution. Remark L?(x) X(Ti- Uj) $i(x) dx If we denote CTirLi by !? and ClJi$i by 5 this becomes: i((‘- +r)d. d]. This proves the lemma for H. 1983.T-U.. The key to the result is an exact characterization of the set: Since _Y> 0 and ?‘.fii) to escape from the set 9is Appl.T x.* h2 where h is the length of the largest subinterval in the finite element discretization. Xi]. in- Since. however.+H(T)-H(U). l-1. shows that T(t) and s(t) are continuously differentiable.U 1. and since the Gram matrix: d (17) has a positive least eigenvalue Xmtn. Theorem 5 Assume that T.Jdx + {F>o) - @I>o} s s Y(x) . (F . That shows that equation (16) holds with C of essentially the same order for H and H. that Xmin for the Gram matrix s. the integral Jbd$i dx equals (hi-t + hi)/2 where hi is the length of the sub-interval [xi-1. 0) are as in the previous theorem.(?‘- i?>(x) dx Ae < sup%‘(T. and that the initial temperature xdT(x. H(T(t)) has Lipschitzcontinuous time derivative.6)(x) dx We can give a more precise estimate of A. (16) follows with C Z min%(r) * Amin. 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. Modelling. we will show that the only possibility for the trajectory ta(&i _-1. That Corollary 2 follows from Lemma 1 is obvious.6 is positive in the second integral and negative in the third.T Proof of Theorem 5. In fact: . T .

+ljTi+l+Lj(Ti-1. Again the proof will rest on a precise description of the set in which the enthalpy components may move.N+A%I) LN(TN-~... used in the proof. T. This leads to a contradiction. flj and $ are given by the integrals for Lj_1 and Lj above. Proof of Theorem 6. I P. pi) to (0. Tj _-1< 0 and Tj 2 0.<o of Figure 5 Admissible range .. since: and Tj(f) go to dEji -1 -=-Ki_1~-K’<O dt djli_ --KK. T. According to the definition hi-1 =%i_1Ti_1+ we have: Tj) T. S/hi) which shows that the slope is horizontal at (ol. .y < 0 and Tj+l(t) > y’> 0 during this process. Vol. and (Tj(f)z . Thus H and T are well defined. . L. This means that C’ is concave. Tj = 0 which both correspond to rays.Hi(t)) is in &.) (c~.(S/hi).e. .# I and and that: Ki=-~j_~Ti-~-Xj~+~S(Aj-~+Xjj~ < - s Obviously. . .u . That proves that there is a C1>l solution t* h(t).(s). $j.N_-~ . the theorem follows. Hi) as Tj -1 P 0 and q L 0. Since we only know of that principle for the lumped mass matrix case. the curve goes from a point (oj.. 1983. 7. =o. pi) and (0. However.Ti.. and with a positive speed: By this indirect argument we have proved that for all t > 0. a situation like equation (6). This curve. and they are not both zero at the same time. each parallel to one of the axes. Since T is related to fi via a Lipschitz continuous map. =0 Li_1(Ti-1.N-1 TN (cIv. October . QED. Hi) to move in a direction away from the curved boundary. TN(~)) respectively. X(fi) is Lipschitz continuous in the argument fi. q-~(t)). Winzell through boundary points where Ti _-1< 0 and Ti = 0 or Ti_l = 0 and Ti > 0. by the maximum principle applied to (To(t).i+1-At. >O where G5_r and %j are uniformly and Lj are the evaluations at: S= positive.. q) l?j =WjTj + Lj(Tj_1. is the maximum principle for the space discrete heat equation.>K”>O dt ’ 1 which forces the point (Hi _1.. F c0. Remark 8 An essential information.i+At(xi+xi+. we can conclude that Ti _*(t) < .x..) but changes monotonically during the passage to ” $ (0. hjr’ + Es(t) hi one piece of the boundary of *is given by (&i_. Now assume that as fime progresses.+(ci. i. we first have to apply a Gaussian elimination procedure to reduce the investigation to a system of two equations for two unknowns. However. Tj > 0 and Tj _I< 0. corresponding to the limits of (H&l.i_l-At ‘hi)Ti_.) = HO(T”) + At .. TN) = H&I’“) + At * Q (18) 338 Appl. but approaches the boundary. and where Li _-1 ri Tj ..) where oj. That means that both Tj -I(t) and Tj(t) tend to zero.--atX1)~l+Lo(Te. Ai(s s E [0. it has a tangent vector in the direction (1 .Ttxxt (ci.. TO complete the picture of X.Tj -1 * hi T. Furthermore. 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. Now (12) takes the form: L.. .Ti+l> . has the properties: ass runs through the values from 0 to hi.M.FE for multi-phase Stefan problems: B.+a)>T. originating in the two points (oj. Modelling. denoted Cj in what follows. and in the equation (1 l). such that 0 < /3. = Hj(T”) i= TN+ l. 0.T. We will make the further assumption that it approaches the curved boundary Ci of 2.P. the solution (fij_l(t). we give the boundaries Tj _I= 0. Math. /3i) where it is vertical.At&v) L&s)) + (CN.) Figure 4 Curvesf-=%~_. we see no way to extend Theorem 5 to the case with consistent H. 0. hi]. (a.j)Ti +(Ci.+(c.< flj and aj > 0.~+At(x.

