Boundary Transfer Operators

in One-Way Nesting S hemes

for Heat Flow Problems


Evgeny Shavelzon and Dan Givoli

Department of Aerospa e Engineering

Te hnion | Israel Institute of Te hnology

Haifa 32000, Israel

REVISED

February 25, 2008

 Corresponding author.
E-mail: givolidaerodyne.te hnion.a .il , Tel.: +1-972-829-2308, Fax: +1-972-829-2030.
One-Way Nesting for Heat Flow Problems 2

Abstra t

Purpose | The intera tion of a global model (GM) and a lo al (regional) model (LM) of
heat ow is onsidered under the framework of so- alled `one-way nesting'. In this framework,
the GM is onstru ted in a large domain with oarse dis retization in spa e and time, while
the LM is set in a small subdomain with ne dis retization.
Design/methodology/approa h | The GM is solved rst, and its results are then used
via some boundary transfer operator (BTO) on the GM-LM interfa e in order to solve the
LM. Past experien e in various elds of appli ation has shown that one has to be areful in
the hoi e of BTO to be used on the GM-LM interfa e, sin e this hoi e ae ts both the
stability and a ura y of the omputational s heme. Here the problem is rst theoreti ally
analyzed for the linear heat equation, and stable BTOs are identied. Then numeri al
experiments are performed with one-way nesting in a two-dimensional hannel for heat ow
with and without radiation emission and linear rea tion, using four dierent BTOs.
Findings | Among other on lusions, we show that the `negative Robin' BTO is unstable,
whereas the Diri hlet, Neumann and `positive Robin' BTO are all stable. We also show that
in terms of a ura y, the Neumann and `positive Robin' BTOs should be preferred over the
Diri hlet BTO.
Originality/value | This study may be the rst step in analyzing BTO a ura y and
stability for more general atmospheri systems.
Keywords One-way nesting, spurious modes, global model, regional model, lo al model,
multis ale
Paper type Resear h paper
One-Way Nesting for Heat Flow Problems 3

1. Introdu tion

The multis ale pro edure alled `nesting' is often used in various elds of appli ation involv-
ing unbounded or very large domains, like weather predi tion, o eanography and solid earth
geophysi s. See, e.g., the early review paper [1℄ and the re ent book [2℄. See also the more
re ent papers [3℄{[5℄ on nesting in the ontext of atmospheri models. In this pro edure, two
or more numeri al models of dierent spatial and temporal s ales intera t with ea h other.
In the simplest and most ommon ase only two models are onsidered: a Global Model
(GM) and a Lo al Model (LM) whi h is also alled regional or limited-area model. See the
setup illustrated in Fig. 1.






Figure 1. Setup for a nesting pro edure. Shown are the global domain
G , the lo al (regional)
domain
L , the global-regional interfa e (whi h is the boundary of
L ) and the meshes
used for the two models.
Using the nesting s enario onsidered in Numeri al Weather Predi tion (NWP) [2, 6℄ as
a prototype, the GM is related to the solution of the atmospheri equations over the entire
spheri al surfa e of the globe
G , while in the LM the solution is sought in a relatively
small region
L bounded by an arti ial boundary . The GM aptures the large-s ale
atmospheri phenomena and is based on a oarse grid (about 100km resolution) and large
time steps, whereas the LM aptures the mesos ale phenomena and is based on a ner grid
(typi ally 10-20km resolution) and mu h smaller time steps. Typi ally, the GM and LM are
solved by using entirely dierent numeri al methods (and dierent omputer odes). For
example, the US Navy ode NOGAPS [7℄ is a GM-solver based on a global Galerkin method
in spheri al oordinates, while the Navy's ode COAMPS [8℄ is a LM-solver based on nite
dieren es in Cartesian oordinates.
Nesting may be one-way or two-way. One-way nesting is simpler and is more ommon in
pra ti e; see, e.g., re ent appli ations in [9℄{[12℄. In one-way nesting, the global problem is
One-Way Nesting for Heat Flow Problems 4

solved rst (via the GM) and then the regional problem is solved (via the LM) while taking
into a ount the relevant GM results. In two-way nesting the GM and LM solutions are fully
oupled and ae t ea h other; see, e.g., [13, 1℄ for a basi dis ussion on this subje t in the
ontext of NWP, and [14℄ for a re ent two-way nested model. The US Navy uses mainly the
Davies s heme [15℄ for lateral one-way nesting. We shall onsider here only one-way nesting
and assume that no additional solution of the global problem beyond the single given GM
solution is available or desired.
One major way to pass the information from the GM to the LM in one-way nesting is
through a boundary ondition on the interfa e . Although the GM solution is available
in the entire domain
L , it is reasonable to leave the task of evolving the solution in the
interior of
L to the LM alone, sin e it uses mu h ner dis retization than that of the GM
and therefore is potentially mu h more a urate. Moreover, the initial data dened for the
LM are also typi ally mu h ner in resolution than the initial data provided for the GM.
Thus, it is reasonable to onstru t the one-way nesting s heme su h that the information
is passed from the GM to the LM only through the boundary . The boundary ondition
used on in the LM is needed for the losure of the mathemati al problem in
L , namely
to make the problem in
L well-posed.
Denoting the GM solution uG and the LM solution uL , we rst nd uG by solving the
global problem. Then we use a boundary ondition of the general form
BuL = BuG on (1)
for the losure of the LM. Here B is a linear dierential operator dened on the boundary,
whi h may be alled a boundary transfer operator (BTO). Two simple examples for BTOs
are the identity, whi h turns (1) into the Diri hlet boundary ondition
uL = uG on ; (2)
and the normal derivative, in whi h ase (1) be omes the Neumann boundary ondition
 uL  uG
= on : (3)
n n
It should be remarked that on the dis rete level, the BTOs appearing on the left and right
sides of (1) are not identi al, due to the dierent resolutions of the LM and GM. A more
areful notation would be
BLuL = BGLuG on ; (4)
where the operator B L is dire tly dened on the LM s ale, while the operator B GL involves
both the GM and LM s ale. There are a tually two ways in whi h B GL may be dened;
either by rst taking dis rete dierentials on the GM s ale and then interpolating the data
One-Way Nesting for Heat Flow Problems 5

