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Poisson’s Equation - Discretization

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tion is given by

∆u(x, y ) = g (x, y ), (x, y ) ∈ R

(1)

u(x, y ) = f (x, y ), (x, y ) ∈ Γ

where R is a planar region and Γ is the boundary of

R. In the book in §8.8, we examine this problem for

R = {(x, y ) | 0 < x, y < 1}.

1/N . With it, we deﬁne a rectangular mesh on R =

R ∪ Γ:

j k

(xj , yk ) = N, N , j, k = 0, 1, ..., N

At mesh points (=grid points) inside of R, we approx-

imate the equation ∆u = g . To do so, we recall the

approximation

G (x) = − G (ξ )

h 2 12

with some ξ ∈ [x − h, x + h]. This assumes G is four

times continuously diﬀerentiable on [x − h, x + h].

Since

∂ 2u(x, y ) ∂ 2u(x, y )

∆u(x, y ) = +

∂x2 ∂y 2

we obtain at each (xj , yk ) ∈ R that

u(xj+1, yk ) − 2u(xj , yk ) + u(xj−1, yk )

h2

u(xj , yk+1) − 2u(xj , yk ) + u(xj , yk−1)

+

4 h2 (2)

h ∂ u(ξj , yk ) ∂ u(xj , ηk )

2 4

− +

12 ∂x4 ∂y 4

= g (xj , yk )

with ξj ∈ xj−1, xj+1 , ηk ∈ yk−1, yk+1 . We can

delete the error terms involving the fourth derivatives

of u. This leads to a new set of equations for approx-

imating unknown uh ≈ u:

The values of uh at boundary mesh points on Γ are

given by

uh(xj , yk ) = f (xj , yk ), (xj , yk ) ∈ Γ (3)

This leads to the linear system

uh(xj+1, yk ) − 2uh(xj , yk ) + uh(xj−1, yk )

h2

uh(xj , yk+1) − 2uh(xj , yk ) + uh(xj , yk−1)

+

h2

= g (xj , yk ), (xj , yk ) ∈ R

For interior mesh points, we can simplify this to

uh(xj , yk−1) + uh(xj−1, yk ) − 4uh(xj , yk )

+uh(xj+1, yk ) + uh(xj , yk+1) = h2g (xj , yk )

(xj , yk ) ∈ R

(5)

Thus we have a system of (N + 1)2 linear equations

in the (N + 1)2 unknowns

uh(xj , yk ) | 1 ≤ j, k ≤ N

R, it can be shown that for some c,

max u(xj , yk ) − uh(xj , yk ) ≤ c h2

R

JACOBI ITERATION

(m+1) 1 (m) (m)

uh (xj , yk ) = uh (xj , yk−1) + uh (xj−1, yk )

4

(m) (m)

+ uh (xj+1, yk ) + uh (xj , yk+1) − h2g (xj , yk )

(xj , yk ) ∈ R

(6)

(m)

For values of uh at boundary points, use the given

boundary conditions as in (3).

(m+1) (m)

uh = Quh + Gh

T I 0 ··· 0 0

I T I

..

1 0 I T I

Q=

4

.. ...

0 I T I

0 ··· I T

with I the identity of order N − 1,

0 1 ··· 0

1 0 1

.. ..

T =

...

1 0 1

0 ··· 1 0

(m)

uh (∗, y1)

(m)

uh =

(m)

uh (∗, y2)

..

(m)

uh (∗, yN −1)

(m)

uh (x1, yk )

(m)

uh (∗, yk ) =

(m)

uh (x2, yk )

..

(m)

uh (xN −1, yk )

1 B(y ) − h2 G (∗, y )

4 1 h 1

1 B(y ) − h2 G (∗, y )

Gh = 4 2 h 2

..

1 B(y

N −1) − h Gh (∗, yN −1)

2

4

f (x0, yk )

0

..

