Luan An NCS Nguyen Thi Ngoc Oanh

MINISTRY OF VIETNAM ACADEMY OF
EDUCATION AND TRAINING SCIENCE AND TECHNOLOGY
INSTITUTE OF MATHEMATICS
NGUYEN THI NGOC OANH
DATA ASSIMILATION IN HEAT CONDUCTION
THESIS FOR THE DEGREE OF
DOCTOR OF PHILOSOPHY IN MATHEMATICS
HANOI 2017
MINISTRY OF VIETNAM ACADEMY OF
EDUCATION AND TRAINING SCIENCE AND TECHNOLOGY
INSTITUTE OF MATHEMATICS
NGUYEN THI NGOC OANH
DATA ASSIMILATION IN HEAT CONDUCTION
Spe iality: Dierential and Integral Equations

Spe iality Code: 62 46 01 03
THESIS FOR THE DEGREE OF

DOCTOR OF PHYLOSOPHY IN MATHEMATICS
Supervisor: PROF. DR. HABIL. ĐINH NHO HÀO
HANOI 2017
BỘ GIÁO DỤC VÀ ĐÀO TẠO VIỆN HÀN LÂM KHOA HỌC
VÀ CÔNG NGHỆ VIỆT NAM
VIỆN TOÁN HỌC
NGUYỄN THỊ NGỌC OANH
ĐỒNG HÓA SỐ LIỆU TRONG TRUYỀN NHIỆT
Chuyên ngành: Phương trình Vi phân và Tích phân

Mã số: 62 46 01 03
LUẬN ÁN TIẾN SĨ TOÁN HỌC
Người hướng dẫn khoa học:

GS. TSKH. ĐINH NHO HÀO
HÀ NỘI – 2017
A knowledgments
I first learned about inverse and ill-posed problems when I met Professor Đinh Nho Hào in
2007, my final year of bachelor’s study. I have been extremely fortunate to have a chance
to study under his guidance since then. I am deeply indebted to him not only for his
supervision, patience, encouragement and support in my research, but also for his precious
advices in life.
I would like to express my special appreciation to Professor Hà Tiến Ngoạn, Professor
Nguyễn Minh Trí, Doctor Nguyễn Anh Tú, the other members of the seminar at Department
of Differential Equations and all friends in Professor Đinh Nho Hào’s group seminar for
their valuable comments and suggestions to my thesis. I am very grateful to Doctor Nguyễn
Trung Thành (Iowa State University) for his kind help on MATLAB programming.
I would like to thank the Institute of Mathematics for providing me with such an excellent
study environment.
Furthermore, I would like to thank the leaders of College of Sciences, Thai Nguyen Uni-
versity, the Dean board as well as to all of my colleagues at the Faculty of Mathematics
and Informatics for their encouragement and support throughout my PhD study.
Last but not least, I could not have finished this work without the constant love and
unconditional support from my parents, my parents-in-law, my husband, my little children
and my dearest aunt. I would like to express my sincere gratitude to all of them.
Abstra t
The problems of re onstru ting the initial ondition in paraboli equations from the obser-
vation at the nal time, from interior integral observations, and from boundary observations
are studied. We reformulate these inverse problems as variational problems of minimizing
appropriate mist fun tionals. We prove that these fun tionals are Fré het dierentiable
and derive a formula for their gradient via adjoint problems. The dire t problems are rst
dis retized in spa e variables by the nite dieren e method and the variational problems
are orrespondingly dis retized. The onvergen e of the solution of the dis retized varia-
tional problems to the solution of the ontinuous ones is proved. To solve the problems
numeri ally, we further dis retize them in time by the splitting method. It is proved that
the ompletely dis retized fun tionals are Fré het dierentiable and the formulas for their
gradient are derived via dis rete adjoint problems. The problems are then solved by the
onjugate gradient method and the numeri al algorithms are tested on omputer. As a
by-produ t of the variational method based on Lan zos' algorithm, we suggest a simple
method to demonstrate the ill-posedness.
i
Tóm tắt
Các bài toán xác định điều kiện ban đầu trong phương trình parabolic từ quan sát tại
thời điểm cuối, từ quan sát tích phân bên trong, và từ quan sát biên đã được nghiên cứu.
Chúng tôi sử dụng phương pháp biến phân nghiên cứu bài toán ngược này bằng cách cực
tiểu hóa các phiếm hàm chỉnh. Chúng tôi chứng minh rằng các phiếm hàm này là khả vi
Fréchet và đưa ra công thức gradient của chúng thông qua các bài toán liên hợp. Trước
tiên, sử dụng phương pháp sai phân hữu hạn để rời rạc hóa bài toán thuận và bài toán liên
hợp tương ứng theo các biến không gian. Chúng tôi chứng minh sự hội tụ của nghiệm của
bài toán biến phân rời rạc tới nghiệm của bài toán biến phân liên tục. Để giải số bài toán,
chúng tôi tiếp tục rời rạc bài toán theo biến thời gian bằng phương pháp sai phân phân
rã (phương pháp splitting). Chúng tôi cũng chứng minh được rằng các phiếm hàm rời rạc
này là khả vi Fréchet và đưa ra công thức gradient của chúng thông qua bài toán liên hợp
rời rạc. Sau đó chúng tôi sử dụng phương pháp gradient liên hợp để giải và các thuật toán
số được thử nghiệm trên máy tính. Ngoài ra, như một sản phẩm phụ của phương pháp
biến phân, dựa trên thuật toán Lanczos, chúng tôi đề xuất một phương pháp đơn giản để
minh họa tính đặt không chỉnh của bài toán.
ii
De laration
This work has been completed at Institute of Mathematics, Vietnam Academy of Science
and Technology under the supervision of Prof. Dr. Habil. Đinh Nho Hào. I declare hereby
that the results presented in it are new and have never been published elsewhere.
Author: Nguyen Thi Ngoc Oanh
iii
List of Figures
2.1 Example 1: Singular values. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
2.2 Example 2: Re onstru tion results: (a) exa t fun tion v ; (b) estimated one; ( ) point-wise error;
(d) the omparison of v|x1 =1/2 and its re onstru tion (the dashed urve: the exa t fun tion, the
solid urve: the estimated fun tion). . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
2.3 Example 3: Re onstru tion result: (a) exa t fun tion v ; (b) estimated one; ( ) point-wise error;
3.1 Example 1. Singular values: three observations and various time intervals of observations. . . . 68
3.2 Example 2: Re onstru tion results for (a) 3 uniform observation points in (0, 0.5), error in L2 -
norm = 0.006116; (b) 3 uniform observation points in (0.5, 1), error in L2 -norm = 0.006133; ( )
3 uniform observation points in (0.25, 0.75), the error in L2 -norm = 0.0060894; (d) 3 uniform
observation points in Ω, the error in L2 -norm = 0.0057764 . . . . . . . . . . . . . . . . . . 69
3.3 Re onstru tion result of Example 3: (a) τ = 0.01 ; (b) τ = 0.05; ( ) τ = 0.1; (d) τ = 0.3. . . . . 70
3.6 Example 6. Re onstru tion results: (a) Exa t initial ondition v ; (b) re onstru tion of v ; ( )
point-wise error; (d) the omparison of v|x1 =1/2 | and its re onstru tion . . . . . . . . . . . . 74
point-wise error; (d) the omparison of v|x1 =1/2 | and its re onstru tion. . . . . . . . . . . . 76
point-wise error; (d) the omparison of v|x1 =1/2 | and its re onstru tion. . . . . . . . . . . . 77
iv
4.1 Example 1: Singular Values for 1D Problem . . . . . . . . . . . . . . . . . . . . . . . 87
4.2 Example 2, 3, 4: 1D Problem: Re onstru tion results for smooth, ontinuous and dis ontinuous
initial onditions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
4.3 Example 5: Exa t initial ondition (left) and its re onstru tion (right). . . . . . . . . . . . . 89
4.4 Example 5 ( ontinue): Error (left) and the verti al sli e of the exa t initial ondition and its
re onstru tion along the interval [(0.5, 0), (0.5, 1)] (right). . . . . . . . . . . . . . . . . . . 89
4.6 Example 6 ( ontinue): Error (left) and the sli e of the exa t initial ondition and its re onstru -
tion along the interval [(0.5, 0), (0.5, 1)] (right). . . . . . . . . . . . . . . . . . . . . . . 90
4.8 Example 7 ( ontinue): Error (left) and the sli e of the exa t initial ondition and its re onstru -
tion along the interval [(0.5, 0), (0.5, 1)] (right). . . . . . . . . . . . . . . . . . . . . . . 91
v
List of Tables
3.1 Example 3: Behavior of the algorithm with dierent starting points of observation τ . . . . . . 71
3.2 Example 6: Behavior of the algorithm when the number of observations and the positions of
observations vary (N = 4). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
3.3 Example 6: Behavior of the algorithm when the number of observations and the positions of
observations vary (N = 9). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
vi
List of Notations
Rn the n− dimensional Eu lidean spa e;

Ω open set in Rn ;
∂Ω the boundary of Ω;
Γ a subset of ∂Ω;
Q = Ω × (0, T )
S = ∂Ω × (0, T );
Σ = Γ × (0, T );
C 1 (Q) spa e of ontinuously dierentiable fun tions on Q;
2 2
L (Ω), L (S), L (Q)2
spa e of measurable, squared integrable fun tions in Ω
(resp. on S, Q);
H 1 (Ω) = {u(x) ∈ L2 (Ω) : ∂x ∂u
i
∈ L2 (Ω)};
H 1,1 (Q) = {u(x, t) ∈ L2 (Q) : ∂x ∂u
i
∈ L2 (Q)};
H01 (Ω) = {u(x) ∈ H 1 (Ω) : u|∂Ω = 0};
H01,0 (Q) = {u(x, t) ∈ H 1,0 (Q) : u|S = 0};
H01,1 (Q) = {u(x, t) ∈ H 1,1 (Q) : u|S = 0};
L∞ (Ω), L∞ (S), L∞ (Q) spa e of measurable, almost everywhere bounded fun tions in Ω
(resp. on S, Q);
(H 1 (Ω))′ dual spa e of H 1 (Ω);
(H01 (Ω))′ dual spa e of H01 (Ω);
L2 (0, T ; H 1 (Ω)) = {u : u(t) ∈ H 1 (Ω) a.e. t ∈ (0, T ) và kukL2 (0,T ;H 1 (Ω)) < ∞};
L2 (0, T ; (H 1 (Ω))′ ) = {u : u(t) ∈ (H 1 (Ω))′ a.e. t ∈ (0, T ) và kukL2 (0,T ;(H 1 (Ω))′ ) < ∞};
L2 (0, T ; H01 (Ω)) = {u : u(t) ∈ H01 (Ω) a.e. t ∈ (0, T ) và kukL2 (0,T ;H01 (Ω)) < ∞};
L2 (0, T ; (H01 (Ω))′ ) = {u : u(t) ∈ (H01 (Ω))′ a.e. t ∈ (0, T ) và kukL2 (0,T ;(H01 (Ω))′ ) < ∞};
W (0, T ; H 1 (Ω)) = {u : u ∈ L2 (0, T ; H 1 (Ω)), ut ∈ L2 (0, T ; (H 1 (Ω))′ )};
W (0, T ; H01 (Ω)) = {u : u ∈ L2 (0, T ; H01 (Ω)), ut ∈ L2 (0, T ; (H01 (Ω))′ )};
Ni number of interval on xi ;
hi grid size on xi ;
k = (k1 , . . . , kn );
xk = (xk1 1 , . . . , xknn ) grid verti es;
h = (h1 , . . . , hn ) ve tor of spatial grid sizes;
∆h = h1 · · · hn ;
ei the unit ve tor in xi ;
ω(k) = {x ∈ Ω : (ki − 0.5)hi ≤ xi ≤ (ki + 0.5)hi };
Ω̄h = {k = (k1 , . . . , kn ) : 0 ≤ ki ≤ Ni };
Ωh = {k = (k1 , . . . , kn ) : 1 ≤ ki ≤ Ni − 1};
Ωih = {k = (k1 , . . . , kn ) : 0 ≤ ki ≤ Ni − 1, 1 ≤ kj ≤ Nj − 1, ∀j 6= i};
Πh = Ω̄h \ Ωh ;
Πil
h = {k = (k1 , k2 , . . . , kn ) : ki = 0}, i = 1, . . . , n;
Πir
h = {k = (k1 , k2 , . . . , kn ) : ki = Ni }, i = 1, . . . , n;
= u hi−u ;
k+ei k
ukxi
CG onjugate gradient method;
∇J gradient of J .
vii
Contents
Page
Abstra t i
Tóm tắt ii
List of Figures iii
List of Tables v
List of Notations vii
Introdu tion 1
Chapter 1 Auxiliary results 9
1.1 Dire t problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.2 Adjoint problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
1.3 Finite dieren e method for one-dimensional dire t problems . . . . . . . . . 14
1.3.1. Dis retization in the spa e variable . . . . . . . . . . . . . . . . . . . 15
1.3.2. Dis retization in time . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
1.4 Finite dieren e method for multi-dimensional dire t problems . . . . . . . . 18
1.4.1. Interpolations of grid fun tions . . . . . . . . . . . . . . . . . . . . . 19
1.4.2. Dis retization in spa e variables and the onvergen e of the nite
dieren e s heme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
viii
1.4.3. Dis retization in time and splitting dieren e s heme . . . . . . . . . 36
1.5 Approximation of the variational problems . . . . . . . . . . . . . . . . . . . 39
1.6 Lan zos' algorithm for approximating singular values . . . . . . . . . . . . . 43
Chapter 2 Data assimilation by the nal time observations 44
2.1 Problem setting and the variational method . . . . . . . . . . . . . . . . . . 44
2.2 Dis retization of the variational problem in spa e variable . . . . . . . . . . . 47
2.3 Full dis retization of the variational problem . . . . . . . . . . . . . . . . . . 47
2.3.1. The gradient of the obje tive fun tional . . . . . . . . . . . . . . . . . 48
2.3.2. Conjugate gradient method . . . . . . . . . . . . . . . . . . . . . . . 50
2.4 Numeri al results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
2.4.1. Approximations of the singular values . . . . . . . . . . . . . . . . . . 51
2.4.2. Numeri al examples for two-dimensional problems . . . . . . . . . . . 52
Chapter 3 Data assimilation by the integral observations 57
3.2 Dis retization of the variational problem in spa e variable . . . . . . . . . . . 63
3.3 Full dis retization of the variational problem . . . . . . . . . . . . . . . . . . 64
3.4 Numeri al example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
3.4.1. One-dimensional numeri al examples . . . . . . . . . . . . . . . . . . 68
3.4.2. Two-dimensional numeri al examples . . . . . . . . . . . . . . . . . . 73
Chapter 4 Data assimilation by the boundary observations 78
4.2 Dis retization of the variational method in spa e variables . . . . . . . . . . 83
4.3 Full dis retization of the variational problem and the onjugate gradient
method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
4.4 Numeri al example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
4.4.1. Numeri al example in one-dimensional ase . . . . . . . . . . . . . . . 87
4.4.2. Numeri al example in the multi-dimensional ase . . . . . . . . . . . 88
ix
Con lusion 92
The author's publi ations related to the thesis 93
Bibliography 93
x
Introdu tion
The predi tion of an evolution pro ess requires its initial ondition whi h is unfortunately
not always available or pre isely given in pra ti e. Data assimilation is the pro ess of
re onstru ting model initial onditions from measured observations and the rst guess
eld in ombination with the dynami al system. Data assimilation is extensively used
in meteorology, o eanography, weather fore ast [2, 3, 45, 66, 71℄, environmental pollution
[8, 55, 63℄, image pro essing [6℄, industrial produ tion [4, 5, 9, 24℄, . . . . For surveys of
methods in data assimilation, we refer to [2, 10, 11, 15, 16, 17, 37, 46, 47, 48, 57, 64, 65,
66, 67, 71, 73, 74, 75℄, and the referen es therein.
Suppose that the pro ess under onsideration is modelled by a system of evolution equations
dU
+ AU = F, (0.1)
dt
where U is the ve tor representing the state variables that we want to "predi t", A is an
ellipti operator in the spa e variables and F is the ve tor of exterior for e a ting on the
system. The goal of predi tion is to nd a good approximation to U during a period of
time of length T. The problem we are fa ed with is that we do not know the initial data
for U before some time moment T0 for omputing the solution of the predi tion model
from T0 on. However, we an observe (measure) U somehow, say, by CU with C being a
linear operator. The data assimilation problem is to determine an approximation of the
initial ondition at a time before T0 from measurements and then use it to solve the above
system for predi tion. This problem is unfortunately ill-posed. A problem is said to be
well-posed in sense of Hadamard if the following onditions are satised [20℄: i) Existen e:
There is a solution of the problem. ii) Uniqueness: The solution is unique. iii) Stability:
The solution ontinuously depends on the data (in some appropriate topologies). If at
least one of the above onditions is not fullled, the problem is said to be ill-posed (or
improperly posed). Hadamard thought that su h problems have no physi al meaning.
However, many important problems in pra ti e are ill-posed and there have been a lot of
works devoted to their study (see [2, 3, 4, 5, 7, 8, 9, 14, 19, 24, 31, 36, 45, 68, 72, 80℄
and the referen es therein). The ill-posedness of a problem auses serious troubles by
making lassi al numeri al methods unstable, that is a small error in the data may ause
arbitrarily large errors in its solution. Tikhonov A.N. [78℄ in 1943 realized that unstability
results from la ks information, and to restore stability we should impose some a priori
ondition. Tikhonov then pointed out the possibility of nding stable solutions to ill-posed
problems. The importan e of ill-posed problems has been then realized by Lavrent'ev M.M.
1
[42, 43, 44, 45℄, John F. [34℄, Pu i C. [69℄, Ivanov V.K. [32, 33℄ who an be onsidered as
the founders of the theory of ill-posed problems. In 1963, Tikhonov [79, 80℄ published his
elebrated regularization method and sin e then inverse and ill-posed problems be ame an
a tive bran h of mathemati al physi s and omputational s ien e.
This thesis is devoted to data assimilation in heat ondu tion, namely it aims at determin-
ing the initial ondition of the system (0.1) des ribing heat ondu tion using three types
of observation: 1) observation at the nal time moment, 2) interior (integral) observations,
3) boundary observations. We now formulate our problems more pre isely.
Let Ω be an open bounded domain in Rn , n ≥ 1, with boundary ∂Ω. Denote Q = Ω×(0, T ]