from the GM s ale to the LM s ale, or by rst interpolating and then taking the dis rete
dierentials. We shall remark on this issue later in the sequel.
It should also be noted that BTOs not only appear in nesting s hemes but also onstitute
a major me hanism of transferring data in Domain De omposition methods; see, e.g., the
related papers in [16℄{[21℄. Nonlo al operators are also used as BTOs; the most prominent
example is the Diri hlet-to-Neumann map [22℄{[26℄ whi h is known to be optimal in a ertain
sense. However, in this paper we shall restri t ourselves to the more ommon use of lo al
(dierential) BTOs whi h are generally believed to be more e onomi al omputationally.
There are two aspe ts in whi h the soundness of using a spe i BTO in (1) should be
examined: stability and a ura y. Certain BTOs may lead to numeri al instabilities by giving
rise to spurious modes. It is therefore important, for a given type of problem, to hara terize
those BTOs whi h are stable and those whi h are not. For the linear wave equation, su h
analysis was arried out in [27℄; here we shall perform similar analysis for the linear heat
equation. As to a ura y, the potential for poor performan e of a given BTO exists, sin e
there is a lear in ompatibility between the GM and LM, on both the physi al level (two
dierent s ales of physi al phenomena) and the numeri al level (non-mat hing dis retizations
in spa e and time), that may ause signi ant errors to be generated on the interfa e . By
using numeri al experiments, the a ura y of several BTOs was investigated for the wave
equation in [27, 28℄. Here we shall ondu t numeri al experiments to examine the a ura y
of four basi BTOs for the two dimensional (nonlinear) heat equation in a hannel, with or
without radiation emission and linear rea tion.
For ompleteness, we mention an alternative approa h, namely that of using variable
resolution or stret hed grids, to allow lo al in rease of resolution in global models. See, e.g.,
[29, 30℄. A dierent approa h to lateral boundary- ondition nesting is alled the \(spe tral)
nudging of the large s ales;" see, e.g., [31, 32℄. Finally we mention a GM-LM intera tion
s heme whi h is not used, to the best of our knowledge, by the NWP ommunity. This is
Fish's s-version of the nite element method [33℄, where the lo al ne mesh is superposed
as a pat h upon the global oarse mesh, and the global and lo al problems are solved si-
multaneously. Appli ation of su h a s heme in NWP may prove to be ee tive although it
may entail serious te hni al diÆ ulties. However, it is not so pra ti al if one is interested in
solving the GM problem only on e and then many dierent regional problems.
Following is the outline of the rest of the paper. In Se tion 2 we provide the statement
of the one-way nesting problem for the heat equation in a two-dimensional hannel. In
Se tion 3 we theoreti ally analyze the linear heat equation and identify the stable BTOs
out of a general lass. In Se tion 4 we dis uss the nite element (FE) formulation and
some omputational aspe ts of the s heme. We then present the results of several numeri al
experiments in Se tion 5, and we draw on lusions regarding the hoi e of appropriate BTOs.
One-Way Nesting for Heat Flow Problems 6

We lose with some on luding remarks in Se tion 6.

2. Statement of the One-Way Nesting Problem

We onsider a one-way nesting onguration for the temperature eld in a two-dimensional

hannel, as illustrated in Fig. 2. The hannel is of width b and is bounded on the north and

 
    !  " 
    

Γ

Figure 2. Setup for the two-dimensional hannel problem.

south sides by the `walls' N and S on whi h we impose homogeneous Diri hlet boundary
onditions (zero temperature). Cartesian oordinates x = (x; y ) are used, su h that S and
N lie along y = 0 and y = b, respe tively. On the west side the domain is bounded by W
on whi h we pres ribe given Diri hlet values. The global domain
G onstitutes the entire
hannel. On the east side
G is bounded by 1 , whi h may be pla ed at innity or at a
nite lo ation, and on whi h a far-eld temperature value is pres ribed. In our numeri al
experiments we onsider a nite
G , sin e the unboundedness of the global domain is not a
entral issue here. The lo al domain
L is bounded on the west, south and north sides by
W , S and N , respe tively (where using S and N for both the GM and LM involves a
slight abuse of notation). On the east side,
L is bounded by the GM-LM interfa e E  ,
whi h is lo ated at x = a.
The GM problem for the global temperature eld uG(x; t) is given by
uG

t
+ uG + ru4G r
r u G = f G (x; t) in
G ; (5)
uG = g G(y; t) on W ; (6)
uG = 0 on S & N ; (7)
uG = u1 on 1 ; (8)
uG (x; 0) = uG0 (x) in
G : (9)

Here  is the mass density, is the heat apa ity, is the linear rea tion oeÆ ient, r is
the radiation emission oeÆ ient and  is the heat ondu tivity. From physi al reasons we
One-Way Nesting for Heat Flow Problems 7

assume that  > 0,  > 0 and r  0, while no sign restri tion is put on . The fun tions
u1, f G , g G and uG0 represent given GM-s ale far-eld temperature, distributed wave sour es,
Diri hlet boundary data and initial data, respe tively.
The LM problem for the lo al temperature eld uL (x; t) is given by
uL

t
+ uL + ru4L r
ru L = f L (x; t) in
L ; (10)
uL = g L (y; t) on W ; (11)
uL = 0 on S & N ; (12)
B uL = B uG on E ; (13)
uL (x; 0) = uL0 (x) in
L : (14)
Here the fun tions f L , g L and uL0 are the LM-s ale analogs of the GM fun tions f G , g G and
uG0 , respe tively. In (13) the global solution is transferred to the LM problem through the
BTO B a ting on the interfa e E .
Our goal is to examine the stability and a ura y of the LM solution uL for dierent
BTOs B.

