1 Computational Fluid Dynamics Reading Group

:
Finite Element Methods for Stokes & The Inf-
amous Inf-Sup Condition
Fall 2009. 09/11/09
Dharshi Devendran, Sandra May & Eduardo Corona
1.1 Introduction
Last week we studied the key concepts of Finite Element Methods, in the con-
text of solving the Laplace equation. We saw the …nite element method arise
naturally as an instance of the Galerkin method, a discretization procedure for
the corresponding weak formulation. Finally, we learned about error estimates,
examples of elements and implementation practices.
This week, our main objective is to do the same in the context of solving
the Stokes equation, which as we know is the low Reynolds number limit of the
Navier Stokes equation. The theory and implementation behind the Finite Ele-
ment Methods used to solve this equation (which are referred to in the literature
as Mixed Methods) are much more simpler than their counterparts for Navier
Stokes (since one has to deal with the nonlinearity and the time dependance,
amongst other numerical issues) and yet capture their essential components.
1.1.1 Outline
Before plunging into the subject, it is perhaps best to present a rough sketch:
« As we did for Laplace, we will derive the variational / weak form of
the Stokes equations.
« In a similar fashion, the weak formulation will involve n ¸ A and j ¸ '
with A and ' Hilbert spaces.
« To discretize these equations, we will need two …nite element spaces:
one for n and one for j.
« We will spend most of our time discussing how to choose this pair of
spaces so that our …nite elements converge and are numerically stable.
This is where the infamous inf-sup condition will play a key role
in allowing us to pick these spaces carefully.
« The method presented is one instance of what is called a Mixed Method.
These methods always involve the interplay between two or more …nite el-
ement spaces, and are also extremely useful in solving higher order elliptic
equations such as the Biharmonic equation.
1
To underline how important this theory is to the success of our methods,
it is perhaps best to quote Braess: "Although instabilities had been observed
in computations with this elements in ‡uid mechanics, attempts to explain its
instable behavior and to overcome it in a simple way mostly proved to be un-
satisfactory.... There are very few areas where the mathematical theory is of as
great importance for the development of algorithms as in ‡uid mechanics."
1.2 Variational Formulation of the Stokes Equation
As we know, the dimensionless equations for Stokes ‡ow are the following:
_
_
_
n +\j = ÷) in
div(n) = 0 in
n = n
0
in 0
_
_
_
Where the boundary data has to comply with the following compatibility con-
dition (using the divergence theorem):
_
@
n
0
·do =
_

div(n)dr = 0
In particular, this is automatically satis…ed if n
0
= 0. For the sake of simplicity,
from now on we will assume homogeneous boundary conditions.
Now, a classical solution for these equations is such that n ¸ C
2
() ¨ C()
and j ¸ C
1
(). Since these equations determine pressure up to a constant, we
will enforce that j have 0 average in .
As we did for Laplace, we multiply the momentum balance equation by a
test function c ¸ (C
1
0
())
n
(one test function for each coordinate of n) and
integrate by parts to obtain:
_

n
i
c
i
+
0j
0r
i
c
i
= ÷
_

\n
>
i
\c
i
÷
_

j
0c
i
0r
i
= ÷
_

)
i
c
i
Adding these, we …nd:
_

\n : \c +
_

j div(c) =
_

) c \c ¸ (C
1
0
())
n
Finally, we multiply the continuity equation by a test function ¡ ¸ 1
2;0
() =
¦¡ ¸ 1
2
() :
_

¡ = 0¦, to obtain:
_

¡ div(n) = 0 \¡ ¸ 1
2;0
()
Once again, we observe that for this formulation to make sense, all we require
is n ¸ (H
1
0
())
n
and j ¸ 1
2;0
(). Using the density of (C
1
0
())
n
in (H
1
0
())
n
,
we de…ne the weak Stokes problem as follows: Find (n, j) ¸ (H
1
0
())
n
1
2;0
()
such that:
_ _

\n : \· +
_

j div(·) =
_

) · \· ¸ (H
1
0
())
n
_

¡ div(n) = 0 \¡ ¸ 1
2;0
()
_
2
It is clear from the previous derivation that a classical solution of Stokes ‡ow is
also a weak solution. Also, in an analogous way as with the Laplace equation,
denoting
a(n, ·) =
_