such that in the elimination from above.(T.~j. tn)) inequalities which are even more strengthened by the positivity of Q and the negative values of Text. * YL-~ * (M&T”) + At * Q) (21) Figure 6 Set.j-~T~+~j-~.): T1< 0.j-At~j)T*+Lj_.iT~ +~i. YL_~..T*) X s xi-l hi2 X dx ~~{hil-h2~h.:=(~j.z are the entries of the Gram strictly negative for i<j1.i_lT~_l+ci. Thus the point (Hi. and by two rays with the positive slopes Cj. T. and since the Gaussian elimination procedure is reversible. -ybof non-negative Yl>YZ> .j-~T~ dx +Cj. Hence the right-hand side of equation (19) satisfies: H’1<Cj_l.Tz)=H..@ is in a one-to-one correspondence with {(T1. and thus during the elimination procedure. never subtracted.) with the range equal to a set 2.Ati.. Modelling..Tin) H. Ty) b and Xk ik = s Xk-l h-. . Math. (20) (19) .FE for multi-phase Stefan problems: B. for determining Tyfi and Ty’l: Aj_1T1+(Cj_l. T&z’) + yjMj+l(T”) + .jTin+Lj_1(Tin_l.) respectively.j_1Tin_l+Cj.j. .j_At~j)T.i+ At@i + Xi+. On the other hand. it follows that: Ci.j_l+Atkj)T~+A~T2+Lj(T1. T2) + (&T. ..j _l/Cj _l. Vol.j_1_Atxj)T.j_1T1+Cj. H. 1983. .. from the iteration formula: Athi+l-Ci+l. More precisely. is correct.+Lj_1(T1. xi]. Xi]. Similarly. We then arrive at.jrin+Lj(Tin_l.l/r.j .j/Cj _l. NOW let S” = F(fn) E [Xi -1. while it has the other sign as i > j.Tz>O) Assume that At > A.%? of (Hi. Fj) and (0. Winzeil Here the coefficients matrix: ck. (Note that here we use the assumption that Tn+’ can be found with Sn+’ still in [~i_~.yi(Athi-ci_l. o u co.i -Iand Ai/(cj_l.. * y1 (M.) Thus let all those terms cancel.i) and the first estimate: Atho Yl = - cl.jTz+Lj): T1<O. yi times the row with index i . 7. _-1. bounded in part by the same curve %‘j as we used for 3’ and by two rays #I and tz with slopes: (Cj. T2>O} into the HiHi-plane via: &=A j_lTl+ (Cj_l. In case that fails we will have to try another interval as described later on.* h(x) ?(x..jT~+Lj-~. s&) is one-to-one according to Lemma 1 and Corollary 2.+AjT.+Lj(T. + rj-1Mj-2(Tn) + .the equations in the unknowns T1 and T. 7: times the row with index i+ 1 is added to the ith row. Similarly one on both sides in equation i.+ <I dx it follows inductively that yi < 1 for all i. Tz): T1<O.T2)=H’.) = .T./3. the left-hand-side of equation (19) defines a map of the set {(T1.i _I- Atxi G xi-l Xi which is bounded by the curve Vj: s4 (Lj -I(S).j -1 and cj. 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.yj if A.i+lTF+l. showing an open truncated sector.h2. October 339 . Note that Mi is Appl. (Cj.j_1Tin_l+Cj_l.. .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. However.‘> numbers. Lj(S)) as in the proof of Theorem 5. originating in the two points (~j. To ensure that the picture in Figure 7. T2> 0).(Tn) + At . Then: ci. That means that the set .~~}~0 ( i. We will first try to find a solution Tn+’ such that the new position Sn+’ of the frost limit is in the same interval. is as in Remark 7.+ AtA.) in equation (19) Once more we have used the notationMi(Tn) for the quantityci. Hi) lies strictly inside the plane set: ~‘={(Cj-~. rows are added..1 is added to the ith row._. while in elimination from below.. At$)/Aj -1 = .i 7i+1= Ci.) . where: I HI =Hj_l(Tn) +rj-l’ Hi = Hj(T”) ++. there are two sequences yN and ~h_~.>Cj. we have to prove that rj< l/ r.

