PDE Partial Diff Equations ADI

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PDE Overview

PDE Partial Diff Equations ADI

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z guneshasa@itu.edu.tr

z http://atlas.cc.itu.edu.tr/

~guneshasa

INTRODUCTION

Mathematical Modeling

The mathematical formulation of the problem is the reduction of the physical

problem to a set of either algebraic or differential equations subject to certain

assumptions.

generally follow the path illustrated schematically in the chart below:

Numerical Solution Procedure

Physical System

i.e. Reality

Physical Laws +

1

Models

Mathematical Model

Analytical Solution

i.e. Governing Equations

(Fluid Dynamics Æ PDEs)

2 Discretization

System of Algebraic

Equations (or ODEs)

3 Matrix Solver

Numerical Solution

Physical

World

Physical

Properties

Assumptions

•Algebraic eqs.

•Differential eqs.

Mathematical Model oOrdinary diff. eqs.

(Equations) oPartial diff.eqs.

Conservation Laws

Approximation (Exact or approximate)

Nonlinear

Linear solution solution

(Analytical, Numerical)

•FORTRAN

•C

Test solution •MATLAB

•MAPLE

•TECPLOT

Solution Approaches

Three approaches or methods are used to solve a problem in fluid mechanics

& heat transfer

scaling problems, measurement difficulties, operating costs.

2. Theoretical (analytical) methods: clean, general information in formula form,

usually restricted to simple geometry &physics, usually restricted to linear

problems.

3. Numerical (CFD) (computational) methods (Simulation):

No restriction to linearity

Complicated physics can be treated

Time evolution of flow

Large Re flow

Disadvantages:

Truncation errors

Boundary condition problems

Computer costs

Need mathematical model for certain complex phenomena

Simulation: The Third Pillar of

Science

z Traditional scientific and engineering paradigm:

1) Do theory or paper design.

2) Perform experiments or build system.

z Limitations:

z Too difficult -- build large wind tunnels.

z Too expensive -- build a throw-away passenger jet.

z Too slow -- wait for climate or galactic evolution.

z Too dangerous -- weapons, drug design, climate

experimentation.

z Computational science paradigm:

3) Use high performance computer systems to

simulate the phenomenon

z Base on known physical laws and efficient numerical methods.

Some Particularly Challenging

Computations

z Science

z Global climate modeling

z Astrophysical modeling

z Biology: Genome analysis; protein folding (drug design)

z Engineering

z Crash simulation

z Semiconductor design

z Earthquake and structural modeling

z Business

z Financial and economic modeling

z Transaction processing, web services and search engines

z Defense

z Nuclear weapons -- test by simulations

z Cryptography

Economic Impact of HPC

z Airlines:

z System-wide logistics optimization systems on parallel systems.

z Automotive design:

z Major automotive companies use large systems (500+ CPUs) for:

z CAD-CAM, crash testing, structural integrity and aerodynamics.

z One company has 500+ CPU parallel system.

z Semiconductor industry:

z Semiconductor firms use large systems (500+ CPUs) for

z device electronics simulation and logic validation

z A lot of Savings!!

Global Climate Modeling Problem

z Problem is to compute:

f(latitude, longitude, elevation, time) Æ

temperature, pressure, humidity, wind velocity

z Approach:

z Discretize the domain, e.g., a measurement point every

1km

z Devise an algorithm to predict weather at time t+1 given t

• Uses:

- Predict major events,

e.g., Katrina

- investigate climate

change

Source: http://www.epm.ornl.gov/chammp/chammp.html

Global Climate Modeling

Computation

z One piece is modeling the fluid flow in the atmosphere

z Solve Navier-Stokes problem

z Roughly 100 Flops per grid point with 1 minute timestep

z Computational requirements:

z To match real-time, need 5x 1011 flops in 60 seconds = 8

Gflop/s

z Weather prediction (7 days in 24 hours) Æ 56 Gflop/s

z Climate prediction (50 years in 30 days) Æ 4.8 Tflop/s

z To use in policy negotiations (50 years in 12 hours) Æ 288

Tflop/s

z To double the grid resolution, computation is at least 8x

z flops: floating-point operations per second

Heart Simulation

z Approach:

z Modeled as an elastic structure in an incompressible fluid.

z The “immersed boundary method” due to Peskin and

McQueen.

z 20 years of development in model

ear, paper making, embryo growth, and others

z Uses

z Current model can be used to design artificial heart valves

z Can help in understand effects of disease (leaky valves)

z Related projects look at the behavior of the heart during a heart

attack

z Ultimately: real-time clinical work

Heart Simulation Calculation

zDone on a Cray C90 -- 100x faster and 100x more

memory

zUntil recently, limited to vector machines

- Electrical model of the

heart, andE.g.,

muscles, details of

- Chris Johnson

- Andrew McCulloch

- Lungs, circulatory

systems

Vehicle Aerodynamics

Flow around a moving truck in a wind tunnel.

z Need to fix the model & blow air at it.

z Floor also has to move at the air speed a difficult

task.

Vehicle Aerodynamics

Flow around a moving car in a wind tunnel.

z Drag coefficient, lift coefficient, moment coefficient

z Pathlines/streamlines/streaklines

Turbomachinery analysis

Flow in an inline duct fan

z Need to consider rotating fluid zone.

z Absolute & Relative velocities

CFD: obtain approximate solutions to

complex problems numerically.

which approximates the differential

equations by a system for algebraic

equations, which can then be solved on

a computer.

Components of a numerical solution method

1. Mathematical Model:

Set of PDEs or integro-differantial eqs. and the

corresponding boundary conditions.

2. Discretization Method:

• Finite difference

• Finite volume

• Finite element

• Spectral (element) methods

• Boundary element

3. Coordinate &Basic Vector System

• Block structured grid

• Unstructured grid

are defined by

the numerical grid, or mesh.

5. Finite Approximations: approx. used in discretization

process is selected

e.g. Finite difference: approximations for the derivatives

at the grid points need to be selected

• Accuracy of approximation

• Developing the solution method

• Coding, debugging, speed of code

implementation,accuracy and computational efficiency

has to be made

• Second order methods in general are used.

6. Solution Method

Discretization yields a large system of linear/non-linear algebraic

equations.

Linear equations Algebraic equation solvers

i.e. linearize the equations & resulting linear systems are solved by iterative techniques.

Steady flows: usually by pseudo-time-marching or equivalent iteration scheme

Need to set convergence for the iterative method.

Accuracy & efficiency is important

a − a*

Relative convergence: <ε

a

FINITE DIFFERENCE METHODS

Derivatives in a given PDE are approximated by finite difference relations

(using Taylor series expansions)

Resulting approximate eqs. which represent the original PDE, is called a

Finite Difference Equation. (FDE)

STENCIL

i, j+1

i-1, j i+1, j

i,j

J=1

i, j-1

X

i=1 i=N

FDE algebraic eq. (written for each grid point within the domain)

Objectives:

• study the various schemes to approximate the PDE s by FDE

• explore numerical techniques for solving resulting FDE

Additional Terminology:

1. Consistency: a finite dif. approx. of PDE is consistent if the FDE approaches the PDE as

the grid size approaches zero.

2. Stability: a numerical scheme is said to be stable if any error introduced in the FDE does

not grow with the solution of the finite difference equations.

Von Neumann’s method: without boundary conditions (BCs)

Conditional stability on some schemes

Time step be smaller than a certain limit.

Under-relaxation needs to be used

i. Temporal problems: stability guaranties that method produces a bounded solution

ii. Iterative methods: stable method does not diverge

It is difficult to do the stability analysis when BCs & non-linearities are present

approaches that of the PDE as the grid size approaches zero

4. Lax’s equivalent theorem: for a FDE which approximates a well-posed, linear initial

value problem, the necessary & sufficient condition for convergence is that the FDE

must be stable and consistent.

For linear problems which are strongly influenced by BCs.

Stability & convergence of a method are difficult to demonstrate

Thus, we check via numerical experiments (grid refinement)

Grid-independent solutions

Boundedness

Realizability

Accuracy:

Numerical solutions of fluid flow & heat transfer problems are only approximate

solutions. Involve some kind of error.

Modeling Errors: difference between actual flow & exact solution of mathematical

model

N-S eqs. Represent accurate model of a laminar flow.

Problem with turbulent flows, two-phase flows, combustion etc. simplifying geometry

BCs.

Discretization Errors: difference between exact solutions of conservations eqs. & exact

solution of algebraic system of eqs. Obtained by discretizing these eqs.(truncation error)

Iteration Errors: difference between the iterative & exact solutions of the algebraic eqs.

(round-off error)

THE CONSERVATIVE (DIVERGENT) FORM OF A PDE

PDEs normally represent a physical conservation statement.

Definition:

Coefficients of the derivatives are either constant or if variable, their derivatives do not

appear anywhere in the equation. i.e. divergence of physical quantity can be identified in

the equation

∂ρ ⎛ →⎞

+ ∇ ⋅⎜ ρ V ⎟ = 0 or in Cartesian coordinate system

∂t ⎝ ⎠

∂ρ ∂ ( ρu ) ∂ ( ρv) ∂ ( ρw)

+ + + =0

∂t ∂x ∂y ∂z

∂ρ ∂ρ ∂u ∂ρ ∂v ∂ρ ∂w

+u +ρ +v +ρ +w +ρ =0

∂t ∂x ∂x ∂y ∂y ∂z ∂z

Example 2: 1-D heat conduction

∂T ∂ ⎛ ∂T ⎞

ρc = ⎜k ⎟ Conservative form

∂t ∂x ⎝ ∂x ⎠

∂T ∂ 2 T ∂k ∂T

ρc =k 2 + Non-conservative

, form

∂t ∂x ∂x ∂x

A difference formulation based on a PDE in non-conservative form may lead

to numerical difficulties in situations where the coefficients may be

discontinuous as in flows containing shock waves.

Dimensionless Equations

tV ⎛ x, y ⎞ ⎛ u, v ⎞ p

T= ∞ x, y = ⎜ ⎟ (u, v) = ⎜⎜ ⎟⎟ P=

L ⎝ L ⎠ ⎝ V∞ ⎠ ρ ∞V∞2

→

∇ ⋅V = 0

∂V → → 1 2→

+ (V ⋅ ∇) V = −∇P + ∇ V Non-conservative form

∂t Re

ρ ∞V∞ L

Re =

µ∞

body force is neglected (Fr if not)

→

∇ ⋅V = 0

∂V → → 1 2→

+ (V ⋅ ∇) V = −∇P + ∇ V

∂t Re

∂u ∂ 2 ∂ 1 ⎛ ∂ 2u ∂ 2u ⎞

+ (u + p) + (uv) = ⎜⎜ 2 + 2 ⎟⎟

∂t ∂x ∂y Re ⎝ ∂x ∂y ⎠

∂v ∂ ∂ 2 1 ⎛ ∂ 2v ∂ 2v ⎞

+ (uv) + (v + p) = ⎜⎜ 2 + 2 ⎟⎟ Conservative form

∂t ∂x ∂y Re ⎝ ∂x ∂y ⎠

Exercise: Prove that conservative & non-conservative form of NS eqs. are equal to

each other.

Important in numerical solution algorithms

1) Primitive-variable solutions, u , v, p

2) Vorticity-Stream Function Formulations, Ω, ψ

2-D ρ = constant

→ →

Ω = ∇x V

∂Ψ

u=

∂y

∂Ψ

v=−

∂x

CLASSIFICATION OF DIFFERENTIAL EQUATIONS

O.D.E P.D.E

One independent variable More then one independent

variable

dy ∂ 2u ∂ 2u

= f ( x, y ) + 2 =0

dx ∂x 2

∂y

y = y ( x) u = u ( x, y )

B.V.P: conditions are specified at more then one point

e.g. y ''+ sin ty = cos t

y (0) = 0 y (1) = 2 ⇒ BVP

Which types of physical phenomena lead to ODEs and PDEs?

Question:

Modeling Concepts:

without undergoing any physical changes in position.

e.g. free falling of a solid sphere

ODE of the initial value type is the mathematical description of physical laws formulated

by the particle viewpoint.

B. Field Viewpoint:

• Plays a dominant role in fluid mechanics, heat transfer, thermo, optics, and

electromagnetism.

number of individual elementary particles.

CONTINIUM ASSUMPTION

• Field quantity is assumed to have a well-defined value at each point in space.

• In general each field quantity can depend on x, y, z, t (4 independent variables).

→ →

V = V ( x, y , z , t ) T = T ( x, y , z , t ) P = P ( x, y , z , t )

C. A third viewpoint:

ODEs often occur in situations which have nothing to do with particles.

Example: Steady state temperature distribution in a fin.

1 h A 's

P( x) = ⋅ A 'c ( x ) R ( x) = − ⋅

Ac k Ac

T(0) = 200 0C

x

d 2θ dθ

2

+ P ( x ) + R( x)θ ( x) = 0

h = 20 W / m2 0C dx dx

T∞ = 20 0C

ODE of the boundary value type is obtained by

T (0) = Tw θ = T − T∞ neglecting the influence of all but one of the

independent variables.

T ( L) = Tt

ORDINARY DIFFERENTIAL EQUATIONS

First order ODE

dy

= f ( x , y ) ⇒ Φ ( x, y , y ' ) = 0 General form

dx family of

solutions

Exact Solutions

1. Linear equations

dy

= p( x) y + q ( x)

dx

∫ p( x)dx} Not analytically evaluated, not analytic problems (need numerical solution)

Evaluated analytically, analytic problems

y ( x) = e ∫ ∫ dx + ce ∫

p ( x ) dx − pdx pdx

∫ q ( x )e

2. Separable Eqs.

dy dy y (1) = 2

= F ( x)G ( y ) = xy (x 2

+1) )

dx dx y = 2e 2 x2

2

y = ce 2

dy x 2

∫y ∫= xdx ⇒ ln y =

2

+ c1 c=

e

2 1

C=0

1

-2 -1

dy M ( x, y ) ∂N ? ∂M

3. Exact = =−

dx N ( x, y ) ∂x ∂y

4. Homogeneous

dy y dy dp

= f(x ) = p⇒ = p+x

dx y x dx dx

dp dp dx

p+x = f ( p) ⇒ ∫ =∫

dx f ( p) − p x

dny dny dy d n −1 y

y (n)

= n ,.... or = f (t , y, ,......., n −1 )

dt dt n

dt dt

Theorem: An nth order ODE can be represented as a system of n first order ODEs.

Let us define new variables y1 , y2 , y3 ,......., yn +1

y1 ' = 1

……….

y2 ' = y3 yn ' = yn +1

……….

y3 ' = y4 y'n+1 = f (y1, y2, y3,.....yn+1)

.

.

In vector relation,

Y ' = F (Y ) Y (t0 ) = yi

Y = ( y1 , y2 ,......., yn +1 )T , Y ' = ( y '1 , y '2 ,......., y 'n +1 )T ,

F = (1, y3 , y4 ,......., yn +1 , f )T T: Transpose.

dy

Eg: y ''+ b(t ) y '+ c(t ) y = d (t ) y'= y (t0 ) = y0 y '(t0 ) = y1

dt

y z1 y0 dz1

= z2

dt

y’ z2 y1 dz2

= d ( z3 ) − d ( z3 ) z2 − c ( z3 ) z1

dt

t z3 t0 dz3

=1

dt

dz

dz3 = f ( z)

=1 dt

dt ⎡ f1 ⎤ ⎡ z2 ⎤

dz1 f = ⎢⎢ f 2 ⎥⎥ = ⎢⎢ d ( z3 ) − c( z3 ) z1 − b( z3 ) z2 ⎥⎥

= z2

dt ⎢⎣ f3 ⎥⎦ ⎢⎣ 1 ⎥⎦

dz2 ⎡ y0 ⎤

= d ( z3 ) − d ( z3 ) z2 − c( z3 ) z1

dt z (t0 ) = ⎢⎢ y1 ⎥⎥

⎢⎣ t0 ⎥⎦

Example 2 x ''' = cos x + sin x '− e x '' + t 2

x(0) = 3

x '(0) = 7

x ''(0) = 13

Old New Initial

Diff. eq.

variables variables value

x’1=1

t x1 0

x’2=x3

x x2 3

x’3=x4

x’ x3 7

x’4=cos x2+sin x3-

x’’ x4 13

ex4+x12

⎡ x1 ' ⎤ ⎡ 1 ⎤ ⎡0⎤

⎢ x '⎥ ⎢ ⎥ ⎢3⎥

x

x' = ⎢ 2 ⎥, F =⎢ 3 ⎥ x(0) = ⎢ ⎥ at x1=0, t=0

⎢ x3 ' ⎥ ⎢ x4 ⎥ ⎢7⎥

⎢ ⎥ ⎢ ⎥ ⎢ ⎥

⎢⎣ x4 '⎥⎦ ⎢⎣ cos x2 + sin x 3 − e x4

+ x1⎥

⎦ ⎣13⎦

Example 3 .

x '' = x − y − (3x ') 2 + ( y ')3 + 6 y ''+ 2t

y ''' = y ''− x '+ e x − t

x(1)=2 , x’(1)=-4 , y(1)=-2 , y’(1)=7 , y’’(1)=6

Initial

Old variables New variables Diff. eq.

value

x’1=1

t x1 1

x’2=x3

x x2 2

x’3=x2-x4-

x’ x3 -4

9x32+x53+6x6+2x1

y x4 -2

x’4=x5

y’ x5 7

x’5=x6

y’’ x6 6

x’6=x6-x3+ex2-x1

T

REVIEW OF TAYLOR --DERIVATION

f(t)

t=a

f(a), f’(a), f’’(a),…… t

f(t)=a0+a1(t-a)+a2(t-a)2+………+an(t-a)n+…….

a0=f(a)

a1=f’(a)

f’(t)=a1+2a2(t-a)+3a3(t-a)2+………+nan(t-a)n-

1+…….

a2=(1/2)f’’(a)

a3=(1/2*3)f’’’(a) f’’(t)=2a2+2*3a3(t-a)+………+n*(n-1)an(t-a)n-2+…….

ai=f(i)(a)/i!

N (n )

f (a )

Taylor series expansion of f(t) about the point t=a. f ( t ) = ∑

n=0 n!

(t − a ) n + E

N (n )

f (a )

Truncation: f (t ) = ∑

n=0 n!

(t − a ) n + E E: Truncation Error

f ( N +1) (ξ ) a ≤ξ ≤t

E= (t − a ) N +1

( N + 1)!

f(t) N

f ( n ) ( x) n

f ( x + h) = ∑ h +E

n =0 n!

f ( N +1) (ξ ) N +1

E= h

( N + 1)!

h

x ≤ξ ≤ x+h

t=x t=x+h

π

Example: Develop the Taylor series for Sin (x) about the point x=

2

f(x)=Sin x , f’(x)=Cos x , f’’(x)=-Sin x , f’’’(x)=-Cos x , fIV(x)=Sin x

π

f ( ) = 1,.......

2

1 π 1

sin x = 1 − ( x − ) + ( x − π ) 4 − ..........

2

2! 2 4! 2

( 2 k +1) π (2k ) π π

f ( ) = 0 f ( 2 ) = (−1)

k x− =h

2 2

( −1) ( −1)

k k

π N N

sin( + h) = ∑ ( x − π )2k + E sin x = ∑ ( x − π )2k + E

2 k = 0 2k !

2 k =0 2k ! 2

1

(− 1)k

Estimate the error for h=10-2 ∑

k =0 2 k!

h 2k

π 1

sin( + 0.01) = 1 − 10−4 = 0.99995

2 2 10−6

E ≤

3!

( )

3

E = cos ξ <ξ < + 0.01 bound-on error

3! 2 2

Numerical Solution of ODEs of the Initial Value Type

Taylor’s Method:

dy

= f ( x, y ) y ( x0 ) = y0 y ( x0 + h) = ?

dx

Difference methods or discrete variable methods

Continuous function y(x) is approximated by a set of discrete values yi,

dy h2 d 2 y h3 d 3 y

y ( x0 + h) = y ( x0 ) + h + + + ........

y dx x0 2! dx 2 x0

3! dx 3 x0

y dy

= f ( x0 , y0 )

dx x0

y

y d 2 y d ⎛ dy ⎞ df ∂f ∂f dy ⎡ ∂f ∂f ⎤

= ⎜ ⎟ = = + = + f

y0 dx 2 dx ⎝ dx ⎠ dx ∂x ∂y dx ⎢⎣ ∂x ∂y ⎥⎦ x0 , y0

x f = f ( x, y ( x ))

x0 x1 x2 xi b

d 3 y d ⎛ d 2 y ⎞ d ⎡ ∂f ∂f ⎤ ∂ ⎡ ∂f ∂f ⎤ ∂ ⎡ ∂f ∂f ⎤

= ⎜ 2 ⎟= ⎢ + f ⎥ = ⎢ +f ⎥ +f ⎢ +f

dx 3

dx ⎝ dx ⎠ dx ⎣ ∂x ∂y ⎦ ∂x ⎣ ∂x ∂y ⎦ ∂y ⎣ ∂x ∂y ⎥⎦

= f xx + f x f y + ff xy + ff xy + ff y2 + f 2 f yy

2

y ( x0 ) = y0

d y dy

2

= f ( x , y , ) → We need ⎛ dy ⎞

dx dx & ⎜ ⎟ = y1

⎝ dx ⎠ x0

Euler’s Method:

y

Target

y ( x0 + h) = y ( x0 ) + hf ( x0 , y0 )

y1

y0

x

x0 x0 + h = x1

dy

predicted tan α = = f ( x0 , y0 )

y dx

y1

error

y(x)

α Actual value

y0

yi +1 = yi + hf ( xi , yi )

h

x

x0 x0 + h = x1

Local truncation error: O(h2)

b) Switching of solution curves

c) Round off error

If y1 has an error → generates wrong value for f ( x0 + h, y1 )

Error

Round off

error

Truncation

error

Number of

Optimum

steps

*

hM=b-a ( 2) h2

y (ck ) M =

( b − a ) y ( 2) h

= Q ( h)

2 2

MODIFIED EULER’S METHOD: HEUN'S METHOD

y

y1

y0

y1 = y0 + hf ( x0 , y0 )

x

x0 x0 + h = x1

f tan α = f ( x0 , y0 )

dy

f0 = f ( x, y ( x))

dx x +h 0

f1 f(x,y)

y ( x0 + h) = ∫

x = x0

f ( x, y ( x))dx + y0

slope averaging

x

x0 x0 + h = x1

f 0 = f ( x0 , y0 )

⎛ f 0 + f1 ⎞

y = y0 + hf 0

1

p

y = y0 + h ⎜

c

1 ⎟ (2)

⎝ 2 ⎠

f1 = f ( x0 + h, y1 ) = f ( x1 , y1 ) Trapezoidal rule

Use Euler as predictor to calculate y1, then calculate f1 & use eq. (2) to correct the result.

TAYLOR’S METHOD:

dx dx 5t 2 5

dt

= 5 xt x(1)=2 ∫ x = ∫ 5tdt ln x =

2

+C ln 2 =

2

+C

5 ⎛x⎞ 5 x 5 ( t 2 −1)

C = − + ln 2 ln ⎜ ⎟ = (t 2 − 1) =e 2

2 ⎝2⎠ 2 2

• Not practical to use Taylor’s series expansion method if f has complicated derivates,

therefore,

• No generalized computer program can be constructed

• nth order R-K is an alternative.

d2y

= 5 x + 5 xt (5t ) d3y

dt 2

3

= 25 x (2t ) + 5 xt ⎡

⎣ 5(1 + 5t 2

) ⎤⎦

dx

= 5 x + 25 xt 2

= 50 xt + 25 xt + 125 xt 3

= 5 x(1 + 5t 2 )

RUNGE-KUTTA METHODS:

• Accurate, stable, easy to program

• Involves only first order derivative evaluation (function itself not derivative)

,• Produces results equivalent in accuracy to the higher order Taylor formulas.

• Perform several function evaluations at each step to eliminate the necessity to

compute the higher derivatives

• Can be constructed for any order.

dy

= f ( x, y ) y ( x0 ) = y0 y ( x + h) = y ( x) + w1 F1 + w2 F2 w1 , w2 : weights

dx

F1 = hf ( x, y ) w1 = w2 = 1 ⇒ MODIFIED EULER

α =1 β =1 2

order Taylor’s method.

(α h ) ( β F1 )

2 2

2(α h)( β F1 )

f xx + f yy + f xy + Q(h3 )

2! 2! 2!

⎧ df df ⎫

F2 = h ⎨ f ( x, y ) + α h + β F1 + Q(h 2 ) ⎬

⎩ dx dy ⎭

Taylor’s series for a function of two variables.

⎡ ∂f ∂f ⎤

y ( x + h) = y ( x) + w1hf + w2 ⎢ hf + α h 2 + β h 2 f ⎥ + ........

⎣ ∂x ∂y ⎦

= y ( x) + h( w1 + w2 ) f + w2 h 2 ⎡⎣α f x + β ff y ⎤⎦ + ......

h2

TAYLOR → y ( x + h) = y ( x) + hf + ⎡⎣ f x + ff y ⎤⎦ + ........

2!

w1 + w2 = 1

α = β =1

1

⇒ 2nd order Runge-Kutta

w2 =

2

4th Order Runge-Kutta: yk +1 = yk + w1 F1 + w2 F2 + w3 F3 + w4 F4

h

yk +1 ( x + h) = yk ( x ) + ( F1 + 2 F2 + 2 F3 + F4 )

6

F1 = f ( xk , yk )

⎛ h F⎞

F2 = f ⎜ xk + , yk + 1 ⎟

⎝ 2 2⎠

⎛ h F ⎞

F3 = f ⎜ xk + , yk + 2 ⎟

⎝ 2 2 ⎠

F4 = f ( xk + h, yk + F3 )

Extensions to systems of differential equations:

dx

= f (t , x, y )

dt x(t 0 ) = x 0

with

dy y (t 0 ) = y 0

= g (t , x, y )

dt

RK4

h

xk +1 = xk + ( F1 + 2 F2 + 2 F3 + F4 ) k = 0,1, 2,........MAX

6

h b−a

yk +1 = yk + (G1 + 2G2 + 2G3 + G4 ) h=

6 N

F1 = f (tk , xk , yk )

G1 = g (tk , xk , yk )

⎛ h h h ⎞

F2 = f ⎜ tk + , xk + F1 , yk + G1 ⎟

⎝ 2 2 2 ⎠

⎛ h h h ⎞

G2 = g ⎜ tk + , xk + F1 , yk + G1 ⎟

⎝ 2 2 2 ⎠

⎛ h h h ⎞

F3 = f ⎜ tk + , xk + F2 , yk + G2 ⎟

⎝ 2 2 2 ⎠

⎛ h h h ⎞

G3 = g ⎜ tk + , xk + F2 , yk + G2 ⎟

⎝ 2 2 2 ⎠

F4 = f ( tk + h, xk + hF3 , yk + hG3 )

G4 = g ( tk + h, xk + hF3 , yk + hG3 )

Örnek: TAYLOR (serisi) yöntemi:

n=10 step h= (b-a)/n=0.1

yi +1 = yi + h + yi ''+ yi '''

1! 2! 3! +O(h4) Truncation error results from taking finite

number of terms in an infinite series.

y ' = f ( x, y ) = x 2 + y 2

y '' = f x + ff y = 2 x + 2 yf = 2 x + 2 yy '

y ''' = f xx + 2 f xy y '+ f yy ( y ') 2 + f y ⎡⎣ f x + ff y ⎤⎦ = f xx + 2 f xy y '+ f yy ( y ') 2 + f y y ''

y ''' = 2 + 0 + 2( y ') 2 + 2 yy ''

x0=0 , y0=0 , y0’=0 , y0’’=0 , y0’’’=2

h2 h3 2

y1 = y0 + hy0′ + y0′′ + y0′′′ = (0.1)3 = 0.3333*10−3

2 3! 6

x1=0.1 , y1=0.333*10-3

y1′ ≅ 0.01 y1′′ ≅ 0.2 y1′′′≅ 2.0003 y5=0.041784 exact value 0.041791

h2 h3 .

y2 = y1 + hy1′ + y1′′ + y1′′′≅ 0.002667 .

