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2

arises in many varied physical situations. Here (x) is the source term, and is often zero, either everywhere or everywhere bar some specic region (maybe only specic points). In this case, Laplaces equation,

2

= 0,

results.

Consider some quantity (x) which diuses. (This might be say the concentration of some (dilute) chemical solute, as a function of position x, or the temperature T in some heat conducting medium, which behaves in an entirely analogous way.) There is a corresponding ux, F, of that is, the amount crossing an (imaginary) unit area per unit time. Experimentally, it is known that, in the case of a solute, the ux is given by F = k where k is the diusivity; in the case of temperature, the ux of heat is given by F = k T where k is the coecient of heat conductivity. (Note that the minus sign occurs because the ux is directed towards regions of lower concentration.) The governing equation for this diusion process is =k t

2

19

R. E. Hunt, 2002

where k is referred to, generically, as the diusion constant. If we are interested in the steady-state distribution of solute or of temperature, then /t = 0 and Laplaces equation, 2 = 0, follows. When there are sources S(x) of solute (for example, where solute is piped in or where the solute is generated by a chemical reaction), or of heat (e.g., an exothermic reaction), the steady-state diusion is governed by Poissons equation in the form

2

S(x) . k

The diusion equation for a solute can be derived as follows. Let (x) be the concentration of solute at the point x, and F(x) = k be the corresponding ux. (We assume here that there is no advection of by the underlying medium.)

Let V be a xed volume of space enclosed by an (imaginary) surface S. In a small time t, the quantity of solute leaving V is given by Ft . n dS.

S

Hence dV

V

t+t

=

t S

F . n dS t.

V

dV =

S

F . n dS =

S

k . n dS,

V V

. (k ) dV.

2

20

R. E. Hunt, 2002

If there are also sources (or sinks) of solute, then an additional source term results: =k t

2

+ S(x)

where S(x) is the quantity of solute (per unit volume and time) being added to the solution at the location x. Poissons equation for steady-state diusion with sources, as given above, follows immediately. The heat diusion equation is derived similarly. Let T (x) be the temperature eld in some substance (not necessarily a solid), and H(x) the corresponding heat eld. We have the relation H = cT where is the density of the material and c its specic heat. The corresponding heat ux is k T . A similar argument to the above applies again, resulting in H =k t where S represents possible sources of heat. Hence T = t

2 2

T + S(x)

T + (c)1 S(x)

where = k/c is the coecient of thermal diusivity. The equation for steady-state heat diusion with sources is as before.

Electrostatics

The laws of electrostatics are . E = / .B=0

0

E=0 B = 0 J

where and J are the electric charge and current elds respectively. Since E = 0, there is an electric potential such that E = ; hence . E = / 0 gives Poissons equation

2

= / 0 .

In a region where there are no charges or currents, and J vanish. Hence we obtain Laplaces equation 2 = 0. Also B = 0 so there exists a magnetostatic potential such that B = 0 ; and 2 = 0.

Gravitation

Consider a mass distribution with density (x). There is a corresponding gravitational eld F(x) which we may express in terms of a gravitational potential (x). Consider an arbitrary xed volume V with surface S containing a total mass MV = (x) dV . V 21

R. E. Hunt, 2002

Gauss showed that the ux of the gravitational eld through S is equal to 4GMV . Hence F . n dS = 4GMV

S

. n dS = 4G

V

(x) dV

=

V

. ( ) dV = 4G

V

(x) dV.

2

. ( ) = 4G.

Other applications

These include the motion of an inviscid uid; Schrdingers equation in Quantum Meo chanics; and the motion of biological organisms in a solution.

2.2

We shall solve Laplaces equation equation becomes 1 r r

2

Consider solutions of the form (r, ) = R(r)() where each function R, is a function of one variable only. Then 1 r r and r r = () d r dr r dR dr

1 2 R(r) d2 = 2 . r2 2 r d2 r d R dr r dR dr = . (2)

22

R. E. Hunt, 2002

The LHS is a function of r only, and the RHS of only; hence both must be constant, say. Then = A + B = A cos + B sin =0 =0

To obtain a sensible physical solution, replacing by + 2 should give the same value of (see later). This is true only if ( + 2) = () ; i.e., either = 0 or cos 2 = 1 and sin 2 = 0

which implies 2 = 2n for some integer n. (Note that the possibility that < 0 is ruled out at this stage.) Hence A + B n=0 = A cos n + B sin n n = 0 Returning to (2), r d R dr = r dR dr = = n2

r2 R + rR n2 R = 0.

