Stability, Consistency, and Convergence:
A 21st Century Viewpoint

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Stability, Consistency, and Convergence:
A 21st Century Viewpoint

© All Rights Reserved

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Douglas N. Arnold

Society for Industrial and Applied Mathematics

Fengs significance for the scientific development of China cannot be

Feng Kang Distinguished Lecture exaggerated. He not only put China on the map of applied and

computational mathematics, through his own research and that of his

Institute of Computational Mathematics and Scientific/Engineering Computing students, but he also saw to it that the needed resources were made

Chinese Academy of Sciences available. . . .

April 7, 2009 Many remember his small figure at international conferences, his eyes

and mobile face radiating energy and intelligence. He will be greatly

missed by the mathematical sciences and by his numerous friends.

Peter Lax, writing in SIAM News, 1993

The failure of the Sleipner A offshore platform Convergence, consistency, and stability of discretizations

Continuous problem: Given f Y find u X such that Lu = f .

Assume it is well-posed: f ! u s.t. Lu = f , f 7 u is continuous

Discrete problem: Lh : Xh Yh operator on finite dimensional spaces,

fh Yh . Find uh Xh such that Lh uh = fh .

The discretization is convergent if uh is sufficiently near u.

The discretization is consistent if Lh and fh are sufficiently near

L and f .

The discretization is stable if the discrete problem is well-posed.

6m

A discretization which is consistent and stable is convergent.

3 / 44 4 / 44

A simple example: Dirichlet problem for Poissons equation Measuring convergence, consistency, and stability

To quantify convergence we use

Continuous problem: 1 A restriction operator rh : X Xh .

Given f L2 () find u H01 () such that 2 A norm in the space Xh .

Lu := u = f in . The discretization error is then krh u uh kXh . The method is

convergent if it tends to 0 as h 0.

Finite difference discretization: Xh = Yh = grid fns consistency error is then kLh rh u fh kYh . The method is consistent if it

N tends to 0.

4u (X ) u (N ) u (S ) u (E ) u (W ) h

Lh u (X ) :=

h2 W E The stability constant is kL1

h kL(Yh ,Xh ) . The method is stable if it

X

remains bounded as h 0.

fh = f |grid pts h u (X ) S

In this context the fundamental metatheorem is a theorem:

Finite element discretization:

Z Xh H01 (), Yh = Xh Lh uh = fh = Lh rh u Lh uh = Lh rh u fh = rh u uh = Lh1 (Lh rh u fh )

hLh u , v iXh Xh = u v dx u , v Xh

Z krh u uh kXh kL 1

h kL(Yh ,Xh ) kLh rh u fh kYh

hfh , v iXh Xh = f v dx

5 / 44 6 / 44

Z 1

Initial value/boundary value problem:

Compute x 14 ex 1 dx

0

u

(x , t ) u (x , t ) = 0 x , t [ 0, T ]

Z 1 t

n+1 = x n ex 1 dx n+1 = 1 n n 1 = 1e1 = 0.632121 . . . u (x , t ) = 0 x , t [0, T ]

0

u (x , 0) = u0 (x ) x

Discretization:

n n n n n n

1 0.632121 6 0.145480 11 1.684800 uh ( x , t + k ) uh ( x , t )

h uh (x , t ) = 0, x grid, t = 0, k , 2k , . . .

2 0.367879 7 0.127120 12 -17.5328 k

3 0.264242 8 0.110160 13 211.394 consistency error = O (k ) + O (h2 )

4 0.207274 9 0.118720 14 -2747.12

5 0.170904 10 -0.068480 15 38,460.6

Z 1

x 14 ex 1 dx = 38,460.6 ???