2 3!

. y10=0.350064 exact value 0.350232

.

FREE FALLING OF A SOLID SPHERE

ρ dz

v=

z=0 at t=0 dt

g Motion of sphere:

v=v(t)=?

z=z(t)=? Displacement

d vacuum → only external force is gravitational force but

in a fluid additional forces

πd 3

1. Buoyant force: weight of fluid displaced bt body: − m f g − 6 ρ f g

2. Force on an accelerating body: due to flow field exists for frictionlessflow as well,

1 dv

− mf

2 dt

3. Viscous forces: In real fluid → shear stress on surface

CD: drag coef.[-]

ρ A=πd2/4 1

FD ≡ C D ρV 2 A

z 2

FD:total drag force

v A:projected frontal area

Drag due to

1) pressure forces (from drag) Valid for ρ = const. Over any body

2) friction forces (shear stress) Viscous fluid flow pg.182 (white)

CD = CD (Re, body shape) → dimensional analysis

Transition to turb.

I stokes “drag crises”

sol.

a

II

III c

b IV e

d

Rough

surface

24

I – stoke’s solution → C D = , Re≤1

Re

24

II – approx. Fitted curve → C D = , 1<Re≤400

Re0.646

C D ≈ 0.000366 Re 0.4275 , 3x105<Re≤2x106

C D ≈ 0.18 , Re>2x106

Newton’s 2nd Law applied to spherical body.

dv 1 dv 1 v ρ: density of sphere

m = mg − m f g − m f − ρ f v( C Re)

dt gravit f . 2 dt 2 π 2 D special case:

buoyant f. d

force due to accel. 4 in a vacuum: ρ = 0

viscous force

dv 1 ,A=1 , B=g , C=0

= [B − Cv / V / C D (Re)]

dt A

dz

=v

dt

ρf

1

(

A = 1+ ρ , B = 1− ρ g , C =

2

)

3ρ

4d

, ρ=

ρ

dz

=v dz

dt = v = g (v )

dv dt

= g → v = gt + v0 dv 1

dt = [B − Cv / V / C D (Re)] = f (v)

dz 1 dt A

= gt + v0 ⇒ z = v0 t + gt 2

dt 2

RK4

1

F1 = f (v ) = [ ] vk +1 = vk +

h

(F1 + 2 F2 + 2 F3 + F4 )

A

G1 = g (v ) = v

6

h

⎛ h ⎞

F2 = f ⎜ v + F1 ⎟

z k +1 = z k + (G1 + 2G2 + 2G3 + G4 )

⎝ 2 ⎠ 6

⎛ h ⎞ h

G2 = g ⎜ v + G1 ⎟ = v + G1 [a, b] ≡ [0,10]

⎝ 2 ⎠ 2

b − a 10

⎛ h ⎞ h= = = 0.1

F3 = f ⎜ v + F2 ⎟ N 100

⎝ 2 ⎠

⎛ h ⎞ h h:step size

G3 = g ⎜ v + G2 ⎟ = v + G2

⎝ 2 ⎠ 2 N:number of steps

F4 = f (v + hF3 ) We are going to march from a to b by step size h.

G4 = g (v + hG3 ) = v + hG3

HW1

dx

= x′ = 1 − y

dt

dy

= y′ = x 2 − y 2

dt

x(0)=-1.2

y(0)=0

[0,5] , h=0.1 & 0.01

Show the result

Plot phaseportrait

ORDINARY DIFFERENTIAL EQUATIONS OF THE BOUNDARY

VALUE TYPE (BVPs)

Finite-difference method (Relaxation method)

Introduction: We will concentrate mainly on second order BVPs since first order

problems can be considered as initial value problems.

In practice, some higer order equations occur. When equations of higer order then

second occur, we can treat them as a coupled set of second order equations.

Example # 1 A non-linear 4th order equation

y ıv + y ′′2 + r ( x ) + y ′3 + q( x )y = f ( x ) (1)

Let ⎫

⎪

y ′′ = z ⎬ (2)

z′′ + z 2 + ry ′3 + qy = f ( x )⎪⎭

LINEAR EQUATIONS

Easiest problem: Linear equation function values are specified at the both ends.

Analytical solution: Big difference between the solution of linear&non-linear problems.

Numerical solution: Techniques for linear equations can be easily modified for non-

linear problems.

E.g. 2 Boundary Layer Over a Flat Surface:

f ′′′ + ff ′′ = 0

f (0) = f ′(0) = 0

f ′(∞ ) = 1

y

u = U∞ f ′(η ) , v = U∞ x 1/ 2 {η f ′ − f } , η =

x

Third-order non-linear differential eqs.

• Almost always better to write the equation as a series of first and second order

equations.

or

g= f′

η

f = ∫ gdη (B) numerical integration such as trapezoid rule.

0

• Direct schemes of solution for higer order eqs. (then two) can be unstable.

General second order linear ODE can be written as

y ′′ + p ( x ) y ′ + r ( x ) y = f ( x ) (3)

• Special cases

• p&r → constant and f(x)=0 → exact analytical solution is obtaained in the form of

simple exponentials or sine and cosine solutions

• p&r → constant and f is a special form such as a polynomial, an exponential, or a sine

ar cosine function an analytical solution may also be obtained by the method of

undetermined coefficient

• f=0 special situations

Bessel functions, Legendre functions which satisfy special forms of eq.(3)

• Special situatons are exception rather than the rule

• Need to find ways of computing the solution of eq.(3) numerically

These conditions → the function or its derivative or a combination of both.

Example

dt

h(T-T∞ ) = k

dx

∂T

Tb x = L → T = Tt , = 0 (insulated)

∂x

L

x

y ′′ + p ( x ) y ′ + r ( x ) y = f ( x ) (3)

y (a) = A Wish to solve eq.(3) for x in (a,b) y(x)=?

y (b) = B

Range (a,b) is first split into n equal parts of mesh length h and each point is labelled as

indicated below.

y0 y1 yj-1 yj yj+1 yn

At a typical point in the mesh at x=xj , we write finite difference representation to eq.(3)

as,

y j +1 − 2 y j + y j −1 y j +1 + y j −1 1

2

+ p( x j ) + r(x j ) y j = f (x j ) + 2

Cy j (4)

h 2h h

error term

⎛ h ⎞ ⎛ h ⎞

y j +1 ⎜ 1 + p j ⎟ + ( −2 + h 2 rj ) y j + ⎜ 1 − p j ⎟ y j −1 = h 2 f j + Cy j (5)

⎝ 2 ⎠ ⎝ 2 ⎠

Assuming Cyj negligible, then, finite difference approximation to eq.(3) at the point

xj = a+jh (j=1,2,..,n-1) is given iby eq.(5)

Example:

y ′′ − y = x For illustration purposes, select h=0.25 P(x)=0 , r(x)=-1 , f(x)=x

y ( 0) = 0 y0 y1 y2 y3 y4 =1

y (1) = 1

0 0.25 0.5 0.75 1

( )

y j +1 + −2 + h 2 y j + y j −1 = h 2 x j x j = jh j = 1, 2,3 interior points!

0

⎫

y0 − 2.0625 y1 + y2 = 0.015625 ⎪

⎪

y1 − 2.0625 y2 + y3 = 0.031250 ⎬ (6)

y2 − 2.0625 y3 + y4 = 0.046875⎪

⎪

1 ⎭

y0=0 , y4=1 , Eq.(6) represents 3 equations and 3 unknowns.

• Cramer’s rule: few number equations; 3-4

• Gauss elimination: moderate number of equations; 10-50

• Iterative techniques (Jacobi, Gauss Seidel, SOR): large number of equations; 100-1000

Exact solution of y ′′ − y = x y=

2

e −1

2

e (

x +1

− e )

− ( x −1)

−x

Comparision

Numerical Exact

y0 0 0

y1 0.18023 0.17990

y2 0.38735 0.38682

y3 0.64993 0.64945

y4 1.0 1.0

• Good to 3 significant figures of a accuracy even for this large h=0.25

• Agreement will improve as h decreases

Computer Programming

General difference equation

⎛ h ⎞ ⎛ h ⎞

( )

y j +1 ⎜1 + p j ⎟ + −2 + h 2 rj y j + ⎜1 − p j ⎟ y j −1 = h 2 f j

⎝ 2 ⎠ ⎝ 2 ⎠

aj d j

bj cj

xj = a+jh , where j = 1, 2,..., (n-1)

y0 = A , yn = B (known from BCs)

need to solve (n-1) linear eqs. in (n-1) unknowns.

⎛ h ⎞ ⎛ h ⎞

b j = ⎜1 + p j ⎟ , c j = ⎜1 − p j ⎟

Coefficient for the general eq. ⎝ 2 ⎠ ⎝ 2 ⎠

(

a j = − 2 + h 2 rj ) , d j = h2 f j

Compute and store in one dimensional arrays, pj = p(xj) , rj = r(xj) , xj = a+jh

differential eq.

Advantages

1. Lead to the tri-diagonal matrices

2. Often lead to diagonally dominant matrices

Need to have diagonally dominant matrix for convergence!!

TRI-DIAGONAL MATRIX:

All elements other than diagonal, upper and lower diagonal elements of a matrix are

zero.

• Note if matrix is tri-diagonal direct method of solution should be the way of solving the

matrix.

Let’s write the coefficient matrix

a11 a12 a13 . a1N

a21 a22 a23 . a2 N

. . . . . a3,3 > a3,1 + a3, 2 + a3, 4 + .... + a3, N

. . . . .

a N1 . . . a NN

a1 y1 + b1 y2 = d1 − c1 y0

c2 y1 + a2 y2 + b2 y3 = d2

c3 y2 + a3 y3 + b3 y4 = d3

:

:

ck yk −1 + ak y k + bk yk +1 = dk

:

:

cn − 2 yn −3 + an − 2 yn − 2 + bn − 2 yn −1 = d n−2

cn −1 yn − 2 + an −1 yn −1 = d n −1 − bn −1 yn

known

• (n-1) eqs. & (n-1) unknowns yi, i=1,2,..,(n-1)

• y0 & yn are known from BCs

• need to eliminate each successive yi

^

d1 − b1 y2

y1 = (1')

a1

^

d1 − b1 y2

c2 + a2 y2 + b2 y3 = d 2 (2)

a1

^

⎛ b1 ⎞ d1

a − c

⎜ 2 2 ⎟ 2 2 3y + b y = d 2 − c2 (2')

⎝ a1 ⎠ a1

α2 γ2

γ 2 − b2 y3

y2 = (2''')

α2 ck +1bk (I)

⎛γ −b y ⎞ α k +1 = ak +1 −

c3 ⎜ 2 2 3 ⎟ + a3 y3 + b3 y4 = d3 (3) αk Forward elimination,

⎝ α2 ⎠ c γ

k=1,2,..,(n-1)

⎛ b2 ⎞ γ2 γ k +1 = d k +1 − k +1 k Recursion relations for α

⎜ a3 − c3 ⎟ y3 + b3 y4 = d3 - c3 (3') αk and γ

⎝ α2 ⎠ α2

α3 γ3

α k y k + bk y k +1 = γ k (kth eq.)

γ k − bk y k +1

yk = (II) Back subtitution k=(n-1),(n-2),..,1

αk

TDMA - Tri-diagonal matrix algorithm.

To obtain values to start the recursion relations off,

Compare (kth) eq. with (1)

a1 y1 + b1 y2 = d1 − c1 y0 (1)

α k yk + bk yk +1 = γ k (kth)

^

α1 = a1 , γ 1 = d1 − c1 y0 = d 1 (*)

Summary:

TDMA: Direct process of solution

Step #1: α and γ are calculated using the recursion relations (I)

starting from the initial values given in (*)

Called forward elimination k=1,2,..,(n-1)

Step #2: Back substitution using eq.(II) k=(n-1),(n-2),..,1

as yn = B is known

THE THOMAS ALGORITHM

• more efficient scheme

• numerically stable scheme

δ 0 = y0 = A

F0 = 0

Using the recursion relations,

bk +1 d −c δ

Fk +1 = − , δ k +1 = k +1 k +1 k k = 0,1,2,..,(n-1)

(ak +1 + ck +1 Fk ) (ak +1 + ck +1 Fk )

It may be proved by mathematical induction that

yk = Fk yk +1 + δ k

yn = B is known ⇒ k = (n-1),(n-2),.., 2, 1

subroutine thomas(a, b, c, d, N, y)

implicit double precision (a-h,o-z)

dimension a(N), b(N), c(N), d(N)

dimension F(0:2000), Delta(0:2000),y(0:N)

c boundary condition #1 at x = 0

y(0) = 250.0

Delta(0) = y(0)

F(0) = 0.0

c Forward Elimination

do 5 k = 0, N-1

F(k+1) = -(b(k+1))/(a(k+1)+c(k+1)*F(k))

Delta(k+1)=(d(k+1)-c(k+1)*Delta(k))/(a(k+1)+c(k+1)*F(k))

5 continue

c derivative boundary condition #2 at x = L (insulation)

AA = a(N)

BB = c(N) + b(N)

y(N) = (d(N)- BB*Delta(N-1))/(AA+BB*F(N-1))

print*, y(N)

c back substitution

do 6 k = N-1,1,-1

y(k) = F(k)*y(k+1) + Delta(k)

6 continue

return

end

Example of a Boundary Value Problem: Fins or Extended surfaces

T(0) = 200 0C

x

h = 20 W / m2 0C

T∞ = 20 0C

d 2T ⎛ 1 dAc ⎞ dT ⎛ 1 h dAs ⎞

2

+ ⎜⎜ ⎟⎟ − ⎜⎜ ⎟⎟(T − T∞ ) = 0

dx ⎝ Ac dx ⎠ dx ⎝ Ac k dx ⎠

Ac(x): Cross-sectional area

As(x): Surface area measured from the base.

Note: if Ac(x)= const. ⇒ As(x)= P x P: perimeter of cross-section of the fin

d 2T ⎛ hP ⎞

2

− ⎜⎜ ⎟⎟(T − T∞ ) = 0

dx ⎝ kAc ⎠

Common boundary conditions

1. T = Tb at x = 0

2. At x = L

1. dT/dx = 0 (insulated; Neumann condition)

2. T = TL (specified temperature; Dirichlet condition)

3. T = T∞ (for long fins)

dx x= L

2. Compute q B = − kAC ( x ) ⇒ energy dissipated by the fin

dx x =0

b) Numerical Methods

Numerical Solution of fin equation

1 dAc

P( x) =

Tb=T(0) Ac dx

x

h dAs

R( x) = −

h, T∞ kAc dx

θ = T − T∞

x0 x1 xj xn

d 2θ dθ

2

+ P ( x ) + R( x)θ = 0

dx dx

b jθ j +1 + a jθ j + c jθ j −1 = d j j = 1, 2, …, (n-1)

∆x ∆x dj = 0

bj = 1+ Pj cj = 1− Pj a j = −2 + (∆x) 2 R j

2 2

a) Specified temperature at x = L θ = θL at x = L

θ = θb at x = 0

F0=0; δ0 = θ0 = θb

− bk +1 d k +1 − c k +1δ k

Fk +1 = δ k +1 =

a k +1 + c k +1 Fk a k +1 + c k +1 Fk

θ k = Fkθ k +1 + δ k k = (n-1),(n-2),…, 2, 1.

b) Convection condition at x = L

dθ

−k = −hθ at x = L & θ = θb at x = 0

dx x=L

introduce

additional point

h=∆x h

n-1 n n+1

Fin equation at x = xn = L (j = n)

⎛ θ −θ ⎞

Convection condition: − k ⎜⎜ n+1 n −1 ⎟⎟ = − hθ n

⎝ 2( ∆x) ⎠

2 ( ∆x ) h

Eliminate θn+1; θ n +1 = θ n −1 − θn

k

⎛ 2 ( ∆x ) h ⎞

⎜ n

a − b n ⎟θ n + (c n + bn )θ n −1 = d n

⎝ k ⎠

A B

d n − Bθ n −1

Aθ n + Bθ n −1 = d n ⇒ θn = (1)

A

θ n−1 = Fn−1θ n + δ n−1 (2)

d n − BFn−1θ n − Bδ n−1

θn = ⇒ ( A + BFn−1 )θ n = d n − Bδ n−1

A

d n − Bδ n−1

θn = Back substitute as before. Note dj= 0.

A + BFn−1

dT

Heat Flux: q f = −kAc (0)

T1 T2 T3 T4 dx x =0

dT T2 − T1 dT − 3T1 + 4T2 − T3

≅ , or ≅ , or

dx x =0 ∆x dx x =0 2(∆x)

≅

dx x =0 6(∆x)

Non-Linear Equations:

• Methods similar to those used in the linear case can be used

• Obtain a set of non-linear difference eqs. but no general direct methods for solving

non-linear algebraic eqs.

i.e. difference eqs. cannot be solved immediately as in the linear case

guessed solution

2. Then, solve the linearized dif. eq. with a direct method such as Thomas Algorithm to

approximately obtain solution

3. ITERATION needed until two succesive numerical solutions agree at each mesh

point to within some tolerance specified

NOTE: Main extra feature of non-linear BVPs is that some iteration is necessary.

EXAMPLE: Unlike the linear case, we cannot write down a general non-linear

equation; thus let us illustrate the linearization with an example:

y ′′ + p ( x) y 2 y ′ + r ( x) y 3 = f ( x) (1)

x = a & x = b conditions are specified

Finite difference approximation at xj to eq.(1)

y j +1 − 2 y j + y j −1 + p j y 2j ( y j +1 − y j −1 ) + h 2 r j y 3j = h 2 f j +

h

Cy j (2)

2

truncation term

Note: Equation (2) is non-linear

To solve eq.(2) , we start off by guessing a solution,

y (j0) , j = 0,1,2,.., n

Use above guessed solution to linearize the non-linear terms in eq.(2)

y (1)

j +1 − 2y (1)

j +y (1)

j −1

h

2

{ } (y

+ p j y (j0 )

2 (1)

j +1 −y (1)

j −1 )+ h r y

2

j

(0)2

j y (j1) = h 2 f j (3)

Eq.(3) is a linearize eq.& can be solved by a direct method (e.g. Thomas Alg.) to

obtain the first solution iterate, y (j1) j=0,1,2,...,n

Now, test to see wheather y (j1) is within a specified tolerance of y (j0 ) at each

internal mesh point; if not repeat the process, but this time using our refined estimate of

(1)

the solution, y j to linearize the non-linear terms.

y (k )

j +1 − 2y (k )

j +y (k )

j −1

h

2

{

+ p j y (jk −1 ) } (y

2 (k )

j +1 −y (k )

j −1 )+ h r y

2

j

( k −1) 2

j y (jk ) = h 2 f j

CONVERGENCE TESTS:

To determine the iteration two basic tests

I. The absolute test

E.g. ε = 10-4

y (jk +1) − y (jk ) < ε It is not a significant figure test

y m( k ) = 3 × 10 −5 , y m( k ) = 3 × 10 −5 y is small

Absolute test → convergence occured

But iterates do not agree to even one significant figure

E.g. ym is large : test may be much more demanding than we wish

ym = 1234,5678 test asking for 8 significant figures of agreement in successive

iterates.

It is not uncommon for the solution of a dif. eq. to contain pivotal values of widely

differing in magnitude.

Need a test which takes this into account

II. The Relative Test

( k +1)

<ε or 1− ( k +1)

<ε Test for significant figures.

y j y j

If ε = 10-4 two successive iterates must agree to within 4 significant figures at each

internal mesh point

Generally gives more satisfactory results

−7

y j ≥ 10→ settle for only testing pivotal values down to a certain minimum magnitude

Falkner-Skan Similarity Solutions

Boundary Layer eqs. (x,y)

Similarity methods → (x,y) → (η)

u ( x, y ) = U ( x) f ′(η ) (1)

y

η=

ξ ( x)

ψ ( x, y ) = U ( x)ξ ( x) f (η ) (2)

B.L. eqs.

∂u ∂u dU ∂ 2u

u +v =U +ν 2

∂x ∂y dx ∂y

∂ψ ∂ψ

u= , v=−

∂y ∂x

Substitute (2) in to B.L. eqs. written in terms of ψ and show

2

⎣ ⎦

ξ d ξ 2 dU

α= (U ξ ) , β =

ν dx ν dx

α=1 , β=arbitrary

Boundary conditions

f (0) = 0 no slip at the wall (v=0)

f ′(η ) = 1 as η → ∞ B.L. solution merges into the inviscid solution

BVP

f ′′′ + ff ′′ + β ⎡1 − ( f ′ ) ⎤ = 0

2

Notes

⎣ ⎦ • Complicated b.c. in η →∞

f ′( x) = f (0) = 0 , f ′(∞) = 1

• Non-linear 3rd order BVP.

solve f (η ) & obtain f ′′(0)

1/ 2

⎛ µU I ⎞

τ w = A⎜ ⎟ f ′′(0)

⎝ x ⎠

∂u

=µ

∂y y =0

η

Let f ′(η ) = y (η ) ⇒ f (η ) = ∫ y (t )dt

0

η

f (η ) = ∫ y (t )dt (2) trapezoid or simpson rule

0

• Need to iterate

• Use finite difference method not shooting

• β≤-0.19 solution hes multiple solution (do not try)

• guess for y& solve for f by (2)

• use f to solve y by (1)

• iterate until convergence

-η 2

y = erf η or 1- e

Finite difference representation of eq.(1)

yi +1 − 2 yi + yi −1 yi +1 − yi −1

2

+ f i − β yi0 yi = − β (3)

h 2h

h

yi +1 − 2 yi + yi −1 + fi ( yi +1 − yi −1 ) − h 2 β yi0 yi = − h 2 β (4)

2

⎡ h⎤ ⎡ h⎤

yi +1 ⎢1 + f i ⎥ + yi ⎡⎣ −2 − h 2 β yi0 ⎤⎦ + yi −1 ⎢1 − fi ⎥ = − h 2 β (5)

⎣ 2⎦ ⎣ 2⎦

bi yi +1 + ai yi + ci yi −1 = di (6)

Procedure

1. Guess a solution for y 0 (η )

−η 2

e.g. y (η ) = 1 − e

0

ηi

0

3. Use f (ηi ) to solve y1 (η ) eq.(5) (thomas algorithm)

4. Iterate until convergence

y ( k ) − y ( k −1)

i.e

(k )

<ε

y

• Take η = 5-6

• Plot f , f ′ versus η

• Take β=0,1,&5

x

Tw u Similarity solutions:

Vertical surface is held at a uniform surface temperature, Tw .

v

T1: ambient fluid temperature

b.l

y

Boundary Layer equations governing the flow

∂ 2u ∂ 2u

<< 2 , v << u , Gr >> 1

∂x 2

∂y

∂u ∂v

+ =0 B.Cs:

∂x ∂y At y=0 , u=v=0 , T=Tw

∂u ∂u ∂ 2u For large y: u→0 , T→ T1

u +v = ν 2 + β g (T − T1 ) Velocity & temperature profiles are

∂x ∂y ∂y

similar at all values of x.

∂T ∂T ∂ 2T i.e.

u +v =α 2

∂x ∂y ∂y

u ⎛ y⎞

µ k = func ⎜ ⎟

ν= , α= ur ⎝δ ⎠

ρ ρcp

T − T1 ⎛ y⎞

= func ⎜ ⎟

Tw − T1 ⎝δ ⎠

ur = β g (Tw − T1 ) x

ur : reference velocity

δ: measure of both local velocity & thermal b.layer thicknesses

Define a streched variable near the plate

Gr1/ 4 y

η = 3/ 4 1/ 4 which magnifies the thin b.l. region (Gr>>1)

L x

The velocity components are

U 1/ 2 UL1/ 4

u = 1/ 4 x f ′(η ) , v = 1/ 4 1/ 4

(η f ′ − 3 f )

L 4Gr x

U = g β L(Tw − T1 )

T − T1

θ (η ) =

Tw − T1

driving force

3 1

f ′′′ + ff ′′ − f ′2 + θ =0

4 2

3

θ ′′ + Pr f θ ′ = 0 Prandtl number

4

B.Cs

At y = 0 u = 0 ⇒ η = 0 : f ′ = 0 (no-slip)

At y = 0 v = 0 ⇒ η = 0 : f = 0 (solid wall)

At y = 0 T = Tw ⇒ η = 0 : θ = 1 (const. plate temp.)

For large y: u → 0 ⇒ η → ∞ : f ′ → 0 (no motion in the ambient)

For large y: T → T1 ⇒ η → ∞ : θ → 0

Local nusselt number gives the heat transfer from the plate to the fluid

per unit area per unit time

x3/ 4 ∂θ

Nu x = −Gr 1/ 4

θ ′(0) needs to be numerically calculated

L3/ 4 ∂η η =0

Numerical solution

f ′′′ + 3 ff ′′ − 2 f ′2 + θ = 0 (1)

θ ′′ + 3Pr f θ ′ = 0 (2)

Let f ′=y

y′′ + 3 fy′ − 2 y 2 + θ = 0

θ ′′ + 3Pr f θ ′ = 0

Finite difference representation

yi +1 − 2 yi + yi −1 yi +1 − yi −1

+ − i + θi = 0

2

2

3 f i 2 y

h 2h

3h (1)

yi(1)

+1 − 2 y (1)

i + y (1)

i −1 + f i (

2

)

−1 − 2h yi yi + h θ i = 0

yi +1 − yi(1) 2 (0) (1) 2

⎡ 3h ⎤ ⎡ 3h ⎤

yi(+k1) ⎢1 + fi ⎥ + yi( k ) ⎡⎣ −2 − 2h 2 yi( k −1) ⎤⎦ + yi(−k1) ⎢1 − fi ⎥ = − h 2θi

⎣ 2⎦ ⎣ 2⎦

(k) d (k)

ai i

bi(k) ci(k)

θi +1 − 2θi + θi −1 θi +1 − θ i −1

+ 3Pr f i =0

h2 2h

⎛ 3h ⎞ ⎛ 3h ⎞

θi +1 ⎜1 + fi Pr +

⎟ i θ ( − 2) + θ i −1 ⎜ 1 − f i Pr ⎟=0

⎝ 2 ⎠ a ⎝ 2 ⎠ di

i

bi ci

Procedure

1. Guess y 0 (η )

ηi

0

3. Use Thomas algorithm to find θi

4. Use thomas algorithm to find yi(1) [using θ i & yi(0) ]

5. Iterate until convergence

y ( k ) − y ( k −1)

i.e.