It is easily shown (either by direct verication or by making the substitution u = ln r) that the solutions of this equation are C + D ln r n=0 R= Crn + Drn n = 0 Hence, we obtain possible solutions to (1) as (C + D ln r)(A + B) n=0 = R = (Crn + Drn )(A cos n + B sin n) n = 0 We note that the combination ln r does not satisfy the requirement above for 2periodicity of , and so we exclude it. Equation (1) is linear and so we may form a superposition of the above solutions; in fact the general solution is an arbitrary linear combination of all the possible solutions obtained above, that is

n n

= A0 + B0 + C0 ln r +

n=1

(An r + Cn r

) cos n +

n=1

(Bn rn + Dn rn ) sin n

23

R. E. Hunt, 2002

where we have relabelled all the arbitrary constants, e.g., AC has become An and BD has become Dn . We can make this expression more compact by dening An = Cn and Bn = Dn for n > 0; then

= A0 + B0 + C0 ln r +

n= n=0

Although this is more compact, the rst expression is often easier to use. Notes: (i) Why did we require that , rather than itself, be periodic? In many cases (e.g. temperature, diusion), must clearly be periodic and so we shall further need B0 = 0. But in other cases (e.g. electrostatics, gravitation), is not itself a physical quantity, only a potential; it is which has a physical signicance (e.g., the force). For example, consider the magnetostatic potential around a wire carrying a current I; here = (I/2), which is multi-valued, but B = 0 (the quantity of physical interest) is of magnitude 0 I/2r and is single valued. (ii) A common mistake made during separation of variables is to retain too many arbitrary constants; e.g. to write Cn rn (An cos n + Bn sin n). For each n, this looks like 3 arbitrary constants (An , Bn , Cn ); but of course there are really only two arbitrary quantities (Cn An and Cn Bn , which we have relabelled as An and Bn above). (iii) The above derivation also applies to 3D cylindrical polar coordinates in the case when is independent of z.

In spherical polars (r, , ), in the case when we know to be axisymmetric (i.e., independent of , so that / = 0), Laplaces equation becomes 1 r2 r r2 r + r2 1 sin sin = 0.

Seek solutions of the form (r, ) = R(r)(). Then 1 2 1 (r R ) = ( sin ) R sin 24 (3)

R. E. Hunt, 2002

and both sides must be constant, say. So ( sin ) = sin . Let = cos , and use the chain rule to replace d/d by d/d: d d d d = = sin . d d d d So sin = d d d d sin2 (1 2 ) d d = sin

d d

+ = 0.

This is Legendres equation; for well-behaved solutions at = 1 (i.e., = 0, ) we need = n(n + 1) for some non-negative integer n, in which case = CPn () = CPn (cos ) where C is an arbitrary constant. Returning to (3), (r2 R ) = R = to which the solution is R = Arn + Brn1 . The general solution to Laplaces equation in the axisymmetric case is therefore (absorbing the constant C into A and B)

(r, ) =

n=0

A similar analysis when may depend on shows that the general solution is

n m (Amn rn + Bmn rn1 )Pn (cos )eim n=0 m=n

(r, , ) = where

m Pn ()

are the associated Legendre functions which satisfy the associated Legendre equation d d (1 2 ) d d + n(n + 1) + m 1 2 =0

25

R. E. Hunt, 2002

2.3

2

in a volume V with surface S, subject to so-called Dirichlet boundary conditions (x) = f (x) on S, where f is a given function dened on the boundary. From a physical point of view, we have a well-dened problem; say, nd the steadystate temperature distribution throughout V , with heat sources given by (x), subject to a specied temperature distribution on the boundary. No further conditions are required in real life to ensure that there is only one solution. Mathematically, then, can we show that the problem above has a unique solution? Suppose that there are actually two (or more) solutions 1 (x) and 2 (x). Let = 1 2 . Then 2 = 2 1 2 2 = = 0 in V subject to =f f =0 on S.

2

. ( )

= | |2 + = | |2 . Hence | |2 dV =

V V

. ( ) dV

=

S

. n dS

=0 because = 0 on S. But | |2 0 everywhere; its integral can only be zero if | | is zero everywhere, i.e., 0, which implies that is constant throughout V . But = 0 on S, so 0 throughout V . Thus 1 = 2 , which demonstrates that our problem has a unique solution, as expected. A similar theorem holds when instead of Dirichlet boundary conditions we have Neumann boundary conditions: that is to say instead of being specied (by the function

26

R. E. Hunt, 2002

2.4

Suppose that satises 2 = 0 in a volume V with surface S. Then both the minimum and maximum values of occur somewhere on S (and possibly also somewhere inside V ). Why is this? Suppose has a local maximum somewhere in the interior of V . At that point we must have /x = /y = /z = 0 (stationary point); and as it is a maximum, 2 /x2 < 0, 2 /y 2 < 0, 2 /z 2 < 0. But this cannot happen since 0 = 2 = 2 /x2 + 2 /y 2 + 2 /z 2 . The same applies to minima.