with T > 0 being given, S = ∂Ω × (0, T ]. Let
aij , i, j ∈ {1, 2, . . . , n}, b ∈ L∞ (Q), (0.2)
aij = aji , i, j ∈ {1, 2, . . . , n}, (0.3)

n
X
λkξk2Rn ≤ aij (x, t)ξi ξj ≤ λ−1 kξk2Rn , ∀ξ ∈ Rn , (0.4)
i,j=1
0 ≤ b(x, t) ≤ µ a.e. in Q, (0.5)
v ∈ L2 (Ω), g ∈ L2 (S), f ∈ L2 (Q), (0.6)
λ is positive onstant and µ ≥ 0. (0.7)
Consider the initial value problem
n
∂u X ∂ ∂u
− aij (x, t) + b(x, t)u = f in Q, (0.8)
∂t i,j=1 ∂xi ∂xj
u|t=0 = v in Ω, (0.9)
with either Diri hlet boundary ondition
u=0 on S (0.10)
or Neumann boundary ondition
X n
∂u
= (aij (x, t)uxj ) cos(ν, xi ) = g on S, (0.11)
∂N i,j=1
where ν is the outer normal ve tor to S. We see that the system (0.8), (0.10) or (0.8),
(0.11) are examples of the system (0.1).
When the oe ients of equation (0.8), data v, g and the right hand side (sour e) f are
given, the problem of determining u(x, t) from the system (0.8)(0.10) or (0.8), (0.9), (0.11)
is alled the dire t problem. It is proved that there exists a weak solution (the denition of
whi h will be given in Chapter 1) to these problems [24, 82℄. The inverse problem (data
assimilation) onsidered in this thesis is that of determining the initial ondition v from
one of the above three types of observation: Denoting the solution to (0.8)(0.10) or (0.8),
(0.9), (0.11) by u(v) to emphasize its dependen e on the initial ondition v and supposing
2
that we observe u by Cu(v). The inverse problem is to determine v when Cu(v) is given,
say, by z. In other words, we have to solve the equation
Cu(v) = z. (0.12)
This problem is ill-posed as we will see that in our hosen spa es the operator mapping
v to Cu(v)
is ompa t. However, hara terizing its degree of ill-posedness is not an easy
o
task. Denoting the solution to (0.8)(0.10) (or (0.8), (0.9), (0.11)) with v ≡ 0 by u, we see
o
that the operator from v to Cv := Cu(v) − C u is bounded and linear. Thus, instead of
studying the equation (0.12), we have to deal with the linear operator equation
o
Cv = z − C u. (0.13)
The asymptoti behavior of singular values of C (or eigenvalues of C ∗C ) hara terizes the
ill-posedness of the problem [19℄. However, up to now there are very few results on this
question in inverse problems for partial dierential equations. Some hara terization has
been obtained, but only in very simple ases [8, 19, 51℄. In this thesis, as a by-produ t of
the variational method for nding v , we propose a numeri al s heme for estimating singular
values of C whi h we will present below.
To nd v, we minimize the mist fun tional
1
J0 (v) = kCu(v) − zk2H (0.14)
2
with respe t to v ∈ L2 (Ω). However, this problem is ill-posed, we will minimize the
regularized fun tional ([2, 4, 5, 7, 8, 9, 14, 19, 24, 33, 36, 71℄)
1 γ
Jγ (v) = kCu(v) − zk2H + kv − v ∗ k2L2 (Ω) (0.15)
2 2
with respe t to v ∈ L2 (Ω), v ∗ is an a priori estimate to v , k · kH is the
instead. Here,
norm of an appropriate Hilbert spa e H and γ > 0 the regularization parameter. It will be
proved that there exists a unique solution to this optimization problem, the fun tional Jγ
is Fré het dierentiable and its gradient an be al ulated via an adjoint problem. To solve
the problem numeri ally, we shall apply the splitting nite dieren e method to dis retize
the optimization problems and prove the onvergen e of the method. The reason we hoose
the splitting nite dieren e method is that this method is easy for oding and it splits
multi-dimensional problems into a sequen e of one-dimensional problems and hen e it is
very fast. We note that one an dis retize the problems by the nite element method,
however, sin e the oe ients in our problems depend on time, it is easier to use the nite
dieren e method.
o
Now we return to estimating the singular values of C. We have ∇J0 (v) = C ∗ (Cv −(z −C u))
o
with C∗ being the adjoint operator of C. If we hoose z = C u, then ∇J0 (v) = C ∗ Cv .
Unfortunately, the expli it form of C is usually not available, and even if it is available, it
is not easy to analyze the asymptoti behaviour of its singular values. However, as we an
al ulate ∇J0 (v) = C ∗ Cv via the solution to an adjoint problem for any v, we an apply
∗
Lan zos' algorithm [81℄ to estimate the eigenvalues of C C.
3
The ontent of this thesis is as follows. In Chapter 1 we summarize some basi results
for the dire t problems, their nite dieren e approximations and onvergen e results, also
some standard algorithms like the onjugate gradient method, Lan zos' algorithm, et are
presented there. We note that sin e the solution to the Diri hlet problem (0.8)(0.10) or
to the Neumann problem (0.8), (0.9), (0.11) is understood in the weak sense, the nite
dieren e method for them is ompli ated and the proof of onvergen e of the method is
not trivial.
The se ond hapter is devoted to the re onstru ting the initial ondition v in the Diri hlet
problem (0.8)(0.10) from the observation at the nal time moment: Cu := u(x, T ) = ξ(x).
This problem is well known under the name paraboli equations ba kward in time whi h
has many appli ations in pra ti e and up to now there have been many papers devoted to
it (see [4, 5, 6, 8, 12, 18, 24, 31, 45, 68℄ and the referen es therein). However, among these
works only a few are devoted to the ase of time-dependent oe ients [1, 25, 31, 45, 53℄.
Paraboli equations ba kward in time are severely ill-posed as the following simple example
shows [19℄.
Consider the heat equation with homogeneous Diri hlet boundary ondition
ut (x, t) = uxx (x, t), x ∈ (0, π), 0 < t ≤ 1, (0.16)
u(0, t) = u(π, t) = 0, 0 < t ≤ 1, (0.17)
u(x, 0) = v(x) ∈ L2 (0, π). (0.18)
The problem is to re onstru t the initial ondition v from u(x, 1) = ξ(x).

Using Fourier expansion of v, we have the representation
∞
X
v(x) = vn ϕn (x), x ∈ [0, π] (0.19)
n=1
q q Rπ
2 2
with ϕn (x) = π
sin(nx) and vn = π
v(τ ) sin(nτ )dτ.
0
We easily obtain
∞
X 2
u(x, t) = vn e−n t ϕn (x).
n=1
2
Hen e, if we for e ξ ∈ L (0, π), then
∞
X ∞
X
−n2
ξ(x) = u(x, 1) = vn e ϕn (x) = ξn ϕn (x)
n=1 n=1
q Rπ
2
with ξn = π
ξ(τ ) sin(nτ )dτ.
0
Thus,
2
vn = ξn en , n = 1, 2, . . . .
and r ∞
2 X n2
v(x) = e ξn sin(nx). (0.20)
π n=1
4
For v ∈ L2 (0, π), we must have
∞
X ∞
X 2
kvk2L2 (0,π) = vn2 = e2n |ξn |2 < ∞. (0.21)
n=1 n=1
From (0.20) and (0.21), we see that the problem of re onstru ting v from ξ is severely
ill-posed: First, a solution v exists only for those fun tions ξ whose Fourier oe ients ξn
−n2
rapidly de rease as n tends to innity (mu h faster than e ). Se ond, a small error in
n2
the n-th Fourier oe ient is amplied by a fa tor of e . For example, an error of 10−8 in
3
the fth Fourier oe ient ξ5 of the data ξ indu es a large error of about 10 in the initial
temperature.
Now we return to the problem of re onstru ting the initial ondition v in the Diri hlet
problem (0.8)(0.10) from the observation at the nal time moment: Cu := u(x, T ) = ξ(x).
We sometimes write u(x, t; v) or u(v) instead of u(x, t) to emphasize the dependen e of u on
v . Following the general approa h stated above to re onstru t v we minimize the fun tional
1
J0 (v) := ku(·, T ; v) − ξk2L2(Ω)
2
with respe t to v ∈ L2 (Ω). We will see that the operator v → Cu(v) : L2 (Ω) → L2 (Ω) is
ompa t, hen e the problem of solving the equation Cu(v) = ξ is ill-posed. It follows that
the above minimization problem is also ill-posed. To stabilize it we minimize the Tikhonov
regularized fun tional
1 γ
Jγ (v) := ku(·, T ; v) − ξk2L2 (Ω) + kv − v ∗ k2L2 (Ω) ,
2 2
∗
with γ>0 being a regularization parameter and v an approximation of v . We prove that
the fun tional Jγ is Fré het dierentiable and derive the following formula for its gradient
(Theorem 2.1.1)
∇Jγ (v) = p(x, 0) + γ(v − v ∗ ),
with p(x, t) being the solution to the adjoint problem

 !

 ∂p P n ∂ ∂p

 − − aij (x, t) + b(x, t)p = 0 in Q,
 ∂t i,j=1 ∂xj ∂xi

 p(x, T ) = u(x, T ; v) − ξ in Ω,



p(x, t) = 0 on S.
The optimization problem is then dis retized by the nite dieren e method in spa e vari-
ables and it is proved that the solution of the dis retized optimization problem onverges
(weakly or strongly depends on the smoothness of the data) to the solution of the ontinuous
one. We further dis retize it in time using the splitting method to split multi-dimensional
problems into a sequen e of one-dimensional ones. We derive a formula for the gradient
of the fully dis retized fun tional via an adjoint problem and then apply the onjugate
gradient method to solve it numeri ally. The algorithm is then tested on several ben h-
mark examples to show the e ien y of our approa h. We also apply Lan zos' algorithm
5
to estimate the singular values of the dis retized version of the operator C . Here, as above,
o o
C is the linear operator from v into Cv := Cu(v) − C u with u being the solution to the
Diri hlet problem (0.8)(0.10) with the homogeneous initial ondition.
The third hapter studies the re onstru tion of the initial ondition v in (0.8)(0.10) from
N integral observations
li u = hi (t), t ∈ (τ, T ), τ ≥ 0, i = 1, 2, . . . , N,
R
where ωi ∈ L1 (Ω), i = 1, 2, . . . , N are non-negative weight fun tions with Ω ωi (x)dx > 0
Z
li u(x, t) = ωi (x)u(x, t)dx = hi (t), t ∈ (τ, T ), i = 1, . . . , N. (0.22)
Ω
Let us dis uss observations (0.22). First, any measurement is an averaged pro ess, that
is of the form (0.22). Se ond, su h a kind of observations is a generalization of point
observations. Indeed, let xi ∈ Ω, i = 1, . . . , N be given, Si be a neighbourhood of xi , and
ωi (x) be hosen as

 1

, if x ∈ Si ,
ωi (x) = |Si | (0.23)


0, otherwise
where |Si | is the volume of Si . We see that |Si | is similar to the width of the instrument
and when we let |Si | tend to zero we have the point observation. It should be noted also
that as the solution to (0.8)(0.10) is understood in the weak sense, its value at ertain
point does not always have a meaning, but it does in the above averaged sense. Third,
with this kind of observations, the data need not be always available at the whole spa e
domain and at any time. Thus, our problem setting is new and more pra ti al than the
related ones, where one requires either 1) the knowledge of u(x, T ) in the whole spatial
domain Ω that is hardly realized in pra ti e (see the re ent survey [12℄, or [25, 61℄ and the
referen es therein), 2) or the measurements of u in ω × (τ, T ), where ω is a subdomain of
Ω and τ >0 is a onstant [49℄.
As in Chapter 2, to re onstru t v from the observations (0.22), we minimize the Tikhonov
fun tional
N
1X γ
Jγ (v) = kli u(v) − hi k2L2 (τ,T ) + kv − v ∗ k2L2 (Ω) (0.24)
2 i=1 2
with respe t to v ∈ L2 (Ω) with γ > 0 being the regularization parameter and v∗ an
estimation of v. We approa h to this problem as in Chapter 2 and obtain similar results.
The last hapter is devoted to the ase of observations at the boundary. We suppose that
our evolution system is generated by the Neumann problem (0.8), (0.9), (0.11). The inverse
problem we study is to re onstru t the initial ondition v in (0.9), when the solution u is
given on a part of the boundary S . Namely, let Γ ⊂ ∂Ω and denote Σ = Γ × (0, T ).
Our aim is to re onstru t the initial ondition v from the impre ise measurement ϕ of the
solution u on Σ:
ku|Σ − ϕkL2 (Σ) ≤ ǫ. (0.25)
6
The uniqueness of the inverse problem follows from the theory of the Cau hy problem for
paraboli equations [24, 31, 45, 58℄. Re ently, Klibanov proved some stability estimates
for this inverse problem [38, 39℄. Unfortunately, up to now there are very few studies on
numeri al methods for this problem. The work by Buly hëv [13℄ et al is the only referen e
on this aspe t whi h we have found. Thus, the solution method for this problem proposed
in this hapter is a new ontribution to eld. We note that this problem has the root in
the inverse heat ondu tion problem (IHCP) where one determines the surfa e temperature
and heat ux on an a essible part of the boundary from the surfa e temperature and the
surfa e heat ux on the a essible part of it (see [4, 9, 24, 45℄). The typi al formulation
for IHCP requires the initial ondition given [4, 9℄. However, as IHCP an be regarded
as a non- hara teristi Cau hy problem for paraboli equations, no initial ondition is
needed [24, 45, 58℄. The uniqueness with stability estimates are proved in (see [24, 31, 45,
58℄). Using the same method presented in Chapters 2 and 3, we minimize the Tikhonov
regularized fun tional
1 γ
Jγ (v) = ku(v) − ϕk2L2 (Σ) + kv − v ∗ k2L2 (Ω) (0.26)
2 2
∗
with γ >0 being regularization parameter and v a ertain estimation of v. We obtain
similar results to that of Chapter 2.
For dis retization, we restri t for the ase Ω is an open parallelepiped in Rn , n = 1, 2, 3.