(k )

<ε for all i=0,..,N

y

Notes:

•Infinity about 12

• Use iterative averaging, i.e %50 old, %50 new

• Limit IMAX 100

2

• provide good initial guess, e.g. y (η ) = 1 − e−η

δ ⎡ 1 ⎤

= ϑ ⎢ 1/ 4 ⎥

x ⎣ Grx ⎦

β g (Tw − T1 ) x3

Grx =

ν2

Grashof number main parameter in free convection controlling the nature of the motion

η : similarity variable

y 1/ 4

η= Grx

x

u T − T1

= F ′(η ) ; = θ (η )

β g (Tw − T1 ) x Tw − T1

u ⎛ ux ⎞

U= = ⎜ ⎟ Grx−0.5

β g (Tw − T1 ) x ⎝ ν ⎠

v ⎛ vx ⎞

V= = ⎜ ⎟ Grx−0.5

β g (Tw − T1 ) x ⎝ ν ⎠

1

cont. eq. V = −0.5

[η F ′ − 3F ]

4Grx

∂u U 2 ∂u ∂ 2u 1 θ

U + +V =ν 2 +

∂x 2 x ∂y ∂y β g (Tw − T1 ) x x

Shooting Methods for BVPs

• Make use of techniques that are normally designed to solve IVP.

• Usually 4th order RK methods are used

• Called marching schemesÆ march away from the initial data point constructing the

solution in a step-by-step manner.

Let us illustrate the approach using an example of a non-linear second order dif. eq.

y (a) = A , y (b) = B (2)

y′ = z ⎫

4⎬

(3)

z′ = f ( x) − p( x) yz − r ( x) y ⎭

Now, if y(a) & z(a)=y’(a) were known, eqs.(3) would define an IVP, and could use a RK4

scheme to construct the solution in a step-by-step manner for values of x>a .

We don’t know z(a)=y’(a) & so we GUESS some value for it, z(a)=α1

so the system of two equations (3) may be integrated forward in x as an initial value

problem. But, when we reach x=b , y(b)=B will not be, in general, satisfied. Other value

y(b)=γ1

Problem is to find an intelligent way to go back and adjust the guess for y’(a)

so that the condition at x=b will be satisfied.

Select another value of y’(a), say z(a)= α2 and integrate again & produce another

value y(b) =γ2

Values of

y(b)

B γ3

γ2

γ1

α1 α2 α3

Guess for y’(a) α

The problem is determine where this numerical function intersets

the true boundary condition,

γ=B → α = ? In practice,

Having guessed two values α1 and α2 for z(a)=y’(a),

z(a)= α1 → y(b)=γ1

z(a)= α2 → y(b)=γ2

Equation of the line passing through (α1, γ1) & (α2, γ2)

γ -γ 1 α -α1

= linear interpolation

γ 1 − γ 2 α1 − α 2

But we want γ=B so this gives us a revised guess to try for α3

α 3 = α1 +

( α1 − α 2 )( B-γ 1 )

(4)

γ1 − γ 2

Use α3 to start another integration of eq.(3)

y′(a ) = z (a ) = α 3 → y (b) = γ 3

(α1, γ1) , (α2, γ2) , (α3, γ3) take a line between whichever of the three points have values

of γ closes to B, and use this line to obtain a new estimate of z(a)= α4

Iterate until convergence

α i +1 − α i ≤ ε tolerance (5)

γ i +1 − B ≤ ε

Technique is called shooting method

We are adjusting the slope of our “gun” with the objective of hitting the “target” of the

true boundary condition at x=b

y

(1)

(3) Desired

(2) * boundary

value

a x b

Comments on this procedure

1. Method may not convergence at all if α1 & α2 the initial guesses are not “reasonably”

close to the correct value of y(b)=B. Usually some trial&error calculations may be

necessary in order to ensure that α1 & α2 produce values af γ1 & γ2 which are not

radically different from B

2. this method is very laborious & almost useless if more than one B.C. must be shot at

E.g.

y′′ = f ( x, y′, u , u ′)

u ′′ = g ( x, y′, u , u ′) Two values at x=b must be shot at.

Parallel shooting techniques can be used but

with the B.C. labourious methods

y (a ) = A , y (b) = B

u (a ) = C , u (b) = D

3. Shooting methods may also fail when the eqs. contain an unwanted

solution that may invariably be introduced in the marching procedure.

Example

y′′ − y = 0

general solution y(x)=A1e − x + A 2 e x

if B.C. are specified such that

y (0) = 1 , y → 0 as x → ∞

⇒ A1 = 1, A2 = 0

If we try to shoot for the value 0 for large values of x, failure of the scheme will occur

abruptly with an overflow due to exp(x) .

• Can solve it by going back & try to adjust the guessed slope if values of y get too

large

• But difficult

• Boundary value methods are in general preferable for boundary value problems

PARTIAL DIFFERENTIAL EQUATIONS (PDEs)

Physical classification

Equilibrium Problems: BVPs (Jury problems)

in D

D BCs must be • Incompressible inviscid flows

satisfied on B • Equilibrium stress distribution in solids

y

Seperation of variables,

T=0

1

∞

T=0

∇ T =0

2 T=0 T ( x, y ) = ∑ An sin(nπ x) sinh [ nπ ( y − 1) ]

n =1

x n

T=T0 1 An =

nπ sinh(nπ )

Ex2: Irrotational flow of an incompressible inviscid fluid is governed by

Laplace’s eq.

∇ 2φ = 0

V = ∇φ

y

F(r,θ)=r-rb(θ)=0

U

a θ x

Where F(r,θ)=0 is equation of surface of cylinder.

In addition, velocity must approach free stream value as distance from body becomes

large, i.e., as (x,y)→∞ ∇φ = U ∞

K cos θ Kx

φ = U∞ x + = U∞ x +

x2 + y2 x2 + y2

Marching Problems: IVP or IBVP

Marching or propagation problems are transient or transient-like problems

t or y (marching

direction) BCs must be

satisfied on B

B Dif. eq. must be

satisfied in D

x

Initial data

surface

The solution must be computed by marching outward from initial data surface while

satisfying BCs.

Mathematically, these problems are governed by either hyperbolic or parabolic PDEs.

Examples: 1-Dimensional Wave eq. &

1-Dimensional diffusion equation

∂u2

2 ∂ u

2

= c

∂t 2

∂x 2

∂u ∂u2

=α 2

∂t ∂x

Mathematical Classification of PDEs

Need to examine some mathematical properties of PDEs.

Governing PDEs in Fluid Mech. are quasi-linear

i.e. highest-order derivatives occur linearly

no products or exponentials of the highest-order derivatives.

The general quasi-linear second order PDE in two independent variables is given below

∂ 2u ∂ 2u ∂ 2u

A 2 +B +C 2 = f

∂x ∂x∂y ∂y

∂u ∂u

Where A,B,C,f may all be functions of x,y, , but not allowed to contain

∂x ∂y

second derivatives.

Strict linear case : A,B,C are functions of x and y and f is, at worst, a linear combination of

∂u ∂u

, as well as depending on x & y

∂x ∂y

If B2-4AC > 0 → Hyperbolic PDE , Two real distinct characteristics exist at each point in

x-y plane

B2-4AC = 0 → Parabolic PDE , one real characteristic

B2-4AC < 0 → Elliptic PDE , characteristics are imaginary

dy B ± B 2 − 4 AC

= See Tannehill et.al. 1997, page 24 for derivation

dx 2A

Characteristic lines are related to directions in which “information” can be transmitted

in physical problems governed by PDEs.

Hyperbolic PDEs with two independent variable x & y

Domain of influence: region influenced by P

y

Right-running

β2

II β3

Left-running

P

α2 α3

I III

x

a b c Initial data along the x axis

upon which P depends

Domain of dependence for P

(boundary conditions)

α = cont. & β=const. lines represent the two families of characteristics along

which signals can propagate

• Observer at point P can feel the effects of what has happened in Region I.

The domain of dependence region. Outside Region I, disturbance cannot be felt

by P.

• Disturbance created at point P can be felt only in the Region II, i.e. Region II is

the domain of influence of point P.

the given boundary

• Spatial coordinate may or may not be bounded

• Normally associated with initial value problems

•Typically two initial conditions at t=0 are specified

• If the spatial region is bounded → boundary conditions

Example: Best known example, one dimensional wave eq.

u L ∂ 2u ∂ 2

u

= a 2

-∞ <x<∞

∂t 2 ∂x 2

x

u(0,t)=0 u(L,t)=0

∂u dt B ± B 2 − 4 AC 0 ± 0 − 4a 2 1

( x, 0) = g ( x) = = = ±

∂t dx 2A 2a 2 a

x

x - at= x0 - at0

P(x0 , t0)

x + at= x0 + at0 x + at = const. = x0 – at0

x – at = const.

-1/a

1/a

1 1 x

x0 + at0 Domain of

x0 - at0 dependence

u(x,t) = F1 (x + ct) + F2 (x - ct)

D’ Alembert solution of wave equation.

u(x,t) at (x0 , t0) depends only upon initial data contained in the interval.

x0 - at0 ≤ x ≤ x0 + at0

x + at

f ( x + ct ) + f ( x - ct ) 1

u ( x, t ) =

2

+ ∫

2a x − at

g (τ )dτ

t: time

Initial conditions:

Initial displacements u(x,0) of string; e.g. u(x,0)=sin(πx/L)

∂u ∂u

Initial velocity ( x, 0) e.g. ( x, 0) = 0 (released from rest)

∂t ∂t

πx⎞ ⎛ πx⎞

⎜ ⎟ cos ⎜a ⎟

⎝ L ⎠ ⎝ L ⎠

⎧at right-running dt

Characteristic lines x=⎨ = ±L

⎩-at left-running dx

t

x + at = const. = x0 + at0

x – at = const. = x0 – at0

P

x = at

x = -ct

I. Steady, inviscid supersonic flow

y

d 2Φ d 2Φ

(M −1

2

) dx 2

− 2 =0

dy

x

Φ : disturbunce velocity profile

II. Unsteady, inviscid compressible flow

Unsteady 1-D & 2-D inviscid flows → hyperbolic

Time is the marching direction

∂ 2φ 2 ∂ φ

2

=c water-hammer problems wave equation.

∂t 2

∂x 2

Parabolic PDEs

Only one characteristic direction at a point

y Normally associated

c Boundary cond. known with IVPs but only one

I.C is required instead

d of two (as for

Domain of P

dependence hyperbolic eq.)

Region influced by P

a

b.c. known

b Time like variable

x

Parabolic equation in two independent variables x & y

• Information at point P influences the entire region on one side of the vertical

characteristic and contained by the boundaries

• “marching solutions” applicable

b.l. edge

Viscous flow

U

Unsteady heat conduction: the best known example

T

∂T ⎛ ∂ 2T ∂ 2T ⎞

T2 =α ⎜ 2 + 2 ⎟ α :const.

∂t ⎝ ∂x ∂y ⎠

t2

t1

T1

t=0

x

L

∂u ∂ 2u

=ν 2

T(x,0)=T1=const. ∂t ∂x

T(L,t)=T2=const. ∂T ∂ 2T

=α 2

T(0,t)=T1=const. ∂t ∂x x u

T(x,t)=? α : thermal diffusity

Elliptic PDEs

Consider an elliptic equation in two independent variables x & y

• No preferred direction of propation

influences the solution everywhere

y ∂ 2

u ∂ 2

u

e.g. + 2 =0

∂x ∂y

2

u is continious on R+C

C Max/Min Property: Umax and Umin must be

on C

x

Boundary conditions

y

C. piecewise regular

∇ 2u = 0

I. u=f(x,y) on C.. Dirichlet Problem (unique)

∂u

II. = g ( x, y ) on C: Neumann Probl. (not unique) u must be specified at least

∂n one point

∂u ∂u

III. Combination of u & is known + Au = B ⇒ Robin's Probl.

∂n ∂n

IV. Mixed problems → combination of these conditions on various parts of C

Also can have non-linear conditions e.g. radition ∂u n

+ AT = B

∂n

Example:

• Incompressible inviscid flow. M→0

∇ 2ψ = 0 streamlines

irrototainal flow ω = ∇.V = 0

∂u ⎛ ∂ 2u ∂ 2u ⎞

x =⎜ 2 + 2 ⎟

∂t ⎝ ∂y ∂z ⎠

z

Steady, Fully-developed velocity profile

∂u ∂u ∂u 1 ∂p ⎛ ∂ 2u ∂ 2u ⎞

+u +v =− +ν ⎜ 2 + 2 ⎟

∂t ∂x ∂y ρ ∂x ⎝ ∂x ∂y ⎠

convective terms

Creeping flow: ∇ 2 P = 0

∇.V = 0

DV

ρ = −∇P + µ∇ 2 V

Dt

ρ=const. ⎛ ⎞

∂

ρ ⎜⎜

V

+ ( )

V .∇ V ⎟ = −∇P + µ∇ 2 V

⎟

⎜ ∂t 0 non-linear term ⎟

⎝ ⎠

Parallel flow, v=w=0 , u≠0

∂u ∂v ∂w ∂u

continuity + + =0→ = 0 → u = u ( y, z , t )

∂x ∂y ∂z ∂x

∂P ∂P

y-comp. =0 , = 0 → p = p ( x, t )

∂y ∂z

⎛ ∂u ∂u ∂u ∂u ⎞ ∂P ⎛ ∂ 2u ∂ 2u ∂ 2u ⎞

x-comp. ρ ⎜ + u +v +w ⎟=− +µ⎜ 2 + 2 + 2 ⎟

∂t ∂x ∂y ∂z ∂x ⎜ ∂x ∂y ∂z ⎟⎠

⎝ ⎠ ⎝

∂u ∂P ⎛ ∂ 2u ∂ 2u ⎞

ρ =− +µ⎜ 2 + 2 ⎟ Parabolic

∂t ∂x ⎝ ∂y ∂z ⎠

∂u

Steady flow → =0

∂t

1 ∂P

∇ 2u =

µ ∂x Poisson equation basic differential equation for fully devoloped

duct flow.

elliptic

Ex

I. Coutte flows II. Poiseuille Flow

U

∂P

<0

∂x

Full N-s , for ρ=const. , µ=const. (steady flow)

⎛ ∂V ⎞

ρ⎜ ( )

+ V .∇ V ⎟ = −∇P + µ∇ 2 V

⎝ ∂t ⎠ viscous force

(V .∇ )V → 0 (inertial force) ∂p ⎛ ∂ 2u ∂ 2u ∂ 2u ⎞

= µ⎜ 2 + 2 + 2 ⎟

∂x ⎝ ∂x ∂y ∂z ⎠

∇P = µ∇ 2 V

∇.V = 0

Take div( ∇.) of the momentum eq.

= µ∇.(∇ 2 V ) = µ∇ 2 (∇V ) = 0

∇2 P = 0 Laplace equation

2-D , vorticity-stream function formulation , ρ=const.

∇.V = 0 (1)

∂ψ ∂ψ

u= , v=- (2)

∂y ∂x

∂ 2ψ ∂ 2ψ

− =0 (1') Identical satisfied

∂x∂y ∂y∂x

⎛ ∂V ⎞

∇×⎜ ⎟ + ∇ ( )

× V .∇ V = ∇ × g −

1

ρ

(

∇ × ( ∇P ) + ν∇ × ∇ 2 V )

⎝ ∂t ⎠

Let ω = ∇ ×V be vorticity

∂ω

∂t

( )

+ V .∇ ω = ν∇ 2 ω Vorticity transport equation

ω = ω z k 2-D , ω x = ω y = 0

∂ω z ∂ω z ∂ω z ⎛ ∂ 2ω z ∂ 2ω z ⎞

+u +v =ν ⎜ 2 + 2 ⎟

∂t ∂x ∂y ⎝ ∂ x ∂ y ⎠

∂v ∂u

ωz = −

∂x ∂y

Dω

= ν∇ 2ω 2 eqs. 2 unknowns (u,v)

Dt

∂u ∂v

+ =0

∂x ∂y ∂v ∂u ∂ 2ψ ∂ 2ψ

ω = − = − 2 − 2 = −∇ 2ψ

∂x ∂y ∂x ∂y

Dω ⎫

= ν∇ 2ω ⎪

Dt ⎬ ω ,ψ formulation, 2-D , ρ =const.

∇ 2ψ = −ω ⎪⎭

Irrotational flow (inviscid) , ω = ∇ ×V = 0

∇ 2ψ = 0 Laplace eq.

⎛ ∂φ ∂φ ⎞

Velocity potential V = ∇φ = ⎜ i + j⎟

⎝ ∂x ∂y ⎠

∂ 2φ ∂ 2φ

∇.V = 0 ⇒ 2 + 2 = 0

∂x ∂y

DISCRETIZATION of PDEs

1. Finite difference methods

2. Finite volume methods

3. Finite element methods

4. Spectral (element) methods

5. Boundary element methods

6. ...

∂u

u ( x, y ) → =?

∂x

Let ui,j be a component of velocity at point (i,j)

Taylor series expansion for ui+1,j , expanded about ui,j

⎛ ∂ 2u ⎞ ( ∆x ) ⎛ ∂ 3u ⎞ ( ∆x )

2 3

⎛ ∂u ⎞

ui +1, j =ui , j + ⎜ ⎟ ∆x +⎜ 2 ⎟ +⎜ 3 ⎟ + ... (1)

⎝ ∂x ⎠i , j ⎝ ∂x ⎠i , j 2! ⎝ ∂x ⎠i , j 3!

Eq.(1) mathematically an exact expression for ui+1,j if

1. number of terms is infinite

2. ∆x→0

∆x

∆y

i,j+1 i+1,j+1

i-1,j P i,j

i+1,j

i,j-1

stencil

lowest term in truncation error

⎛ ∂ 3u ⎞ ( ∆ x )

3

⎛ ∂u ⎞ ui +1, j − ui , j ⎛ ∂ 2u ⎞ ∆x

⎜ ⎟ = −⎜ 2 ⎟ −⎜ 3 ⎟ − ...

⎝ ∂x ⎠i , j ∆x ⎝ ∂x ⎠i , j 2 ⎝ ∂x ⎠i , j 6

finite difference represent

truncation error

⎛ ∂u ⎞ ui +1, j − ui , j

⎜ ⎟ ≅ − O(∆x) First-order forward difference

⎝ ∂x ⎠i , j ∆x terms of order ∆x

⎛ ∂ 2u ⎞ ( −∆x ) ⎛ ∂ 3u ⎞ ( −∆x )

2 3

⎛ ∂u ⎞

ui −1, j =ui , j + ⎜ ⎟ ( −∆x ) + ⎜ 2 ⎟ +⎜ 3 ⎟ + ... (2)

⎝ ∂x ⎠i , j ⎝ ∂x ⎠i , j 2! ⎝ ∂x ⎠i , j 3!

⎛ ∂u ⎞ ui , j − ui −1, j

⎜ ⎟ = − O (∆x) First-order rearward (or backward) difference

⎝ ∂x ⎠i , j ∆x

⎛ ∂ 3u ⎞ ( ∆x )

3

⎛ ∂u ⎞

ui +1, j − ui −1, j =2 ⎜ ⎟ ( ∆x ) +2 ⎜ 3 ⎟ + ...

⎝ ∂x ⎠i , j ⎝ ∂x ⎠i , j 3!

⎛ ∂u ⎞ ui +1, j − ui −1, j Central difference formula,

⎜ ⎟ = + O ( ∆ x 2

)

⎝ ∂x ⎠i , j 2 ∆x second-order accurate

⎛ ∂ 4u ⎞ ( ∆x )

4

⎛ ∂ 2u ⎞

+ ⎜ 2 ⎟ ( ∆x ) + ⎜ 4 ⎟

2

ui +1, j + ui −1, j =2ui , j + ...

⎝ ∂x ⎠i , j ⎝ ∂x ⎠i , j 12

( )

2

⎜ 2⎟ = + O ∆ x of second-order accuracy

∂ ( )

2

⎝ x ⎠i , j ∆ x

Similarly,

⎛ ∂ 2u ⎞ ui , j +1 − 2ui , j + ui , j −1

( )

2

⎜ 2⎟ = + O ∆ y

∂ ( ∆y )

2

⎝ y ⎠i , j

Mixed derivatives:

e.g. ∂ 2u

∂x∂y

differentiate eq.(1) with respect to y,

⎛ ∂ 3u ⎞ ( ∆x ) ⎛ ∂ 4u ⎞ ( ∆x )

2 3

⎛ ∂u ⎞ ⎛ ∂u ⎞ ⎛ ∂ 2u ⎞

⎜ ⎟ =⎜ ⎟ +⎜ ⎟ ∆x + ⎜ 2 ⎟ +⎜ 3 ⎟ ... (3)

⎝ ∂y ⎠i +1, j ⎝ ∂y ⎠i , j ⎝ ∂x∂y ⎠i , j ⎝ ∂x ∂y ⎠i , j 2! ⎝ ∂x ∂y ⎠i , j 3!

differentiate eq.(2) with respect to y,

⎛ ∂ 3u ⎞ ( ∆x ) ⎛ ∂ 4u ⎞ ( ∆x )

2 3

⎛ ∂u ⎞ ⎛ ∂u ⎞ ⎛ ∂ 2u ⎞

⎜ ⎟ = ⎜ ⎟ -⎜ ⎟ ∆x + ⎜ 2 ⎟ −⎜ 3 ⎟ ... (4)

⎝ ⎠i −1, j ⎝ ∂y ⎠i , j

∂y ⎝ ∂x∂y ⎠i , j ⎝ ∂x ∂y ⎠i , j 2! ⎝ ∂x ∂y ⎠i , j 3!

Substracting eq.(4) from eq.(3) yields,

⎛ ∂ u ⎞ ( ∆x )

3

⎛ ∂u ⎞ ⎛ ∂u ⎞ ⎛ ∂u ⎞ 2 4

⎜ ⎟ − ⎜ ⎟ =2 ⎜ ⎟ ∆ +2 ⎜ 3 ⎟

x ...

⎝ ∂y ⎠i +1, j ⎝ ∂y ⎠i −1, j ⎝ ∂x∂y ⎠i , j ⎝ ∂x ∂y ⎠i , j 3!

⎛ ∂u ⎞ ui +1. j +1 − ui +1. j −1

( ) ...

2

⎜ ⎟ = + O ∆y

⎝ ∂y ⎠i +1, j 2∆y

⎛ ∂u ⎞ ui −1. j +1 − ui −1. j −1

( ) ...

2

⎜ ⎟ = + O ∆y

⎝ ∂y ⎠i −1, j 2∆y

⎛ ∂ 2u ⎞ ui +1. j +1 − ui +1. j −1 − ui −1. j +1 + ui −1. j −1

⎡ ( ) ( ) ⎤ ...

2 2

⎜ ⎟ = + O ∆ x , ∆ y

⎝ ∂x∂y ⎠i +1, j 4 ∆x ∆ y ⎣ ⎦

Derived finite difference expressions represent just “tip of the iceberg”.

Higher-order finite difference expressions

∂ 2u

e.g. 4th order central difference for is

∂x 2

( )

4

⎜ 2⎟ = + O ∆ x

∂ ( )

2

⎝ x ⎠ 12 ∆ x

⎛ ∂u ⎞ 2∆x ⎛ ∂ u ⎞ ( 2∆x )

2 2

ui + 2, j =ui , j +⎜ ⎟ +⎜ 2 ⎟ +...

∂x

⎝ ⎠i , j 1! ⎝ ∂x ⎠i , j 2!

∆x

• Information at five grid point is required to form above formula

• Can be derived by represent application of Taylor’s series expanded about

grid points (i+1,j) , (i,j) , (i-1,j)

⎛ ∂u ⎞ u2 − u1

3 ⎜ ⎟ = + O (∆y ) Forward difference

⎝ ∂y ⎠1 ∆y

∆y

2

• But only first-order accurate

• Second-order accuracy is needed

boundary 1

∆x

x1 x2 x3

⎛ ∂u ⎞

⎜ ⎟ = au ( x1 ) + bu ( x2 ) + cu ( x3 ) Forward-difference, one-sided formulas

⎝ ∂x ⎠1

Up to 2nd order polynomialsÆ exact ⎛ ∂u ⎞

⎜ ⎟ = au ( x1 ) + bu ( x2 ) + cu ( x3 )

Let u ( x) = 1 , u '( x) = 0 , ⎝ ∂x ⎠1

0 = a + b + c (1)

⎛ ∂u ⎞

u ( x) = ( x − x1 ) , ⎜ ⎟ =1

⎝ ∂x ⎠1

1 = 0 + b ( x2 − x1 ) + c ( x3 − x1 )

1 = bh + 2hc (2) 3 eqs.& 3 unknowns: a,b,c

(2) & (3)

⎛ ∂u ⎞

u ( x) = ( x − x1 ) , ⎜ ⎟ = 2 ( x − x1 )

2

⎝ ∂x ⎠1

0 = h 2b + 4h 2 c (3)

1 2

c=− , b = −4c =

2h h

3

a=−

2h

⎛ ∂u ⎞ 3 4 1

⎜ ⎟ = − u ( x1 ) + u ( x2 ) − u ( x3 )

⎝ ∂x ⎠1 2h 2h 2h

⎛ ∂u ⎞ −3u ( x1 ) + 4u ( x2 ) − u ( x3 )

⎜ ⎟ = + O(h 2 )

⎝ ∂x ⎠1 2h

Similarly backward-difference

∆x

Xn-2 xn-1 xn

⎛ ∂u ⎞ 3u ( xn ) − 4u ( xn −1 ) + u ( xn − 2 )

⎜ ⎟ = + O ( h 2

)

⎝ ∂x ⎠n 2h

Formulas can be extended for non-equidistance mesh intervals.

PARABOLIC EQUATIONS:

simplest example in Fluid Mechanics

Stoke’s 1st & 2nd problem

Fluid

ρ=const.

U(t)

Preferred direction

1. Time – i.e. evolving flow

2. A spatial direction

e.g. boundary layers, duct flows

∂u ∂u ∂ 2u

u +v = 2

∂x ∂y ∂y

x

Unsteady motion of an infinitely extended fluid in response to an infinite plate

suddenly set in motion along its own plate.

Incompressible N-S equations reduce to

∂u ∂ 2u µ

=ν 2 , ν=

∂t ∂y ρ

B.C: u(y,t=0)=0

u(y=0,t)=U(t)

u(y→∞,t)→0 (but in numerical computations space coordinates must be finite)

Example:

Unsteady 1-D heat conduction equation.

∂T ∂ 2T k

=α 2 , α=

∂t ∂y ρcp

x

T

T2 0 L

t→∞ length L.

t2

t1

T1

t=0

x

L

Boundary Conditions

At t=0 u(x,t=0)=f(x) Åspecified

For t>0 :

a) u(0,t)=g(t) , u(L,t)=h(t) ends held at specified temperature

b) One end could be insulated

∂u

(0, t ) = 0 , or = f (t ) a specified heat flux

∂x

∂u

c) a1 (t )u (0, t ) + b1 (t ) (0, t ) = γ (t )

∂x

Solution evolves in time starting from some initial value

Marching solution with respect to time.

a) The method of lines , reduce Partial Differential Equations to a set of Order

Differential Equations

b) Pure finite difference methods

FINITE DIFFERENCE METHODS (explicit, implicit)

PDE is replaced by finite-difference equations at the grid points

This results in algebraic equations called difference equations.

