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Mathematical Computation

A finite Difference Scheme for Elliptic Interface

Problem with Implicit Jump Conditions
JianJun Xu#
School of Mathematical and Computational Science, Xiangtan University, Xiangtan, Hunan 411105, China
#Email: jjxu21@xtu.edu.cn

Abstract
In this paper, the immersed interface method in the literature for solving elliptic interface problems in 2D was extended to the
situation when the interface and jumps were implicitly given by the data on the grid points in a neighborhood of the interface. It
was convenient when the interface was implicitly captured by level-set function. The formulations of the original immersed
interface method have been modified for this implicit setting, including the interface jump relations, the algebraic equations to
determine the coefficients of the finite difference scheme at irregular grid points and the correction terms. Particularly, the
interface quantities and their derivatives along the interface were calculated by using standard quadratic Lagrange interpolation,
avoiding the interface reconstruction by means of a spline function, and leading to relatively easy implementation. Second order
accuracy was achieved in maximum norm, as demonstrated by numerical examples.
Keywords: Elliptic Interface Problem; Immersed Interface Method; Level-Set Function; Finite Difference Method; Lagrange
Interpolation

411105

C.Peskin([10,11])
(immersed boundary method) Dirac
Dirac

Peskin LeVeque Li(Immersed Interface Method
(10A117,10C1264)(10QDZ45)

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IIM)
IIM IIM Hele-Shaw
[13,14]

(u) u f

(1) 0, 0,

[6,7]
[9,12]

w( x, y)

v( x, y)
u
, v
(2)
n
p p p p p p p p p

u w

n n w( x, y) v( x, y)
u u u ,
f , f Dirichlet Neumanu Robin

[6,7]
(Ghost Fluid Method)

Galerkin [1,7,15]

2[6,7]

( x, y) ( x, y) : ( x, y) 0
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( x, y) : ( x, y) 0 ( x, y) : ( x, y) 0
n

, n ,

(3)

xi a ih, y j c jh, i 0,1,2,

, m, j 0,1,2,

, n,

i , j ( xi , y j )

max(i , j ,i 1, j ,i 1, j ,i , j 1 ,i , j 1 ) 0 max(i , j ,i 1, j ,i 1, j ,i , j 1 ,i , j 1 ) 0

(4)

( xi , y j )

ns

ij uij fij cij ,

ru
l i i , j j
l

l 1

(5)

( ns 5 )

ui 1, j ui , j
ui , j ui 1, j
1
1
i 1 , j

i , j
h 2
h
h
2

ui , j 1 ui , j
ui , j ui , j 1

1
i , j 1
ij uij fij
i, j
h
h
2
2

(6)

(5) ci , j 0

O(h)

1.1
x ( xi , y j )
*

x x n ,

(7)

n ( x) ( x) x ( x n) 0 x x
*

O( 3 )
1
2

( x) ( x) 2 (n He( ( x))n) 0 ,

(8)

He( ) Hessian

xx
He( )
yx

xy
.
yy
*

x ( xi* , y*j )
*

o x n (n1* , n2* )T
*

(n2* , n1* )T
*
*
*
*

( x xi )n1 ( y y j )n2 ,
(9)

*
*
*
*

( x xi )n2 ( y y j )n1 .
o ( ) (0) 0 , '(0) 0 ,

1
'
,

1 '2 1 '2

p( x, y) p( x( , ), y( , )) p( , )

''(0) , n

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p

p

px p
A ,
p y p

pxx
A
pxy

pxy T
A ,
pyy

(10)

AT (n , * )
u, v, w, u( , ) u( x( , ), y( , ))

1.2 2.2
(2)
*

u u

u w( ( ), ) ,

(11)

(u u ') (u u ') v( ( ), ) 1 '2 .

(12)

(11)

u ' u w ' w ,

(13)

u u w .

(14)

'(0) 0
(13) '(0) 0
u u '' w w '' .

(15)

'(0) 0 (12)
u

v
u .

(16)

(15)(16)

u
u
(1

v
)u '' '' w w '' .