3. Stability Analysis

A partial dierential equation in the domain

L may be asso iated with normal modes or
eigenfun tions. Some of these modes may not be present in the original problem dened in
the domain
G . When one onsiders the LM problem in
L , these modes should not be
ex ited in theory, but even the smallest numeri al error (e.g., round o) would ex ite them
and hamper the a ura y of the numeri al results. Analysis of these modes an be done on
the ontinuous level (rather than on the dis rete level) by onsidering a small perturbation
of the equations onstituting the problem.
We illustrate this rst with a simple one-dimensional example. We onsider the following
heat- ow toy problem for the temperature eld u(x; t):

u00 = u ; 0<x<1; (15)

0
u (0; t) = 0 ; (16)
u0 (1; t) u(1; t) = 0 ; (17)
u(x; 0) = 0 : (18)
Here a prime and a dot denote dierentiation with respe t to x and t, respe tively. The
trivial solution u  0 is the only solution for this problem.
One-Way Nesting for Heat Flow Problems 8

We wish to onsider `modes' that satisfy (15){(17), of the exponentially-growing form

u(x; t) = A osh(x) exp(2 t) ; (19)
where A and   0 are onstants. It is easy to verify that u given by (19) satises the heat
equation (15) and the left boundary ondition (16) identi ally. If we insist that it also satisfy
the right boundary ondition (17) we get the equation for ,
 = oth() : (20)
This equation has a single root, whi h is  = 0 ' 1:2. Thus, (19) with  = 0 indeed
satises (15){(17). Imposing in addition the initial ondition (18) on u in (19) leads to the
unique solution u  0.
Now, suppose we perturb the initial ondition (18) slightly. In parti ular, we repla e (18)
by
u(x; 0) =  osh(0 x) ; (21)
where  is a small number. Then from (19) it is lear that the solution to the problem
be omes
u(x; t) =  osh(0 x) exp(20 t) ; (22)
whi h grows exponentially in time. Thus, an O() perturbation in the initial ondition leads
to an unbounded solution! Clearly, this is an unstable situation and onstitutes an example
of a spurious mode whi h awakens to the slightest perturbation. A similar example may
be onstru ted where the perturbation is not in the initial onditions but in the boundary
onditions or in the heat equation itself (i.e., a perturbation of the equation by a small
inhomogeneous term).
It an be shown that the ause for the instability just des ribed is the boundary operator
used in (17). If this operator was repla ed by, say, the identity (namely (17) was repla ed
by the Diri hlet ondition u = 0) no spurious mode would have been present. This has an
immediate relevan e to the hoi e of the BTO for the GM-LM intera tion problem des ribed
in Se tion 2. In order to guarantee stability of the s heme, we need to employ a BTO whi h
does not admit spurious modes.
To hara terize the boundary operators whi h do not give rise to su h modes, we on-
sider a nite spatial domain
(in any dimension) with boundary . In
we onsider the
homogeneous linear heat equation
u
 + u r
ru = 0 in
; (23)
t
where  > 0,  > 0 and may be fun tions of lo ation. A dis ussion related to the sign of
will follow shortly.
One-Way Nesting for Heat Flow Problems 9

We append the heat equation (23) with a boundary ondition of the form
u u
Bu  Æ n + u +  = 0
t
on ; (24)

where u=n is the outward normal derivative of u on , and Æ ,  and  are real fun tions
of lo ation on . We assume that at points where Æ = 0 on ,  and  do not vanish simul-
taneously, otherwise no boundary ondition would be given at su h points. The boundary
ondition (24) is quite general. Mixed ondition types on (e.g., Diri hlet ondition on one
part of and Neumann ondition on the other part of ) are represented in (24) by using
appropriate oeÆ ient fun tions Æ (x), (x) and  (x). The goal is to nd restri tions on Æ ,
 and  su h that no spurious modes be present. Su h restri tions would guarantee that the
operator B in (24) is stable when used as a BTO in a GM-LM one-way nesting s heme.
We do not restri t the sign of the rea tion oeÆ ient in (23), but we note that for a
suÆ iently large negative , (23) may admit exponentially growing solutions. We assume
that this is not the ase, namely that (x) is su h that the exa t solution is de aying in time.
A suÆ ient ondition for this an be stated by dening the asso iated \Rayleigh quotient"
R R

jru
~j2 d
+
+ ju~j2 d

R[~u℄ = R ; u~ 2 S : (25)

j jju
~j2 d

Here
+ is the part of
in whi h  0,
is the part of
in whi h < 0, and S is the
fun tion spa e dened by
S = f u~ j u~ 2 H 1(
) & u~ = 0 on 0 g; (26)

where H 1 is the Sobolev spa e of fun tions with square-integrable 0th and 1st derivatives,
and 0 is the part of on whi h Æ = 0 (namely the part of where an essential boundary
ondition is imposed). It an be shown that if is su h that
R[~u℄  1 for all u~ 2 S ; (27)

then any solution satisfying (23) and (24) de ays in time. This is implied by the fa t that
the ondition (27) guarantees that all the eigenvalues of the asso iated eigenvalue problem
have a non-negative real part; see, e.g., [34℄. We shall assume that (27) indeed holds.
The analysis that follows is somewhat reminis ent of the \prin iple of ex hange of sta-
bility"; see, e.g., [35℄. We shall restri t the spurious-mode analysis to modes of omplex
exponential form in time, i.e., we shall onsider solutions of the form

u(x; t) = u^(x; )et ;  =  + i! : (28)

One-Way Nesting for Heat Flow Problems 10

Here  and ! are real numbers, where   0, namely we onsider exponentially growing
modes, pure os illatory modes and their ombination, as well as the stationary mode ( = 0).
Substituting (28) into (23) and (24) yields
( +  )^u r
ru^ = 0 in
; (29)
Æ u^=n + ( +  )^u = 0 on : (30)
Now we multiply (29) by u^ , the omplex onjugate of u^, and integrate over
to obtain
Z
u^ [( +  )^u r
ru^℄ d
= 0 : (31)

We apply the divergen e theorem to the se ond term on the left of (31) and use (30) to get
Z Z ( +  )
[( +  )ju^j2 + jru^j2 ℄ d
+ ~ ju^j2 d = 0 : (32)

Æ
Here ~ is dened as the part of on whi h Æ 6= 0. Note that from (30), u^ = 0 at points on
where Æ = 0, hen e the boundary term in (32) vanishes at these points.
Now we write (32) as two equations, for the real and imaginary parts of the expressions:
Z Z ( +  )
[(  + )ju^j + jru^j ℄ d
+ ~
2 2 ju^j2 d = 0 ; (33)

" # Æ
Z Z 
!  ju^j d
+ ~ ju^j2 d = 0 :
2 (34)