EXPLICIT METHODS

∂u ∂ 2u

=ν 2

∂t ∂y

t

∆y

∆t

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

Present time

ui-1,j P ui,j

ui+1,j

Previous time

ui,j-1

y

y1 y2 yi ym FTCS

tn = n∆t (uniform time step)

L

⎛ ∂u ⎞ ui , j +1 − ui , j ⎛ ∂ 2u ⎞ ∆t

⎜ ⎟ = −⎜ 2 ⎟ + .... Forward-difference in time

∂t

⎝ ⎠i , j ∆ t ⎝ ∂ t ⎠i , j 2

O ( ∆t )

⎜ 2⎟ = Second order central-difference in space

⎝ ∂y ⎠i , j ( ∆y )

2

=ν (A) difference equation

∆t ( ∆y )

2

After rearragement

∆t

ui , j +1 =ui , j + ν (ui +1, j − 2ui , j + ui −1, j ) (B)

( ∆y )

2

Difference equation (A) is just an approximation for original PDE due to truncation error.

Note: Truncation error for differential equation is O(∆t , (∆x) 2 )

Consistency of finite-difference representation of the PDE as ∆x→0 & ∆t→0

differential equation reduces to original differential equations.

i,j+1 Present time

∆t

Time-marching

Previous time direction

i-1,j i,j i+1,j

Properties at level (j+1) (present time) to be calculated from values at level j (previous

time) Remember that parabolic PDEs lend themselves to a marching solution, here

marching variable is time, t

Eq.(B) allows direct calculation of ui,j+1 from the known values on the RHS of eq.(B)

Explicit approach: each difference eq. contains only one unknown and therefore can

be solved explicitly for this unknown in a straight forward manner.

• Explicit methods can be very unstable and should be used with caution

( )

2

• In general, whether the scheme is unstable or not depends on the ratio, ν ∆ t / ∆ y

For a given (∆y), ∆t must be less than some limit imposed by stability constraints

• Relatively simple to set up and program

Von Neumann Stability Method: (Fourier method)

Assume solution can be expanded in the form of Fourier Series

Let ui , j = U j e Iik ∆y

Uj : amplitude at tj and k is the wave number, I = −1

Substitute above into finite-difference representation of PDE

(

u j +1e Iik ∆y = U j e Iik ∆y + R U j e I ( i −1)k ∆y − 2U j e Iik ∆y + U j e I ( i +1)k ∆y )

∆t

ui , j +1 = U i , j + R (U i −1, j − 2U i , j + U i +1, j ) , R =ν

( ∆y )

2

u j +1 = U j ⎡⎣1 + R ( e− Ik ∆y − 2 + e Ik ∆y ) ⎤⎦

U j +1

≤1 , U j ~ e aj∆t

Uj

e Ik ∆t + e − Ik ∆t

cos k ∆y =

2

U j +1 = U j ⎡⎣1 − 2 R (1 − cos k ∆y ) ⎤⎦

λ :amplification factor

U j +1 = U j λ

U j +1

= λ ≤ 1 ⇒ stable solution

Uj

2

goes to infinity)

⎡ ⎤

⎢1 − 2 R (1 − cos k ∆y ) ⎥ ≤ 1

⎢ ⎥

⎣ ≤1 ⎦ cosk∆y=-1 → R≤1/2 (for a minimum RHS)

−1 + R (1 − cos k ∆y ) ≤ 0

1

R≤

1 − cos k ∆y

∆t 1

ν ≤ stability criterion for unsteady heat conduction equations.

( ∆y )

2

2

diffusion

• Von neumann stability method ignores boundary conditions

• Effect of B.C. can be destabilizing

Other Explicit methods:

1. FTCS method O ⎡⎣ ∆t , ( ∆x )2 ⎤⎦

2. Richardson method

Central difference in both time&space derivatives

ui , j +1 − ui , j −1 ui +1, j − 2ui , j + ui −1, j

Approximate at xi, tj =α

2∆t ( ∆x )

2

∆t

ui,j-1

ui,j+1 xi

tj-1 tj tj+1

xi-1

2∆tα

ui , j +1 =ui , j −1 + ( u + − 2 u + )

u − O ⎡

⎣ ( ∆t )

2

, ( ∆x )

2

⎤

⎦

( ∆x )

2 i 1, j i , j i 1, j

Notes:

• İn methods like this must keep time step (∆t) uniform

• Starting formula

• Stability analysis UNCONDITIONALLY UNSTABLE CANNOT BE USED TO

SOLVE HEAT EQUATION. AVOID THIS

3. DuFort-Frankel method

Variant of Richardson in which

1

ui , j =

2

( ui, j +1 + ui, j −1 ) for stability

ui , j +1 − ui , j −1 ui +1, j − ( ui , j +1 + ui , j −1 ) + ui −1, j

=α

2 ∆t ( ∆x )

2

2 ( i +1, j

ui , j +1 ⎜ 1 + ⎟ = ⎜ 1 − ⎟ u + u + ui −1, j )

⎜ ( ∆x ) ⎟ ⎜ ( ∆ x ) ⎟

2 2 i , j −1

( ∆x )

⎝ ⎠ ⎝ ⎠

Notes: ∆t

R =α

1. Method is unconditionally stable, i.e. for any value of ( ∆x )

2

One step method, starter solution (FTCS) can be used

3. Can be dangerous without a consistency analysis

Consistency requires that as the step sizes ∆x & ∆t → 0 , FDE must reduce to

original PDE

⎧⎪ 2∆t ⎫⎪ j +1 ⎧⎪ 2∆t ⎫⎪ j −1 2∆t

⎨1 + = − + +

j j

⎬ u ⎨ 1 ⎬ u (u + u −1 )

⎩⎪ ( ∆x ) ⎭⎪ ⎩⎪ ( ∆x ) ⎭⎪ ( ∆x )

2 i 2 i 2 i 1 i

⎧⎪ 2∆t ⎫⎪ ⎧ j ∂u ∂ 2 u ∆t 2 ⎫ ⎧⎪ 2∆t ⎫⎪ ⎧ j ∂u ⎫

⎨ 1 + u

2 ⎬⎨ i

+ ∆t + + ... =

⎬ ⎨ 1 − u

2 ⎬⎨ i

− ∆ t + ...⎬+

⎪⎩ ( ∆x ) ⎪⎭ ⎩ ∂ ∂ ⎭ ⎪⎩ ( ∆x ) ⎪⎭ ⎩ ∂

2

t t 2! t ⎭

2∆t ⎧ j ∂u ∂ 2u ∆x 2 ∂u ⎫

u + ∆x + 2

2 ⎨ i

+ ui − ∆x + ...⎬

j

( ∆x ) ⎩ ∂x ∂x 2! ∂x ⎭

∂u ∆t ∂ 2 u 2 ∆t ∂ 2 u

( )

2

∆t + ∆ t + O ( ∆ t 3

) = ∆ x + O ( ∆ t , ∆ x 2

)

∂t ( ∆x ) ∂t ( ∆x ) ∂x

2 2 2 2

2

∂u ⎛ ∆t ⎞ ∂ 2u ∂ 2u

+⎜ ⎟ = + O ( ∆ t 2

, ∆ x 2

)

∂t ⎝ ∆x ⎠ ∂t 2 ∂x 2

∂u ∂ 2u ⎛ 2 2 ⎛ ∆ t ⎞ ⎞

2

Consistent only if = 2 + O ⎜ ∆t , ∆ x , ⎜ ⎟ ⎟

∂t ∂x ⎜ ⎝ ∆x ⎠ ⎟⎠

⎝

∆t

→ 0 as ∆x, ∆t → 0

∆x

∆t

Otherwise, I am not approximating the eq. I thought I was = 1 then approximating

∆x

∂u ∂ 2u ∂ 2u

+ = represents a hyperbolic equation!

∂t ∂t 2 ∂x 2

IMPLICIT METHODS:

In implicit method information at the boundaries at the same level does not feed into the

computation.

First-order backward difference approximation for time-derivative and

second-order central difference approximation for space-derivative

=α (1)

∆t ( ∆x )

2

i-1,j+1 i,j+1 i+1,j+1 Present time-unknown

xi Previous time-known

i,j

BTCS Method

In equation (1): 3 unknowns ui-1,j+1 , ui,j+1 , ui+1,j+1

Thus, it results in a set of coupled finite difference equations all grid points

Rearrange equation (1)

α∆t j +1

⎛ α ∆ t ⎞ j +1 α∆t j +1

u − ⎜ 1 + 2 ⎟ u + u = − u j

( ∆x )

2 i −1

⎜ ( ∆x ) ⎠

2

⎟ i

( ∆x )

2 i +1 i

⎝ di

ci ai bi

Algebraic equations

Coefficient matrix→Tridiagonal→Thomas algorithm (n-1) unknowns

Advantages

⎛ ( ∆x ) ⎞ ( ∆x ) j

2 2

j +1 j +1 j +1

1 ui −1 − ⎜ 2 + 2 ⎟ ui + 1 ui +1 = − ui

⎜ α∆t ⎠ ⎟ α∆t

ci

⎝ bi

d

i

ai

Now, all the uj+1 ‘s are known except those at the end points u0 , un (known from B.Cs)

Identical formulation as in the BVP is applicable

Notes:

1. Derivative B.C. can be inferred from the section on BVPs

2. Stability problem is removed for this scheme and the method is stable for all values

of R (unconditionally stable)

3. Accuracy problem exists in time backward difference → O ( ∆t , ∆x 2 )

4. Larger step size in time is permitted

Crank-Nicolson Method:

Approximate differential equation at (i,j+1/2); central difference at time levels j & j+1,

=α ⎢ + ⎥

∆t ( ∆x ) ( ∆x )

2 2

2⎢ ⎥⎦

⎣

∂u uij +1 − uij

=

⎛ ∆t ⎞ central difference of step ∆t/2 , i.e. (∆t)

2

∂t

2⎜ ⎟

⎝ 2 ⎠

(unknown)

∆t/2

(i,j+1/2)

j+1/2

∆t/2

j Previous time

∆x i x ∆x (known)

i

Unconditionally stable

O ( ( ∆ t ) 2 , ( ∆x ) 2 ) Second order scheme

⎛ ( ∆x ) ⎞ ( ∆x ) j

2 2

j +1 j +1 j +1

ui +1 − ⎜ 2 + 2 ⎟ ui + ui −1 = −2 ui − uij+1 + 2uij − uij−1

⎜ α∆t ⎟⎠ α ∆t

⎝

d j known

TDMA-Thomas Algorithm

Parabolic equations in two-space coordinates

∂u ⎛ ∂ 2u ∂ 2u ⎞

=α ⎜ 2 + 2 ⎟ α = const.

∂t ⎝ ∂x ∂y ⎠

On each portion of boundary, we know

y

I.u

∂u

II.

∂n

u(x,y,t) ∂u

III. A + Bu

x

∂n

Explicit method: FTCS

Forward difference in time derivative, central difference in space derivative

i,j+1 i,j+1

i+1,j

∆y

∆x

i,j i,j

i-1,j

(n) (n+1)

previous present

∆t

uin, +j 1 − uin, j ⎡ uin+1, j − 2uin, j + uin−1, j uin, j +1 − 2uin, j + uin, j −1 ⎤ O ⎡ ∆t , (∆x) 2 , (∆y ) 2 ⎤

=α ⎢ + ⎥ ⎣ ⎦

∆t ( ∆x ) ( ∆y )

2 2

⎢⎣ ⎥⎦

α ∆t α ∆t 1

Stability analysis : + ≤

( ∆ x ) ( ∆y )

2 2

2

α ∆t 1

∆x = ∆ y ⇒ ≤ twice as restrictive as the 1-D case

( ∆x ) 4

2

α=1 & ∆x=∆y

∆t

uin, +j 1 =uin, j + ⎡ u n

2 ⎣ i +1, j

− 4u n

+ u n

i −1, j + u n

i , j +1 + u n

⎤

i , j −1 ⎦

( ∆x )

i, j

α ∆t 1 ∆t 1

≤ upper limit =

( ∆x ) ( ∆x )

2 2

4 4

1 n

u n +1

i, j = ⎣ui +1, j + ui −1, j + ui , j +1 + ui , j −1 ⎤⎦

⎡ n n n

Five-point formula

4

ui,j

Steady state

Time accurate

solution

time

Implicit Method: Crank-Nicolson

n n+1 ∂u ui , j − ui*, j

= + O (∆t ) 2

∂t ∆t

∆t

central difference eq. of step ∆t/2

i,j+1

uin, j = ui*, j → known (previous) ∆y

i-1,j i+1,j

i,j ∆x

i,j-1

∂ u 1 ⎡ ui +1, j − 2ui , j + ui −1, j ui , j +1 − 2ui , j + ui −1, j ⎤

2 * * *

≅ ⎢ + ⎥ + O ( ∆ x ) 2

∂x 2 2 ⎢ ( ) ( )

2 2

⎣ ∆ x ∆ x ⎥⎦

∂ 2u 1 ⎡ ui , j +1 − 2ui , j + ui , j −1 ui , j +1 − 2ui , j + ui , j −1 ⎤

* * *

≅ ⎢ + ⎥ + O ( ∆ y ) 2

∂y 2 2 ⎢ ( ) ( )

2 2

⎣ ∆ y ∆y ⎥⎦

⎛ 2 ( ∆x ) ⎞

2

(

ui +1, j + ui −1, j + γ ui , j +1 + ui , j −1 ) − ⎜ 2 + 2γ +

⎜ ∆t ⎟

⎟ ui , j =

⎝ ⎠

⎛ 2 ( ∆x ) ⎞ *

2

(

−ui*+1, j − ui*−1, j − γ ui*, j +1 + ui*, j −1 ) + ⎜ 2 + 2γ −

⎜ ∆t ⎟

⎟ ui , j

⎝ ⎠

2

⎛ ∆x ⎞

where γ = ⎜ ⎟ is the ratio of step sizes

⎝ ∆y ⎠

Solve:

1. Gauss-Seidel , SOR (iteration) , iterate until convergence at each time step

2. Alternating Direction Implicit (ADI)

∂u ⎛ ∂ 2u ∂ 2u ⎞

=α ⎜ 2 + 2 ⎟ Marching technique (1)

∂t ⎝ ∂x ∂y ⎠

u(t+∆t) will be obtained, in some fashion, from the known values of u(t)

Let’s use two-step process: first treat only x derivative implicitly

Step 1:

uin, +j 1/ 2 − uin, j uin++1,1/j 2 − 2uin, +j 1/ 2 + uin−+1,1/j 2 uin, j +1 − 2uin, j + uin, j −1

=α +α (2)

∆t ( ∆x ) ( ∆y )

2 2

(n+1/2) : intermediate time

bi uin++11/, j 2 + ai uin, +j 1/ 2 + ci uin−+1,1/j 2 = di (2')

where

α∆t ⎛ α∆t ⎞

bi = ci = , ai = − ⎜1 + ⎟

2 ( ∆x )

2

⎜ ( ∆x )2 ⎟

⎝ ⎠

α∆t

di = −uin, j −

2 ( ∆y )

2 (un

i , j +1 − 2uin, j + uin, j −1 )

n +1/ 2

Eq.(2’) yields a solution for ui , j for all i, keeping j fixed, via Thomas Algorithm

In Eq.(2’) first set j=1, and sweep in x (i=1,...,N) to find uin, +j =1/12

Next, set j=2, and sweep in x (i=1,...,N) to find uin, +j =1/22

....

M sweeps in x-direction

Need to use Thomas Algorithm M times

t

At this place eq.(2’)

gives ui,j n+1/2

n+1/2

y

(1,M) (i,j)=(N,M)

∆t/2

Sweep j+1

direction j

x

(i,j)=(1,1) (i,j)=(N,1)

n

At the end of step1 (after M sweeps), the values of u at the intermediate time (t+∆t/2)

n +1/ 2

are known at all grid points: i.e. ui , j is known at all (i,j)

Step 2:

Take the solution to the time (t+∆t), using the known values at time (t+∆t/2)

Again replace spatial derivatives with central differences, but this time treat y

derivative implicitly

uin, +j 1 − uin, +j 1/ 2 uin++1,1/j 2 − 2uin, +j 1/ 2 + uin−+1,1/j 2 uin, +j +11 − 2uin, +j 1 + uin, +j −11

=α +α (3)

∆t ( ∆x ) ( ∆y )

2 2

where

α∆t ⎛ α∆t ⎞

bj = c j = , a j = − ⎜1 + ⎟

2 ( ∆x )

2

⎜ 2 ( ∆x )2 ⎟

⎝ ⎠

α ∆t

d j = −uin, +j 1/ 2 −

2 ( ∆x )

2 (u n +1/ 2

i +1, j − 2uin, +j 1/ 2 + uin−+1,1/j 2 )

yields a solution for uin, +j 1 for all j, keeping i fixed, via Thomas Algorithm

j=1,....,M i=1

j=1,....,M i=2

:

......... i=N

N times Thomas Algorithm

t

Present time

n+1

y

(1,M) i i+1 (i,j)=(N,M)

∆t/2

Sweep direction

x

(i,j)=(1,1) (i,j)=(N,1)

n+1/2

Remarks:

• Involves only tridiagonal forms

• Alternating direction implicit

• Scheme is second-order accurate

• General class of scheme involving splitting of two or more directions in an implicit

solution of the governing flow equation to obtain tridiagonal forms

• Approximate factorization

• For 3-D, see the scheme in Computational Fluid Dynamics for Engineers Vol.1

Klaus A. Hoffmann & S.T. Chiang pg.90

Approximate Factorization - Factored ADI Method

∂u ⎛ ∂ 2u ∂ 2u ⎞

=α ⎜ 2 + 2 ⎟ α =1

∂t ⎝ ∂x ∂y ⎠

Sweep 2 directions

Crank-Nicolson

ui,j* ui,j

ui , j − ui*, j 1 1

∆t

=

2∆x 2

δ{2

u

x i, j + δ 2 *

u

x i, j }

+

2∆y 2

δ 2

u{

y i, j + δ 2 *

u

y i, j + O }

⎡

⎣ ( ∆ t )

2

, ( ∆ x )

2

, ( ∆ y )

2

⎤

⎦

where

δ x2ui , j = ui +1, j − 2ui , j + ui −1, j ⎫⎪

⎬ compact operators

δ u = ui , j +1 − 2ui , j + ui , j −1 ⎪⎭

2

y i, j

⎧ ∆t 2 ∆t 2 ⎫ ⎧ ∆t 2 ∆t 2 ⎫ *

ui , j ⎨1 − δ

2 x

− 2 y⎬

δ = ⎨1 + δ

2 x

+ δ u

2 y ⎬ i, j

⎩ 2 ∆x 2∆y ⎭ ⎩ 2∆x 2 ∆y ⎭

⎧ ∆t 2 ∆t 2 ⎫ ⎧ ∆t 2 ⎫ ⎧ ∆t 2 ⎫ ⎡ ( ) ⎤

2

Let ⎨1 − δ − δ

2 y⎬

= ⎨1 − δ

2 x ⎬⎨

1 − δ

2 y⎬

+ O ∆t

⎩ 2∆x

2 x

2∆y ⎭ ⎩ 2∆x ⎭ ⎩ 2∆y ⎭ ⎣ ⎦

Define uˆi , j such that

⎧ ∆t 2 ⎫ ⎧ ∆t 2 ∆t 2 ⎫ *

⎨1 − δ ˆ

u

2 x ⎬ i, j

= ⎨1 + δ

2 x

+ δ u

2 y ⎬ i, j

(1)

⎩ 2∆x ⎭ ⎩ 2∆x 2∆y ⎭

Eq.(1) defines a set tridiagonal matrix problems along constant y lines

y

⎧ ∆t 2 ⎫

uˆi , j = ⎨1 − δ y ⎬ ui , j (2)

⎩ 2 ∆y

2

⎭

Sweep on lines of constant x

y

Notes:

1) Use eq.(2) to find values of û on vertical boundaries where ui,j known from B.C.s

2) Can reverse order of sweep

3) No iteration

4) Can be extended to higher dimensional problems

Keller Box Scheme

Implicit scheme for non-uniform meshes

t Small meshes near x=0

Uniform meshes in x is wasteful

To deal with problem, 2 procedures is possible

x

1

I. Algebraic transformation

x

ξ = x & then use uniform mesh in ξ

a ξ=

t

II. Adopt a method which permits a non-uniform spacing

xi = xi −1 + hi −1 i=2,...,N

x1 = 0 , xN +1 = 1

h1 h2 h3

x1 x2 x3 x4

Sample problem

LOWER BOX xi

∂ u ∂u

2

x

=

*

2 1

* hi-1

∂x 2

∂t

xi-1

PROCEDURE

•Reduce the eq(s) to a first order system & write finite difference equations using

central differences

• Linearize if they are non-linear

• Obtain matrix for TDMA

• Solve with Thomas Algorithm

∂u ∂v ∂u

v= (1) , = (2)

∂x ∂x ∂t

ui − ui -1 1 *

= vi -1/ 2 = ( vi + vi -1 ) + O ( hi -1 )

2

Approximate eq (1) at

hi -1 2

or

2

vi + vi -1 = ( ui − ui-1 ) (3)

hi -1

Approximate eq (2) at box center

box center

1

2

(

vi −1 + vi*−1 )

vi , j −1/ 2 − vi −1, j −1/ 2 ui −1/ 2, j − ui −1/ 2, j −1

=

hi -1 k

1 j 1

2

vi + vij −1 = vi + vi*

vi , j −1/ 2 =

2

( ) ( )

Using simple averages, i.e.

1 ⎧ vi − vi −1 vi* − vi*−1 ⎫ 1 ⎧ ui + ui −1 − ui* − ui*−1 ⎫

⎨ + ⎬= ⎨ ⎬ (4)

2 ⎩ hi −1 hi −1 ⎭ 2 ⎩ k ⎭

Eliminate vi-1 using (3)

2vi 2 2v*i 2 ui − ui −1 − ui* − u *i −1

− 2 ( ui − ui −1 ) +

hi −1 h i −1

− 2 ui − u i −1 =

hi −1 h i −1

* *

( k

)

Upper Box

i+1

2 1 hi

i

k

Same type of approximations & eliminate vi+1

2vi 2 2 v *i 2 ui +1 + ui − ui +1* − u *i

− + ( ui +1 − ui ) − − 2 ( ui +1 − u i ) =

* *

hi h 2i hi hi k

Eliminate vi

2 2 2 2

( ui +1 − ui ) − ( ui − ui −1 ) − ( ui +1* − u*i ) − ( ui* − u*i −1 ) =

hi hi −1 hi hi −1

hi h

k

( ui +1 + ui − ui +1* − u *i ) + i −1 ( ui + ui −1 − ui* − u *i −1 )

k

Multiply by hi/2 and let

hi hi

αi = ratio of sizes , θi = & system becomes

hi −1 2k

bi ui +1 + ai ui + ci ui −1 = di

bi = 1 − hiθi , ci = α i − hi −1θi

ai = −1 − α i − hiθi − hi −1θi

( ) ( ) (

di = −ui*+1 + ui* + α i ui* − ui*−1 − hiθi ui*+1 − ui* − hi −1θi ui* + ui*−1 )

Thomas Algorithm

Selection of Mesh:

• Intense variation near x=0

• Small mesh near x=0

αi

α i = α = 1+ ∈

U1 UN+1

L

h2 = (1+ ∈) h N+1

hN

h3

h1 = h given

h3 = (1+ ∈) h...., hN = (1+ ∈)

2 N −1

h

2 N −1

h

L=

h

∈

1{

( ) −1

+ ∈

N

}

3 parameters h, ∈ ,N

Select h, ∈ such that if you double N, you can compare two solutions!

Additional Features of Linear Equations

∂u ∂ 2u ∂u

= δ ( x, t ) 2 + p ( x, t ) + r ( x, t )u + F ( x, t )

∂t ∂x ∂x

ui − ui* δ i** ⎧ ui +1 − 2ui + ui −1 ui*+1 − 2ui* + ui*−1 ⎫ Pi** ⎧ ui +1 − ui −1 ui*+1 − ui*−1 ⎫ ri**

k

=

2 ⎩

⎨

h 2

+

h 2 ⎬+ ⎨ + ⎬+ { }

ui + ui* + Fi**

⎭ 2 ⎩ 2h 2h ⎭ 2

e.g. δ i** = δ ( xi , t ** )

j+1

t =t +k/2

** *

k/2

* (i,j+1/2)

t =known time level j+1/2

t ** =intermediate time level k/2

Tridiagonal form j

h ix h

i

2

h 2 h

bi = δ i** + pi** , ai = −2δ i** − + h 2 ri**

2 2

h **

ci = δ i − pi , di = ...

**

2

bi ui +1 + ai ui + ci ui −1 = di

DERIVATIVE BOUNDARY CONDITIONS

∂u

= g (t ) x=1 & u (0, t ) = A = u1

∂x

N+1 x=1

N-1

N-2

t* t

11u N +1 − 18u N + 9u N −1 − 2u N − 2

= g (t )

6h

Same procedure, with Thomas algorithm, as in boundary value problems

6hg (t ) − {δ N ( −18 + 9 FN − 2 − 2 FN −1 FN − 2 ) + δ N −1 ( 9 − 2 FN − 2 ) + δ N − 2 }

u N +1 =

11 − 18 FN + 9 FN FN −1 − 2 FN FN −1 FN − 2

Non-linear Parabolic Equations

Example: Boundary layer type of equation

Burger’s equation

∂u ∂u ∂u 2

=ν 2 − u

∂t ∂x ∂x

REMARKS

•We prefer Crank-Nicolson scheme

• Difference equations we must solve at each time step are non-linear

• Cannot be solved directly, need to linearize them and iterate at each time step until

convergence

• Need to take reasonably small steps in time to ensure accuracy

• The solution at the previous time step provides a convenient first guess for the

solution

Crank-Nicolson method

= ⎨ 2

+ 2 ⎬ − ui ⎨ + ⎬

k 2⎩ h h ⎭ 2 ⎩ 2 h 2 h ⎭

ui + ui*

ui =

**

2

h

bi = 1 − ui**

2

h2

ai = −2 − 2 ui,j* ui,j

k k

h

ci = 1 + ui**

2

2

h h

{ } 2

{ }

di = − ui*+1 − 2ui* + ui*−1 − ui** ui*+1 − ui*−1 − 2 ui*

2

Notes on non-linear equations

1. Non-linear diff. eqs. must be iterated at each time step

2. At first pass

** *

u i u i

3. Error test

k

ui

1 − k +1 < ε

ui

Typically 2-3 steps to satisfy iteration since k is small.

