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Differential Equations

Endre S

uli

January 14, 2007

2

Contents

1 Introdu
tion

**1.1 Elements of fun
tion spa
es . . . . . .
**

1.1.1 Spa
es of
ontinuous fun
tions

1.1.2 Spa
es of integrable fun
tions .

1.1.3 Sobolev spa
es . . . . . . . . .

1.2 Weak solutions to ellipti
problems . .

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**Pie
ewise linear basis fun
tions . . . . . . . . .
**

The self-adjoint ellipti
problem . . . . . . . . .

Cal
ulation and assembly of stiness matrix . .

Galerkin orthogonality; Cea's lemma . . . . . .

Optimal error bound in the energy norm . . . .

Superapproximation in mesh-dependent norms

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3.1 Constru tion of

. 3. . .1 The .1. . . .nite element spa es . . .

. . . . . . . . .nite element . . . . 3. . .1.2 Examples of triangular .

. . . . .2 5. . . . . . . . . . .4 The paraboli model problem . . .1 The one-dimensional model problem . . . . . . . . . . . . . . . . . . . . . . . . Forward and ba kward Euler s hemes Stability of -s hemes . . . . . . . 3. . . . . .1. . .6 3 Pie ewise polynomial approximation 4 A posteriori error analysis by duality 5 6 6 8 10 14 23 24 31 35 40 45 56 65 65 65 67 70 73 74 75 80 83 84 89 4. . . . 3. . . . . . . . . . . . .nite elements . . . . . . . . . . 95 .3 2. . . . .2 Error bounds on the interpolation error . . . . . . . . .4 Variational rimes . .4 2. . . . 2 Approximation of ellipti problems 2. . . . . . . . . . . .4 Examples of re tangular elements . . . . . . .2 Polynomial approximation in Sobolev spa es . . . . . . . . . . .2 An adaptive algorithm . . .3 The interpolant . . . . . . . . . . . . . . . . . . . . . . . . . . .1 5. . . . . . . . . . . 3. . . . . . 100 . . . .1 2. . . . . . . . 93 5 Evolution problems 5. . . . . . . . . . . . . . . 3 . . . . . 95 . . . . . . . . . . . 98 . . . . . . . . . .2.1 The Bramble-Hilbert lemma . . . . . . . . . . . . . . . . .3 5. . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3 Optimal error bounds in the H 1 ( ) norm { revisited 3. . . . . . . . . . . . . 89 4. .2 2. . Error analysis in the L2 norm . . . . . .5 2. . . . . . . . . . . . . .2. 3. . . . . . . . . . . . . . . . . . . . . . . 104 . . . . . . . . . . . . .1. . . . . . . . . . 3. . . . . . .

4 CONTENTS Synopsis: Finite element methods represent a powerful and general lass of te hniques for the approximate solution of partial dierential equations. reliability and adaptivity. pra ti al issues on erning the development of eÆ ient . the aim of this ourse is to provide an introdu tion to their mathemati al theory. with spe ial emphasis on theoreti al questions su h as a ura y.

Finite element methods: Galerkin orthogonality and Cea's lemma. eÆ ien y and adaptivity. Energy dissipation. Analysis of . Optimal error bounds in the energy norm.nite element algorithms will also be dis ussed. Finite element approximation of initial boundary value problems. uniqueness and regularity of weak solutions. A posteriori error analysis by duality: reliability. Variational rimes. Ellipti boundary value problems: existen e. The Aubin-Nits he duality argument. Syllabus: Elements of fun tion spa es. onservation and stability. Superapproximation properties in meshdependent norms. Pie ewise polynomial approximation in Sobolev spa es. The Bramble-Hilbert lemma.

1994. .1{8.4. [Chapters 1{4. Brenner & R.4. Eriksson. Johnson. S ott.3. Estep. Computational Dierential Equations. C. CUP. Le ture Notes on Finite Element Methods. 9.1{9. Hansbo. Chapter 8: Se s. Chapter 5: Se s.2. Chapter 9: Se s. Springer-Verlag. 4. 4.5℄. & C. D.1. Oxford University Computing Laboratory. Numeri al Solution of Partial Dierential Equations by the Finite Element Method. K. 2nd printing 1996.1{5. 1996. 3. Morton.7℄. Corr. 8. S.nite element methods for evolution problems.2. The Mathemati al Theory of Finite Element Methods. 5. 1990. [Chapters 5. Reading List 1.W. K. [Chapters 0. 6. 1991. Chapter 4: Se s. CUP. 2. 14 { 17℄. P. Johnson.1{4. 8.

Chapter 1 Introdu tion Partial dierential equations arise in the mathemati al modelling of many physi al. e onomy. astrophysi s. hemi al and biologi al phenomena and many diverse subje t areas su h as uid dynami s. . ele tromagnetism. material s ien e.

Very frequently the equations under onsideration are so ompli ated that .nan ial modelling. et .

nding their solutions in losed form or by purely analyti al means (e. by Lapla e and Fourier transform methods.g. These notes are devoted to a parti ular lass of numeri al te hniques for the approximate solution of partial dierential equations: . or in the form of a power series) is either impossible or impra ti able. and one has to resort to seeking numeri al approximations to the unknown analyti al solution.

They were proposed in a seminal work of Ri hard Courant1 . but the mathemati al analysis of . unfortunately. in 1943. In the early 1950's the method was redis overed by engineers.nite element methods. the relevan e of this arti le was not re ognised at the time and the idea was forgotten.

the .nite element approximations began mu h later. in the 1960's.

rst important results being due to Milos Zlamal2 in 1968. Sin e then .

In these notes we shall be on erned with the mathemati al aspe ts of .nite element methods have been developed into one of the most general and powerful lass of te hniques for the numeri al solution of partial dierential equations and are widely used in engineering design and analysis.

nite element approximation. We begin by developing some of the theoreti al tools: the present hapter is devoted to summarising the elements of the theory of fun tion spa es and reviewing some basi results from the theory of partial dierential equations. The on epts and notational onventions introdu ed here will be used systemati ally throughout the notes. in luding stability. So . a ura y. Bull. Courant: Variational methods for the solution of problems of equilibrium and vibrations. pp. Zlamal: On the . 1{23 (1943) 2 M. 1 R.. Amer. 49. Math. reliability and adaptivity.

Numeris he Mathematik. 12. 394{402 (1968) 5 .nite element method. pp.

INTRODUCTION 1.1 Elements of fun tion spa es As will be ome apparent in subsequent hapters.6 CHAPTER 1. the a ura y of .

Pre ise assumptions about the regularity of the solution and the data an be onveniently formulated by onsidering lasses of fun tions with spe i. and this in turn hinges on the smoothness of the data.nite element approximations to partial dierential equations very mu h depends on the smoothness of the analyti al solution to the equation under onsideration.

dierentiability and integrability properties. alled fun tion spa es. In this se tion we present a brief overview of basi de.

Let be an open set in R n and let k 2 N . j 2 N . : : : . and = (1 .1 Spa es of ontinuous fun tions In this se tion. : : : .1. We denote (0. 3 ). 2 . we des ribe some simple fun tion spa es whi h onsist of ontinuously dierentiable fun tions. Let D = x1 1 ::: xn n = jj : x1 : : : xn 1 n Example 1 Suppose that n = 3. Let N denote the set of non-negative integers. We denote by C k ( ) the set of all ontinuous real-valued fun tions de. x3 . The non-negative integer jj := 1 + : : : + n is referred to as the length of the multi{index = (1 . 2. we remark here that all fun tions that appear in these notes will be assumed to be real-valued. : : : . 3. we introdu e the on ept of a multi-index. For future referen e. An n-tuple = (1 .nitions and simple results form the theory of fun tion spa es. X jj=3 D u = 3u 3u 3u + + x31 x21 x2 x21 x3 3u 3u 3u + + x1 x22 x1 x23 x32 3u 3u 3u 3u + : + 2 + + x1 x2 x3 x2 x3 x2 x23 x33 + This example highlights the importan e of multi-index notation: instead of laboriously writing out in detail the ten terms on the right-hand side of the last identity. 1. x2 . a fun tion of three variables x1 . n ) 2 N n is alled a multi{index. n ). learly j0j = 0. 0) by 0. For the sake of notational onvenien e. Then for u. we an ompress the information into a single entity shown on the left. j = 1.

ned on su h that D u is ontinuous on for .

: : : . n). ELEMENTS OF FUNCTION SPACES all = (1 . C k ( ) k will denote the set of all u in C ( ) su h that D u an be extended from to a the losure of the set . Assuming that is a bounded open set. for all = (1 . : : : . all ontinuous fun tions de.1.7 1. n ) with jj k. jj k. k an be equipped with the norm C ( ) kukC ( ) := k X sup jD u(x)j: jjk x2 instead of C 0 ( ) to denote the set of In parti ular when k = 0 we shall write C ( ) in this ase. ontinuous fun tion on .

the same is true of its derivatives.ned on . if k = 1. 1) R 1 . The fun tion u(x) = 1=x belongs to C k ( ) for ea h k 0. As = [0. Therefore u 62 C k ( ) for any k 0: The support of a ontinuous fun tion u de. kukC ( ) = sup ju(x)j = max ju(x)j: x2 x2 Similarly. it is lear that u is not ontinuous on . 1℄ and limx!0 u(x) = 1. kukC ( ) 1 = X sup jD u(x)j jj1 x2 = sup ju(x)j + x2 n X u (x)j: x x 2 j j =1 sup j Example 2 Consider the open interval = (0.

ned on an open set R n is de.

supp u is the smallest losed subset of su h that u = 0 in nsupp u. Thus.ned as the losure in of the set fx 2 : u(x) 6= 0g. Example 3 Let w be the fun tion de. We shall write supp u for the support of u.

ned on R n by ( w(x) = 1 e jj 0. the support of w is the losed unit ball fx 2 R n : jxj 1g: We denote by C0k ( ) the set of all u ontained in C k ( ) whose support is a bounded subset of . Clearly. jxj < 1. here jxj = (x21 + : : : + x2n )1=2 . otherwise. Let C01( ) = k\0 C0k ( ): Example 4 The fun tion w de. 1 x 2 .

ned in the previous example belongs to the spa e C01 (R n ): .

INTRODUCTION 1. Let p be a real number.1. p 1.8 CHAPTER 1. we denote by Lp ( ) the set of all real-valued fun tions de.2 Spa es of integrable fun tions Next we onsider a lass of spa es that onsist of (Lebesgue-) integrable fun tions.

e. ex ept on a set of measure zero) on are identi. equal.ned on an open subset of R n su h that Z ju(x)jp dx < 1: Any two fun tions whi h are equal almost everywhere (i.

Lp ( ) onsists of equivalen e lasses of fun tions. still. stri tly speaking.ed with ea h other. Lp ( ) is equipped with the norm kukL ( ) := Z p 1=p ju(x)j p dx : We shall also onsider the spa e L1 ( ) onsisting of fun tions u de. we shall not insist on this te hni ality. Thus.

ned on su h that juj has .

and we write M = ess. then u v 2 L1 ( ) and j(u.supx2 ju(x)j: A parti ularly important ase orresponds to taking p = 2. v ) := Z u(x)v (x) dx: Clearly kukL ( ) = (u. 2 Lemma 1 (The Cau hy-S hwarz inequality) Let u and v belong to L2 ( ). v)j kukL ( ) kvkL ( ) : 2 2 3 We shall say that a property P (x) is true for almost every x in . if P (x) is true for all x 2 n where is a subset of with zero Lebesgue measure.supx2 ju(x)j). then kukL ( ) = Z 2 1=2 2 dx : ju(x)j The spa e L2 ( ) an be equipped with the inner produ t (u. u)1=2.nite essential supremum on (namely. there exists a positive onstant M su h that ju(x)j M for almost every3 x in . . L1 ( ) is equipped with the norm kukL1( ) = ess. the smallest su h number M is alled the essential supremum of juj.

9 1. de. v) = kuk2L ( ) + 2(u. 2 R: 2 2 2 The right-hand side is a quadrati polynomial in with real oeÆ ients. ) and. ELEMENTS OF FUNCTION SPACES Proof Let 2 R. j2(u. then 0 ku + v k2L ( ) = (u + v. and it is nonnegative for all 2 R. 2 2 and hen e the desired inequality. Remark 1 The spa e Lp ( ) with p 2 [1. 1℄ is a Bana h spa e4. when equipped with the asso iated norm k kL ( ) .1. v) + kvk2L ( ) kukL ( ) + kvkL ( ) 2 : 2 2 2 2 2 Upon taking the square root of both sides we omplete the proof. v)j2 4kuk2L ( ) kvk2L ( ) 0. In parti ular.e. L2 ( ) is a Hilbert spa e: it has an inner produ t (. therefore its dis riminant is non-positive. v) + 2 kvk2L ( ) . Corollary 1 (The triangle inequality) Let u and v belong to L2 ( ). then u + v 2 L2 ( ). and ku + vkL ( ) kukL ( ) + kvkL ( ) : 2 Proof 2 2 This is a straightforward onsequen e of the Cau hy-S hwarz inequality: ku + vk2L ( ) = (u + v. i. v) + (v. u) + (u. u + v) = (u. u + v) = kuk2L ( ) + 2(u. u) + (v.

in the Lp norm for 1 p 1. more generally. u)1=2 . 2 2 To on lude this se tion. v 2 Lp ( ): Furthermore. is valid for any two fun tions u 2 Lp ( ) and v 2 Lp0 ( ) with 1=p + 1=p0 = 1: . p p p u. the following generalisation of the Cau hy-S hwarz inequality. it is a Bana h spa e. namely.ned by kukL ( ) = (u. we note that a statement analogous to Corollary 1 holds. known as Holder's inequality. ku + vkL ( ) kukL ( ) + kvkL ( ) .

Z .

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u(x)v (x) dx.

kukL (

) kvkL 0 (

) :

p

p

**4 A normed linear spa
e X , with norm k kX , is
alled a Bana
h spa
e if, whenever fum g1 is
**

m=1

a sequen e of elements of X su h that

lim

n;m!1

kun um kX = 0;

(1.1)

**there exists u 2 X su
h that limm!1 ku um kX = 0 (i.e. the sequen
e fumg1
**

m=1
onverges to u

in X ). A sequen
e fumg1

with

the

property

(1.1)

is

alled

a

Cau
hy

sequen
e.

m=1

10

CHAPTER 1. INTRODUCTION

1.1.3 Sobolev spa
es

In this se
tion we introdu
e a
lass of spa
es,
alled Sobolev spa
es (after the Russian

mathemati
ian S.L. Sobolev), whi
h play an important role in modern dierential

equation theory. Before we give the pre
ise de

and let v 2 C01( ). then the following integration-by-parts formula holds: Z D u(x) Z v(x) dx = ( 1)jj u(x) D v (x) dx. with an open subset of R n . Suppose that u is a smooth fun tion. 8v 2 C01( ): Note that all terms involving integrals over the boundary of . say u 2 C k ( ). have disappeared be ause v and all of its derivatives are identi ally zero on the boundary of .nition of a Sobolev spa e. jj k. we introdu e the on ept of weak derivative. whi h arise in the ourse of integrating by parts. This identity represents the starting point for de.

ning the on ept of weak derivative. Now suppose that u is a lo ally integrable fun tion de.

with ! ). Suppose also that there exists a fun tion w . and we write w = D u.e. lo ally integrable on and su h that Z w (x) v (x) dx = ( 1)jj Z u(x) D v (x) 8v 2 C01( ). then we say that w is a weak derivative of the fun tion u of order jj = 1 + : : : + n . u 2 L1 (! ) for ea h bounded open set !. In order to see that this de.ned on (i.

nition is orre t it has to be shown that if a lo ally integrable fun tion has a weak derivative then this must be unique. we shall use the letter D to denote lassi al as well as weak derivatives. say u 2 C k ( ). jj u : x1 : : : xn In order to simplify the notation. 1 n Example 5 Let = R 1 . Clearly. it will always be lear from the ontext (by onsidering the smoothness of the fun tion dierentiated) whi h of the two is implied. and suppose that we wish to determine the weak . we remark that this is a straightforward onsequen e of DuBois Reymond's lemma5. if u is a suÆ iently smooth fun tion. then its weak derivative D u of order jj k oin ides with the orresponding partial derivative in the lassi al pointwise sense.

rst derivative of the fun tion u(x) = (1 jxj)+ de.

5 DuBois Reymond's lemma open set . If Z : Suppose that w is a lo ally integrable fun tion de. Rn . it may.ned on . However. be ause u is lo ally integrable on . Clearly u is not dierentiable at the points 0 and 1.

ned on an w(x)v(x) dx = 0 then w(x) = 0 for almost every x 2 . for all v in C01 ( ) .

Z +1 1 = u(x)v 0 (x) dx = Z 0 = Z 0 1 1 (1 + x)v 0 (x) dx + 1 Z 0 = Z +1 1 jxj)+v0(x) dx = (1 Z 1 0 v (x) dx + (1 + x)v (x)j 1 + ( 1)v (x) dx + where w(x) = 0 8 > > < > > : 1 (1 jxj)v0(x) dx (1 x)v 0 (x) dx 0 Z 1 Z 1 Z 1 0 1 v (x) dx 0. for any v 2 C01 ( ). the pie ewise onstant fun tion w is the . 1. x 2 ( 1. Indeed. have a weak derivative. 1. 1).1. 0). ELEMENTS OF FUNCTION SPACES nevertheless. x 2 (0. x < 1. x > 1: Thus. 0. v (x) dx + (1 x)v (x)j1x=0 Z +1 1 w(x)v (x) dx.11 1.

e. i. w = u0 = Du: Now we are ready to give a pre ise de.rst (weak) derivative of the ontinuous pie ewise linear fun tion u.

nition of a Sobolev spa e. We de. Let k be a non-negative integer and suppose that p 2 [1. 1℄.

we an write kukW k p ( ) = k X j =0 jujpW ( ) j p !1=p : . kDukL1( ) 0 jujW k p ( ) when 1 p < 1 p := X jj=k when p = 1: 11=p kDukpL ( ) A . jj kg: Wpk ( ) is alled a Sobolev spa e of order k. 1). p for p 2 [1. it is equipped with the (Sobolev) norm 0 kukW k p ( ) := X jjk and kukW1( ) := 11=p kDukpL ( ) A X k jjk Letting.ne (with D denoting a weak derivative of order jj ) Wpk ( ) = fu 2 Lp ( ) : D u 2 Lp ( ).

we shall usually write H k ( ) instead of W2k ( ). jjW ( ) is alled the Sobolev semi-norm6 on Wpk ( ). letting jujW1( ) := X k jj=k we have that kukW1( ) = kDukL1( ) .12 CHAPTER 1. Our de. v )W k 2 ( ) := X jjk (D u. k X jujW1( ) : j k j =0 When k 1. Dv ): For this reason. Throughout these notes we shall frequently refer to the Hilbertian Sobolev spa es 1 H ( ) and H 2 ( ). INTRODUCTION Similarly. An important spe ial ase orresponds to taking p = 2. the spa e W2k ( ) is then a Hilbert spa e with the inner produ t k p (u.

n . for p = 2. 2 L2 ( ) + n X j =1 n X u 2 k x kL ( ) j 2 2u k2L ( ) + k x x i j i. jj = k). n. n .j =1 2 )1=2 . i. 1. j = 1. j = 1. : : : . : 2 L2 ( ). : : : . H 2 ( ) )1=2 u xj . j = 1. H ( ) = u 2 L2 ( ) : xj ( kukH ( ) = 1 jujH ( ) = 1 n X u 2 kuk2L ( ) + k x kL ( ) j j =1 2 2 ( n X u 2 kL ( ) k x j j =1 = u 2 L2 ( ) : 2u xi xj kukH ( ) = kuk 2 )1=2 2 Similarly. so j jWpk ( ) does not satisfy the . j jWpk ( ) is only a semi-norm rather than a norm be ause if jujWpk ( ) = 0 for u 2 Wpk ( ) it does not ne essarily follow that u(x) = 0 for almost every x in (all that is known is that D u(x) = 0 for almost every x 2 .nitions of Wpk ( ) and its norm and seminorm. for p = 2 and k = 2. k = 1. 2 L2( ). : : : . give: u 1 2 L2 ( ).

6 When k .rst axiom of norm.

13 1. ELEMENTS OF FUNCTION SPACES ( jujH ( ) = 2 n X 2u k x x k2L ( ) i j i. we de.j =1 )1=2 2 : Finally.1.

to simplify matters. we shall restri t ourselves to onsidering the spe ial ase of a re tangular domain = (a. y) d j2 dy dx a a x Z x Z bZ d u 2 j (. then there exists a onstant ? ( ). y)j d dy dx (x a) a x a Z d Z b Z b u j x (x a) dx (. It an be shown (assuming that is suÆ iently smooth) that 1 H01 ( ) = fu 2 H 1 ( ) : u = 0 on g. is a polygonal domain in R2 or a polyhedron in R3 . y)j2 dx dy: = j 7 Say. In fa t. d) in R2 : The proof for general is analogous. su h that Z ju(x)j 2 dx ? n Z X i=1 u 2 (x)j dx: j x (1. the boundary of the set : We shall use this spa e when onsidering a partial dierential equation that is oupled with a homogeneous (Diri hlet) boundary ondition: u = 0 on : We note here that H01 ( ) is also a Hilbert spa e. y)j2 d dy a a Z 1 u = 2 (b a)2 j x (x. in fa t. . y) + Z x a u (. in other words.ne the spe ial Sobolev spa e H01 ( ) as the losure of C01 ( ) in the norm of k kH ( ) . with the same norm and inner produ t as H 1 ( ): We on lude the se tion with the following useful result. it is suÆ ient to prove this inequality for u 2 C01( ). i. the set of all fun tions u in H 1 ( ) su h that u = 0 on . x < y < d: Then e. Z j j u(x. y) = u(a. H01 ( ) is the set of all u 2 H 1 ( ) su h that u 1 is the limit in H 1 ( ) of a sequen e fum g1 m=1 with um 2 C0 ( ). y) 2 dx dy Z bZ d Z x u (. Evidently Proof u(x. b) ( . H01 ( ) is. by the Cau hy-S hwarz inequality. independent of u.2) i 1 As any fun tion u 2 H01 ( ) is the limit in H 1 ( ) of a sequen e fum g1 m=1 C0 ( ). y) d.e. Lemma 2 (Poin are-Friedri hs inequality) Suppose that is a bounded open set in R n (with a suÆ iently smooth boundary7 ) and let u 2 H01 ( ). y) d = x Z x a u (.

Z Z 1 2 j j 2 (d ) j u (x.2 Weak solutions to ellipti problems In the . j j u x y : For further referen e. 1. y) 2 dx dy Z where ? = 2 (b a)2 j j u(x. 1)2 R 2 then ? = 14 . we obtain u(x. if = (0. 1) R then ? = 21 . INTRODUCTION Analogously. y)j2 dx dy: y By adding the two inequalities.14 CHAPTER 1. we note that if = (0. y) 2 dx dy + (d 2 ) 1 2 ? Z 2 + j u j2 dx dy. similarly.

rst part of this le ture ourse we shall fo us on boundary value problems for ellipti partial dierential equations. Ellipti equations are typi.

j =1 aij (x)i j ~ n X i=1 i2. aij (x) + xj xi xi i=1 i. x 2 . let be a bounded open set in R n . More generally.3) where the oeÆ ients aij . : : : . where we used the notation = n X i=1 2 x2i for the Lapla e operator.4) . (1. i. j = 1. f 2 C ( ) 8 = (1. (1. and its non-homogeneous ounterpart. and f satisfy the following onditions: . n . bi 2 C ( ) . Poisson's equation u = f. n) 2 R n . : : : .j =1 n X x 2 . aij 2 C 1 ( ) . and onsider the linear se ond-order partial dierential equation n X u u bi (x) + (x)u = f (x). n. bi . 2 C ( ) and n X i. i = 1. : : : .ed by the Lapla e equation u = 0. .