This is not a formal proof since it is actually possible for a maximum to have 2 2 2 = = = 0, x2 y 2 z 2 a case we havent considered: compare with the possibility in 1D that a maximum could have d2 y/dx2 = 0. However, the theorem can still be shown to hold.

Example: in the worked example of the steady-state temperature distribution in a cylinder, we can deduce that |T | T0 in r < a.

2.5

Greens Function

In 1D, (x x0 ) is a function which is zero everywhere except at x = x0 , and is innite there in such a way that

b

(x x0 ) dx = 1

a

whenever x0 (a, b). As a consequence, a f (x)(x x0 ) dx = f (x0 ). We extend the denition to 3D via (x x0 ) = (x x0 )(y y0 )(z z0 ) 27

R. E. Hunt, 2002

V

Greens Function

Suppose that we wish to solve Poissons equation in a volume V with surface S on which Dirichlet boundary conditions are imposed. The Greens function G(x; x0 ) associated with this problem is a function of two variables: x, the position vector, and x0 , a xed location. It is dened as the solution to

2

G(x; x0 ) = (x x0 ) G=0

in V , on S.

(Physically, we can think of G as the potential from a point source at x0 with the boundary held at zero potential.)

It is possible to prove that G is symmetric, i.e., G(x; x0 ) = G(x0 ; x). This can be useful as a check that G has been correctly calculated. Physically, this corresponds to the remarkable fact that the potential at x due to a source at x0 is the same as the potential at x0 due to a source at x, regardless of the shape of S.

When V is all space (i.e., the limit of a sphere whose radius tends to ), Greens function is known as the fundamental solution. For a problem with Neumann boundary conditions, G(x; x0 ) is dened to satisfy G/n = 1/A on S, where A = S dS is the surface area of S, rather than G = 0 there. In many cases S is innitely large, in which case the boundary condition reduces to G/n = 0.

Consider rst x0 = 0. Then 2 G = (x) and G 0 as |x| . The problem is spherically symmetric about the origin, so we expect G to be a function of r alone. Try

28

R. E. Hunt, 2002

VR

(x) dV =

VR

. ( G) dV

=

SR

G . n dS =

SR

g (r) dS

SR

dS

= 4R2 g (R)

= = =

g (R) = g (r) =

1 4R2 1 4r2

for all R

g(r) =

1 + A, 4r

where A is a constant. As r , G 0, so A = 0. Hence the solution is 1/4|x|. Shifting the origin to a non-zero x0 , we see that in general the fundamental solution in 3D is 1 G(x; x0 ) = . 4|x x0 | Example: an electron located at x0 is an electrostatic point source, so the charge distribution in space is (x) = e (x x0 ). Hence the electrostatic potential obeys

2

= (e/ 0 ) (x x0 )

using a result from 2.1. The solution is therefore just a factor e/ 0 times the fundamental solution, i.e., e/4 0 |x x0 |. This is the standard formula for the potential due to an electron.

Again, we solve 2 G = (x), where the delta-function is now in 2D. We will see that a solution with G 0 as |x| is impossible; instead we will nd a solution such that | G| 0. As before, G = g(r) (where r is now the plane polar radius). Applying the Divergence

29

R. E. Hunt, 2002

rR

(x) dV =

rR

. ( G) dV

=

r=R

G . n dl =

r=R

g (r) dl

(Note that g (r) 0 as r , but g(r) , whatever the constant.) Shifting the origin, we see that the fundamental solution in 2D is G(x; x0 ) = 1 ln |x x0 | + constant. 2

Example: consider an innitely long charged wire in three dimensions lying along the z-axis, with a charge density of per unit length. What is the electric potential around the wire? We assume the wire to be mathematically perfect, i.e., of innitesimal width. Then the electric charge distribution, in 3D, is = (x)(y). (Check that this gives the correct result for the amount of charge in a unit length of the wire.) But it is clear that this problem is fundamentally two-dimensional, with = (x) where x = (x, y); and the potential satises 2 = (x)/ 0 . Hence the potential is (up to an arbitrary additional constant) just given by an appropriate multiple of the two-dimensional fundamental solution, namely = ln |x| = ln 2 0 2 0 x2 + y 2 = ln r 2 0

where r is the perpendicular distance to the wire (i.e., the r of cylindrical polar coordinates rather than of spherical polars).