Newton Linearization

h **

2

( )

ui ( ui +1 − ui −1 )

h ui + ui ⎞

⎛ *

= ⎜ ⎟ ( ui +1 − ui −1 )

2⎝ 2 ⎠

h *

= ⎡⎣ui ( ui +1 − ui −1 ) + ui ( ui +1 − ui −1 ) ⎤⎦

4

ui ui +1 = −u i u i +1 + u i ui +1 + ui u i +1

u i → previous iterate

to start computation: set ui = u *

i

Upwind-Downwind Differencing

∂u ∂u 1 ∂ 2u

+u = , Re 1

∂t ∂x Re ∂x 2

τ = Re t

∂u ∂ 2u ∂u j+1 Present time

= 2 − Re u (unknown)

∂τ ∂x ∂x k/2

(i,j+1/2)

∂u ui − ui* j+1/2

=

∂τ k

k/2

j Previous time

h i x h (known)

i

= ⎨ + ⎬

∂x 2

2⎩ h 2

h2 ⎭

⎧u − u ⎫

if we use ui** ⎨ i +1 i −1 + ....⎬ problem with diagonal dominance

⎩ 2h ⎭

For ui** > 0

i+1

average on here

i

h i-1/2

i-1

τ* τ

k

∂u 1 ⎧⎪ ∂u ⎫⎪

*

∂u

= ⎨ + ⎬ + O(k )

2

∂x 2 ⎪⎩ ∂x i −1/ 2 ∂x i +1/ 2 ⎪⎭

1 ⎧ ui − ui −1 ui*+1 − ui* ⎫

= ⎨ + ⎬ + O ( h 2

, k 2

)

2⎩ h h ⎭

If ui** < 0

average on here

i+1/2 i+1

i

i-1/2 h

i-1

τ* τ

k

∂u 1 ⎧ ui +1 − ui ui* − ui*−1 ⎫

= ⎨ + ⎬ + O ( h 2

, k 2

)

∂x 2 ⎩ h h ⎭

Difference equations can be written in the following form:

⎛ h2 ⎞ ** ⎧ i

u − ui −1 ⎫

ui +1 − ⎜ 2 + 2 ⎟ ui + ui −1 − h Re ui +1 ⎨ ⎬

⎝ k ⎠ u

⎩ i +1 − u i ⎭

⎛ h 2

⎞ ⎧u *

i +1 − u *

⎫ for ui** > 0

= −ui +1 + ⎜ 2 − 2 ⎟ ui − ui −1 + h Re ui ⎨ *

* * * ** i

* ⎬

⎝ k ⎠ ⎩ ui − ui −1 ⎭ for ui** < 0

Notes:

1. At each time step it may be necessary to average

ui( k +1) = δ ui( k +1/ 2) + (1 − δ ) ui( k ) 0<δ <1

2. Inviscid form (Re→∞) can develop sharp fronts & multiplicity of solution

u u u

x x x

t0 < t1 < t2

3. “Parabolized Navier-Stokes” eqs. preferred direction in space

⎧ ⎫

∂u ∂u ∂P 1 ⎪ ∂ 2u ∂ 2u ⎪

u +v =− + ⎨ 2 + 2⎬

∂x ∂y ∂x Re ⎪ ∂x ∂y ⎪

⎩ neglect ⎭

∂u 1 ∂ 2u ∂u ∂P

u = −v −

∂x Re ∂y 2

∂y ∂x

Factor Algorithm for Navier-Stokes equations

∂u ∂ 2u ∂ 2u ∂u ∂u

= 2 + 2 + p + q + ru + w

∂t ∂x ∂y ∂x ∂y

p = p (u , x, y, t ) etc.

ui , j − ui*, j 1 1

k

=

2h12 {

δ 2

u

x i, j + δ 2 *

u }

x i, j +

2h22

δ{2

u

y i, j + δ 2 *

}

y ui , j +

4h1

{

µ xδ x ui , j + µ xδ x ui , j +

*

}

4h2

{ }

µ yδ y ui , j + µ yδ y ui , j +

*

2

( )

ui , j + ui*, j + w**

1

estimate p** =

2

(

p + p* )

⎧ k 2 kP** k 2 kQ** ⎫

⎨ 2 − kR **

− δ

2 x

− µ δ

x x − 2

δ y − µ δ

y y ⎬ ui , j =

⎩ h1 2h1 h2 2h2 ⎭

⎧ k 2 kP** k 2 kQ** ⎫ *

⎨ 2 + kR **

+ δ x + µ x δ x + δ y + µ y δ y ⎬ ui , j + 2 kw**

1

if α =

2 − kR**

⎧ αk ⎡ 2 h1 ** ⎤ αk ⎡ 2 h2 ** ⎤⎫

⎨1 − 2 δ +

⎢ x 2 P µ δ

x x⎥− 2

δ +

⎢ y 2 Q µ δ

y y ⎥ ⎬ ui , j = Di , j

⎩ h1 ⎣ ⎦ h2 ⎣ ⎦⎭

{ }

Di , j = α 2 + kR** + .... ui*, j + 2α kw**

Factor

⎧ αk ⎡ 2 h1 ** ⎤⎫ ⎧ α k ⎡ 2 h2 ** ⎤⎫

⎨1 − 2 δ +

⎢ x 2 P µ δ

x x ⎥ ⎬ ⎨1 − 2

δ +

⎢ y 2 Q µ δ

y y ⎥ ⎬ ui , j ≅ Di , j

⎩ h1 ⎣ ⎦ ⎭ ⎩ h2 ⎣ ⎦⎭

⎧ αk ⎡ 2 h1 ** ⎤ ⎫ n +1/ 2

⎨1 − 2 δ +

⎢ x 2 P µ δ

x x ⎥ ⎬ ui , j = Di , j Solved in a manner similar to

⎩ h1 ⎣ ⎦⎭ diffusion equation

⎧ αk ⎡ 2 h1 ** ⎤ ⎫ n +1

⎨1 − 2 ⎢δ y + Q µ y δ y ⎥ ⎬ ui , j = ui

n +1/ 2

,j

⎩ h1 ⎣ 2 ⎦⎭

• Iterate

ELLIPTIC PROBLEMS

• Steady state heat conduction equation

• Velocity potential eq. & stream function eq. for incomp., inviscid, irrotational flow

∂ 2u ∂ 2u ∂ 2u ∂ 2u

Laplace’s eq. + =0 Poisson’s eq. + 2 = f ( x, y )

∂x 2 ∂y 2 ∂x ∂y

2

Types of Eqs.

1. Linear: Laplace, Poisson

2. Non-Linear

a. Linear PDE with non-linear BCs

e.g. ∇ 2u = 0 ∂u = D u 4 − T 4 on C

∂n

( ∞ )

b. Non-Linear PDE

e.g. Navier-Stokes

∂u ∂u ∂P 1 ⎡ ∂ 2u ∂ 2u ⎤

u +v =− + ⎢ 2 + 2⎥

∂x ∂y ∂x Re ⎣ ∂x ∂y ⎦

non-linear

Nature of Solution

a) Any disturbance at a point P influences the solution everywhere

• always necessary to consider solution globally

• in well posed elliptic problems, BCs needed on all boundaries

y

C

x

b) Singularities

Discontinuation in the BCs are smoothed out in the interior. No discontinuous

behavior in interiour: only in boundary data

T0 Temperature is smooth &

continuous

T1 ≠ T0

c) Maximum prensible

For Laplace eq. extrama of function must occur on boundary

T2

T0 < T1 < T2 < T3

T3 T1

Then, there is no T in interior with

T4 T < T0 ; T > T3

• Boundary Integral Methods

Finite Difference Formulations:

Start by considering the case where u is known on boundary.

“Five-point formula” –second order accurate.

i,j+1

y

∆y

(1,M+1) (N+1,M+1) ∆x

(1,2)

∇ 2 u = f ( x, y )

fi , j = f ( xi , yi )

ui +1, j − 2ui , j + ui −1, j ui , j +1 − 2ui , j + ui , j −1

2

+ 2

= fi , j

h k

ui +1, j − 2ui , j + ui −1, j + γ ( ui , j +1 − 2ui , j + ui , j −1 ) = h 2 f i , j (1)

2

⎛h⎞

γ =⎜ ⎟ : ratio of step sizes

⎝k⎠

Total of (M-1) x (N-1) eqs.

Typically 10000 such eqs. & up

2 are known

1 of u is known

Solution Algorithms:

a) Direct methods

b) Iterative methods

• can be solved with general G.S. elimination based on partial pivoting, or special

algorithm which takes into account banded structure of matrix.

•at around 3000-5000 becomes non-comptetive with iterative methods.

Therefore, usually use iterative methods with elliptic eqs.

ITERATIVE METHODS:

A. Jacobi iteration

Rewrite eq.(1)

1

ui(,kj+1) = ⎡⎣ −h 2 fi , j + ui(+k1,) j + ui(−k1,) j + γ ui(,kj)+1 + γ ui(,kj)−1 ⎤⎦ (2)

2 (1 + γ )

k:iteration counter

Prodecure:

1. Guess ui,j at every point (k=0) (initial guess) ui,j(0) i=2,..,N , j=2,..,M

2. Apply (2) at every point in the mesh ui,j ,

use systematic sweep of mesh

3. Continue until convergence

ui(,kj)

1− ( k +1)

<∈ for all i,j

u i, j

Notes:

1. Process is not used in practice because it is too slow

ein, j : error at n th iteration

ein, j = uin, j − ui , j

uin, j : estimate

ui , j : true value

ei(,nj+1) ≈ ρ ( J )ei(,nj)

ρ ( J ) : modulus of largest eigenvalue of iteration matrix. ρ ( J ) < 1

For equal mesh lengths h=k

rectangular regions & Poisson’s eq.

1⎧ ⎛ π ⎞ ⎛ π ⎞⎫

ρ ( J ) = ⎨cos ⎜ ⎟ + cos ⎜ ⎟⎬

2⎩ ⎝ N + 1 ⎠ ⎝ M + 1 ⎠⎭

Fast convergence (but not necessarily correct answers)

ii. Smaller meshes ρ→1 (M, N→∞)

Slow convergence with finer meshes

B) GAUSS-SEIDEL ITERATION

• Current values of u is used

• Sweeping on lines of constant x in +y direction

i,j+1

i,j

i-1,j i+1,j

i,j-1

green dots have been computed, therefore use most recent

information

1

( k +1)

u = ⎡

⎣ −h fi , j + ui +1, j + ui −1, j + γ ui , j +1 + γ ui , j −1 ⎤⎦ (3)

2 (k ) ( k +1) (k ) ( k +1)

2 (1 + γ )

i, j

Note:

1. No need to hold previous iterate in core

2. Method is much faster than Jacobi

h=k , rectangular regions, Poisson eq.

ρ (G ) = ρ 2 ( J )

Analogy between the iterative method & time dependent parabolic equation

2-D unsteady heat conduction

∂u ∂ 2u ∂ 2u

= 2+ 2

∂t ∂x ∂y

Remember the Explicit formulation: FTCS

Let ∆x=∆y ,

∆t

u n +1

=u + n

⎡⎣uin+1, j + uin−1, j + uin, j +1 + uin, j −1 − 4uin, j ⎤⎦

( ∆x )

i, j i, j 2

∆t 1

≤ upper limit

( ∆x )

2

4

1 n

u n +1

i, j = ⎡⎣ui +1, j + uin−1, j + uin, j +1 + uin, j −1 ⎤⎦ (A) FTCS approx. of a parabolic eq.

4

2

⎛h⎞

Now, Jacobi iteration γ = ⎜ ⎟ = 1 , f ij = 0

⎝k⎠

1 k

uik, +j 1 = ⎡⎣ui +1, j + uik−1, j + uik, j +1 + uik, j −1 ⎤⎦ (B) Jacobi iteration for an elliptic eq.

4

• Mathematically (to the computer) the same but the different physical phenomena

• Thus, some techniques used for parabolic eqs. can be extended or modified for

elliptic equations

ui,j Steady state ui,j Steady state

Time

accurate

solution

Eq.(A) Eq.(B)

Solution is valid at any Intermediate solution of eq.(B)

intermediate time level if has no physical significance

imposed initial data & time step converged, or steady-state

represent physics solution

C) SUCCESSIVE OVER RELAXATION (SOR)

• Usually faster than G.S for linear problems

Gauss-Seidel iteration

1

ui(,kj+1) =

2 (1 + γ ) ⎣

( )

⎡ − h 2 fi , j + ui(+k1,) j + ui(−k1,+1)j + γ ui(,kj)+1 + ui(,kj+−1)1 ⎤

⎦

1

ui(,kj+1) = ui(,kj) +

2 (1 + γ ) ⎣

( )

⎡ui(+k1,) j + ui(−k1,+1)j + γ ui(,kj)+1 + ui(,kj+−1)1 − 2 (1 + γ ) ui(,kj) ⎤

⎦

To accelarate the solution, the bracket term is multiplied by ω, relaxation parameter

(factor)

ω

u k +1

=u + k

{ } (*)

2 (1 + γ )

i, j i, j

If 0<ω<1 under-relaxation (some non-linear problems) (iterative averaging ω≈0.5)

ω=1 : Gauss-Seidel is recovered

Rearrange eq.(*)

ω

uk +1

i, j = (1 − ω ) u + k

i, j

2 (1 + γ )

{ (

−h 2 fi , j + uik+1, j + uik−+1,1 j + γ uik, j +1 + uik, +j −11 )}

1<ω<2 over-relaxation (best for linear problems)

ω≈1.65

Method of Estimating ωopt

ωopt is related to spectral radius of Gauss-Seidel matrix by

2

ωopt =

1 + (1 − ρ ( G ) )

1/ 2

from

(k )

d

i. d = ∑∑ ui , j − ui , j

k k −1

ρ ( G ) = lim ( k −1) i j

k →∞

d

∑∑ ( )

2

ii. d = uik, j − uik, −j 1

k −1

d (k )

i, j = u −u

k

i, j i, j

i j

Special case

Rectangular domain subject to Dirichlet BCs with constant step sizes

2

⎡ ⎛π ⎞ ⎛π ⎞⎤

⎢ cos ⎜ ⎟ + γ cos ⎜ ⎟⎥

2 − 2 1− a N

⎝ ⎠ ⎝M ⎠⎥

ωopt = , a=⎢

a ⎢ 1+ γ ⎥

⎢⎣ ⎥⎦

Conduction heat transfer

∂u ∂u

i. given = 0 insulated

∂n ∂n

∂u

−k * = q specified heat flux

∂n

∂u

ii. −k * = h* ( u − u∞ ) convection conditions

∂n

Example: suppose convection on right face.

∂u

(N+1,M+1) −k * = h * ( u − u∞ ) on x=a

∂n

θ =u − u ∞

h, u∞ ∂θ

−k * = h*θ

∂n

x = a = xN+1

Simplest method:

Approximate eq. at nodal points on boundary (x→a-)

At interior nodal points on x = a , j=2,...,M but not at corners j = 1&M+1

2

⎛h⎞

γ =⎜ ⎟

⎝k⎠

Derivative condition is also valid at x=a, i.e., i=N+1 (on boundary)

⎧ u N + 2, j − u N , j ⎫ *

−k ⎨ ⎬ = h {u N +1, j − u∞ }

*

(5)

⎩ 2h ⎭

Use eq.(5) to eliminate u N + 2, j in eq.(4).

⎛ h* ⎞

α =⎜ * ⎟

⎝k ⎠

Computational Algorithm:

Sweep interior points (G.S) as before plus additional sweep on right face

u N +1, j =

1

( 2 + 2γ + 2hα )

{

2u N , j + γ ( u N +1, j +1 + u N +1, j −1 ) + 2hα u∞ − h 2 fij } (7)

j=2,..,M

Notes:

1. simplest method but inaccurate

2. additional sweep on any face where derivatives are specified

3. for insulated boundary simply set α=0

4. special care is needed for conditions on adjoining edges

∂u 1,M+2

+ α (u − u∞ ) = 0

∂y

∂u

=0 2,M+1

∂x 0,M+1 1,M+1

1,M

Insulated condition → u0,M+1 = u2,M+1 (8)

Convective condition

Approx. to differential eq. at (1,M+1)

u2, M +1 − 2u1, M +1 + u0, M +1 + γ ( u1, M +1 − 2u1, M +1 + u1, M ) = h 2 f1, M +1 (10)

Eliminate u0, M +1 & u1, M + 2

1

u1, M +1 =

( 2 + 2γ + 2hαγ )

{

2u2, M +1 + 2γ u1, M + 2γ hα u∞ − h 2 f1, M +1 } (11) special eq. for the

corner.

Diagonal Dominance

Difference eq.

ui +1, j + ui −1, j + γ ( ui , j +1 + ui , j −1 ) − ( 2 + 2γ ) ui , j = h 2 f i , j

ui , j =

1

( 2 + 2γ )

{ }

− h 2 f i , j + ui +1, j + ui −1, j + γ ( ui , j +1 + ui , j −1 )

large #

Eq. is written in this form so system is diagonally dominant

Ax = b

ith eq. ai1 x1 + ai 2 x2 + ... + aii xi + ... + aim xm = bi

Diagonally dominant if

The system is diagonally dominant if all eqs. have this property.

Iteration schemes will converge if the system has this property.

Notes:

1. Our system has

2 + 2γ = 1 + 1 + γ + γ

2. If one (or more) not diagonally dominant

iteration usually diverge

e.g. ∂ 2u 1

=

∂x 2 ij 3h 2

{ − 3uij + 12ui +1, j − 15ui + 2, j + 3ui + 3, j } + ( )

O h 3

no guarantee that iterative solution will converge even if diagonally dominant

∂u

∇ u +u

2

=0

∂x

Improved method for derivative conditions

Higher order approximation for derivative

But must retain diagonal dominance

J ∂u

+ α ( u − u∞ ) = 0

J-1 ∂x

1

16

{−2uM − 2, j + 9uM −1, j − 18uM , j + 11uM +1, j } + α ( uM +1, j − u∞ ) = 0 + O(h3 )

1

uM +1, j =

(11 + 6α h )

{18uM , j − 9uM −1, j + 2uM − 2, j + α u∞ } + O(h3 ) (13)

1

11 + 6α h

{18uM , j +1 − 9uM −1, j + 2uM − 2, j + α u∞ } + uM −1, j +

Or

⎧ 9 ⎫ 2

⎨1- u

⎬ M -1, j + uM -2, j +

⎩ 11 + 6α h ⎭ (11 + 6α h )

⎛ 18 ⎞ α u∞

γ {uM , j +1 − uM , j -1} - ⎜ 2 + 2γ - u

⎟ M,j = h 2

f M +1, j - (15)

⎝ 11 + 6α h ⎠ 11 + 6α h

Let us check for diagonal dominance of eq.(15) for small h,

18 4

2 + 2γ − ≈ + 2γ

11 + 6α h 11

9 2 4

1− + + γ + γ ≈ + 2γ

11 + 6α h 11 + 6α h 11

Procedure:

1. sweep interior points with the conventional eq.

2. on line adjacent to right boundary use (15)

3. u values on right face, obtained from (13) after convergence

CURVED IRREGULAR BOUNDARIES

j+1

j ui +1, j + ui −1, j + ui , j +1 + ui , j −1 − 4ui , j = h 2 fi , j

j-1

C But ui , j +1 is not in interior

point interpolation on ith mesh line, q<1

i,j+1

q ( q + 1)

C ui ,C = u ( xi , yi + qh) = ui , j +1 +

i-1,j qh 2

i,j

i+1,j q ( q − 1)

(1 − q )ui , j +

2

ui , j −1 + O ( h3 )

2

i,j-1 ui , j +1

Use above eq. to eliminate

Nine Point Formula For Laplacian (derivation)

(i-1,j+1) i,j+1

(i+1,j+1)

(i+1,j)

i,j

(i+1,j-1)

i

Define operators

∂ ∂

ξ= , η=

∂x ∂y

⎛ ∂ h2 ∂ 2 ⎞

u ( x + h, y ) = ⎜1 + h + + ... ⎟ u ( x , y ) = eξ

u ( x, y )

⎝ ∂x 2! ∂x 2

⎠

Similarly

u ( x, y + h ) = eη u ( x, y )

Consider the sum

S1 = ui +1, j + ui , j +1 + ui −1, j + ui , j −1

and

( )

S1 = eξ + eη + e −ξ + e −η u ( x, y ) x = xi

y= y j

(31)

but

ξ4 η4

eξ + e −ξ + e −η + eη = 2 + ξ 2 + + .... + 2 + η 2 + + ...

12 12

h4 ⎛ ∂ 2 ∂2 ⎞

= 4 + h ∇ + ⎜ 2 + 2 ⎟ + ...

2 2

12 ⎝ ∂x ∂y ⎠

and equation (31) becomes

h4 4

S1 = 4ui , j + h ∇ u i , j +

2 2

12

(

∇ u − 2 D 4u ) i, j

+ .... (32)

2

∂ 2

⎛ ∂2 ∂2 ⎞ If we neglect last term in (32) Standard

D =h

2

∇ =⎜ 2 + 2 ⎟

4

5 point Formula.

∂x∂y ⎝ ∂x ∂y ⎠

Now consider sum

( )

S 2 = ui +1, j +1 + ui −1, j +1 + ui −1, j +1 + ui −1, j −1 = eξ +η + e −ξ +η + e −ξ +η + e −ξ −η u ( x, y ) i , j

⎧ ξ2 ξ3 ⎫ ⎧ η4 ⎫ ⎧ ξ4 ⎫⎧ η4 ⎫

= ⎨1+ξ + + + ...⎬ ⎨2+η + + ...⎬ + ⎨2 + ξ + + ....⎬ ⎨2 + η + + ...⎬

2 2 2

⎩ 2! 3! ⎭ ⎩ 12 ⎭ ⎩ 12 ⎭⎩ 12 ⎭

⎛ ξ 4 η4 ⎞

(

= 4 + 2 ξ +η 2 2

) + ⎜ + + ξ 2η 2 ⎟ + ...

⎝ 6 6 ⎠

h4 4

= 4 + 2h ∇ + 2

6

∇ − 2D4 + 6D4

2

( )

h4 4

S 2 = ui , j + 2h ∇ u i , j +

2 2

6

∇ u + 4 D 4u ( ) i, j

+ ... (33)

h2 4

4 S1 + S 2 = 20ui , j + 6h ∇ u i , j + ∇ u i , j + ...

2 2

12

4 S1 + S 2 − 20ui , j h 2 4

∇ u i, j =

2

6h 2

−

12

∇ u i, j

+ O h 4

( ) (34)

4 S1 + S 2 − 20ui , j = 0 (35)

• Still diagonally dominant

• Dirichlet conditions, very effective

• Derivative conditions more difficuilt to implement

• Mesh with ∆x=h , ∆y=k

(

2 h 2 − 5k 2 )

ui +1, j +1 + ui −1, j +1 + ui +1, j −1 + ui −1, j −1 −

h +k

2 2 (ui +1, j + ui −1, j )

(

2 5h 2 − k 2 )

+

h +k

2 2 (u i , j +1 + ui , j −1 ) − 20ui , j = 0 (36)

Poisson eq. ∇ 2u = f ( x, y )

Then (34) becomes

h2 2

ui +1, j +1 + ui −1, j +1 + ui +1, j −1 + ui −1, j −1 − 4 ( ui +1, j + ui −1, j + ui , j +1 + ui , j −1 ) − 20ui , j = 6h f i , j + ∇ f

2

i, j

12

i,j+2

i+1,j+2

i+2,j+2

i,j-2

∇2 u i, j =

1

12h 2

− {

60ui , j + 16 ( ui +1, j + ui −1, j + ui , j +1 + ui , j −1 ) − ( u i + 2, j + u i − 2, j + u i , j + 2 + u i , } ( )

j −1 ) + O h 2

ALTERNATING DIRECTION METHODS

(N+1,M+1)

j+1 increasing

j th row, assume j+1 & j-1 known

j

j-1

i-1 i i+1

i=2,..., N

u1, j & u N , j known (dirichlet BCs)

u i(+n1,)j − 2 (1 + γ ) u i(,nj ) + u i(−n1,)j = h 2 fi , j − γ u i(,nj+−11) − γ u i(,nj−)1 (43)

Gauss-Seidel

Could add SOR

u i(,nj ) = (1 − ω ) γ u i(,nj −1) + ωu i(,nj −1/ 2) i=2,..N (44)

Alternatively we can incorporate SOR factor directly in (43)

ω

u i(,nj ) = (1 − ω ) u i(,nj −1) +

2 (1 + γ )

{u (n)

i +1, j

+ u i(−n1,)j + γ u i(,nj+−11) + γ u i(,nj−)1 − h 2 f i , j }

rearrange

2 (1 + γ )

u i+1, j −

(n)

u i(,nj ) + u i(−n1,)j = −2 (1 + γ )(1 − ω ) u i(,nj −1) + h 2 fi , j − γ u i(,nj+−11) − γ u i(,nj−)1 (45)

ω

Must have diagonally dominance ω≤1+γ

Uniform mesh γ = 1 , ω≤ 2

Note:

1. SOR or just straight line relaxation

2. Number of iterations reduced significantly

3. But amount of computation comparable

ADI METHODS

• Alternating Direction Implicit

• Alternate sweeps in each of coordinate directions

• One implementation

substract term ρ ui , j to each side

⎧ (n) ⎛ ρ⎞ n ( n +1/ 2) ⎫

( n +1/ 2)

u i+1, j − ( 2 + ρ ) ui, j

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

+ u i−1, j = h fi , j − γ ⎨u i , j+1

2

− ⎜ 2 − ⎟ u i , j − u i , j−1 ⎬ (48)

⎩ ⎝ γ ⎠ ⎭

ρ accelaration factor

then sweep on lines of constant x

i, j i , j −1

{

γ u ( n +1) − ( 2 + γρ ) u ( n+1) + γ u ( n+1) = h 2 fi , j − u ( n +1/ 2) − ( 2 − ρ ) u ( n+1/ 2) − u ( n +1)

i , j +1 i +1, j i, j i −1, j

} (49)

Notes:

1. SOR again on each x or y sweep or after complete sweep

2. h=k γ=1 optimum value ρ=2sin(л/R)

R is largest of M+1 , N+1

3. same problem with SOR of finding wopt

ADI + SOR

20 – 40 % reduction in computation

But programming ADI difficuilt.

Laplace’s eq.: ∇ 2u = 0

Five-point formula T.E. O ⎡⎣ h 2 , k 2 ⎤⎦

2

+ 2

=0

h

h k

i,j i+1,j

k Most common formula

Nine-point formula:

h 2 − 5k 2

2 ( i +1, j

ui +1, j +1 + ui −1, j +1 + ui +1, j −1 + ui −1, j −1 − 2 2 u + ui −1, j ) +

h +k

5h 2 − k 2

2 ( i , j +1

2 2 u + ui , j −1 ) − 20ui , j = 0

h +k

i+1,j+1

h

i+1,j

i,j

k

• Diagonally dominant

• Greater accuracy for laplace’s eq.

• O ( h2 , k 2 )

• But becomes O ( h6 ) on a square mesh (h=k)

• T.E may be only O ( h 2 , k 2 ) when applied to a more general elliptic eq. (including

Poisson’s eq.) containing other terms

• High accuracy is difficuilt to maintain near boundaries with such schemes

• Dirichlet conditions, very effective

• Derivative conditions, more difficult to implement

GAUSS-SEIDEL ITERATION FOR POISSON EQUATION

∂ 2T ∂ 2T

+ = f ( x, y ) PDE

∂x 2 ∂y 2

Ti,j =

1

2 + 2γ

{ }

− h 2 f i , j + Ti +1, j + Ti −1, j + γ (Ti , j +1 + Ti , j −1 ) FDE

2

⎛h⎞

γ =⎜ ⎟

⎝k⎠

i-1,j h

i+1,j

i,j b

k

y

x

i,j-1 1,1

N+1,1

a

TYPICAL CODE

C a, b, N, M, EPS, ITERMAX, ETC…

…

C APPLY BCs for T(I,J)

C ASSIGN GUESSED INITIAL VALUES T(I,J) FOR ALL INTERNAL

POINTS

…

C X2=2.0 + 2.0*GAMMA

100 JC=0

ITER=ITER+1

DO 10 I=2,N !all internal grid points

DO 10 J=2,M !all internal grid points

X1=T(I,J)

T(I,J)=(-h**2*F(I,J)+T(I,J)+ T(I-1,J)+GAMMA* (T(I,J+1)+ T(I,J-1)))/X2

IF(T(I,J).EQ.0.0) GO TO 10

TEST=ABS(1.0-X1/ T(I,J))

IF(TEST.GT.EPS)JC=1

10 CONTINUE

IF(ITER.GT.ITERMAX) STOP

IF (JC.EQ.1) GO TO 100

...