Æ
A suÆ ient ondition for u^ to be identi ally zero (and thus to be mode-less) is that the
left side of at least one of the equations (33) and (34) be stri tly positive unless u^  0.
Careful investigation of (33) and (34) in various ases, while making use of (27), leads to the
following on lusions:
1. In the spe ial ase where Æ  0 on , i.e., Diri hlet boundary ondition is applied all
over the boundary, it is easy to see from (34) that no os illatory modes (! 6= 0) are
present. Owing to (27), it is lear that pure exponential modes (! = 0,  > 0) are also
suppressed. Thus the use of the identity operator as a BTO is safe as far as stability
is on erned. The following ases assume that ~ is not empty.
2. To prevent pure exponentially-growing modes (! = 0,  > 0) it is suÆ ient to have
(x)=Æ (x)  0 ;  (x)=Æ (x)  0 on ~ : (35)
3. To prevent pure os illatory modes ( = 0, ! 6= 0) it is suÆ ient to have either
(x)=Æ (x)  0 on ~ : (36)
or
 (x)=Æ (x)  0 on ~ (37)
One-Way Nesting for Heat Flow Problems 11

4. To prevent ombined os illatory and exponentially-growing modes ( > 0, ! 6= 0) it is

suÆ ient to have
 (x)=Æ (x)  0 on ~ : (38)
5. To prevent the stationary mode ( = 0, ! = 0) it is suÆ ient to have
(x)=Æ (x)  0 on ~ : (39)

6. To prevent all modes above it is suÆ ient to have

(x)=Æ (x)  0 ;  (x)=Æ (x)  0 on ~ : (40)

The onditions above be ome very simple in some spe i ases. For example, the Diri h-
let ondition u = 0, the Neumann ondition u=n = 0 and the \positive Robin" ondition
u=n + u = 0 for  > 0, all do not admit spurious modes. On the other hand, the
\negative Robin" ondition u=n u = 0 for  > 0, is not safe sin e it is not guaranteed
to reje t spurious modes. Indeed, we shall see via numeri al experiments that when the
\negative Robin" operator is used as a BTO, it generates instability, while other basi BTOs
are stable.
It should be remarked that the onditions provided by the analysis above are only suf-
 ient. Thus, it may be the ase that a ertain BTO whi h does not satisfy some of these
onditions would turn out to be nevertheless stable.

4. Finite Element Formulation and Computational

Aspe ts

We will brie y outline the FE formulation used for solving the LM. The GM is solved (rst)
in the same way, although the formulation is slightly simpler for the GM be ause no BTO
is involved.
We onsider the solution of the LM problem (10){(14). We omit the index L from the
LM variables for larity. The statement of the problem is
u
 + u + ru4 r
ru = f (x; t) in
L ; (41)
t
u=g on W ; (42)
u=0 on S & N ; (43)
u
Æ + u = ÆqG + uG on E ; (44)
n
u(x; 0) = u0 (x) in
L : (45)
One-Way Nesting for Heat Flow Problems 12

In (44), we onsider the BTO


BÆ + ; (46)
n
and ignore the more exoti time-derivative term in (24). The qG in (44) is a given fun tion
dened roughly as
u
qG = G on E ; (47)
n
however one should keep in mind that uG =n is (for C 0 FEs) a dis ontinuous fun tion
whi h is given on the GM-s ale, while qG must be single valued and should be provided on
the LM-s ale. We will tou h upon this point later.
The weak form of the problem (41){(45) is as follows:
Find u 2 S su h that for all w 2 S0

(w;  u_ ) + a(w; u) = L(w) ; (48)

(w; u(x; 0)) = (w; u0(x)) ; (49)
where

S = f u j u 2 H 1(
) ; u = g on W ; u = 0 on S [ N [ 0 g; (50)
S0 = f wZj w 2 H 1(
) ; w = 0 on W [ S [ N [ 0 g; (51)
(w; f ) = wf d
; (52)

Z Z Z Z 
a(w; u) = rw
ru d
+ w u d
+ wru4 d
+ ~ w u d ; (53)
Z
Z 

Æ
u
L(w) = wf d
+ ~ w qG + G d : (54)

Æ
We re all that 0 is dened as the part of the GM-LM interfa e E along whi h Æ = 0,
namely where an essential boundary ondition is imposed, whereas ~ is the other part of E ,
where Æ 6= 0. We note that the form a(
;
) is nonlinear in its se ond slot, unless r = 0 (no
radiation) in whi h ase a(
;
) is a symmetri bilinear form.
Dis retization of the weak form of the problem by FEs leads to the following semi-dis rete
problem in time:
M d_ (t) + G(d(t)) = F (t) ; (55)
d(0) = d0 ; (56)

where d is the temperature ve tor whose entries are the nodal temperatures, d0 is the ve tor
of initial temperatures, M is the heat apa ity matrix, G(d) is the nonlinear heat- ux ve tor,
and F is the thermal load ve tor. On the global level, the expressions for these arrays are
One-Way Nesting for Heat Flow Problems 13

given by

MIJ = (NI0;  NJ ) ; 1 (57)

NXnp
GI (d) = a NI ; NJ dJ A ; (58)
J =1
FI = L(NI ) : (59)
Here NI is the global FE shape-fun tion asso iated with global node I , and Nnp is the total
number of nodal points. We note that from (58) and (53), the heat ux ve tor G represents
the ee ts of ondu tivity, linear rea tion, radiation emission, and also the `pulling' part of
the BTO. The `pushing' part of the BTO is taken are of by the load ve tor F , as evident
from (59) and (54). Of ourse, in pra ti e all the FE arrays are al ulated on the element
level, using expressions analogous to (57){(59). See [36℄ for further details.
We solve the semi-dis rete problem (55) and (56) by using the standard impli it 2nd-
order Crank-Ni olson time-stepping s heme [37℄. If the problem is nonlinear (r 6= 0) then
we perform Newton iterations within ea h time-step, using the exa t tangent stiness ma-
trix [36℄. The omputational eort involved in the nonlinear ase is quite large; however, our
goal is to ompare the a ura y and stability of various lo al BTOs, and sin e the omputing
times asso iated with ea h of these BTOs is about the same, relative eÆ ien y is not an issue
here.
A nal issue that must be explained is the al ulation on the LM s ale of the fun tions
uG and qG whi h are originally generated on the GM s ale. These fun tions appear in (44)
and (54), and we re all that qG is a regularized measure of the normal derivative of uG on E ,
as in (47). The dieren e in s ale is both in spa e (meshes of dierent densities) and in time
(dierent time-step sizes). The oarse-to-ne passage of information is performed in two
steps: rst we al ulate a regularized quantity on the GM-s ale, and se ond we pass the in-
formation to the LM-s ale via linear interpolation is spa e and in time. Regularization of the
fun tion uG itself is not generally needed. On the other hand, the normal derivative qG does
require some post-pro ess smoothing, be ause it is dis ontinuous a ross element boundaries,
and hen e suers a jump on E . Various smoothing s hemes whi h are in fa t \ ux-re overy"
s hemes [36℄, may be applied. In our numeri al experiments we hose to employ a simple
2nd-order entral nite dieren e 3-node sten il to al ulate the normal derivative of qG at
the E nodes. After the GM-nodal values are determined, linear interpolation is assumed
for points between them.
Our numeri al experiments and other onsiderations [27, 28℄ show that for non-smooth
data it is mu h preferable to rst regularize the data on the oarse s ale and then pass it to
the ne s ale than rst to pass the information and only then to regularize it.
One-Way Nesting for Heat Flow Problems 14