15 1.4) is usually referred to as uniform ellipti ity and (1.3) is usually supplemented by one of the following boundary onditions.2.3) is alled an ellipti equation. with g denoting a given fun tion de. In problems that arise in appli ations equation (1. WEAK SOLUTIONS TO ELLIPTIC PROBLEMS here ~ is a positive onstant independent of x and : The ondition (1.

bi . (1.j =1 aij u os j + (x)u = g xi on .j =1 u = 0 on . In many physi al problems more than one type of boundary ondition is imposed on (e. (d) A generalisation of the boundary onditions (b) and ( ) is n X i. u 2 C 2 ( ) \ C ( ) would be a ontinuous fun tion on .5). for otherwise u This problem does not have a lassi al solution. n X (1. Poisson's equation with zero Diri hlet boundary ondition on = ( 1. provided that aij . . in many appli ations one has to onsider equations where these smoothness requirements are violated. for example. where denotes the unit outward normal ve tor to (Neumann boundary ondition). where (x) 0 on (Robin boundary ondition). whi h is not possible be ause sgn(1=2 jxj) is not ontinuous on . x 2 . u (b) = g on . The study of su h mixed boundary value problems will not be pursued in these notes. bi .5) (1.4). We begin by onsidering the homogeneous Diri hlet boundary value problem n X u u aij + bi (x) + (x)u = f (x). ( ) u + u = g on . is the union of two disjoint subsets 1 and 2 .g.6) is alled a lassi al soluA fun tion u 2 C 2 ( ) \ C ( ) tion of this problem. where j is the angle between the unit outward normal ve tor to and the xj axis (Oblique derivative boundary ondition).6) has a unique lassi al solution. and for su h problems the lassi al theory is inappropriate. 1 2 jxj . x 2 : () . with a Diri hlet boundary ondition on 1 and Neumann boundary ondition on 2 ).5) and (1. However. f and are suÆ iently smooth. and f are as in (1. . xj xi xi i=1 i.ned on : (a) u = g on (Diri hlet boundary ondition). x 2 . satisfying (1. Take. The theory of partial dierential equations tells us that (1.6) where aij . 1)n in R n : u = sgn u = 0.

for any v 2 C01 ( ).j =1 u aij xi xj + Z v dx n Z X + i=1 Z (x)uv dx = bi (x) u v dx xi f (x)v (x) dx: Upon integration by parts in the . (1. we generalise the notion of solution by weakening the dierentiability requirements on u: To begin.16 CHAPTER 1.5). let us suppose that u is a lassi al solution of (1. INTRODUCTION In order to over ome the limitations of the lassi al theory and to be able to deal with partial dierential equations with \non-smooth" data. n Z X i.6). Then.

we obtain: n Z X i.1. where.3.rst integral and noting that v = 0 on . remembering that u has to satisfy a zero Diri hlet boundary ondition.j =1 u v dx + aij (x) xi xj + Z (x)uv dx = n Z X i=1 Z bi (x) u v dx xi f (x)v (x) dx 8v 2 C01( ): In order for this equality to make sense we no longer need to assume that u 2 C 2 ( ): it is suÆ ient that u 2 L2 ( ) and u=xi 2 L2 ( ). it is natural to seek u in the spa e H01 ( ). : : : . n: Thus. u = 0 on g: Therefore. as in Se tion 1. n. i = 1. we onsider the following problem: . i = 1. : : : . H01 ( ) = fu 2 L2 ( ) : u xi 2 L2 ( ).

7) are still meaningful (in fa t.j =1 n X u v aij (x) dx + xi xj i=1 + Z (x)uv dx = Z Z bi (x) u v dx xi f (x)v (x) dx 8v 2 C01( ): (1.nd u in H01( ) su h that n Z X i. and it is easily seen that when u 2 H01 ( ) and v 2 H01 ( ). This motivates the following de. we shall prove this below)8 .and right-hand side of (1. the expressions on the left.7) We note that C01 ( ) H01 ( ). (instead of v 2 C01 ( )).

: : : . aij 2 L1 ( ) will be seen to be suÆ ient. 8 Note further that sin e the oeÆ ients aij no longer appear under derivative signs in (1. it is not ne essary to assume that aij 2 C 1 ( ). .7). n and 2 L1 ( ) will suÆ e. the smoothness requirements imposed on the oeÆ ients bi and an be relaxed: bi 2 L1 ( ) for i = 1. Also.nition.

2.17 1. WEAK SOLUTIONS TO ELLIPTIC PROBLEMS De.

Before onsidering this parti ular boundary value problem.5).5). All partial derivatives in (1. this may not be smooth enough to be a lassi al solution.8) should be understood as weak derivatives. n. bi 2 L1 ( ). If (1. A fun tion u 2 H01 ( ) satisfying n Z X i.j =1 n Z X aij (x) + i=1 and l (v ) = w v dx xi xj w bi (x) v dx + xi Z Z (x)wv dx f (x)v (x) dx: (1. and let f 2 L2 ( ).10) With this new notation.j =1 u v dx + aij (x) xi xj + Z (x)uv dx = n Z X i=1 Z bi (x) u v dx xi f (x)v (x) dx 8v 2 H01( ) (1. (1. j = 1. Clearly if u is a lassi al solution of (1. the onverse is not true.8) is alled a weak solution of (1. : : : .9) (1.6). n. (1.nition 1 Let aij 2 L1 ( ). (1. problem (1. Indeed.6) has a weak solution. we shall prove below that the boundary value problem () has a unique weak solution u 2 H01 ( ). we look at the wider issue of existen e of a unique weak solution to the more general problem (1. (1.6).5). (1. However. For the sake of simpli ity.5).5). 2 L1 ( ). : : : . then it is also a weak solution of (1.6). we adopt the following notation: a(w. v ) = n Z X i.8) an be written as follows: . despite the fa t that it has no lassi al solution. i. i = 1.6).

w 2 V ja(w. and let l() be a linear fun tional on V su h that 9 2 > 0 8v 2 V jl(v)j 2 kvkV : . v)j 1 kwkV kvkV . Let a(. Theorem 1 (Lax & Milgram theorem) Suppose that V is a real Hilbert spa e equipped with norm k kV .nd u 2 H01 ( ) su h that a(u. ) be a bilinear fun tional on V V su h that: (a) 9 0 > 0 (b) ( ) 8v 2 V a(v. v ) = l(v ) 8v 2 H01( ): (1. v) 0 kvk2V .11) We shall prove the existen e of a unique solution to this problem by exploiting the following abstra t result from Fun tional Analysis. 9 1 > 0 8v.

3 that H01 ( ) is a Hilbert spa e with the inner produ t 1 (w. North-Holland. de. Springer-Verlag. INTRODUCTION Then. w)1H=2( ) : Next we show that a(. there exists a unique u 2 V su h that 8v 2 V: a(u. v )H 1 ( ) = Z wv dx + n Z X i=1 w v dx xi xi and the asso iated norm kwkH ( ) = (w. (1.11)).. K. Reprint of the 6th ed. ) and l(). Yosida: Fun tional Analysis. We apply the Lax-Milgram theorem with V = H01 ( ) and k kV = k kH ( ) to show the existen e of a unique weak solution to (1. Let us re all from Se tion 1. equivalently.1. Ciarlet: The Finite Element Method for Ellipti Problems.5).18 CHAPTER 1. 1978. v ) = l(v ) For a proof of this result the interested reader is referred to the books: P.6) (or. 1995. to (1.

for any .ned by (1. The mapping v 7! l(v ) is linear: indeed. satisfy the hypotheses (a). .9) and (1. ( ) of the Lax-Milgram theorem.10). (b). We begin with ( ).

1 l(v1 + . 2 R .

v2 ) = 1 Z f (x)(v1 (x) + .

v2 (x)) dx Z Z = = f (x)v1 (x) dx + .

f (x)v2 (x) dx l(v1 ) + .

l(v2 ). v2 H01 ( ). Z Z j f (x)v(x) dxj j j kf kL ( ) kvkL ( ) kf k k k 2 2 1=2 2 dx jv(x)j for all v 2 H01 ( ). For any . Next we verify (b). where we have used the obvious inequality kv kL ( ) kv kH ( ) : Letting 2 = kf kL ( ) . we obtain the required bound. v1 . Also. by the Cau hy-S hwarz inequality. jl (v )j = = 1=2 Z 2 f (x) dx L2 ( ) v H 1 ( ) . 2 so l() is a linear fun tional on H01 ( ).

the mapping v 7! a(v. for any . Similarly. w) is linear.xed w 2 H01 ( ).

Hen e a(. ) is a bilinear fun tional on H01 ( ) H01 ( ): Applying the Cau hy-S hwarz inequality. v)j n X max ja (x)j j ij i.xed v 2 H01 ( ). the mapping w 7! a(v.j =1 x2 n X + Z max jb (x)j j i i=1 x2 w v dxj xi xj Z w v dxj xi 1 . w) is linear. we dedu e that 2 2 ja(w.

v as 12 x (v2): Integrating by parts in the se ond term on the a(v.12) max max jaij (x)j. Remark 4 at the end of this hapter).12) we dedu e that ja(w. we obtain v xi n X v 2 j j dx + xi i=1 Z 1 2 bi (x) (v ) d x + 2 xi Z (x)jv j2 dx. max j (x)j : in i 1i.13) 1 It remains to establish (a). v ) ~ i n Z X i=1 v 2 j x j dx + i Z (x) n bi 1X 2 i=1 xi ! jvj2 dx: .4). we obtain inequality (b): ja(w. To do so.j n x2 x2 x2 By further majorisation of the right-hand side in (1. v ) ~ n Z X i=1 where we wrote right.j =1 n Z X 1=2 jv j 2 dx 1=2 ) 2 dx 1=2 ) n Z X i=1 Z n X j =1 w 2 j x j dx i 1=2 ) v 2 j dx j x j (1.19 1. 1max max jb (x)j. so that. v)j 1kwkH ( ) kvkH ( ) : 1 (1. however. by letting 1 = 2n ^. we shall slightly strengthen the smoothness requirements on the oeÆ ients bi by demanding that bi 2 W11 ( ) (see. WEAK SOLUTIONS TO ELLIPTIC PROBLEMS Z + max j (x)j j ^ x2 ( n Z X + + ^ ^ = max w(x)v (x) dxj 1=2 Z w 2 j x j dx i i=1 Z 1=2 Z 2 dx jw j 1=2 (Z jwj2 dx + 1=2 jvj2 dx + jv j 1=2 v 2 j x j dx j 1=2 Z w 2 j dx j x i (Z where i. v)j 2n ^ (Z (Z jwj2 dx + jv j 2 dx + )1=2 n Z X i=1 n Z X w 2 j x j dx i j =1 )1=2 v 2 j x j dx j . Using (1.2. we dedu e that a(v.

x 2 : n Z X i=1 (1.6) possesses a unique weak solution u 2 H01 ( ): In addition. j = 1. By (1. v ) ? Summing (1.16) a(v. i = 1. v ) ~ 0.15) and (1. n.5).2. : : : . then the boundary value problem (1. INTRODUCTION Suppose that bi . Theorem 2 Suppose that aij 2 L1 ( ).6) has a unique weak solution. and satisfy the inequality (x) n 1X bi 2 i=1 xi Then a(v. bi 2 W11 ( ).17). n. v ) 0 Z jvj2 dx + ! n Z X v 2 j x j dx . the Cau hy-S hwarz inequality and re alling the de. we dedu e the existen e of a unique u 2 H01 ( ) satisfying (1.14) hold.5). and hen e (a). and assume that (1.18) as the rest of the theorem has been proved above. f 2 L2 ( ).18) 2 Proof We only have to show (1. : : : .4) and (1. i = 1.17) where 0 = ~=(1 + ? ).14) v 2 j x j dx: (1. We en apsulate this result in the following theorem. onsequently. (1.20 CHAPTER 1. i i=1 (1. kukH ( ) 1 kf kL ( ) : 1 0 (1. a(v. : : : . the right-hand side an be further bounded below to obtain Z ~ jvj2 dx: (1.15) i By virtue of the Poin are-Friedri hs inequality stated in Lemma 1. Having he ked all hypotheses of the LaxMilgram theorem. n.11). (1. i. problem (1. (1.16). 2 L1 ( ).11).

we see that (1. 0 kuk2H ( ) a(u. 1 i. and = ( 1. 2 1 Now we return to our earlier example () whi h has been shown to have no lassi al solution. bi (x) 0. f (x) = sgn( 12 jxj). u) = l(u) = (f. (x) 0. i = j .14) is trivially ful. j n. applying the above theorem with aij (x) 1. However. aij (x) 0.4) holds with ~ = 1 and (1.nition of k kH ( ) . i 6= j . u) j(f. u)j kf kL ( ) kukL ( ) 1 1 2 kf kL ( ) kukH ( ) : 2 Hen e the desired inequality. 1)n .

. and oblique derivative boundary value problems. Robin. Thus () has a unique weak solution u 2 H01 ( ) by Theorem 2. as well as mixed problems. Similar results are valid in the ase of Neumann.lled.

Following a similar reasoning as in the ase of the Diri hlet boundary value problem. u = g on 2 . for example. and de.21 1. WEAK SOLUTIONS TO ELLIPTIC PROBLEMS Remark 2 Consider.2. the following Diri hlet-Neumann mixed boundary value problem: u = f in . We shall suppose that f 2 L2 ( ) and that g 2 L2 ( 2 ). ( ) = fv 2 H 1 ( ) : v = 0 on 1 1 g. relatively open subset of and 1 [ 2 = . we onsider the spe ial Sobolev spa e H01. where 1 is a non-empty. u = 0 on 1 .

ne the weak formulation of the mixed problem as follows: .

5). (1.nd u 2 H01. the existen e and uniqueness of a weak solution to this mixed problem easily follows. : : : . v ) = dx i=1 xi xi 1 1 and l (v ) = Z f (x)v (x) dx + Z g (s)v (s) ds: 2 Applying the Lax-Milgram theorem with V = H01. namely. i = 1. for ea h f 2 L2 ( ) there exists a unique (weak) solution u 2 H01 ( ). (1. then u1 u2 is the weak solution in H01 ( ) of (1. The latter property follows by noting that if u1 and u2 are weak solutions in H01 ( ) of (1.6) is well-posed in the sense of Hadamard. ( ).19) and hen e the required ontinuous dependen e of the solution of the boundary value problem on the right-hand side: Remark 4 The requirement bi 2 W11 ( ) in Theorem 2 an be relaxed to the original assumption bi 2 L1 ( ). n. ku1 u2kH ( ) 1 kf1 f2 kL ( ) . ( ) su h that a(u.5).5). note that the smoothness requirements on bi are unrelated to the veri.6) orresponding to the right-hand side f1 f2 2 L2 ( ). respe tively. and \small" hanges in f give rise to \small" hanges in the orresponding solution u.18). 1 0 2 (1. To see this. v ) = l(v ) for all v in H01. where we put Z X n u v a(u. (1. ( ). Thus. by virtue of (1. 1 Remark 3 Theorem 2 implies that the weak formulation of the ellipti boundary value problem (1.6) orresponding to right-hand sides f1 and f2 in L2 ( ).

ation of ondition ( ) in the Lax-Milgram .

INTRODUCTION theorem. i = 1. it remains to see how ondition (a) may be veri. Thus. only anyway. n. and ondition (b) an be shown with bi 2 L1 ( ).22 CHAPTER 1. : : : .

15).15) to (1.17) with 0 = ~=(2 + 2 ). a(v. pro eeding in the same way as in the transition from (1. i whi h is analogous to (1.4) and the Cau hy-S hwarz inequality.ed under the hypothesis bi 2 L1 ( ). Thus. i = 1. v ) ~jvj n X 2 H 1 ( ) 1 2 ~jv j 2 H 1 ( ) + i=1 Z k k bi 2L1 ( ) (x) Assuming that (x) we arrive at the inequality !1=2 Z jvjH ( ) kvkL ( ) + (x)jv(x)j2 dx 1 n 2X k bi k2L1 ( ) ~ i=1 2 ! n 2X kb k2 0 ~ i=1 i L1 ( ) a(v. n. : : : . By (1. this veri. v ) n 1 X ~ 2 i=1 Z jv(x)j2 dx: (1.17) we arrive at (1.20) v 2 j x j dx.

under the assumptions that bi 2 L1 ( ). i = 1. . n. (1.20) hold. only and (1.es ondition (a) in the Lax-Milgram theorem.4). : : : .

Chapter 2

Approximation of ellipti
problems

In this
hapter we des
ribe the
onstru
tion of

nite element methods for ellipti boundary value problems and outline some of their key properties. Unlike

nite

dieren
e s
hemes whi
h are
onstru
ted in a more-or-less ad ho
fashion through repla
ing the derivatives in the dierential equation by divided dieren
es, the derivation of

nite element methods is quite systemati . The .

rst step in the onstru tion of a .

(1.5).g. (1.nite element method for an ellipti boundary value problem (e.6)) is to onvert the problem into its weak formulation: .

g. H01 ( ) for the homogeneous Diri hlet boundary value problem).nd u 2 V su h that a(u. v ) = l(v ) 8v 2 V . ) is a bilinear fun tional on V V . The se ond step in the onstru tion is to repla e V in (P ) by a . and l() is a linear fun tional on V (e.10)).9) and (1.g. (P ) where V is the solution spa e (e. (1. a(.

nite-dimensional subspa e Vh V whi h onsists of ontinuous pie ewise polynomial fun tions of a .

xed degree asso iated with a subdivision of the omputational domain. then onsider the following approximation of (P ): .

where the (linearly independent) basis fun tions i . N (h) g. we an write uh (x) = N (h) X i=1 Ui i (x). for example. i = 1. : : : . i . have \small" support. N (h). Thus (Ph) an be rewritten as follows: . are to be determined. Expressing the approximate solution uh in terms of the basis fun tions. vh ) = l(vh ) 8vh 2 Vh. () where Ui . : : : .nd uh 2 Vh su h that a(uh. that dim Vh = N (h) and Vh = spanf1 . : : : . i = 1. (Ph ) Suppose. N (h).

nd (U1 . : : : . UN (h) ) 2 R N (h) su h that 23 .

After this brief outline of the idea behind the . : : : . this property is ru ial from the point of eÆ ient solution { in parti ular. UN (h) )T . with the matrix of the system A = (a(j . j )Ui = l(j ). UN (h) )T . i ) = 0 for most pairs of i and j . : : : . : : : . APPROXIMATION OF ELLIPTIC PROBLEMS N (h) X i=1 a(i . (Ph0 ) This is a system of linear equations for U = (U1 . j = 1. a(j .24 CHAPTER 2. fast iterative methods are available for sparse linear systems. On e (Ph0 ) has been solved for U = (U1 . N (h). i )) of size N (h) N (h): Be ause the i 's have small support. the expansion () provides the required approximation to u. so the matrix A is sparse (in the sense that most of its entries are equal to 0).

nite element method.1 Pie ewise linear basis fun tions In this se tion we des ribe the onstru tion of the . we illustrate the onstru tion of this numeri al te hnique by onsidering some simple examples. 2.

nite element method through two simple examples: the .

the se ond model problem is the homogeneous Diri hlet boundary value problem for Poisson's equation on the unit square in the plane. For the time being we shall assume that the .rst of these is a two-point boundary value problem for a se ond-order ordinary dierential equation.

1℄. 1) with p(x) ~ > 0 and q (x) 0 for all x in [0. The weak formulation of this problem is: . u(1) = 0. (2.1) (2. 1℄. u(0) = 0. f 2 L2 (0. q 2 C [0. One-dimensional problem Let us onsider the boundary value problem x 2 (0. Higher-degree pie ewise polynomial approximations will be dis ussed later on in the notes. 1℄. (p(x)u0 )0 + q (x)u = f (x).nite element spa e Vh onsists of ontinuous pie ewise linear fun tions. 1).2) where p 2 C [0.

nd u 2 H01 (0. (P ) In order to onstru t the . 1): 9 > > = > > . 1) su h Zthat Z 1 0 p(x)u0 (x)v 0 (x) dx + 1 0 q (x)u(x)v (x) dx = Z 1 0 f (x)v (x) dx 8v 2 H01(0.

nite element approximation of this problem. as shown in Fig 2. N . where h = 1=N . N 2. N 1. : : : . We note that in general the mesh points xi need not be equally spa ed: here we have hosen a uniform spa ing only to simplify the exposition.1. 1℄ into N subintervals [xi . xi+1 ℄. by the points xi = ih. we subdivide = [0. i = 0. . : : : . i = 0.

1.2: The pie ewise linear .1: Subdivision of = [0.25 2. 1℄: xi 1 ZZZ Z Z Z 1 ZZ ZZ xi ZZ xi+1 Figure 2. PIECEWISE LINEAR BASIS FUNCTIONS 0 = x0 x1 x2 : : : xi ::: xN = 1 Figure 2.

xi+1 ) are referred to as element domains or elements. The subintervals (xi . (hen e the name .nite element basis fun tion i (x).

1) of problem (P ) will be approximated by a ontinuous pie ewise linear fun tion on the subdivision depi ted in Figure 2.nite element method). the weak solution u 2 H01 (0. In this example. It will be onvenient to express our approximation as a linear ombination of the .1.

: : : . N 1. 1). supp i = [xi 1 .nite element basis fun tions x xi j i (x) = 1 j h + . i = 1. N 1 g is an (N 1)-dimensional subspa e of H01 (0. The . i = 1. i = 1. shown in Figure 2. : : : . : : : . : : : . It is lear that i 2 H01 (0. xi+1 ℄. 1). and the fun tions i . are linearly independent. therefore Vh := spanf1 . N 1. N 1.2. furthermore.

nite element approximation of (P ) is: .

N 1 g. Vh : > (Ph ) it an be written as a linear ombination . : : : .nd uh 2 Vh su h that Z 1 0 p(x)u0h (x)vh0 (x) dx + = Sin e uh 2 Vh Z 1 Z0 1 0 q (x)uh(x)vh (x) dx f (x)vh (x) dx = spanf1 . 8vh 2 9 > > > > = > > > .

26 CHAPTER 2. APPROXIMATION OF ELLIPTIC PROBLEMS of the basis fun tions: uh(x) = N X1 i=1 Ui i (x): Substituting this expansion into (Ph) we obtain the following problem. equivalent to (Ph ): 9 .

1. : : : .e.nd U = (U1 . AT = A) and positive de. : : : . j = 1. (Ph0 ) 1. UN 1 )T 2 R N 1 su h that > > N X1 i=1 Ui Z 1 0 [p(x)0i (x)0j (x) + q (x)i (x)j (x)℄ dx = for j = 1. N Fj := Z 1 0 f (x)j (x) dx. i. [p(x)0i (x)0j (x) + q (x)i (x)j (x)℄ dx. F = (F1 . j = 1. : : : . N > > > > > = > > > > > > > . : : : . where A = (aji). (Ph0 ) an be written as a system of linear equations AU = F. FN 1 )T . : : : . N Letting aji := Z 1 0 1: Z 1 0 f (x)j (x) dx. The matrix A is symmetri (i.

aji is zero. UN 1 into the expansion uh(x) = N X1 i=1 Ui i (x) to obtain uh. unless ji j j 1). = : 0. j i j j > 1: 8 < 2p=h + 4hq=6. i = j. : : 0. Having solved the system of linear equations AU = F . i = j. xT Ax > 0. In pra ti e the entries aji of the matrix A and the entries Fj of the ve tor F are al ulated approximately using numeri al integration (quadrature) rules. 1℄. we substitute the values U1 . p=h + qh=6. ji j j = 1. + q h=6.nite (i.e. Sin e supp i \ supp j has empty interior when ji j j > 1. ji j j = 1. = p 1=h. i = j. j i j j > 1: . 0. < 4h=6. the entries of A an be al ulated exa tly: aij = p Z 1 80 < 0 (x)0 (x) dx + q i j Z 1 0 i(x)j (x) dx 8 2=h. it follows that the matrix A is tri-diagonal (namely. x 6= 0). : : : . j i j j > 1. In the simple ase when p and q are onstant fun tions on [0. ji j j = 1.

1. N 1. : : : .3: A subdivision (triangulation) of . This gives rise to the following set of linear equations: p Ui 1 U + 4Ui + Ui+1 1 2Ui + Ui+1 +q i 1 = 2 h 6 h Z xi+1 xi f (x)i (x) dx. respe tively). This is a three-point .27 2. 1 i = 1. PIECEWISE LINEAR BASIS FUNCTIONS Figure 2. with the onvention that U0 = 0 and UN = 0 ( orresponding to the fa t that uh(0) = 1 and uh(1) = 0.

