Convergence & Stability

As shown in the rectangular grid in the adjacent figure, the value of u at P

depends on the points marked by cross. This set of points is called numerical domain of
dependence. If the initial conditions about AB & CD are changed (due to
discontinuities), then it will not change the numerical solution at P whereas analytical
solution will change. Then up may not converge to the exact solution even if h → 0 , k
→ 0. However if the characteristics PB & PC lies outside the domain of dependence
PAB, then according to CFL, the solution is convergent. This requires
r ≤ 1.

For stability, we can discuss for the explicit scheme in the following manner :

The explicit scheme is

u i, j 1  r 2 u i 1, j  ui 1, j  2(1 r 2 )u i, j  u i, j 1 (1)

 
Replacing i, j by p, q respectively as  1  iwe, can write:
u p, q 1  r 2  u p 1, q  u p 1, q   2 (1 r 2 ) u p, q  u p, q 1 (2)
 

Let denote the error at (xp, yq), then we can write:

(3)
e p, q 1  r 2  e p 1, q  e p 1, q   (1 r 2 ) e p, q  e p, q 1
 

Assuming e p, q  e q t ei p x  q . ei p x (4)

Where   e t substituting (4) in (3) we have,

 x ix 
q 1   r 2 (e  i e )  2(1 r 2 )  q  q 1
 
2   2r 2 Cos  x 1  r 2   1
 
  x 
2  21 2r 2 Sin 2 
 1  0 (5)
 2 
1 2
Equation (5) is quadratic in  which will have two roots say and .
 x 
Therefore, 1  2  21 2 r 2 Sin 2  (6)
 2 
1 2  1
1
Thus 1  ,implying that if
2

 1   1 and vice versa.

2 1
But for Stability, both    1 . Therefore it implies that    1 . This
1 2 1 2
brings, from (6)

x
   2 1  2 r 2 Sin 2
1 2 2
x
     2 1  2 r 2 Sin 2
1 2 2
x x
 1 2 r 2 Sin 2  1  r 2 Sin 2 1
2 2
 r 1

It may be shown that implicit scheme is unconditionally stable.

It may be observed that FD solutions for parabolic & elliptic pde are analytic even when
the initial conditions are discontinuous. Hyperbolic pde are however different in that the
discontinuities in initial conditions are propagated as discontinuities in the solution
domain.

Therefore FD method sometimes provides non-convergent results if it does not satisfy

CFL conditions.

In the next lecture we will discuss the method of characteristics, which is one of the
efficient method, though called as Semi Numerical Method.