\n : \·
/(·, j) =
_

j div(·)
1(·) =
_

) ·
The weak problem is of the form:
_
a(n, ·) +/(·, j) = 1(·) \· ¸ A = (H
1
0
())
n
/(n, ¡) = 0 \¡ ¸ ' = 1
2;0
()
_
Like in the case of Laplace, this is nothing more than a set of linear equations in
(n, j)! To see it more clearly, it is adequate to de…ne ¹ : A ÷A

as ¹[n](·) =
a(n, ·), 1 : A ÷ '

as 1[n](¡) = /(n, ¡) and its adjoint 1
>
: ' ÷ A

as
1
>
[¡](n) = /(n, ¡). Then, our equations are equivalent to:
_
¹ 1
>
1 0
_ _
n
j
_
=
_
1
0
_
For general a and / bilinear forms (and the corresponding linear operators ¹
and 1), this type of linear system is known as a Saddle Point Problem. We
might recognize it from the method of Lagrange multipliers or from studying
interior point methods, and as we will see, this is more than a coincidence.
1.3 What can we say about these Saddle Point Problems?
It would be standard procedure to state the main theorems that link key prop-
erties of the bilinear forms a and / to the well-posedness of the weak problem,
and then discretize it using a Galerkin-type scheme. However, it will be quite
more illuminating to take a short detour through the realm of linear algebra,
and start by analizing a …nite dimensional saddle point problem. This will
not be in vain, since in the end we will obtain one when we discretize using
…nite elements.
1.3.1 Finite dimensional case
So, let ¹ ¸ R
nn
symmetric positive de…nite, 1 ¸ R
mn
and ) ¸ R
n
. We
would like to solve the following minimization problem:
min
v2R
n
¦
1
2
·
>
¹· ÷·
>
) : 1· = 0¦
3
That is, a quadratic minimization problem with linear constraints. Using the
theory of Lagrange multipliers, we can turn this into an unconstrained problem
by optimizing the Lagrangian function:
1(·, ¡) =
1
2
·
>
¹· ÷·
>
) +¡
>

Computing the Jacobian of the Lagrangian function, \
v
1 = ¹· ÷) +1
>
¡ and
\
q
1 = 1·. So, a critical point (n, j) of this system is given by:
_
¹ 1
>
1 0
_ _
n
j
_
=
_
)
0
_
So, we see the exact same saddle point system emerging naturally from this
quadratic minimization problem!
Now, when is this problem solvable for all )? In other words, when is our
matrix non-singular? To answer this, we use the fact that ¹ is symmetric
positive de…nite to perform block-gaussian elimination:
_
¹ 1
>
1 0
_
~
_
1 ¹
1
1
>
1 0
_
~
_
1 ¹
1
1
>
0 ÷1¹
1
1
>
_
And so, if o = ÷1¹
1
1
>
is of full rank, our saddle point problem will be
invertible. o is known as the Schur complement matrix, and we can see it is
symmetric. Thus, it is diagonalizable, and full rank is equivalent to:
j
>

1
1
>
j ,= 0 \j ¸ R
m
¦0¦
In particular, since ¹ is symmetric positive de…nite, this last expression will
never be negative. Hence,
j
>

1
1
>
j 0 \j ¸ R
m
¦0¦
And so, o is negative de…nite. Moreover, this is true ==
1
>
j = 0 == j = 0
Which in turn is equivalent to:
·(1
>
) = ¦0¦
1(1) = R
m
That is, 1 has to have full column rank, and so in particular : _ : (there can’t
be more constraints than variables).
Now, lets assume 1 is of full rank, and let ,
2
= o
min
(1) 0 (o
min
(1) being
its smallest singular value). Then our matrix is invertible:
_
¹ 1
>
1 0
_
1
=
_
¹
1
(1 ÷1
>
o
1

1
) ¹
1
1
>
o
1
o
1

1
o
1
_
4
And we have the following bounds (|n|
A
=
_
n
>
¹n):
|n|
A
_ |)|
A
1 _
1
c
|)|
|j| _
1
,
|)|
A
1 _
1
c,
|)|
One can see that if , is small, the bound for j (the "pressure") gets really large.
Another way of saying this is that our matrix becomes very ill-conditioned.
Remark 1 The positive de…niteness of ¹ is only needed for · ¸ 1(1
>
)
?
=
·(1), and so we may assume ¹ is semide…nite and replace ¹
1
by ¹
y
(pseudoin-
verse). This is most clear if we remember that our constraints force us to con-
sider only these ·
0
:.
Remark 2 The condition o
min
(1) 0 is equivalent to the following, which is
known as the inf-sup condition for saddle point problems:
inf
2Mf0g
sup
v2V f0g
j
>

