Analysis of Numerical Schemes

Dr. Sreenivas Jayanti

Department of Chemical Engineering IIT-Madras

Analysis of Numerical Schemes

Two parts Part I:
Given a discretization scheme, how to tell that it will lead to a satisfactory solution?

Part II: How to solve together the set of continuity,

momentum, energy and other equations?

Need for Analysis

Discretization of governing equations using FD or FE or FV techniques gives a set of discretized equations involving variable values at neighbouring points These discretized equations are the ones that are actually solved to determine the variable values at grid nodes Discretization is not unique and for the same PDE, different discretized equations can be obtained, e.g. discretization can be done to different orders of accuracy Are all discretizations equivalent? Or are some superior? How can we ensure that the numerical solution is correct?

A Simple Case Study

Consider the linear convection equation

u u +a =0 t x
Consider three discretization schemes:
n +1 ui n +1 ui n +1 ui n = ui n = ui n = ui n (ui n ui 1 )

FTBS : FTCS: FTFS :

= at/x

n n (ui +1 ui 1 ) / 2 n n (ui +1 ui )

Courant no

The True Solution

Take a = 1 m/s; initial conditions : u(x,0) = f(x) where f(x) = 1 for 0.1 x 0.2 and f(x) = 0 otherwise True solution: initial pulse gets convected in x-direction at 1 m/s
u(x,t) = u(x-at)

u t

FTBS Solution for 1 at t = 0.1 s

Fig I.1a: FT BS scheme for various Courant numbers at t=0.1 s 1.2 1 0.8 0.6 0.4 0.2 0 -0.2 0.1

f(x, 0.1)

1.00 0.5 0.25 0.15 0.2 0.25 x (m ) 0.3 0.35 0.4

Peak location predicted correctly, but the square pulse has been rounded
Decreasing amplitude with decreasing

FTBS Solution for 1 at t = 0.1 s

Fig I.1b. FTBS scheme with various Courant numbers at t=0.1 s

4 2 f(x, 0.1) 0 0.05 -2 -4 x (m ) 1.000 1.111 0.1 0.15 0.2 0.25 0.3 0.35 1.125

Both shape and amplitude predicted poorly for > 1

FTCS Solution for 1 at t = 0.1 s

Discretization second-order accurate in space but ...
Fig I.2a FTCS scheme with various Courant numbers at t=0.1s
10 5 f(x, t0) 0 0.15 -5 -10 x (m ) 0.5 0.2 0.25 0.3 0.35 0.25 1

FTFS Solution for 1 at t = 0.05 s

Solution wildly fluctuating for all Courant numbers
Fig I.2b FTFS scheme with various Courant numbers at t=0.05 s.
400 200 f(x, t0) 0 -200 0.1 -400 x (m) 0.15 0.2 0.25 0.3 0.5 0.25 1

Need for Analysis Identified

Different solutions ranging from exact to thoroughly unsatisfactory obtained for this simple, linear equation Behaviour of the solution appears to depend on choice of t and x Need a formal analysis to determine the choice of parameters to yield an accurate solution Three conditions for a good solution: Consistency : discretized equation pde Stability : exact solution of disc eqn computed solution Convergence: computed solution exact solution of pde Equivalence theorem of Lax (1954): For a well-posed linear initial value problem with a consistent discretization, stability is necessary and sufficient for convergence Convergence assures us that grid independent solution = exact solution of the governing equation

Properties of Numerical Schemes

Accuracy : error due to discretization

leading term in the truncation error, e.g, FTCS ~ O (t, x2 ) non-uniform grids may reduce accuracy by an order cannot be eliminated but can be made as small as one wishes higher order schemes reduce error only on sufficiently fine grids higher accuracy does not mean a better solution; in fact, second and higher order schemes usually lead to unphysical oscillations for the general case, order of accuracy can be obtained by successively refining grid and expressing error as ~ tp, xq in FV method, overall accuracy depends on the approximation of derivatives and on the accuracy of surface and volume integrals

Properties of Numerical Schemes

Conservation property: conservation law upheld at global as well as at discrete level desirable to eliminate spurious source terms can be ensured by consistent evaluation of face fluxes so that the total flux leaving a surface of a control volume is equal to the total flux entering through the same surface into the neighbouring cells which have the face as a common boundary consistent and inconsistent evaluation of diffusive flux at face I:

quadratic interpolation instead of linear

Properties of Numerical Schemes

Boundedness: solution remains within physical bounds, e.g., turbulent kinetic energy is always 0 0 mass fraction 0

for steady flows without source terms, interior values should be bound between minimum and maximum occurring on the boundaries, e.g. temperature inside a conducting rod cannot be colder than T at the cold end and it cannot be hotter than T at the hot end, unless there is heat source/ sink inside the rod boundedness can be ensured by having the same sign for all the coefficients in a discretized equation

Properties of Numerical Schemes

Consistency: ensures that the discretized equation tends to partial differential equation as x and t tend to zero a consistent scheme means that we are solving the correct equation in the limit of fine grid spacing consistency can be verified by formal Taylor series expansion e.g., FTFS scheme for the linear convection equation:
n +1 n ui ui n n ui +1 ui

