Numerical Solutions for Partial

Differential Equations (PDE)

Sourav Rakshit
MDS – 204
srakshit@iitm.ac.in
 Laplacian
Laplace equation

Diffusion equation Wave equation

Linear PDE Linear variable coefficient PDE

Nonlinear PDE

Homogeneous PDE Nonhomogeneous PDE

General forms
General quasilinear 2nd order nonhomogeneous PDE of 2 independent variables

General quasilinear 1st order nonhomogeneous PDE of 2 independent variables

2 general quasilinear 2nd order nonhomogeneous PDE of 2 independent variables

Classification of PDEs

Equilibrium problems
Propagation problems
Eigenvalue problems
Characteristics
PDE Characteristic equation

Information propagate
along characteristics
PDE Characteristic equation
Domain of Dependence
Range of Influence
• The domain of dependence of point P is defined as the region of the
solution domain upon which the solution at point P, f(xP , yP) depends
In other words, f(xP , yP) depends on everything that has happened in
its domain of dependence
• The range of influence of point P is defined as the region of the
solution domain in which the solution f(x, y) is influence by the
solution at P
In other words, f(xP , yP) influences the solution at all points in the
range of influence
 Hyperbolic PDE

Domain of Characteristics
dependence

Parabolic PDE

Characteristics
Range of
Influence
Elliptic PDE

No characteristics
Equilibrium problems Propagation problems Eigen problems

Elliptic
Parabolic Hyperbolic
Consistency, Order, Convergence
• A FDE is consistent with a PDE if the difference between FDE and PDE
-> 0 as grid size -> 0

• The order of FDA of a PDE is the rate at which the error of the FDE
solution -> 0 as grid size -> 0

• A FDM is convergent if the solution of the FDE approaches the exact

solution as grid size -> 0
Elliptic PDE

Poisson eqn
Laplace eqn
Separation of variables

Solution
FDM for Elliptic PDE
Notation
Taylor series about grid point (i,j)

Remainder
Iterative methods of solution

Converges slowly

Convergence criterion: diagonal dominance

Gauss-Seidel method

Iterate until convergence is achieved

Successive-Over-Relaxation (SOR)
Derivative BC
Convergence criteria
Absolute Relative
Parabolic PDE
PDE

BC

Analytical solution
General features of parabolic PDEs
PDE

Initial distribution
FDM
Explicit methods
Implicit methods
FD grid

Notation:
At grid point (i , n)
FDA

1st order forward-time approxm.

2nd order centred-space approxm.

Forward Time Centred Space (FTCS)

Time

Space
Consistency, Order, Stability, Convergence
• A FDE is consistent with a PDE if the difference between the FDE and
the PDE -> 0 as grid size ->0
• The order of a FDE is the rate at which the global error decreases as
grid size ->0
• A FDE is stable if it produces bounded solution for a stable PDE and is
unstable if it produces an unbounded solution for a stable PDE
• A FDM is convergent if the solution of the FDE -> exact solution as
grid size ->0
Consistency and order analysis of FTCS method
Stability
FDE

Amplification factor

After N steps
IV

For stability
von Neumann Stability Analysis
FDE:

Complex Fourier series: Wave number

−1
Steps of von Neumann stability analysis
Stability analysis of FTCS method
Represents an oscillation on Re axis
centred at Re = 1-2d, Im = 0 with
amplitude of 2d
Convergence

Lax equivalence theorem:

Given a properly posed linear IV problem and a FDA to it that is consistent,
stability is the necessary and sufficient condition for convergence
Richardson (Leapfrog) method

FDE
Richardson method is unconditionally unstable
Implicit methods:
Backward Time Centred Space (BTCS) method

Always stable
Crank-Nicolson method

Always stable
Derivative BC for FDE of parabolic PDE

Outside
domain
Hyperbolic PDE
1D-convection

Solution

IC
1D-wave equation

Coupled convection equations

Characteristic equations
FDM
 Hyperbolic PDE Explicit FDM

Conclusion: Hyperbolic PDEs should be solved using explicit FDM

Forward-Time-Centered-Space (FTCS) method

Forward diff Central diff

FTCS Stability

Using von Neumann stability analysis

Always unstable
The Lax method

Using von Neumann stability analysis

CFL stability criterion
Locus of G

Numerical information Physical information

propagation speed propagation speed
Numerical damping/diffusion

Using Taylor series

Source of numerical damping

Lax-Wendroff One-Step method
Taylor series expansion of f(x,t) in t only
 Direction of flow
Upwind methods

ft can be modelled by forward, backward, or central FDA.

However, since information can travel from upstream to downstream only
fx is modelled using backward FDA
Always
Implicit methods:
Backward-Time-Centered-Space (BTCS) method
Always stable