Due to our experien es and omputing resour es, the numeri al tests have been done for
one- and two-dimensional spa e variables only.
Parts of the thesis have been published in
1. Nguyen Thi Ngo Oanh, A splitting method for a ba kward paraboli equation with
time-dependent oe ients, Computers & Mathemati s with Appli ations 65(2013),
1728. (Chapter 2)
2. Dinh Nho Hào and Nguyen Thi Ngo Oanh, Determination of the initial ondition
in paraboli equations from integral observations, Inverse Problems in S ien e and

Engineering (to appear) doi: 10.1080/17415977.2016.1229778. (Chapter 3)
3. Dinh Nho Hào and Nguyen Thi Ngo Oanh, Determination of the initial ondition
in paraboli equations from boundary observations, Journal of Inverse and Ill-Posed

Problems 24(2016), no. 2, 195220. (Chapters 1 and 4)
and have been presented at
1. 8th International Conferen e "Inverse Problems: Modeling & Simulation", 2328 May,
2016, Ölüdeniz, Fethiye, Turkey;
2. Mini-workshop on "Analysis and Appli ations of PDEs", 29 June 2016, Vietnam In-
stitute for Advan ed Study in Mathemati s;
3. Vietnam-Korea workshop on sele ted topi s in Mathemati s, 2024 February, 2017,
Da Nang, Vietnam;
7
4. 12th Workshop on Optimization and S ienti Computing, 2325 April, 2014, Ba Vi,
Vietnam;
5. 13th Workshop on Optimization and S ienti Computing, 2325 April, 2015, Ba Vi,
Vietnam;
6. PhD Student Conferen e, Institute of Mathemati s, Vietnam A ademy of S ien e and
Te hnology, 2011, 2012, 2013, 2014;
7. Seminar at Department of Dierential Equations, Institute of Mathemati s, Vietnam
A ademy of S ien e and Te hnology.
8
Chapter 1
Auxiliary results
In this hapter, we introdu e some basi notions in Sobolev spa es and present well-
posedness results related to the Diri hlet and Neumann problems for paraboli equations.
The main part of this hapter is devoted to the nite dieren e method in spa e variables
and its onvergen e for the Diri hlet and Neumann problems. This onvergen e of nite
dieren e s heme is a new result for the weak solution. The splitting method is suggested
and proved to be stable. A variational problem and its dis retized version are presented and
a new onvergen e result for weak solution is proved. Lan zos' algorithm for approximating
eigenvalues of a matrix is presented.
1.1 Dire t problem

Let Ω be an open bounded domain in Rn , n ≥ 1 with boundary ∂Ω. Denote Q = Ω×
(0, T ], S = ∂Ω × (0, T ]. Let
aij , i, j ∈ {1, 2, . . . , n}, b ∈ L∞ (Q), (1.1)
aij = aji , i, j ∈ {1, 2, . . . , n}, (1.2)

n
X
λkξk2Rn ≤ aij (x, t)ξi ξj ≤ λ−1 kξk2Rn , ∀ξ ∈ Rn , ∀(x, t) ∈ Q, (1.3)
i,j=1
0 ≤ b(x, t) ≤ µ a.e. in Q, (1.4)
v ∈ L2 (Ω), g ∈ L2 (S), f ∈ L2 (Q), (1.5)
λ is positive onstant and µ ≥ 0. (1.6)
Consider the initial value problem
n
∂u X ∂ ∂u
− aij (x, t) + b(x, t)u = f in Q, (1.7)
u|t=0 = v in Ω, (1.8)
9
with either Diri hlet boundary ondition
u=0 on S, (1.9)
or Neumann boundary ondition
X n
∂u
= (aij (x, t)uxj ) cos(ν, xi )|S = g on S, (1.10)
∂N i,j=1
where ν is the outer unit normal ve tor to S.

When the oe ients of (1.7), v, g and f are given, the problem of uniquely solving u(x, t)
from the system (1.7)(1.9) or (1.7), (1.8), (1.10) is alled the dire t problem [24, 82℄.
To study these problems, we introdu e the following standard Sobolev spa es (see [24, 29,
40, 41, 76, 82, 83℄).
Denition 1.1.1. The spa e H 1 (Ω) is the set of all elements u(x) ∈ L2 (Ω) having gener-
∂u
alized derivatives
∂xi
∈ L2 (Ω), i = 1, . . . , n with s alar produ t
Z n
!
X ∂u ∂v
(u, v)H 1 (Ω) := uv + dx.
Ω i=1
∂xi ∂xi
Denition 1.1.2. The spa e H01 (Ω) is the ompletion of C01 (Ω) in the norm of H 1 (Ω). In
ase ∂Ω is smooth, we have

H01 (Ω) = {u ∈ H 1 (Ω) : u∂Ω = 0}.
Denition 1.1.3. The spa e H 1,0(Q) is the set of all elements u(x, t) ∈ L2 (Q) having
∂u
generalized derivatives
∂xi
∈ L2 (Q), i = 1, . . . , n with s alar produ t
ZZ n
!
X ∂u ∂v
(u, v)H 1,0 (Q) := uv + dxdt.
Q i=1
∂xi ∂xi
Denition 1.1.4. The spa e H 1,1(Q) is the set of all elements u(x, t) ∈ L2 (Q) having
∂u
generalized derivatives
∂xi
∈ L2 (Q), i = 1, . . . , n and ∂u
∂t
∈ L2 (Q) with s alar produ t
ZZ n
!
X ∂u ∂v ∂u ∂v
(u, v)H 1,1 (Q) := uv + + dxdt.
Q i=1
∂xi ∂xi ∂t ∂t
Denition 1.1.5. The spa e H01,0 (Q) is the set of all elements u(x, t) ∈ H 1,0 (Q) vanishing
on S

H01,0 (Q) = {u ∈ H 1,0 (Q) : uS = 0}.
Denition 1.1.6. The spa e H01,1 (Q) is the set of all elements u(x, t) ∈ H 1,1 (Q) vanishing
on S

H01,1 (Q) = {u ∈ H 1,1 (Q) : uS = 0}.
Let B be a Bana h spa e, we dene
L2 (0, T ; B) = {u : u(t) ∈ B a. e. t ∈ (0, T ) and kukL2(0,T ;B) < ∞},
10
where Z T
kuk2L2(0,T ;B) = ku(t)k2B dt.
0
We also dene
W (0, T ; H 1(Ω)) = {u : u ∈ L2 (0, T ; H 1(Ω)), ut ∈ L2 (0, T ; (H 1(Ω))′ )},
with norm
kuk2W (0,T ;H 1(Ω)) = kuk2L2 (0,T ;H 1 (Ω)) + kut k2L2 (0,T ;(H 1 (Ω))′ ) .
The spa e W (0, T ; H01(Ω)) is similarly dened with the note that (H01 (Ω))′ = H −1 (Ω).
The solutions of the Diri hlet problem (1.7)-(1.9), and the Neumann problem (1.7), (1.8), (1.10)
are understood in the weak sense as follows:
Denition 1.1.7. A weak solution in W (0, T ; H01(Ω)) of the problem (1.7)-(1.9) is a fun -
tion u(x, t) ∈ W (0, T ; H01(Ω)) satisfying the identity

Z T ZZ h X
n i
∂u ∂η
hut , ηiH −1 (Ω),H01 (Ω) dt + aij (x, t) + b(x, t)uη − f η dxdt = 0,
0 Q i,j=1
∂xj ∂xi (1.11)
∀η ∈ L2 (0, T ; H01(Ω))
and
u|t=0 = v in Ω. (1.12)
Denition 1.1.8. A weak solution in W (0, T ; H 1(Ω)) of the problem (1.7), (1.8), (1.10)
1
is a fun tion u(x, t) ∈ W (0, T ; H (Ω)) satisfying the identity
Z T ZZ h X
n i
∂u ∂η
hut, ηi(H 1 (Ω))′ ,H 1 (Ω) dt + aij (x, t) + b(x, t)uη dxdt
0 Q i,j=1
∂xj ∂xi
ZZ ZZ (1.13)
= f ηdxdt + gηdζdt, ∀η ∈ L2 (0, T ; H 1(Ω))

Q S
and
u|t=0 = v in Ω. (1.14)
Due to [24, p. 3546℄, [41℄, [82, p. 141152℄ and [83, Chapter IV℄ we have the following
results about the well-posedness of the Diri hlet and Neumann problems.
Theorem 1.1.1. Let the onditions (1.1)(1.6) be satised. The following statements hold:
1) There exists a unique solution u ∈ W (0, T ; H01(Ω)) to the Diri hlet problem (1.7)(1.9).
Furthermore, there exists a positive onstant cD independent of the initial ondition v and
the right hand side f (only depends on aij , b and Ω) su h that

kukW (0,T ;H0 (Ω)) ≤ cD kf kL (Q) + kvkL (Ω) .
1 2 2 (1.15)
2) If v ∈ H01 (Ω), aij , b ∈ C 1 ([0, T ]; L∞ (Ω)), i, j = 1, . . . , n and there exists a onstant

µ1 su h that |∂aij /∂t|, |∂b/∂t| ≤ µ1 , then u ∈ H01,1 (Q).
11
Theorem 1.1.2. Let the onditions (1.1)(1.6) be satised. The following statements hold:
1) There exists a unique solution u ∈ W (0, T ; H 1(Ω)) to the Neumann problem (1.7), (1.8),
(1.10). Furthermore, there exists a positive onstant cN independent of the initial ondition
v , the boundary ondition g and the right-hand side f (only depends on aij , b and Ω) su h
that
kukW (0,T ;H 1(Ω)) ≤ cN kf kL2 (Q) + kgkL2(S) + kvkL2 (Ω) . (1.16)
2) If v ∈ H 1 (Ω), g ∈ H 0,1(S), aij , b ∈ C 1 ([0, T ]; L∞ (Ω)), i, j = 1, . . . , n and there exists

a onstant µ1 su h that |∂aij /∂t|, |∂b/∂t| ≤ µ1 then u ∈ H01,1 (Q). In this ase, there exists
a onstant, denoted again by cN su h that

kukH 1,1 (Q) ≤ cN kf kL2 (Q) + kgkH 0,1(S) + kvkH 1 (Ω) . (1.17)
In addition to Denition 1.1.7 and Denition 1.1.8, we introdu e the following denitions.
The weak solution in H 1,0 (Q) to the Diri hlet problem (1.7)(1.9) and the Neumann prob-
lem (1.7), (1.8), (1.10) are understood in the weak sense as follows:
Denition 1.1.9. A weak solution in H 1,0 (Q) to the problem (1.7)(1.9) is a fun tion
u∈ H01,0 (Q) satises the identity

ZZ n
X ZZ Z
∂u ∂η
− uηt dt + aij (x, t) + b(x, t)uη dxdt = f ηdxdt + v(x)η(x, 0)dx,
Q i,j=1
∂xj ∂xi Q Ω
∀η ∈ H01,1(Q) with η(x, T ) = 0.

(1.18)
Denition 1.1.10. A weak solution in H 1,0(Q) to the problem (1.7), (1.8), (1.10) is a
1,0
fun tion u∈H (Q) satises the identity
ZZ n
X
∂u ∂η
− uηt + aij (x, t)
+ b(x, t)uη dxdt
Q i,j=1
∂xj ∂xi
ZZ Z ZZ
= f ηdxdt + v(x)η(x, 0)dx + gηdζdt, ∀η ∈ H 1,1 (Q) with η(x, T ) = 0.
Q Ω S
(1.19)
It has been shown that solution belonging to H 1,0 (Q) in two above denitions are in
1
W (0, T ; H (Ω)) (see [82, 3.4.4., p. 148153℄ and [82, 7.3.℄).
1.2 Adjoint problem

To study the variational problem for data assimilation in heat ondu tion, we need some
results related to the adjoint problems and Green's formula. The following results an be
proved in the same way as in [82, 3.6.1., p. 156158℄.
12
Consider the adjoint problem to (1.7)(1.9):
X n
∂ ∂p
−pt − aij (x, t) + bp = aQ in Q,
i,j=1
∂xi ∂xj
(1.20)
p(ζ, t) = 0 on S,
p(x, T ) = aΩ in Ω,
where aQ ∈ L2 (Q) and aΩ ∈ L2 (Ω). We dene the solution of this problem is a fun tion
p ∈ W (0, T ; H01(Ω)) satisfying the variational problem
Z T ZZ X
n ZZ
−(pt , v)H −1 (Ω),H01 (Ω) dt + aij pv + bpv dxdt = aQ vdxdt,
0 Q i,j=1 Q
∀v ∈ L2 (0, T ; H01(Ω)),
p(T ) = aΩ .
By hanging the time dire tion and using the result of Theorem 1.1.1, we see that there
exists a unique solution p ∈ W (0, T ; H01(Ω)) and p also satises an a priori inequality
similar to (1.15). We have the following result:
Theorem 1.2.1. Suppose that the onditions (1.1)(1.4) hold. Let y ∈ W (0, T ; H01(Ω)) be
the solution to the problem
X n
∂ ∂y
yt − aij (x, t) + by = bQ in Q,
i,j=1
∂xi ∂xj
(1.21)
y=0 on S,
y(x, 0) = bΩ in Ω,
with bQ ∈ L2 (Q), and bΩ ∈ L2 (Ω). Assume that aQ ∈ L2 (Q), aΩ ∈ L2 (Ω) and p ∈
W (0, T ; H01(Ω)) is the weak solution to the adjoint problem (1.20). Then we have Green's
formula Z ZZ Z ZZ
aΩ y(·, T )dx + aQ ydxdt = bΩ p(·, 0)dx + bQ pdxdt. (1.22)
Ω Q Ω Q
Similarly, onsider the adjoint problem to the Neumann problem (1.7), (1.8), (1.10):
X n
∂ ∂p
−pt − aij (x, t) + bp = aQ in Q,
i,j=1
∂xi ∂xj
(1.23)
∂N p = aS on S,
p(x, T ) = aΩ in Ω,
where aQ ∈ L2 (Q), aS ∈ L2 (S), and aΩ ∈ L2 (Ω). We dene the solution to this problem
1
by a fun tion p ∈ W (0, T ; H (Ω)) satisfying the variational problem
Z T ZZ X
n ZZ ZZ
−(pt , v)(H 1 (Ω))∗ ,H 1 (Ω) dt + aij pv + bpv dxdt = aQ vdxdt + aS vdζdt,
0 Q i,j=1 Q S
∀v ∈ L2 (0, T ; H 1(Ω)),
p(T ) = aΩ .
13
We an also prove that there exists a unique solution p ∈ W (0, T ; H 1(Ω)) to this problem
and it satises an a priori inequality similar to (1.16).
Theorem 1.2.2. Let y ∈ W (0, T ; H 1(Ω)) be the solution to the problem

X n
∂ ∂y
yt − aij (x, t) + by = bQ in Q,
i,j=1
∂xi ∂xj
(1.24)
∂N y = bS on S,
y(x, 0) = bΩ in Ω,
with bQ ∈ L2 (Q), bS ∈ L2 (S), and bΩ ∈ L2 (Ω). Suppose that aQ ∈ L2 (Q), aS ∈ L2 (S),

aΩ ∈ L2 (Ω) and p ∈ W (0, T ; H 1(Ω)) is the weak solution to the adjoint problem (1.23).
Then we have Green's formula
Z ZZ ZZ Z ZZ ZZ
aΩ y(·, T )dx+ aQ ydxdt+ aS ydζdt = bΩ p(·, 0)dx+ bQ pdxdt+ bS pdζdt.
Ω Q S Ω Q S
(1.25)
In the next two se tions, we present the nite dieren e method for solving the dire t
problems. Note that the solutions to the Diri hlet and Neumann problems studied in
this thesis are understood in the weak sense, hen e the onvergen e results of the nite
dieren e method for them are not trivial. For larity of presentation, we will separately
des ribe the nite dieren e method for one-dimensional and multi-dimensional problems.
1.3 Finite dieren e method for one-dimensional dire t problems

In this se tion, we introdu e the nite dieren e method to approximate weak solutions to
the one-dimensional dire t problems by using Crank-Ni olson's method.
Let Ω = (0, L) and Q = (0, L) × (0, T ), S = {0, 1} × (0, T ). We subdivide the interval
(0, L) into Nx subintervals by the uniform grid
0 = x0 < x1 < · · · < xNx = L with xi+1 − xi = h = L/Nx .
Denote by ui (t) (or ui if there is no onfusion) the value of u at x = xi . We also use the
similar notation for η.