+AJ+. .. Then we can distinguish three possibilities.-Thus with Ti”_‘: = T1 and T.. d] which by now is negative everywhere. However. The proof of (ii) is immediate.+Li(T~. The cancellation of terms is thus carried out only from equation j + 2 and down.) We now turn to the case when (Hi. Modelling. Vol. That last term. Ht) is below the new ray C. H. it can lie below the ray pi.Hi (T’))/Y~ + L$+I We now have a situation where the left-hand-side equation (23) defines a new set $* analogously before.FE for multi-phase Stefan problems: B.i+1_Atxi+l)T.Hj)/Yi + (Hi + 7jHI . To conclude the proof we have to make up for the case that the change of the interval for the frost penetration P+l (which by (i) proved above is a monotone shift) eventually leads out of domain 0 <x < d. The point can belong to the set &‘or one of the rays cl or c*. This is to be interpreted as if the whole interval has become frozen. To prove (i). We know that (H’. < xj+2 YJIi+l I dx which by equation (22) is a negative quantity. 1+i (24) of to 2 together E [Xj.~~+~]: (i) (H$. is positive. (ii) @>/3. Hi) in equation by: HT=Hi(Tn) + ri *Hi (19) was taken over ( HC = (Hi .aj +i)/~j = (Hi + ‘Y~H.i_Afxi+l)T.* (23) Figure 8 Point (HI*.@. Xi on the right-hand-side be annihilated by an equal term to the left. however: which also equals /3. 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 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. (The shift in the other direction cannot lead to a similar result. Winzell where the role of (Hi. we get a similar result with the only difference being that precisely one of the variables Tin+: and Ty+l is zero . It_means that there are values T1 < 0 and T2> 0 such that Hi = H. October . and that is enough to obtain the inequality for the slopes of *I and tz.aj +i)/~. k/T) is either in. or it can be above c.) Thus assume that: xj+1 is negative. This provides us with a solution Tn+’ ..Xj+i] In the figure below we indicate the meaning of(i) and (ii).) happens to be on one of the rays j1 or ta. Now return to equation (18) and try j + 1 instead of j. we obtain the final expression: cY$ti dx = 0. Hi) is below ti .@ large negative number HI or is below CT with H: * a 340 Appl. we get a new nonlinear system for the determination of Ty+l and Ty+:‘): AiTl+(Ci. Since. + TiYiH..Tz>=H: (Ci+l. (22) I 5 which is the condition for being under the ray tr . (If (Hi. This produces negative values for q+’ where i <j . since Hz is the sum of flj+i and the righthand-side of equation (21) with j replaced by j + 1. 1983. and the system (18) corresponds to the usual heat equation for determining the temperature in [0. II.) QED. we have to show that: Figure 7 Range 3&f map (.+i = T2 we start the back substitution upwards and downwards respectively in the reduced system of equations..) E A?‘.1 and positive ones for i > j.T*)=H. since Text < 0. Hi) E 2’..@I 1 proves that the 7: are less than unity. however. (If. Math. After another Gaussian elimination.. and E?. This time we cannot let the term: H. and the right-handside data have the corresponding sign. The first case.+Li+l(T1. = Hi for these values. because the off-diagonal elements in the matrix are non-positive. i’. is the simplest. (The case when it is above c2 is analogous and will not be discussed. this is: (H’.