5. Numeri al Experiments and Dis ussion

We onsider a two-dimensional hannel, with the setup shown in Fig. 2. The GM and LM
equations are given by (5){(9) and (10){(14), respe tively, where we assume no distributed
sour es (f G = f L = 0). We set  = 1 and  = 1. The width of the hannel is b = 5.
The global domain
G is the long re tangle (0; a1)  (0; b), where a1 = 20. The GM-LM
interfa e E is set by default to a = 5, namely the LM domain is a quarter of the GM
domain, although we shall also onsider the ase a = 2, where the LM is mu h smaller. To
solve both the GM and LM problems we use bilinear quadrilateral FEs. We x the density
of the LM mesh (with a mesh parameter of hL = 0:125) and the LM time-step size (with

tL = 3:25
10 4 ), but we vary the density of the GM mesh and time-step size in order
to he k the ee t of dierent dis retization ratios on the errors generated. We dene the
GM-LM mesh ratio as MR= hG =hL . We try three possible mesh ratios, i.e., MR=1:1, 2:1
and 4:1. The ase MR=1:1 is, of ourse, totally arti ial and is meant merely for the sake
of omparison. The GM-LM time-step ratio TR=
tG =
tL is hosen in ea h ase so that
TR'(MR)2 , following the standard FE error estimate for linear heat- ow problems [37℄.
In the linear ases, namely when r = 0 (no radiation), we synthesize an exa t analyti
solution in the form of a single \mode" with os illatory behavior in spa e and exponential
de ay in time, namely
" ! ! #
2 1 1 t x y
u(x; y; t) = exp  + 2 + sin sin : (60)
a1 b
2  a1 b
It is easy to verify that this solution indeed satises the linear heat equation and the Diri hlet
ondition (7). We hoose the boundary- ondition fun tions g G, u1 and g L in (6), (8) and (11)
to vanish, so that u also satises these boundary onditions. We nd the appropriate initial-
value fun tions uG0 and uL0 in (9) and (14) by substituting (60) in these initial onditions, so
that they are satised by u as well.
We will ompare the results obtained with four dierent basi BTOs in (13), whi h are
spe ial ases of (44):
Diri hlet: uL = uG on E ; (61)
Neumann:  =  unG
uL
n on E ; (62)
`Positive Robin':  unL + uL =  unG + uG on E ; (63)
`Negative Robin':  unL uL =  unG uG on E : (64)
To evaluate the LM error in ea h ase, we onsider the time-dependent relative error
measure
jju u jj
E (t) = L ref
L ; (65)
jjuref jj
L
One-Way Nesting for Heat Flow Problems 15

where the spatial norm jj
jj

L is the L2 norm in
L , uL is the omputed LM solution, and
uref is a referen e solution. For linear problems (r = 0) we take the referen e solution to be
the analyti solution (60), i.e., uref  u. For problems with heat radiation (r 6= 0), where
an analyti solution is not available, we generate a referen e solution uref by solving the
problem in the GM domain
G but with the ne LM dis retization (the MR=1:1 solution).
We start with the ase where there is no rea tion ( = 0) and no radiation (r = 0). Fig.
3 shows the errors E (t) as dened by (65), that are generated with the four BTOs and the
three GM-LM mesh ratios. The following on lusions are drawn from these graphs:

 The `negative Robin' BTO is unstable, and generates an error whi h grows exponen-
tially fast. All the other three BTOs are stable. This agrees with the theoreti al
analysis of Se tion 3, and will be observed in all the subsequent results as well.
 The error (in the ase of the stable BTOs) grows linearly in time. This has nothing to
do with the BTO, and is an unavoidable feature of the standard time-stepping s heme;
see, e.g., [37℄. Rening the dis retization auses the linear growth in time to be slower.
 In the MR=1:1 ase, the Diri hlet BTO is learly the most a urate, with an error
that grows from about 0.1% at t = 1 to below 0.2% at t = 4. The `positive Robin' and
Neumann BTOs yield errors of about 0.5% and 0.6%, respe tively. This might lead us
to the (wrong) on lusion that the Diri hlet BTO should be preferred over the other
BTOs. However, see the next point.
 In the MR=4:1 ase, whi h is more realisti , the pi ture for times not very short is
quite the opposite. The Diri hlet BTO is the least a urate and grows in time with
the largest slope; it grows from about 0.75% at t = 1 to 1.65% at t = 4. The `positive
Robin' BTO is more a urate, while the Neumann BTO yields an almost onstant
error level of about 0.6%.