The one-dimensional Diri hlet problem (1.7)(1.9) has now the form
 !

 ∂u ∂ ∂u

 − a(x, t) + b(x, t)u = f in Q,
 ∂t ∂x ∂x
(1.26)

 u|t=0 = v in Ω,



u(0, t) = u(L, t) = 0 in (0, T ].
14
The solution to (1.26) is a fun tion u(x, t) ∈ W (0, T ; H01(Ω)) satisfying
Z ZZ
 T ∂u ∂η



 hu t , ηi 1
H (Ω),H0 (Ω)
−1 dt + a(x, t) + b(x, t)uη − f η dxdt = 0,
0 ∂x ∂x Q
(1.27)

 ∀η ∈ L2 (0, T ; H01(Ω)),


u| =v in Ω.
t=0
Similarly, the one-dimensional Neumann problem (1.7), (1.8), (1.10) now is

 !

 ∂u ∂ ∂u

 − a(x, t) + b(x, t)u = f in Q,


 ∂t ∂x ∂x
(1.28)
 u|t=0 = v in Ω,



 ∂u ∂u

−a = g(0, t), a = g(L, t) in (0, T ].
∂x ∂x
Here, we suppose that g(0, .) and g(L, .) are in L2 (0, T ).
The weak solution to the problem (1.28) is a fun tion u(x, t) ∈ W (0, T ; H 1(Ω)) satisfying
the identity
Z ZZ

 T ∂u ∂η

 hut , ηi(H 1 (Ω))′ ,H 1 (Ω) dt + a(x, t) + b(x, t)uη dxdt

 ∂x ∂x
 0 ZZ Z Q Z
T T

 = f ηdxdt − g(0, t)η(0, t)dt + g(L, t)η(L, t)dt, ∀η ∈ L2 (0, T ; H 1(Ω)),

 Q 0 0


u|t=0 = v in Ω.
(1.29)
1.3.1. Dis retization in the spa e variable

We approximate the integrals in the rst equations of the systems (1.27) and (1.29) as
follows
ZZ Z T Nx
X
∂u dui (t)
ηdxdt ≈ h η i (t)dt, (1.30)
Q ∂t 0 0
dt
ZZ Z N
X x −1
∂u ∂η T ui+1 (t) − ui (t) η i+1 (t) − η i (t)
a(x, t) dxdt ≈ h ai (t) dt, (1.31)
Q ∂x ∂x 0 0
h h
ZZ Z T N
X x
b(x, t)uηdxdt ≈ h bi (t)ui (t)ηi (t)dt, (1.32)

Q 0 0
ZZ Z T N
X x
f ηdxdt ≈ h f i (t)η i (t)dt, (1.33)

Q 0 0
where
x
Zi+1 x
Zi+1 xi+1
Z
1 1 1
ai (t) = a(x, t)dx, bi (t) = b(x, t)dx, f i (t) = f (x, t)dx, i = 0, Nx − 1.
h h h
xi xi xi
(1.34)
15
a. The Diri hlet problem (1.26)
Putting the approximations in (1.30)(1.33) into (1.27), we obtain


 ZT XNx N
X x −1 Nx
X Nx
X

 dui i i
ui+1 − ui η i+1 − η i i i i
h η +h a +h buη −h f i ηi dt = 0,
0
dt 0
h h 0 0

 0

ui (0) = v i , i = 0, N ,
x
(1.35)
with
x
Zi+1
i
1
v = v(x)dx. (1.36)
h
xi
Sin e η in (1.35) is arbitrary, it follows that



 dū(t)
+ Λū(t) = F̄ (t),
dt (1.37)

ū(0) = v̄,
where ū(t) = (u0 (t), u1 (t), . . . , uNx (t))′ , v̄ = (v 0 , v 1 , . . . , v Nx )′ .

The oe ient matrix Λ is dened by
 
a0 + h2 b0 −a0 0 ... 0 0
 1 1 2 1 
 −a− 2a∗ + h b −a1 ... 0 0 
 
1  0 −a2− 2a2∗ + h2 b2 ... 0 0 
Λ = 2 
h  ... ... ... ... ... ... 

 x −1 2 Nx −1 Nx −1 
 0 0 ... . . . 2aN
∗ + h b −a 
Nx Nx 2 Nx
0 0 0 ... −a− a− + h b
(1.38)
i i−1 i 1
where a− =a and a∗ = 2
(ai− + ai ). The right hand side i
F̄ (t) = {f (t), i = 0, 1, . . . , Nx }.
b. The Neumann problem (1.28)
Similarly to the Diri hlet problem, putting the approximations (1.30)(1.33) in (1.29), we
obtain

 ZT XNx NXx −1 XNx

 dui i ui+1 − ui η i+1 − η i

 h η + h ai
+ h bi i i
u η dt

 dt h h

 0 0 0
0
ZT X Nx (1.39)

 = h f i
η − g 0 0
η + g Nx Nx
η dt,

 i

 0

 0

ui (0) = v i , i = 0, N ,
x
where v i , ai and fi are given by formulas (1.34) and (1.36).
Thus, we get the following system



 dū(t)
+ Λū(t) = F̄ (t),
dt (1.40)

ū(0) = v̄,
16
where ū(t) = (u0 (t), u1 (t), . . . , uNx (t))′ , v̄ = (v 0 , v 1 , . . . , v Nx )′ .
The oe ient matrix Λ is given by formula (1.38) and the right hand side F̄ (t) is by

 i
f , i = 1, Nx − 1,

F̄ (t) = f 0 − h1 g 0 , i = 0, (1.41)


 N x 1 Nx
f + h g , i = Nx .
The positive semi-deniteness of Λ in (1.37) and (1.40) is proved as follows.
Lemma 1.3.1. With ea h t, the oe ient matrix Λ dened in the system (1.37) and
(1.40) is positive semi-denite.
Proof. Put U = (U 0 , U 1 , . . . , U Nx )′ . It follows from the formula (1.38) that

 2 0  0 
a0 + h 2b U 0 − a0 U 1 U
1
1  1 0 1 h2 b1
 −a− U + 2a∗ + 2 U − a U   U 1  1 2  
ΛU, U = 2   
h1  ...  ... 
h2 bNx )
N
−aN − U
x Nx −1
+ aN − +
x
2
U x U Nx
x −1
1 NX 2 1 X Nx
2
k k k+1
= 2 a U −U + bk U k ≥ 0.
h 2
k=0 k=0
Consequently, Λ is positive semi-denite. The proof is omplete.
1.3.2. Dis retization in time

Now we dis retize (1.37) and (1.40) in time by Crank-Ni olson's method. We subdivide the
interval (0, T ) into Nt uniform subintervals by the grid 0 = t0 < t1 < · · · < tNt = T with
tm+1 − tm = ∆t = T /Nt , m being time index. Denoting um = ū(tm ), Λm = Λ(tm ), F m =
F̄ (tm ), m = 0, 1 . . . , Nt , we dis retize (1.37) and (1.40) by ([56℄)

m+1

u − um um+1 + um
+ Λm = F m+1/2 ,
∆t 2 (1.42)

u0 = v.
The last an be rewritten in the ompa t form


um+1 = (E + ∆t m −1
Λ ) (E − ∆t m m
Λ )u + ∆t(E + ∆t m −1 m+1/2
Λ ) F ,
2 2 2
(1.43)
u0 = v
where E is the identity matrix.
Denote by (·, ·) and k·k the s alar produ t and Eu lidean norm in the spa e R Nx , respe -
tively. We have the following result on the stability of the nite dieren e s heme.
Lemma 1.3.2. The s heme (1.43) is stable.
Proof. It follows from the rst equation of (1.43) that
∆t m −1 ∆t m ∆t m −1
kum+1 k ≤ k(E + Λ ) (E − Λ )kkum k + ∆tk(E + Λ ) kkF m+1/2 k. (1.44)
2 2 2
17
On the other hand, sin e Λm is positive semi-denite, it follows from Kellogg's Lemma [56,
Theorem 2.1, p. 220℄ that
∆t m −1 ∆t m
k(E + Λ ) (E − Λ )k ≤ 1.
2 2
Moreover,

∆t m −1 ∆t m −1
∆t m −1 (E + 2
Λ ) ϕ, (E + 2
Λ ) ϕ
k(E + Λ ) k = sup
2 ϕ (ϕ, ϕ)
(φ, φ)
= sup ∆t m ∆t m
φ ((E + 2
Λ )φ, (E + 2
Λ )φ)
(φ, φ)
= sup ∆t2
≤ 1.
φ ((φ, φ) + ∆t(Λφ, φ) + 4
(Λm φ, Λmφ)
Thus, from (1.44) we obtain
kum+1 k ≤ kum k + kF m+1/2 k,

kum k ≤ kum−1 k + kF m−1/2 k,
···
ku1 k ≤ ku0 k + kF 1/2 k.
Putting kvk = ku0 k, kf k = max kF m+1/2 k, we obtain

m
kum+1 k ≤ kvk + (m + 1)∆tkf k. (1.45)
Consequently, the nite dieren e s heme (1.43) is stable.
1.4 Finite dieren e method for multi-dimensional dire t prob-

lems
We apply the splitting nite dieren e method to dis retize the multi-dimensional (n =
2, 3) dire t problems (1.7)(1.9) or (1.7), (1.8), (1.10). The idea of splitting s hemes is
to approximate a omplex problem by a sequen e of simpler ones. The main advantages
of the splitting s hemes are: (i) they are stable regardless of the hoi e of the spatial
and temporal grid sizes and (ii) the resulting linear systems an be easily solved sin e
they are triangular systems. Using the te hniques presented in [40, 54, 56, 84℄ (see also
[26, 27, 29, 61, 62, 76, 77℄), we propose the nite dieren e s heme based on the formulas
(1.11) and (1.13) for the denition of the weak solutions. First, we dis retize the problem
in spa e variables and obtain system of ordinary dierential equations with respe t to the
time variable t, then we dis retize the obtained system in time by the splitting method.
We restri t ourself to the ase Ω is an open parallelepiped in Rn , n = 2, 3. Furthermore,
we do not onsider mixed derivatives in the equation (1.7), although in prin iple this ase
an be treat in the same manner [84℄. Thus, for the ease of notation, we set aij = 0 if i 6= j
and denote aii = ai , i = 1, . . . , n.
18
Before getting into details, we rewrite the Diri hlet problem (1.7)(1.9) without mixed
derivatives as follows:
 !

 ∂u Pn ∂ ∂u

 − ai (x, t) + b(x, t)u = f in Q,
 ∂t i=1 ∂xi ∂xi
(1.46)

u|t=0 = v in Ω,



u = 0 on S.
The weak solution to the problem (1.46) is a fun tion u(x, t) ∈ W (0, T ; H01(Ω)) satisfying
the identity


RT RR h P
n ∂u ∂η i

 hu , ηi 1 dt + ai (x, t) +b(x, t)uη − f η dxdt = 0,
 0 t H (Ω),H0 (Ω)
−1
Q ∂xi ∂xi
i=1
(1.47)

 ∀η ∈ L2 (0, T ; H01(Ω)),


u| =v in Ω.
t=0
Similarly, we rewrite the Neumann problem (1.7), (1.8), (1.10) in the form
 !

 ∂u Pn ∂ ∂u

 − ai (x, t) + b(x, t)u = f in Q,

 ∂t i=1 ∂xi ∂xi
(1.48)

u|t=0 = v in Ω,


 ∂u = g

on S.
∂N
The weak solution to the problem (1.48) is a fun tion u(x, t) ∈ W (0, T ; H 1(Ω)) satisfying


RT RR Pn ∂u ∂η

 0 hut , ηi(H 1 (Ω))′ ,H 1 (Ω) dt+
 Q
i=1
ai (x, t)
∂xi ∂xi
+ b(x, t)uη dxdt
RR RR (1.49)

 = Q f ηdxdt + S gηdζdt, ∀η ∈ L2 (0, T ; H 1(Ω)),


u| = v in Ω.
t=0
1.4.1. Interpolations of grid fun tions

We suppose that Ω = (0, L1 ) × (0, L2 ) × · · · × (0, Ln ) and subdivide Ω into small ells by
re tangular uniform grid spe ied by
0 = x0i < x1i = hi < · · · < xN

i = Li , i = 1, . . . , n.
i
Here hi = Li /Ni is the grid size in the xi -dire tion, i = 1, . . . , n.

Denote by
• k := (k1 , . . . , kn ), 0 ≤ ki ≤ Ni ;
• xk := (xk11 , . . . , xknn ) is the grid point;
• h := (h1 , . . . , hn ) is the ve tor of spatial grid size;
• ∆h := h1 · · · hn ;
19
• ei , i = 1, . . . , n being the unit ve tor in the xi -dire tion, i.e. e1 = (1, 0, . . . , 0), . . . , en =
(0, . . . , 0, 1).
Around ea h grid point, we dene the following subsets of Ω:
ω + (k) :={x ∈ Ω : ki hi < xi < (ki + 1)hi , ∀i = 1, . . . , n}, (1.50)
ω(k) :={x ∈ Ω : (ki − 0.5)hi < xi < (ki + 0.5)hi , ∀i = 1, . . . , n}, (1.51)
ωi+ (k) :={x ∈ Ω : ki hi ≤ xi ≤ (ki + 1)hi , (kj − 0.5)hj ≤ xj ≤ (kj + 0.5)hj , ∀i 6= j}.
(1.52)
The set of the indi es of all grid points belonging to Ω̄ is denoted by Ω̄h , that is
Ω̄h := {k = (k1 , . . . , kn ) : 0 ≤ ki ≤ Ni , ∀i = 1, . . . , n}. (1.53)
The set of the indi es of all interior grid points is denoted by Ωh , that is
Ωh := {k = (k1 , . . . , kn ) : 1 ≤ ki ≤ Ni − 1, ∀i = 1, . . . , n}. (1.54)
The set of the indi es of all boundary grid points is denoted by Πh , that is
Πh = Ω̄h \ Ωh . (1.55)
Moreover, we use some notations for the subset of Πh as follows
Πilh := {k = (k1 , k2, . . . , kn ) : ki = 0}, i = 1, . . . , n, (1.56)
Πir
h := {k = (k1 , k2, . . . , kn ) : ki = Ni }, i = 1, . . . , n. (1.57)
The points xk with ki = 0 Ni , ∀i = 1, . . . , n are

or alled the orner points and the set of
0
the indi es of all orner points is denoted by Π .
We also make use of the following sets
Ωih := {k = (k1 , . . . , kn ) : 0 ≤ ki ≤ Ni −1, 0 ≤ kj ≤ Nj , ∀j 6= i}, with i = 1, . . . , n. (1.58)
For a fun tion u(x, t) Q, we denote by ūk (t) (or uk if there is no onfusion), or
dened in
u(k, t) its approximate value at (xk , t). Suppose that ū = {uk , k ∈ Ω̄h } is a grid fun tion
dened in QhT := Ω̄h × (0, T ) whi h have the rst weak derivative with respe t to t. We
dene  
ZT  X n X
X 
2 2
kūk2H 1,0 (QhT ) := ∆h ūk (t) + k
ūxi (t) dt (1.59)
 
0 k∈Ω̄h i=1 k∈Ω̄i
h
and
 
ZT  X
k 2 k 2 n
XX 2 
kūk2H 1,1 (QhT ) := ∆h ū (t) + ūt (t) + ūkxi (t) dt (1.60)
 
0 k∈Ω̄h i i=1 k∈Ω̄
h
with the dire t dieren e quotient and ba kward one dening as follows
uk+ei − uk u(x + hi ei ) − u(x) uk − uk−ei u(x) − u(x − hi ei )

ūxi := = , ūx̄i := = .
hi hi hi hi
20
When uh is a grid fun tion, we denote uhxi by u xi .
For a grid fun tion ū we dene the following interpolations in Q:
1) Pie ewise onstant:
ū˜(x, t) := ūk (t), (x, t) ∈ ω(k) × (0, T ). (1.61)
2) Multi-linear:
n
X X
ūˆ(x, t) := ūk (t) + ūkxi (t)(xi − ki hi ) + ūkxixj (t)(xi − ki hi )(xj − kj hj )
i=1 1≤i<j≤n
(1.62)
n
Y
+···+ ūkx1 x2 ...xn (t) +
(xi − ki hi ), (x, t) ∈ ω (k) × (0, T ).
i=1
From these formulas, with n = 2, we have
ūˆ(x, t) := ūk (t) + ūkx1 (t)(x1 − k1 h1 ) + ūkx2 (t)(x2 − k2 h2 )