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. and we will also suggest methods to solve equation (25) numerically. r is the linear function which has the values of Tatcorresponding corners. 1). IK and L. However. Since there is very little known about regularity of the moving boundary in the higher dimensional cases. Since it also is the essential nonlinear term in the equations. that integral is: Now the support of hi is the union of a small number of trangles. Math. the components are sums of terms of the form: 1+or T: (29) CT. Tland T2 are such that in the differences occurring in the denominators. The integrals S U’Jli$j and I hiV$iV$j are computed as usual. (28) Figure 9 In these. we will require a (at least approximate) Jacobian for Newton iterations or linearization. and assume different values on {T>O}. corresponding {T E [RN: no three components to the corners of one triangle. Thus. almost entirely with the use of routines aleady in the package. we can assume thatg’ and h2 are zero on the set where T > 0. In fact. October 341 . to compute S q2$i$j or $ X2V$iV$j. corresponding to two nodes on a common edge of a triangle. One only has to remember the limitations of its applicability. In fact. and is possible to do. and carries information about the boundary data. 7.Yn The final case is to compute JJyw2$i . and it is enough to study the integral over one of them. Winzell Numerical method in two space variables In the previous section we could give existence results for the discrete solution in a one-dimensional situation. In what follows we will design means of computing WI. in case {T> 0}r‘l rfor a particular triangle is again a triangular set. and we actually present the typical form of the result as equations (28) and (29) below.FE for multi-phase Stefan problems: B. By definition we have : Li(T) = Eli f {T>O) dX (26) (27) where 0 is linear with values zero at (0. are all zero) the map is Cl” except at points T where two components. we go to the subroutines with new coordinates for the corners. the equations for the finite element approximation are of the form: IMT+-d(L)+IKT=R (25) that the corner in Fat which $i = 1 now has become (0. T212 . It is easily verified that: ?PJli dx = 2 * area(Y) nF * i&h I (no) s {F>o}nY where WI and IK are square matrices which depend on T. The most important and sensitive term in equation (25) is L. We will limit the discussion to linear triangular elements in a fixed partition of fi into triangles & However. We also observe that since VQi * V$i is constant in z the integral: V$iV$i * (proportion where of Y T> 0) $j when . Vol. a moving boundary eventually collapses. 1) = 1. As before. melting from all sides.- {T> O>is not triangular. 1983.but $(O. and L is a vector-valued function of T representing the latent heat. In fact. However. and the simulation of that is not possible to do with piecewise linear approximation for T if one expects a sharp limit between the two phases. This can be done so where both integrals are over triangular Observation 7. The integral on the right-hand-side of equation (27) can be explicitly computed. It has no correspondence in available standard finite element program packages. Then of course. Th right-hand-side vector R depends on t. the method we will give is a very resourceful tool in numerical experiments and engineering design. The map T-L(T) Lipschitz continuous in the set: domains. sincew2 and h2 have jump discontinuities. 0). 0) and (1. at the end of the section we will introduce a method analogous to Method II in the one-dimensional case. On the other hand. from lR N to IR N is of T. VI To) TO + (Tz- TZ ToXT2Td To-T2 T1-T. As an example. Furthermore. Modeiling. consider a cube of ice. we cannot hope for such a successful outcome of the discussion to be presented next. we go to the routine for computation of JJ$i$i with the coordinates of the corners of that subtriangle. 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 T-values are Appl. The computation Of Mii and Kii is much simpler. the values of To. are both zero.