(12) (14)(15)
v
v

u u u 1 '' u w ''

(17)

(18)

(1)

u u u u u f 0 ,

u u u u u f u u u u u f ,

u u ( )u u u u w ,

v
u u 1 u 1 '' u
u

u w f v ''
w w '' w

u u w, u u w , u u

u u (1 )u ''

'' (w w ''),

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(19)

v
v

u u u ( '' '')u w '' ,

u u ( 1)u (1 ) '' u u

u w f v ''.
v
w ( w w '')

(20)

(5) ns 9 xi i1 , y j j1

, l 1,
l

,9, i1 , j1 1,0,1 Tij

9

Tij ru
(l ,l ) ij uij fij cij
l

(21)

l 1

rl cij
(0,0)
1
1

u (l ,l ) u l u l u l2u ll u l2u
O (h 3 ) .
2
2

(22)

(22)(21)

(23)

a9 u a10 u a11u a12u ij uij f ij cij O(h3 ).

K , K :
K {l : (l ,l ) }, K {l : (l ,l ) }.

a j
a1 rl ,

a2 rl ,

a3 l rl ,

a5 l rl ,

a6 l rl ,

a7

l K

l K

a9

l K

l K

1
2
l rl ,
2 l K

a10

1
2
l rl ,
2 l K

l K

1
2
l rl ,
2 l K

a11 ll rl ,
l K

a4 l rl ,
l K

a8

1
2
l rl ,
2 l K

(24)

a12 ll rl ,
l K

(20)(23)

a
Tij u u u u ij uij f ij a1 a2 8 u

a3 a4 a8 (1 ) '' a10 (1 ) '' a12 u

a5 a6 a8 a12 (1 ) '' u a7 a8 u

a8 ( 1) a9 a10 u a11 a12 u

(25)

v
f
v
v
w
a2 w a4 a6 w a8 '' w w w ''

v
v

v
a10 w w '' '' a12 w '' cij O(h3 )

uij f ij
( xi , y j )

fij f O(h), ij uij u O(h).

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(26)

( xi , y j )

(27)

ij uij u O(h) u u u O(h) u w u O(h).

(28)

(25)

u u u u ij uij f ij
u u u u u f H (i , j )( w u f ) O(h).

(29)

1, i , j 0,
H (i , j )

0,

u , u , u , u , u , u

a8

a1 a2 H (i , j ) 0,

a3 a4 a8 (1 ) '' a10 (1 ) '' a12 ,

(30)

a12 (1 ) '' ,
a5 a6 a8

a7 a8 ,

a8 ( 1) a9 a10 ,
a a 0.
11
12

v
f
v

a
w

''

6
8

v
v

v
a10 w w '' '' a12 w ''

cij a2 w a4

w w w ''

H (i , j )( w f ).

(31)

(30)(31)
*

2.1
(1)
( ns 5 ) cij (5)(FFT)
( ns 9 ) rl , l 1,

,9 (30)

rl (5) M
rl
1 9
2
min
(rl gl ) ,
r
l

1
2

(32)

g l (30) Ar b
Ar b,

rl 0 if (l ,l ) (0,0),
r 0 if ( , ) (0,0).
l
l
l

(33)

(32)(33)(5)

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2.2
x ( xi , y j ) (5)

(8) x x
(30) rl , l 1, ,9
(31)(5) cij
(30)(31) v , w , w , w
Lagrange


1 Poisson
2
2
xy

uxx u yy

2sin x cos y, ( x, y) : r 0.5.

(34)

r x 2 y 2 Dirichlet ( x, y) : r 0.5

u e sin x cos y ,
u e ( y cos x sin ) cos x cos y sin sin x sin y sin
f r e 2sin x cos y .
xy

xy

xy

x y
(cos ,sin ) ,
r r

r 0.5,

sin x cos y,
u xy
e ,

(35)

r 0.5.

1 2 1 IIM
2 Eh u uh

1
h
1
32
1
64
1
128
1
256

h
1
32
1
64
1
128
1
256

1.10D-1
4.87D-2

1.12

2.82D-2

0.79

1.45D-2

0.96

Eh

1.88D-2
4.82D-3

1.96

1.21D-3

1.99

3.04D-4

1.99

(u) f ,

( x, y) ,

u v , v w

. ( x, y) ,

(36)
(37)

( 2 , 2 ) ( 2, 2) x2 4 y 2 1
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( x, y) : ( x, y) 0,( x, y) v, w, f
x2 y 2 ,
u
sin x cos y,

0,

(38)

0.

+ =100 - =1 Dirichelet 3
2
3
h
1
66
1
130
1
258
1
514

Eh

3.53D-4
8.10D-5

2.18

2.04D-5

2.01

4.27D-6

2.27
2
Figure 1 2 uh h 1 66

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