General formula for ∇ 2u = f ( x, y )

ui , j =

1

2(1 + γ )

{ }

− h 2 fi , j + ui +1, j + ui −1, j + γ ( ui , j +1 + ui , j −1 ) (1)

∂u

(N+1,M+1) −k * = h* ( u − u∞ ) on x=a

∂x

* ( N + 2, j

u − uN , j )

−k = h* ( u N +1, j − u∞ )

2h

h*, u∞

h*

u N + 2, j = u N , j − * 2h ( u N +1, j − u∞ )

k

x = a = xN+1 α

j+1 u N + 2, j = u N , j − α 2h ( u N +1, j − u∞ )

N h

,j N+2

k

j-1

i=N+1 , j=j

u N +1, j =

1

2(1 + γ )

{ }

− h 2 f i , j + u N + 2, j + u N , j + γ ( u N +1, j +1 + u N +1, j −1 )

u N +1, j =

1

2(1 + γ )

{ }

− h 2 f i , j + 2u N , j − 2hα ( u N +1, j − u∞ ) + γ ( u N +1, j +1 + u N +1, j −1 )

u N +1, j =

1

(2 + 2γ + 2hα )

{ }

− h 2 f i , j + 2u N , j + γ ( u N +1, j +1 + u N +1, j −1 ) + 2hα u∞ j=2,...,M

If insulated α =0

B. Convection at the left boundary:

−k * (u 2, j − u0, j )

= h* ( u1, j − u∞ )

2h

u0, j = u2, j + 2hα ( u1, j − u∞ )

j+1

(M+1)

0 h

,j 2

k

j-1 h*

i=1 , j=j x = x1

u1, j =

1

2(1 + γ )

{

− h 2 f i , j + u2, j + u0, j + γ ( u1, j +1 + u1, j −1 )}

u1, j =

1

2(1 + γ )

{

− h 2 f i , j + 2u2, j + 2hα ( u1, j − u∞ ) + γ ( u1, j +1 + u1, j −1 ) }

u1, j =

1

(2 + 2γ − 2hα )

{ − h 2 fi , j + 2u2, j + γ ( u1, j +1 + u1, j −1 ) − 2hα u∞ } j=2,...,M

If insulated α =0

C. Convection at the top boundary:

M+2

h*

i-1 h

i+1

k

−k * (u i,M +2 − ui , M )

= h ( ui , M +1 − u∞ )

*

M

i=i , j=M+1

2k

ui , M + 2 = ui , M − 2kα ( ui , M +1 − u∞ )

ui , M +1 =

1

2(1 + γ )

{

− h 2 fi , j + ui +1, M +1 + ui −1, M +1 + γ ( ui , M + 2 + ui , M ) }

ui , M +1 =

1

2(1 + γ )

{ (

− h 2 fi , j + ui +1, M +1 + ui −1, M +1 + γ 2ui , M − 2kα ( ui , M +1 − u∞ ) )}

{

ui , M +1 (2 + 2γ + γ 2kα ) = −h 2 f i , j + ui +1, M +1 + ui −1, M +1 + γ ( 2ui , M + 2kα u∞ ) }

ui , M +1 =

1

(2 + 2γ + γ 2kα )

{ −h 2

fi , j + ui +1, M +1 + ui −1, M +1 + γ ( 2ui , M + 2kα u∞ )}

D. Convection at the bottom boundary:

−k * (u

i ,2 − ui ,0 )

= h* ( ui ,1 − u∞ ) i-1 h

2k

ui ,0 = ui ,2 + 2kα ( ui ,1 − u∞ )

i,j

i+1

k

ui ,1 =

1

2(1 + γ )

{ }

−h 2 fi ,1 + ui +1,1 + ui −1,1 + γ ( ui ,2 + ui ,0 )

ui , M +1 =

1

2(1 + γ )

{ (

−h 2 fi ,1 + ui +1,1 + ui −1,1 + γ 2ui ,2 + 2kα ( ui ,1 − u∞ ) )}

POINT TREATING AT CORNERS

h1 h2

α1 = , α2 =

k k

∂u

+ α1 ( u − u ∞ ) = 0

∂y

∂u

+ α 2 ( u − u∞ ) = 0

∂x

1,M+2

0,M+1 −

(u1, M + 2 − u1, M )

= α1 ( u1, M +1 − u∞ )

h

2k

1,M+1

k

2,M+1 u1, M + 2 = u1, M − 2kα1 ( u1, M +1 − u∞ )

1,M

−

( u 2, M +1 − u0, M +1 )

= α 2 ( u1, M +1 − u∞ )

2h

u0, M +1 = u2, M +1 + 2hα 2 ( u1, M +1 − u∞ )

Approx. dif. eq.

i=1 , j=M+1

u1, M +1 =

1

2(1 + γ )

{

− h 2 f1, M +1 + u2, M +1 + u0, M +1 + γ ( u1, M + 2 + u1, M ) }

(

(2 + 2γ )u1, M +1 = − h 2 f1, M +1 + 2u2, M +1 + 2hα 2 ( u1, M +1 − u∞ ) + γ 2u1, M − 2kα1 ( u1, M +1 − u∞ ) )

u1, M +1 =

1

(2 + 2γ + 2γ kα1 − 2hα 2 )

{

− h 2 f1, M +1 + 2u2, M +1 − 2hα 2u∞ + γ ( 2u1, M + 2kα1u∞ ) }

∂u

if = 0 ⇒ α2 = 0

∂x

h1 h2

α1 = , α2 =

k k

∂u

+ α1 ( u − u∞ ) = 0

∂y

∂u

+ α 2 ( u − u∞ ) = 0

∂x

N+1,M+2

N,M+1 N+2,M+1

h

k

N+1,M+1

−

( u N +1, M + 2 − u N +1, M )

= α1 ( u N +1, M +1 − u∞ )

2k

N+1,M u N +1, M + 2 = u N +1, M − 2kα1 ( u N +1, M +1 − u∞ )

−

( u N + 2, M +1 − u N , M +1 )

= α 2 ( u N +1, M +1 − u∞ )

2h

u N + 2, M +1 = u N , M +1 − 2hα 2 ( u N +1, M +1 − u∞ )

i=1 , j=M+1

u N +1, M +1 =

1

2(1 + γ )

{ }

−h 2 f N +1, M +1 + u N + 2, M +1 + u N , M +1 + γ ( u N +1, M + 2 + u N +1, M )

(

(2 + 2γ )u N +1, M +1 = −h 2 f + 2u N , M +1 − 2hα 2 ( u N +1, M +1 − u∞ ) + γ 2u N +1, M − 2kα1 ( u N +1, M +1 − u∞ ) )

{

u N +1, M +1 (2 + 2γ + 2γ kα1 + 2hα 2 ) = − h 2 f + 2u N , M +1 + 2hα 2u∞ + γ ( 2u N +1, M + 2kα1u∞ ) }

CONVECTIVE TERMS

Navier-Stokes problems:

Example: 2-D , Steady Burgers equation

⎧ ∂u ∂u ⎫ ∂ 2u ∂ 2u

Re ⎨u +v ⎬= 2 + 2 (50)

⎩ ∂x ∂y ⎭ ∂x ∂y

⎧ ∂v ∂v ⎫ ∂ 2 v ∂ 2 v

Re ⎨u + v ⎬ = 2 + 2 (51)

⎩ ∂x ∂y ⎭ ∂x ∂y

i,j+1

h •Coupled equations so iteration between equations

i,j are necessary

i+1,j

k

Approximating (50),

Re ⎨ui , j ⎜ + v

⎟ i, j ⎜ ⎟⎬ = 2

+ (50)

⎩⎪ ⎝ 2h ⎠ ⎝ 2k ⎠ ⎭⎪ h k2

h2

Multiply by h , γ = 22

k

ui +1, j + ui −1, j + γ ui , j +1 + γ ui , j −1 − 2 (1 + γ ) ui , j − Re

h

2

{ }

ui , j ( ui +1, j − ui −1, j ) + vi , j γ 1/ 2 ( ui , j +1 − ui , j −1 ) = 0 (52)

Most Common Approach

Linearize by guessing selected coefficients

1st derivative term in (52)

⎧ h Re ( n −1) ⎫ ( n ) ⎧ h Re ( n −1) ⎫

u i+1, j ⎨1 −

(n)

u i , j ⎬ + u i−1, j ⎨1 + ui, j ⎬

⎩ 2 ⎭ ⎩ 2 ⎭

(n) ⎧ Re 1/ 2 ( n −1) ⎫ ( n ) ⎧ Re 1/ 2 ( n −1) ⎫

+u i , j+1 ⎨γ − γ hvi , j ⎬ + u i , j−1 ⎨γ + γ hvi , j ⎬ − 2 (1 + γ ) u i(,nj ) = 0 (53)

⎩ 2 ⎭ ⎩ 2 ⎭

Typical code involves Gauss-Seidel

A1 = 0.5*RE*H

G = H*H/(AK*AK)

A2 = 2.0*(1+G)

GR = SQRT(G)

DO 10 I = 2, N1

DO 10 J = 2, M1

B1 = 1.0 –A1*U(I,J)

B3 = 2.0 – B1

B2 = G - A1*G2*V(I,J)

B4 = 2.0*G – B2

U(I,J) = (U(I+1,J)*B1+ U(I-1,J)*B3+ U(I,J+1)*B2+ U(I,J-1)*B4)/A2

V(I,J) = ….

END DO

END DO

Notes:

1.We could use SOR but often divergence

2.Often we must use under-relaxation as Re increases

u i , j = ωu i , j + (1 − ω ) u i , j

(n) (n) ( n −1)

if ω <0.01 , not worth continuing

4.mesh restrictions

need (53) to be diagonally dominant

hRe 1/2 hRe

p= ui , j , q=γ vi , j

2 2

1 − p + 1 + p + γ − p + γ + p ≤ 2 (1 + γ )

Suppose p>1 1 − p + 1 + p =2p>2

& not diagonally dominant

select h,k p < 1 , q < γ

h h

i.e. Re ui , j < 1 , Re vi , j < γ 1/ 2

2 2

i.ui,j unknown , always try to non-dimensionalize so 0 ≤ ui , j < 1

Possible Acceleration?

Newton linearization

Consider term like (52)

ui , j ( ui +1, j − ui −1, j ) (54)

ui , j ( estimate ) uTi , j = ui , j + δ ui , j

Instead of taking ui,j from previous iterate, use

δ :assumed small

In (54)

≈ ui , j ui +1, j + δ ui , j ui +1, j + ui , jδ ui +1, j + ... − ...

= ui , j ui +1, j + ui +1, j ( ui , j − ui , j ) + ui , j ( ui +1, j − ui +1, j ) + ...

= − ui , j ui +1, j + ui +1, jui , j + ui , jui +1, j − {− ui , j ui −1, j + ui −1, jui , j + ui , jui −1, j } (55)

Damping

UPWIND-DOWNWIND DIFFERENCES

(FORWARD-BACKWARD ALGORITHM)

As Re increases, difficult to reduce mesh to maintain diagonal dominance

Need to consider difference in local flow direction

∂u

Consider term u

∂x

∂u u − ui −1, j ⎫

( n −1) ⎧ i , j

If a ) ui , j > 0 u = ui, j ⎨ ⎬ + O ( h) (56)

∂x ⎩ h ⎭

∂u ( n −1) ⎧ i +1, j

u − ui , j ⎫

b) ui , j < 0 u = ui, j ⎨ ⎬ + O ( h) (57)

∂x ⎩ h ⎭

Similarly for

∂u

v

∂y

∂u v − vi , j −1 ⎫

( n −1) ⎧ i , j

a) vi , j > 0 v = vi , j ⎨ ⎬ + O(k ) (58)

∂y ⎩ k ⎭

∂u v − vi , j ⎫

( n −1) ⎧ i , j +1

b) vi , j < 0 v = vi , j ⎨ ⎬ + O(k ) (59)

∂y ⎩ k ⎭

Consider first approximate to x derivatives & denote values of ui,j , vi,j from

last iteration with u* i,j , v* i,j

∂ 2u ∂u

T1 = 2 − Re u

∂x ∂x

ui +1, j − 2ui , j + ui −1, j u *i , j ⎧⎪ui , j − ui −1, j , u *i , j > 0

= − Re ⎨

h2 h ⎪ui +1, j − ui , j , u *i , j < 0

⎩

or

( ) (

h 2T1 = ui +1, j + ui −1, j 1 + h Re u *i , j − ui , j 2 + h Re u *i , j ) u *i , j > 0

(

=ui +1, j 1 − h Re u *i , j )+u i −1, j − ui, j 2(− h Re u *

i, j

) u *i , j < 0

Note:

Diagonally dominant for all Re

For y derivatives

∂ 2u ∂u

T2 = 2 − Re v

∂y ∂y

ui , j +1 − 2ui , j + ui , j −1 v*i , j ⎪⎧ui , j − ui , j −1 , v*i , j > 0

= − Re ⎨

k2 k ⎪ui , j +1 − ui , j , v*i , j < 0

⎩

or

( ) (

h 2T2 = ui , j +1 + ui , j −1 1 + k Re v*i , j − ui , j 2 + h Re v*i , j ) v*i , j > 0

(

=ui , j +1 1 − k Re v*i , j )+u i , j −1 − ui, j 2(− k Re v *

i, j

) v*i , j < 0

Approximating to differential equation (50)

2

h

⎧ ∂u

Re ⎨u

∂u ⎫ ∂ 2u ∂ 2u

+v ⎬= 2 + 2 (50)

h 2T1 + 2 T2 = 0

⎩ ∂x ∂y ⎭ ∂x ∂y k

h 2T1 + γ T2 = 0 (62)

or in the form

b1ui +1, j + b2ui , j +1 + b3ui −1, j + b4ui , j −1 − b0ui , j = 0 (63)

where

b1 = 1 , b3 = 1 + h Re ui*, j ui*, j >0

= 1 − h Re ui*, j , b3 = 1 ui*, j <0

b2 = γ , (

b4 = γ 1 + k Re vi*, j ) vi*, j >0

(

= γ 1 + k Re vi*, j ) , b4 = γ vi*, j <0

(

b0 = 2 + h Re ui*, j + γ 2 + h Re vi*, j )

1

Simplified driven cavity problem

∂u 1 ⎧ ∂ 2u ∂ 2u ⎫

0 0 u = ⎨ 2 + 2⎬

∂x Re ⎩ ∂x ∂y ⎭

0

Typical code changes

F1 = h*Re

F2 = k*Re IF (X2.GT.0.0) THEN

DO 10 I = 2, N1 B2 = G

DO 10 J = 2, M1 B4 = X4

X1 = U(I,J) ELSE

X2 = V(I,J) B2 = X4

X3 = 1 + F1*ABS(X1) B4 = G

X4 = G*(1.0 + F2*ABS(X2)) END IF

IF (X1.GT.0.0) THEN B0 = X3 + 1.0 + X4 + G

B1 = 1.0 U(I,J) = (U(I+1,J)*B1+U(I-

B3 = X3 1,J)*B3+U(I,J+1)*B2 + U(I,J-1)*B4)/B0

ELSE Convergence test

B1 = X3 END DO

B3 = 1.0 END DO

END IF

DEFERRED CORRECTION

Upwind/downwind differencing , diagonally dominant ,

Convergence but accuracy problem

Central difference

∂u ui +1, j − ui −1, j

= + O(h 2 ) (64)

∂x 2h

∂u ui , j − ui −1, j

= + Cx+ + O(h 2 )

∂x h

ui +1, j − ui , j

= + Cx− + O(h 2 ) (65)

h

Choose correction Cx+ & Cx- so (64) & (65)

Cx+ =

2h

ui +1, j − 2ui , j + ui −1, j

Cx− = − (66)

2h

∂u

Similar expressions for

∂y

∂u ui , j − ui , j −1

= + C y + + O(k 2 ) (67)

∂y k

ui , j +1 − ui , j

= + C y − + O(k 2 )

h

ui , j +1 − 2ui , j + ui , j −1

C y + = −C y − = (68)

2k

hui*, j h2 *

di , j =−

2

{ui +1, j − 2ui , j + ui −1, j } − vi , j {ui , j +1 − 2ui , j + ui , j −1} (70)

2k

Implementation

2) evaluate di,j at each point in mesh & add to right side of (69)

3) perform several iterations with di,j constant

4) return to (2)

COMPUTATION OF FORCED CONVECTION

WITH CONSTANT FLUID PROPERTIES

If flow properties are constant, flow field is independent of temperature distribution.

Continuity & momentum eqs.

∇.V = 0

⎡ ∂V ⎤

ρ

DV

=ρ⎢ ( )

+ V .∇ V ⎥ = F − ∇P + µ∇ 2 V (1)

Dt ⎣ ∂t ⎦

Using characteristic velocity U and length L, and time is non-dimensionalized with L/U ,

t

τ=

L /U

Dimensionless eq.

∂V F ρ gL

∂τ

( )

+ V .∇ V =

ρU 2

− ∇ P +

1 2

Re

∇V

UL

Re =

ν

U2

Fr= when gravitational field is considered as the body force term

gL

Two basic approaches:

1. Primitive variables: velocities & pressure are the unknown dependent

parameters (direct approach)

2. Stream function-Vorticity variables: use the derived variables ψ&ω to solve

the problem

Temperature field is considered after velocity field is obtained!

(ψ-ω) approach:

2-D flow , ρ = constant

∂u ∂v

+ =0

∂x ∂y

∂ψ ∂ψ Note: continuity eq. is identically satisfied.

introduce ψ : u = , v=−

∂y ∂x Taking curl of (1) , vorticity eq. is obtained

∂ω

∂τ

( )

+ V .∇ω = ω.∇ V + ν∇ 2 ω

Vorticity is defined ∇ × V = ω

( )

Here ω.∇ V = 0 for 2-D flow since

ω z : perpendicular to plane of flow (only non-zero comp. of vorticity for 2-D flow)

∂ω Dω z

+ V .∇ω = =0 vorticity is preserved for steady inviscid flow!

∂τ Dτ

Steady flow, ωz along a streamline

∂ω z ∂ω z

u +v =0

∂x ∂y

∂v ∂u ∂ 2ψ ∂ 2ψ

ωz = − = − 2 − 2

∂x ∂y ∂x ∂y

∇ 2ψ = −ω z

Velocity potential may also be used

V = ∇φ → ∇ 2φ = 0 (continuity eq.)

ii. For rotational flow ∇ 2ψ = −ω z

Analitical solutions for the inviscid or potential flow in simple configurations exist.

Numerical Solution

Elliptic problem → ψ must be specified at the boundaries

Example:

ψ = UmD A channel of varying area

INVISCID FLOW

D

Ue

d

inlet

outlet

ψ=0

Channel is much wider in the third direction so; 2-D flow in (x,y) plane may be

considered.

Velocity at the outlet is taken uniform (long narrow passage) ρ=const. (inlet volume

flow rate = outlet volume flow rate)

Case I: Ue = const. = Um : uniform flow at inlet

Case II: Ue = π/2 Um sin πy/D : fully developed laminar flow

Flow rate in both cases is Um D

D

π π

Q=∫ U m sin ydy ψA

0

2 D

ψB

U m D = ψ upper wall −ψ lower wall

Q=ψA – ψB

A. INLET

∂ψ ∂ψ

u= , v=−

∂y ∂x

∂ψ ∂ψ

= ue , = 0 → ψ ≠ ψ ( x)

∂y ∂x

ψ = Ue y + c

Take ψ =0 at y=0 → c=0

ψ =U e y

D⎛ π y ⎞ ∂ψ π πy

i. ψ = U m y ii. ψ = U m ⎜ 1 − cos ⎟ : = U m si n

2⎝ D ⎠ ∂y 2 D

B. UPPER WALL

ψ = UmD for both cases indicates the same volume flow rate

D

C. EXIT ψ = Um y

d

VORTICITY FOR THE CASES AT INLET

∂v ∂u

i. ω z = − =0

∂x ∂y

π2 πy π 2ψ π 2U m

ii. ωz = − U m cos = 2

− ≠0

2D D D 2D

Vorticity in preserved in inviscid flow

Governing eqs.

i. ωz = 0

π 2ψ π 2U m

ii. ωz = 2

−

D 2D

Non-dimensionalize for general results

x y ψ

X= , Y= , Ψ=

D D UmD

∂ 2

Ψ ∂ 2

Ψ

i. + =0

∂X 2

∂Y 2

ii. + = π ⎜ − Ψ ⎟ = f (Ψ )

∂X 2

∂Y 2

⎝2 ⎠

ψ=1

ψ=0

Inlet

⎛ ⎞

i. Ψ =Y ⎜ U m DΨ = U m YD ⎟

⎜ y ⎟

⎝ ψ ⎠

1

ii. Ψ= (1 − cos π Y )

2

At outlet distribution for both cases

D

Ψ= Y

d

Poisson eq.

(δ 2

x )

+ δ y2 Ψ = f (Ψ )

G.S iteration scheme

1

Ψ i,j =

n+1 ⎡

2 (1 + γ ) ⎣

n n+1

( n n+1

) 2

( )⎦ (

Ψ i+1,j + Ψ i-1,j + γ Ψ i,j+1 + Ψ i,j-1 − ( ∆x ) f Ψ in, j ⎤ − f Ψ in, j )

SOR is possible Ψ i,jn+1 = (1 − ω ) Ψ i,jn + ω Ψ i,jn+1

Having obtained streamlines or lines of constant Ψ

Velocity components

Ψ i , j +1 − Ψ i , j −1

ui , j =

2 ∆y

Ψ i −1, j − Ψ i +1, j

vi , j =

2 ∆x

Note: inviscid flow (viscous terms neglected)

order of governing momentum equation drops from two to one

Only one physical cond. wrt velocity field can be satisfied at boundaries

i.e., slip is allowed parallel to walls & normal velocity component is taken zero

Constant value of ψ obtained along the wall.

ψ=1

x ψ=0

∂ψ ∂ψ

u= ≠0 , v=− =0

∂y ∂x

Pressure field

1

p + ρV 2 = const.

2

V: flow speed at a point

Vi , j = ui2, j + vi2, j

pi , j is obtained & employed in B.L eqs.

Vorticity-Stream Function Formulation: pg.650

∂v ∂u

Ω = ∇ × V → 2-D → Ω z = −

∂x ∂y

∂ψ ∂ψ

2-D Flow → u = ,v = −

∂y ∂x

∂Ω ∂Ω ∂Ω ⎛ ∂ 2Ω ∂ 2Ω ⎞ ⎫

+u +v = ν ⎜ 2 + 2 ⎟⎪

∂t ∂x ∂y ⎝ ∂x ∂y ⎠ ⎪

⎬ dimensional

∂ψ ∂ψ

2 2

⎪

+ = −Ω ⎪

∂x 2 ∂y 2 ⎭

1

non-dimensional ν =

Re

ΩL ψ u x tU ∞

Ω =

*

, ψ =

*

, u =

*

, x =

*

, t =

*

,

U∞ U∞ L U∞ L L

1. N-S eqs. ; mixed elliptic-parabolic system of eqs. V , P simultaneous solution

• Incompressible N-S eqs. are decoupled into one elliptic eq. & one parabolic eq.

• can be solved sequentially

• ω −ψ formulation does not include the pressure term

i.e., velocity is determined first, pressure is found next

• It is best for 2-D flows

• B.Cs on vorticity need to be specified.(lack of physical B.Cs on vorticity)

⎛ ∂2 P ∂2 P ⎞ ⎛ ∂u ∂v ∂u ∂v ⎞

−⎜ 2 + 2 ⎟ = 2⎜ − ⎟

⎝ ∂x ∂y ⎠ ⎝ ∂y ∂x ∂x ∂y ⎠

⎡ ∂ 2ψ ∂ 2ψ ⎛ ∂ 2ψ ⎞ 2 ⎤

∇2 P = 2 ⎢ 2 −⎜ ⎟ ⎥ dimensionless form

⎢⎣ ∂x ∂y ⎝ ∂x∂y ⎠ ⎥⎦

2

Vorticity-stream function formulation ω −ψ

∂Ω ∂Ω ∂Ω 1 ⎛ ∂ 2 Ω ∂ 2 Ω ⎞

+u +v = ⎜ 2 + 2 ⎟ (1)

∂t ∂x ∂y Re ⎝ ∂x ∂y ⎠

∂ 2ψ ∂ 2ψ

+ 2 = −Ω (2)

∂x 2

∂y

Numerical Algorithms

a. Unsteady flows:

1. Any scheme developed for parabolic eqs.

2. Any scheme developed for elliptic eqs.

b. Steady flows:

∂Ω ∂Ω 1 ⎛ ∂ 2 Ω ∂ 2 Ω ⎞

I. u +v = ⎜ 2 + 2 ⎟ (3)

∂x ∂y Re ⎝ ∂x ∂y ⎠

∇ 2ψ = −Ω

Two elliptic eqs.

can be solved by iterative scheme. e.g. G.S or upwind-downwind differencing

II. Unsteady equations are solved until steady state

Total computation time may be too excessive

III. Pseudo-transient approach

∂ψ ⎛ ∂ 2ψ ∂ 2ψ ⎞

−⎜ 2 + 2 + Ω⎟ = 0 Two parabolic eqs.

∂t ⎝ ∂x ∂y ⎠

Vorticity-transport equation

A. Explicit: FTCS scheme

+ uin, j + vin, j =

∆t 2 ∆x 2 ∆y

⎧ Ω n

1 ⎪ i +1, j − 2 Ω n

i, j + 2 Ω n

i −1, j Ω n

i , j +1 − 2 Ω n

i, j + 2Ω n ⎫

i , j −1 ⎪

⎨ + ⎬ (4)

( ∆x ) ( ∆y )

2 2

Re ⎪ ⎪⎭

⎩

DuFort-Frankel:

n +1 n −1

∂Ω Ωi , j − Ωi , j

= • Use of an upwind differencing scheme may be

∂t 2 ∆t appropriate for convection dominated flows

n +1 n −1

Ω i, j + Ω i, j

Ωin, j =

2

B. Implicit: Approximate Factorization for efficiency for multi-dimensional problems.

ADI formulation: two-step process; treat x der. implicitly & y der. implicitly.