(1.63)
+ ūkx1 x2 (t)(x1 − k1 h1 )(x2 − k2 h2 ),
with n = 3:
3
X
ūˆ(x, t) := ūk (t) + ūkxi (t)(xi − ki hi )
i=1
X
(1.64)
+ ūkxixj (t)(xi − ki hi )(xj − kj hj )
1≤i<j≤3
+ ūkx1 x2 x3 (t)(x1 − k1 h1 )(x2 − k2 h2 )(x3 − k3 h3 ).
From Theorem 3.2, Theorem 3.3, Chapter 6 in [40℄ and the omments therein, we have the
following results.
Lemma 1.4.1. Suppose that the grid fun tion ū satises the inequality
kūkH 1,0 (QhT ) ≤ C, (1.65)
with C being a onstant independent of h. Then, the multi-linear interpolation (1.62) of ū

is bounded in H 1,0 (Q).
Lemma 1.4.2. Suppose that the grid fun tion ū satises the inequality
kūkH 1,1 (QhT ) ≤ C, (1.66)
with C being a onstant independent of h. Then, the multi-linear interpolation (1.62) of ū

is bounded in H 1,1 (Q).
Asymptoti relationships between the two interpolations as the grid size h tends to zero
are stated in the following lemmas.
Lemma 1.4.3. Suppose that the hypothesis of Lemma 1.4.1 is fullled. Then if {ūˆ(x, t)}h
weakly onverges to a fun tion u(x, t) in L2 (Q) as the grid size h tends to zero, the sequen e
{ū˜(x, t)}h also weakly onverges to u(x, t) in L2 (Q). Moreover, if {ūˆ|S }h weakly onverges
to u|S in L2 (S) then {ū˜|S }h also weakly onverges to u|S in L2 (S).
21
Lemma 1.4.4. Suppose that the hypothesis of Lemma 1.4.2 is fullled. Then if {ūˆ(x, t)}h
strongly onverges to a fun tion u(x, t) in L2 (Q) as the grid size h tends to zero, the se-
quen e {ū˜(x, t)}h also strongly onverges to u(x, t) in L2 (Q). Moreover, if {ūˆ|S }h onverges
to u|S in L2 (S) then {ū˜|S }h also onverges to u|S in L2 (S).
Lemma 1.4.5. Suppose that the hypothesis of Lemma 1.4.2 is fullled and i ∈ {1, . . . , n}.
Then if the sequen e of derivatives {ūˆxi (x, t)}h weakly onverges to a fun tion u(x, t) in
L2 (Q) as h tends to zero, the sequen e {ū˜xi (x, t)}h also onverges to u(x, t) in L2 (Q) where
ū˜xi (x, t) := ūxi (k), ∀x ∈ ωi+ (k).
1.4.2. Dis retization in spa e variables and the onvergen e of the nite dif-
feren e s heme
For a fun tion z dened in Ω, ω(k) by
we dene its average on
Z Z
1 1
zk = z(x)dx = z(x)dx. (1.67)
|ω(k)| ω(k) ∆h ω(k)
Here, if k belongs to the boundary of Ω then we understand that ω(k) is a grid box of Ω
ontaining k.
We approximate the integrals in (1.47) and (1.49) as follows
ZZ Z T X dūk (t)
∂u
ηdxdt ≈ ∆h η̄ k (t)dt, (1.68)
Q ∂t 0 dt
k∈Ω̄h
ZZ Z T X
∂u ∂η
ai (x, t) dxdt ≈ ∆h āki (t)ūkxi (t)η̄xki (t)dt, (1.69)
Q ∂xi ∂xi 0
k∈Ωih
ZZ Z T X
b(x, t)uηdxdt ≈ ∆h b̄k (t)ūk (t)η̄ k (t)dt, (1.70)
Q 0
k∈Ω̄h
ZZ Z T X
f ηdxdt ≈ ∆h f¯k (t)η̄ k (t)dt, (1.71)
Q 0
k∈Ω̄h
ZZ Z
Xn
1 X k T X
gηdζdt ≈ ∆h ḡ (t)η̄ k (t) + ḡ k (t)η̄ k (t) dt
S 0 i=1 hi
k∈Πil h \Π
0 k∈Πir
h \Π
0
X
+ ∆h ḡ k (t)η̄ k (t). (1.72)
k∈Π0
a. The Diri hlet problem (1.46)

Substituting the integrals (1.68)(1.71) into the rst equation of (1.47), we have the fol-
lowing equality (dropping the time variable t for a moment)
Z T h X dūk Xn X i
∆h k k ¯k k
+ b̄ ū − f η̄ + k k k
āi ūxi η̄xi dt = 0. (1.73)
0 dt i=1 i
k∈Ω̄h k∈Ωh
22
Using the summation by parts formula together with the ondition ūk = η̄ k = 0 when
ki = 0 and ki = Ni , we have
X X ūk+ei − ūk η̄ k+ei − η̄ k

āki ūkxi η̄xki = āki
hi hi
k∈Ωih k∈Ωih
X ūk+ei − ūk k+ei X k ūk+ei − ūk k
= āki η̄ − āi η̄
h2i h2i
k∈Ωih i k∈Ωh
(1.74)
X − ūk−ei k X k ūk+ei − ūk k
ū k
= āki−η̄ − āi η̄
k∈Ωh
h2i k∈Ωh
h2i
X ūk − ūk−ei k+ei
− ūk

k k ū
= āi− 2
− āi 2
η̄ k ,
k∈Ω
hi h i
h
with āki− = āk−ei . Repla ing into (1.73) and approximating the initial ondition ūk (0) =
v̄ k , k ∈ Ω̄h , we obtain the following system approximating the original problem (1.47)


 dū
+ (Λ1 + · · · + Λn )ū − F̄ = 0,
dt (1.75)

ū(0) = v̄,
with ū = {uk , k ∈ Ω̄h }, the fun tion v̄ = {v k , k ∈ Ω̄h } being a grid fun tion approximating
the initial ondition v and F̄ = {f , k ∈ Ωh } where f¯ is dened in formula (1.67). The
k k
oe ients matrix Λi has the form

 k

 āi− k k−ei
āki k+e

 ū − ū − 2 ū i − ūk , 2 ≤ ki ≤ Ni − 2,

 h 2
hi
k k 
 ki
b̄ ū āi− k āi k+ek

(Λi ū)k = + ū − ū i
− ū k
, ki = 1, (1.76)
n 
 hi2
hi2



 āk āk

 i− ūk − ūk−ei + i ūk , ki = Ni − 1.
h2i h2i
We note that the oe ients matri es Λi dened by (1.76) is positive semi-denite and the
proof of this proposition is similar to proof of Lemma 1.4.6 for the Neumann problem in
the following part.
b. The Neumann problem (1.48)

Putting (1.68)(1.72) in the rst equation of (1.49), for the ease of notation, we drop the
time variable t for a moment, we have
Z T h X dūk Xn X i
∆h + b̄k ūk η̄ k + āki ūkxi η̄xki dt
0 dt i=1 i
k∈Ω̄h k∈Ωh
Z (1.77)
T hX Xn
1 X k k X X i
= ∆h ¯k k
f η̄ + ḡ η̄ + k k
ḡ η̄ + k k
ḡ (t)η̄ (t) dt.
0 i=1
hi
k∈Ω̄h il 0 k∈Πh \Π k∈Πir
h \Π
0 k∈Π0
Denote by kil = (k1 , . . . , ki−1, 0, ki+1 , . . . , kn ), kir = (k1 , . . . , ki−1, Ni , ki+1 , . . . , kn ). For arbi-
23
trary and xed indi es k2 , . . . , kn , using the summation by parts, we obtain
N
X 1 −1 N
X 1 −1
ūk+e1 − ūk η̄ k+e1 − η̄ k
āk1 ūkx1 η̄xk1 = āk1
k1 =0 k1 =0
h1 h1
N
X 1 −1 N1 −1
ūk+e1 − ūk k+e1 X k ū
k+e1
− ūk k
= āk1 η̄ − ā1 η̄
h21 h21
k1 =0 k1 =0
N1
X N
X 1 −1
ūk − ūk−e1 k ūk+e1 − ūk k
= āk1− η̄ − āk1 η̄
k1 =1
h21 k1 =0
h21
k1l +e1 k1l N
X 1 −1
k

k l ū − ū k1l ū − ūk−ei k k ū
k+e1
− ūk k
= −ā11 η̄ + āk1− η̄ − ā1 η̄
h21 k1 =1
h21 h21
k1r k1r −e1
ū − ū r
+ āk1− η̄ k1 ,
h21
(1.78)
k
with ā1− = āk−e
1
1
. The similar terms in the x2 , . . . , xn dire tions are treated in the same
way. Then, repla ing this equality into (1.77) and approximating the initial ondition in
the se ond equation of (1.49), we obtain the following system approximating the original
problem (1.49) 

 dū
+ (Λ1 + · · · + Λn )ū − F̄ = 0,
dt (1.79)

ū(0) = v̄,
with ū = {uk , k ∈ Ω̄h } and the fun tion v̄ = {v k , k ∈ Ω̄h } is a grid fun tion approximating
the initial ondition v and
 k k
 āi− ūk − ūk−ei − āi ūk+ei − ūk , k ∈ Ω̄ : 1 ≤ k ≤ N − 1,



 h i i

 h2i h2i

 k
b̄k k
ū − āi ūk+ei − ūk , k ∈ Π : k = 0, k ∈

/ Π0 ,
h i
(Λi ū)k = + h2i (1.80)
n 
 k

 āi− k

 ū − ūk−ei , k ∈ Πh : ki = Ni , k ∈ / Π0 ,

 h 2

 i

0, k ∈ Π0 .
Moreover, the right hand side F̄ is dened as follows


 ¯k
f , 1 ≤ ki ≤ Ni − 1,

k
F̄ = f¯k + ḡh , ki = 0 or ki = Ni , if / Π0 ,
k∈ (1.81)

 i
 ¯k k
f + ḡ , if k ∈ Π0 .
Next, we will prove that the oe ients matrix Λi dened by (1.80) is positive semi-denite.
Lemma 1.4.6. For any t, the oe ients matrix Λi , i = 1, 2, · · · , n is positive semi-
denite.
24
Proof. Without loss of generality, we assume n=2 and i = 1. We have
 
(0,k ) h2 b̄(0,k2 ) (0,k )
ā1 2 + 1 2 −ā1 2 ... 0 0
 (1,k ) (1,k ) h2 b̄(1,k2 )

 −ā1− 2 2ā1∗ 2 + 1 2 ... 0 0 
 
k
1  0
(2,k )
−ā1− 2 ... 0 0


Λ1 = 2  
h1  ... ... ... ... ... 
 
 0 0 . . . 2ā1∗ 1
(N −1,k2 )
+
h21 b̄(N1 −1,k2 )
−ā1
(N1 −1,k2 ) 
 2 
(N1 ,k2 ) (N ,k2 ) h21 b̄(N1 ,k2 )
0 0 ... −ā1− ā1−1 + 2
(1.82)
where āk1∗ = 12 (āk1 + āk1− ).

Setting U1k2 = (U (0,k2 ) , U (1,k2 ) , . . . , U (N1 ,k2 ) )′ , and taking into a ount that āk1− = āk−e
1
1
and
k
b̄ ≥ 0, we see that
 (0,k2 ) h21 b̄(0,k2 ) (0,k2 ) (0,k2 )
 
ā1 + U − ā1 U (1,k2 )
U (0,k2 )
1  2
 
Λk1 U1k2 , U1k2 = 2  ...  ... 
h1 (N ,k ) (N ,k ) h2 b̄(N1 ,k2 ) (N1 ,k2 )
−ā1−1 2 U (N1 −1,k2 ) + ā1−1 2 + 2 2 U U (N1 ,k2 )
1 −1
1 NX 2 1 X N1
2
(k1 ,k2 ) (k1 ,k2 ) (k1 +1,k2 )
= 2 ā1 U −U + b̄(k1 ,k2 ) U (k1 ,k2 ) ≥ 0.
h1 k =0 2 k =0
1 1
Hen e Λk1 is positive semi-denite. The proof is omplete.
Next, we prove the boundedness of the solution of (1.75) and (1.79).
Lemma 1.4.7. Let ū be a solution of the Cau hy problem (1.75).
a) If v ∈ L2 (Ω), then exists a onstant c independent of h and the oe ients of the
equation su h that
X Z TX
n X
k 2
max ∆h |ū (t)| + ∆h |ūkxi |2 dt
t∈[0,T ] 0
k∈Ω̄h i=1 k∈Ωi
h
Z T X X
≤ c ∆h |f¯k |2 dt + ∆h |v̄ k |2 . (1.83)
0
k∈Ω̄h k∈Ω̄h
b) Moreover, if ai , b ∈ C 1 ([0, T ], L∞ (Ω)) with |∂ai /∂t|, |∂b/∂t| ≤ µ2 < ∞, we have

X Z T Xn X
k 2 k 2 k 2
max ∆h |ū (t)| + ∆h |ūt (t)| + |ūxi | dt
t∈[0,T ] 0
h
Z T X X n X
X
≤ c∆h |f¯k |2 dt + k 2
|v̄ | + |v̄xki |2 . (1.84)
0 i=1 k∈Ωi
k∈Ω̄h k∈Ω̄h h
Proof. The main idea of this proof is similar to that of [40, Chapter VI℄.
25
a) For arbitrary t∗ ∈ (0, T ]. Set

ūk (t), if t ∈ [0, t∗ ],
k
η̄ (t) =
0, if / [0, t∗ ].
t∈
Sin e
Z X
t∗ 1X k ∗ 2 1X k
dt ūkt (t)ūk (t) = |ū (t )| − |ū (0)|2 ,
0 2 2
k∈Ωh k∈Ω̄h k∈Ω̄h
k
and ū (0) = v̄, it follows from (1.73) that
X Z t∗ h X Xn X i
1 k ∗ 2 k k 2
∆h |ū (t )| + ∆h b̄ |u | + āki |ūkxi |2 dt
2 0 i=1 i
k∈Ω̄h k∈Ω̄h k∈Ωh
(1.85)
Z t∗ X X
1
= ∆h f¯k ūk dt + ∆h |v̄ k |2 .
0 2
Multiplying the both sides of the equality (1.85) by 2, applying Cau hy's inequality to the
k
rst term in the right hand side, noting that b ≥ 0, we obtain
X Z t∗ n X
X Z t∗ X
∆h k ∗
|ū (t )| + 2∆h 2
āki |ūkxi |2 dt ≤ ∆h |f¯k |2 dt
0 i=1 k∈Ωi 0
k∈Ω̄h h k∈Ω̄h
Z (1.86)
t∗ X X
+ ∆h |ūk |2 dt + ∆h |v̄ k |2 .
0
Put
X
y(t) = ∆h |ūk (t∗ )|2 .
k∈Ω̄h
From (1.86) we have

Z t∗ Z t∗ X X
∗
y(t ) ≤ y(t)dt + ∆h |f¯k |2 dt + ∆h |v̄ k |2 .
0 0
Applying Gronwall's inequality, we obtain