2.6

We can use the fundamental solution to nd Greens function in some simple geometries, using the method of images. We shall nd a function which satises the equation and the boundary conditions; by uniqueness, this must be the Greens function. 30

R. E. Hunt, 2002

Example: A 3D half-space x > 0 Suppose that the domain D is the half-space of R3 with x > 0. The Greens function obeys

2

G = (x x0 ) G=0 G0

x D, on x = 0, as |x| , x D.

Consider the solution in all space for the point source at x = x0 together with another (imaginary) source of strength 1 at the image point x = x1 as shown: = and

2

1 1 4|x x0 | 4|x x1 |

= (x x0 ) (x x1 )

by superposition of the two fundamental solutions. This certainly satises the requirement 2 = (x x0 ) for all x D, because (x x1 ) 0 x D. It also satises 0 as |x| ; and on x = 0, |x x0 | = |x x1 | so that = 0. Hence by uniqueness, G(x; x0 ) = = 1 4 1 1 |x x0 | |x x1 | .

2

G = (x x0 )

x D

31

R. E. Hunt, 2002

with G = 0 on both x = 0 and y = 0. We nd that we need 3 image sources as shown: x1 and x2 with strength 1, and x3 with strength +1. Then G= = 1 1 1 1 ln |x x0 | ln |x x1 | ln |x x2 | + ln |x x3 | + constant 2 2 2 2 1 |x x0 | |x x3 | ln + constant. 2 |x x1 | |x x2 |

Clearly 2 G = (x x0 ) in D (all the other delta-functions are zero there); on x = 0, |xx0 | = |xx1 | and |xx2 | = |xx3 |, so choosing the constant to be zero ensures that G = 0; similarly on y = 0. By uniqueness, then, this is the required Greens function. Further extensions to this idea are possible; e.g., planes inclined at 60 to each other, or a pair of parallel planes.

Example: Heat ow from a source in a 3D half-space with a wall at constant temperature Suppose that the ambient temperature is T0 and that a wall at x = 0 is held at that temperature, with a heat source of strength Q at x0 . Then T = T0 Q G(x; x0 ), k

where G is the Greens function for the 3D half-space x > 0. (Why? Because we need to solve 2 T = Q (x x0 ) here.) k What is the total heat ux across the wall S? It is

(k T ) . n dS = k

S

T dy dz = Q x

G(x; x0 ) x

dy dz

x=0

which we can evaluate with some eort (see the worked example in the next section for an example of this sort of evaluation).

32

R. E. Hunt, 2002

Alternatively, we can use the Divergence Theorem on the surface consisting of the wall plus the hemisphere at . Since T tends to zero on the hemisphere, (k T ) . n dS =

S V

. (k T ) dV

= k

V

T dV

= k

V

Q (x x0 ) dV k

e = G(x; x0 )

0

Now the surface charge density induced on the plate is = 0 Ex (standard result from electrostatics, where Ex is the x-component of E). The normal force (per unit area) on the plate, towards the charge, is 2 2 e2 G 2 1 Ex = 1 0 Ex = 1 0 = , 2 2 2 x 2 0 x and we calculate G/x as in the worked example in the next section. We can integrate this over the whole plate (with considerable eort) to obtain the total force: e2 2 0

x2 0 4 2 x2 + (y y0 )2 + (z z0 0

3 )2

dy dz = =

e2 . 16 0 x2 0

The force on the charge from the plate is equal and opposite, i.e., e2 /4 0 (2x0 )2 towards the wall. Note that we could also have found this directly by considering the force on the charge due to the image charge, ignoring the plate!

Example: Images in a sphere What is Greens function for the domain r < a in 3D? We need

2

G = (x x0 ) G=0

in r < a, on r = a.

33

R. E. Hunt, 2002

The image point turns out to be at the inverse point a2 x1 = x0 |x0 |2 (so that a/|x1 | = |x0 |/a) with strength a/|x0 |, so Greens function is G(x; x0 ) = 1 4 1 a/|x0 | + |x x0 | |x x1 | .

(Check this by rst showing that |x x1 |2 = (x x1 ) . (x x1 ) = (a2 /|x0 |2 )|x x0 |2 when |x| = a.) Note that the same result holds if we consider the domain r > a instead.

Example: Images in a circle This is the 2D equivalent of the above. The image point is at x1 = (a2 /|x0 |2 )x0 as before, but now the strength of the image is just 1, so the Greens function is 1 1 ln |x x0 | ln |x x1 | + constant G(x; x0 ) = 2 2 1 |x x0 | ln + constant. 2 |x x1 | Choosing the constant correctly, we can ensure that G = 0 on the circle r = a. =

2.7

The most important application of Greens function is that it can be used to nd the solution of Poissons equation with an arbitrary source distribution.