T2)‘. however. since the regularity of the functions involved is so low. stability properties for implicit methods are retained. As was observed. 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 degenerate situation occurs when two values simultaneously approach zero. the accuracy is not nearly as good as for the nonlinear versions. when there is no frozen part. the heat conductivity in Rr being only 2% of that in f12.+. Actually. The time steps taken are 20 min to 1 h. Remark 10 In order to solve equation (3 l). there were slightly less than 300 triangles. we pass from one case to another. and the inverse map from the range of H (over admissible vectors T) to [RN is Lipschitz continuous. In R there is given an initial positive temperature distribution. October . has a gradient bounded by 4. Modelling.) Since L is merely Lipschitz continuous.h(aT/an) on the bottom. For the method based on equations (32) and (33) we will present computations results in Example 9 below. Earlier in the paper some results were presented for the linearized one-dimensional model. is a rectangle inside r. it hardly pays to apply otherwise efficient multiple step methods. separated into two zones of different Figure 70 Domain characteristics 342 Appl. This lemma shows that as long as the trajectories of: dH -+ dt (H) = R (30) where aL/aT is the Jacobian of L. In the case we now are dealing with. 1983. Here x(H) = KT(H) is Lipschitz continuous in H. but has to minimize the error in the search direction given by that vector. a number of iterations have to be performed. and their gradients are bounded by fi and 1 respectively. Vol. The expression in equation (29) is thus Lipschitz continuous as long as one variable stays away from zero. To reduce the actual computing = IM(T”) T” + L(Tn) + AtR(t. but the third varies in a small interval centred about the origin. becomes meaningless as all three variables degenerate. which is proved exactly as Lemma 1 and its corollaries. an iteration cannot use the exact Newton step. The degenerating factor is T:/(T.FE for multi-phase Stefan problems: B. It has some very interesting links to fast algorithms in linear algebra. when a change of sign occurs.+. Td2 the initial steps. In equation (28) we have to look at the case when T2 L 0 and T. 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. 7. 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. Finally. However. The degeneracy is observed in the two expressions: r-7 2 12 T2 TI and CT2 TIT. and on aR we have d radiation type condition on the top: +T/&z) + u(T . 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. Then the map Tel H(T) is strictly monotonic. We suggest the following version in which IM and IK are frozen at the values of T at a previous time step. One way of solving equation (25) in time is of course to use a standard method for ordinary differential equations.) (33) This is a completely linearized model and thus loses accuracy. It is more tedious than difficult to show the Lipschitz continuity of the derivations. Lemma 8 Let H(T) = WIT + L(T) (where WI has been frozen to its values at some To). we have to investigate the behaviour of equations (28) and (29) as two variables are separated from zero. However. We will briefly discuss that issue later in the paper. X and L have values different from those in !& = fi\fir. and with latent heat equal to zero in fli.2 in which V. The estimate. The method of equation (3 1) is under development. Example 9 stay in the range of H (over admissible T) they can be continued in time. Another method is the classical way of solving evolution equations: set up an implicit finite difference scheme in time. Math. 7 0. and a prescribed flux Q = . To simplify the description let fi = ai U a2 where a. is lightened by the following result. On the other hand. a Neumann (symmetry) condition aT/an = 0 along the sides.Text) = 0. a large portion of its failure comes from I 1 Q* a. however. Then solve for Tn+’ in: [A”” + Ato<( Tn+i = An+'Tn+ AtR(t. 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. and that guarantees existence of solutions of equation (30) at least locally. However. . 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. but the actual computing time on a DEC-10 computer was approximately 3 min. which. 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. 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. Winrell of different sign. With a more careful code such misconduct could be avoided.

Math. To. Figure 13 Appl.+. To handle this efficiently. As usual. only those equations which correspond to nodes in a triangle where there is a frost limit are nonlinear. do a renumbering of the variables now and then.1) . Modelling. 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. Then there h has to be a curve representing T= 0 across 37 In particular. Now introduce two new unknowns r and s which label the points on the triangle edges where T = 0. the number of columns and rows that are affected is of the order 4N. 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. T1 and T2 refer to Figure 14. What we should aim for is of course a globally piecewise linear approximation of T which locally. In fact.+.e. is altered to more accurately account for the natural jump in grad T along T = 0.FE for multi-phase Stefan problems: 10 - 6. A version which is even more analogous to that idea is the next: (iii) During the process of time stepping. in triangles which contain the moving boundary. 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. one lower part of linear equations corresponding to the other side of the frost limit. in Fe where r.Y) = + T. in the block of nonlinear equations. 1983. Saunders. 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. Let us look at a triangle F where the values of temperature are of different signs at different corners.and y-axes. Since it is desirable still to have T piece-wise linear along the edges in order to match the approximations in adjacent triangles. (ii) Perform a pivoting of the matrix such that iteration starts. if necessary. 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 (. s. -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. Winzell 1 and such that the variables become reordered correspondingly. In fact. Figure 13) lie on the x. we have to choose between several ideas of computation: (i) Update the factorizations of the matrix by algorithms like those presented by Gill. October 343 . 5. i.1) +(1--x--y) time we should take advantage of the sparsity of the nonlinearities. Vol. so that the points A and B (cf.. on two of the sides there has to be a point at which T= 0. we had better look at the situation after a transformation to a standard triangle.y) in Yia (. Then perform a Gaussian elimination of all linear parts of the matrix and perform the Newton iteration only in the lower right corner. Remark 11 I. and ye.(TIx %. 7. all equations that are nonlinear means of Murray and before any appear last. Golub.