The observation that in the MR=1:1 ase the Diri hlet BTO is the most a urate while in
the MR=4:1 ase it is the least a urate an be explained as follows. In the FE variational
formulation, the Diri hlet boundary ondition is enfor ed strongly whereas the Neumann and
Robin boundary onditions are enfor ed weakly. As long as the input data are themselves
suÆ iently a urate, namely are onsistent with the ne-s ale resolution of the LM as in the
MR=1:1 ase, the strong enfor ement of the data is bene ial. However, when the input
data themselves ontain an error whi h is signi antly larger than the LM-s ale errors, as in
the MR=2:1 and MR=4:1 ases, the strong enfor ement of the data is ounter-produ tive,
and amounts to the pointwise for ing of the wrong input! In these ases it is more prudent
One-Way Nesting for Heat Flow Problems 16

0.015
Dirichlet
Neumann
Pos. Robin
Neg. Robin
0.01

Error
0.005

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

(a)

0.015
Dirichlet
Neumann
Pos. Robin
Neg. Robin
0.01
Error

0.005

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

(b)

0.02

0.015
Error

0.01

0.005 Dirichlet
Neumann
Pos. Robin
Neg. Robin
0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

( )

Figure 3. Error E (t) for = 0, r = 0, a = 5, with (a) MR= hG =hL = 1, (b) MR= 2, ( )
MR= 4.
One-Way Nesting for Heat Flow Problems 17

to enfor e the data weakly, so that the more global properties of the solution (like element
ux) are preserved on average while no information is enfor ed in a pointwise manner.
Fig. 4 shows the errors E (t) generated for the same parameters as in Fig. 3, ex ept that
the interfa e E is set at a = 2 rather than at a = 5. Thus, the LM domain here is mu h
smaller. Qualitatively the results are similar to those of Fig. 3. A quantitative dieren e is
observed mainly with ME=4:1. Here the errors are quite larger (but still around or below the
2% level), and the Neumann error in reases in time with about the same rate as the Diri hlet
and `positive Robin' errors. The in rease in the error level is due to the fa t that the relative
importan e of the global information transferred to the LM through the BTO be omes more
prominent, sin e the area of the omputational domain de reases while the length of the
interfa e E remains un hanged. In fa t this result, for a = 2, is more representative of
realisti omputations than that of Fig. 3 for a = 5.
Fig. 5 pertains to the ase of positive linear rea tion, namely > 0. We set = 1.
No fundamentally new phenomena are observed here. The results are quite similar to those
orresponding to no rea tion ( = 0), ex ept that the Diri hlet error is slightly larger in this
ase. With MR=1:1, the error grows from about 0.2% at t = 1 to about almost 0.4% at
t = 4, while with MR=4:1, it grows from about 0.8% to above 1.8%, at the same times.
Now we onsider negative linear rea tion, namely < 0. We note that the negative
rea tion term has a destabilizing ontribution to the heat equation (5), but as long as j j is
suÆ iently small the overall solution is stable. Looking at (60) it is lear that the ondition
of stability is !
1 1
j j <  a2 + b2 :
2 (66)
1
We take = 0:419 whi h satises this ondition. Fig. 6 shows the errors generated in
this ase. The qualitative pi ture remains the same, but the errors in this ase are smaller
than those in the positive rea tion ase, and in fa t even slightly smaller than in the ase
of no rea tion. For example, with a Diri hlet boundary ondition in the MR=4:1 ase, the
error grows from about 0.6% at t = 1 to about 1.6% at t = 4. This demonstrates the
well-known fa t that stability and a ura y are entirely dierent properties; even though we
are ` loser' to the stability limit in the present ase, this does not have any negative ee t
on the a ura y.
The main on lusions that emanate from these experiments are that the `negative Robin'
BTO must be avoided, and that one should prefer the weakly-enfor ed Neumann and `positive
Robin' BTOs over the strongly enfor ed Diri hlet BTO in a tual omputations.
As our last a ura y test we onsider the nonlinear ase of heat emission by radiation (r =6
0) and without rea tion ( = 0). We set r = 2; this value of the radiation oeÆ ient yields a
solution whi h is signi antly dierent than the solution in the linear ase, yet onvergen e
One-Way Nesting for Heat Flow Problems 18

0.02
Dirichlet
Neumann
Pos. Robin
0.015 Neg. Robin

Error
0.01

0.005

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

(a)

0.02
Dirichlet
Neumann
Pos. Robin
0.015 Pos. Robin
Error

0.01

0.005

0
0 0.5 1 1.5 2 2.5 3 3.5
Time

(b)

0.02

0.015
Error

0.01
Dirichlet
Neumann
Pos. Robin
0.005
Neg. Robin
0 0.5 1 1.5 2 2.5 3 3.5
Time

( )

Figure 4. Error E (t) for = 0, r = 0, a = 2, with (a) MR= hG =hL = 1, (b) MR= 2, ( )
MR= 4.
One-Way Nesting for Heat Flow Problems 19

0.015
Dirichlet
Neumann
Pos. Robin
Neg. Robin
0.01

Error
0.005

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

(a)

0.015
Dirichlet
Neumann
Pos. Robin
Neg. Robin
0.01
Error

0.005

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

(b)

0.015

0.01
Error

0.005
Dirichlet
Neumann
Pos. Robin
Neg. Robin
0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

( )

Figure 5. Error E (t) for = 1, r = 0, a = 5, with (a) MR= hG =hL = 1, (b) MR= 2, ( )
MR= 4.
One-Way Nesting for Heat Flow Problems 20

0.012
Dirichlet
Neumann
0.01
Pos. Robin
Neg. Robin
0.008

Error
0.006

0.004

0.002

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

(a)

0.015
Dirichlet
Neumann
Pos. Robin
Neg. Robin
0.01
Error

0.005

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

(b)

0.02

0.015
Error

0.01

0.005 Dirichlet
Neumann
Pos. Robin
Neg. Robin
0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

( )