Greens Identity

For any smooth functions and , Greens Identity is (

V 2

) dV =

S

( ) . n dS

34

R. E. Hunt, 2002

where V is a volume with surface S. Prove this by applying the Divergence Theorem to the vector eld F = , and using . ( ) = . + 2 . The RHS is also written

S

n n

dS.

Consider the general problem of Poissons equation with Dirichlet boundary conditions:

2

= =f

in V , on S.

Apply Greens Identity, taking to be the Greens function G(x; x0 ) for the problem: (

V 2

GG

) dV =

S

( G G ) . n dS

(x x0 ) =

V

f G dV +

V

0 f

S

(x x0 ) dV =

G dS n

(x0 ) =

V

(x)G(x; x0 ) dV +

S

f (x)

G dS. n

This is the Integral Solution of Poissons equation. Notes: (i) We can also use the integral solution to solve Laplaces equation with Dirichlet boundary conditions, by taking (x) = 0. (ii) A similar result (but with technical dierences) can be derived for Neumann boundary conditions, in which case G is dened dierently (see 2.5). (iii) We sometimes wish to take V to be all space, by taking the limit of a sphere whose radius tends to . In this case we simply use the fundamental solution for G; but (strictly speaking) we need to ensure that the surface integral tends to zero (by requiring, for example, that on the surface of the sphere, (x) 0 suciently quickly as the radius increases). Then (x0 ) =

R3

(x)G(x; x0 ) dV.

35

R. E. Hunt, 2002

This latter result is easy to understand in many physical situations. For instance, consider an arbitrary electrostatic charge distribution (x). Then

2

= / 0

in R3 , as |x| .

(We assume here that the charge distribution decays rapidly far from the origin.) Using the integral solution of Poissons equation, with V = R3 , and setting G to be the fundamental solution in 3D, (x0 ) =

R3

(x) dV. 4 0 |x x0 |

We can interpret this physically as the superposition of many innitesimal charge elements (x) dV . Each of these is eectively a point charge, and the potential at x0 from such a point charge (using the standard formula for the electrostatic potential due to a point charge) is just (x) dV /4 0 |x x0 |. Summing over all such innitesimal elements gives the above result.

2.8

Finite Dierences

Applying Taylors theorem to any smooth function f we obtain

1 f (x + x) = f (x) + x f (x) + 2 x2 f (x) + 1 x3 f (x) + O(x4 ), 6 1 1 f (x x) = f (x) x f (x) + 2 x2 f (x) 6 x3 f (x) + O(x4 ).

f (x + x) f (x) + O(x); x hence f (x + x) f (x) x is a rst order forward nite dierence approximation to f (x). (First order because the error term, known as the truncation error, is O(x).) Similarly, by subtracting the two Taylor expansions above, we obtain f (x) = f (x + x) f (x x) + O(x2 ), 2x giving us a second order central nite dierence. f (x) = The same reasoning allows us to nd approximants for higher derivatives: for example, a second order central nite dierence for the second derivative which we shall use for Poissons equation is f (x) f (x + x) 2f (x) + f (x x) . x2 36

We deduce that

R. E. Hunt, 2002

We can use this reasoning to nd approximants of as high an order as we like: for instance f (x) = f (x + 2x) + 8f (x + x) 8f (x x) + f (x 2x) + O(x4 ). 12x

Suppose we wish to solve Poissons equation, 2 = , in two dimensions in some rectangular domain a x b, c y d. We cover the domain with a regular grid (or mesh) given by xi = a + ix, yj = c + jy for i = 0, . . . , m, j = 0, . . . , n: here x = (b a)/m and y = (d c)/n are the grid spacings in the x- and y-directions respectively. At each grid point (i, j) the exact value of the solution is (xi , yj ); we shall nd an approximate solution at that grid point which we denote i,j . Using second order central nite dierences for both the derivatives 2 /x2 and 2 /y 2 we obtain the discretization of Poissons equation on the grid, i+1,j 2i,j + i1,j i,j+1 2i,j + i,j1 + = (xi , yj ) x2 y 2 at each of the interior points 0 < i < m, 0 < j < n. In addition, we will have boundary conditions (Dirichlet, Neumann, or a mixture of the two) at i = 0, m and j = 0, n. We therefore have a large number of simultaneous linear equations: at every point of the grid, both interior and on the boundary, there is a corresponding equation, so that we have a total of (m + 1)(n + 1) equations to solve. It is usual to take x = y, which we shall assume from now on, in which case the discretization at interior points reduces to i+1,j + i1,j + i,j+1 + i,j1 4i,j = (xi , yj )x2 . This can also be denoted using a stencil (or template) as

37

R. E. Hunt, 2002

What do we do for non-rectangular domains? Suppose we wish to nd the steady-state temperature T in an annulus a r b. There are two possible simple approaches. The rst is to change coordinates to plane polar coordinates (r, ), whereupon the grid becomes rectangular: 0 2, with an extra boundary condition that T (r, 0) = T (r, 2). The second approach is to approximate the boundary of the annulus using short line segments in only the x- and y-directions. More advanced techniques can use grids with non-rectangular elements.