|j| |·|
_ ,
2
0
or equivalently,
max
v2V f0g
j
>

|·|
_ ,
2
|j| \j ¸ '
In our case of course, \ = R
n
and ' = R
m
with : _ :.
Proof. Let 1 = l\
>
be the full SVD of 1, j = n
i
for i = 1, .., : and
· =

n
j=1
c
j
·
j
. Then,
j
>

|·|
=
c
>
i
\
>
(

n
j=1
c
j
·
j
)
_

c
2
j
=
o
i
c
>
i
c
_

c
2
j
= o
i
c
i
_

c
2
j
The maximum over c ,= 0 is achieved at c = c
i
, and so:
o
i
_ ,
2
0 \i
The proof in the opposite direction is easy by taking j =

¸
i
n
i
, and using the
fact that
max
v2V f0g
j
>

|·|
= max
6=0

i
¸
i
o
i
c
i
_

c
2
j
_ ,
2

i
¸
2
i
_

¸
2
i
= ,
2
|j|
5
1.3.2 In…nite dimensions
The ideas presented beforehand do generalize to the in…nite dimensional case.
First, we have that our saddle point problem is in fact the …rst order conditions
(or vanishing of the …rst variation) for a Lagrange multipliers problem. That is,
it is equivalent to minimize:
min
v2V
¦
1
2
a(·, ·) ÷1(·) : /(·, j) = 0 \j ¸ '¦
De…ning the subspace 7 = ¦· ¸ \ : /(·, j) = 0 \j ¸ '¦, we have the
unconstrained optimization problem:
min
v2Z
¦
1
2
a(·, ·) ÷1(·)¦
Which, by our work on last session, is equivalent to the following set of linear
equations:
a(n, ·) = 1(·) \· ¸ 7 = ·(1)
All of our analysis for the Laplace equation is useful here, and tells us that if a
is a symmetric, continuous and 7-elliptic bilinear form on \ 7, there exists a
unique solution n ¸ \ .
« In the Stokes equation, 7 is the space of "weakly" incompressible
(solenoidal) velocity …elds, and a is elliptic on \ (for the same reason as
in Laplace, a(n, ·) is an inner product for (H
1
0
())
n
)
« The problem with discretizing this formulation is that it is unclear how to
come up for a …nite element space for 7, and the problem in this form is
di¢cult to analyze.
« Instead, we use the Lagrange multiplier approach:
1(j, ·) =
1
2
a(·, ·) ÷1(·) +/(·, j) · ¸ \, j ¸ '
And the …rst variation of this Lagrangian function gives us our old saddle
point problem back. We then have a result which is completely analog
to the …nite dimensional case:
Theorem 3 (Brezzi splitting theorem) For the saddle point problem, the map-
ping 1(j, ·) de…nes an isomorphism 1 : A ' ÷ A

'

if and only if the
following two conditions are satis…ed:
(i) The bilinear form a is 7 elliptic
(ii) The bilinear form / satis…es the inf-sup condition:
inf
2Mf0g
sup
v2Xf0g
j
>

|j| |·|
_ ,
2
0
6
Furthermore, we have the following bounds:
|n|
X
_
1
c
|)|
V
|j|
M
_
1
,
_
1 +
C
c
_
|)|
V
The inf-sup condition is indeed ful…lled by the weak formulation of the Stokes
equation. The proof of it involves properties of the div and \ operators, and
is directly linked at their relationship as adjoints of each other. That is why
inf-sup stability in this context is also known as "div-stability".
Hence, by the Brezzi splitting theorem, given a reasonable ) (meaning
) ¸ H
1
()
n
) there exists a unique solution pair (n, j) for the weak Stokes
equations. The bounds on the norms of n and j guarantee that this is a well-
posed problem (inversion is stable).
1.4 Finite Element: Finite dimensions revisited
So now, a natural approach would be to discretize this problem by choosing
…nite dimensional spaces (e.g. FE spaces) A
h
¸ A and '
h
¸ '. That is, to
…nd (n
h
, j
h
) ¸ A
h
'
h
such that:
_
a(n
h
, ·
h
) +/(·
h
, j
h
) = 1(·
h
) \·
h
¸ A
h
/(n
h
, ¡
h
) = 0 \¡
h
¸ '
h
_
By the same old argument, using basis ¦c
i
¦
n
i=1
and ¦c
j
¦
m
j=1
of A
h
and '
h
, writ-
ing n
h
=