Two-dimensional problem Let be a bounded domain in R 2 with a polygonal boundary . thus an be exa tly overed by a . the values of uh (x) at the mesh points xi .nite dieren e s heme for the values Ui .

as shown in Fig. It will be assumed that any pair of triangles in a triangulation of interse t along a omplete edge. 2. or not at all.3. at a vertex.nite number of triangles. and we de. We shall denote by hK the diameter (longest side) of triangle K .

ne h = maxK hK . With ea h interior node (marked .

in the .

y ). let 1 (x. The fun tions 1 . Let us suppose that the interior nodes are labelled 1. as shown in Fig. Let us onsider the ellipti boundary value problem u = f in .4. N (h) (x. 2. : : : . . N (h).gure) we asso iate a basis fun tion whi h is equal to 1 at that node and equal to 0 at all the other nodes. : : : . 2. y ) be the orresponding basis fun tions. is assumed to be a ontinuous fun tion on and linear in ea h of the triangles. N (h) are linearly independent and they span an N (h)-dimensional linear subspa e Vh of H01 ( ). : : : .

APPROXIMATION OF ELLIPTIC PROBLEMS 1 0 0 0 0 0 0 Figure 2.4: A typi al .28 CHAPTER 2.

nite element basis fun tion . u = 0 on : In order to onstru t the .

aij (x) 1 for i = j and 0 for i 6= j . bi (x) 0 for all i and (x) 0): . we begin by onsidering its weak formulation (see the dis ussion about weak solutions in Chapter 1 in the spe ial ase when n = 2.nite element approximation of the problem.

nd u 2 H01 ( ) su h that u v u v dx d y = + y y x x Z Z fv dx dy 8v 2 H01( ): The .

nite element approximation of the problem is: .

the .nd u 2 Vh su h that Z h Z uh vh uh vh dx dy = fvh dx dy + y y x x Writing uh (x. y ) = N (h) X i=1 Ui i (x. y ).

nite element method an be restated as follows: .

: : : . UN (h) )T 2 R N (h) su h that 8vh 2 Vh: .nd U = (U1 .

1. PIECEWISE LINEAR BASIS FUNCTIONS N (h) X Z i j i j dx d y = + Ui x x y y i=1 for j = 1. FN (h) )T . F = (F1 .29 2. aij = aji = Fj = Z Z i j i j + x x y y dx dy. : : : . : : : . Letting A = (aij ). Z fj dx dy. N (h). fj dx dy. the .

ij = x 8 > > > > > > > > < > > > > > > > > : 1=h. y ) 2 1 (x. y ) 2 2 (x. we obtain U = (U1 . y ) 2 6 otherwise. y ) 2 1 (x.nite element approximation an be written as a system of linear equations AU = F: Solving this. yj ) (see Fig. xih x . 0. 1) (0. 6 denote the triangles surrounding the node (xi . j where 1. : : : . 1=h. 1) and onsider the triangulation of shown in Fig. y ) 2 4 (x. and hen e the approximate solution uh (x. : : : . y ) = N (h) X i=1 Ui i (x. 0. To simplify matters let us suppose that = (0. y ) 2 4 (x. 2. Let ij denote the basis fun tion asso iated with the interior node (xi . . y ): The matrix A is alled the stiness matrix.5. 1=h.) Thus. y ) = 8 > > > > > > > > < > > > > > > > > : 1 1 1 1 1 1 0 x xi y hyj . (x. h (x. y ) 2 3 (x. 1=h. y ) 2 3 y y h . y yj h . yj ): ij (x. 2. 0.6. (x. The ase of a general triangulation will be onsidered later. y ) 2 6 otherwise. y ) 2 5 (x. y ) 2 5 (x. y ) 2 2 (x. x xi . h xi x yjh y h . 2. UN (h) )T .

. 1℄. APPROXIMATION OF ELLIPTIC PROBLEMS 6y yN = 1 is si si si si si si si si . .30 CHAPTER 2. .6: Triangles surrounding a node. 2 3 1 6 4 5 si Figure 2. y1 -x xN = 1 x0 = 0 x1 : : : Figure 2.5: Triangulation of = [0. 1℄ [0.

l Uk. N the . 0. k. y ) 2 2 (x.31 2. 1=h. (x. THE SELF-ADJOINT ELLIPTIC PROBLEM and ij = y Sin e N X1 N X1 i=1 j =1 = 4Ukl Uij Z Uk 1. 0. 0.l 8 > > > > > > > > < > > > > > > > > : 1=h.2. :::. y ) 2 3 (x. l = 1.l 1 Uk. 1=h. y ) 2 5 (x. 1=h. y ) 2 6 otherwise: ij kl ij kl dx d y + x x y y Uk+1. y ) 2 4 (x.l+1 . y ) 2 1 (x.

N = 2 h supp Ukl = 0 on : 1.nite element approximation is equivalent to Uk+1. y )kl(x.l + Uk 1. kl Thus.l + Uk.l Uk. y ) dx dy.l+1 2Uk. l = 1. k. the .l 1 2 h2 Z Zh 1 f (x. : : : . 1.l 2Uk. on this spe ial triangulation of .

nite element approximation gives rise to the familiar 5-point .

2 The self-adjoint ellipti problem Let us onsider.5) We re all from Chapter 1 that the weak formulation of (2.4) where is a bounded open set in R n . xj xi xi i.3) (2.3). i = 1.nite dieren e s heme with the for ing fun tion f averaged in a spe ial way. the ellipti boundary value problem n X n X u u aij (x) + bi (x) + (x)u = f (x). i. j = 1. and assume that there exists a positive onstant ~ su h that n X i. f 2 L2 ( ). n. 2 L1 ( ). bi 2 W11 ( ). : : : .j =1 i=1 u = 0 on . (2. x 2 . n) 2 R n . as in Chapter 1.j =1 aij (x)i j ~ n X i=1 i2 8 = (1 .4) is: . n. aij 2 L1 ( ). : : : . 8x 2 : (2. : : : . (2. 2.

6) . v ) = l(v ) 8v 2 H01( ). (2.nd u 2 H01 ( ) su h that a(u.

) and the linear fun tional l() are de.32 CHAPTER 2. APPROXIMATION OF ELLIPTIC PROBLEMS where the bilinear fun tional a(.

: : : . and bi (x) 0.j =1 u = 0. i. xj xi i. i. v ) = n Z X i. on (2. j = 1. In the spe ial ase when the boundary value problem is self-adjoint.6) has a unique solution u in H01 ( ). (2. w 2 H01( ). It turns out that (2. aij (x) = aji (x). x 2 .7) with aij (x) satisfying the ellipti ity ondition (2. i = 1. we de. in the rest of this se tion this will always be assumed to be the ase. f (x)v (x) dx: We have shown that if (x) n bi 1X 2 i=1 xi 0. n. (x) 0.7) an be restated as a minimisation problem. then (2.ned by a(u. aij (x) = aji (x). n. x 2 . w) = a(w. x 2 . ) is symmetri in the sense that a(v.3).j =1 n X u v dx + aij xi xj i=1 and l (v ) = Z Z u bi (x) v dx + xi Z (x)uv dx. x 2 .4). the bilinear fun tional a(.e. : : : . x 2 . Thus we onsider n X u aij (x) + (x)u = f (x). the weak solution of (2.5). v ) 8v. To be more pre ise.

then u is the unique minimiser of J () over H01 ( ).6) in H01 ( ) and suppose that a(. ) is a symmetri bilinear fun tional on H01 ( ). .ne the quadrati fun tional J : H01 ( ) ! R by 1 J (v ) = a(v. v 2 H01 ( ): 2 Lemma 3 Let u be the (unique) weak solution to (2. v ) l(v ).

8v 2 H01 ( ). v) 2a(u. by virtue of (2. u) l(v u) = 12 a(v. but then.8). v) + a(u. THE SELF-ADJOINT ELLIPTIC PROBLEM 33 Let u be the unique weak solution to (2. v) a(u. 0 2 2 kv ukH J (v) J (u) 1 ( ) 8v 2 H01( ). v u): Be ause of (1. v) a(v. v) 12 a(u. Thus J (v) J (u) and therefore. 1 and hen e u = u~.10) . if u~ also minimises J () on H01 ( ). a(v u. onsider J (v) J (u): 1 1 a(u. u is the unique minimiser of J () in H01 ( ). u)℄ = 12 [a(v. for v 2 H01 ( ).2.9) and v = u in (2. J ((1 )v + w) (1 )J (v ) + J (w) 8 2 [0.8) (2. u) + a(u. u) + l(u) J (v) J (u) = a(v.6) in H01 ( ) and. u)℄ = 21 a(v u. 1℄. (2.e. v u) = 21 [a(v.17). i.9) i. v) l(v) 2 2 1 1 = 2 a(v. Indeed. u minimises J () over H01 ( ). then J (v) J (~u) 8v 2 H01 ( ): Taking v = u~ in (2. ku~ ukH ( ) = 0. v) 2 a(u. v u): Proof Then e 1 2 J (v) J (u) = a(v u.10). w 2 H01( ): (2. u) a(u.e. 8v. v u) 0 kv uk2H 1 ( ) . It is easily shown that J () is onvex (down). we dedu e that J (u) = J (~u). In fa t.2. where 0 is a positive onstant.

8v 2 H01( ). This lemma is pre isely the onverse of the previous lemma. APPROXIMATION OF ELLIPTIC PROBLEMS R J (v ) J (u) H01 ( ) u Figure 2. 2 we dedu e that if u minimises J () then lim[a(u. and the two results together express the equivalen e of the weak formulation: . The problem (2. (1 J (u + v ) J (u) =0 !0 J 0 (u)v := lim for all v 2 H01 ( ). then u is the (unique) solution of problem (2. v ) l(v ) + a(v. v ). Lemma 4 Suppose that u 2 H01 ( ) minimises J () over H01 ( ). v w) 2 and the fa t that a(v w. This follows from the identity 1 )J (v ) + J (w) = J ((1 )v + w) + (1 )a(v w.34 CHAPTER 2. v ) l(v ) = 0 !0 2 whi h proves the following result. v )℄ = a(u. if u minimises J () then J () has a stationary point at u. Moreover.7: The quadrati fun tional J ().6) is alled the Euler{Lagrange equation for this minimisation problem. v w) 0. v ) l(v ) + a(v.6). Sin e J (u + v ) J (u) = a(u. namely.

2. CALCULATION AND ASSEMBLY OF STIFFNESS MATRIX .3.

7) to the asso iated minimisation problem: .nd u 2 H01 ( ) su h that a(u. v ) = l(v ) 8v 2 H01( ) 35 (W ) of the self-adjoint ellipti boundary value problem (2.

nd u 2 H01 ( ) su h that J (u) J (v ) 8v 2 H01( ): (M ) We shall now use this equivalen e to give a variational hara terisation of the .

nite element approximation uh to u in the self-adjoint ase. Given that Vh is a ertain .

nite-dimensional subspa e of H01 ( ) whi h onsists of ontinuous pie ewise polynomials of a .

the .xed degree.

.nite element approximation of (W ) is:.

nd uh 2 Vh su h that a(uh. vh ) = l(vh ) 8vh 2 Vh: (Wh) We an repeat the argument presented above (or simply repla ing H01 ( ) by Vh throughout) to show the equivalen e of (Wh ) to the following minimisation problem: .

(Mh ) Thus. uh an be hara terised as the unique minimiser of the fun tional 1 J (vh ) = a(vh . vh) l(vh ) 2 as vh ranges over the .nd uh 2 Vh su h that J (uh) J (vh ) 8vh 2 Vh.

nite element spa e Vh . This means that the .

in general J (u) < J (uh). 2.3 Cal ulation and assembly of stiness matrix Using the variational hara terisation of uh des ribed at the end of the previous se tion we return to the onstru tion of the .nite element solution uh inherits the energy minimisation property possessed by the weak solution u 2 H01 ( ) in the sense that: J (vh ): J (uh) = vmin 2V h h Of ourse.

at a vertex or not at all. u = 0 on . We onsider .nite element approximation to Poisson's equation u = f in subje t to homogeneous Diri hlet boundary ondition. subdivided into M triangles K . we now suppose that is a bounded polygonal domain in the plane. Rather than restri ting ourselves to the spe ial ase when is a square. in the ase of a general triangulation. so that any pair of ( losed) triangles interse t only along a omplete edge.

APPROXIMATION OF ELLIPTIC PROBLEMS the set of all ontinuous pie ewise linear fun tions vh de.36 CHAPTER 2.

i is the ontinuous pie ewise linear basis fun tion asso iated with this node. y ) at the node (xi .ned on su h a triangulation with the property that vh = 0 of . y ). Equivalently. y ) dx dy as vh ranges over Vh . writing vh (x. y)j 2 dx d y Z f (x. y ) = N X i=1 Vi i (x. where Vi is the value of vh (x. uh is hara terised as the unique minimiser of the fun tional 1 J (vh ) = 2 Z jrvh(x. the linear spa e onsisting of all su h fun tions vh is denoted Vh . we an write this minimisation problem in matrix form as follows: . Thus. yi ). and N is the number of nodes internal to . y )vh(x.

and introdu e the position ve tors ri = (xi .11) where V = (V1 . : : : . j ) = (ri . j ) entry a(i . y ) dx dy: Consider any triangle K in the triangulation of . ) + r3 3 (. 3. ) 7! r = (x. A is the (global) stiness matrix . y ) de.8. ): (2. y ) of any point in the triangle K an be written as a onvex ombination of the oordinates of the three verti es: r = (1 )r1 + r2 + r3 r1 1 (. and F = (F1 . yi). : : : . say. of its three verti es labelled in the anti- lo kwise dire tion. with Fi = (f. (2. The oordinate r = (x. 3 g is alled the nodal basis (or lo al basis) for the set of linear polynomials in terms of the lo al oordinates. i ) = Z f (x. y) rj (x. FN )T is the (global) load ve tor. ) + r2 2 (. Consider the transformation (. i = 1. In addition. VN )T . ) oordinate system and the anoni al triangle depi ted in Figure 2. 2. rj ) = Z ri(x. we onsider a so- alled lo al (.nd V 2 RN su h that 12 V T AV V T F is minimum. y )i(x. y) dx dy.an N N matrix with (i. 2 .12) The set f 1 .

12) from the anoni al triangle to the `global' (x.ned by (2. y ) oordinate system. Let J T denote the transpose of the Ja obi matrix J of this transformation. y ) = (. thus. JT (x. ) T = xx2 3 x1 y2 x1 y3 y1 y1 .

Similarly. (2. 0) (1. 3.13) jJ j = 2A123 where A123 is the area of the triangle K = (r1 . r2 . 2 = det 4 x1 y1 1 x2 y2 1 x3 y3 1 3 5. for any fun tion vh 2 Vh . vh (x. 2.s s 2.3.15) Consequently. however.8: Canoni al triangle and lo al oordinates. )) = V1 1 (. CALCULATION AND ASSEMBLY OF STIFFNESS MATRIX 6 (0. r3). i = 1. from whi h it follows that the Ja obian is jJ j = jJ T j = det xx23 xx11 yy23 yy11 namely. y ) = vh (r(.12) and the form of the matrix J T we have that 2 vh 3 4 5 vh = 2 vh 3 x 5. In order to determine the entries of the stiness matrix. JT 4 vh y 2 vh 3 x 5 4 vh y 2 vh 3 14 5: vh = (J T ) (2. from (2. ) + V3 3 (. 1) 3 1 2 (0. ) + V2 2 (. 0) 37 s Figure 2.17) .14) where Vi is the value of vh at the node of the triangle K with position ve tor ri . vh 1 = x jJ j (y3 1 vh = y jJ j v y1 ) h (x3 x1 ) Hen e jJ j jrvhj 2 2 = jr3 r1 j 2(r3 2 v y1 ) h (y2 vh + (x2 vh 2 + jr2 r1 ) (r2 r1 ) x1 ) r1 j (2. ).16) vh : 2 vh vh vh 2 (2. we need the gradient of vh in the global oordinate system. (2.

we . V2 . V3 . y)j2 dx dy from triangle K is Z K jrvh(x. APPROXIMATION OF ELLIPTIC PROBLEMS and from (2.17) and (2. y)j 2 dx d y = XZ K K jrvh(x.18) into this formula yields a quadrati form in the nodal values V1 .18) As vh (x. after a little algebra.14) and (2. rvh is onstant on K so the ontribution to Z jrvh(x. y ) is linear on ea h triangle K in the triangulation.12) it follows that vh = V2 vh = V3 V1 .38 CHAPTER 2. V1 : (2. y)j2 dx dy = A123 jrvhj2 = 12 jJ jjrvhj2 = 4A1 jJ j2jrvhj2: 123 Substitution of (2.

V2. Let us denote by N the number of nodes internal to . M g is the number of the triangle K in the global numbering and Ak is the symmetri 3 3 element stiness matrix: 3 2 jr2 r3j2 (r2 r3) (r3 r1) (r2 r3) (r1 r2) 1 4 Ak = jr3 r1j2 (r3 r1 ) (r1 r2 ) 5 : 4A123 symm: jr1 r2 j2 Assembly of the global stiness matrix entails relating the lo al numbering of the nodes to the global numbering system. Let us label by N + 1. obtained by y li permutations of the indi es in these expressions. respe tively. as uh(x. : : : N the nodes that lie on the boundary of (thus N is the total number of nodes of whi h N are internal and N N are on the boundary). N + 2. K V3 where k 2 f1. V3℄Ak 4 V2 5 . y ). V3 V1 . As uh = 0 on the .nd that the oeÆ ient of V12 is jr3 r1j2 + jr2 r1j2 2(r3 r1 ) (r2 r1 ) = jr3 r2 j2 and the oeÆ ient of V1 V2 is 2jr3 r1 j2 + 2(r3 r1 ) (r2 r1 ) = 2(r2 r3 ) (r3 r1 ) with similar expressions for the oeÆ ients of V22 . : : : . N is pre isely the number of unknowns: U1 . : : : . y ) = N X i=1 Ui i(x. y)j2 dx dy = [V1. V32 and V2 V3 . UN . Thus we dedu e that 2 3 Z V1 jrvh(x.

with the understanding that the oeÆ ients Uj . known (to be zero) from the boundary ondition. CALCULATION AND ASSEMBLY OF STIFFNESS MATRIX 39 boundary. and write uh(x. in fa t. we onsider the Boolean matrix1 Lk of size N 3 whose entries are de. we an adopt the notational onvention that UN +1 = UN +2 = : : : UN = 0. For the kth triangle K . y ). : : : .2.3. y ) = N X i=1 Ui i(x. N are. j = N + 1.

ned as follows: if in al ulating the matrix Ak the node with position ve tor r1 is the ith node in the global numbering. N g. : : : . i 2 f1. N. then the . : : : .

the se ond and third olumn depend on the global numbering of the nodes with position ve tors r2 and r3 appearing in the matrix Ak . similarly. Then.rst olumn of Lk has unit entry in the ith row. the so alled full stiness matrix A is an N N matrix de.

and the last N N entries of F to obtain to global load ve tor F . j )). The full load ve tor F = (F1 . 2. j ) 2 f1. on e the value Akij has been al ulated it is added into the full stiness matrix A at position (LNODS (k. A = k=1 (Lk )T where is the transpose of the matrix Lk . LNODS (k. FN . LNODS (k. we loop through all the triangles in the triangulation of . we erase the last N N rows and olumns of A to obtain the global stiness matrix A. : : : . and al ulate Akij for i. : : : . By letting k = 1. UN )T . When programming this. M . 3 from the formula for Ak given above. where M is the number of triangles in the triangulation of . j = 1. k = 1. and then solve the linear system AU = F to determine the ve tor of unknowns U = (U1 . let us note that the minimisation problem (2. : : : .ned as a sum over the elements K in the triangulation of the domain: M X Lk Ak (Lk )T .11) an be restated in the following equivalent form: . : : : FN )T is built up in the same way. instead of working with M Boolean arrays Lk . On e A and F have been found. i). : : : . : : : . M . In order to justify more learly the ompression of A to A and F to F . N g is equal to the global number of the node rj in the kth triangle. it is more e onomi al to store the information ontained in the arrays Lk in a single onne tivity array LNODS whi h has dimension M 3.

19) Sin e the last N N entries of V are equal to 0.e. : : : . the last N N rows and olumns of A and the last N N entries of F an be dis arder sin e they are all multiplied 1 i. : : : . 0)T 2 R N su h that 12 V T A V V T F is minimum: (2. 0.nd V = (V1 . VN . a matrix whose entries are 0s and 1s .

40 CHAPTER 2. followed by ompression. Even though it may seem that we are doing unne essary work when omputing entries of A and F whi h are then thrown away when A is ompressed to A and F is ompressed to F . No su h diÆ ulties arise when we work with A and F . leading to a slower assembly pro ess. sin e in the latter ase spe ial are has to be taken for nodes whi h belong to triangles with at least one boundary point. the assembly of A and F . APPROXIMATION OF ELLIPTIC PROBLEMS by entries of V that are equal to zero. It is worth noting that in pra ti e it is not essential that the . is typi ally a faster pro ess than the dire t assembly of A and F .

rst N indi es in the set f1. N g orrespond to the interior nodes and the last N N to the boundary nodes: indeed.4 Galerkin orthogonality. the nodes may be numbered in any order. the only thing that matters is that rows and olumns of A and entries of F orresponding to boundary nodes are dis arded when A and F are formed. Here we have hosen the last N N nodes of a total of N to be those on the boundary simply for ease of presentation. Cea's lemma Having des ribed the onstru tion of the . : : : . 2.

j = 1. bi 2 W11 ( ). we now outline the basi tools for its error analysis. xj xi xi i=1 i.21) where is a bounded open set in R n . x 2 .22) The weak formulation of (2.20) (2.j =1 aij (x)i j ~ n X i=1 8 = (1. f 2 L2 ( ). 2 L1 ( ). Let us onsider the ellipti boundary value problem n X n X u u aij (x) + bi (x) + (x)u = f (x). n. n) 2 R n . (2. : : : .20). i.nite element method. aij 2 L1 ( ). (2. : : : .j =1 u = 0 on . i = 1. and assume that there exists a positive onstant ~ su h that n X i. 8x 2 : i2 (2. n.21) is: . : : : .

(2. v ) = l(v ) 8v 2 H01( ).23) where the bilinear fun tional a(.nd u 2 H01 ( ) su h that a(u. ) and the linear fun tional l() are de.

j =1 n X u v dx + aij xi xj i=1 and l (v ) = Z Z u bi (x) v dx + xi f (x)v (x) dx: Z (x)uv dx.ned by a(u. v ) = n Z X i. .

x 2 .23) has a unique solution u in H01 ( ). then (2. kukH ( ) 1 kf kL ( ) .20). 0 where 0 is as in (1.21). 2. Now suppose that Vh is a . CEA'S LEMMA 41 We have shown that if (x) n bi 1X 2 i=1 xi 0. Moreover. the weak solution of (2.4.17). GALERKIN ORTHOGONALITY. (2.

nite-dimensional subspa e of H01 ( ). without making further pre ise assumptions on the nature of Vh (although we shall impli itly assume that Vh onsists of ontinuous pie ewise polynomials de.

ned on a subdivision of \.

The .neness" h of the omputational domain ).

23) is: .nite element approximation of (2.

25) is referred to as Galerkin orthogonality and will be seen to play a ru ial role in the error analysis of . vh ) = 0 (2.nd uh in Vh su h that a(uh. (2. Subtra ting (2.25) The property (2. Vh is ontained in H01 ( ) it follows from the Lax-Milgram theorem that (2.24) has a unique solution uh in Vh . a(u uh.24) from this identity we dedu e that 1 2 for all vh 2 Vh . a(u. vh ) = l(vh ) for all vh 2 Vh . namely.23) holds for any v = vh 2 Vh . Moreover. by hypothesis.24) As. (2. vh ) = l(vh ) for all vh 2 Vh .

0 1 Thus we have proved the following result. 1 . we dedu e that ku uhkH ( ) 1 ku vhkH ( ) for all vh 2 Vh. u vh). a(u uh. by (1. 1 0 it follows from (2. 1 0 further. u uh).25) that ku uhk2H ( ) 1 a(u uh.nite element methods.17). with v = u uh 2 H01 ( ) we have that ku uhk2H ( ) 1 a(u uh.13). u vh ) 1 ku uhkH 1 ( ) ku vhkH ( ) : 1 Combining the last two inequalities. Sin e by (1.