B(yk ) =

0

f (xN , yk )

g (x1, yk )

g (x2, yk )

Gh(∗, yk ) =

..

g (xN −1, yk )

The original discretization of (4)-(5) can be rewritten

as

uh = Quh + Gh

with uh written in accordance with the above deﬁni-

(m)

tion of uh .

uh = Quh + Gh (7)

(m+1) (m)

uh = Quh + Gh (8)

In this block matrix description of the system being

solved, each block uh(∗, yk ) corresponds to the hori-

zontal row of interior grid points at y = yk , with the

entries in uh(∗, yk ) being ordered in correspondence

to the grid points being numbered from left to right in

the grid. Note that Q is a symmetric matrix of order

(N − 1)2.

we have A = I − Q, again a symmetric matrix. With

reference to the Gauss-Seidel iteration, note that the

diagonal elements of A are positive.

(m)

For the iteration error eh in the Jacobi iteration,

subtract (8) from (7), obtaining

(m+1) (m)

eh = Qeh , m = 0, 1, ... (9)

The matrix Q is the earlier matrix M of our general

framework in the case of the Gauss-Jacobi iteration.

Thus we have convergence of the Jacobi iteration if

and only if

rσ (Q) < 1

Note in this case that

Q1 = Q∞ = 1

Thus we are driven to looking at rσ (Q), and in this

case Q2 = rσ (Q).

GAUSS-SEIDEL ITERATION

(m+1) 1 (m+1)

uh (xj , yk ) = uh (xj , yk−1)

4

(m+1) (m)

+ uh (xj−1, yk ) + uh (xj+1, yk )

(m)

+uh (xj , yk+1) − h2g (xj , yk ), (xj , yk ) ∈ R

(10)

(m)

For values of uh at boundary points, use the given

boundary conditions as in (3).

ation in matrix-vector format. In the language of the

general framework given earlier, it amounts to letting

N be the lower triangular portion of A = I − Q and

P = N − A. Then write

(m+1) (m)

N uh = Gh + P uh

RATES OF CONVERGENCE

Introduce

π

ξ = 1 − 2 sin2 (11)

2N

∗ 2

ω =

1 + sqrt 1 − ξ 2

Then for the rates of convergence of the various itera-

tion methods we have studied when applied to solving

(7), uh = Quh + Gh, we have

Rate of Convergence

Method rσ (M )

Jacobi ξ

Gauss-Seidel ξ2

SOR ω∗ − 1

THE RATE OF CONVERGENCE OF SOR

the error equation for the SOR method will be

(m+1) (m)

eh = M (ω ) eh , m = 0, 1, ... (12)

The eigenvalues of M (ω ) can be computed explicitly

in this case, yielding

2

ωξ ωξ

+ sqrt + 4 (1 − ω ) ,

2 2

rσ (M (ω )) = 0 ≤ ω ≤ ω ∗

ω − 1,

∗

ω ≤ω≤2

We give graphs for a few cases of the discretization

parameter N .

COSTS

with c the factor by which the error was decreasing

per iterate, n the order of the system, ε the error

tolerance in

(m) (0)

x − x ≤ ε x − x

calculation, and

∗ − log ε

m = , R(c) = − log c

R(c)

For c = 1 − δ with δ small, we have

.

R(c) = δ c = 1 − δ, δ≈0

Note that for Poisson example, ν (n) ≈ 5n, and thus

the total cost of attaining the desired accuracy is

Cost(c, ε, n) = 5nm∗

APPLICATION TO SOLVING

POISSON’S EQUATION

Gauss-Jacobi :

c=ξ= 1

1 − 2 π h + O h4

2 2

δ ≈ 12 π 2h2

Gauss-Seidel :

c= ξ2 = 1 − π 2h2 + O h4

δ ≈ π 2h2

SOR :

c = ω ∗ − 1 = 1 − 2πh + O h2

δ ≈ 2πh

The improvement in the needed numbers of iterates

is as follows, along with total costs for a desired ac-

curacy.

approximately half the iterates required of Gauss-Jacobi.