n
h
i
c
i
and j
h
=

`
h
j
c
j
, and constructing the matrices ¹
h
(i, ,) =
a(c
i
, c
j
), 1
h
(i, ,) = /(n
j
, c
i
), we have a series of …nite saddle point problems:
_
¹
h
1
>
h
1
h
0
_ _
n
h
j
h
_
=
_
)
h
0
_
From our analysis of the …nite saddle point problems, we know that these prob-
lems will each be solvable if and only if o
min
(1
h
) = ,
2
h
0, or equivalently, if
they satisfy an inf-sup condition:
inf
2M
h
f0g
sup
v2X
h
f0g
j
>
1
h
·
|j| |·|
_ ,
2
h
However, we also want the solutions of these discrete problems to converge to
the "true" velocity and pressure. Furthermore, as we have already noted, if ,
h
becomes really small (that is, ,
h
÷ 0 as / ÷ 0), this would be numerically
unstable.
Hence, we will say a pair of …nite elements determined by the choice of
(A
h
, '
h
) is inf-sup stable, or satis…es the discrete inf-sup stability con-
dition if:
inf
2M
h
f0g
sup
v2X
h
f0g
j
>
1
h
·
|j| |·|
_ ,
2
0
7
Or equivalently, if we have the uniform lower bound o
min
(1
h
) _ ,
2
.
1.4.1 What if my pair is inf-sup stable?
Assuming the chosen pair is inf-sup stable, one can show the following:
« By our analysis of the …nite dimension saddle point problems, we know
the solution pairs (n
h
, j
h
) exist and are unique. We also obtain uniform
bounds with respect to the data )
h
.
« One can show that (n
h
, j
h
) converges to the true solution (n, j) as / ÷0
« Let 7
h
= ·(1
h
) be the space of "discrete solenoidal" velocity …elds. Even
when A
h
¸ A and '
h
¸ ', it is not guaranteed that 7
h
¸ 7. That is,
the functions in our …nite element space for the velocity might not even
be weakly incompressible / solenoidal. In the case where 7
h
7 we will
say our …nite element pair is non-conformal, and we can obtain the
following bounds:
_
|n ÷n
h
|
H
1
()
n _ C
1
inf
v
h
2X
h
|n ÷·
h
|
H
1
()
n +C
2
inf
q
h
2M
h
|j ÷¡
h
|
L2()
|j ÷j
h
|
L2()
_ C
3
inf
v
h
2X
h
|n ÷·
h
|
H
1
()
n +C
4
inf
q
h
2M
h
|j ÷¡
h
|
L2()
_
Where = sup¦inf
z
¦|. ÷.
h
|
H
1
()
n¦ : .
h
¸ 7
h
, |.
h
|
H
1
()
n = 1¦ is a
measure of the "angle" between 7
h
and 7.
« Now, lets assume 7
h
_ 7, that is, our …nite element pair is conformal.
We remember that our problem can then be posed as:
a(n
h
, ·
h
) = 1(·
h
) \·
h
¸ 7
h
And so, by the analysis we performed last week, we conclude that:
|n ÷n
h
|
H
1
()
n _ C
1
inf
v
h
2X
h
|n ÷·
h
|
H
1
()
n
A way of saying this is that the errors from velocity and pressure decouple.
« As is expected from our previous analysis, the constants in the error
estimates depend on 1,, and 1,c. This again stresses the fact that, if
, decreases as / ÷0, convergence might be lost, or our convergence rate
will be less than optimal.
In tomorrow’s lecture, we will see several examples of …nite element pairs
which have been proven to be inf-sup stable, and are commonly used in practice.
We note that in general inf-sup stability of a proposed …nite element pair is far
from simple to prove.
8
1.4.2 What if it’s not?
As we mentioned before, the issue of inf-sup stability is one that is hard to
avoid, since ignoring it leads more often than not to numerical instabilities,
degradation of convergence or spurious solutions. Although it is not our ob-
jective to go over this extensively on this session, it is important to mention
di¤erent "magnitudes" of failure of this condition, and the undesireable e¤ects
they produce:
1. Disaster: It might be that 7
h
= ·(1
h
) = ¦0¦, that is, the only discretely
solenoidal velocity is zero. This often happens when dim(A
h
) < dim(7
h
).
An example of this is the 1
1
,1
0
pair on a triangulation obtained from
bisecting a uniform rectangular grid into triangles.
2. Spurious pressure modes: For some / < /
0
, ,
h
= 0, that is, ·(1
>
) is
nontrivial. This can be detected by the fact that the saddle point problem
matrix is singular, and the problem manifests itself by the existence of