APPROXIMATION OF ELLIPTIC PROBLEMS Lemma 5 (Cea's lemma) The .42 CHAPTER 2.

(2. is the near-best . the weak solution to the problem (2.21).nite element approximation uh to u 2 H01 ( ).20).

for a typi al . i.t to u in the norm k kH ( ) .e.. 1 ku uhkH ( ) 1 vmin ku vhkH ( ) : 2V 1 0 1 h h Remark 5 We shall prove in the next hapter that.

h is the meshsize parameter (the maximum diameter of elements in the subdivision of the omputational domain) and s is a positive real number. dependent on the smoothness of u and the degree of pie ewise polynomials omprising the spa e Vh . It shows. Su h a bound on the global error is alled an a priori error bound (the terminology stems from the fa t that (2. that as h ! 0 when re. dependent on the smoothness of u.nite element spa e Vh .26) whi h is a bound of the global error eh = u uh in terms of the mesh-size parameter h. in parti ular.26) an be stated prior to omputing uh). with the aid of Cea's lemma we shall be able to dedu e that ku uhkH 1 1 s h ( ) C (u) 0 (2. Hen e. min ku vh kH ( ) C (u)hs v 2V 1 h h where C (u) is a positive onstant.

the sequen e of .ning the subdivision further and further.

where " > 0. Example 6 In this example we highlight a further point on erning the a priori error bound (2. b = (b1 .nite element solutions fuhgh onverges to u in the H 1( ) norm.26): for ertain ellipti problems the ratio 1 = 0 an be very large. with bi 2 W11 ( ) for i = 1. For the sake of simpli ity. : : : . bn )T . n. on . Su h problems arise in the mathemati al modelling of adve tion-diusion phenomena. Suppose that is a bounded open set in R n . : : : . While this result is reassuring from the theoreti al point of view. and then the mesh-size h has to be taken extremely small before any redu tion in the size of the global error is observed. Later on we shall dis uss a posteriori error bounds whi h make expli it use of the omputed solution uh and provide omputable bounds on the global error. it is of little pra ti al relevan e as the onstant C (u) involved in (2. When adve tion dominates diusion the so- alled Pe let number P Pe = n i=1 k k bi 2L1( ) " 1=2 .26) is diÆ ult to quantify (given that it depends on the unknown analyti al solution u). we shall suppose that div b 0 almost everywhere on . Consider the following boundary value problem: "u + b ru = f u = 0 in .

CEA'S LEMMA 43 is very large (say.27) Thus. 0 ku uhkH ( ) (1 + 2? )1=2 (1 + P e2 )1=2 C (u)hs: 1 (2. GALERKIN ORTHOGONALITY.26) gives 0 = n X i=1 kbik2L1( ) !1=2 " : (1 + 2? )1=2 1 = (1 + 2? )1=2 (1 + P e2 )1=2 . A simple al ulation shows that for the present problem 1 = " 2 + and Therefore and (2. in fa t. when " << 1.4. the onstant on the right-hand side in this error bound is made very large through the presen e of the Pe let number. of the order 106 to 108 ). things are even worse: the onstant C (u) also depends on " through u (typi ally C (u) >> 1 when " << 1). 2. We shall not onsider the .

The point that we wish to make is merely that are should be taken when attempting to draw pra ti ally relevant on lusions from theoreti al results of the kind (2.nite element approximation of adve tion-dominated diusion problems any further. As it happens.26). the poor quality of the a priori error bound (2.27) when P e >> 1 is merely a re e tion of the fa t that for adve tiondominated diusion equations onventional .

it follows that ku vhkH ( ) . when the problem is self-adjoint. In order to put this example into perspe tive. so Cea's lemma implies that ku vhkH ( ) : ku uhkH ( ) vmin 2V 1 1 h h In fa t. : : : . when b 0 on : then 1 = 0 = ". sin e the left-hand side of this inequality annot be stri tly less than the right-hand side (this an be seen by hoosing vh = uh on the right). n. namely aij (x) aji(x) for all i. n. : : : .nite element methods are genuinely badly behaved: on oarse meshes the numeri al solution exhibits large unphysi al os illations whi h an only be eliminated by severely redu ing the mesh-size h. Let us de. ku uhkH ( ) = vmin 2V 1 1 h h so that uh is the best approximation to u from Vh in the H 1 ( ) norm. We shall show that a result of this kind holds in a slightly more general setting. we now dis uss the other extreme ase. bi (x) 0 for i = 1. j = 1.

w). v. w)a := a(v. w 2 H01 ( ): .ne (v.

) is a symmetri bilinear fun tional on H01 ( ) H01 ( ) and a(v.9: The error u uh is orthogonal to Vh. )a satis. v ) 0 kv k2H ( ) 8v 2 H01 ( ). APPROXIMATION OF ELLIPTIC PROBLEMS H01 ( ) s 0 s u >6 u uh uh Vh Figure 2. Be ause a(. it is easily seen that (.44 CHAPTER 2.

Let k ka denote the asso iated energy norm de.es all axioms of an inner produ t.

a(uh . v)℄1=2 : Sin e Vh H01 ( ). (2. in the self-adjoint ase. we dedu e that a(u.e. i.28) and using the fa t that a(. taking v = vh 2 Vh in the statement of (W ). vh ) = 0 8vh 2 Vh. ) is a bilinear fun tional. vh 2 Vh : (2. the error u uh between the exa t solution u and its .29) Subtra ting (2. (u uh. we dedu e the Galerkin orthogonality property a(u uh.28) also by. vh ) = l(vh ). vh )a = 0 8vh 2 Vh: (2. vh) = l(vh ).30) Thus. (Wh ). vh 2 Vh .29) from (2.ned by: kvka := [a(v.

9). u uh)a = (u uh.nite element approximation uh is orthogonal to Vh in the inner produ t (. u)a (u uh. vh )a = (u uh. By virtue of the orthogonality property (2. u vh )a 8vh 2 Vh : 1 .30). u)a (u uh. ku uhk2a = (u uh. uh)a = (u uh. )a (see Figure 2. u)a = (u uh.

by the Cau hy-S hwarz inequality. ku vhka: ku uhka = vmin 2V h h Thus we have proved the following re.2. OPTIMAL ERROR BOUND IN THE ENERGY NORM 45 Then e. ku uhk2a = (u uh. u vh )a ku uhka ku vhka 8vh 2 Vh. therefore ku uhka ku vhka 8vh 2 Vh: Consequently.5.

nement of Cea's lemma in the self-adjoint ase. Lemma 6 The .

nite element approximation uh 2 Vh of u 2 H01 ( ) is the best .

ku vhka: ku uhka = vmin 2V h h Cea's lemma is the key to the error analysis of the .t to u from Vh in the energy norm k ka . i.e.

for a parti ularly simple .nite element method for ellipti boundary value problems. In the next se tion we des ribe how su h an analysis pro eeds in the self-adjoint ase.

nite element spa e Vh onsisting of ontinuous pie ewise linear fun tions on . we shall employ Cea's lemma to derive an optimal error bound for the . The general ase is very similar and will be onsidered later on in the notes.5 Optimal error bound in the energy norm In this se tion. 2.

u(0) = 0. 1). u(1) = 0: Its weak formulation is: . for f 2 L2 (0. and a two-dimensional model problem { Poisson's equation subje t to homogeneous Diri hlet boundary ondition. 0 < x < 1. We shall onsider two examples: a one-dimensional model problem { a two-point boundary value problem. the boundary value problem u00 + u = f (x).nite element approximation (Wh ) of problem (W ) in the ase of pie ewise linear basis fun tions. One-dimensional problem Consider.

nd u in H01 (0. 1) su h that a(u. . v ) = l(v ) 8v 2 H01(0. 1).

APPROXIMATION OF ELLIPTIC PROBLEMS where a(u.46 CHAPTER 2. ) indu es the energy norm k ka de. v ) = and Z 1 0 (u0 (x)v 0 (x) + u(x)v (x)) dx Z 1 l (v ) = 0 f (x)v (x) dx: The symmetri bilinear fun tional a(.

ned by kwka = (a(w.1) : The . w))1=2 = Z 1 0 1=2 jw0(x)j2 + jw(x)j2 dx = kwkH 1 (0.

are not ne essarily equally spa ed. we onsider a general nonuniform subdivision: 0 = x0 < x1 < : : : < xN 1 < xN = 1. i = 0. using pie ewise linear basis fun tions. where the mesh-points xi . 1). N . has been des ribed in Se tion 2. : : : . It will be supposed that N 2 so that we have at least one mesh-point inside (0. instead of restri ting ourselves to uniform subdivisions of [0.1 (take p(x) 1 and q (x) 1 there to obtain the present problem). Here. 1℄. We put hi = xi xi 1 and de.nite element approximation of this problem.

we onsider the .ne the mesh parameter h = maxi hi . For su h a subdivision.

We put Vh = spanf1 . 1). We approximate the boundary value problem by the .nite element basis fun tion 8 0 if x xi 1 > > < (x xi 1 )=hi if xi 1 x xi i (x) = (x > i+1 x)=hi+1 if xi x xi+1 > : 0 if xi+1 x. : : : . : : : . N 1 g: Clearly Vh is an (N 1)-dimensional subspa e of H01 (0. N 1. for i = 1.

.nite element method 8vh 2 Vh.

1) : ku vhka = vmin ku uhkH (0. : : : .31) Let Ih u 2 Vh denote the ontinuous pie ewise linear fun tion on the subdivision fx0 .nd uh in Vh su h that a(uh . ) is symmetri it follows from Cea's lemma that ku vhkH (0.1) = ku uhka = vmin 2V 2V 1 1 h h h h (2. N . i = 0. xN g whi h oin ides with u at the mesh-points xi. : : : . Thus. vh) = l(vh ) Now sin e the bilinear fun tional a(. Ihu(x) = N X1 i=1 u(xi )i (x): . x1.

OPTIMAL ERROR BOUND IN THE ENERGY NORM 47 The fun tion Ih u is alled the interpolant of u from the .5.2.

1) : 2 (2. we see that ku uhkH (0.1) 1 h2 h 1+ 2 1=2 ku00kL (0. we shall now seek a bound on the interpolation error u Ih u in the same norm.31). The rest of this subse tion is devoted to the proof of the following estimate: ku IhukH (0. Choosing vh = Ih u in (2. 1) norm.32) 1 Thus.nite element spa e Vh.1) : 1 (2. 1) and let Ih u be the interpolant of u from the .33) Theorem 3 Suppose that u 2 H 2 (0.1) ku IhukH (0. to derive a bound on the global error u uh in the H 1 (0.

nite element spa e Vh de.

1) : 2 Consider a subinterval [xi 1 .1) 2 2 h ku00kL (0. 2 h ku00kL (0. and de.1) 2 ku0 (Ih u)0 kL (0. 1 i N . then the following error bounds hold: ku IhukL (0.ned above. xi ℄.1) .

Therefore an be expanded into a onvergent Fourier sine-series. xi ℄. Then 2 H 2 (xi 1 . xi ) and (xi 1 ) = (xi ) = 0. while those of 00 are (k=hi )2 ak . Proof (x) = 1 X k=1 Hen e. xi ℄: hi 1 hi X 2 [ (x)℄ dx = Z xi 2 k=1 jak j : Dierentiating the Fourier sine-series for twi e. x 2 [xi 1 .ne (x) = u(x) Ih u(x) for x 2 [xi 1 . xi Z xi xi Z xi xi 2 1 [ 0 (x)℄2 dx 1 [ 00 (x)℄2 dx 1 1 k X = h2i hi k=1 1 k X = h2i hi k=1 2 4 jak j2. x 1 2 Z x hi [ 00 (x)℄2 dx: x 1 i i i i . we dedu e that the Fourier oeÆ ients of 0 are (k=hi )ak . Thus. ak sin k(x xi 1 ) . jak j2: Be ause k4 k2 1. it follows that Z xi xi Z xi xi [ (x)℄2 dx 1 1 [ 0 (x)℄2 dx Z hi 4 x 00 2 [ (x)℄ dx.

xi ) be ause Ihu is a linear fun tion on this interval.1) 2 After taking the square root and re alling that = u (Ih u) these yield the desired bounds on the interpolation error.1) + k(u Ihu)0k2L (0. Now (2. APPROXIMATION OF ELLIPTIC PROBLEMS However 00 (x) = u00 (x) (Ih u)00 (x) = u00 (x) for x 2 (xi 1 .33) follows dire tly from this theorem by noting that ku Ihuk2H (0. we obtain k k 2 L2 (0.1) 1 h2 h 1+ 2 1=2 ku00kL (0. provided u00 2 L2 (0. 1).1) h2 h2 2 1 + 2 ku00k2L (0.32): ku uhkH (0.34) 2 This shows that. 2 h ku00 k2L2 (0.1) 1 ku Ihuk2L (0.1) : = 2 2 2 Having established the bound (2. : : : .1) : (2.1) . the error in the . N and letting h = maxi hi . Therefore. we arrive at the following a priori error bound by inserting (2.33) into the inequality (2.1) 4 h ku00 k2L2 (0.1) : k 0k2L (0.48 CHAPTER 2.33) on the interpolation error. upon summation over i = 1.

measured in the H 1 (0.nite element solution. As a . onverges to 0 at the rate O(h) as h ! 0. 1) norm.

from (2. as u00 = u 2 ku0kL (0. we have that ku00kL (0. Z 1 0 i. jf (x)j kukL (0. Z 1 0 Z 1 0 ju(x)j 2 dx jf (x)j = 0 1=2 Z 1 2 dx 1=2 2 dx ju(x)j Z 1 0 Z 1 0 f (x)u(x) dx 1=2 2 dx : ju(x)j 1=2 2 dx .1) : 2 2 2 2 2 (2. hoosing v = u in the weak formulation of the boundary value problem gives Z 1 0 ju0(x)j2 dx + Hen e.1) kf kL (0.1) : 2 Thereby.1) 2kf kL (0. 1).1) : 2 2 f from the dierential equation. we remark that our hypothesis on f (namely that f 2 L2 (0.1) + kf kL (0.1) kf kL (0.e. Indeed.nal note on erning this example.35). 1)) implies that u00 2 L2 (0.35) .1) = ku f kL (0. Finally.1) kukL (0.

1)).1) : 2 This now provides a omputable upper bound on the global error u uh in the H 1 (0.49 2.1) 1 2h h2 1+ 2 1=2 kf kL (0. 1) (in fa t.5. 1) norm. The argument presented in this example is representative of a general . sin e f is a given fun tion and h = maxi hi an be easily al ulated for any given subdivision of [0. OPTIMAL ERROR BOUND IN THE ENERGY NORM Thus we have proved that u00 2 L2 (0. Substituting this bound on ku00kL (0.1) into (2. 1).34) gives 2 ku uhkH (0. as we also know that u and u0 belong to L2 (0. we have proved more: u 2 H 2 (0. 1℄.

34).36) holds pre ise estimates of the size of the onstant C are only available in rare ir umstan es. bi and are suÆ iently smooth.1) C kf kL (0. This is a serious drawba k from the point of view of pra ti al omputations where one would like to have pre ise information about the size of the error between the analyti al solution and its . in other words. Unfortunately. at least in prin iple. whi h is alled 2 2 2 2 ) an ellipti regularity estimate. In a nutshell.36) is a highly non-trivial task (this issue will be tou hed on in the next se tion.1) C kf kL (0. in dis ussion about the Aubin-Nits he duality argument).nite element (a priori) error analysis. jujH (0. These two ingredients then lead us to the error bound (2. for multi-dimensional problems (2. it onsisted of using: a) Cea's lemma. together with b) an interpolation error bound.36) will not hold unless the boundary and the oeÆ ients aij . even when (2.1) ). The upshot is that an a priori error bound will usually not provide a omputable estimate of the global error.1) (or. In fa t. we obtain a omputable bound on the global error. Worse still. then. for (multi-dimensional) ellipti boundary value problems proving an ellipti regularity estimate of the form jujH ( ) C kf kL ( ) 2 2 (2. Finally. if we are fortunate enough to have a bound of the type ku00 kL (0.

and onsider the ellipti boundary value problem u = f in . u = 0 on : (2.37) (2. whi h resolves this diÆ ulty and provides omputable bounds on the error in terms of uh. Two-dimensional problem Let = (0. 1). a posteriori error analysis. 1) (0. Later on in the notes we shall dis uss an alternative approa h.nite element approximation.38) .

. 1℄. APPROXIMATION OF ELLIPTIC PROBLEMS 6y yN = 1 is si si si si si si si si . 1℄ [0.10: Triangulation of = [0. . We re all that the weak formulation of this problem is: .50 CHAPTER 2. y1 y0 = 0 -x x0 = 0 x1 : : : xN = 1 Figure 2.

nd u 2 H01 ( ) su h that u v u v dx d y = + y y x x Z Z fv dx dy 8v 2 H01( ): (2.39) In order to onstru t the .

nite element approximation.10. Let h = 1=N . we triangulate the domain as shown in the Fig 2. and de.

ne xi = ih. With ea h node. yj = jh. N . ontained in the interior of (labelled . : : : . N . : : : . i = 0. (xi . j = 0. yj ).

in the .

: : : . we asso iate a basis fun tion ij . N 1. de.gure). i. j = 1.

y ) = 8 > > > > > > > > < > > > > > > > > : 1 1 1 1 1 1 0 x xi y hyj . j . h (x. y ) 2 2 (x. xih x . y ) 2 5 (x. h xi x yjh y . y ) 2 4 (x. y ) 2 1 (x. y ) 2 3 y y h . (x. x hxi . y ) 2 6 otherwise: y yj h .ned by ij (x.

: : : .37) (and (2. yj ) (xi 1 . N approximation of (2.5. OPTIMAL ERROR BOUND IN THE ENERGY NORM 51 (xi . i = 1. yj 1) (xi 1 . yj 1) (xi . : : : .2. yj +1) 2 3 1 (xi+1 . N 1. Let Vh = spanfij . j = 1. yj +1) si Figure 2.39)) is: 1g. yj ) 6 4 5 (xi+1 . yj ). The .11: Triangles surrounding the node (xi .

nite element .

w)a = a(v. w) = Z f (x)v (x) dx and Z 8vh 2 Vh: (2. + x x y y (2.39) and the .nd uh 2 Vh su h that Z uh vh uh vh dx dy = fvh dx dy + y y x x Z Letting l (v ) = (v.40) v w v w dx dy.

nite element method (2. respe tively. as follows: .40) an be written.

nd u 2 H01 ( ) su h that a(u. (5:130) 8vh 2 Vh: (5:140) and . v ) = l(v ) 8v 2 H01( ).

41) where Ih u denotes the ontinuous pie ewise linear interpolant of the fun tion u on . vh ) = l(vh ) A ording to Cea's lemma. ku vhka ku Ihuka.nd uh 2 Vh su h that a(uh. ku uhka = vmin 2V h h (2.

yl ). yj y yj+1 + xi xg: In order to estimate Z (u j x 4 Ihu)j 2 dx d y + Z 4 j y (u Ih u)j2 dx dy. that 4 = f(x.42) j (u Ihu)j dx dy + j y (u Ihu)j dx dy = 4 4 x 4 2 a where 4 is a triangle in the subdivision of . Let us estimate ku Z Z Ihuka: (u Ih u)j2 dx dy + j (u Ih u)j2 dx dy ku Ihuk = j x y Z X Z 2 2 (2. APPROXIMATION OF ELLIPTIC PROBLEMS the set = [0. y ) = N X1 N X1 i=1 j =1 u(xi . 1℄: (Ih u)(x. we de. yl ) = u(xk . Suppose. y ): Clearly (Ih u)(xk . for example. 1℄ [0.52 CHAPTER 2. y) : xi x xi+1 . yj )ij (x.

t) from 4 to K . y ) is jJ j . y = yj + th. t) : 0 s 1. 0 t 1 sg and the aÆne mapping (x. u u s u t 1 u = + = . t) := u(x. by x = xi + sh. x s x t x h s 1 u u u s u t = + = : y s y t y h t The Ja obian of the mapping (s. y ) 7! (s. y ). Then. 0 t 1: Let u(s. 0 s 1. t) 7! (x.ne the anoni al triangle K = f(s.

.

.

y ) . (x.

.

.

=.

(s. t) .

.

.

= .

.

Thus Z 4 j x (u Ih u)j2 dx dy = (P.O.T.) .

xs xt .

.

= h2 : ys yt .

.

) d d j2 ds dt j 2 0 0 0 0 s t 0 s Z 1Z 1 sZ 1Z 1 2 2 j su2 (.45). y )j2 jh2 j2 h 2 dx dy: + j x y x y i+1 i j +1 j i+1 i j +1 j Therefore. OPTIMAL ERROR BOUND IN THE ENERGY NORM = = = = = = Z j s (u(s. 0) d j2 ds dt j s (s.53 2.5. t) d + s s 0 0 0 0 Z 1Z 1 s Z 1Z s 2 Z 1Z t 2 u u (.44) into (2.43) and (2. t) s (. t) s 0 0 0 Z 1 Z 1 s Z 1 Z 1 u u u u (. 1)℄) j2 ds dt [(1 s j su (s. 0) u(0. 0) d j2 ds dt j su (s. t) K Z 1Z 1 s 0 0 Z 1Z 1 s t)u(0.45) Finally by (2. Z (u j x 4 Ihu)j 2 dx d y 2h2 Similarly. t) [u(1. t) d d + (. )j2 d d ds dt j s t 0 0 0 0 Z 1Z 1 2 Z 1Z 1 u 2 u 2 2 j s2 (. )j2 d d 0 0 Z0 x 0 Z y 2 u 2 22 2 2 j x 2 (x.44) Substituting (2. 0)℄j2 ds dt Z 1 u (.42). ku Ihuk 2 a 4h2 Z 2 2u 2 j xu2 j2 + j x y j2 + j yu2 j2 dx dy: (2. (2. t)j2 d d ds dt 0 0 0 0 Z 1Z 1 sZ 1Z 1 2u +2 (.41) and (2. ku uhka 2hjujH ( ) : 2 Thus we have proved the following result. t)j d dt + j s t (.46) . 0) + su(1.43) (2. t) (. Z j y (u 4 Ih u)j 2 d x dy 2h2 Z xi+1 Z yj +1 xi yj 2u 2 1 2u 2 j x2 j + 2 j x y j dx dy: Z xi+1 Z yj +1 xi 2u 2 j2 dx dy: j yu2 j2 + 21 j x y yj (2. y )j jh j h dx dy x y Z x Z y 2u (x. 0) + tu(0.

37). APPROXIMATION OF ELLIPTIC PROBLEMS Theorem 4 Let u be the weak solution of the boundary value problem (2. and let uh be its pie ewise linear .54 CHAPTER 2.

nite element approximation de.

Suppose that u 2 H 2 ( ) \ H01 ( ). (2. The error estimate (2.48) indi ates that the error in the L2 -norm between u and its .46) we also see that ku uhkL ( ) h jujH ( ) : 2 2 (2.47) and (2. 1 1 2 1 2 and that ompletes the proof. thus. ku uhk2L ( ) 14 ju uhj2H ( ) . uh 2 Vh H01 ( ). it follows that u uh 2 H01 ( ). ku uhk2a = ju uhj2H ( ) 4h2 juj2H ( ) : Sin e u 2 H01 ( ). then ku uhka 2hjujH ( ) : 2 Corollary 2 Under the hypotheses of Theorem 4. By the Poin are2 1 Friedri hs inequality. ku uhkH ( ) 1 Proof p 5hjujH 2 ( ) : A ording to Theorem 4.40).47) 1 2 ku uhk2H ( ) = ku uhk2L ( ) + ju uhj2H ( ) 54 ju uhj2H ( ) 5h2 juj2H ( ) .48) The Aubin-Nits he duality argument. From (2.ned by (2.

the proof of this is presented below. however. Let us .nite element approximation uh is of the size O(h). that this bound is quite pessimisti and an be improved to O(h2 ). It turns out.

rst observe that if w 2 H 2 ( ) \ H01 ( ). = (0. Z 2w 2w 2 y 2 dx dy = x Z 2w 2w dx d y x y x y Z 2w 2 j dx dy: = j x y . 1). then kwk 2 L2 ( ) Z 2 w 2w 2 + dx d y = 2 y 2 x Z 2 2 Z 2 Z 2 2 w w 2w w = +2 dx d y + dx dy: 2 2 2 2 y x x y Performing integration by parts and using the fa t that w = 0 on . 1) (0.