For Gauss-Seidel iteration,

log ε 5(N −1)2 log ε

Cost(c, ε, n) ≈ − 5n = − 2

π 2h2 π (N −1)−2

5N 4 log ε

≈ − π2

in the number of iterates to be computed is

2πh 2

=

π 2h2 πh

Thus you are increasingly better oﬀ as h → 0. For

the cost of SOR,

log ε 5(N −1)2 log ε

Cost(c, ε, n) ≈ − 5n2πh = −

2π(N −1)−1

5N 3 log ε

≈ − 2π

The costs increase rapidly with N .

Let KJ , KGS , KSOR denote the number of iterations

needed to reduce the iteration error by a factor of

10, for the Jacobi, Gauss-Seidel, and SOR methods,

respectively. The following table shows the results for

several values of N .

N = 10 N = 20 N = 40 N = 80

ξ .9510565 .9876883 .9969173 .99922904

ξ2 .9045085 .9755283 .9938442 .99845867

ω∗ − 1 .5278640 .7294538 .8544978 .92444658

KJ 46 186 746 2985

KGS 23 93 373 1493

KSOR 4 8 15 31

AN INITIAL GUESS

(0)

How to generate an initial guess uh ? Since we know

the solution on the boundary,

We use an “interpolant” of this data to extend the

boundary values to all of R. Deﬁne

(0)

uh (x, y ) = (1 − x)f (0, y ) + xf (1, y )

+(1 − y )f (x, 0) + yf (x, 1)

− [(1 − y )(1 − x)f (0, 0) + xyf (1, 1)

+ (1 − y )xf (1, 0) + y (1 − x)f (0, 1)]

(13)

LINE ITERATION

uh(xj , yk ) = 1 u (x

4 h j+1, yk ) + uh(xj , yk+1)

h 2

− 4 g (xj , yk ), 1 ≤ j, k ≤ N − 1

Previously we solved individually for a new value of

uh(xj , yk ). Consider solving simultaneously for all the

values in a row of the grid, say in row #k.

(m+1) (m+1)

uh (xj , yk ) = 14 uh (xj+1, yk )

(m+1) (m)

+ uh (xj−1, yk ) + uh (xj , yk+1)

(m) h2

+uh (xj , yk−1) − 4 g (xj , yk ), 1 ≤ j ≤ N − 1

order N − 1; and it can be solved in approximately

5N arithmetic operations.

MULTIGRID ITERATION

quite complicated.

In our case with the Poisson equation, we would gen-

erally have Nj+1 = 4Nj , approximately. We want

to solve for the most accurate discretization, that for

N = Nq .

each of the systems AN uN = bN to solve all the

systems with a ﬁner mesh. There are a number of

ways is which this may be carried out.

Step 1. Use the Jacobi method to iterate in ANq uNq =

bNq , calculating a certain number of iterates (say K ),

(K)

to get v = uNq . Then calculate the residual

R = bNq − ANq v =ANq uNq − v

Step 2. Find an approximate solution by performing

the multigrid iteration on the system

ANq−1 δ = Rq,q−1R

Step 3. Prolong the solution δ to a vector δ be of

length Nq and then deﬁne the new iterate for ANq uNq =

bNq to be

uNq ≈ v + δ

This converges extremely rapidly; and there are pub-

lic domain packages available which implement it for

common classes of partial diﬀerential equations. In

general these are the fastest means of solving dis-

cretizations of PDEs.

DIRECT METHODS

Poisson equation on a rectangle, it is possible to give

an exact method of solution which is also extremely

eﬃcient. It depends on knowing the eigenvalues and

eigenvectors for the matrix AN . Since the matrix is

symmetric and positive deﬁnite, there is a basis of

orthogonal eigenvectors; and it can be found explicitly.

Suppose it is written as

v(1), v(2), ..., v(N )

with eigenvalues λ1, ..., λN . Then write

N

(j)

b= b, v v(j)

j=1

The solution of AuN = b is given by

N

1 (j)

uN = b, v v(j)

j=1 λj

In the particular case of the Poisson equation over a

rectangle, this can be computed in O(N log N ) oper-

ations.

1

0.95

0.9

0.85 ω

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

and ω ∗ = 1.85450

1

0.99

0.98

0.97

0.96

0.95

0.94

0.93

0.92 ω

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

and ω ∗ = 1.92445

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