0

7 / 44 8 / 44

Stability for the discretized heat equation Milestones: consistency does not imply convergence

Courant, Friedrichs, and Lewy were first to realize that a consistent

discretization of a well-posed problem need not converge.

uh (x , (n + 1)k ) uh (x , nk )

h uh (x , nk ) = 0 In their classic 1928 paper, they considered the wave eq. t

k

2u 2u k = h

(x , t ) = (x , t )

uh , (n + 1)k = (I + k h )uh ( , nk ) =: G[uh ( , nk )]

t 2 x 2 h

with centered differences and timestep k proportional to h. x

4k k

Gv (x ) = (1 )v (x ) + [v (N ) + v (S ) + v (E ) + v (W )]

h2 h2

If > 1, the numerical domain of

dependence does not cover the

If k h2 /4 then kGv kl kv kl , so uh ( , 0) 7 uh is bounded in l

true domain of dependence and

uniformly in h and k and we obtain stability.

the method cannot be convergent.

If k > h2 /4, then kGkL(l ,l ) > 1, and the method is unstable.

9 / 44 10 / 44

Von Neumann realized the importance of numerical stability, studying first

The convergence theory of finite difference discretizations for evolution

linear algebra problems in his landmark paper with Goldstine in 1947, and

problems was developed by many researchers in 1950s. An important

then difference methods for PDEs in another landmark paper in 1950, on

numerical weather prediction with Charney & Fjortoft: capstone paper was the 1956 Survey of the stability of linear finite

difference equations by Lax and Richtmeyer.

If the nite dierence solution is to approximate closely the continuous

solution, s and t must be small in comparison to the space and time

scales of physically relevant motions. But this does not alone insure The term stability refers to a property of the. . . sequence of nite

accuracy; the small-scale motions for which there is inevitably a large dierence equations with increasingly ner mesh. We shall give a

distortion may possibly be amplied in the course of the computation denition of stability in terms of the uniform boundedness of a certain

to such an extent that they will totally obscure the signicant large- set of operators and then show that under suitable circumstances, for

scale motions. linear initial value problems, stability is necessary and sucient for

convergence.. . . The circumstances are rst. . . consistency. . . and second,

that the initial value problem be properly posed.

equations via discrete Fourier analysis, giving

birth to von Neumann stability analysis for a finite

Lax equivalence theorem

difference discretization of an evolution equation. For consistent finite difference discretizations of well-posed linear

initial-value problems, stability convergence.

11 / 44 12 / 44

Finite element methods Stability of finite element methods

Continuous problem:

V , W Hilbert spaces, B : V W R bdd bilinear form, f W

For a generalized Galerkin method, the stability constant can be

Find u V such that B (u , w ) = hf , w i, w W. expressed as the reciprocal of the inf-sup constant:

Lu = f where hLv , w i := B (v , w ). 1

k L1

h kL(Vh ,Vh ) =

R R h

Bh (v , w )

Vh , Wh of equal finite dimension, Bh : Vh Wh R bilinear, fh Wh . h := inf sup .

06=v Vh 06=w Vh kv kV kw kV

Find uh Vh such that Bh (uh , w ) = hfh , w i, w Wh .

This is a generalized Galerkin method. If Vh and Wh are piecewise So we need to bound h below. This is easy if Bh is coercive:

polynomial spaces of a certain sort, it is a finite element method.

Ex: If Vh V , Wh W , Bh = B |Vh Vh , fh = f |Wh , this is a true Bh (v , v ) kv k2 ,

Galerkin method, or a conforming FEM.

but otherwise can be quite difficult.

For simplicity we henceforth assume V = W , Vh = Wh V

(although both Vh 6= Wh and Vh 6 V are of interest).

13 / 44 14 / 44

BabuskaNarasimhan

0 0

+ u = 0, =f on (1, 1) + grad u = 0, div = f

1 1

Z Z Z Z

B (, u ; , v ) := 0 0

( u + v ) dx = fv dx H , v L

1 2

( div u + div v ) dx = fv dx H (div), v L2

1 1

P1 P0 RT0 P0

P1 -P1 (20 elts) P1 -P1 (40 elts) P1 -P0 (40 elts) Raviart-Thomas 1976

15 / 44 16 / 44

Consistency of finite element methods Convergence of finite element methods

For rh take the V -orthogonal projection into Vh : rh u = arg min ku v kV .

v Vh

By the fundamental theorem, for a conforming FEM we have

|Bh (rh u , w ) hfh , w i|

consistency error := kLh rh u fh kVh = sup .

w Vh kw kV kuh rh u kV h1 kB k inf ku v kV .

v Vh

The simplest (and most important) case is a conforming FEM, i.e.,

Bh = B |Vh Vh , fh = f |Vh . Then the consistency error is With the triangle inequality, this becomes

|B (rh u , w ) hf , w i| |B (rh u u , w )|

sup = sup kB k inf ku v kV .

w Vh kw kV w Vh kw kV |v Vh {z ku uh kV (1 + h1 kB k) inf ku v kV

v Vh

}

For a conforming method the consistency error is

Stable conforming finite elements are quasioptimal.

bounded by the approximation error times kB k.