+a

n (ut + aux )i

= + t (utt )in + x a(u xx )i + 0(t 2, x2 ) 2 2

Properties of Numerical Schemes

Stability: Error between computed solution and exact solution of the discretized equation should not be amplified as we march forward in time stability guarantees that the scheme produces a bounded solution if the exact solution itself is bounded

Consider

D = exact solution of the discretized eqn N = computed solution using the num scheme = error = D - N in = (x,t ) = (ix, nt) = Din - Nin

Then stability requires that | in+1 / in | 1

Stability Analysis
Stability of a linear equation with constant coefficients is wellunderstood and lends itself to simple analysis if the effect of boundary conditions can be neglected. Under these conditions, von Neumann stability analysis can be used When the effect of boundary conditions has to be taken into account, a matrix method of stability analysis can be used although this is difficult to implement in practice as it requires the evaluation of eigenvalues of large matrices For the general non-linear or non-constant coefficient problem, local stability analysis can be performed on a linearized set of equations Only the von Neumann stability analysis is described here. For other methods, see Hirsch (1988)

Stability Analysis: Formulation

How to evaluate in and in+1 to evalute stability? Obtain error evolution equation for the discretization scheme Consider FTBS scheme for linear convection equation:
(uin+1 - uin ) / t + u0 (uin - ui-1n ) / x = 0 (1)

Din = exact soln of (1)

(Din+1 - Din ) / t + u0 (Din - Di-1n ) / x = 0 (2)

Nin = computed soln of (1) to machine accuracy, we have

(Nin+1 - Nin ) / t + u0 (Nin - Ni-1n ) / x = 0 (3)

Stability Analysis: Formulation

in = Din - Nin Nin = Din - in

Substitute in (3) to get

[(Din+1+ in+1)-(Din+ in)]/ t + u0[(Din +in )-(Di-1n +i-1n )]/x=0

Rearranging
[(Din+1 -Din)]/ t + u0[(Din - Di-1n )/x + [( in+1- in)]/ t + u0[(in - i-1n )]/x = 0

Since Din satisfies eqn (1) exactly, error eqn is of the same form:
( in+1 - in ) / t + u0 ( in - i-1n ) / x = 0 (4)

Investigate behaviour of (4) to determine stability

von Neumann Stability Analysis

In general, in = f(x,t) Express (x,t) as a Fourier series (valid for periodic boundaries):

(x,t) = m( bm ejkmx)
km = wave no = m/L, m = 0, 1, 2, ., M bm = amplitude of each wave component

j = (-1)
M = L/x

Since error equation is linear, investigate behaviour of each component and get overall solution by superposition We seek a solution of the form m(x,t) = bm ejkmx = eat ejkmx Write min = eant ejkmix and substitute in error eqn (4) to get

von Neumann Stability Analysis

[eat -1] + [1- e-jkmix ] = 0

= at / x

min+1 / min = G = amplification factor = eat Thus, G = 1- + e-j

= km x
Im

For | G | 1, 0 1 Scheme stable if 0 = at / x 1 Courant-Friedrichs-Lewy (CFL) condition FTBS scheme conditionally stable

G Re

FTCS Scheme
FTCS scheme for linear convection equation:
(uin+1 - uin ) / t + u0 (ui+1n - ui-1n ) / 2 x = 0

Error equation
(in+1 - in ) / t + u0 (i+1n - i-1n ) / 2x = 0

Amplification factor G = 1 - j sin Stability: | G|2 = 1+ 2 sin2 > 1

FTCS scheme unconditionally unstable

Similarly FTFS scheme can be shown to be unconditionally unstable Stability behaviour reflected in the Case Study

FTCS Implicit
FTCS-Implicit scheme for linear convection equation:
(uin+1 - uin ) / t + u0 (ui+1n+1 - ui-1n+1 ) / 2 x = 0

Error equation
(in+1 - in+1 ) / t + u0 (i+1n+1 - i-1n+1 ) / 2x = 0

Amplification factor G - 1 +/2 (ej - e-j ) = 0 or G = 1/ [1 + j sin ] Stability: | G|2 = 1/ [1+ 2 sin2] < 1
FTCS Implicit scheme unconditionally stable

Gain of stability in implicit schemes countered by need to solve equations simultaneously

Generic 1-d Scalar Transport Equation

No source terms, const property and constant given velocity:
/t + u/x = / 2/x2
(1)

FTCS Explicit scheme

(in+1 - in ) / t + u (i+1n - i-1n ) / 2 x = / (i+1n -2 in+i-1n ) / x2

Put = t /( x2) and = u t / x and rearrange to get

in+1

= (+/2) i-1 +
n

(1-2) in + (-/2) i+1n

Im

Amplification factor G = 1+ 2 [cos(kmx) -1] -j sin (kmx) Stability: 1/2 and 2 2

G Re

Generic 1-d Scalar Transport Equation

Oscillations are produced with FTCS explicit if 2 Pe 2/ where Pe = ux/ is the mesh Peclet number This loss of boundedness can be cured by
decreasing grid spacing so that Pe < 2 or by using an upwind scheme for the convective term

upwinding for convective term assuming u > 0 yields

(in+1 - in ) / t + u (in - i-1n ) /x = / (i+1n -2 in+i-1n ) / x2

or, in+1

= i-1n + (1-2- ) in + (+) i+1n

Stable, oscillation-free solution if (2 + ) < 1 Stability analysis becomes more complicated in 2- and 3-d, nonconstant coefficients, non-uniform grids etc.