+u n

i, j +v

n

i, j =

∆t / 2 2∆x 2 ∆y

⎧ ⎫

⎪ n +1/ 2 n +1/ 2 n +1/ 2 ⎪

1 ⎪ Ωi +1, j − 2Ωi , j + 2Ωi −1, j Ωi , j +1 − 2Ωi , j + 2Ωi , j −1 ⎪

n n n

⎨ + ⎬ (5a)

( ∆x ) ( ∆y )

2 2

Re ⎪ ⎪

⎪ ⎪

⎩ ⎭

n +1 / 2 n +1/ 2

δ xx Ωij δ yy Ωij

+ − Ω n +1/ 2

− Ω n +1

+ − Ω n +1

, j −1

+ uin, +j 1/ 2 + vin, +j 1/ 2

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

=

∆t / 2 2∆x 2 ∆y

⎧ ⎫

⎪ n +1/ 2 n +1/ 2 n +1/ 2 n +1 n +1 n +1 ⎪

1 ⎪ Ωi +1, j − 2Ωi , j + 2Ωi −1, j Ωi , j +1 − 2Ωi , j + 2Ωi , j −1 ⎪

⎨ + ⎬ (5b)

( ∆x ) ( ∆y )

2 2

Re ⎪ ⎪

⎪ ⎪

⎩ ⎭

n +1/ 2 n +1

δ xx Ωii δ yy Ωij

n n

In eq.(5b) can use ui , j & vi , j instead of (n+1/2) time level

• Computation time reduced

With this argument, eqs. 5a&5b becomes,

1⎛1 ⎞ n +1/ 2 1⎛1 ⎞

(5a) ⇒ - ⎜ cx + d x ⎟ Ωi −1, j + (1 + d x ) Ωi , j + ⎜ cx − d x ⎟ Ωin++1,1/j2 = Dx

n +1/ 2

2⎝2 ⎠ 2⎝2 ⎠

Bx

Ax Cx

1⎛1 ⎞ 1⎛1 ⎞

(5b) ⇒ - ⎜ c y + d y ⎟ Ωin,+j1−1 + (1 + d y ) Ωin,+j1 + ⎜ c y − d y ⎟ Ωin,+j1+1 = Dy

2⎝2 ⎠ 2⎝2 ⎠

By

Ay Cy

∆t ∆t

where cx = u , cy = v Courant numbers

∆x ∆y

1 ∆t 1 ∆t

dx = , dy = Diffusion numbers

Re ( ∆x )2 Re ( ∆y ) 2

1⎛1 ⎞ n 1⎛ 1 ⎞ n

Dx = ⎜ c y + d y ⎟ Ωi , j −1 + (1 − d y ) Ωi , j + ⎜ − c y + d y ⎟ Ωi , j +1

n

2⎝2 ⎠ 2⎝ 2 ⎠

1⎛1 ⎞ n +1/ 2 1⎛ 1 ⎞

Dy = ⎜ cx + d x ⎟ Ωi −1, j + (1 − d x ) Ωi , j + ⎜ − cx + d x ⎟ Ωin++1,1/j2

n +1/ 2

2⎝2 ⎠ 2⎝ 2 ⎠

Ax Ωin−+1,1/j2 + Bx Ωin,+j1/ 2 + C x Ωin++1,1/j2 = Dx (6a)

Ay Ωin,+j1−1 + By Ωin,+j1 + C y Ωin,+j1+1 = Dy (6b)

Tri-diagonal matrix algorithm Thomas Algorithm

Stream Function Equation

∇ 2ψ = −Ω

• Any numerical scheme for elliptic eq. is applicable, e.g., G.S.

1

ψ k +1

i, j =

2 (1 + γ ) ⎣

( )

⎡( ∆x )2 Ωik, j + ψ ik+1, j + ψ ik−+1,1j + γ ψ ik, j +1 + ψ ik, +j −11 ⎤

⎦

(7)

2

⎛ ∆x ⎞

γ =⎜ ⎟

⎝ ∆y ⎠

Procedure

i. Computation begins with the solution of vorticity eq. (6-a,b) within the domain (ψ

fixed) Perform limited number of iterations (5-10)

ii. Vorticity in eq.(7) is updated and the eq.(7) is solved for ψ . Iterate on ∇ 2ψ = −Ω

(new values of ψ (5-10) )

iii. Repeat the process untill the desired solution is reached.

B.C relation for Ω to find new vorticity values

Boundary Conditions

• Body surface

• Far-field

• Symmetry line

• Inflow

• Outflow

⎡ψ i ,1 −ψ i ,2 ⎤

Ωi ,1 = 2 ⎢ ⎥ + O ( ∆y )

⎢⎣ ( ∆y ) ⎥⎦

2

Ωik,1+1 = (1 − λ ) Ωik,1 + λ Ωik,1+1

check convergence

return to (ii)

Body Surface B.Cs: Driven cavity problem

u=U0 , v=0

M+1

A B

u=0 , v=0 u=0 , v=0

x

j=1 N+1

i=1 , u=v=0 C

Looks as if too much information for ψ & not enough info for Ω

Answer:

a) ψ =0 (constant) for ∇ 2ψ = −Ω

b)

∂n

Example: BCs at the left wall. u=v=0 at x=0

∂ψ ⎫

u= =0 ⎪

∂y ⎪

⎬ψ = const. (arbitrary) (B1)

∂ψ

v=− = 0⎪

∂x ⎪⎭

∂ψ

on x=0 ψ & known but not Ω

∂x

Use stream function eq. to find B.Cs for vorticity; i.e. ∇ 2ψ = −Ω on the left wall. i=1 , j=j

Thom’s method:

⎛ ∂ 2ψ ∂ 2ψ ⎞

⎜ 2 + 2 ⎟ = −Ω1, j (B2)

⎝ ∂x ∂y ⎠1, j

∂ 2ψ

Along A (left wall) ⇒ = 0 (ψ is constant along y)

∂y 2

1, j

∂ 2ψ

= −Ω1, j (B3)

∂x 2

1, j

To obtain an expression for the second-derivative in eq. above, use Taylor Series

expansion

( ∆x )

2

∂ψ ∂ψ

2

ψ 2, j = ψ 1, j + ∆x + + ... (B4)

∂x 1, j ∂x 2 1, j

2

∂ψ

v1, j = − =0

∂x 1, j

( ∆x )

2

∂ψ 2

+ O ( ∆x )

3

ψ 2, j = ψ 1, j +

∂x 2 1, j

2

∂ 2ψ 2 (ψ 2, j − ψ 1, j )

= + O ( ∆x ) (B5)

∂x 2 ( ∆x )

2

1, j

2 (ψ 1, j − ψ 2, j )

Ω1, j = + O ( ∆x ) (B6)

( ∆x )

2

Similarly, for right wall B & bottom wall C:

( ∆x )

2

∂ψ ∂ψ 2

ψ N , j = ψ N +1, j − ∆x +

∂x N +1, j

∂x 2 N +1, j

2

2 (ψ N , j −ψ N +1, j ) ∂ 2ψ

+ O ( ∆x ) = 2

( ∆x ) ∂x

2

N N+1 N +1, j

∂ 2ψ 2 (ψ N +1, j − ψ N , j )

B: Ω N +1, j =− 2 =

∂x ( ∆x )

2

N +1, j

∂ 2ψ 2 (ψ i ,1 − ψ i ,2 )

C: Ωi ,1 = − 2 =

∂y ( ∆y )

2

i ,1

II.Method:

∂ 2ψ ψ 2, j − 2ψ 1, j +ψ 0, j

+ O ( ∆x ) = −Ω1, j

2

(B3) ⇒ = −Ω1, j ⇒

∂x 2 ( ∆x )

2

1, j

∂ψ ψ 2, j −ψ 0, j

ψ 0, j = ? v1, j =− =− + O(∆x) 2 = 0 ⇒ ψ 2, j = ψ 0, j + O(∆x)3

∂x 1, j 2∆x

2 (ψ 1, j −ψ 2, j )

Ω1, j = + O ( ∆x )

( ∆x )

2

Now suppose upper boundary moving with a specified velocity, U0

( ∆y )

2

∂ψ ∂ 2ψ

ψ i , j −1 = ψ i , j − ∆y + 2 + ...

∂y i, j

∂y i, j

2!

U 0 (j=M+1)

j=M+1

( ∆y )

2

+ O ( ∆y )

3

ψ i , M = ψ i , M +1 − U 0 ∆y − Ω i , M +1

2

∂ 2ψ ∂ 2ψ

+ = −Ω i , M +1

∂y 2 i , M +1

∂ x 2

i , M +1

2 (ψ i , M +1 − ψ i , M ) 2U 0

Ω i , M +1 = − + O ( ∆y )

( ∆y ) ∆y

2

2 (ψ i , M +1 − ψ i , M )

Note that → U 0 = 0 ⇒ Ω i , M +1 =

( ∆y )

2

ψ 3, j − 8ψ 2, j + 7ψ 1, j

+ O ( ∆x )

2

Ω1, j =

2 ( ∆x )

2

• Higher order implementation of B.Cs, in general, will increase the accuracy of

solution , but it may cause instabilities for high Reynolds number flow

−ψ i , M +1 + 8ψ i , M − 7ψ i , M −1 3U o

ψ i , M +1 = −

2 ( ∆y ) ∆y

2

INFLOW: u is specified

ψ =C Inlet velocity profile u = u(x,y) at x = x0 then

y

∂ψ 0

u= → ψ ( x0 , y ) = ∫ u ( x0 , y )dy

∂y 0

ψ =0

∂ψ ∂ψ

u= ,v = −

∂y ∂x

i. Values of ψ along the inflow are specified

∂ψ

u = U0 → = U0 →ψ = U0 y

∂y

ii. Its values is determined from the interiour

∂ψ 1

v=0→ = 0 ⇒ −3ψ 1, j + 4ψ 2, j −ψ 3, j = 0; ψ 1, j = ⎡⎣ 4ψ 2, j −ψ 3, j ⎤⎦

∂x 1, j 3

Vorticity at the inflow:

⎛ ∂ 2ψ ∂ 2ψ ⎞

a. ⎜ + 2 ⎟ = −Ω1, j

⎝ ∂x ∂y ⎠1, j

2

2 (ψ 1, j −ψ 2, j ) ψ 1, j +1 − 2ψ 1, j + ψ 1, j −1

Ω1, j = −

( ∆x ) ( ∆y )

2 2

b. ∂v ∂u ⎛ ∂ 2ψ ∂u ⎞

Ωi , j = − = ⎜− 2 + ⎟

∂x ∂y ⎝ ∂x ∂y ⎠i , j

Ω1, j = −

( ∆x ) 2∆y

2

OUTFLOW: value of streamfunction is usually extrapolated from the interior solution.

∂ψ

Utilizing =0 second-order backward approximation

∂x

∂ψ ∂ψ 3ψ N +1, j − 4ψ N , j + ψ N −1, j

=0 =0=

∂x ∂x N +1, j 2∆x

(v = 0) 1

N-1 N N+1 ψ N +1, j =

3

( 4ψ N , j −ψ N −1, j )

∂ 2ψ

The condition =0 is also used

∂x 2

1

ψ N +1, j = (ψ N − 2, j − 4ψ N −1, j + 5ψ N , j )

2

First-order backward approximation

ψ N +1, j = −ψ N −1, j + 2ψ N , j

outflow

away

As with the inflow B.C vorticity at outlet can be determined by numerous methods,

Examples:

Ω N +1, j = −

( ∆x ) ( ∆y )

2 2

∂Ω 1

= 0 ⇒ Ω N +1, j = ( 4Ω N , j − Ω N −1, j )

∂x 3

SYMMETRY BOUNDARIES:

y ∂u ∂v ∂u

v=0 , =0⇒Ω= − =0

x u(y) v=0 , ∂y ∂x ∂y

∂u

u symmetric → =0

∂y

2-D jet flow

x

Stream function

1 ∂ψ ∂ψ

Vr = , Vθ = −

r ∂θ ∂r

∂Vθ Vθ 1 ∂Vr

Ω = ∇ ×V = + − (*)

∂r r r ∂r

Vorticity transport:

∇ 2ψ = −Ω

B.Cs

1 ∂ψ

as r → ∞ Vr = → cos θ

r ∂θ

∂ψ

Vθ = − → − sin θ

∂r

ψ ~ r sin θ as r → ∞

Ω = 0 (*) as r → ∞

1 ∂ψ

on r=1 Vr = = 0 → ψ = 0 on r=1

r ∂θ

∂ψ ∂ψ

Vθ = − =0 = 0 on r=1

∂r ∂r

Boundary Conditions For Vorticity

∇ 2ψ = −Ω

∂Ω ∂Ω 1 ⎧ ∂ 2 Ω ∂ 2 Ω ⎫

u +v = ⎨ 2 + 2⎬

∂x ∂y Re ⎩ ∂x ∂y ⎭

Stream function:

1 ∂ψ ∂ψ

Vr = , Vθ = − (71)

r ∂θ ∂r Vθ Vr

∂Vθ Vθ 1 ∂Vr

Ω=∇ × V = + − (72) U=1 r θ

∂r r r ∂θ

governing eq. i) Vorticity transport

ii) ∇ 2ψ = −Ω

Boundary conditions for cylindrical coordinates

i)

1 ∂ψ

as r → ∞ Vr = → cos θ

r ∂θ

∂ψ

Vθ = − → − sin θ

∂r

ψ ≈ r sin θ as r → ∞

Ω → 0 as r → ∞

ψ &Ω known

1 ∂ψ

ii) on r = 1 Vr = =0 ψ =0 on r=1

r ∂θ

∂ψ ∂ψ

Vθ = − =0 =0

∂r ∂r

∂ψ

ψ, known but not Ω

∂r

Pressure Equation:

⎡⎛ ∂ 2ψ ⎞ ⎛ ∂ 2ψ ⎞ ⎛ ∂ 2ψ ⎞ ⎤

∇ P = 2 ρ ⎢⎜ 2 ⎟ ⎜ 2

2

⎟−⎜ ⎟ ⎥ = S (P1) see page 652 for derivation

⎣⎝ ∂x ⎠ ⎝ ∂y ⎠ ⎝ ∂x ∂y ⎠⎦

i +1, j − 2ψ i , j + ψ i −1, j

Si , j = 2 ρ i , j ⎢⎜ ⎟⎜ ⎟−⎜ ⎟ ⎥ (P2)

⎢⎣⎝⎜ ( ∆x ) ⎟⎜ ( ∆y ) ⎟ ∆ ∆

2 2

⎠⎝ ⎠ ⎝

4 x y ⎠ ⎥⎦

Note: For a steady flow problem, the pressure equation is only solved once, i.e. after

steady-state values of ω&ψ have been computed.

If only wall pressures are desired, no need to solve poisson eq. over entire flow field.

turbine blades, etc.

⎛ ∂u ∂u ⎞ ∂P ⎛ ∂ 2u ∂ 2u ⎞

ρ ⎜u +v ⎟=− +µ⎜ 2 + 2 ⎟

⎜ ∂x ∂y ⎟⎠

⎝ ∂x ∂y ⎠ ∂x ⎝

∂P ∂ 2u y

=µ 2 3

∂x wall ∂y wall

∂P ∂Ω 2

= −µ (P3)

∂x wall ∂y wall

∂v ∂u Wall y=0, 1 x

Ω wall = −

∂x wall

∂y wall

u=v=0

= −µ ⎜ ⎟ (P4)

2∆x ⎝ 2 ∆y ⎠

• In order to apply (P4) the pressure must be known for at least one point on the wall

surface.

• Then pressure at adjacent point can be determined using a first order, one-sided

difference formula for

∂P in (P4)

∂x

• Thereafter, use eq.(P4) to find pressure at all other wall points.

HYPERBOLIC EQUATIONS:

• Method of characteristics: paths of propagation of physical disturbance,

inviscid supersonic flow fields: mach lines are characteristics of the flow,

difficult to use for 3-D problems and problems with non-linear terms

Model equation: First order wave equation (linear if a =const.)

∂u ∂u

+a =0 , a>0 (speed of sound) (1)

∂t ∂x

I.C. u(x,t=0) = f(x) initial disturbance

B.Cs x=0 u(0,t)=0 no-displacement

x=L u(L,t)=0 at boundaries

Explicit Formulations:

1. Euler’s FTCS method:

uin +1 − uin

∆t

= −a

uin+1 − uin−1

2∆x

(

O ∆t, ( ∆x )

2

) (2)

2. The Lax method:

n

In FTCS method: replace ui with an average value

1 n

uin =

2

( )

ui +1 + uin−1 (3)

1 n

∂u

n +1

(

ui − ui +1 + uin−1

2

)

= (4)

∂t ∆t

u n

+ u n

∆ t u n

− u n

uin +1 = i +1 i −1 − a i +1 i −1

(5)

2 ∆x 2

Von Neumann stability analysis

Assume an error of the form ∈m ( x, t ) = ebt eikm x & substitute in (5),

amplification factor becomes

∈in +1 stable solution

≤1

∈i n

∆t

where C = a

∆x

the stability requirement is ebt ≤ 1

∆t

C=a ≤ 1 Courant number (CFL condition) (6)

∆x

important stability requirement for hyperbolic eqs.

second-order central differencing for both time&space derivatives

2∆t

= −a

2∆x

(

O (∆t) 2 ,(∆x) 2 ) (7)

• Two sets of initial values are required to start the solution,

• a starter scheme is needed (affects the order of accuracy of the method),

• large increase in computer storage.

The L-W method is derived from Taylor series expansion of the dependent

variable as follows

∂ 2u ( ∆t )

2

∂u

u ( x , t + ∆t ) = u ( x , t ) + ∆ t + 2 +O ( ∆t )

3

(8)

∂t ∂t 2!

or in terms of indices

∂ 2 u ( ∆t )

2

∂u

+O ( ∆t )

n +1 3

ui = ui + ∆t + 2

n

(9)

∂t ∂t 2!

Now consider the model eq.

∂u ∂u

= −a (10)

∂t ∂x

∂ 2u ∂ ⎛ ∂u ⎞ ∂ ⎛ ∂u ⎞ 2 ∂ u

2

= −a ⎜ ⎟ = −a ⎜ ⎟ = a (11)

∂t 2

∂t ⎝ ∂x ⎠ ∂x ⎝ ∂t ⎠ ∂x 2

( ∆t ) 2 ∂ 2u

2

n +1 ⎛ ∂u ⎞

ui = ui + ⎜ −a ⎟ ∆t +

n

a

⎝ ∂x ⎠ 2 ∂x 2

Use central differencing of second order for the spatial derivatives

n n n

un +1

=u −a

n

∆t + a ( ∆t )

( ∆x )

i i

2∆x 2 2

⎡ ( ) ( ) ⎤

2 2

Lax-Wendroff method O ∆t , ∆x

⎣ ⎦

Stability analysis shows explicit method is stable for C ≤ 1

Implicit Formulations

1. Euler’s BTCS method:

uin +1 − uin a

=− ⎡⎣uin++11 − uin−+11 ⎤⎦

∆t 2∆x

1 n +1 n +1 1 n +1 ⎡ ∆t , ( ∆x )2 ⎤

Cui −1 − ui − Cui +1 = −uin

2 2 ⎣ ⎦

TDMA

2. Crank-Nicolson method:

uin +1 − uin a ⎡ uin++11 − uin−+11 uin+1 − uin−1 ⎤

=− ⎢ + ⎥

∆t 2 ⎣ 2 ∆x 2 ∆x ⎦

O ⎡( ∆t ) , ( ∆x ) ⎤ TDMA

2 2

⎣ ⎦

SOLUTION OF EULER’S EQUATIONS

Lax-Wendroff Technique

• Explicit

• Particularly suited to marching solutions: hyperbolic & parabolic eqs.

Example: Time-marching solution of an inviscid flow using unsteady Euler eqs.

For unsteady, 2-D inviscid flow eqs. (HYPERBOLIC IN TIME)

∂ρ ⎛ ∂u ∂ρ ∂v ∂ρ ⎞

Continuity: = −⎜ ρ +u +ρ +v ⎟ (1) no boundary forces

∂t ⎝ ∂x ∂x ∂y ∂y ⎠

∂u ⎛ ∂u ∂u 1 ∂P ⎞

x-mom: = −⎜u +v + ⎟ (2)

∂t ⎝ ∂x ∂y ρ ∂x ⎠

∂v ⎛ ∂v ∂v 1 ∂P ⎞

y-mom: = −⎜u + v + ⎟ (3)

∂t ⎝ ∂x ∂y ρ ∂y ⎠

∂e ⎛ ∂e ∂e P ∂u P ∂v ⎞

Energy: = −⎜u + v + + ⎟ (4)

∂t ⎝ ∂x ∂y ρ ∂x ρ ∂y ⎠

Cv: specific heat at constant volume

e: internal energy, we have thermodynamic relation

e=e(T,P)

For perfect gas with constant specific heat e(T)=cvT

Eqs. (1) to (4) are hyperbolic with respect to time

Taylor series expansion in time

⎛ ∂ 2 ρ ⎞ ( ∆t )

n n 2

⎛ ∂ρ ⎞

ρi , j = ρi , j + ⎜ ⎟ ∆t + ⎜ 2 ⎟

n +1 n

+... (5)

⎝ ∂t ⎠i , j ⎝ ∂t ⎠i , j 2!

If flow field at time level n is known,

Eq.(5) gives the new flow field at time (n+1)→t+∆t

n n

⎛ ∂ρ ⎞ ⎛ ∂2 ρ ⎞

⎟ & ⎜ 2 ⎟ are found ρi , j

n +1

if ⎜ can be calculated explicitly, from eq.(5)

⎝ ∂t ⎠i , j ⎝ ∂t ⎠i , j

Analogous Taylor series for all other dependent variables can be written as follows:

⎛ ∂ 2u ⎞ ( ∆t )

n n 2

n +1 ⎛ ∂u ⎞

ui , j = ui , j + ⎜ ⎟ ∆t + ⎜ 2 ⎟

n

+... (6)

⎝ ∂t ⎠i , j ⎝ ∂t ⎠i , j 2!

⎛ ∂ v ⎞ ( ∆t )

n n 2

⎛ ∂v ⎞

2

vin, +j 1 = vin, j + ⎜ ⎟ ∆t + ⎜ 2 ⎟ +... (7)

⎝ ∂t ⎠i , j ⎝ ∂t ⎠i , j 2!

⎛ ∂ e ⎞ ( ∆t )

n n 2

⎛ ∂e ⎞

2

n +1

ei , j = ei , j + ⎜ ⎟ ∆t + ⎜ 2 ⎟

n

+... (8)

⎝ ∂t ⎠i , j ⎝ ∂t ⎠i , j 2!

Using spatial derivatives (second-order central dif.) from eq.(1)

⎛ ∂ρ ⎞

n

⎛ n uin+1, j − uin−1, j ρin+1, j − ρin−1, j vin, j +1 − vin, j −1 ρin, j +1 − ρin, j −1 ⎞

⎟ = − ⎜⎜ ρi , j + ui , j + ρi , j + vi , j

n n n

⎜ ⎟⎟ (9)

⎝ ∂t ⎠i , j ⎝ 2 ∆ x 2 ∆ x 2 ∆ y 2 ∆ y ⎠

In (9), all quantities on RHS are known.

n

⎛ ∂2 ρ ⎞

Differentiate eq.(1) with respect to time ⎜ 2 ⎟ =?

⎝ ∂t ⎠i , j

n

⎛ ∂2 ρ ⎞ ⎛ ∂ 2u ∂u ∂ρ ∂ 2 ρ ∂ρ ∂u ∂ 2 v ∂v ∂ρ ∂ 2 ρ ∂ρ ∂v ⎞

⎜ 2 ⎟ = −⎜ ρ + +u + +ρ + +v + ⎟ (10)

⎝ ∂t ⎠i , j ⎝ ∂x ∂t ∂x ∂t ∂x ∂ t ∂x ∂t ∂y ∂ t ∂y ∂t ∂y ∂ t ∂y ∂t ⎠

∂ 2u

=?

∂x∂t

Differentiate eq.(2) wrt x;

2

∂ 2u ∂ 2u ⎛ ∂u ⎞ ∂ 2u ∂u ∂v 1 ∂ 2 P 1 ∂P ∂ρ

= −u 2 + ⎜ ⎟ + v + + − 2 (11)

∂x∂t ∂x ⎝ ∂x ⎠ ∂x∂y ∂y ∂x ρ ∂x 2

ρ ∂x ∂x

In eq.(11) all terms on RHS are expressed as second-order, central dif. eqs. at time

level n:

n 2

⎛ ∂ 2u ⎞ uin+1, j − 2uin, j + uin−1, j ⎛ ui +1, j − ui −1, j ⎞

⎟ = −ui , j +⎜ ⎟ +

n

⎜

⎝ ∂x∂t ⎠i , j ( ∆x ) 2∆x

2

⎝ ⎠

uin+1, j +1 + uin−1, j −1 − uin−1, j +1 − uin+1, j −1 uin, j +1 − uin, j −1 vin+1, j − vin−1, j

vn

+ +

4 ( ∆x )( ∆y )

i, j

2∆y 2 ∆x

1 Pi +1, j − 2 Pi , j + Pi −1, j

n n n

1 Pi +n1, j − Pi −n1, j ρin+1, j − ρin−1, j

− (12)

ρi , j ( ∆x )

2

(ρ )

n

2

2 ( ∆x ) 2 ( ∆x )

i, j

∂2 ρ

Continuing with the evaluation of eq.(10), a number for is found by

∂x∂t

differentiating eq.(1) wrt x & replacing all derivatives on RHS with second-order

central differences, similar to eq.(12).

∂ 2v

differentiate eq.(3) wrt y

∂y∂t

∂2 ρ

differentiate eq.(1) wrt y

∂y∂t

∂u ∂v

, central difference; eqs.(2) & (3) , respectively.

∂t ∂t

Finally;

n

⎛ ∂2 ρ ⎞

⎜ 2 ⎟ is calculated from eq.(10)

⎝ ∂t ⎠i , j

From eq.(5) ρin, +j 1 is known

For the remaining flow-field variables, uin, +j 1 , vin, +j 1 , ein, +j 1 repeat the above procedure

(

uin, +j 1 = f uin, j , uin, j +1 , uin, j −1 , uin+1, j , uin−1, j )

Remarks on Lax-Wendroff

•second-order accuracy in both space & time

•Algebra is lengthy

t

i,j

n+1 i,j-1

y i,j+1

i-1,j i,j

i+1,j

i,j-1

x

n

MACCORMACK’S TECHNIQUE

• A variant of Lax-Wendroff approach

• But much simpler in its application

• Explicit finite-difference (second-order accurate in time&space)

• First introduced in 1969

Assume that flow field at each grid point is known at time level n

⎛ ∂ρ ⎞

ρin, +j 1 = ρin, j + ⎜ ⎟ ∆t (13)

⎝ ∂t ⎠av

⎛ ∂ρ ⎞ ∂ρ

Where ⎜ ⎟ representative mean value of between times t & t+∆t, i.e.