"spurious pressure modes", which can then be removed from the basis of
'
h
. This is the more widely known example of failure of inf-sup stability,
and one of the most famous examples is the Q
1
,1
0
pair on a triangula-
tion of square elements on a uniform grid. This produces the so-called
"checkerboard" spurious mode.
3. Subtle failure: This occurs when ,
h
0 \/, but ,
h
= O(/
k
) for / 0
(,
h
goes to 0 as / ÷ 0). This case is quite subtle, and it is di¢cult to
detect since the discrete problems are always solvable. However, from our
analysis we have reasons to believe this produces a loss in accuracy and
optimal convergence rate. This can be seen both in the error estimates
and studying the condition number of the saddle point matrix or its schur
complement o
h
.
Tomorrow we will go over the details of the Q
1
,1
0
example pair and the
reason why the checkerboard mode emerges, as well as suggestions on how to
…x this problem.
1.4.3 How do I …x it?
There are subtleties on how to "…x" a …nite element pair (A
h
, '
h
), and we
won’t go into those. However, we can go over a simple exercise: if we …x one of
the spaces in the pair, how should we change the other one?
(i) Increase A
h
(A
h
¸ A
(2)
h
): In this case, we have to recheck ellipciticy
(1), since 7
h
¸ 7
(2)
h
(by de…nition), and we need to check that a is elliptic in
this potentially bigger space. Now, A
h
¸ A
(2)
h
implies:
sup
v2X
(2)
h
/(·, `)
|·|
_ sup
v2X
h
/(·, `)
|·|
\` ¸ '
h
9
And so, it may be that now the inf-sup condition holds.
(ii) Decrease '
h
('
(2)
h
¸ '
h
): By de…nition of 7
h
, 7
h
¸ 7
(2)
h
since
/(·, j) = 0 \j ¸ '
(2)
h
== /(·, j) = 0 \j ¸ '
h
. So, by decreasing '
h
, 7
(2)
h
is
potentially a bigger space, and so ellipticity again has to be rechecked. As for
the inf-sup condition: Since '
h
has decreased, we have less `’s to worry about
in the inf-sup condition. This is common practice when we get situations like
the appereance of spurious pressure modes.
1.5 Conclusion
The use of Mixed Finite Element methods to solve the Stokes equations (as
well as the Navier Stokes equations) arises naturally from studying the weak
formulation / variational principle for these equations. By far the most impor-
tant theoretical and practical hurdle to employ these methods is to pick …nite
element pairs which satisfy inf-sup stability.
There has been quite substantial research both in implementing mixed meth-
ods as well as in developing methods which circunvent the inf-sup stability and
other issues associated with these methods. These include:
« Penalty methods: the incompressibility condition is relaxed, and a small
matrix C appears instead of 0 in our saddle point matrix. These methods
are related to almost incompressible elasticity problems.
« Penalized or Modi…ed Lagrangian methods
« Galerkin methods (Stabilized or Petrov-Galerkin)
« Least squares …nite element methods
All of these methods use modi…cations of the variational principles to solve
the Stokes equation via the use of Finite Element spaces.
It is also worth noting that …nite element methods can also be used embedded
in other solution schemes (such as the Chorin projection method presented
before, boundary integral methods and immersed boundary method). Also,
one can device …nite element methods for non-primitive variable formulations
(vorticity, stream function, etc).
References
[1] Braess, Dietrich. Finite Elements: Theory, fast solvers and applica-
tions in solid mechanics. 3rd edition, Cambridge University Press
[2] Kesavan, S. Nonlinear Functional Analysis.
10
[3] Gunzburger, Max, Collected Lectures on the Preservation of Sta-
bility under Discretization, Lecture 6: The inf-sup condition in
Mixed Finite Element Methods with Application to the Stokes
System. SIAM 2001.
11

Sign up to vote on this title
UsefulNot useful