Z t∗ X X
∗
y(t ) ≤ ∆h |f¯k |2 dt + ∆h |v̄ k |2 et . (1.87)
0
Hen e, we have
X Z T X X
max ∆h k
|ū (t)| ≤ c ∆h 2
|f¯k |2 dt + ∆h k 2
|v̄ | . (1.88)
t∈[0,T ] 0
k∈Ω̄h k∈Ω̄h k∈Ω̄h
From the onditions (1.1)(1.3) about the oe ient ai , the inequalities (1.86) and (1.87)
we have
Z T X n X
X
∆h |ūk (t)|2 + |ūkxi |2 dt
0 i=1 k∈Ωi
k∈Ω̄h h
Z T X X
≤ c ∆h |f¯k |2 dt + ∆h |v̄ k |2 . (1.89)
0
26
Combining the two inequalities, we obtain the inequality (1.83).
RT P
b) In order to obtain a bound for ∆h |ūkt (t)|2 dt, we repla e η̄ k in (1.73) by ūkt and
0 k∈Ω̄h
get
Z T hX X n X
X i Z T X
∆h |ūkt (t)|2 + b̄k ūk ūkt + āki ūkxi ūkxi t dt = ∆h f¯k ūkt dt. (1.90)
0 i=1 k∈Ωi 0
k∈Ω̄h
Multiplying the both sides of (1.90) by 2, integrating by parts the se ond and the third
terms in the left hand side and using Cau hy's inequality for the right hand side, we obtain
ZT X
2∆h |ūkt (t)|2 dt
0 k∈Ω̄h
X h i XZ
db̄k (t) k 2 T
k k 2 k 2
+ ∆h b |ū (T )| − |ū (0)| − ∆h |ū | (t)dt
0 dt
Xn X h i X n X Z T
k k 2 k 2 dāki (t) k 2
+ ∆h āi |ūxi (T )| − |v̄xi | − ∆h |ūxi | dt
i=1 i i=1 i 0 dt
k∈Ωh k∈Ωh
ZT X
= 2∆h f¯k ūkt dt
0 k∈Ω̄h
Z T X Z T X
≤ ∆h |f¯k |2 dt + ∆h |ūkt |2 dt.
0 0
From this inequality, sin e b≥0 and the onditions (1.1)(1.3) about the oe ient ai ,
the inequalities (1.86), (1.87) and the hypothesis of the theorem, we obtain
Z T X Z T X
∆h |ūkt (t)|2 dt ≤ ∆h |f¯k |2 dt
0 0
X n X
X
k k 2
+ ∆h b̄ |v̄ | + ∆h āki |v̄xki |2
h
XZ db̄k (t) k 2T
+ ∆h |ū | (t)dt
0 dt
k∈Ω̄h
Xn X Z T
dāki (t) k 2
+ ∆h |ūxi | dt
i=1 i 0 dt
k∈Ωh
Z T X X n X
X
≤ ∆h |f¯k |2 dt + ∆hµ1 |v̄ k |2 + ∆hΛ |v̄xki |2
0 i=1 k∈Ωi
XZ T n X Z
X T
k 2
+ µ2 ∆h |ū | (t)dt + µ2 ∆h |ūkxi |2 dt.
0 i=1 k∈Ωi 0
k∈Ω̄h h
27
Using this inequality and (1.89) we get
Z T X n X
X
∆h |ūk (t)|2 + |ūkxi |2 dt
0 i=1 k∈Ωi
k∈Ω̄h h
Z T X X
≤ c ∆h |f¯k |2 dt + ∆h |v̄ k |2 . (1.91)
0
It follows from (1.3), (1.4) that
Z T X Z T X X n X
X
∆h |ūkt (t)|2 dt ≤ ∆h |f¯k |2 dt + 2∆hµ1 k 2
|v̄ | + 2∆hΛ |v̄xki |2 .
0 0 i=1 k∈Ωi
k∈Ω̄h k∈Ω̄h k∈Ω̄h h
(1.92)
Using the inequality (1.83) we obtain (1.84).
If v ∈ L2 (Ω), the right hand side of (1.83) is bounded by c(kf k2L2 (Q) + kvk2L2 (Ω) ). On the
other hand, if v ∈ H01 (Ω), the right hand side of 2 2
(1.84) is bounded by c(kf kL2 (Q) +kvkH 1 (Ω) ).
Consequently, it follows form Lemmas 1.4.7, 1.4.2 and 1.4.4 the onvergen e of the multi-
linear interpolation of ūk to the solution of the problem (1.46) as the grid size h tends to
zero. This is stated in the following theorem.
To emphasize the dependen e of the solution of the dis retized problem on the grid size,
we now use the notation uh instead of ūk .
Theorem 1.4.8. 1) If v ∈ L2 (Ω), then the multi-linear interpolation (1.62) ûh of the
dieren e-dierential problem (1.73) in QT weakly onverges in L2 (Q) to the solution u ∈
H 1,0 (Q) of the original problem (1.46) and its derivatives with respe t to xi , i = 1, . . . , n
weakly onverges in L2 (Q) to uxi .
2) If ai , b ∈ C 1 ([0, T ], L∞ (Ω)) with |∂ai /∂t|, |∂b/∂t| ≤ µ2 < ∞, and v ∈ H01 (Ω), then uˆh
strongly onverges L2 (Q) to u. Furthermore, uˆh |S onverges to u|S in L2 (S).
The proof of this theorem is similar to that of Theorem 1.4.11 below, therefore we omit it.
We now prove the boundedness of the nite dieren e approximation to the solution of the
Neumann problem (1.49). We have the following results.
Lemma 1.4.9. Let ū be a solution of the Cau hy problem (1.79).
a) If v ∈ L2 (Ω), then there exists a onstant c independent of h and the oe ients of the
equation (1.7) su h that
28
X Z T n X
X
k 2
max ∆h |ū (t)| + ∆h |ūkxi |2 dt
t∈[0,T ] 0
h
X X n
∆h X k 2
≤ c ∆h |v̄ k |2 + |v̄ |
i=1
hi 0
k∈Ω̄h k∈Π
Z T X XZ TX n
¯ k 2 ∆h ¯k 2
+ ∆h |f | dt + |f | dt
0 hi
k∈Ω̄h k∈Π0 0 i=1
Z TX
1 X k2
n X
+ ∆h |ḡ | + |ḡ k |2 dt
0 i=1 hi il ir
k∈Πh k∈Πh
XZ T
1
n
X ∆h k 2
+ |ḡ | dt . (1.93)
0 n i=1
hi
k∈Π0
b) If ai , b ∈ C 1 ([0, T ], L∞ (Ω)) with |∂ai /∂t|, |∂b/∂t| ≤ µ2 < ∞ and if g ∈ H 0,1(S), then
X Z T n X
X
k 2 k 2
max ∆h |ū (t)| + ∆h |ūt (t)| + |ūkxi |2 dt
t∈[0,T ] 0
h
X n
X ∆h X
n X
X
k 2 k 2
≤ c ∆h |v̄ | + |v̄ | + |v̄xki |2
i=1
hi i=1 k∈Ωi
k∈Ω̄h k∈Π0 h
Z T X XZ T n
X ∆h
+ ∆h |f¯k |2 dt + |f¯k |2 dt
0 0 i=1
hi
k∈Ω̄h k∈Π0
Z
1 X
T Xn X
k 2 k 2
+ ∆h |ḡ | + |ḡ | dt
0 i=1
hi
k∈Πil
h
k∈Πir
h
XZ T
1 X ∆h k 2
n
+ |ḡ | dt . (1.94)
0 n i=1 hi
k∈Π0
Proof. The proof of this lemma is similar to that of Lemma 1.4.7 but dierent from the
estimation for the sum on the boundary.
a) Similar to the proof of Lemma 1.4.7, for arbitrary t∗ ∈ (0, T ] set


ūk (t), if t ∈ [0, t∗ ],
k
η̄ (t) =
0, if / [0, t∗ ].
t∈
Sin e
Z X
t∗ 1X k ∗ 2 1X k
ūkt (t)ūk (t)dt = |ū (t )| − |ū (0)|2
0 2 2
k∈Ωh k∈Ω̄h k∈Ω̄h
1X k ∗ 2 1X k2
= |ū (t )| − |v̄ | ,
2 2
29
from (1.77) we have
X Z t∗ h X Xn X i
1 k ∗ 2 k k 2 k k 2
∆h |ū (t )| + ∆h b̄ |u | + āi |ūxi | dt
2 0 i=1 i
k∈Ω̄h k∈Ω̄h k∈Ωh
Z t∗ X X
1
= ∆h f¯k ūk dt + ∆h |v̄ k |2
0 2
Z
1 X k k
t∗ Xn X
+ ∆h ḡ ū + ḡ k ūk dt
0 i=1
hi il 0 k∈Πh \Π k∈Πir
h \Π
0
Z t∗ X
+ ∆h ḡ k ūk dt. (1.95)
0 k∈Π0
Using ǫ-Cau hy's inequality for the terms in the right hand side, taking into a ount that
k
b̄ ≥ 0 and the ondition (1.3), we obtain
X Z t∗ Xn X
1 k ∗ 2
∆h |ū (t )| + λ∆h |ūkxi |2 dt
2 0 i=1 k∈Ωi
k∈Ω̄h h
Z t∗ X Z t∗ X
1
≤ ∆h |f¯k |2 dt + ǫ1 ∆h |ūk |2 dt
4ǫ1 0 0
X
+ ∆h |v̄ k |2
k∈Ω̄h
Z
1 X k 2 X k 2
t∗ Xn
1
+ ∆h |ḡ | + |ḡ | dt
4ǫ2 0 i=1
hi il ir
k∈Πh k∈Πh
Z
1 X
t∗ n
X X
+ ǫ2 ∆h |ūk |2 + |ūk |2 dt
0 i=1
h \Π
0
X 1 n Z X n Z
1 t∗
k 2 1 1X t∗ X
+ ǫ2 ∆h |ū | dt + ∆h hi |ḡ k |2 dt. (1.96)
n h
i=1 i 0 0
4ǫ2 n i=1 0
k∈Π k∈Π0
Here, the positive onstants ǫ1 and ǫ2 will be hosen.
We estimate the last sum in the above inequality. In the ontinuous ase, we an evaluate
the L2 -norm of the tra e of a fun tion ϕ ∈ H 1 (Ω) on the boundary ∂Ω by its L2 −norm
(see [40, p. 2831℄)
kϕk2L2 (∂Ω) ≤ ckϕk2H 1 (Ω) . (1.97)
However, a similar inequality is not valid for a grid fun tion in Ωh due to its orners. We
now estimate the sum
1 X
Xn X
∆h |uk |2 + k 2
|u | .
h
i=1 i il 0 k∈Πh \Π k∈Πir
h \Π
0
Denote k = (k1 , k ′ ) and
L1 Ωh := {k ′ = {k2 , . . . , kn }, 1 ≤ ki ≤ Ni − 1, ∀i = 2, . . . , n}.
30
Consider the sum
N
X 1 −1 X ′
h2 · · · hn |ū(0,k ) |2 .
k1 =1 k ′ ∈L1 Ωh
Sin e
k1
X
′ ′ ′
ū(0,k ) = −ū(k1 ,k ) + h1 ū(j,k )
x1 , 1 ≤ k1 ≤ N1 − 1,
j=0
we obtain
N
X 1 −1 X N
X 1 −1 X k1
X
′ ′ ′
∆h |ū(0,k ) |2 = ∆h | − ū(k1 ,k ) + h1 ū(j,k
x1 |
) 2
k1 =1 k ′ ∈L1 Ωh k1 =1 k ′ ∈L1 Ωh j=0

N
X 1 −1 X N
X 1 −1 X Xk1
1 (k1 ,k ′ ) 21 ′
≤ ∆h |ū | + ∆h |h1 ūx(k11 ,k ) |2
2 2 j=0
k 1 =1 k ′ ∈L 1 Ωh k =1 ′ 1 k ∈L1 Ωh
N
X 1 −1 X N
X 1 −1 X N
X 1 −1
1 (k1 ,k ′ ) 21 ′
≤ ∆h |ū | + ∆h h21 N1 |ux(k11 ,k ) |2
2 2 j=0
k1 =1 k ′ ∈L1 Ωh k1 =1 k ′ ∈L1 Ωh
X N
X 1 −1 X
1 1 ′
≤ ∆h |ūk |2 + h21 N1 (N1 − 1)∆h |ūx(k11 ,k ) |2
2 2 k k ′ ∈L1 Ωh
k∈Ω̄h 1 =1
X N
X 1 −1 X
1 k 2 2 ′
≤ ∆h |ū | + L1 ∆h |ūx(k11 ,k ) |2 .
2
k∈Ω̄h k =1 ′ 1 k ∈L1 Ωh
Here, we have used the equality h1 = L1 /N1 and N1 ≥ 2.

L1
On the other hand, sin e h1 (N1 − 1) = N1
(N1 − 1) ≥ 1/2L1 , the above inequality has the
form
N 1 −1
∆h X ′ 1 X X X ′
|ū(0,k ) |2 ≤ ∆h |ūk |2 + 2L1 ∆h |ūx(k11 ,k ) |2 . (1.98)
h1 ′ L1
k ∈L1 Ωh k =1 ′
k∈Ω̄h 1 k ∈L1 Ωh
On the other boundary, we have similar estimates.
We now estimate ū0 (t). The value of ū(t) at the other orner points are similarly estimated.
From the equation (1.80) and (1.81) we have
dū0
+ b̄0 ū0 = f¯0 + ḡ 0 . (1.99)
dt
Furthermore, we have the initial ondition ū0 (0) = v̄ 0 . Sin e 0 ≤ b ≤ µ1 , applying
Gronwall's inequality, we obtain
Z t Z t
0
|ū (t)| ≤ c |v̄ | + 0 ¯0
|f (τ )|dτ + 0
|ḡ (τ )|dτ
0 0
with c being a dened onstant. Hen e