Figure 6. Error E (t) for = 0:419, r = 0, a = 5, with (a) MR= hG =hL = 1, (b) MR= 2,
( ) MR= 4.
One-Way Nesting for Heat Flow Problems 21

is obtained (using Newton iterations within the time step) without any diÆ ulties. Fig. 7
shows the errors in this ase. It is reassuring to see that the behavior of the error is very
similar to that in the linear ase, and no new phenomena are observed.
Finally, we onsider a problem involving heterogeneity. The GM and LM geometry is the
same as before, and we take the GM-LM mesh ratio 4:1. The LM material properties are
 = 1,  = 1, = 0 and r = 0, ex ept in a single LM element denoted e (an \in lusion"),
lo ated near the GM-LM interfa e, whose material properties are signi antly dierent, i.e.,
 = 104 ,  = 1, = 0 and r = 200. We note that the whole problem is nonlinear due to
this single element whi h emits heat by radiation.
The heterogeneity thus des ribed annot be resolved by the GM. In order to take it into
a ount nevertheless, we attribute \ee tive material properties" to the GM element E 
ontaining the LM element e . In E  the material properties are taken to be  = 104 =16,
 = 1, = 0 and r = 200=16. The fa tor 1=16 is taken here sin e the area of e is 1/16
than the area of E  . We use the Neumann operator as the BTO.
Fig. 8 shows snapshots at dierent times of three solutions in the hannel; in ea h
plate (a xed time) the top plot is the referen e solution uref , the middle plot is the GM
solution uG, and the bottom plot is the LM solution uL in the small domain
L . There is
a lear dieren e in the ontour line pattern near the \in lusion" at all times larger than
t = 0. The LM pattern is mu h loser to that of the referen e solution than the GM
pattern. Moreover, at time t = 3:12 (Fig. 8(d)) diusive ee ts ause the lo al disturban e
to ompletely disappear in the referen e solution. Whereas the LM solution also exhibits
the same behavior, the GM solution still shows a lear lo al disturban e whi h is ompletely
spurious. The impli ation of this is that the one-way nesting approa h works well in this
s enario.

6. Con luding Remarks

We onsidered heat ow in a two-dimensional hannel with and without radiation and linear
rea tion, and investigated the performan e of various lo al BTOs in the ontext of GM-
LM intera tion, or one-way nesting. We hara terized analyti ally those BTOs whi h are
numeri ally stable, namely do not give rise to spurious modes. Then we presented some
numeri al experiments to evaluate the a ura y of four basi BTOs. As mentioned in the
Introdu tion, the performan e of BTOs has a strong relevan e not only to nesting s hemes,
but also to Domain De omposition methods in general, sin e the BTOs are the basi tool
with whi h information is passed from one part of the global domain to another part of it.
It is interesting to note that the onditions needed to prevent spurious modes that we have
One-Way Nesting for Heat Flow Problems 22

Dirichlet
0.01
Neumann
Pos. Robin
0.008 Neg. Robin

Error
0.006

0.004

0.002

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

(a)

Dirichlet
0.01
Neumann
Pos. Robin
0.008 Neg. Robin
Error

0.006

0.004

0.002

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

(b)

0.015
Dirichlet
Neumann
Pos. Robin
Neg. Robin
0.01
Error

0.005

0
0 0.5 1 1.5 2 2.5 3 3.5 4
Time

( )

Figure 7. Error E (t) for = 0, r = 2, a = 5, with (a) MR= hG =hL = 1, (b) MR= 2, ( )
MR= 4.
One-Way Nesting for Heat Flow Problems 23

(a)

Figure 8(a). [Caption: below 8(d)℄

One-Way Nesting for Heat Flow Problems 24

(b)

Figure 8(b). [Caption: below 8(d)℄

One-Way Nesting for Heat Flow Problems 25

( )

Figure 8( ). [Caption: below 8(d)℄

One-Way Nesting for Heat Flow Problems 26

(d)

Figure 8. Snapshots of the temperature distribution in the hannel for the heterogeneous
problem. In ea h plate, the top plot is the referen e solution uref , the middle plot is the
GM solution uG , and the bottom plot is the LM solution uL in the small domain
L . The
Neumann operator is used as the BTO. Solutions are shown at times (a) 0, (b) 0.16, ( ) 0.78,
and (d) 3.12.
One-Way Nesting for Heat Flow Problems 27

found here are signi antly more relaxed than those that hold in the ase of the hyperboli
wave equation; ompare the analysis above to that in [27℄. For wave problems, even the
simple Diri hlet and Neumann onditions are asso iated with spurious modes, and one has
to resort to more `exoti ' BTOs su h as the Sommerfeld operator.
The analysis in this paper was applied to a relatively simple heat- ow model, although our
numeri al experimentation in luded the nonlinear (radiation) ase. Of ourse, in Numeri al
Weather Predi tion the situation is mu h more ompli ated sin e the atmospheri system
of equations is a nonlinear hyperboli -paraboli system and involves wave behavior as well
as heat ow and other diusive phenomena. It would be interesting to investigate, at least
numeri ally, various BTOs for more involved ben hmarks.

A knowledgments

This resear h was supported by the Israel S ien e Foundation (ISF) grant number 797/06, by
the Fund for the Promotion of Resear h at the Te hnion and by the fund provided through
the Lawren e and Marie Feldman Chair in Engineering.

Referen es

[1℄ A. Sundstrom and T. Elvius, \Computation problems related to limited-area modeling,"

in A. Kasahara, Ed., Numeri al methods used in atmospheri models, volume II, Chap. 7,
pp. 379{416, World Meteorologi al Organization, Geneva, 1979.
[2℄ E. Kalnay, Atmospheri modelling, data assimilation and predi tability, Cambridge Uni-
versity Press, 2003.
[3℄ T.T. Warner, R.A. Peterson and R.E. Treadon, \A tutorial on lateral onditions as a
basi and potentially serious limitation to regional numeri al weather predi tion," Bull.
Amer. Meteor. So ., 78 2599{2617, 1997.

[4℄ A. Staniforth, \Regional modelling: A theoreti al dis ussion," Meteorol. and Atmos.
Phys., 63, 15{29, 1997.

[5℄ R. Laprise, \Resolved s ales and nonlinear intera tions in limited-area models," J. At-
mos. S i., 60, 768{779, 2003.