Example: suppose we wish to solve Poissons equation in 0 x 1, 0 y 1 with = 2y and boundary conditions (x, 0) = 0, (0, y) = 0, (1, y) = y (Dirichlet) and (x, 1) = x2 (Neumann). We shall use a grid spacing of 1 in both directions (and will y 3 not expect to obtain very accurate results because of the large spacing!).

At each of the four interior points we apply the stencil. On the lower, left and right boundaries we have simply 0,0 = 1,0 = 2,0 = 3,0 = 0; 3,1 = 1 , 3 3,2 = 2 , 3 38 0,1 = 0,2 = 0,3 = 0; 3,3 = 1

R. E. Hunt, 2002

respectively. On the top boundary we must use a nite dierence approximation for /y to obtain 1,3 1,2 = x2 y = 1

1 , 27

2,3 2,2 = x2 y = 2

4 . 27

We can therefore gather together the 16 simultaneous equations representing each point of the grid in a single equation involving a 16 16 matrix as follows: 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 4 1 1 4 0 0 0 0 1 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 1 0 0 0 0 4 1 1 4 0 0 0 0 1 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 1 0 0 0,0 0 0 0 1,0 0 2,0 0 0 3,0 0 0 0,1 0 2 0 1,1 27 2 0 2,1 27 0 3,1 1 =3 0 0,2 0 4 1,2 27 0 4 0 2,2 27 0 3,2 2 3 0,3 0 0 1 0 1,3 27 4 0 2,3 27 1 3,3 1

In theory, the problem is now solved: we simply use Gaussian elimination to obtain 0,3 = 0, 0,2 = 0, 0,1 = 0,

1 1,3 = 9 ,

8 , 27 4 , 27

1,2 = 1,1 =

2 , 27 1 , 27

0,0 = 1,0 = 2,0 = 3,0 = 0, which is our approximate solution to Poissons equation.

In fact the exact solution of this problem is = x2 y, and we see that our approximate solution is quite unexpectedly exact! This is linked to the fact that the exact solution contains only powers of x and y no higher than cubes, and the nite dierence formula for second derivatives is exact for such functions.

However, in real applications Gaussian elimination is simply not possible. There are N = (m + 1)(n + 1) unknowns i,j ; the matrix in the problem has N 2 elements, and the number of calculations required to perform a full Gaussian elimination is O(N 3 ). For 39

R. E. Hunt, 2002

even a modest grid size (say 100 100) the number of calculations required would be around 1012 , which is unreasonable. Fortunately, we note that the matrix has a band diagonal (or banded ) structure: beyond a certain distance from the leading diagonal, all entries are zero, so that only a small number of the diagonals in the matrix are non-zero. Because of the widespread need to solve Poissons and related equations eciently, many specialised algorithms have been developed for such matrices, taking advantage of the large number of zeros to optimise the elimination process. The number of calculations required by these algorithms is typically only O(N ).

2.9

Another approach to solving the discretized form of Poissons equation is to use an iterative method. These so-called relaxation methods start with some initial guess at the solution (which does not need to be a good guess: it could be simply all zeros!) which is then allowed to move slowly towards the true solution. Note that such methods therefore involve two kinds of errors: those caused by the fact that the nite dierences used in the discretization are not exact, and those caused by the fact that the initial guess never quite reaches the true solution. Relaxation methods are typically a little slower than the matrix methods discussed above, but require signicantly less computer memory. This can be an important consideration when high accuracy is required and a small grid spacing is being used.

This is the simplest of the relaxation methods. For Poissons equation in two dimensions using the standard discretization above the algorithm is as follows: 1. Initialise each i,j to some initial guess. 2. Apply the boundary conditions. 3. For every interior grid point, calculate the quantity

1 = 4 (i+1,j + i1,j + i,j+1 + i,j1 (xi , yj )x2 ). i,j

4. For every interior grid point, replace the old approximation i,j with . i,j 5. Repeat from step 2 until the dierence between the latest two approximations is smaller than some set tolerance everywhere.