Z t X Z t X
∆h ¯0
n n n
1 ∆h 0 2 1 2 0 2 1 X ∆h 0 2
|ū (τ )| dτ ≤ c |f (τ )| + |ḡ (τ )| dτ + |v̄ | .
0 n i=1 hi 0 n i=1 hi n i=1 hi
(1.100)
31
Thus, from (1.96), (1.98) and (1.100) we obtain
X Z t∗ X n X
1 k ∗ 2
∆h |ū (t )| + λ∆h |ūkxi |2 dt
2 0 i=1 k∈Ωi
k∈Ω̄h h
Z t∗ X Z t∗ X
1
≤ ∆h |f¯k |2 dt + ǫ1 ∆h |ūk |2 dt
4ǫ1 0 0
X
+ ∆h |v̄ k |2
k∈Ω̄h
Z
1 X k2
Xn t∗ X
1
+ ∆h |ḡ | + |ḡ k |2 dt
4ǫ2 0 h
i=1 i k∈Πil
h
k∈Πirh
Z t∗ X
1
+ ǫ2 n ∆h |ūk (t)|2 dt
min Li 0
i∈{1,...,n} k∈Ω̄h
Z t∗ n X
X
+ 2nǫ2 ∆h max Li |ūkxi |2 dt
i∈{1,...,n} 0 i=1 k∈Ωi
h
n Z
1 1X X t∗
+ ∆h hi |ḡ k |2 dt
4ǫ2 n i=1 0 k∈Π0
Z
∆h ¯k 2
X t 1X n Xn
∆h X k 2
∗
n k 2
+ 2 ǫ2 c |f (t)| + |ḡ (t)| dt + c |v̄ | (1.101)
0 0 n i=1 hi i=1
hi 0
k∈Π k∈Π
with c being a dened onstant.
Choosing ǫ2 su h that
2nǫ2 max Li = λ,
i∈{1,...,n}
we an eliminate the term ontaining derivatives with respe t to xi in the both sides of the
above inequality. Then hoosing ǫ1 = 1/2 and applying Gronwall's inequality with respe t
P k ∗ 2
to ∆h |ū (t )| , we obtain the estimate
k∈Ω̄h
X X X n
∆h X k 2
k 2 k 2
max ∆h |ū (t)| ≤ c ∆h |v̄ | + |v̄ |
t∈[0,T ]
i=1
hi 0
k∈Ω̄h k∈Ω̄h k∈Π
Z T X XZ TX n
∆h ¯k 2
+ ∆h |f¯ | dt +
k 2
|f | dt
0 0 i=1
h i
k∈Ω̄h k∈Π0
Z TX n
1 X k2 X
k 2
+ ∆h |ḡ | + |ḡ | dt
0 i=1 hi il ir
k∈Πh k∈Πh
XZ T
1
n
X ∆h k 2
+ |ḡ | dt . (1.102)
0 n i=1
hi
k∈Π0
In the inequality (1.101) hoosing ǫ2 su h that 2nǫ2 maxi∈{1,...,n} Li = λ/2, then applying
32
the inequality (1.102) we obtain the following estimate for the derivative of ū as follows
Z n X
X X Xn
T
∆h X k 2
∆h |ūkxi |2 dt ≤ c ∆h |v̄ k |2 + |v̄ |
0 i=1 k∈Ωi i=1
hi 0
h k∈Ω̄h k∈Π
Z T X XZ T n
X ∆h
+ ∆h |f¯k |2 dt + |f¯k |2 dt
0 0 i=1
hi
k∈Ω̄h k∈Π0
Z
1 X
T Xn X
+ ∆h |ḡ k |2 + |ḡ k |2 dt
0 i=1
hi
k∈Πil
h
k∈Πir
h
XZ T
1
n
X ∆h k 2
+ |ḡ | dt . (1.103)
0 n i=1
hi
k∈Π0
Combining (1.102) and (1.103), we obtain estimate (1.93) as laimed in the theorem.
RT P
b) Next, to estimate ∆h |ūkt (t)|2 dt, we repla e η̄ k in (1.73) by ūkt to obtain
0 k∈Ω̄h
Z T hX X n X
X i
∆h |ūkt (t)|2 + b̄k ūk ūkt + āki+ ūkxi ūkxi t dt
0 i=1 k∈Ωi
Z T X
= ∆h f¯k ūkt dt
0
k∈Ω̄h
Z Z
T Xn
1 X k k X T X
+ ∆h ḡ ¯ut + ḡ k ūkt dt + ∆h ḡ k ūkt dt. (1.104)
0 i=1
hi 0
il 0 k∈Πh \Π k∈Πir
h \Π
0 k∈Π0
Multiplying the both sides of (1.104) with 2, applying integration by parts to the se ond
and third terms of the right-hand side, the terms of the left-hand side ex ept for the rst
one, we obtain
ZT X
2∆h |ūkt (t)|2 dt
0 k∈Ω̄h
X h i XZ
db̄k (t) k 2 T
k k 2 k 2
+ ∆h b̄ |ū (T )| − |ū (0)| − ∆h |ū | (t)dt
0 dt
n
XX h i X n X Z T
k k 2 k 2 dāki+ (t) k 2
+ ∆h āi+ |ūxi (T )| − |ūxi (0)| − ∆h |ūxi | dt
i=1 i i=1 i 0 dt
k∈Ωh k∈Ωh
ZT X Z T Xn
1 X k k X
= 2∆h f¯k ūkt dt − ∆h ḡt ū + ḡtk ūk dt
0 h
i=1 i
0 k∈Ω̄h il 0 k∈Πh \Π k∈Πir
h \Π
0
Xn
1 X k X
+ ∆h ḡ (T )ūk (T ) + k
ḡ (T )ū (T ) k
i=1
h \Π
0
33
Xn
1 X X
− ∆h ḡ k (0)ūk (0) + ḡ k (0)ūk (0)
h
i=1 i k∈Πil \Π0
h
k∈Πir
h \Π
0
Z T X X X
− ∆h ḡtk ūk dt + ∆h ḡ k (T )ūk (T ) − ∆h ḡ k (0)ūk (0)
0 k∈Π0 k∈Π0 k∈Π0
ZT X
= 2∆h f¯k ūkt dt
0 k∈Ω̄h
Z Z
T Xn
1 X k k X T X
− ∆h ḡt ū + ḡtk ūk dt − ∆h ḡtk ūk dt
0 h
i=1 i 0
h \Π
0 k∈Π0
Xn
1 X k X X
+ ∆h ḡ (T )ūk (T ) + ḡ k (T )ūk (T ) + ∆h ḡ k (T )ūk (T )
h
h \Π
0 k∈Π0
Xn
1 X X X
− ∆h ḡ k (0)ūk (0) + ḡ k (0)ūk (0) − ∆h ḡ k (0)ūk (0)
h
h \Π
0 k∈Π0
:= (I) + (II) + (III) + (IV ). (1.105)
To pro eed, we need the following auxiliary result.
Lemma 1.4.10. Let w ∈ C 1 [0, T ]. Then

Z Z T
2 2 T 2 2
|w(T )| ≤ |w(t)| dt + 2T |wt (t)|2 dt. (1.106)
T 0 0
RT
Proof. Indeed, we havew(T ) = w(t) + t wt (τ )dτ. Hen e
Z T Z T
2 2 2 2 2
|w(T )| ≤ 2 |w(t)| + ( |wt (τ )|dτ ) ≤ 2 |w(t)| + T |wt (t)|2 dt .
t 0
Taking the integral of the both sides with respe t to t from 0 to T, then dividing the
obtained inequality by T, we arrive at the assertion of the lemma.
Applying Cau hy's inequality, we have

Z T X Z T X
(I) ≤ ∆h |f¯k |2 dt + ∆h |ūkt |2 dt. (1.107)
0 0
Applying Cau hy's inequality and (1.98), we get
Z Z T X
1 T Xn
1 X X
k 2 1
(II) ≤ ∆h + |ḡt | dt + ∆h |ḡtk |2 dt
2 0 h
i=1 i
2 0 0
h \Π
0 k∈Π
Z Z
1
n
T X 1 X X
k 2 1 T X
+ ∆h + |ū | dt + ∆h |ūk |2 dt
2 0 i=1
hi 2 0
h \Π
0 k∈Π0
34
Z Z
1 T Xn
1 X X 1 T X
≤ ∆h + |ḡtk |2 dt + ∆h |ḡtk |2 dt
2 0 h
i=1 i
2 0
h \Π
0 k∈Π0
Z T X n X
X Z T X
c k 2 1
+ ∆h |ū | dt + |ūkxi |2 dt + ∆h |ūk |2 dt. (1.108)
2 0 i=1 k∈Ω̄+
2 0
k∈Ω̄h k∈Π0
h
Applying Cau hy's inequality, Lemma 1.4.10, the inequalities (1.98), (1.100), we obtain
Z Z
1 T X 1 X
n X T X
1
(III) ≤ c2 ∆h + |ḡtk |2 dt + ∆h k 2
|ḡ | dt
2 0 i=1 hi 2 0
h \Π
0 k∈Π0
Z Z T X
1 T X 1 X
n X
k 2 1 k 2
+ c2 ∆h + |ḡt | dt + ∆h |ḡ | dt
2 0 i=1 hi 2 0 0
h \Π
0 k∈Π
X X n
∆h X k 2
k 2
c3 ∆h |v̄ | + |v̄ |
i=1
hi
k∈Ω̄h k∈Π0
Z T X XZ TX n
¯k 2 ∆h ¯k 2
+ ∆h |f | dt + |f | dt
0 0 0 i=1
hi
k∈Ω̄h k∈Π
Z TX n X X
1
+ ∆h |ḡ k |2 + |ḡ k |2 dt
0 i=1 hi il ir
k∈Πh k∈Πh
XZ T
1
n
X ∆h k 2
+ |ḡ | dt . (1.109)
0 n i=1
hi
k∈Π0
Further, using Cau hy's inequality, Lemma 1.4.10 and (1.102) we an estimate (IV) as
follows
1 Xn
1 X X 1 X
(IV ) ≤ ∆h + |ḡ k (0)|2 + ∆h |ḡ k (0)|2
2 i=1
hi 2
h \Π
0 0 k∈Π
1 Xn
1 X X 1 X
+ ∆h + |ūk (0)|2 + ∆h |ūk (0)|2
2 h
i=1 i
2
h \Π
0 0 k∈Π
Z
Xn
1 X T X
≤ c4 ∆h + |ḡ k (t)| + |ḡtk (t)|2 dt
0 i=1 hi
k∈Πil
h \Π
0 k∈Πir
h \Π
0
Z T X
1
+ ∆h |ḡ k (t)|2 + |ḡtk (t)|2 dt
2 0 0 k∈Π
X n X
X
+ c5 ∆h |ūk (0)|2 + |ūkxi (0)|2 . (1.110)
k∈Ω̄h i=1 k∈Ω̄+
h
Sin e the oe ient b is nonnegative, the oe ients ai satisfy the ondition (1.1)(1.3),
furthermore, these oe ients satisfy the se ond onditions of the lemma, from the in-
equalities (1.105),(1.107)(1.110), with the use of (1.93), we obtain (1.94).
From Lemma 1.4.9, we have the following results whi h assert the onvergen e of the nite
dieren e s heme (1.79) of the Neumann problem (1.49).
35
Theorem 1.4.11. 1) If v ∈ L2 (Ω), then the multi-linear interpolation (1.62) ûh of the
dieren e-dierential problem (1.79) in QT weakly onverges in L2 (Q) to the solution u ∈
H 1,0 (Q) of the Neumann problem (1.46) and its derivatives with respe t to xi , i = 1, . . . , n
onverges weakly in L2 (Q) to uxi .
2) If ai , b ∈ C 1 ([0, T ], L∞ (Ω)) with |∂ai /∂t|, |∂b/∂t| ≤ µ2 < ∞, and v ∈ H01 (Ω), then ûh
onverges strongly in L2 (Q) to u. Furthermore, ûh |S onverges to u|S in L2 (S).
Proof. We follow Ladyzhenskaya [40, Chapter 6℄ (see also [76, 77℄) to prove these onver-
gen e results. We an prove onvergen e rates like in [35, 70℄. However, we do not pursuit
it in this thesis.

1) From the estimate (1.93), the right hand side of (1.93) is bounded by c kf kL2 (Q) +

kgkL2(S) + kvkL2 (Ω) . Therefore, the sequen e {ūˆ}h of the multi-linear interpolations is
bounded in H 1,0
(Q), due to Lemma 1.4.1. Hen e, there is a subsequen e {ūˆ}hκ weakly
onverges to some fun tion u = u(x, t) ∈ H 1,0 (Q) and the sequen e of the derivative
{ūˆ}hκxi weakly onverges to the orresponding derivative u xi in L2 (Q) as κ tends to innity

(equivalently, hκ i = 1, 2, . . . , n. Due to Lemma 1.4.3, the subsequen e
tends to zero) for
{ū˜}hκ weakly onverges in L (Q) to u and the subsequen e of the derivative {ū˜}hκxi weakly
2
2
onverges in L (Q) to uxi as κ tends to innity. To nish the proof, we need to show that
ea h term in the dis rete equation (1.77) onverges to the orresponding one in (1.19).
Indeed, sin e C 2,1 (Q) H 1,1 (Q), it is enough to onsider the fun tion η in this
is dense in
spa e. The values of the grid fun tion {η̄}h are set to be the values of η at the grid points.
It is lear that {η̄}h onverges uniformly to η as h tends to zero. This implies that all the
terms in (1.77) (the terms on the boundary in the right hand side are onsidered as the
boundary term) onverge to the orresponding terms in (1.19). This means that u is a
weak solution of the Neumann problem (1.46) whi h is unique. Thus, every subsequen e
of {ūˆ}h onverges to the same fun tion u. Hen e the sequen e {ūˆ}h itself onverges to u.
2) When the onditions of the se ond part of the theorem are fullled, we have the a priori
estimate (1.94). Therefore, from the part one of the theorem, the sequen e {ūˆ}h onverges
1,0 1,1
to the solution u ∈ H (Q) whi h belongs to H (Q), due to Theorem 1.1.2. On the
other hand, from (1.94), the sequen e {ūˆ}h of the multi-linear interpolations is bounded in
H (Q), due to Lemma 1.4.2. Hen e, {ūˆ}h weakly onverges to u = u(x, t) ∈ H 1,1 (Q). It
1,1
ˆ}hκ strongly onverges to u = u(x, t) ∈ L2 (Q). Furthermore, ûh |S onverges

follows that {ū
2
to u|S in L (S).
1.4.3. Dis retization in time and splitting dieren e s heme

Next, we dis rete the time variable t. We subdivide [0, T ] into M subintervals by the points
ti , i = 0, . . . , M, t0 = 0, t1 = ∆t, ..., tM = M∆t = T. To simplify the notation, we set
uk,m := uk (tm ). In this part, if there is no onfusion, we will drop the spa e index. Denote
F m := F̄ (tm ).
In order to obtain the splitting dieren e s heme for the Cau hy problems (1.75) and (1.79),
36
we set um+δ := ū(tm + δ∆t), Λm
i := Λi (tm + ∆t/2). We introdu e the following two ir le
omponent-by- omponent splitting s heme [54℄
1 1
um+ 2n − um um+ 2n + um
∆t
+ Λm
1 = 0,
2
2
2 1 2 1
um+ 2n − um+ 2n um+ 2n − um+ 2n
∆t
+ Λm
2 = 0,
2
2 (1.111)
···
1 n−1 1 n−1
um+ 2 − um+ 2n um+ 2 − um+ 2n 1 ∆t m m
+ Λm
n = Fm + Λ F ,
∆t
2
2 2 8 n
n+1 1 n+1 1
um+ 2n − um+ 2 um+ 2n − um+ 2 1 ∆t m m
+ Λm
n = Fm − Λ F ,
∆t
2
2 2 8 n
···
2n−1 2n−2 2n−1 2n−2
um+ 2n − um+ 2n um+ 2n + um+ 2n
∆t
+ Λm
2 = 0,
2
2
m+ 2n−1 2n−1
um+1 − u 2n um+1 − um+ 2n
∆t
+ Λm
1 = 0,
2
2
u0 = v̄.
Equivalently,
∆t m m+ 1 ∆t m m
E1 + Λ u 2n = E1 − Λ u ,
4 1 4 1

∆t m m+ 2 ∆t m m+ 1
E2 + Λ u 2n = E2 − Λ u 2n ,
4 2 4 2
...
∆t m m+ 1 ∆t m ∆t m+ n−1
En + Λn u 2 − F = En − Λm u 2n ,
4 2 4 n
∆t m m+ n+1 ∆t m m+ 1 ∆t m
En + Λn u 2n = En − Λ u 2+ F , (1.112)
4 4 n 2
...
∆t m+ 2n−1 ∆t m m+ 2n−2
E2 + Λm u 2n = E 2 − Λ u 2n ,
4 2 4 2
∆t m+1 ∆t m m+ 2n−1
E1 + Λm u = E 1 − Λ u 2n ,
4 1 4 1
u0 = v̄.
where Ei is the identity matrix orresponding to Λi , i = 1, . . . , n. The splitting s heme
(1.112) an be rewritten in the ompa t form


um+1 = Am um + ∆tB m F m ,
(1.113)
u0 = v̄,
37
with
Am = Am m m m
1 · · · An An · · · A1 ,
B m = Am m
1 · · · An ,
∆t m −1 ∆t m
where Am
i = (Ei + 4
Λi ) (Ei − 4
Λi ). The stability of the splitting s heme (1.113) is
given in the following theorem.
Theorem 1.4.12. The splitting s heme (1.113) is stable.
Proof. Indeed, from the rst equation of (1.113), we have
kum+1 k ≤ kAm um k + ∆tkB m F m k

≤ kAm kkumk + ∆tkB m kkF m k
≤ kAm m m m m m m m
1 k . . . kAn kkAn k . . . kA1 kku k + ∆tkA1 k . . . kAn kkF k.
Moreover, applying Kellogg's Lemma [54, Theorem 2.1, p. 220℄, we obtain
∆t m −1 ∆t m
kAm
i k = k(Ei + Λi ) (Ei − Λ )k ≤ 1.
4 4 i
Hen e, we get
kum+1 k ≤ kum k + ∆tkF m k,

kum k ≤ kum−1 k + ∆tkF m−1 k,
...
ku1 k ≤ ku0 k + ∆tkF 0 k.
Putting kvk = ku0 k and kf k = max kF m k, we have

m
kum+1 k ≤ kvk + m∆tkf k.
Consequently, the s heme is stable.
Next, we introdu e the dis retized Green's formula for the dire t and adjoint problems.
Theorem 1.4.13. Let u be a solution of the dieren e s heme


um+1 = Am um + F m , m = 0, 1, . . . , M − 1,
(1.114)
u0 = C,
and η a solution of the adjoint problem


η m = (Am+1 )∗ η m+1 + K m+1 , m = 0, 1, . . . , M − 1,
(1.115)
η M = D.
Then, the dis retized Green's formula has form