(Cea 1964 in the coercive case, Babuska 1972)

conformity error

In the general case,

For nonconforming methods we get some extra terms coming from the

z }| {

z

}| {

|Bh (u , w ) hfh , w i| conformity error. (Strang 1972, coercive case)

consistency error kBh k inf ku v k + sup

v Vh v Vh kw k

17 / 44 18 / 44

Finite element spaces must be constructible from local information, the

shape functions and degrees of freedom. For approximating the space On cubes, instead of Pr the natural choice is

H 1 using simplicial meshes, the most common finite elements are the Qr = ni=1 Pr (I ). But the clever serendipity

N

Lagrange elements, consisting of all continuous functions which elements Pr Q0r Qr , also give O (hr )

belong to Pr on each simplex. approximation.

P1 P2 P3

For distorted quads or

1 1 1

x y x y x y hexes, we use a

xy x 2 xy y 2 x 2 xy y 2 multilinear map from a

x 2 y xy 2 x 2 y xy 2

reference cube, and

x 2y 2

compose to get the shape

functions.

(as long as u is smooth and the simplices dont degenerate).

19 / 44 20 / 44

Reduced convergence for distorted serendipity elements Reduced convergence for vectorial elements

Folklore had it that Qr and Q0r both afford O (hr ) approximation. It turns out

(A-Boffi-Falk 2002), this is true on parallelpids, but only Qr achieves O (hr ) on In 2005 A-B-F showed the problem is even worse for vectorial

general hexahedra. For Q0r on general hexahedra, the convergence rate is elements. The popular lowest order RaviartThomas elements go

reduced from r to br /2c. from O (h) to O (1) on non-parallel quadrilaterals and hexahedra.

0

Q2 Q2

Bermudez et al. showed a striking consequence in this computation of

n % err. rate n % err. rate

2 48.58 2 51.21 the fundamental eigenvalue of a square acoustic cavity:

4 12.08 2.0 4 14.72 1.8

8 3.02 2.0 8 4.84 1.6

16 0.75 2.0 16 1.89 1.4

32 0.19 2.0 32 0.84 1.2

64 0.05 2.0 64 0.40 1.1

n h rate n h rate

From The Sleipner accident and its causes, B Jakobsen, 1998:

8 10.3474 8 9.99708

The reasons for the. . . reduced load bearing capacity were:

16 10.2829 2.0 16 9.90136 2.0

(a) Unfavorable geometrical shaping of some nite elements in the global 32 10.2670 2.0 32 9.87754 2.0

analysis. In conjunction with the subsequent post-processing of the 64 10.2629 2.1 64 9.87159 2.0

analysis results, this led to underestimation of the shear forces at

the wall supports by some 45%. extrapolated: 10.2616 exact: 2 = 9.86906

(b) Inadequate design of the haunches at the cell joints, which support

the tricell walls.

21 / 44 22 / 44

curl curl u grad div u = f in

An elastic plate is a flat structural element

u n = 0, curl u n = 0 on

whose thickness t is much less than the

Z Z dimensions of its midsurface R2 .

(curl u curl v + div u div v ) dx = f v dx v ReissnerMindlin plate equations (simplified):

Find (, w ) H01 (, R2 ) H01 () s.t.