Part II: Solution of Navier-Stokes Equations

Equations governing fluid flow are coupled, e.g., we have to solve the continuity and the three momentum equations together to get a solution for incompressible, isothermal flows. For highly compressible flows, the energy equation also has to be solved. For compressible flows, a natural coupling exists between the continuity and momentum equations (2-d case):
U/ t + E/ x + F/ y = 0
U = [ u v Et] T

(1) - (4)
Et = e + V2/2

E = [u u2+p-xx uv-xy (Et+p) -uxx - vxy + qx ]T F = [v uv-xy v2+p-yy (Et+p) -uxy - vyy + qy ]T

Solution for Compressible Flow

Discretize eqns. (1) to (4) using. e.g., MacCormack (1969) scheme Predictor step: Uijn+1 = Uijn - t/ x (Ei+1,jn - Ei,jn) - t/ y( Fij+1n - Fijn) Corrector step: Uijn+1 = 1/2 [Uijn + Uijn+1 - t/ x (Ei,jn+1 - Ei-1,jn+1) - t/ y( Fijn+1 - Fij-1n+1) ] + O(t2, x2) Solve (1) for ; (2) for u; (3) for v and (4) for Et Calculate u, v, w, e; p = f(, e) ; T = f(, e)

Extension to Incompressible Flow

MacCormack (1969) explicit scheme has stability limit given by
t f (t)CFL/(1+2/Re) , f = safety factor ~ 0.9

(t)CFL= inviscid CFL limit [u/ x + v/ y + a(1/x2 + 1/ y2)0.5 ]-1

a = speed of sound Re = min (u x/, v y/) For nearly incompressible flows, speed of sound (t)CFL0 Even for implicit methods, (t)max ~ 10 (t)CFL Special methods necessary for nearly incompressible flows

Methods for Incompressible Flow

Evaluation of pressure the main problem:
Continuity for unsteady incompressible flow : U = 0 no natural equation to evaluate pressure

Special methods for incompressible flow

artificial compressibility method streamfunction-vorticity method pressure equation method pressure correction method

Pressure correction method most popular; extension to compressible flow exists but not discussed today (see Ferziger & Peric, 1999)

Pressure Correction Method

Consider the staggered grid arrangement
u-cell p-cell v-cell

N P E W P S E W

Discretize x-mom eqn to yield aeue = nb(anbunb) + b + Ae(pP-pE) Discretize y-mom eqn to yield anvn = nb (anbvnb) + b + An(pP-pN) These can be solved if pressure is known (1) (2)

Pressure Correction Method

Guess pressure = p* and solve (1) and (2) for u* and v*: aeue* = nb (anbunb*) + b + Ae(pP*-pE*) anvn* = nb (anbvnb*) + b + An(pP*-pN*) (3) (4)

u* and v* from (3) and (4) do not satisfy continuity as p* is guessed

correct guessed presssure: u-velocity correction v-velocity correction p = p* + p u = u* + u v = v* + v

How to get u and v for a given p?

Eqn (1) - eqn (3)

ae(ue - ue*) = nb (anb(unb - unb*) + Ae[(pP-pP*)-(pE-pE*)] or aeue = nb (anbunb) + Ae[(pP- pE)] Ae(pP- pE)

Pressure Correction Method

Thus ue

Ae(pP- pE)/ae

and vn

An(pP- pN)/an

(5)

Derive pressure correction equation by discretizing continuity (ue - uw) y + (vn-vs) x = 0

(6)

Substitute ue = ue* + u etc and substitute eqn (5) for u and rearrange to get the pressure correction equation
aPpP = aEpE + aWpW + aNpN + aSpS + b (7)

where

b = (ue* - uw*) y + (vn*-vs*) x aE/W = yAe/w/ae/w aN/S = xAn/s/an/s aP = NB aNB

SIMPLE : Semi-Implicit Method for Pressure-Linked Equations

SIMPLE Algorithm
1. 2. 3. 4. 5. 6. 7.

Guess p*, u* and v* Solve disc. x-mom eqn for u* Solve disc. y-mom eqn for v* Solve pressure correction eqn for p Calculate velocity corrections u and v Calculate other scalars, e.g., T, k .. Update p, u and v and return to 1 if not converged

Has proved very popular since first proposed by Patankar & Spalding (1968) Number of variants exist to improve convergence rate: SIMPLEC, SIMPLER, SIMPLEST, PISO Adapted for collocated grids Adapted for compressible flow Used in many commercial CFD codes