40

R. E. Hunt, 2002

Once the tolerance has been reached, we have that i,j 1 (i+1,j + i1,j + i,j+1 + i,j1 (xi , yj )x2 ), 4 i.e. i+1,j + i1,j + i,j+1 + i,j1 4i,j (xi , yj )x2 . We therefore have an approximate solution to our original simultaneous equations (which were themselves an approximation to Poissons equation). Unfortunately, although each iteration of the Jacobi method is quick and easy, it is very slow to converge, especially for large grids. It is therefore impractical, but it forms the basis for other more useful methods.

This is very similar to the Jacobi method, except that steps 3 and 4 of the algorithm are combined: as soon as has been calculated for a particular grid point it is immediately i,j used to replace i,j . The advantages of this method are that at any time it is only necessary to store the value of at one grid point, rather than at all of them; and the i,j convergence turns out to be somewhat faster (though it is still quite slow).

The errors in solutions obtained using either the Jacobi or GaussSeidel iterations decrease only slowly, and often in a monotonic manner. We can therefore improve on those methods by over-correcting our solution at each step using a dierent formula for : i,j = (1 )i,j + 1 (i+1,j + i1,j + i,j+1 + i,j1 (xi , yj )x2 ) i,j 4 where is the relaxation parameter. The value = 1 gives the GaussSeidel method again; < 1 would produce under -relaxation, where we keep a proportion of the old solution; and > 1 produces over -relaxation where we actually move further away from the old solution than we would using GaussSeidel. The best value to use for depends on the particular problem being solved, and may also vary as the iterative process proceeds. However, values in the range 1.2 to 1.4 typically produce good results, and in some cases it is possible to determine an optimal value analytically. The number of iterations required using SOR is signicantly less than for either Jacobi or Gauss-Seidel, and for large grids it is often the most practical of all methods of solution. More advanced methods exist with even better convergence rates, such as the multigrid method which simultaneously uses a number of dierent grids with dierent grid 41

R. E. Hunt, 2002

spacings. However, the programming eort required becomes much greater, and so these advanced methods are usually implemented using black box routines written by experts in numerical analysis.

2.10

The methods developed for numerical solution of Poissons equation are easily extended to the diusion equation = k 2 . t For simplicity we shall consider a rectangular two-dimensional domain 0 x 1, 0 y 1, with some initial value for (x, y, t) at t = 0. We rst introduce a spatial grid just as for Poissons equation, with x = y, and denote our approximation to (xi , yj , t) by i,j (t). Using the standard nite dierence formulae for the spatial second derivatives we obtain di,j = k(i+1,j + i1,j + i,j+1 + i,j1 4i,j )/x2 dt at each interior point. Thus we have (n 1)2 coupled ordinary dierential equations, which we can solve using various methods. However, we need to take care to ensure that the method we use leads to a stable solution.

To solve these dierential equations we can use a rst order forward nite dierence in (k) time. Introduce a time-step t, and let i,j denote our approximation to (xi , yj , kt). Then using (k+1) (k) i,j i,j t for the nite dierence approximation to /t, we obtain the iterative scheme i,j where = k t x2

(0) (k+1)

(k)

(k)

(k)

(k)

(k)

(k)

is the Courant number. We can now, starting from the known values of i,j , step forward (1) in time to i,j and so on.

42

R. E. Hunt, 2002

We shall see that the stability of this method depends on . To analyse the stability, we examine the behaviour of our approximate solution i,j as k . In the exact solution, remains bounded as t ; that is, it does not grow ever larger with time ( is simply diusing from one place to another, and there are no source terms). Will this also be true of our approximate solution? Before we can make progress we need to introduce the concept of a Fourier mode. Any function f (x) can be expressed using Fourier transforms as f (x) = 1 2

(k)

f (k)eikx dk;

that is, as an sum (in fact, an integral) of individual modes of the form eikx , each weighted by the appropriate factor f (k)/2. By taking a double Fourier transform in both x and y, we can therefore write the initial value (x, y, 0) as a weighted sum of individual modes of the form eix eiy where and are the wavenumbers in the x- and y-directions respectively. We shall investigate the evolution of each such mode individually. If any one mode grows uncontrollably with time then the complete solution (the sum of the weighted modes) will do too.

This approach works because the diusion equation /t = 2 is linear, which means that individual modes do not interfere with each other. In a nonlinear system, modes could interact and so it would be impossible to investigate them individually. For example, consider the ordinary dierential equation y = y 2 ; if we tried using a sum of Fourier modes then the y 2 term would introduce lots of cross-products (because, for example, (eik1 x + eik2 x )2 is not the same as just the sum of the squares of the individual two modes eik1 x and eik2 x ).