OPTIMAL ERROR BOUND IN THE ENERGY NORM Thus kwk 2 L2 ( ) 55 Z 2 2w 2 2w 2 j + j y2 j dx dy = j xw2 j2 + 2j x y = jwj2H ( ) : 2 Given g problem 2 L2 ( ). and jwg jH ( ) = kwg kL ( ) = kgkL ( ) : 2 2 (2. we turn to the derivation of the optimal error bound in the L2 -norm.52) sup 2 2 For g 2 L2 ( ). the fun tion wg 2 H01 ( ) is the weak solution of the problem (2.2.49). g ) : g2L ( ) kg kL ( ) (2. (2. let wg 2 H01( ) be the weak solution of the boundary value wg = g wg = 0 in .49) (2. so it satis.5.50) then wg 2 H 2 ( ) \ H01 ( ). A ording to the Cau hy-S hwarz inequality for the L2 -inner produ t (. (u uh. ku uhkL ( ) = 2 (u uh . g ) ku uhkL ( ) kg kL ( ) 2 8g 2 L2( ): 2 Therefore.51) 2 After this brief preparation. on . ).

gv dx dy = (g. v ) = lg (v ) where lg ( v ) = a(wg .53) wg v wg v dx dy: + x x y y Consider the .es a(wg . v ) = Z 8v 2 H01( ). Z (2. v ).

nite element approximation of (2.53): .

54) and the error bound (2.nd wgh 2 Vh su h that a(wgh . (2.46). we dedu e that kwg wghka 2hjwg jH ( ) . vh ) = lg (vh ) 8vh 2 Vh: From (2. 2 (2.54) .53).

wgh) = 0. wg wgh)a : Applying the Cau hy-S hwarz inequality on the right. u uh) = a(u uh. g ) = a(u uh . 2 2 whi h is our improved error bound in the L2 -norm.6 Superapproximation in mesh-dependent norms We have shown that the pie ewise linear . (2. g ) ku uh ka kwg wghka . and then e by (2. g ) = (g. wg ): (2.46) and (2.52). g ) 4h2 jujH 2 ( ) kgkL ( ) : 2 (2. and therefore.55) (u uh. (u uh. u uh ) = lg (u uh) = a(wg .30) implies that a(u uh .51). The proof presented above is alled the Aubin{Nits he duality argument.55) 2 Now (u uh. we obtain ku uhkL ( ) 4h2jujH ( ) . by (2. 2.57) Substituting (2.56) Be ause wgh 2 Vh. APPROXIMATION OF ELLIPTIC PROBLEMS and therefore. wgh) = a(u uh . wg wgh ) = (u uh . kwg wghka 2hkgkL ( ) : (2. by (2.56 CHAPTER 2.56). (u uh.57) into the right-hand side of (2. wg ) a(u uh .

ku uhkL ( ) Ch2jujH ( ) . it was observed by engineers . It is possible to show that these error bounds are sharp in the sense they annot in general be improved.nite element approximation uh to the solution u of the homogeneous Diri hlet boundary value problem for Poisson's equation obeys the following error bounds: ku uhkH ( ) ChjujH ( ) . However. 1 2 2 2 where C denotes a generi positive onstant and h is the maximum element size in the subdivision.

the .6.57 2. when sampled at ertain spe ial points. SUPERAPPROXIMATION IN MESH-DEPENDENT NORMS that.

on . based on sampling at the mesh points. 1). We onsider the model problem u = f u = 0 in . We showed in Se tion 2. A result of this kind is usually referred to as a superapproximation property. we shall prove here that when measured in a dis rete ounterpart of the Sobolev H 1 ( ) norm. the error u uh is O(h2 ).58) (2.nite element approximation uh is more a urate than these error bounds might indi ate. 1) (0. Indeed.59) where = (0. (2.1 that when using ontinuous pie ewise linear .

5. the .nite elements on the uniform triangulation shown in Figure 2.

nite element solution uh (x. y ) an be expressed in terms of the .

yj )) are obtained by solving the set of dieren e equations Ui+1.j +1 1 = 2 h supp ij Uij = 0 when i = 0 or i = N or j = 0 or j = N: 1. y ) = 0 when (x. where xi = ih. y )ij (x. j = 1.j 1 h2 f (x. y ) 2 . N 1. N. y ) = N X1 N X1 i=1 j =1 Uij ij (x. we shall write 1 Fij = 2 h Z Z supp ij f (x. y ) dx dy. y ) as uh(x. j = 1. : : : . : : : . yj ). N 2. : : : . and h = 1=N . yj = jh: These form the . Here N is an integer. j = 0. for i. N 1.j Z 2Uij + Ui 2 Zh 2Uij + Ui. the mesh-points are (xi . Sin e uh(x.j Ui. y )ij (x. y ) dx dy. i. i. For simpli ity. we have adopted the onvention that Uij = 0 when i = 0 or i = N or j = 0 or j = N . where the Uij (= uh (xi . y ).nite element basis fun tions ij (x.

j = 0. N g: We onsider the set of interior mesh points h = f(xi . yj ) 2 h . (xi . U = 0 on h . yj ) : i. (2. : : : . :::. j = 1.60) (2. and the set of boundary mesh points h = h n h : In more ompa t notation. yj ) : i.61) . the dieren e s heme an be written as follows: (Dx+ Dx Uij + Dy+ Dy Uij ) = Fij .nite dieren e mesh h = f(xi . N 1g.

j ) 1) s s s s s s s s s s s s s s s s s s s s s Figure 2. h( ).12: The mesh h ().j +1) 1.j s s s su s s s (i+1. and a typi al 5-point where Dx+ and Dx denote the forward and ba kward divided dieren e operators in the x dire tion.j ) (i.j ) (i. APPROXIMATION OF ELLIPTIC PROBLEMS s s s s s s s s s s su s s s (i s s su su su s s (i. de.58 CHAPTER 2. respe tively. the boundary mesh dieren e sten il.

j h h and V 2Vij + Vi 1. Dx Vij = ij .j V Vij .ned by V Vi 1. Dx+ Vij = i+1.j Dx+Dx Vij = Dx+(Dx Vij ) = i+1.j h2 is the se ond divided dieren e operator in the x dire tion. Similar de.

nitions apply in the y dire tion. For ea h i and j . 1 i. j N 1. the .

nite dieren e equation (2.60) involves .

j . : : : .N 1 .j . : : : . .N 1 .ve values of U : Ui. : : : . Ui+1. U21 .N 1 ) T.1 . Ui 1. : : : . UN 1. U1. Ui1 .j 1 . UN 1. Ui2 . U22 . UN 1. (2.62) where U = (U11 . Ui. U12 . Ui.2 . : : : . U2.N 1 . : : : .60) as a system of linear equations AU = F. Ui. : : : .j +1 : It is possible to write (2.j .

F1.N 1 . F12 .59 ss ss s s s s ss ss s s s s s s ss ss s s s s s s ss ss sj s s s s j s ss ss s s s s s s ss ss s s s s s ss ss s s ss 2. FN 1. F = (F11 . F2. : : : . : : : . FN T 1. F22 . : : : . Fi1 .1 . SUPERAPPROXIMATION IN MESH-DEPENDENT NORMS A= Figure 2. : : : .2 .N 1 ) . : : : . A typi al row of the matrix ontains . : : : .N 1 .6. F21 . Fi.13: The sparsity stru ture of the band matrix A. Fi2 . and A is an (N 1)2 (N 1)2 sparse matrix of band stru ture.N 1 . : : : . FN 1.

orresponding to the .ve non-zero entries.

ve values of U in the .

2.12.62) has a unique solution2. while the sparsity stru ture of A is depi ted in Fig.nite dieren e sten il shown in Fig. For two fun tions. de. 2.13. Next we show that (2. V and W .

we introdu e the inner produ t (V. w) = R v (x. W )h = N X1 X1 N h2 Vij Wij i=1 j =1 (whi h resembles the L2 -inner produ t (v. y ) dx dy:) Lemma 7 Suppose that V is a fun tion de.ned on h . y )w (x.

then ( Dx+ Dx V.62) is a trivial onsequen e of the uniqueness of solution uh to the .ned on h and that V = 0 on h. V )h = N N X X1 i=1 j =1 h2 jDx Vij j 2 + N N X1 X i=1 j =1 h2 jDy Vij j2 : (2. V )h + ( Dy+ Dy V.63) 2 The uniqueness of the solution to the linear system (2.

nite element method. The argument that follows is an alternative way of verifying uniqueness. . we present it here sin e some of its ingredients will be exploited in the ourse of the proof of the superapproximation property.

APPROXIMATION OF ELLIPTIC PROBLEMS We shall prove that the .60 CHAPTER 2.

rst term on the left is equal to the .

j )Vi 1. i=1 j =1 1.j Vij )Vij + i=1 j =1 N X1 X1 N 1. Proof N X1 X1 N ( Dx+Dx V. V )h = = = = = N X1 X1 N i=1 j =1 N N X1 X i=1 j =1 (Vi+1.j )Vij i=1 j =1 N N X1 X i=1 j =1 N N 1 XX h2 jDx Vij j2 : Vi 1. Returning to the analysis of the . V )h = N N X1 X and that ompletes the proof. ( Dy+ Dy V.j + 1.j + (Vij Vi 1.j )Vij h2 jDy Vij j2 .rst term on the right.j )Vij (Vij Vi 1.j 2Vij + Vi (Vij Vi 1.j )Vij (Vij Vi i=1 j =1 N X1 X1 N (Vij Vi i=2 j =1 N N X1 X i=1 j =1 N XN X1 (Vi+1.j )2 = i=1 j =1 (Vij Similarly.j )Vi 1. and the se ond term on the left to the se ond term on the right.

60). V )h = N N X1 X i=1 j =1 h2 jDx Vij j 2+ N N X1 X i=1 j =1 h2 jDy Vij j2 . V )h = ( Dx+ Dx V. V )h = ( Dx+ Dx V Dy+Dy V. (2.nite dieren e s heme (2. V )h + ( Dy+ Dy V.64) for any V de.63) we have (AV. we note that by (2.

: : : . Now this implies that A is a non-singular matrix. = 0. Thus AV = 0 if and only if V = 0. In summary then. these imply that V 0.j 1 = 0. : : : .ned on h su h that V = 0 on h . : : : . the (unique) solution of the . N 1. Hen e A is non-singular. then (2. N: Sin e V = 0 on h . and U = A 1 F is the unique solution of (2. N. Indeed if AV = 0.64) yields: Dx Vij = Dy Vij = Vij Vi h Vij Vi.j h 1. j = 1. j = 1. : : : .60). i = 1. N 1. i = 1.

62).nite dieren e s heme (2.60) may be found by solving the system of linear equations (2. .

6. SUPERAPPROXIMATION IN MESH-DEPENDENT NORMS 61 In order to prove the stability of the .2.

U )1h=2 . where N N X X1 kDx U ℄jx = i=1 j =1 h2 jDx Uij j2 !1=2 and kDy U ℄jy = N N X1 X i=1 j =1 h2 jDy Uij j2 !1=2 : The norm k k1.65) Using the dis rete Poin are-Friedri hs inequality stated in the next lemma. and kU k1. V )h 0 kV k21. Lemma 8 (Dis rete Poin are-Friedri hs inequality) Let V be a fun tion de. we shall be able to dedu e that (AV. 1=2 1 : With this new notation. V )h kDx V ℄j2x + kDy V ℄j2y : (2.64) takes the following form: (AV. we introdu e the mesh{dependent norms kU kh = (U. where 0 is a positive onstant.60).h is the dis rete version of the Sobolev norm kukH ( ) = kuk 1 2 L2 ( ) u u + k k2L ( ) + k k2L ( ) x y 2 2 k kH ( ) .nite dieren e s heme (2.h. the inequality (2.h = (kU k2h + kDx U ℄j2x + kDy U ℄j2y )1=2 .

Proof Writing jVij j2 = i X k=1 !2 hDx Vkj . su h that kV k2h kDx V ℄j2x + kDy V ℄j2y for all su h V .ned on h and su h that V = 0 on h . (2. then there exists a onstant .66) . independent of V and h.

65) and (2. on noting that N X1 (N 1)N 1 . N 1 and j = 1. kV k2h 21 kDy V ℄j2y : Adding these two inequalities we omplete the proof of (2. APPROXIMATION OF ELLIPTIC PROBLEMS we dedu e that jVij j 2 i X k=1 ! i X h k=1 hjDx Vkj j ! 2 i N X k=1 h2 jDx Vkj j2 : Multiplying both sides by h2 and summing through i = 1.65) and re alling the de.62 CHAPTER 2. : : : . i = h2 h2 2 2 i=1 we dedu e that kV k2h 21 kDx V ℄j2x : Analogously. ombining this with (2. N 1. : : : .66) with = 41 : Now (2.66) imply that 1 kV k2h: (AV. V )h Finally.

67) where 0 = (1 + ) 1 : Theorem 5 The s heme (2.h. we turn to the question of a ura y. and hen e the result. V )h = (F.67) and the Cau hy-S hwarz inequality that 0 kV k21.60) is stable in the sense that kU k1.nition of the norm k k1. (2.68) The proof is simple: it follows from (2. We de.h . V )h 0 kV k21. we obtain (AV.h 1 kF kh: 0 Proof (2.h (AV. Having established stability. V )h kF kh kV kh kF kh kV k1.h.

yj ) = Uij for i. with eij = 0 when i = 0 or i = N or j = 0 or j = N . Thus. j = 1. y ) 2 . Sin e uh(x. N 1. writing eij = eh (xi . y ) and note that uh(xi . j N. yj ). y ) = 0 when (x. . 0 i. we have adopted the onvention that Uij = 0 when i = 0 or i = N or j = 0 or j = N . yj ) Uij . we have that eij = u(xi . y ) uh(x.ne the global error eh by eh (x. y ) = u(x. : : : .

yj ) AUZij =Z Au(xi . SUPERAPPROXIMATION IN MESH-DEPENDENT NORMS Now.63 2. Theorem 6 Let f 2 L2 ( ) and suppose that the orresponding weak solution u 2 . yj ).70) Finally (2. yj ) Fij 1 ij (x. yj ) h2 supp ij " Z Z # 2 u 1 = ij (x.69) 0 and employing a Taylor series expansion of u(x. y ) dx dy = Au(xi . j N on h: 1. Aeij = 'ij . = 14 . By virtue of (2. yj ) 2 h x supp ij " 1 + 2 h 'ij : Z Z 2u ij (x. so that 1= 0 = 54 . and ombine (2.70). y )f (x. y ) 2 (x. the pie ewise linear .69) and (2. y ) dx dy Dx+ Dx u(xi . Thus. we dedu e that j'ij j K0 h2 4 4 k xu4 kC ( ) + k yu4 kC ( ) . Aeij = Au(xi . ku U k1. e = 0 1 i. A ording to this result.h Proof 5 K h2 4 0 4 4 k xu4 kC ( ) + k yu4 kC ( ) : (2.h = kek1.71) Re all that 0 = (1 + ) 1 .6. y ) about Assuming that u 2 C 4 ( ) (xi . then H01 ( ) belongs to C 4 ( ) ku uhk1. y ) 2 (x. yj ) Thus.70) yield the following result. k'kh K0 h2 4u 4u k + k k : k x C ( ) 4 y 4 C ( ) (2.h 1 k'kh: (2.69) and (2.68). where K0 is a positive onstant independent of h. y ) dx dy y supp ij # Dy+Dy u(xi .

nite element approximation of the homogeneous Diri hlet boundary value problem on uniform triangular subdivision of size h is O(h2 ) onvergent to the weak solution in the dis rete Sobolev H 1 norm. .

APPROXIMATION OF ELLIPTIC PROBLEMS Sin e this ex eeds the .64 CHAPTER 2.

the global error observed in the Sobolev norm k kH ( ) . the result en apsulated in 1 Theorem 6 is referred to as a superapproximation property.h. .rst order of onvergen e of kk1.h = O(h2 ). In fa t the smoothness an be relaxed to u 2 H01 ( ) \ H 3 ( ) while retaining requirement u 2 H01 ( ) \ C 4 ( ) the superapproximation property ku uhk1. the proof of this is more te hni al and relies on the Bramble-Hilbert lemma (See Chapter 3). provided that u 2 C 4 ( ).

Chapter 3 Pie ewise polynomial approximation In the previous hapter we dis ussed .

The purpose of this hapter is to develop.nite element approximations to ellipti boundary value problems using pie ewise polynomials of degree 1. the onstru tion of . in a more general setting.

3.1 Constru tion of .nite element spa es and to formalise the on epts introdu ed in Chapter 2.

nite element spa es Let us onsider an ellipti boundary value problem written in its weak formulation: .

nd u in V su h that a(u. in the ase of a homogeneous Diri hlet boundary value problem V = H01 ( ). Robin or oblique derivative boundary value problem. In order to de. in the ase of a Neumann. v ) = l(v ) 8v 2 V . V = H 1 ( ). where H01 ( ) V H 1 ( ).

ne a .

nite element approximation to this problem we need to onstru t a .

nite-dimensional subspa e Vh of V onsisting of ontinuous pie ewise polynomial fun tions of a ertain degree de.

3. here we shall put this onstru tion into a general ontext.ned on a subdivision of the omputational domain .1.1 The . We have already dis ussed the spe ial ase when Vh onsists of ontinuous pie ewise linear fun tions.

nite element We begin by giving a formal de.

nition of a .

nite element. De.

nition 2 Let us suppose that (i) K R n is a simply onne ted bounded open set with pie ewise smooth boundary (the element domain). 65 .

66 CHAPTER 3. PIECEWISE POLYNOMIAL APPROXIMATION (ii) P is a .

nite-dimensional spa e of fun tions de.

N ) is alled a . Then (K.ned on K (the spa e of shape fun tions). : : : . Nk g is a basis for P 0 (the set of nodal variables). P . N = fN1.

In this de.nite element.

nition P 0 denotes the algebrai dual of the linear spa e P . De.

N ) be a .nition 3 Let (K. P .

2 . and let f 1 . 1 i. j k: Su h a basis is alled a nodal basis for P . Ni ( j ) = Æij . namely. dual to N . : : : .nite element. k g be a basis for P . (iii) We give a simple example to illustrate these de.

where N1 (v ) = v (0) and N2 (v ) = v (1) for all v 2 P . N2 g. N ) is a . Example 7 (The one-dimensional Lagrange element) Let K = (0. Then (K. P . P the set of linear polynomials. 1). and N = fN1 .nitions.

2 g where 1 (x) = 1 x and 2 (x) = x. with nodal basis f 1 .nite element. Next we give an equivalent hara terisation of ondition (iii) in De.

k g be a basis for P . : : : . Now fN1 . Lemma 9 Let P be a k-dimensional linear spa e of fun tions on R n . and suppose that fN1 . (b) Given that v 2 P and Ni (v ) = 0 for i = 1. : : : . k. L( i ) an be written in a unique fashion as a linear ombination L( i ) = 1 N1 ( i ) + : : : + k Nk ( i ): Let us de. Let f 1 . k. then v 0. N2 . : : : . Nk g is a subset of the dual spa e P 0 .nition 2. Nk g is a basis for P 0 if and only if any L 2 P 0 an written in a unique fashion as a linear ombination of the Ni 's: L = 1 N1 + : : : + k Nk : This is equivalent to demanding that. Nk g is a basis for P 0 . : : : . : : : . N2 . : : : . Then the following two statements are equivalent: (a) fN1 . for ea h i = 1.

we an write v = . : : : . L( k ))T .ne the matrix B = (Nj ( i ))i. a = ( 1 . : : : . is equivalent to demanding that the matrix B be invertible. in turn. 2 )T : Then the last ondition is equivalent to requiring that the system of linear equations B a = y has a unique solution. Given any v 2 P . whi h.k and the ve tors y = (L( 1 ).j =1.:::.

1 1 + : : : + .

k k : Proof .

: : : .3. k if and only if . CONSTRUCTION OF FINITE ELEMENT SPACES 67 Now Ni (v) = 0 for all i = 1.1.

1 Ni ( 1 ) + : : : + .

: : : . k: (3.k Ni ( k ) = 0.1) implies .1) Thus (b) is equivalent to requiring that (3. i = 1.

1 = : : : = .

k . Let C = (Ni ( j ))i.j =1.:::. with b = (.k = 0. then (b) holds if and only if C b = 0.

.1 . : : : .

implies that b = 0. Motivated by this result. we introdu e the following de. whi h is equivalent to demanding that C be invertible.k )t . However C t = B and therefore (a) and (b) are equivalent.

nition. De.

so. in 1 ) and x^ = xi1 xin 1 . 0) 0. Letting xn = 0 we get 1 n 1 0 P (^x. We shall need the following Lemma. whi h implies that 0 = 0 for jj d. P (^x. Lemma 10 Suppose that P is a polynomial of degree d 1 that vanishes on the hyperplane fx : L(x) = 0g where L is a non-degenerate linear fun tion. : : : . where = (i1 . Hen e P (^x. xn ) = 0 is the hyperplane xn = 0.2 Examples of triangular . then. 0) = X jjd 0 x^ . xn 1 ). xn ) = xn . Suppose that we have arried out an aÆne hange of variables su h that L(^x. 3.1. : : : . by hypothesis. the hyperplane L(^x. xn ) = d X X j =0 jjd j j x^ xjn . Proof Let us write x^ = (x1 . we have that P (^x. Then we an write P in the fa torised form P = LQ where Q is a polynomial of degree (d 1).nition 4 We say that N determines P if 2 P with N ( ) = 0 for all N 2 N implies that = 0. Sin e P is of degree d. xn ) = d X X j =1 jjd j j x^ xjn = xn d X X j =1 jjd j j x^ xnj 1 = xn Q = LQ where Q is of degree (d 1).

.1.2.nite elements Let K be a triangle and let Pk denote the set of all polynomials of degree k in two variables. The dimension of the linear spa e Pk is displayed in Table 3.

N2 .. where Ni (v ) = v (zi ) and z1 . 1 (k + 1)(k + 2) 2 Table 3. k dim Pk 1 2 3 . L2 . as shown in Figure 3.2: The dimension of the linear spa e Pk . Lagrange elements Example 8 Let k = 1 and take P = P1 .1: Linear Lagrange triangle with edges L1 .68 u CHAPTER 3. k 3 6 10 .. In the .1. PIECEWISE POLYNOMIAL APPROXIMATION z3 C CC C C L1 L2 C C C C C L3 CC z2 z1 u u Figure 3. z2 ... N = N1 = fN1 .1. z3 are the verti es of the triangle K . N3 g (and therefore the dimension of P1 is 3). z2 . z3 . L3 and verti es z1 .

gure indi ates fun tion evaluation at the point where the dot is pla ed. We verify ondition (iii) of De.

we prove that N1 determines P1 . namely. Indeed. L2 and L3 be non-trivial linear fun tions whi h de. let L1 .nition 2 using part (b) of Lemma 9.

i = 4. thus P Ni (v ) = v (at the ith vertex of the triangle). where implies that = 0. : : : . Suppose that a polynomial P 2 P1 vanishes at z1 . 1 0 = P (z1 ) = L1 (z1 ) 0. we an write P = L1 where is a onstant (i. Sin e P jL is a linear fun tion of one variable that vanishes at two points. N6 g (so we have that dim P2 = 6). However. i = 1. N2 . 2. a polynomial of degree 1 1 = 0). 3 v (at the midpoint of the (i 3)rd edge). z2 and z3 . be ause L1 (z1 ) 6= 0. 6: . Example 9 Now take k = 2. a ording to Lemma 9.e. N1 determines P1. let P = P2 and N = N2 = fN1 .ne the lines that ontain the three edges of the triangle. 5. By virtue of Lemma 10. Hen e. it follows that P 0 on L1 .