Z Z

Standard finite elts converge. . . but not to the soln! S S + t 2 (w ) (v ) dx = fv dx (, v )

Why? The method is clearly stable in the space

10

It was found that they

give good approximation in H 1 . . . but not in

were very difficult to

H (curl) H (div) (which contains H 1 as a closed 2

10

simulate, because

subspace). So this method is inconsistent!

standard finite elements 3

10

lead to large errors

How can we solve this problem? Introduce = curl u as a new when t is small. This

4

10 w t=1

was phemenon was 2

variable, and solve the resulting system using appropriate elements for w

t = .01

1 0

10 10

23 / 44 24 / 44

The causes and cure of locking The simplest locking free plate elements

B (, w ; , v ) = S S + t 2 (w ) (v ) dx

w

Where does the error come from? The bilinear form is H 1 coercive We introduced the and

10

1

(hence stability), the method is conforming and linear elements give additional DOF for and

good approximation in H 1 . . . but kB k behaves like t 2 , so we still have nonconformity for w 10

2

achieve stability. We 10

3

How can we solve the problem? Introduce = t 2 (w ), the have to bound the

shear stress. The new bilinear form is

4

w t=1

nonconformity error, but 10

2

t = .01

Z it turns out that this is w

easy to estimate, and so 10

1 0

10

which doesnt blow-up as t 0. The difficulty is that this form is not Additional locking-free elements have since been devised, although

coercive, and it is tricky to find stable elements. none quite as simple.

25 / 44 26 / 44

Onate-Zarate-Flores (1994): element whose thickness is much less

than the dimensions of its midsurface.

w

On the basis of experiments they declared this element locking-free. Shells are the primadonna of structures:

Again the nonconformity error is controllable. However stability is they can deliver remarkable performance,

subtle. A careful analysis (AFalk 1997) showed that the inf-sup but occasionally experience catastrophic

constant behaves like min(1, h2 /t 2 ). Thus we have stability if collapse.

t = O (h), but lose stability and convergence as h 0 with t fixed.

The locking problems encountered for

1

10 10

1 1

10

plates are much greater for shells, and

despite tremendous efforts no one has

2 2 2

10 10 10

succeeded to develop a numerical method

3

10 10

3 3

10

for shells which is certifiably convergent

over a wide range of conditions.

4

w t=1 4

w t=1 4

w t=1

10

2

t = .01

10

2

10

2

This stands as a major challenge in

w t = .01 t = .01

w w

1 0 1 0 1 0

computational engineering.

10 10 10 10 10 10

P1 -P1 AF OZF

27 / 44 28 / 44

The impact of instability on an eigenvalue problem Finite element exterior calculus

For many electromagnetic problems, stable finite elements are elusive.

A striking example of what can goRwrong with unstable elements is

the curl-curl eigenvalue problem: curl u curl v dx = u v dx v , Finite element exterior calculus is an approach to the design and

R

understanding of nite element discretizations for a wide variety of

solved using standard P1 finite elements.

systems of partial dierential equations. This approach brings to

On a square the positive eigenvalues are 1, 1, 2, 4, 4, 5, 5, 8, . . . bear tools from dierential geometry, algebraic topology, and

10

homological algebra to develop discretizations which are compatible

9

with the geometric, topological, and algebraic structures which

On an unstructured 8

7 underlie well-posedness of the PDE problem being solved.

mesh, the discrete 6

Finite element exterior calculus, homological techniques, and applications,

5

spectrum looks nothing 4

Arnold, Falk & Winther, Acta Numerica 2006, pp. 1155.

3

like the true spectrum. 2

1

0

On this structured 10

9

mesh the discrete 8

From the point of view of FEEC, Lagrange elements dont seem at all

7

eigenvalues converge 6

natural for curl curl problems. We should not discretizing a differential

5

to the true eigenvalues, 4

1-form with elements devised for 0-forms.

3

but also to a sequence 2

1

of spurious ones. 0

29 / 44 30 / 44

To get an impression of FEEC consider the Hodge Laplacian. This is Introducing = d u, we get the mixed formulation of Hodge

the PDE most closely associated to the de Rham complex Laplacian. If we also account for the harmonic forms, the resulting

problem is always well-posed.

d d d

0 H 0 ()

H 1 () H n () 0

Continuous problem:

grad curl

0 H () H (curl, ) H (div, )

1

L2 () 0

div Given f L2 k (), find H k 1 , u H k , p Hk :

h, i hd , u i = 0 H k 1

Hodge Laplacian: Given a k -form f find a k -form u such that hd , v i + hdu , dv i+hp, v i = hf , v i v H k

hu , q i = 0 q Hk

(dd + d d )u = f

The proof of well-posedness, via the inf-sup condition, relies on two

fundamental results:

The degree of well-posedness is determined by the harmonic forms

Hodge decomposition: H k = Bk Hk Zk

Hk := Zk (Bk ) , with dimension equal to the k th Betti number.

k k 1

Poincare inequality: kkL2 c kd kL2 , H k , Zk

ker d range d

So we need to capture these in our discretization.