[6℄ G.J. Haltiner and R.T. Williams, Numeri al predi tion and dynami meteorology, 2nd
ed., Wiley, New York, 1980.
One-Way Nesting for Heat Flow Problems 28

[7℄ T.E. Rosmond, \The design and testing of the Navy operational global atmospheri
predi tion system," Weather & Fore asting, 7, 262{272, 1992.
[8℄ R. M. Hodur, \The naval resear h laboratory's oupled o ean/atmosphere mesos ale
predi tion system COAMPS," Mon. Wea. Rev., 125, 1414{1430, 1997.
[9℄ L.X. Ju and H.J. Wang, \Modern limate over east Asia simulated by a regional limate
model nested in a global gridpoint general ir ulation model," Chinese J. of Geoph.,
49, 52{60, 2006.
[10℄ S. Anti , R. Laprise, B. Denis and R. de Elia, \Testing the downs aling ability of
a one-way nested regional limate model in regions of omplex topography," Climate
Dynami s, 26, 305{325, 2006.
[11℄ P. Jimenez, R. Parra and J.M. Baldasano, \In uen e of initial and boundary onditions
for ozone modeling in very omplex terrains: A ase study in the northeastern Iberian
Peninsula," Envir. Modelling & Software, 22, 1294{1306, 2007.
[12℄ S.H. Xin, M.C. Dulu , F. Lusseyran and P. Le Quere, \Numeri al simulations of natural
onve tion around a line-sour e," Int. J. Num. Meth. Heat & Fluid Flow, 14, 830{850,
2004.
[13℄ N.A. Phillips and J. Shukla, \On the strategy of ombining oarse and ne grid meshes
in numeri al weather predi tion," J. Appl. Meteor., 12, 763{770, 1973.
[14℄ A. Barth, A. Alvera-Az arate, M. Rixen and J.-M. Be kers, \Two-way nested model
of mesos ale ir ulation features in the Ligurian Sea," Progress in O eanography, 66,
171{189, 2005.
[15℄ H.C. Davies, \A lateral boundary formulation for multi-level predi tion models," Q. J.
Roy. Meteorol. So ., 102, 405{418, 1976.
[16℄ I. Raspo I, J. Ouazzani J and R. Peyret, \A spe tral multidomain te hnique for the
omputation of the Czo hralski melt onguration," Int. J. Num. Meth. Heat & Fluid
Flow, 6, 31{58, 1996.
[17℄ L. Gerardo-Giorda, P. Le Talle and F. Nataf, \A Robin-Robin pre onditioner for
adve tion-diusion equations with dis ontinuous oeÆ ients," Comput. Meth. Appl.
Me h. Engng., 193, 745{764, 2004.
[18℄ L. Portero and J.C. Jorge, \Spe ial meshes and domain de omposition methods for
evolutionary onve tion-diusion-rea tion problems," Int. J. Num. Meth. in Fluids, 47,
1237{1243, 2005.
One-Way Nesting for Heat Flow Problems 29

[19℄ R.A. Bartlett, M. Heinkens hloss, D. Ridzal and B.V.B. Waanders, \Domain de ompo-
sition methods for adve tion dominated linear-quadrati ellipti optimal ontrol prob-
lems," Comput. Meth. Appl. Me h. Engng., 195, 6428{6447, 2006.
[20℄ M. Heinkens hloss and M. Herty, \A spatial domain de omposition method for paraboli
optimal ontrol problems," J. Comput. & Appl. Math., 201, 88{111, 2007.
[21℄ P. Hauret and P. Le Talle , \Two-s ale Diri hlet-Neumann pre onditioners for elasti
problems with boundary renements," Comput. Meth. Appl. Me h. Engng., 196, 1574{
1588, 2007.
[22℄ J.E. Yang and D.H. Yu, \Domain de omposition with nonmat hing grids for exterior
transmission problems via FEM and DTN mapping," J. Comput. Math., 24, 323{342,
2006.
[23℄ F. Magoules, F.X. Roux and L. Series, \Algebrai Diri hlet-to-Neumann mapping for
linear elasti ity problems with extreme ontrasts in the oeÆ ients," Appl. Math. Mod-
elling, 30, 702{713, 2006.

[24℄ F. Magoules, F.X. Roux and L. Series, \Algebrai approximation of Diri hlet-to-
Neumann maps for the equations of linear elasti ity," Comput. Meth. Appl. Me h. En-
gng., 195, 3742{3759, 2006.

[25℄ T.J.R. Hughes, \Multis ale phenomena | Green's fun tions, the Diri hlet-to-Neumann
formulation, subgrid s ale models, bubbles and the origins of stabilized methods," Com-
put. Meth. Appl. Me h. Engng., 127, 387{401, 1995.

[26℄ D. Givoli, \Exa t representations on arti ial interfa es and appli ations in me hani s,"
Appl. Me h. Rev., 52, 333{349, 1999.

[27℄ A. Mar-Or and D. Givoli, \The global-regional model intera tion problem: Analysis of
Carpenter's s heme and related issues," Int. J. for Multis ale Comp. Engng., 4, 617-645,
2006.
[28℄ A. Mar-Or and D. Givoli, \High order global-regional model intera tion: extension of
Carpenter's s heme," Int. J. Numer. Meth. Engng., submitted.
[29℄ M.S. Fox-Rabinovitz, J. Cote, B. Dugas, M. Deque, J. M Gregor and P. Gle kler, \The
international stret hed-grid model inter omparison proje t (SGMIP), Pro . 16th Conf.
on Climate Variability and Change, Amer. Meteor. So ., 2005,
http://ams. onfex. om/ams/Annual2005/te hprogram/paper_83463.htm.
One-Way Nesting for Heat Flow Problems 30

[30℄ SGMIP: Stret hed-Grid Model Inter omparison Proje t, Earth System S ien e Inter-
dis iplinary Center, University of Maryland,
http://www.essi .umd.edu/~foxrab/sgmip.html.

[31℄ G. Miguez-Ma ho, G.L. Sten hikov and A. Robo k, \Spe tral nudging to eliminate
the ee ts of domain position and geometry in regional limate model simulations," J.
Geophys. Res., 109, D13104, 2004.

[32℄ H. von Stor h, H. Langenberg and F. Feser, \A spe tral nudging te hnique for dynami al
downs aling purposes," Mon. Wea. Rev., 128, 3664{3673, 2000.
[33℄ J. Fish, \The s-version of the nite element method," Comput. & Stru t., 43, 539{547,
1992.
[34℄ R. Courant and D. Hilbert, Methods of mathemati al physi s, Vol. 1, Chapter VI, Wiley,
NY, 1989.
[35℄ P.G. Drazin and W.H. Reid, Hydrodynami stability, 2nd ed., Cambridge University
Press, Cambridge, UK, 2004.
[36℄ O.C. Zienkiewi z and R.L. Taylor, The Finite Element Method, Vol. 1: The Basis, 5th
ed., Butterworth Heinemann, Oxford, 2000.
[37℄ T.J.R. Hughes, The Finite Element Method, Prenti e-Hall, Englewood Clis, NJ, 1987.