Let L1 .u 3.1. z3 . and z4 . verti es z1 . CONSTRUCTION OF FINITE ELEMENT SPACES 69 z3 C C C L2 C C z4 z5 C C L1 C C C L3 CC z2 z1 z6 Figure 3. L2 and L3 . u u u u u We have to show that N2 determines P2 .2: Quadrati Lagrange triangle with edges L1 . L2 and L3 be non-trivial linear fun tions whi h de. z2 . L3 . L2 . z5 and z6 denoting the midpoints of L1 . respe tively.

on L2 . However. = 0 sin e L1 (z6 ) 6= 0 and L2 (z6 ) 6= 0. we dedu e that Q1 = L2 Q2 . ex ept possibly at one point. Therefore. P = L1 L2 . where the degree of Q2 is one less than the degree of Q1 . so Q1 is of degree 1. P = L1 Q1 . by an analogous argument P also vanishes along L2 . so Q2 is of degree 0. Thus. we then have that Q1 0 along the whole of L2 . 6.ne the lines ontaining the edges of the triangle. However. Let P 2 P2 be su h that P (zi ) = 0 for i = 1. by ontinuity of Q1 . Thus Q1 0 on L2 . But L1 an be equal to zero only at one point of L2 be ause the triangle is non-degenerate. where is a onstant. However P (z6 ) = 0 and z6 does not lie on either L1 or L2 . 1 2 0 = P (z6 ) = L1 (z6 )L2 (z6 ): Therefore. : : : . where the degree of Q1 is one less than the degree of P . Thus. Consequently. Hen e. it follows that P 0 on L1 . either L1 0 or Q1 0. Now applying again Lemma 10. By Lemma 10. This . As P jL is a quadrati fun tion of one variable that vanishes at three points. Q2 . L1 Q1 jL 0.

as before. : : : . By Lemma 10. . We shall prove that N = N3 = fN1 . 2 : : : . where is a onstant. 10. N10 g.3. we an write P = L1 L2 L3 . However. Let. Let denote evaluation at a point and let signify evaluation of the gradient at the entre point of the ir le. and let P = P3 . Hen e P 0 along L1 . L2 and L3 be the lines orresponding to the three sides of the triangle and suppose that P 2 P3 and Ni (P ) = 0 for the i = 1. determines P3 (whose dimension is pre isely 10). Similarly. P 0 along the edges L2 and L3 . L1 . The restri tion of P to L1 is a ubi polynomial of one variable with double roots at z2 and z3 . N2 . 0 = P (z4 ) = L1 (z4 )L2 (z4 )L3 (z4 ). as depi ted in Figure 3. 0.nally implies that P so N2 determines P2 . Hermite elements Example 10 Let us suppose that k = 3.

PIECEWISE POLYNOMIAL APPROXIMATION z3 C CC C C L1 L2 C z4 C C C C L3 CC z2 z1 u u u Figure 3.1. and entroid z3 . 2. 0 and we dedu e that N 3.70 u CHAPTER 3. L3 and verti es z1 .3: Cubi Hermite triangle with edges L1 . Thus P uniquely determines P3 .3 The interpolant Having des ribed a number of . z2 and z3 . 3. and so = 0. sin e Li (z4 ) 6= 0 for i = 1. L2 .

nite elements. we now wish to pie e them together to onstru t .

nite-dimensional subspa es of Sobolev spa es. De.

N ) be a . P .nition 5 Let (K.

k. are de. : : : . : : : . be a basis for P dual to N . kg. Given that v is a fun tion for whi h all Ni 2 N .nite element and let the set f i : i = 1. i = 1.

N3g as in the ase of the linear Lagrange element (k = 1). N2 . Example 11 Consider the triangle K shown in Figure 3. N = fN1. we introdu e the lo al interpolant IK v by IK v = k X i=1 Ni (v ) i : In order to illustrate the idea of lo al interpolant.4. we give a simple example. and suppose that we wish to .ned. let P = P1 .

nd the lo al interpolant IK v of the fun tion v de.

By de. y ) = (1 + x2 + y 2 ) 1 .ned by v (x.

to be able to write down the lo al interpolant. i = 1. using De. This we do.nition. 3. 2. IK v = N1(v) + N2 (v ) 2 + N3 (v ) 3 : Thus we must determine i .

2 and 3 . as follows. it follows that 1 = L1 = (1 x y ). 1 = 1 x y . Similarly. as 1 vanishes at z2 and z3 . y )=L2(z2 ) = x and 3 = L3 (x. we have that 1 IK (v) = N1 (v)(1 x y) + N2 (v)x + N3 (v)y: . and thereby along the whole of L1 . so = 1 (z1 ) = 1.nition 3. where is a onstant to be determined. Hen e. The line L1 has equation y = 1 x. N1 1 = 1. 2 = L2 (x. y )=L3 (z3 ) = y: Having found 1 . Also.

z2 and z3 where the lo al interpolant is evaluated. ) IK (v) = v for v 2 P . i = 1. that is. and the verti es z1 . for i = 1.1. : : : . k. L2 . is a linear fun tional. k. where Æij = 1 when i = j and = 0 when i 6= j: ) It follows from b) that Ni (v IK (v)) = 0. CONSTRUCTION OF FINITE ELEMENT SPACES z3 = (0. N2 (v ) = v (z2 ) = and so IK (v) = 1 21 (x + y): 1 2 and N3 (v ) = v (z3 ) = 12 . The se ond assertion follows from this.u 71 3. b) Ni (IK v )) = Ni (v ). : : : . i = 1. i = 1. : : : .4: Linear Lagrange triangle with edges L1 . Proof a) Sin e ea h Ni : v 7! Ni (v). 0) u L3 u z2 = (1. In fa t. L3 . whi h implies that IK (v) = v for all v 2 P . in our ase N1 (v ) = v (z1 ) = 1. : : : . IK2 = IK . indeed. onsequently IK is idempotent on P . k. . Lemma 11 The lo al interpolant has the following properties: a) The mapping v 7! IK v is linear. k. 0) Figure 3. 1) L L2 1 K z1 = (0. IK2 v = IK (IK v) = IK v sin e IK v 2 P . The next lemma summarises the key properties of the lo al interpolant. b) Clearly Ni (IK (v)) = = 0 1 k k X X Ni Nj (v) j A = Nj (v)Ni ( j ) j =1 j =1 k X j =1 Nj (v)Æij = Ni (v). v 7! IK v has the same property.

We an now glue together the element domains to obtain a subdivision of the omputational domain.72 CHAPTER 3. De. PIECEWISE POLYNOMIAL APPROXIMATION That ompletes the proof of the lemma. and merge the lo al interpolants to obtain a global interpolant.

nition 6 A subdivision of the omputational domain is a .

i Ki De. if i 6= j . and (2) S = .nite olle tion of open sets fKi g su h that (1) Ki \ Kj = .

N ) forms a .nition 7 Suppose that is a bounded open set in R n with subdivision T . su h that (K. P . Assume that ea h element domain K in the subdivision is equipped with some type of shape fun tions P and nodal variables N .

Let m be the order of the highest partial derivative involved in the nodal the global interpolant Ih v is de.nite element.

ned on by variables. Next we shall formulate a simple ondition To keep the whi h ensures that the global interpolant is a ontinuous fun tion on . presentation simple. namely when R 2 . we shall restri t ourselves to the ase of two spa e dimensions. For v 2 C m ( ) IhvjK i = IK v i 8Ki 2 T : In the absen e of further onditions on the subdivision it is not possible to assert the ontinuity of the global interpolant. although an analogous de.

nition an me made in R n . De.

we shall use the word triangulation without ne essarily implying that R 2 : when R n and n = 2 we shall mean that the ondition of this de.nition 8 A triangulation of a polygonal domain is a subdivision of onsisting of triangles whi h have the property that (3) No vertex of any triangle lies in the interior of an edge of another triangle. From now on.

nition is satis.

when n > 2. the obvious generalisation of this ondition to n dimensions will be meant to hold.ed. De.

brie y.nition 9 We say that an interpolant has ontinuity of order r (or. The spa e that it is C r ) if Ih v 2 C r ( ) g fIhv : v 2 C m( ) is alled a C r . for all v 2 C m ( ) .

For simpli ity. . the next result is stated and proved in the ase of n = 2. an analogous result holds for n > 2.nite element spa e. again.

More pre isely. K 2 T . Assuming that we hoose nodes interior to e in a symmetri way. Let Ki . P . i = 1.1. Let w = IK v IK v. CONSTRUCTION OF FINITE ELEMENT SPACES Theorem 7 The Lagrange and Hermite elements on triangles are all C 0 elements. be two triangles in the triangulation T with ommon edge e. it is possible to hoose edge nodes for the orresponding elements (K. It suÆ es to show that ontinuity holds a ross ea h edge. where we interpret IK v and IK v to be de. given a triangulation T of . 2. N ). it follows that the edge nodes on e for the elements on both K1 and K2 are at the same lo ation in spa e.73 3. where m = 0 for Lagrange and m = 1 for belongs to C 0 ( ) Hermite elements. su h that the global interpolant Ih v for all v in C m ( ) .

as polynomials. Proof 1 2 1 1 2 2 In order to be able to ompare global interpolation operators on dierent elements. the global interpolant is ontinuous a ross ea h edge.e. Now w is a polynomial of degree k and its restri tion to the edge e vanishes at the one-dimensional Lagrange (or Hermite) nodes.ned everywhere by extension outside K1 and K2 . we introdu e the following de. i. Hen e IK je v = IK vje . Therefore wje 0. respe tively.

) De.nition (now for K R n .

N ) be a . P .nition 10 Let (K.

N^ ) is aÆne equivalent to (K.nite element and suppose that F (x) = Ax + b where A is a non-singular n n matrix and x and b are n- omponent olumn ve tors. P . ^ P^ . N ) if: The .

(a) F (K ) = K^ .nite element (K. (b) F P^ = P and ( ) F N = N^ . Here F is the pull-ba k of F de.

and F is the push-forward of F de.ned by F (^v ) = v^ Æ F .

4 Examples of re tangular elements To on lude this se tion we onsider . The same is true of Hermite elements on triangles.ned by (F N )(^v ) = N (F (^v )) = N (^v Æ F ): Example 12 Lagrange elements on triangles with appropriate hoi e of edge and interior nodes are aÆne equivalent. 3.1.

nite elements de.

Let Qk = ( X j ) j pj (x)qj (y ) : pj and qj are polynomials of degree k : It an be shown that Qk is a linear spa e of dimension (dim Pk1 )2 .ned on re tangles. where Pk1 denotes the set of all polynomials of a single variable of degree k and dim Pk1 signi.

es its dimension. . We give two examples. without going into details.

2 Polynomial approximation in Sobolev spa es In this se tion we shall develop the approximation theory for the . z4 . z9 . 9. L4 and the verti es z1 . z8 . L3 . : : : . Further. Example 13 (Bilinear Lagrange re tangle) Let k = 1 and suppose that K is a re tangle. z6 . We leave it as an exer ise to the reader to show. 3. z7 . let P = Q1 and let N = fN1 . as in Figure 3. L2 z7 z9 z8 z4 z1 L3 u u u z5 L1 L4 z6 z3 z2 Figure 3.5. Example 14 (Biquadrati Lagrange re tangle) Let k = 2 and suppose that K is a re tangle. 4. L4 and the verti es z1 . i = 1. : : : .5: Bilinear Lagrange re tangle with edges L1 . L3 . L2 . midpoints of edges z2 . We let P = Q2 and put N = fN1 .6: Biquadrati Lagrange re tangle with edges L1 . and entroid z5 . z3 and z4 . It is left as an exer ise to show that N determines P = Q2 (the dimension of Q2 is equal to 9). using Lemmas 9 and 10 that N determines P = Q1 (the dimension of Q1 is equal to 4).6. z2 . N4 g with Ni (v ) = v (zi ) with zi . as in Figure 3. : : : . PIECEWISE POLYNOMIAL APPROXIMATION z3 L2 z4 L4 L3 z1 u u u u L1 u u u u z2 Figure 3.74 u u CHAPTER 3. i = 1. z3 . N9 g with Ni (v ) = v (zi ) with zi . : : : . L2 .

The te hnique is based on the use of the Hardy-Littlewood maximal fun tion.nite element spa es des ribed in the previous se tion. following . We shall adopt a onstru tive approa h whi h will enable us to al ulate the onstants in the error estimates expli itly.

2. POLYNOMIAL APPROXIMATION IN SOBOLEV SPACES 75 the work of Ri ardo Duran1 .3. An alternative approa h whi h exploits the theory of Riesz potentials is presented in the Brenner-S ott monograph ited in the reading list.2. 3.1 The Bramble-Hilbert lemma A key devi e in .

( ) By hypothesis. m 1. Lemma 12 (Bramble-Hilbert lemma) Suppose that is a bounded open set in R n and assume that is star-shaped with respe t to every point in a set B of positive measure ontained in (i. Let l be a bounded linear fun tional on the Sobolev spa e Wpm ( ). we have by the linearity of l that jl(v)j = jl(v Q)j C0kv QkW ( ) m p = 0 m X C0 0 j =0 m p jv QjpW ( ) A m X1 = C0 C0 j =0 m X1 j =0 11=p j p jv QjpW j p ( ) + jvjpW m p jv QjW ( ) + jvjW m p j p 11=p ( ) A ( ) : In order to omplete the proof it remains to prove that 9Kj > 0 8v 2 Wpj ( ) 9Q 2 Pm jv QjW ( ) Kj jvjW m p j p su h that ( ) . su h that l(Q) = 0 for any polynomial Q of degree m 1. j = 0. 1 < p < 1. On e (3. there exists C0 > 0 su h that jl(v)j C0kvkW ( ) 8v 2 Wpm( ): Sin e l(Q) = 0 for all Q 2 Pm 1 .e. m 1: 1 (3. Then there exists a onstant C1 > 0 su h that jl(v)j C1jvjW Proof m p for all v 2 Wpm ( ).2) This will be done in the rest of the se tion. for all x 2 the losed onvex hull of fxg [ B is a subset of ).2) has been veri. : : : .nite element error analysis is the following result.

pp. j =0 m p 1 R. we shall have that 0 1 m X1 jl(v)j C0 1 + Kj A jvjW ( ) . No. (1983). Duran: On polynomial approximation in Sobolev spa es.ed. SIAM Journal of Numeri al Analysis.. . 985{988. 5. 20.

Our main tool is the following lemma. Lemma 13 Let g 2 Lp (R n ). we de. The remainder of this se tion is devoted to the ( onstru tive) proof of (3. Given 2 R n su h that j j = 1. m 1. : : : . 1 < p < 1. j = 0. only the existen e of su h onstants was proved.76 CHAPTER 3.2) given by Bramble and Hilbert was based on the use of the Hahn-Bana h theorem and was non- onstru tive in nature in the sense that it did not provide omputable onstants Kj .2). with the onstant 0 C1 = C0 1 + m X1 j =0 1 Kj A : The original proof of (3. PIECEWISE POLYNOMIAL APPROXIMATION and the proof will be omplete.

Now we are ready to prove (3.563{582. 44. it follows that2 Z Z p p p g1 (x. )p d g1 : kgkL (R ) p p 1 !n1=pkgkL (R ) . Murphy: Harmoni Analysis: Real Variable Methods. ) dx jg(x)jp dx. ) is the Hardy-Littlewood maximal fun tion of g() in the dire tion .ne 1 g1 (x.P. .M. Sin e g1 (. (1972).S. Stud. Orthogonality and Os illatory Integrals. p n p n where !n is the measure of the unit sphere in R n . pp. Math. ) = sup t>0 t and g (x) = Then Z j j=1 Z t jg(x + s )j ds 0 1=p (x. )p d g1 (x. or A. )p dx p Z R n dx d jg(x)jp dx: Upon taking the pth root of the two sides in this inequality we arrive at the desired result. Stein and T. 2 See E. Calderon: Estimates for singular integral operators in terms of maximal fun tions. Prin eton University Press. 1993.2). p 1 Proof R and therefore Z R n R n jg (x)jp = = R Z ! Z Z n j j=1 j j=1 Z p n R !n p 1 n g1 (x.

77 3.2. and let d be the diameter of . POLYNOMIAL APPROXIMATION IN SOBOLEV SPACES Theorem 8 Let R n be a bounded open set whi h is star-shaped with respe t to ea h point in a set of positive measure B . If v 2 Wpm ( ) then inf Q2Pm m j +(n=p) 1 jv QjW ( ) C d jB j1=p jvjW j p m p ( ) . where jB j denotes the measure of B and 0 C = (℄f : jj = j g) m j p ! 1=p (. Let 1 < p < 1. 0 j < m.

!) n1=p p 1 n j.

for a set A. for a multi-index .j=m j X 11=p0 p0 A . ℄A denotes the number of elements in A and. Here. with 1=p + 1=p0 = 1.

= (.

1 . : : : . .

.n ).

! = .

1 ! : : : .

we de. Be ause C 1( ) is dense3 in Wpm ( ).n !. Given x 2 B . it suÆ es to prove the theorem for v 2 C 1( ).

y) = j.ne Proof X Pm (v)(x.

j<m D.

v(x) (y x).

.

! and Z 1 Qm (v)(y) = jB j B Pm (v)(x. y) dx: Here we used the multi-index notation (y x).

= (y1 x1 ).

: : : (yn xn ).

As p (D v Qm j (D v))(y) = jB1 j Z B [D v(y) Pm j (D v)(x. jj = j . y)℄ dx. . It is easy to prove by indu tion that 1 n D Qm (v)(y) = Qm jj (D v)(y): Thus. 1975. A ademi Press. 0 jv Qm (v)jW j p ( ) X = X = jj=j 11=p kD (v Qm(v))kpL ( ) A p kD(v Qm (v))kL ( ) p jj=j X kDv Qm j (D v)kL ( ) : p jj=j Now let us estimate kD v Qm j (D v)kL ( ) for ea h . . Adams: Sobolev Spa es. 3 See R.A.

we have that jDv.78 CHAPTER 3. PIECEWISE POLYNOMIAL APPROXIMATION it follows. for x 2 B . y 2 .3) m j Now re alling the integral-remainder for Taylor series. by applying Minkowski's inequality for integrals4 that kDv Qm j (D v)kL ( ) 1=p Z Z jD v(y) P (D v)(x. y)jp dy dx: 1 p jB j B (3.

y)j .(y) Pm j (D v)(x.

.

.

X (y x).

Z 1 .

.

.

m j 1 .

D D v(x + t(y x))(1 t) d t.

.

= .

(m j ) 0 .

.

j.

j=m j .

! Z 1 X 1 jD.

D v(x + t(y x))j dt (m j )dm j 0 j.

j=m j .

! .

.

Z jy xj X .

.

1 y x .

.

1 m j .

= (m j )d jy xj .

D D v x + s jy xj .

ds: 0 j.

j=m j .

! P Let g be the fun tion that oin ides with j.

j=m j .

1! jD.

If g1 and g are the fun tions asso iated with g. D vj in and is identi ally zero outside . as de.

for a fun tion u 2 C (B ). jy xj : Z jy xjd g1p 1=p g1p (x.ned in Lemma 13. y)j (m j )d g1 x. Z Z k u(x. we have that y x m j jD v(y) Pm j (D v)(x. and therefore jD v(y) Pm j (D v)(x. jy xj dy: . y)jp dy (m j )dm j = (m j )dm j = (m j )dm j Z dZ 0 j j=1 n 1=p d n n 1=p d n y x x. jy xj . ) d rn 1 dr Z j j=1 g1p (x. )kLp( ) dx: B B y x x. ) d !1=p !1=p g (x): 4 Minkowski's integral inequality states that. ) dxkLp( ) ku(x. it follows for ea h x 2 B that Z Thus. jDv(y) Pm j (D v)(x. y)jp dy Z (m j )p d(m j )p jDv(y) Pm j (Dv)(x. y)jp (m j )p d(m j )p g1p Noting that B .

1.2). n 1=p Z d 1 m j (m j ) d g (x) dx kD v Q (D v)k m j jB j Lp ( ) n jB1 j (m j ) dm j jB j1 and hen e. POLYNOMIAL APPROXIMATION IN SOBOLEV SPACES Inserting this into (3. B (1=p) n 1=p d n kg kL (R p n ) m j +(n=p) kD v Qm j (D v)kL ( ) mn1=pj d jB j1=p p p 1 !n1=pkgkL (R ) m j +(n=p) = mn1=pj d jB j1=p p p 1 !n1=p kgkL ( ) : p p n p However.1. by Holder's inequality (see Ch. Se . by Lemma 13.1.3) we get.2. 1 jD.79 3.

D vj k L ( ) j.

j=m j .

! X 1 kD.

DvkL ( ) .

! j.

j=m j kgkL ( ) = k p X p p 0 11=p0 0 X j.

j=m j (.

!) p0 A j.

j=m j where 1=p + 1=p0 = 1. Therefore. kD v Qm j (Dv)kL ( ) p 11=p X m j dm j +(n=p) n1=p jB j1=p 0 p 0 11=p0 p !1=p (.

!) p0 A p 1 n j.

j=m j X j.

we dedu e that jv Qm(v)jW ( ) Kj jvjW where dm j +(n=p) Kj = C 1=p : j p kD.j=m j Re alling that jj = j .

X 11=p kD. DvkpL ( ) A .

DvkpL ( ) A : p m p ( ) . If v 2 Wpm ( ) then inf Q2Pm 1 jv QjW ( ) C (m. Suppose that 1 < p < 1 and 0 j < m. jB j Sin e Qm 2 Pm 1 . . and thereby also the proof of the Bramble-Hilbert lemma (Lemma 12). 2 (0. p. this ompletes the proof of Theorem 8. j. 1℄. m 1. Corollary 3 Let R n be a bounded open set of diameter d whi h is star-shaped with respe t to every point of an open ball B of diameter d. )dm j jvjW j p m p ( ) . n.

j. PIECEWISE POLYNOMIAL APPROXIMATION where 0 C (m. p. n. ) = n=p (℄ f : jj = j g) p(pm 1j ) X j.80 CHAPTER 3.

j=m j 11=p (.

Proof Note that jB j = (dn) !n : n In order to minimise the size of the onstant C (m.2. n.2 Error bounds on the interpolation error We shall apply Corollary 3 to derive a bound on the error between a fun tion and its . p. with 1=p + 1=p0 = 1. ). !) p0 A . 3. should be taken as large as possible a number in the interval (0. 1℄ su h that is star-shaped with respe t to ea h point in a ball B of radius d. j.

P . We begin by estimating the norm of the lo al interpolation operator. N ) be a . Lemma 14 Let (K.nite element interpolant.

e. The lo al interpolant of a fun tion u is de. : : : .nite element su h that the diameter of K is equal to 1. Nk g. and let f 1 . and ea h element of the set N is a bounded linear fun tional on C l (K )). P W1m (K ) and N (C l (K ))0 (i. k g P be the basis dual to N . : : : . Proof Let N = fN1 . the nodal variables in N involve derivatives up to order l. Then the lo al interpolation operator is bounded from C l (K ) into Wpm (K ) for 1 < p < 1.

ned by the formula IK u = where ea h i k X i=1 Ni (u) i . 2 W1m(K ) Wpm(K ). Thus kIK ukW m p (K ) k X jNi (u)j k i kW i=1 k X m p (K ) kNi k(C (K )0 k ikW l i=1 ! m p (K ) kukC (K ) l = Const: kukC (K ) : l and that ompletes the proof. 1 < p < 1. We de. by hypothesis.

ne kIK vkW (K ) . (K ) = sup l m p l . v2C (K ) kv kC (K ) the norm of the lo al interpolation operator IK : C l (K ) ! Wpm (K ).