So how would i,j = eixi eiyj evolve? We see that i,j = eixi eiyj + (eixi+1 eiyj + eixi1 eiyj + eixi eiyj+1 + eixi eiyj1 4eixi eiyj ) = 1 + (eix + eix + eiy + eiy 4) eixi eiyj = 1 + 2(cos x 1) + 2(cos x 1) i,j = i,j

(0) (0) (1)

(0)

where the amplication factor is given by = 1 4 sin2 1 x 4 sin2 1 x. 2 2 Applying this repeatedly, we see that i,j = k i,j . Now, if 1 then 1 1 for all and ; so as the mode evolves it does not grow in 4 1 amplitude. However, if > 4 then for some values of and we have || > 1, so that as 43

(k) (0)

R. E. Hunt, 2002

the mode evolves it grows larger and larger in amplitude, eventually tending to innity as k . Hence we deduce that the condition for stability of the Euler method for the diusion equation in two dimensions is 1 : this is known as the Courant condition. 4 A similar analysis in one dimension leads to the Courant condition 1 . It is easy 2 to extend the method, and the stability analysis, to n dimensions. In practice, we nd that it is dicult to ensure stability using the Euler method if we want both accuracy and a reasonable speed of calculation. Recall that = k t/x2 ; if x is small then we will require an extremely small value of t to ensure stability. Such a small value means that a very large number of iterations will be required to calculate the solution at a given time t.

We have ignored in this discussion the boundary conditions. These do, of course, have an eect on the evolution of the solution, but in general their eect is of subsidiary importance if the method we are using is unstable. Because of the way the nite dierence equations have been set up, at k = 1 only those points in the grid which are immediately next to a boundary will have been aected by the boundary conditions. At later times, for general k, only points in the grid which are k or fewer points away from a boundary will have been aected. By the time the eect of the boundaries reaches a point in the interior of the grid, therefore, the instability of the solution caused by the factor k will generally have already taken hold. Nevertheless, it is possible for unusual boundary conditions to turn a method which would otherwise have been stable into an unstable method.

Suppose that we wish to nd the values of throughout the grid at some time t = T > 0, starting from the given initial conditions. We will choose x and t so that the Courant condition is satised and the Euler method is stable; but it is useful to have some idea of how accurate our results will be. Recall that we used a rst order approximation for /t, but a second order one for the spatial partial derivatives, thereby introducing errors of O(t) and O(x2 ) respectively. (k+1) in terms of the In deriving our iterative scheme (i.e., the equation which gives i,j (k) values of i,j ), we multiplied by t; so the local truncation error of the Euler method is O(t2 ) + O(x2 t). The word local here refers to the fact that this is the truncation (k+1) error introduced into i,j by a single step. To iterate all the way to t = T we will need to carry out T /t steps of the iteration, and at each step we will accumulate the above local error. The global error of the method, i.e., the total error in the solution at t = T , is therefore T /t O(t2 ) + O(x2 t) = O(t) + O(x2 ). Recalling that = k t/x2 , we see that if is xed, t and x2 are of the same order; so the global error can be written simply as O(t). 44

R. E. Hunt, 2002

The above errors, caused by our numerical method itself, would be the only errors in a perfect computer implementation of the Euler method. However, for any real computer there will also be rounding errors, caused by the computers inability to store real numbers with innite precision. These rounding errors are usually signicantly smaller than the truncation error; but if the step-size is reduced too far, rounding errors may become signicant. Hence it may be impossible to get the precision we desire, however small we make the step-size.

The CrankNicholson method is a much better way of solving the diusion equation in one dimension, though it is rather tricky to use in higher dimensions. We shall therefore illustrate its application to the one-dimensional equation 2 =k 2. t x We still use a forward nite dierence for /t, but instead of simply using a central nite dierence at time t for 2 /x2 we use the average of a central nite dierence at time t and one at time t + t. This leads to i

(k+1)

i t

(k)

k = 2

i+1 2i + i1 i+1 2i + x2 x2

(k)

(k)

(k)

(k+1)

(k+1)

+ i1

(k+1)

or equivalently i

(k+1)

(k+1) (k)

This is an implicit method: to nd the values of i from the values of i we will need to solve a system of coupled linear equations. However, the system is (fortunately) tridiagonal, and so quick solvers exist for the problem. To test the stability of the CrankNicholson method, we again investigate the evolution of a single Fourier mode eix . An analysis very similar to the one above, left as an exercise for the reader, leads to

(k) i

1 2 sin2 1 x 2 1 1 + 2 sin2 2 x

i .

(0)

1 The amplication factor in this case satises |(1 2 sin2 2 x)/(1 + 2 sin2 1 x)| < 1 2 for all values of , and , so the method is unconditionally stable. The practical implication is that the step-size in time, t, may be chosen independently of the spatial step-size x: both may be chosen on the grounds of truncation error alone and we are not hampered by stability requirements.

45

R. E. Hunt, 2002

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