Math. and Fremond. the support of the corresponding $ is just one triangle. should be carried out exactly. Monografia no. Oxford. In ‘A survey of numerical methods for partial differential equations’ (Ed. case we expect an ‘O(h)-error’ in L2-norm. Sbornik 1965. 7. etc. 1977. J. and Ockendon. October . G. L. it is not an interpolation! Acknowledgement Since we now have a number of new unknowns. R. however. ‘Weak and variational methods for moving boundary problems’. References Kamenomostskaya.) All integrals can be computed explicitly. New York.X (r. Note that this relates to projections on to the finite element space. London. Of course. 137-147 Bonnerot. equation (2) by using test functions $ which are built up from the form: Jl(G9 =. M. The investigation of this method is a top priority for the immediate future. Academic Press. and $ does not vanish on . It might also be more convenient to use quadrature formulae for an approximate computation of terms which go into the mass and stiffness matrices. in case of finite elements. (1 -x-v> The computations referred to in this paper were all made on the DEC-10 system at Linkoping University. In all circumstances. The examples show that this is the best possible for Method I. {T = O} is shown by because of Lemma 8. In fact. Instituto Central de Matemzitica.e. J. our point of view is that in most cases of engineering physics with Stefan-type problems. by Wilson. pp. there never is a sharp moving boundary. 485 Aguirre-Puente. ‘Numerical computation of the free boundary for the two-dimensional Stefan problem by space-time finite elements’. Moreover. 1978 Meyer. L. Universidade de Brasilia. Lecture notes in Mathematics 503. Pitman Books. also in terms of the convergence of the solutions. in a personal communication Kamenomostskaya has demonstrated the proof. The proof of such estimates will be the subject of a forthcoming paper. ‘On Stefan’s problem’. 1977 Conclusions (i) This paper does not contain any error estimates.Y . However. ‘The method of lines for Poisson’s equations with moving or free boundary conditions Fox.53 (95). Springer Verlag. ‘Frost propagation in wet porous media’. however. in the one-dimensional 344 Appl. P. (ii) The convergence of the discrete solution of Method I for the one-dimensional case is a consequence of uniform Hr-estimates. Modelling. one would like to know whether problems with small intervals of temperature for the freezing have the sharp phase transition problem as limiting case. 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. Vol. M. in actual physics. there is a small interval of temperatures in which the enthalpy rises rapidly. R. ‘Hilbert space methods for partial differential equations’. Clarendon Press. 1965 Elliott. and Wait. It is known that. They give rise to expressions involving logarithms and rational functions of r and s. The preparation of the paper was completed during the author’s stay at the University of Kentucky. 1979 Peetre.25. we have to give more equations.O) T. GladweU. ‘The Stefan problem: moving boundaries in parabolic equations’. P. S. t>>rcli(x)dx Support of special test functions. ‘Numerical analysis of Stefan problems’. the rise is so steep. R. Phys.F fl an. Solomon and Boggs). it is the temperature profile that is to be considered the primary variable. E. Winzell lY (0. and the enthalpy should be computed as accurately as possible from the temperature distribution. 1983. one can use the generalized enthalpy vector with components: f&(f) = Figure (---I 75 s f-G>T(x. 163 ‘Moving boundary problems’ (Ed. in the standard triangle and with support in the union of two adjacent triangles sharing one boundary point where T = 0. (iii) The existence of a weak solution of equation (2) has never been proved in published papers. 1982 Curtis. Comp. J.FE for multi-phase T2 Stefan problems: B. 1. The computation of the latent heat component. University of Oxford. Berlin. H. Math.). However. (When the edge in question is along aa.J. M. I. G. 1976. the numerics for a continuous model are as bad.1) To Figure 14 . and Jamet. Thesis. These are obtained from the weak identity. Since. (iv) Many of the difficulties of the computations in the situation in this paper is of course due to the jump in enthalpy. i.

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