POLYNOMIAL APPROXIMATION IN SOBOLEV SPACES Theorem 9 Let (K. P .2. N ) be a .81 3.

where hK is the diameter of K . K^ = fx=hK : x 2 K g and is the largest real number in the interval (0. in whi h ase K = K^ . the general ase follows by a simple s aling argument. 1℄ su h that a ball of diameter hK is ontained in K . Then. Also. (K^ ))hmK j jvjW j p m p jm and (K ) .nite element satisfying the following onditions: (i) K is star-shaped with respe t to some ball ontained in K . (iii) N (C l (K ))0 . p. Suppose that 1 < p < 1 and m l v 2 Wpm (K ) we have that (ii) (n=p) > 0. for 0 jv IK vjW (K ) C (m. note that the lo al interpolation operator is well de. Pm 1 P W1m(K ). n. It suÆ es to take K with diameter equal to 1. .

n.n. be ause Qm v 2 Pm 1 P . the onstant C (m.pkvkW (K ): Let Qm v be as in the proof of Theorem 8. (K^ )) an be made independent of (K^ ). (K )) jvjW m p m p m p m p (K ) . (K ) : That ompletes the proof. 1 p < 1 and p the identity operator Id : v 2 Wpm (K ) 7! v 2 C l (K ) is a bounded linear operator.n. . . n. p. for 0 j m. we have that jv IK vjW (K ) C (m.ned on Wpm (K ) by the Sobolev embedding theorem5 and there exists a onstant C = Cm. . by (3.p su h that. n.2) we dedu e that kv IK vkW (K ) C (m. Finally. p.p(K )) kv Qm vkW (K ). (K )) jvjW and hen e. kv IK vkW (K ) kv Qm vkW (K ) + kQm v IK vkW (K ) = kv Qm vkW (K ) + kIK (Qm v IK v)kW (K ) kv Qm vkW (K ) + (K ) kQm v IK vkC (K ) (1 + Cm. Proof kvkC (K ) Cm. Next we show that. for all v 2 Wpm (K ). Sin e IK f = f for any f 2 P . p. m P l m p m p m p m p m p m p l m p by the Sobolev embedding theorem.n. under a ertain regularity ondition on the subdivision T = fK g of the omputational domain . . 5 The Sobolev embedding theorem asserts that W m (K ) C l (K ) for m l > np . Thus. we have that IK Qmv = Qmv.

6 We shall denote the entries of the matrix a 1 by (a 1 )ij . of the same length as the olumn ve tor x. N ) through an aÆne transformation x 7! x^ = Ax ax + b. where a = (aij ) is an invertible N N matrix and b is a olumn ve tor of size N . PIECEWISE POLYNOMIAL APPROXIMATION ^ P^ . element (K. N^ ) is aÆne equivalent to a single referen e Let us suppose that ea h (K. P . The de.82 CHAPTER 3.

m 1 + max j(a 1i.l Also.n.nition of aÆne equivalen e yields: I^K^ v^(^x) = where X N 2N (A N )^v (A 1 ) x).j n 1) ij j l kv^kC (K^ ): l m jdet aj1=pk N kW m p (K ) : is a .n. k(A Sin e k 1 ) k N Wpm (K^ ) k N Wpm (K ) l 1 + 1max jaij j i. j(AN )(^v)j = jN (A v^)j CN kA v^kC (K ) CN. N (^ (A N )(^v ) = N (A v^).j n C0 N. (A v^)x = v^(Ax): Thus.

xed onstant on the referen e element K . Thus. we have shown that l jaij j (K^ ) Cref 1 + 1max i. the dimension of P ). Cref = jNj max fCN. we have that kI^K^ v^kW m p where (K^ ) Cref 1 + 1max jaij j i.j n 1 + 1max j(a i.n.lg max fC 0 g maxfk N 2N N 2N N.e. and jNj denotes the number of nodal variables (i.j n k N Wpm (K ) 1) ij j m jdet aj1=p: 6 To avoid onfusion between the .j n 1 + 1max j(a i.m N 2N l g.n.j n 1) ij j m l jdet aj1=pkv^kC (K^ ) .

nite element (K. Here and in the next 17 lines we shall. but this would have ompli ated the notation. aÆne image. P . temporarily. N ) and x~ instead of x. N^ ) onsidered here. asso iated with an element domain ^ P^ . P . N ) will. N~ ). instead of (K. to denote the better to use a new symbol (K. say. N ). (K. ~ P~ . signify a . P . adopt this sloppy notation. Thereafter. and the aÆne image of (K. it would have been K in the triangulation. again.

nite element on an element domain K in the triangulation. .

OPTIMAL ERROR BOUNDS IN THE H 1 ( ) NORM { REVISITED 83 Assuming that the subdivision T = fK g is regular in the sense that 9 > 0 8K 2 T hK K ( hK ).3. it is a straightforward exer ise in geometry to show that (K^ ) C .3. where hK is the diameter of K and K is the radius of the largest sphere (largest ir le for n = 2) ontained in K . where C is a .

from this. n. )hmK j jvjW m p j p (3. and re alling the de. jv IK vjW (K ) C (m. p. but independent of K^ 2 T . Consequently. 1 < p < 1.4) (K ) for ea h K 2 T provided that T is a regular subdivision. m l (n=p) > 0 and 0 j m.xed onstant dependent on .

still supposing that the triangulation T is regular. (3. m l (n=p) > 0 and 0 j m.4).6) where h = maxK 2T hK . and v 2 Wpm ( ). p. These interpolation error estimates are of ru ial importan e in . )hm j jvjW m p j p ( ) . )jvjW m p j p ( ) : (3. we have that jv IhvjW ( ) C (m. 1 < p < 1. p. n.5) We shall also need the following somewhat ruder statement whi h is a straightforward onsequen e of (3.nition of the global interpolant of v 2 Wpm ( ) it follows that X (j m)p hK K 2T jv IhvjpW (K ) !1=p C (m. n.

for the . In Chapter 2 we showed.nite element error analysis.3 Optimal error bounds in the revisited H 1 ( ) norm { In this se tion we return to the dis ussion of error estimation in the H 1 ( ) norm. 3.

Thus.7) 0 2V 1 1 h h ( . Cea's lemma 5). that ku uhkH ( ) 1 v inf ku vhkH ( ) : (3.nite element approximation uh 2 Vh to the weak solution u of the homogeneous Diri hlet boundary value problem for a se ond-order ellipti equation.f. restri ting ourselves to the ase of Poisson's equation and a ontinuous pie ewise linear approximation uh de.

1)2 . whenever u 2 H 2 ( ) \ H01 ( ).ned on a uniform triangulation of = (0. we have ku uhkH ( ) ChjujH ( ) : 1 2 . we proved that.

in general. (3.84 CHAPTER 3. n. we arrive at the following error bound: ku uhkH ( ) C (m. a hieved in the H 1 ( ) norm is of size O(hm 1 ).7).8) provided that u 2 H m ( ) \ H01 ( ). (ii) and (iii) of Theorem 9 hold with p = 2. .4 Variational rimes To on lude this hapter we brie y omment on a further issue whi h arises in the implementation of . n. PIECEWISE POLYNOMIAL APPROXIMATION Now. we an generalise to higher degree pie ewise polynomial approximations. with m = 2 orresponding to our earlier result with pie ewise linear basis fun tions. sin e for a given m the smallest possible error that an be. 1. 0)hm 1 jujH ( ) . this will be the ase if we use 1 m ontinuous pie ewise polynomials of degree m 1 on a regular triangulation of . 3.8) is usually referred to as an optimal error bound. In parti ular. also. equipped with the interpolation error estimate (3. inf ku vh kH vh 2Vh 1 ( ) ku IhukH ( ) C (m. )hm 1jujH 1 m ( ) : Substituting this into (3. The inequality (3. Given su h a triangulation T of we shall suppose that it is regular in the sense introdu ed in the previous se tion and we put Vh = Ih (H m ( ) \ H01 ( )): Then.6) we an derive an analogous error bound in a more general setting. Suppose that R n and that it an be represented as a union of element domains K su h that onditions (i).

nite element methods.5) on a bounded open set R n . in the ase of a homogeneous Diri hlet boundary ondition (1.6): . Let us onsider the weak formulation of the se ond-order ellipti partial dierential equation (1.

as before.9) (3.nd u 2 H 1 ( ) su h that a(u. v ) = n Z X i. where. v ) = l(v ) for all v 2 H01 ( ).10) .j =1 n Z X aij (x) + i=1 and l (v ) = w v dx xi xj w bi (x) v dx + xi Z f (x)v (x) dx: Z (x)wv dx (3. a(w.

85 3. VARIATIONAL CRIMES The asso iated .4.

nite element method is based on hoosing a .

nite element subspa e Vh H01 ( ) onsisting of ontinuous pie ewise polynomials of a ertain degree de.

ned on a subdivision of the omputational domain . and onsidering the approximate problem .

nd uh 2 Vh su h that a(uh. unless the oeÆ ients aij . the integrals whi h appear in the de. Unfortunately. bi and and the right-hand side f are ex eptionally simple fun tions. vh ) = l(vh ) for all vh 2 Vh .

) and l() will not be possible to evaluate exa tly. ) and l() approximately. we attempt to analyse the ee ts of this quadrature-indu ed perturbation on the a ura y of the exa tly-integrated . and numeri al integration rules (su h as the trapezium rule. Gauss-type rules and their multi-dimensional ounterparts) will have to be used to al ulate a(. Without fo using on any parti ular quadrature rule. Simpson's rule.nitions of a(.

let us suppose that the bilinear form a(. To keep the dis ussion simple. ) is still al ulated exa tly. but that l() has been repla ed by an approximation lh (). thereby leading to the following de.nite element method.

nition of uh : .

vh ) = lh (vh) for all vh 2 Vh . We re all that a key step in developing the .nd uh 2 Vh su h that a(uh .

nite element error analysis was the presen e of the Galerkin orthogonality property. With this new de.

We say that we have ommitted a variational rime by repla ing l() by lh (). We wish to study the extent to whi h the a ura y of the basi . vh ) = a(u. vh) = l(vh ) lh (vh ) 6= 0.nition of uh. however. vh ) a(uh . and Galerkin orthogonality no longer holds. we have that a(u uh. vh 2 Vh .

Thus. u vh ) + a(u uh . Assuming that n 1X bi (x) 0. 2 i=1 xi we have that a(v. u vh ) + l(vh uh) lh (vh uh) 1 ku uhkH ( ) ku vhkH ( ) jl(wh) lh(wh)j kv u k . u uh) = a(u uh.nite element approximation is disturbed by this variational rime. v ) 0 kv k2H ( ) . vh uh ) = a(u uh. 1 0 ku uhk2H 1 ( ) a(u uh. with 0 a positive onstant (as in Se tion 1. + sup h h H ( ) kwhkH ( ) w 2V 1 1 1 h h 1 .2).

PIECEWISE POLYNOMIAL APPROXIMATION with 1 a positive onstant (as in Se tion 1. we de.86 CHAPTER 3. To simplify writing.2).

ku uhkH ( ) 1 Equivalently.h 2 + 20 ku uhk2H 0 Substituting this into (3.12) Sin e vh 2 Vh is arbitrary.hku vh kH ( ) : 1 1 Noting that 0 1 .h ku uhkH ( ) 21 1 ku vhkH ( ) + kl lhk 1. this yields 20 ku uhk2H 1 ( ) 2 1 ku vh kH ( ) + kl lh k 1 and therefore. 1.11) gives 1 1 1 20 ku uh k2H 1 ( ) 1 ( ) : 1 ku vhkH ( ) + kl lhk 1.h ku uhkH ( ) + ku vh kH ( ) = 1 ku vh kH ( ) + kl lh k 1.h kl lhk 2 .ne kl lhk 1.h : jl(wh) lh(wh)j : kwhkH ( ) 1 (3. ku uhkH ( ) 1 p 1 2 ku vhkH 0 p 1 2 ku vhkH 0 1 ( ) + 1 p ( ) 2 0 + sup p wh 2Vh 2 0 1.h 2 +2 0 kl lh k 1.hku vh kH ( ) : 1 1 1 1 1 1 1 1 (3. 2 0 2 we have that 1 ku vh kH ( ) + kl lh k 1. b 0. a.h ku uh kH ( ) +kl lh k 1. 0 ku uhk2H ( ) 1 ku uhkH ( ) ku vh kH ( ) +kl lh k 1.h = sup wh 2Vh jl(wh) lh(wh)j : kwhkH ( ) 1 Hen e.11) Now applying the elementary inequality 1 ab a2 + 0 b2 . it follows that we have proved the following perturbed version of Cea's lemma: p 1 2 ku vhkH ( ) ku uhkH ( ) vmin 2V 0 p jl(wh) lh(wh)j : 2 sup + 0 w 2V kwhkH ( ) 1 1 h h h h 1 .

87 3. VARIATIONAL CRIMES The se ond term on the right-hand side of (3.4.12) quanti.

es the extent to whi h the a ura y of the exa tly integrated .

. 0)hm 1 jujH ( ) jl(wh) lh(wh)j : 2 sup + 0 w 2V kwhkH ( ) 1 m h h 1 Thus. 1. in order to retain the a ura y of the exa tly integrated method. . n. for the details of the analysis the reader is referred to the books on the reading list and referen es therein. in the ase of ontinuous pie ewise linear basis fun tions (m = 2) this means that the additional error should be at most O(h). ) is perturbed to ah (.nite element method is ae ted by the failure of Galerkin orthogonality. Indeed. the numeri al quadrature rule has to be sele ted so that the se ond term on the right is also of size O(hm 1 ). We shall not dis uss variational rimes whi h arise from repla ing the omputational domain by a \ onveniently hosen lose-by domain" h .3 will lead to the error bound ku uhkH ( ) C (pm. The situation when a(. ) is analysed in a similar manner. arguing in the same manner as in Se tion 3.

PIECEWISE POLYNOMIAL APPROXIMATION .88 CHAPTER 3.

1) and f a(w. v ) = Z 1 0 2 L2 (0. where b 2 W11 (0. 2 L1 (0. u(1) = 0. we shall onsider the two-point boundary value problem u00 + b(x)u0 + (x)u = f (x). 1). 1). Letting [w0 (x)v 0 (x) + b(x)w0 (x)v (x) + (x)w(x)v (x)℄ dx and l (v ) = Z 1 0 f (x)v (x) dx. 0 < x < 1. the weak formulation of this problem an be stated as follows: . u(0) = 0.1 The one-dimensional model problem In order to illuminate the key ideas and avoid te hni al diÆ ulties.Chapter 4 A posteriori error analysis by duality In this hapter we shall derive a omputable bound on the global error and indi ate the implementation of this result into an adaptive algorithm with reliable error ontrol. 4.

1) 2 there exists a unique weak solution. Assuming that 1 0 b (x) 0. 1) su h that a(u. (4. 1). for x 2 (0. 1). v ) = l(v ) for all v 2 H01 (0. The . 1). u 2 H01 (0.nd u 2 H01 (0.

nite element approximation of this problem is onstru ted by onsidering a (possibly non-uniform) subdivision of the interval [0. 1℄ by the points 0 = x0 < x1 < (x) 89 .

A POSTERIORI ERROR ANALYSIS BY DUALITY : : : < xN 1 < xN = 1 and de.90 CHAPTER 4.

ning the .

nite element spa e Vh H01(0. To keep matters simple. let us suppose that Vh onsists of ontinuous pie ewise linear fun tions. The . 1) onsisting of ontinuous pie ewise polynomials of a ertain degree on this subdivision. as des ribed in Chapter 2.

nite element approximation of the boundary value problem is: .

as in an a priori error analysis).nd uh 2 Vh su h that a(uh. z (1) = 0. z (0) = 0. We begin our error analysis by noting that the de. we aim to quantify the size of the global error u uh in terms of the mesh parameter h and the omputed solution uh (rather then the analyti al solution u. and put h = maxi hi . that is. alled the dual or adjoint problem. : : : . we onsider the following auxiliary boundary value problem z 00 (b(x)z )0 + (x)z = (u uh )(x). N . i = 1. 0 < x < 1. We wish to derive an a posteriori error bound. To do so. vh ) = l(vh ) for all vh 2 Vh . We let hi = xi xi 1 .

nition of the dual problem and a straightforward integration by parts yield (re all that (u uh )(0) = 0. we have that a(u uh.1) = a(u uh. z Ih z ) = N Z xi X u0h (x) (z i=1 xi 1 N Z xi X + + i=1 xi 1 N Z xi X i=1 xi 1 Ihz)0 (x) dx b(x) u0h (x) (z Ihz)(x) dx (x) uh(x) (z Ihz)(x) dx: . ku uhk2L (0. Ih z ) = 0: Thus. z Ihz) = (f.1) = (u uh. z Ihz) = a(u. z ): By virtue of the Galerkin orthogonality property. z Ihz) a(uh. the ontinuous pie ewise linear interpolant of the fun tion z . z00 (bz)0 + z) = a(u uh . (u uh)(1) = 0): ku uhk2L (0.2) We observe that by this stage the right-hand side no longer involves the unknown analyti al solution u. a(u uh . z Ih z ): (4. u uh) = (u uh. z Ih z ) a(uh . zh ) = 0 8zh 2 Vh: In parti ular. 2 2 a(uh. hoosing zh = Ih z 2 Vh. Now. asso iated with the subdivision 0 = x0 < x1 < : : : < xN 1 < xN = 1.

THE ONE-DIMENSIONAL MODEL PROBLEM Integrating by parts in ea h of the (N 1) integrals in the .91 4.1.

we dedu e that a(uh. R(uh)(x) (z (4. x 2 (xi 1 . noting that (z Ih z )(xi ) = 0. z Ihz)(x) dx: [ u00h (x) + b(x)u0h (x) + (x)uh(x)℄ (z zh ) = N Z xi X i=1 xi Ihz)(x) dx: f (x) (z 1 Substituting these two identities into (4.rst sum on the right-hand side. : : : .3) 1 where. i = 0. for i = 1. N .1) = N Z xi X i=1 xi Ihz)(x) dx. xi ): The fun tion R(uh ) is alled the . : : : . N .2). R(uh )(x) = f (x) + u00h (x) b(x)u0h (x) (x)uh (x). we dedu e that ku k uh 2L2 (0. z Ih z ) = N Z xi X i=1 xi 1 Further (f.

1) 2 i i 1 N 1 X h2 kR(uh)kL (x 2 i=1 i 2 i i 1 . ku uhk2L (0. i = 1. We re all that z 00 = uh u (b z )0 + z = uh u b z 0 + ( b0 ) z. i = 1.xi ) kz00 kL (x 2 i 1 . N. we dedu e that 2 ku i 1 k uh 2L2 (0. Now.x ) hi kz00 kL (x .nite element residual.xi ) kz IhzkL (x 2 i 1 . applying the Cau hy-S hwarz inequality on the right-hand side of (4.3) yields ku k uh 2L2 (0. 1). xi ).4). xi ).xi ) and onsequently.xi ) : Re alling from the proof of Theorem 3 (with = z Ih z and noting that 00(x) = z 00 (x) for all x in (xi 1 .1) : 2 (4. : : : .xi ) kz00 kL (0.1) 2 1 2 N X i=1 h4i kR(uh)k2L (x !1=2 2 i 1 . sin e Ih z is a linear fun tion on (xi 1 .1) N X i=1 kR(uh)kL (x 2 i 1 . . N ) that 2 kz IhzkL (x . it measures the extent to whi h uh fails to satisfy the dierential equation u00 + b(x)u0 + (x)u = f (x) on the interval (0.x ) . : : : .4) The rest of the analysis is aimed at eliminating z 00 from the right-hand side of (4.

noting (4.6) By the Poin are-Friedri hs inequality.92 CHAPTER 4.1) : 2 Thus.1) : 2 2 Inserting this into the right-hand side of (4.6) yields kz0 kL (0.1) : 2 2 (x)[z (x)℄2 dx: (4. z ) = (z 0 .9) . kzk2L (0. (4. in the se ond term on the right gives ( z 00 Hen e.1) and kz kL (0.1) : 2 2 (4.1) : 2 Now we substitute (4.1) . A POSTERIORI ERROR ANALYSIS BY DUALITY and therefore.6) gives 2 kzkL (0. kz00 kL (0. we shall dedu e that the same is true of kz00 kL (0.7) (4. z ) Z Z 1 1 1 0 2 2 0 = kz kL (0.1) ku uhkL (0.1) and then.1) kz0 kL (0.5) We shall show that both kz 0 kL (0.1) p1 ku uhkL (0.1) + Z 1 and thereby.5).1) an be bounded in terms of ku uhkL (0.1) + k b0 kL1 (0.1) + kbkL1(0.1) . again. 2 Where 2 1 1 K = 1 + p kbkL1 (0.1) 21 kz0 k2L (0. 0 (x) 1 2 Z 1 0 b0 (x)[z 2 (x)℄ dx + Z 1 1 0 b (x) [z (x)℄2 dx = (u 2 0 uh.1) + b(x)[z (x)℄ dx + (x)[z (x)℄2 dx: 2 0 0 2 Integrating by parts.1) kz0 k2 L2 (0. z 0 ) + (bz. by virtue of (4.1).8) into (4.1) K ku uhkL (0. z 0 ) + ( z. z) ku uhkL (0. Let us observe that 2 2 2 2 2 2 2 2 ( z 00 (bz )0 + z. (bz )0 + z. z ) = kz 0 k2 L2 (0.5) to dedu e that 2 2 kz00 kL (0.1) kzkL (0. z ): Integrating by parts and noting that z (0) = 0 and z (1) = 0 yields ( z 00 (bz )0 + z.1) +k b0 kL1 (0.7) and (4.8) (4.1) : (4.1) 21 ku uhkL (0. z ) = (u uh. z ).1) kz kL (0. kz0 k2 (u uh.

4). AN ADAPTIVE ALGORITHM It is important to note here that K0 involves only known quantities. and therefore it an be omputed without diÆ ulty.2. namely the oeÆ ients in the dierential equation under onsideration. Inserting (4. we arrive at our .9) into (4.93 4.

10) an only be employed to quantify the size of the approximation error that has been ommitted in the ourse of the omputation after uh has been omputed.nal result.10) where K0 = K= 2. In the next se tion we shall des ribe the onstru tion of an adaptive mesh re. the omputable a posteriori error bound. . ku uhkL (0.xi ) (4. The name a posteriori stems from the fa t that (4.1) K0 2 N X i=1 h4i kR(uh)k2L (x 2 i !1=2 1 .

nement algorithm based on the bound (4.10). 4.2 An adaptive algorithm Suppose that T OL is a pres ribed toleran e and that our aim is to ompute a .

nite element approximation uh to the unknown solution u (with the same de.

1) T OL: We shall use the a posteriori error bound (4.nition of u and uh as in the previous se tion) so that ku uhkL (0.10) to a hieve this goal by su essively re.

xi ) is satis. until the stopping riterion 2 K0 N X i=1 h4i kR(uh )k2L (x 2 !1=2 1 i T OL . and omputing a su ession of numeri al solutions uh on these subdivisions.ning the subdivision.

with = for i = 1. 1℄. N0 . : : : . and onsider the asso iated .ed. and h(0) = maxi h(0) i . Choose an initial subdivision (0) (0) T0 : 0 = x(0) 0 < x1 < : : : < xN 0 h(0) i x(0) i 1 < x(0) N =1 0 x(0) i 1 of the interval [0. The algorithm pro eeds as follows: 1.

Compute the orresponding solution uh (0) 3. stop if (m) K0 Nm 4 X hi(m) i=1 2 Vh (m) 2 Vh (0) for some m 0. de. Given a omputed solution uh vision Tm . (0) 2.nite element spa e Vh (of dimension N0 1).

2 (m) 1 i .11) .ned on a subdi!1=2 kR(uh )k2L (x (m) .x(im) ) T OL: (4.

If not. A POSTERIORI ERROR ANALYSIS BY DUALITY 4. : : : . with hi(m+1) = xi(m+1) xi(m1+1) for i = 1. then determine a new subdivision Tm+1 0 = x0(m+1) < x1(m+1) < : : : < xN(m+1) 1 < xN(m+1) = 1 : m+1 m+1 of the interval [0. and an asso iated . 1℄.94 CHAPTER 4. Nm+1 and (of dih(m+1) = maxi hi(m+1) .

with h as large as possible (and onsequently Nm+1 as small as possible).12) is the mesh modi.11) is the stopping riterion and (4. su h that (m+1) K0 NX m+1 4 hi(m+1) i=1 kR(uh )k2L (x !1=2 (m) 2 (m+1) 1 i .12) and ontinue.x(im+1) ) = T OL. Here (4. (4.nite element spa e Vh ( m +1) mension Nm+1 1).