⎝ ∂t ⎠ av ∂t

time levels n and (n+1)

⎜ ⎟

⎝ ∂t ⎠ av n

⎛ ∂2ρ ⎞

need to calculate values of the second time derivative ⎜ 2 ⎟

⎝ ∂t ⎠i , j

Similar relations for the other flow-field variables,

⎛ ∂u ⎞

uin, +j 1 = uin, j + ⎜ ⎟ ∆t (14)

⎝ ∂t ⎠ av

⎛ ∂v ⎞

vin, +j 1 = vin, j + ⎜ ⎟ ∆t (15)

⎝ ∂t ⎠ av

n +1 ⎛ ∂e ⎞

ei, j = e + ⎜ ⎟ ∆t

n

i, j (16)

⎝ ∂t ⎠av

Use the predictor-corrector philosophy as follows

Predictor step: in the continuity eq.(1), replace the spatial derivatives of the RHS

with FORWARD differences

⎛ ∂ρ ⎞

n

⎛ n uin+1, j − uin, j ρin+1, j − ρin, j vin, j +1 − vin, j ρin, j +1 − ρin, j ⎞

⎟ = − ⎜⎜ ρi , j + ui , j + ρi , j + vi , j

n n n

⎜ ⎟⎟ (17)

⎝ ∂t ⎠i , j ⎝ ∆x ∆x ∆y ∆y ⎠

Obtain a predicted value of density, ρ n +1 from the first two terms of a Taylor series;

⎛ ∂ρ ⎞

ρ n +1

i, j = ρ + ⎜ ⎟ ∆t

n

i, j (18)

predicted value of density

⎝ ∂t ⎠i , j

(only first-order accurate)

A similar fashion, predicted values of u,v&e can be obtained.

n +1 ⎛ ∂u ⎞

u i, j = u + ⎜ ⎟ ∆t

n

i, j (19)

⎝ ∂t ⎠i , j

n +1 ⎛ ∂v ⎞ Forward differences for the spatial

v i, j = v + ⎜ ⎟ ∆t

n

i, j (20)

⎝ ∂t ⎠i , j derivatives

⎛ ∂e ⎞

ei n, j+1 = ein, j + ⎜ ⎟ ∆t (21)

⎝ ∂t ⎠i , j

Corrector step:

n +1

⎛ ∂ρ ⎞

First obtain a predicted value of the time derivative at time t+∆t , ⎜ ⎟

⎝ ∂t ⎠i , j

by substituting the predicted values of ρ, u and v into the RHS of continuity eq.,

replacing the spatial derivatives with BACKWARD differences.

⎛ ∂ρ ⎞

n +1

⎛ n +1 uin, +j 1 − uin−+1,1j ρin, +j 1 − ρin−+1,1j v n +1 − vin, j+−11 ρin, +j 1 − ρin, +j −11 ⎞

⎟ = − ⎜⎜ ρi , j + ρi , j

n +1 n +1 i , j n +1

⎜ + ui , j + vi , j ⎟⎟ (22)

⎝ ∂t ⎠i , j ⎝ ∆ x ∆ x ∆ y ∆ y ⎠

In eq.(13)

⎡ ⎤

1 ⎢⎛ ∂ρ ⎞ ∂ρ ⎞ ⎥

n n +1

⎛ ∂ρ ⎞ ⎛

⎜ ⎟ = ⎢⎜ ⎟ +⎜ ⎟ ⎥

⎝ ∂t ⎠av 2 ⎢⎝ ∂t ⎠i , j ⎝ ∂t ⎠i , j ⎥

⎢⎣ from eq.(17) from eq.(22) ⎥⎦

⎛ ∂ρ ⎞

ρin, +j 1 = ρin, j + ⎜ ⎟ ∆t (13) repeated

⎝ ∂t ⎠ av

Same accuracy as the Lax-Wendroff method

n

⎛ ∂2 ρ ⎞

• Simpler (no need to evaluate second derivative ⎜ 2 ⎟

⎝ ∂t ⎠i , j

• Also possible to ose backward differences on the predictor and forward differences

on the corrector

Remarks:

• Lax-Wendroff & MacCormack techniques can be applied to VISCOUS FLOWS as well

• Space marching possible instead of time-marching step

• Viscous Flows governed by Navier-Stokes eqs.

• Steady N-S partially elliptic

• Lax-Wendroff & MacCormack techniques are NOT appropriate for the solution of

elliptic PDEs

• Unsteady N-S mixed parabolic & elliptic behavior

L-W & MacCormack techniques ARE suitable

The approach is the same

Predictor - Corrector

Forward differences & backward differences; for convective terms only

Viscous terms should be centrally differenced on both the predictor&corrector

steps!!

Incompressible N-S eqs.

• Can be derived in a sraightforward fashion from the compressible N-S eqs. (set

ρ=const. ∇.V = 0

But numerical solution of incompressible eqs. cannot be obtained in a straightforward

fashion from a numerical technique developed for the compressible eqs.

Eg. Compressible N-S eqs. using a time-marching MacCormack’s technique, explicit

time step ∆t is restricted by stability condition.

For compressible flow, speed of sound a is

finite.

1

∆t ≤ Above eq. gives a finite value of ∆t for numerical

u v 1 1 solution

+ +a +

∆x ∆y ( ) ( ) For an incompressible flow, a is theoretically

2 2

∆ x ∆ y

infinite, i.e above eq. gives ∆t=0!!

Something else must be done! SIMPLE-

pressure correction algorithm.

Incompressible N-S eqs.

• Primative variable formulation

• Governing equations are a mixed elliptic-parabolic system of eqs. which are solved

simultaneously.

Unknowns; V , P

(i.e. no eqs. for pressure!)

Two mathematical manipulations are used to establish a connection.

1. P equation for pressure is introduced

2. Introduction of artificial compressibility into continuity eq.

• Specification of b.conditions for pressure may be difficuilt

• Extension to 3-D is straightforward

Poisson eq. for pressure:

Used for computation of pressure field

• In lieu of continuity eq.

Conservative form of x & y components of momentum eq.

∂u ∂ 2 ∂P ∂ 1 2

+

∂t ∂x

u +( ) + ( uv ) =

∂x ∂y Re

∇u (1)

∂v ∂ ∂ 2 ∂P 1 2

+ ( uv ) +

∂t ∂x ∂y

v +( ) =

∂y Re

∇v (2)

Differentiate eq.(1) wrt x & differentiate eq.(2) wrt y and add two resulting eqs.

After arrangment

∂2 P ∂2 P ∂D ∂ 2 2 ∂2 ∂2 2 1 ⎡ ∂2 ∂2 ⎤

+

∂x 2 ∂y 2

= − −

∂t ∂x 2

( ) ∂x∂y ( ) ∂y 2 ( ) Re ⎢ ∂x2 ( ) ∂y 2 ( )⎥

u − 2 uv − v + D + D (3)

⎣ ⎦

∂ ∂

D= +

∂x ∂y

For ρ=const. , D=0!

However,due to numerical considerations, keep the term in (3) to prevent error

accumulation in process of iterative solution of eq.

Artificial Compressibility:

Continuity eq. is modified by inclusion of a time-dependent term,

∂P 1 ⎛ ∂u ∂v ⎞

+ ⎜ + ⎟=0 (4)

∂t τ ⎝ ∂x ∂y ⎠

τ : artificial compressibility of fluid

compressibility ∼ pseudo-speed of sound, a

1 P

τ = 2 → a2 =

a ρ

Steady, incompressible N-S eqs. (2-D cartesian coord.)

∂P 2 ⎛ ∂u ∂v ⎞

+a ⎜ + ⎟=0 (5)

∂t ⎝ ∂x ∂y ⎠

∂u ∂ 2 ∂ 1

+ ( u + P ) + ( uv ) = ( ∇ 2u ) (6)

∂t ∂x ∂y Re

∂v ∂ ∂ 1

+ ( uv ) + ( v 2 + P ) = ( ∇ 2v ) (7)

∂t ∂x ∂y Re

Solution on Regular Grid

To facilitate application of finite dif. formulations, eqs (5)-(7) are written in a flux

vector form as

∂Q ∂E ∂F 1

+ + = [ N ] ∇ 2Q (8)

∂t ∂x ∂y Re

⎡P⎤ ⎡ a 2u ⎤ ⎡ a 2v ⎤ ⎡0 0 0⎤

⎢ 2 ⎥ ⎢ ⎥

Q= ⎢ u ⎥ , E= ⎢u + P ⎥ , F= ⎢ uv ⎥ , N= ⎢⎢ 0 1 0⎥⎥

⎢ ⎥

⎢⎣ v ⎥⎦ ⎢ uv ⎥ ⎢v 2 + P ⎥ ⎢⎣0 0 1 ⎥⎦

⎣ ⎦ ⎣ ⎦

Eq.(8) non-linear systems of eqs.

• Explicit formulation of non-linear eqs. can be formulated with no difficulty

• Implicit formulations: a linearization procedure must be introduced

See CFD for Engineers Vol.I, Klaus A.Hoffman & S.T.Chiang

Instead of eq.(4), use eq.(3) Poisson eq. for pressure..

Procedure: use eq.(3) to evaluate pressure at (n+1) time level.

Then, eqs. (1)&(2) [Mom. Eqs.] are solved for values of un+1 & vn+1 respectively.

To solve eq.(3) an iterative scheme is usually used.

For example; G-S

1

P k +1

= ⎡ Pi +k1, j + Pi −k1,+1j + γ ( Pi ,kj +1 + Pi ,kj+−11 ) ⎤ + ( RHS )i , j

2 (1 + γ ) ⎣ ⎦

i, j

Grid Generation

Introduction:

• Any curved domain can be mapped to rectangle

• Flow in curved passage

Mapping

ξ = ξ ( x, y )

Relations between physical and computational planes

η = η ( x, y )

x η

i,j

i,j

ξ

y Computational plane

Physical plane

Main issue: how to find the location of the grid points in the physical domain

(ξ,η): computational coordinates

∂ ∂ξ ∂ ∂η ∂

= + (1)

∂x ∂x ∂ξ ∂x ∂η

∂ ∂ξ ∂ ∂η ∂

= +

∂y ∂y ∂ξ ∂y ∂η

∂ξ ∂ξ ∂η ∂η

, , , called metrics of transformation

∂x ∂y ∂x ∂y

Example:

∂u ∂u

+c + y =0 (A) original PDE

∂x ∂y

ξ = ξ ( x, y )

η = η ( x, y )

∂u ∂u ∂u ∂u ∂u ∂u

= ξx + η x ; = ξy + ηy

∂x ∂ξ ∂η ∂y ∂ξ ∂η

∂u ∂u

( ξx + cξ y ) ∂ξ + (η x + cη y ) ∂η + y ( ξ ,η ) = 0 (B) transformed PDE

• Equation (B) is solved on a uniform grid in the computational plane

• Relationship between physical and computational planes are given by the metrics of

transformation, i.e. ξx , ξy , ηx , ηy .

Notes:

1. Form and type of the transformed equation remains the same as the

original partial differential equation.

∂ξ ∆ ξ i.e. metrics represent the ratio of are lengths in the

2. ξx = ≅

∂x ∆x computational plane to that of the physical plane.

Computation of metrics

d ξ = ξ x dx + ξ y dy (2)

dη = η x dx + η y dy

or in a compact form,

⎛ d ξ ⎞ ⎛ ξ x ξ y ⎞ ⎛ dx ⎞

⎜ ⎟ = ⎜η η ⎟ ⎜ ⎟ (3)

⎝ dη ⎠ ⎝ x y ⎠ ⎝ dy ⎠

or reversing the role of independent variables, i.e.

x = x (ξ ,η )

y = y (ξ , η )

dx = xξ d ξ + xη dη ; dy = yξ d ξ + yη dη

⎛ dx ⎞ ⎛ xξ xη ⎞⎛ d ξ ⎞

⎜ ⎟=⎜y ⎟⎜ ⎟ (4)

yη ⎠⎝ dη ⎠

⎝ dy ⎠ ⎝ ξ

Compare 4 with 3

−1

⎛ ξ x ξ y ⎞ ⎛ xξ xη ⎞

⎜ ⎟=⎜ ⎟

⎝ η x η y ⎠ ⎝ yξ yη ⎠

1 1

ξ x = yη , ξ y = − xη

J J

1 1

η x = − yξ , η y = xξ (6)

J J

J=xξ yη − yξ xη = Jacobian of transformation

J: ratio of areas (volumes in 3-D) of computational space to that of physical space.

In determining the grid points (mapping) following requirements are necessary.

Notes:

1. Mapping must be one-to-one. J≠0

2. Want smoothness in grid distribution

(smooth behavior of metrics)

3. May want to cluster points in certain regions of physical spaces

4. May want orthogonality in grid, at least in certain regions. Excessive grid

skewness should be avoided.

Methods of Grid Generation

1. Conformal mapping (based on complex variables), not extendible to 3-D

2. Algebraic Methods

3. Solution of Differential Equations (Partial differential equations)

Adaptive Grid, evolves as a result of solution of flow equations (high gradients).

Algebraic Methods

Example: Figure 3&4 : half difusser

Known functions are used in one, two

ξ = x , η = y / f ( x) (7) or three dimensions to take arbitrary

represents

upper boundary

shaped physical regions into a

rectangular computational domain

⎧ H − H1 ⎫

x=ξ , y = ⎨ H1 + 2 ξ ⎬η (8)

⎩ L ⎭

To generate grid

1. Define a uniform grid in ξ,η plane

2. Corresponding points in physical plane found from (8)

Metrics and Jacobian of transformation must be evaluated before any transformed

Partial Differential Equations can be solved.

Example:

Generation of Grid: Algebraic Grid

y 1. define a uniform grid in ξ,η plane

(L,H2)

1+x

(0,H1)

H1 H2

x

(0,0) L (L,0)

η

1.0

j=M+1

∆η

i=1 ∆ξ i=M+1

L

Analytical calculation of metrics

ξx = 1 , ξy = 0

⎛ H − H1 ⎞

yf ′( x)

−⎜ 2 ⎟η

⎝ L ⎠

ηx = − 2 = 2

f ( x) ⎧ ⎛ 1

H − H 2 ⎞ ⎫

⎨ H1 + ⎜ ⎟ξ ⎬

⎩ ⎝ L ⎠ ⎭

1 1

ηy = =

f ( x) ⎧ ⎛ H 2 − H1 ⎞ ⎫

H +

⎨ 1 ⎜ ⎟ξ ⎬

⎩ ⎝ L ⎠ ⎭

To numerically find metrics

⎧ xi +1, j − xi −1, j

x

⎪ ξ i, j =

⎪ 2∆ ξ

for interval points ⎨

⎪x xi , j +1 − xi , j −1

= , etc. yξ , yη

⎪⎩ η i , j 2∆η

evaluate J = xξ yη − yξ xη

evaluate ξ x , ξ y ,η x ,η y from (6)

derivatives at boundaries are evaluated with forward or backward 2nd order approximation

−3 xi ,1 + 4 xi ,2 − xi ,3

j = 1; xη =

i ,1 2∆η

Clustering Techniques

To cluster near bottom (Consider duct problem)

ξ=x Metrics

ξx = 1 , η x = 0

⎧ β +1− y / H ⎫

log ⎨ ⎬ 2β

⎩ β − 1 + y / H ⎭ ξy = 0 , η y =

η = 1− 1<β < ∞ ⎧⎪ 2 ⎧ ⎛ β + 1 ⎞ ⎫⎫⎪

H ⎨ β 2 − (1 − y / H ) ⎨log ⎜

⎛ β +1 ⎞ β − 1 ⎟ ⎬⎬

log ⎜ ⎪⎩ ⎩ ⎝ ⎠ ⎭⎭⎪

β − 1 ⎟

⎝ ⎠ Clustering on both walls

β : clustering parameter ξ=x

as β → 1 more grid points near y=0 ⎧ y ⎫

⎪ β + ( 2α + 1) − 2α ⎪

log ⎨ H

Inverse y ⎬

⎪ β − ( 2α + 1) + 2α ⎪

x=ξ η = α + (1 − α ) ⎩ H ⎭

⎛ β +1 ⎞

1−η log ⎜ ⎟

⎧ ⎧ β + 1⎫ ⎫ ⎝ β −1 ⎠

⎪ ( β + 1) − ( β − 1) ⎨ ⎬ ⎪ α = 0 clustering at y=H

⎪

y=H⎨ ⎩ β −1⎭ ⎪

1−η ⎬ α = 1/ 2 clustering equally at y=0 , H

⎪ ⎛ β +1 ⎞ ⎪

⎪ ⎜ β −1 ⎟ + 1 ⎪

⎩ ⎝ ⎠ ⎭

Clustering on both walls

ξ=x

⎧ y ⎫

⎪ β + ( 2α + 1) − 2α ⎪

log ⎨ H

y ⎬

⎪ β − ( 2α + 1) + 2α ⎪

η = α + (1 − α ) ⎩ H ⎭

⎛ β +1 ⎞

log ⎜ ⎟

⎝ β − 1 ⎠

α = 0 clustering at y=H

α = 1/ 2 clustering equally at y=0 , H

Clustering in Interior

ξ=x

1 ⎧⎛ y ⎞ ⎫

η = A + sinh ⎨⎜ − 1⎟ sinh ( β A ) ⎬

−1

β ⎩⎝ D ⎠ ⎭

A=

1 ⎧

⎪

log ⎨

1 + (

e β

)

− 1 ( D / H ) ⎫⎪

⎬

2β ( −β

)

⎪⎩1 + e − 1 ( D / H ) ⎪⎭

D is where clustering desired

Remarks on Algebraic Methods

Advantages:

1. fast computationally

2. metrics can be evaluated analytically, avoiding numerical errors

3. clustering easy

Disadvantages

1. smoothness and skewness hard to control

2. discontinuities at boundary may propogate into interior,

errors due to sudden changes in metrics.

Algebraic methods (continued)

Example:

Body fitted mesh is desired to solve for the flow in a divergent nozzle.

1

y

x x=1 x=2

Nozzle geometry

Equally spaced increments in x direction ξ=x

y y

Uniform division in the y direction η = =

y max x2

Ymax : nozzle boundary equation.

2.2968

3.06 1

3.0

1.68

y 1.53 0.25

1 1.25 1.75 2

y=ηξ2

physical coordinates

∆ξ=0.25 , ∆η=0.25

Metrics of transformation ξx = 1 , ξy = 0

y 1 1 2η

η x = −2 3 , ηy = 2 = 2 = −

x x ξ ξ

If numerical methods are used to generate required transformation use second-

order finite difference

yη xη yξ xξ

ξx = , ξy = − , ηx = − , ηy = −

J J J J

J = xξ yη − yξ xη

Example:

Select point (1.75 , 2.2969) = (x,y)

η 0.75

η = −2 = −2 =-0.85714 analytical

x

x3 1.75 yξ ya +1 − ya -1

η x = −2 , J = xξ yη - yξ xη = yη =

J 2∆η

1

3.0625 − 1.53125

Numerical calculation yη = = 3.06250

2 ( 0.25 )

3 − 1.6875

yξ = = 2.625 → η x = −0.85714

2 ( 0.25 )

not always the same for many problems

NORMALIZING TRANSFORMATION

y η

ξ=constant

+1 1,1

0,1 1,1

η=constant ξ

-1

2,0 -1 1

0,0 x

⎛ 1 + ξ ⎞⎛ 3 − η ⎞

x=⎜ ⎟⎜ ⎟ (ξ ,η ) = (1,1) ⇒ ( x, y ) = (1,1)

⎝ 2 ⎠⎝ 2 ⎠

η +1

y= (ξ ,η ) = ( −1,1) ⇒ ( x, y ) = ( 0,1)

2

Any quadrilateral physical domain can be transformed into a rectangle in

computational space by use of a normalizing transformation.

y

x=ξ

y=(1+ ξ) η x

2

1+x

1

0 1 x ξ

2,4

2+x

0,2

4(x-1)

1,0 x

y=dξ +eη +fηξ y=2η (1+ξ )

Trapezoid defined by boundaries

y

x=0

2

x=1

1+x y=0

1 y=1+x

Take two disconnected boundaries (upper &

lower boundary)

0 1 x

x1 (ξ ) = x (ξ , 0 ) = ξ ⎫

⎪

y1 (ξ ) = y (ξ , 0 ) = 0 ⎪ x = ξ (1 − η ) + ξη = ξ

⎬⇒

x2 (ξ ) = x (ξ ,1) = ξ ⎪ y = 0 + (1 + ξ )η

y2 (ξ ) = y (ξ ,1) = 1 + ξ ⎪⎭

A different point distribution can be obtained by choosing a non linear function for

boundary parametrization.

Example:

x1 = ξ 2 ⎫⎪ x =ξ 2

2⎬

⇒

(

x2 = ξ ⎪⎭ y = 1 + ξ η

2

)

Most problems, boundaries are not analytic functions but are simply prescribed as a

set of data points.

Boundaries must be approximated by a curve fitting procedure to employ algebraic

mappings.

Tension splines, avoids wiggless in boundary

• direct

• analytical evaluation of metrics

• can be applied to 3D problems straightforward way

• some ingenuity is required for a proper grid

Elliptic Grid Generators

For situations where all physical boundaries specified

Smoother grid

Example:

Heat conduction in a solid

T1

Looks like a good grid

flux lines

Let ξ, η satisfy Laplace’s equation.

-k dT/dx=h(T-Tinf)

dT/dx=0 ξ xx + ξ yy = 0

η xx + η yy = 0 (9)

T0 Iterative scheme is used to solve

Constant T lines Isothermal lines, grid lines

(x,y) coordinates in phsical space

To transform equations (9) dependent and independent variables are interchanged

see Appendix E

ayξξ − 2byξη + cyηη = 0 (11)

a = xη2 + yη2

b = xξ xη + yξ yη

c = xξ2 + yξ2 (12)

System of equations (10)-(11) is solved in computational domain (ξ,η) to provide

grid point locations in physical space (x,y)

Solve numerically ,

linearization procedure is necessary

a,b,c are evaluated at the previous iteration level.

Simply-Connected Domain:

Any contour connecting 2 points can be deformed without passing out of region.

Domain which is reducible & can be contracted to a point,

i.e, no object within the domain

Procedure:

1. start with test grid generated by same algebraic method

this defines at every point in computational and physical space an estimate of

x(ξ,η) , y(ξ,η)

2. discretize (10)-(11) linearize by calculating a,b,c, and hold constant.

Simply-Connected Domain: Example

y

η

M

i=N

ξ

η x j=1 ξ

j=M j=1 i=1 N

Example:

2 2

⎧ xi , j +1 − xi , j −1 ⎫ ⎧ yi , j +1 − yi , j −1 ⎫

a=⎨ ⎬ +⎨ ⎬

⎩ 2 ∆ η ⎭ ⎩ 2 ∆η ⎭

discretization of (10)

a⎨ ⎬ − 2b ⎨ ⎬+c⎨ ⎬ = 0 (13)

( ∆ξ ) 4∆η∆ξ ( ∆η )

2 2

⎪⎩ ⎪⎭ ⎩ ⎭ ⎪⎩ ⎪⎭

Can write similar equation for y (replace x by y)

Note grid on boundaries of physical plane must be specified

⎡ a c ⎤ a c

2⎢ + ⎥ x = ⎡ x

2 ⎣ i +1, j

+ x ⎤

i −1, j ⎦ + ⎡ x + xi , j −1 ⎤⎦

2 ⎣ i , j +1

⎢⎣ ( ∆ξ ) ( ∆η ) ⎥⎦ ( ∆ξ ) ( ∆η )

2 2 i, j

b

− ⎡⎣ xi +1, j +1 − xi +1, j −1 − xi −1, j −1 + xi −1, j +1 ⎤⎦

2∆ξ∆η

⎡ a c ⎤ a c

2⎢ + ⎥ x = ⎡ x

2 ⎣ i +1, j

+ x ⎤

i −1, j ⎦ + ⎡ x + xi , j −1 ⎤⎦

2 ⎣ i , j +1

⎢⎣ ( ∆ξ ) ( ∆η ) ⎥⎦ ( ∆ξ ) ( ∆η )

2 2 i, j

b

− ⎡⎣ xi +1, j +1 − xi +1, j −1 − xi −1, j −1 + xi −1, j +1 ⎤⎦

2∆ξ∆η

For yi,j

⎡ a c ⎤ a c

2⎢ + ⎥ yi , j = ⎡ y

2 ⎣ i +1, j

⎤

+ yi −1, j ⎦ + ⎡y

2 ⎣ i , j +1

+ yi , j −1 ⎤⎦

⎢⎣ ( ∆ξ ) ( ∆η ) ⎥⎦ ( ∆ξ ) ( ∆η )

2 2

b

− ⎡⎣ yi +1, j +1 − yi +1, j −1 − yi −1, j −1 + yi −1, j +1 ⎤⎦

2∆ξ∆η

İterate until convergence,

Example:

N ,M

Ex = ∑

i=2

xik, +j 1 − xik, j , E y = ...

j =2

ET = Ex + E y < ε

Double-Connected Domain:

Domain is not reducible. i.e. domain includes one configuration within region of interest

B2

B1

B3

A

C

B4

Unwrap the domain

η

C

B3 C B2 C

B2

B3

B1

A B4

A A B1 A

B4

C

ξ

Computational domain (uniform grid)

i.e. location of every grid point (ξ,η) is known.

Employ Elliptic Grid Generation to determine grid points in physical space. Equations

(10) & (11) need to be solved.

Similar procedure Gauss-Seidel

Difference, treatment of grid points on B3&B4 , i.e. on the branch cut.

Location of grids along line AC must be updated. Compute new values of x1,j and y1,j

after each iteration.

Note: It is not necessary to compute xN,j and yN,j since grid lines i=1 & i=N are

coincident.

xN,j = x1,j and yN,j = y1,j

Gauss-Seidel Formulation

⎧⎪ a c b ⎫⎪

⎨ ⎡ x + xN −1, j ⎦⎤ +

2 ⎣ 2, j

⎡x

2 ⎣ 1, j +1

+ x1, j −1 ⎦⎤ − ⎣⎡ x2, j +1 − x2, j −1 − xN −1, j −1 + xN −1, j +1 ⎦⎤ ⎬

⎪( )

∆ξ ( )

∆η 2 ∆ξ ∆ η ⎪⎭

x1, j = ⎩ (14)

⎡ a c ⎤

2⎢ + 2⎥

⎢⎣ ( ∆ξ ) ( ∆η ) ⎥⎦

2

similarly,

y1, j =

{ } .. (15)

..

Use equation (14) & (15) after each iteration to find new location of grid points on the

branch cut.

Skewness in grid

If grid points on branch cut are kept fixed, highly

skewed grids at branch cut are obtained!!

Example: airfoil,

Circle

t 2π

y=

0.2

(

0.2969 x1/ 2 − 0.126 x − 0.3516 x 2 + ... + x 4 ) ∆δ =

N-1

max thickness of chord δ ( i ) = i * ∆δ

∆x=

c

N:odd, symmetry of grid points x ( i, M ) = R *cos (δ ( i ) )

( N+1) − 1

y ( i, M ) = − R *sin (δ ( i ) )

2

Doubly-connected region

i=N

x

i=1

R

GRID CONTROL:

1. clustering in different regions

η xx + η yy = Q(ξ ,η ) 1

2 {

axξξ − 2bxξη + cxηη = − Pxξ + Qxη }

P, Q: sources of sinks J

1

ayξξ − 2byξη + cyηη = − 2 {Py ξ + Qyη }

J

P,Q complicated functions

Thonson, JF., Warsi, Z.U.A, & Mastin, C.W.

Numerical Grid Generation

North Holland, 1985

2. orthogonally at surface

Steger, J.L & Sorenson, R.L.

PDE Techniques (summary)

• A system of PDEs is solved for the location of the grid points in physical domain

• Computational domain is a rectangular shape with uniform grid spacing

PDE Methods

1. elliptic

2. parabolic

3. hyperbolic

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