31 / 44 32 / 44

Discretization Bounded cochain projections

To discretize we use a generalized Galerkin method based on finite The key property is that there must exist a bounded cochain projection.

dimensional subspaces Vhk 1 H k 1 , Vhk H k .

d k 1

H k 1 H k

We require the subcomplex property dVhk 1 Vhk in order to obtain hk bounded

k 1 k

the yh y h hk a projection

Discrete Hodge decomposition: Vhk = Bkh Hkh Zkh d k 1

Vhk 1 Vhk hk d k 1 = d k 1 hk 1

where Hkh := (Bkh ) Zkh .

Theorem

Generalized Galerkin method:

Find h Vhk 1 , uh Vhk , ph Hkh : If kv hk v k < kv k v Hk , then the induced map on

cohomology is an isomorphism.

hh , i hd , uh i = 0 Vhk 1

gap Hk , Hkh sup kv hk v k

hd h , v i + hduh , dv i+hph , v i = hf , v i v Vhk v Hk

huh , q i = 0 q Hkh kv k=1

The discrete Poincare inequality holds uniformly in h.

The generalized Galerkin method is stable and convergent.

When is this discretization stable, consistent, and convergent?

33 / 44 34 / 44

Finite element differential forms: shape functions Finite element differential forms: DOFs

admit bounded cochain projections. We will construct the Vhk as finite

element spaces assembled on simplicial meshes, and so must specify On a simplex T , the space Pr k (T ) has a natural set of DOFs

polynomial shape functions and DOFs. given in terms of moments weighted by Ps l (f ) on a faces f .

0 Pr 0 Pr 1 1 Pr n n 0 In this way we obtain the two primary families of finite element

with ()x := x yx. It satisfies the homotopy property homog

eneous differential forms.

polys.

bounded, but they can be modified to become so.

It turns out that there are precisely two natural families of polynomial

differential forms to use as shape functions on simplices:

the spaces Pr k and the spaces Pr k := Pr 1 k + Pr 1 k +1

35 / 44 36 / 44

Finite element differential forms/Mixed FEM Finite element de Rham subcomplexes

subcomplexes which admit bounded cochain projections.

P 0 (T

r

0

) = Pr (T ) H 1

Lagrange elts Pr k spaces of constant degree r :

d d d

P n (T n 2

) = Pr 1 (T ) L discontinuous elts 0 Pr 0 (T )

Pr 1 (T ) Pr n (T ) 0

r

grad curl div

n = 2: P 1 (T ) H (curl) RaviartThomas elts 76 0 0

r

1

n = 2: Pr (T ) H (curl) BrezziDouglasMarini elts 85 Whitney 1957, Bossavit 1988

Pr k spaces with decreasing degree:

n = 3: Pr 1 (T ) H (curl) Nedelec 1st kind edge elts 80

d d d

0 Pr 0 (T )

Pr 1 1 (T ) Pr n n (T ) 0

n = 3: Pr 1 (T ) H (curl) Nedelec 2nd kind edge elts 86

grad curl div

0 0

n = 3: Pr 2 (T ) H (div) Nedelec 1st kind face elts 80

2 DemkowiczMonkVardapetyanRachowicz 2000

n = 3: Pr (T ) H (div) Nedelec 2nd kind face elts 86

These are extreme cases. For every r 2n1 such FEdR subcomplexes.

37 / 44 38 / 44

Applications of FEEC

problems, div-curl problems, . . .

problems

elements for elasticity, which had been sought by engineers and

numerical analysts for four decades. But thats another story . . .

39 / 44

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