The relation (4. ation strategy. A ording to the a posteriori error bound (4. when the algorithm terminates the global error ku uh kL (0.10).1) is ontrolled to within the pres ribed toleran e T OL.12) de.

x(im+1) = ) T OL2 K02 Nm+1 for ea h i = 1. this means that the residual ontributions from individual elements in the subdivision are required to be equal: 2 hi(m+1) 4 kR(uh )k2L (x (m) 2 (m+1) i 1 . : : : . The natural ondition for maximality is equidistribution. Nm+1 .nes the new mesh-size by maximality. the implementation an be simpli.

from whi h the hi(m+1) an be found by treating this as an equation in hi(m+1) .xi (m+1) ) . we have a simple formula for hi(m+1) : 0 hi(m+1) = 11=4 T OL2 K02 Nm kR(uh )k2L (x (m) 2 (m+1) i 1 A . Then. and solving it numeri ally. : : : . Nm+1 . for m and i .ed by repla ing Nm+1 on the right-hand side by Nm . i = 1.

by some root-.xed.

nding algorithm (e. su essive bise tion or .g.

starting from i = 1. Thus what we have des ribed above is a reliable omputational algorithm. EÆ ien y means that the omputational eort required to a hieve reliability is minimal.10) is below the given toleran e. Reliability means that the omputational error is ontrolled in a given norm on a given toleran e level. the extent to whi h this implies that we have also minimised the amount of omputational eort required to ensure that the left-hand side in (4. depending very mu h on the hoi e of the fun tions b.10). . and f . It is un lear from the present dis ussion whether the adaptive algorithm des ribed above is eÆ ient in this sense: although we have minimised the omputational eort required to ensure that the right-hand side in the error bound (4. and this will vary from ase to ase.10) is less than TOL depends on the sharpness of the inequality (4.xed-point iteration).

Chapter 5 Evolution problems In previous hapters we onsidered the .

nite element approximation of ellipti boundary value problems. This hapter is devoted to .

in parti ular.nite element methods for time-dependent problems. we shall be on erned with the .

u(x.j =1 aij (x. n. x 2 . n 1. with boundary = . t). t)u = f (x.3) Suppose that u0 2 L2 ( ). n) 2 R n . 2 L1 (Q). bi 2 W11 (Q). t)i j ~ n X i=1 i2 . j = 1. i. 8x 2 . t) ) + bi (x.j =1 i=1 x 2 . u(x. t 2 [0.nite element approximation of paraboli equations.1) (5. and that there exists a positive onstant ~ su h that n X i. : : : . 8 = (1. 95 (5. x 2 : u t n X (5. and let T > 0. T ℄. t) + (x. T ℄. t 2 (0. 0) = u0 (x). t 2 (0.4) . Hyperboli equations will not be dis ussed in these notes. x 2 . we onsider the initial boundary value problem for the unknown fun tion u(x. T ℄: We shall also assume that aij 2 L1 (Q). xj xi xi i. f 2 L2 (Q).1 The paraboli model problem Let be a bounded open set in R n . : : : . In Q = (0. T ℄.2) (5. t). 5. t) = 0. t 2 [0. T ℄ : n u X u (aij (x.

EVOLUTION PROBLEMS and that n bi 1X (x. t) 2 Q. t) 0. Simple examples of paraboli equations are the heat equation u = u t and the unsteady adve tion-diusion equation u t u + n X i=1 bi u = 0: xi The proof of the existen e of a unique solution to a paraboli initial boundary value problem is more te hni al than for an ellipti boundary value problem and it is omitted here.96 CHAPTER 5.1){(5.5) as in the ellipti ase. t) (x.1) is alled a paraboli equation (of se ond order). 2 i=1 xi (x. we shall simply assume that (5. Instead. (5.3) has a unique solution and investigate its de ay in t (t typi ally signi. A partial dierential equation of the form (5.

w 2 L2 ( ). and dis uss the question of ontinuous dependen e of the solution on the initial datum u0 and the for ing fun tion f . v ) and the norm kv kL ( ) are de. the inner produ t (u.es time). We re all that. for v.

t)): 2 dt ? 2 2 . and applying (5. t)): t xi i=1 2 Noting that 1d u (.1) with u. we obtain 1 d ~ k u(. u(. u(. t) + ~ k (. integrating by parts. noting that u(x.5).4) and (5. = (v.2).ned by 2 (v. we get n X u u (. x 2 . t)k2L ( ) (f (. t). t) = ku(. t). t)k2L ( ) . t). u(. t)k2L ( ) + ku(. v )1=2 : Taking the inner produ t of (5. t)k2L ( ) (f (. u(. w) = kvkL ( ) 2 Z v (x)w(x) dx. t). t) = 0. t 2 dt 2 and using the Poin are-Friedri hs inequality (1.

t)k2L ( ) kf (. t)k2L ( ) : dt K Kt Multiplying both sides by e . t)k2L ( ) kf (. t)kL ( ) ku0 kL ( ) e kf (.6) implies that the solution is unique. t)k2L ( ) : dt K Integrating from 0 to t. t)kL ( ) 2 dt 21K kf (. 1 d ku(. Indeed. then.1. t)k2L ( ) + K ku(.6) 0 Assuming that (5. t)k2L ( ) + K2 ku(. t)k2L ( ) : Then e. t)kL ( ) e ku0kL ( ) + K e kf (. then u = u1 u2 satis.3) has a solution. (5.1){(5.3). by the Cau hy-S hwarz inequality.1){(5. t)k2L ( ) + K ku(. d 1 k u(. )k2L ( ) d: K 0 Hen e Z 1 t K (t ) 2 Kt 2 ku(. THE PARABOLIC MODEL PROBLEM Let K = ~= ? . t)k2L ( ) kf (. eKt d Kt e ku(. t)kL ( ) ku(. if u1 and u2 are solutions to (5. )k2L ( ) d: (5.97 5. Z 1 t K Kt 2 2 e ku(.

therefore. by (5. u1 u2 . we have ku(. t)k2L ( ) e ~t= ku0k2L ( ) . Let us also look at the spe ial ase when f 0 in (5.6). t 0. Sin e K = in physi al terms. In this ase (5. t)k2L ( ) = ku0k2L ( ) . (5.1).7) 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 dissipates exponentially. (5.3) with f 0 and u0 0.es (5.8) and we dedu e that the rate of dissipation depends on the lower bound. however sin e ~ > 0 by hypothesis.e. t 0. u 0.6) yields ku(. This orresponds to onsidering the evolution of the solution from the initial datum u0 in the absen e of external for es. this will only o ur by formally setting ~ = 0. t)k2L ( ) e Ktku0k2L ( ) . on the \diusion oeÆ ients" aij (i. the energy ku(. Conservation of energy would orrespond to ku(. onservation of energy will not be observed for a physi al pro ess modelled by a se ond-order paraboli equation.1){(5. t)k ~= ? . In the next se tion we onsider some simple . i.e. the smaller ~. ~. the slower the de ay of the energy).

In order to simplify the presentation. but the analysis that we shall present also applies in the general setting.nite element methods for the numeri al solution of paraboli initial boundary value problems. we restri t ourselves to the heat equation in one spa e dimension. 1 2 2 L2 ( ) ? 2 2 2 2 .

98 CHAPTER 5. T > 0. Let Q = (0. 1). EVOLUTION PROBLEMS 5.2 Forward and ba kward Euler s hemes We onsider the following simple model problem for the heat equation in one spa e dimension. . where = (0. T ℄.

1). 1℄: (5. t) su h that u 2 u = + f (x. t 2 (0. t) = 0. They both use the same dis retisation in the x variable but while the . t).nd u(x.9). t) = 0. u(1. 0) = u0 (x). u(x. t x2 u(0.9) We des ribe two s hemes for the numeri al solution of (5. x 2 [0. x 2 (0. t 2 [0. T ℄. T ℄.

1℄ [0. T ℄: Let h = 1=N be the mesh-size in the x-dire tion and let t = T=M be the mesh-size in the t-dire tion. M 1.rst s heme ( alled the forward Euler s heme) employs a forward divided dieren e in t to approximate u=t. We begin by onstru ting a mesh on Q = [0. The forward Euler s heme. the se ond ( alled the ba kward Euler s heme) uses a ba kward dieren e in t. We de. N 2. here N and M are two integers.

1) denote the set of all ontinuous pie ewise linear fun tions de. 0 j N . 0 m M g: Let Vh H01 (0. tm ) : xj = jh.ne the uniform mesh Q h t on Q by Q h t = f(xj . tm = m t.

We approximate (5.ned on the x-mesh 0 = x0 < x1 < : : : < xN 1 < xN = 1 whi h vanish at the end-points. x = 0 and x = 1.9) by the .

nite element method. referred to as the forward Euler s heme: .

vh ) 8vh 2 Vh . su h that m+1h uh umh . 0 m M.nd um 2 Vh. and a(. tm). t (u0h u0 . vh ) = 0 8vh 2 Vh. ) is de. vh + a(umh . vh) = (f (. t ). m where um h represents the approximation of u(.

10) . 0 m M 1. t ). vh ) = (uh . (5. v ) = Z 1 0 w0(x)v 0 (x) dx: Clearly. vh ) 8vh 2 Vh.ned by a(w. (5.10) an be rewritten as follows: +1 m m m (um h . vh ) + t (f (. vh ) t a(uh .

vh) = (u0 . FORWARD AND BACKWARD EULER SCHEMES 99 with (u0h . to .5. vh ) 8vh 2 Vh : m+1 at time level tm+1 we have to solve a system of linear Thus.2. given um h .

nd uh equations with symmetri positive de.

nite matrix M of size (N 1) (N 1). with entries (i . j ) where i denotes the one-dimensional pie ewise linear .

one an approximate the time derivative by a ba kward dieren e. It is a simple matter to show that this matrix is tridiagonal and has the form 1 0 4 1 0 0 ::: 0 B 1 4 1 0 ::: 0 C C hB C: 0 1 4 1 : : : 0 M= B C 6B ::: ::: ::: ::: ::: ::: A 0 0 ::: 0 1 4 The matrix M is usually referred to as the mass matrix. whi h gives rise to the following ba kward Euler s heme: . Alternatively. the same matrix arises when determining u0h.nite element basis fun tion asso iated with the x-mesh point xi . The ba kward Euler s heme.

vh + a(umh +1 . tm+1). vh) = 0 8vh 2 Vh . v ) (um h h . t 8vh 2 Vh. m where um h represents the approximation of u(. vh) = (f (. vh ) 8vh 2 Vh . vh ) = (uh .nd um 2 Vh. vh) = (u0 .11) u0 . 0 m M 1.11) an be written +1 m+1 m m+1 ). su h that m+1h uh umh . to . with (u0h . vh ) + t a(uh . vh ) + t (f (. 0 m M. given um h . t ). t (5. Equivalently. vh ) 8vh 2 Vh : m+1 at time level tm+1 we have to solve a system of linear Thus. (5.

nd uh equations with symmetri positive de.

j ) + t (0i . with entries (i .nite matrix A of size (N 1) (N 1). 0j ) where i denotes the one-dimensional pie ewise linear .

nite element basis fun tion asso iated with the x-mesh point xi . .

where 1 0 2 1 0 0 ::: 0 B 1 2 1 0 ::: 0 C C 1B B K = B 0 1 2 1 ::: 0 C h ::: ::: ::: ::: ::: ::: C A 0 0 ::: 0 1 2 is the so- alled stiness matrix. (u0h .nding u0h still only involves inverting the mass matrix M . It is lear that A = M + t K .

100 CHAPTER 5.11) simultaneously. by embedding them into a one-parameter family of . EVOLUTION PROBLEMS 5.3 Stability of -s hemes We shall study the stability of the s hemes (5.10) and (5.

nite element s hemes: .

0 m M. for = 1 the ba kward Euler s heme.nd um 2 Vh. and for the sake of notational simpli ity. m+1 uh t umh Sin e umh + .12) with um h m+1 uh t umh .13) . we wrote f m+ (x) = f (x. vh) = 0 8vh 2 Vh . umh + = t + 2 + jum h jH 1 ( ) + = (f m+ . = (v. (5. h 2 t 2 it follows that t 1 2 kumh +1k2L ( ) kumhk2L ( ) umh +1 umh 2 k t kL ( ) + 2t m + 2 m + m + +juh jH ( ) = (f . um h ): +1 um m+1 + um 1 um h + uh h. v )1=2 : + we get Taking the inner produ t of (5. uh ) = (f h Equivalently. tm+1 ) + (1 )f (x. um+ ): + a(um h . v ) = kvkL ( ) 2 Z 1 0 w(x)v (x) dx. umh + + m+ m+ . vh ) 8vh 2 Vh t (u0h u0 . vh ) = (f m+ . su h that m+1h uh umh . Re all that (w.12) where 0 1. uh ): 2 2 2 1 (5. tm ) and umh + (x) = umh +1 (x) + (1 )umh (x): For = 0 this gives the forward Euler s heme. vh + a(umh + . The method orresponding to = 21 is known as the Crank-Ni olson s heme.

1℄.14) an be thought of as the dis rete version of (5.3. If follows from (5.6).14) 2 for all k. kumh + k2L ( ) 21 jumh + j2H ( ) : Thus kumh +1k2L ( ) kumhk2L ( ) 1 m+ 2 1 + k2 + 2kum k f kL ( ) + kumh + k2L ( ) . 1 k M . 2 tkf m+ k2L ( ) 2 #1=2 . The inequality (5.15) whi h expresses the ontinuous dependen e of the solution to the . L ( ) h 2t 2 2 so that 1 2 2 2 2 2 2 kumh +1k2L ( ) kumhk2L ( ) + tkf m+ k2L ( ) : 2 2 2 Summing through m. we get that k k ukh 2L2 ( ) k k u0h 2L2 ( ) + k 1 X m=0 tkf m+ k2L ( ) . and therefore 1 (f m+ . (5. : : : . (5.14) that k k max uk 2 1kM h L2 ( ) i. k. STABILITY OF -SCHEMES 101 Suppose that 2 [1=2. umh + ) kf m+ kL ( ) kumh + kL ( ) : ( ) 2 2 A ording to the Poin are-Friedri hs inequality. m = 0. then kumh +1k2L ( ) kumhk2L ( ) 2 + 2 + jum h jH 2 2t 1=2 0. max kukhkL ( ) 1kM 2 k k u0h 2L2 ( ) " + ku0hk2L ( ) + 2 M X1 m=0 M X1 m=0 tkf m+ k2L ( ) .e.5.

1=2). 1℄. Now let us onsider the ase 2 [0. without any limitations on the time step in terms of h. kumh +1k2L ( ) kumhk2L ( ) + 2 + jum h jH ( ) 2t umh +1 umh 2 1 m+ .nite element s heme (5. A ording to (5.12) is un onditionally stable for 2 [1=2.16) . In other words. 1℄. Thus we have proved that for 2 [1=2. the s heme (5.13). um+ ): )k k = t( L ( ) + (f 2 t 2 2 1 2 (5.12) on the initial data and the right-hand side. This property is alled stability. the s heme (5.12) is stable.

19) we dedu e (5. A simple al ulation reveals that N X Wi Wi 1 2 4 NX1 2 jwhjH ( ) = hj h j h2 hjWij2 : (5. for ea h wh 2 Vh . p jwhjH ( ) h12 kwhkL ( ) : 1 (5.21) . +1 um )=t.20) and (5. we dedu e that Applying (5. i = 0.20) From (5. we ontinue the stability analysis.17).19) i=1 i=1 1 On the other hand.12) with vh = (um h umh )=t. N . h t umh : Therefore.18). Let Wi denote the value of the pie ewise linear fun tion wh 2 Vh at the mesh-point xi . EVOLUTION PROBLEMS +1 Re alling (5. uh t uh a 2 um+1 umh + .18) with wh = (um h h umh +1 umh 2 k t kL ( ) 2 umh +1 umh k kL ( ) k t kL ( ) p 12 m+ um+1 umh j uh jH ( ) k h kL ( ) + h t f m+ 2 2 1 and hen e 2 p umh +1 umh k t kL ( ) kf m+ kL ( ) + h12 jumh + jH 2 2 1 ( ) (5.18). Now. : : : . equipped with the inequality (5. we have that m+1 m+1 m m k uh t uh k2L ( ) = f m+ .102 CHAPTER 5. m+1 m+1 m m k uh t uh k2L ( ) kf m+ kL ( ) k uh t uh kL ( ) umh +1 umh + j +jum j jH ( ) : H ( ) h t 2 2 2 1 (5. and note that W0 = WN = 0. kwhk2L ( ) 2 = h NX1 (W W + 4Wi2 + Wi Wi+1 ) 6 i=1 i i 1 h NX1 6 i=1 1 2 W 2 i 1 2 Wi 1 + 4Wi2 2 1 2 W 2 i 1 2 W 2 i+1 1 NX1 hjWi j2 : 3 i=1 (5.17) 1 Next we shall prove that.18) 2 We shall then use this inequality to estimate the terms appearing on the right-hand side of (5.

kumh + k2L ( ) 21 jumh + j2H ( ) . 1=2). kf m+ kL ( ) kumh + kL ( ) 812 kf m+ k2L ( ) + 22kumh + k2L ( ) 812 kf m+ k2L ( ) + 2jumh + j2H ( ) : Substituting (5.23) into (5. 1 2 2 1 kumh +1k2L ( ) kumhk2L ( ) 2 1 12(1 + ) jumh + j2H + 1 t( ) 2t 2 h2 kf m+ kL ( ) kumh + kL ( ) + t( 21 )(1 + 1 )kf m+ k2L ( ) : 2 2 2 2 1 ( ) 2 (5. STABILITY OF -SCHEMES By (5. > 0.23) 1 2 kumh +1k2L ( ) kumhk2L ( ) 2 + 1 t 6(1 2)(1 + ) h2 2 jumh + j2H ( ) 1 812 kf m+ k2L ( ) + t( 21 )(1 + 1)kf m+ k2L ( ) : 2 2 Let us suppose that t h2 6(1 2) (1 ).5.21).3.22) A ording to the Poin are-Friedri hs inequality. b 0. 2 [0.22). and therefore. has been applied. a. 1). for any 2 (0. Substituting into (5.16). where is a . 103 p m+1 m k uh t uh k2L ( ) !2 12 m+ ju j + kf m+ kL ( ) h h H ( ) j umh + j2H ( ) + (1 + 1 )kf m+ k2L ( ) . (1 + ) 12 2 h where the inequality (a + b)2 (1 + )a2 + (1 + 1 )b2 . 1 2 2 2 2 2 2 2t (5.

2 (0. 1). so that kumh +1k2L ( ) kumhk2L ( ) + 4t2 kf m+ k2L ( ) + t2 (1 2 2 2 2)(1 + 1 )kf m+ k2L ( ) : 2 . Then 1 t 6(1 2)(1 + ) h2 2 0.xed real number.

12) is un onditionally stable. 5. the s heme (5. 1=2). we dedu e that for (5.24) provided that t h2 6(1 2) (1 ) . 0 < < 1: (5. the ba kward Euler s heme. orresponding to = 1=2. and (5.25). 1℄.4 Error analysis in the L2 norm In this se tion we investigate the a ura y of the . When 2 [0. the method (5. subje t to the time step limitation (5.104 CHAPTER 5.25) To summarise: when 2 [1=2. are un onditionally stable. 1=2) the s heme f m+ 2L2 ( ) #1=2 . EVOLUTION PROBLEMS Letting = 1=(42 ) + t(1 implies that 2)(1 + 1 ). In parti ular.12) is onditionally stable.15) holds. orresponding to = 1. is only onditionally stable. (5.12) is onditionally stable in the sense that " k k k k max ukh h 1kM u0h 2L2 ( ) + M X1 m=0 tk k 2 [0. orresponding to = 0. The forward Euler s heme. upon summation through all m this max kukhk2L ( ) ku0hk2L ( ) + 1kM 2 2 M X1 m=0 tkf m+ k2L ( ) : 2 Taking the square root of both sides. and the CrankNi olson s heme.

tm) P u(. where m = u(. for other values of 2 [0. m = P u(. we shall restri t ourselves to the ba kward Euler s heme ( = 1). and for t 2 [0.nite element method (5. tm). tm) umh = m + m . t) 2 Vh denotes the Diri hlet proje tion of u(.9). P u(. T ℄. 1℄ the analysis is ompletely analogous. tm) umh . For simpli ity.12) for the numeri al solution of the initial boundary value problem (5. We de ompose the global error eh as follows: emh = u(. t) de.

t). a( m . t) 2 Vh follows by the Lax-Milgram theorem. vh) 8vh 2 Vh : The existen e and uniqueness of P u(. Hen e. vh) = a(u(. t). .ned by a(P u(. vh ) = 0 8vh 2 Vh .

By the Aubin-Nits he duality argument. tm) Ihu(. ERROR ANALYSIS IN THE L2 NORM 105 and therefore. 1 2 1 where Ih u(. tm)jH ( ) . tm ) 2 Vh denotes the ontinuous pie ewise linear interpolant of u(.5. tm) from Vh . a m+1 (5. vh = 0 t by an identi al argument we dedu e that 8vh 2 Vh. jmjH ( ) ju(. by Cea's lemma.4. 2 kmkL ( ) h2 ju(. tm)jH ( ) h ju(. tm)jH ( ) : Sin e also. .26) 2 2 m .

.

2.

m+1 m .

m+1 m k t kL ( ) h2 .

.

u(. t ) t u(. t ) .

.

2 k 0kL ( ) k0kL ( ) h2 ju0jH ( ) : (5.28) It is easily seen that m 2 Vh satis. vh ) ( 0 . hoosing vh = 0 and applying the Cau hy-S hwarz inequality on the right. vh) and therefore. vh ) = (e0h . vh ) = ( 0 . ( 0 . H 2 2 ( ) : (5.27) For m = 0.

vh t A ording to the stability result proved earlier on. (5. t ) t 2 k 0kL ( ) h2 ju0jH ( ) : 2 2 #1=2 . tm+1 ) u(. max k mkL ( ) 1mM where By (5. tm+1) u(.29) m+1 m : t (5. tm ) t m=0 tk'm+1 k2L ( ) 2 u m+1 (. vh ) u(.es the following identity: 2 m+1 t m 2 2 . tm ) = t u m+1 (.28). 'm+1 = 2 " k 0k2L ( ) + M X1 2 u(. vh + a( m+1 .30) . t ) t m+1 m .

tm+1) u(. tm+1 ) u(x. tm ) t and therefore u m+1 1 (x. II h2 . Taylor's formula with integral remainder yields that 'm+1 2 2 (5. Now 2 u(.31) 2 u(x.27). t)k2L ( ) dt 2 tm Further. by (5. EVOLUTION PROBLEMS It remains to estimate k'm+1 kL ( ) .106 CHAPTER 5. t ) = t t p I t Z tm+1 tm !1=2 Z tm+1 2 k tu2 (. t )kL ( ) k kL ( ) k t t m+1 m +k kL ( ) I + II: t For term I . tm ) u m+1 (.

.

tm+1) u(. u(. tm ) .

.

.

2 .

t H h2 2p .

.

.

t Z tm+1 .

.

u .

( .

t tm (tm+1 2 h2 .

1 = 2 .

.

.

t ( ) .

2 .

. t).

.

t2 : . H 2 ( ) !1=2 dt Z tm+1 tm t) 2u (x. t) dt.

.

t) dt. u (.

.

.

independent of h and t. we obtain the following error bound: max k m kL ( ) C1 (h2 + t). The Crank-Ni olson s heme ( = 1=2) an be shown to onverge in the norm k kL ( ) un onditionally. tm ) um h kL ( ) C2 (h + t). while very similar to the one-dimensional ase. is beyond the s ope of these notes.26). max ku(. by (5. but only onditionally. t H 2 ( ) : Substituting the bounds on terms I and II onto (5. but the exposition of that theory. 1=2) the s heme onverges with error O(h2 + t). The stability and onvergen e results presented here an be extended to paraboli equations in more than one spa e dimension. we dedu e that 2 max ku(. But. 1mM (5.32) and (5. 1℄ the s heme onverges un onditionally with error O(h2 + t): For 2 [0.29). 2 . with error O(h2 + (t)2 ): For 2 (1=2.32) 2 where C1 is a positive onstant. 1℄.30) into (5. 1mM 2 where C2 is a positive onstant independent of h and t. and depending only on norms of the analyti al solution u. tm) 1mM umh kL ( ) 1max k mkL ( ) + 1max kmkL ( ) : mM mM 2 2 2 Thus. 2 (1=2.31) and inserting the resulting inequality and (5.

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