M
X −1 M
X
0 0 ∗ 0 m m M M ∗ M m
hu , (A ) η i+ hF , η i+hC, η i = h(A ) η , u i+ hK m , um i+hD, u0i. (1.116)
m=0 m=1
38
Proof. Multiplying both sides of the rst equation of (1.114) with η m , m = 0, 1, . . . , M −1,
and summing the results over m, we have
M
X −1 M
X −1 M
X −1
m+1 m m m m
hu ,η i = hA u , η i + hF m , η m i.
m=0 m=0 m=0
Multiplying both sides of the se ond equation of (1.114) with ηM we obtain
hu0 , η M i = hC, η M i.
Hen e, it follows from (1.114) that
M
X −1 M
X −1 M
X −1
m+1 m 0 M m m m
hu , η i + hu , η i = hA u , η i + hF m , η m i + hC, η M i. (1.117)
m=0 m=0 m=0
Multiplying both sides of the rst equation of (1.115) with um+1 , m = 0, 1, . . . , M − 1,

summing the results over m, we have
M
X −1 M
X −1 M
X −1
m m+1 m+1 ∗ m+1 m+1
hη , u i= h(A ) η ,u i+ hK m+1 , um+1 i.
m=0 m=0 m=0
Multiplying both sides of the se ond equation of (1.115) with u0 we get
hη M , u0 i = hD, u0i.
Hen e, it follows from the adjoint problem (1.115) that
M
X −1 M
X −1 M
X −1
m m+1 M 0 m+1 ∗ m+1 m+1
hη , u i+hη , u i = h(A ) η ,u i+ hK m+1 , um+1 i+hD, u0i,
m=0 m=0 m=0
or
M
X −1 M
X M
X
hη m , um+1 i + hη M , u0 i = h(Am )∗ η m , um i + hK m , um i + hD, u0i. (1.118)
m=0 m=1 m=1
It follows from (1.117) and (1.118) that
M
X −1 M
X −1 M
X M
X
m m m m m M m ∗ m m
hA u , η i + hF , η i + hC, η i = h(A ) η , u i + hK m , umi + hD, u0i.
m=0 m=0 m=1 m=1
Consequently, we have the dis retized Green's formula as follows
M
X −1 M
X
hu0, (A0 )∗ η 0 i+ hF m , η m i+hC, η M i = h(AM )∗ η M , uM i+ hK m , umi+hD, u0i.
m=0 m=1
The proof is omplete.
1.5 Approximation of the variational problems

As stated in Introdu tion, the inverse problems onsidered in this thesis are that of de-
termining the initial ondition v in 1) the Diri hlet problem (0.8)(0.10) from either the
39
observation of its solution u at the nal time, or integral observations, 2) in the Neumann
problem (0.8), (0.9), (0.11) from the observation of its solution u at a part of the boundary
S. The solution u to the Diri hlet and Neumann problems is understood in the weak sense
as in Denitions 1.1.7 and 1.1.8.
Thus, the observation operator C is either
i) the nal time observation operator Cu(v) = u(x, T ; v): v ∈ L2 (Ω) → Cu(v) ∈ H :=
L2 (Ω),
ii) or the integral operator Cu(v) = (l1 u(x, t; v), l2 u(x, t; v), . . . , lN u(x, t; v)), where li are
2
dened by (0.22). In this ase, the operator C maps v ∈ L (Ω) to Cu(v) ∈ H =
2 N
(L (0, T )) ,
iii) or the tra e of the solution u on a part of the boundary Cu(v) = u(x, t; v)|Γ. Thus, C
2
maps v ∈ L (Ω) to Cu(v) ∈ H = L2 (Γ).
Our data assimilation problem is that of re onstru ting the initial ondition v when the
observation Cu(v) is given by some z ∈ H.

o
Denoting the solution to (0.8)(0.10) (or (0.8), (0.9), (0.11)) with v ≡ 0 by u, we see that
2 o
the operator from v ∈ L (Ω) to Cv := Cu(v) − C u ∈ H is bounded and linear. Thus, the
above inverse problems lead to the linear operator equation
o
Cv = z − C u. (1.119)
o
Set z̃ = z − C u. To get a stable approximation to v we minimize the Tikhonov fun tional
1 γ
Jγ (v) = kCv − z̃k2H + kv − v ∗ k2L2 (Ω) (1.120)
2 2
with respe t to v ∈ L2 (Ω). Here, v∗ is an estimation to v. The minimizer to this optimiza-
tion problem is hara terized by the optimality ondition:
Jγ′ (v) = C ∗ (Cv − z̃) + γ(v − v ∗ ) = 0, (1.121)
where C∗ is the adjoint operator of C. We denote the solution to this problem by vγ .

Suppose that Ch is an approximation to C su h that
k(C − Ch )vkH ≤ Φ1 (h)kvkL2 (Ω) ∀v ∈ L2 (Ω) (1.122)
with Φ1 (h) → 0 as h → 0. Also suppose that Cˆh∗ is an approximation to Ch∗ su h that
kC ∗ ω − Cˆh∗ ωkL2 (Ω) ≤ Φ2 (h)kωkH ∀ω ∈ H (1.123)
with Φ2 (h) → 0 as h → 0.
We approximate the problem (1.120) by
1 γ
min Jγh (v) := kCh v − z̃k2H + kv − vh∗ k2L2 (Ω) (1.124)
v 2 2
whi h is hara terized by the rst-order optimality ondition
Ch∗ (Ch vhγ − z̃) + γ(vhγ − vh∗ ) = 0. (1.125)
40
Here, vh∗ ∈ L2 (Ω) is an approximation to v∗ su h that
kvh∗ − v ∗ kL2 (Ω) ≤ Φ3 (h)kv ∗ kL2 (Ω) (1.126)
with Φ3 (h) → 0 as h → 0.
Let v̂hγ be the solution to the variational problem
Cˆh∗ (Ch v̂hγ − z δ ) + γ(v̂hγ − vh∗ ) = 0 (1.127)
with a perturbation zδ of z̃ satisfying
kz δ − z̃kH ≤ δ. (1.128)
Following [28, 30℄ we have the following result.
Theorem 1.5.1. Let vγ be the solution of the variational problem (1.121) and γ > 0. Then
the following error estimate holds
δ
kv γ − v̂hγ k ≤ Φ(h) + c ,
γ
where Φ(h) → 0 when h tends to zero.
Proof. In the proof c1 , c2 , . . . are generi positive onstants, h·, ·i and k · k denote the s alar
2
produ t and the norm in L (Ω), respe tively. From the equation (1.125) we have
γkvhγ k2 = hCh∗ (z̃ − Ch vhγ ) + γvh∗ , vhγ i

= hz̃, Ch vhγ iH + γhvh∗ , vhγ i − kCh vhγ k2H
≤ hz̃, Ch vhγ iH + γhvh∗ , vhγ i
≤ c1 kz̃kH kvhγ k + c2 γkvhγ k.
Hen e
c1
kvhγ k ≤ kz̃kH + c2 . (1.129)
γ
From the equations (1.125) and (1.127) we have
γ(vhγ − v̂hγ ) = Cˆh∗ (Ch v̂hγ − z δ ) − Ch∗ (Ch vhγ − z̃).
Therefore,
γkvhγ − v̂hγ k2 =hCˆh∗ Ch v̂hγ − Ch∗ Ch vhγ − Cˆh∗ z δ + Ch∗ z̃, vhγ − v̂hγ i
=hCˆh∗ Ch v̂hγ − C ∗ Ch v̂hγ + C ∗ Ch v̂hγ − Ch∗ Ch vhγ − Cˆh∗ z δ + Ch∗ z̃, vhγ − v̂hγ i
=h(Cˆ∗ − C ∗ )Ch v̂ γ , v γ − v̂ γ i + hC ∗ Ch v̂ γ − C ∗ Ch v γ , v γ − v̂ γ i
h h h h h h h h h
+ hCh∗ z̃ − Cˆh∗ z δ , vhγ − v̂hγ i.
Moreover, using the inequalities (1.123) and (1.129), we estimate the rst term of the right
41
hand side of the last quality as follows
h(Cˆh∗ − C ∗ )Ch v̂hγ , vhγ − v̂hγ i =h(Cˆh∗ − C ∗ )Ch (v̂hγ − vhγ ), vhγ − v̂hγ i
+h(Cˆh∗ − C ∗ )Ch v γ , v γ − v̂ γ i
h h h
≤k(Cˆh∗ − C )Ch (v̂h − vh )kkvhγ

∗ γ γ
− v̂hγ k
+k(Cˆh∗ − C ∗ )Ch vhγ kkvhγ − v̂hγ k
c
1
≤c3 Φ2 (h)kvhγ − v̂hγ k2 + c4 Φ2 (h) kz̃kH + c4 kvhγ − v̂hγ k.
γ
Similarly, using the inequalities (1.122) and (1.129) we an estimate the se ond term by
hC ∗ Ch v̂hγ − Ch∗ Ch vhγ , vhγ − v̂hγ i =hCh v̂hγ , C(vhγ − v̂hγ )iH − hCh vhγ , Ch (vhγ − v̂hγ )iH
=hCh (v̂hγ − vhγ ), C(vhγ − v̂hγ )iH + hCh vhγ , (C − Ch )(vhγ − v̂hγ )iH
=h(Ch − C)(v̂hγ − vhγ ), C(vhγ − v̂hγ )iH − kC(v̂hγ − vhγ )k2H
+ hCh vhγ , (C − Ch )(vhγ − v̂hγ )iH
c
1
≤c5 Φ1 (h)kvhγ − v̂hγ k2 + c6 Φ1 (h) kz̃kH + c2 kvhγ − v̂hγ k.
γ
Further, using the inequalities (1.122), (1.123) and (1.128), we obtain
hCh∗ z̃ − Cˆh∗ z δ , vhγ − v̂hγ i =h(C ∗ − Cˆh∗ )z δ , vhγ − v̂hγ i + hz̃ − z δ , C(vhγ − v̂hγ )iH
+ hz̃, (Ch − C)(vhγ − v̂hγ )iH

≤ c7 Φ2 (h) + c8 δ + c9 Φ1 (h) kvhγ − v̂hγ k.
Hen e
1 c
8
kvhγ − v̂hγ k ≤ c7 Φ2 (h) + c9 Φ1 (h) + δ. (1.130)
γ γ
Similarly, from (1.121), (1.122), (1.123), (1.126), (1.127) and (1.129), we have
γkv γ − v̂hγ k2 =hCˆh∗ Ch v̂hγ − C ∗ Ch v̂hγ + C ∗ Ch v̂hγ − C ∗ Cv γ − Cˆh∗ z δ + C ∗ z̃, v γ − v̂hγ i

γhv ∗ − vh∗ , v γ − v̂hγ i
=h(Cˆh∗ − C ∗ )Ch v̂hγ , v γ − v̂hγ i + hCh v̂hγ − Cv γ , C(v γ − v̂hγ )iH + hv ∗ − vh∗ , v γ − v̂hγ i
+ hC ∗ z̃ − Cˆ∗ z δ , v γ − v̂ γ i
h h
=h(Cˆh∗ − C )Ch v̂h , v − v̂hγ i + h(Ch − C)v̂hγ , C(v γ − v̂hγ )iH

∗ γ γ
+ hC(v̂hγ − v γ ), C(v γ − v̂hγ )iH + h(C ∗ − Cˆh∗ )z δ , v γ − v̂hγ )i

+ hz̃ − z δ , C(v γ − v̂hγ )iH + hv ∗ − vh∗ , v γ − v̂hγ i
≤h(Cˆh∗ − C ∗ )Ch v̂hγ , v γ − v̂hγ i + h(Ch − C)v̂hγ , C(v γ − v̂hγ )iH
+ h(C ∗ − Cˆ∗ )z δ , v γ − v̂ γ )i
h h
δ
+ hz̃ − z , C(v − γ
v̂hγ )i + hv ∗ − vh∗ , v γ − v̂hγ i
≤c10 Φ2 (h)kv γ − v̂hγ k + c11 Φ2 (h)kv γ − v̂hγ k
+ Φ2 (h)kz δ kH kv γ − v̂hγ k + c12 δkv γ − v̂hγ k + Φ3 (h)kv ∗ kkv γ − v̂hγ k.
Combining this inequality with (1.130) we arrive at the statement of the theorem.
42
1.6 Lan zos' algorithm for approximating singular values
The problem (1.119) is ill-posed (as we will see in the next hapters that the operator
C a ting from L2 (Ω) to H is ompa t) and its degree if ill-posedness is the asymptoti
behaviour of the singular values of C or of eigenvalues of C ∗C . However, no expli it form
of C is available and even if it is, it is not easy to estimate the asymptoti behaviour of
its singular values. As we will approximate C by some nite-dimensional operators Ch , the

variational problem (1.120) is approximated by the problem (1.124). If we take γ = 0,
z̃ = 0, then
J0h (v) = Ch∗ Ch v

′
(1.131)
whi h an be al ulated via an adjoint problem for any v. Therefore, we an apply Lan zos'
∗
algorithm [81℄ to estimate the eigenvalues of Ch Ch based on its value Ch∗ Ch v . This approa h
seem to be appli able to many problems and e ient as the results of the next hapters
show. Lan zos' algorithm onsists of the following steps [81℄:
Step 1. (Initialization.)
b
Let β0 = 0, q0 = 0 and an arbitrary ve tor b, al ulate q1 = .
kbk
Put Q = q1 and k = 0.
Step 2. k = 1, 2, 3, . . . . Cal ulating v = Ch∗ Ch qk .

Let
Cal ulating αk = qk v and orthogonalizing the ve tor v twi e
v = v − QQv,
v = v − QQv.
Cal ulating βk = kvk and al ulating ve tor
v
qk+1 = .
βk
The result of 1.4 of this hapter is written on the basis of the paper
[26℄ Hào D.N. and Oanh N.T.N., Determination of the initial ondition in paraboli equa-
tions from boundary observations. Journal of Inverse and Ill-Posed Problems 24(2016),
no. 2, 195220.
43
Chapter 2
Data assimilation by the nal time

observations
In this hapter, we study the data assimilation problem of re onstru ting the initial on-
dition in the Diri hlet problem (1.7)(1.9) from the observation of its solution at the nal
time. We reformulate it as a variational problem of minimizing a mist fun tional. As
the variational problem is ill-posed, we stabilize it by the Tikhonov regularization method.
It is proved that the regularized fun tional is Fré het dierentiable and a formula for its
gradient is derived via an adjoint problem. The variational problem is rst dis retized in
spa e variables and the onvergen e results of the method are proved. The problem is then
fully dis retized and it is proved that the dis retized fun tional is Fré het dierentiable. A
formula for its gradient is derived via a dis rete adjoint problem and the onjugate gradient
method is applied to numeri ally solve the dis retized variational problem. Some numeri al
examples are tested on omputer to prove the e ien y of the proposed algorithm.
2.1 Problem setting and the variational method

For the ease of reading, we rewrite the Diri hlet problem (1.7)(1.9) with the new indexing:
 !

 ∂u Pn ∂ ∂u

 − aij (x, t) + b(x, t)u = f in Q,
 ∂t i,j=1 ∂xi ∂xj
(2.1)

 u|t=0 = v in Ω,



u = 0 on S.
The oe ients aij , b and the data f and v satisfy the onditions (1.1)(1.6). Under these
onditions, (2.1) has a unique weak solution u ∈ W (0, T ; H01(Ω)) in the sense of Denition
1.1.7.
Data assimilation: Suppose that v is not given and we have to re onstru t it from the
observation of the solution u to (2.1) at the nal time Cu := u(·, T ) = ξ(·) ∈ L2 (Ω).
44
From now on, to emphasize the dependen e of the solution u on the initial ondition v, we
denote it by u(v) or u(x, t; v).
Remark 2.1.1. The operator C maps v ∈ L2 (Ω) to u(x, T ; v) is ompa t from L2 (Ω) to
L2 (Ω). Hen e the problem of
2
re onstru ting v from u(·, T ; v) = ξ(·) ∈ L (Ω) is ill-posed.
Proof. Sin eu ∈ W (0, T ; H01(Ω)), we have u(·, T ; v) ∈ H01 (Ω). However, H01 (Ω) is om-
2 2 2
pa tly embedded in L (Ω), therefore the operator C from L (Ω) to L (Ω) is ompa t.
To analyse the degree of the ill-posedness of the problem we have to study behaviour of
the singular values of "the linear part" C of the ane operator mapping v ∈ L2 (Ω) to
2
u(x, T ; v) ∈ L (Ω) whi h is dened as presented in Introdu tion and in 1.5 as follows:
o
denote by u the solution to (2.1) with v ≡ 0, then
o o
Cv := Cu − C u = u(x, T ; v) − u(x, T )
is bounded and linear from L2 (Ω) to L2 (Ω). It is lear that C is ompa t. Sin e there is no
expli it form for C and the analysis of its singular values is not trivial, we therefore suggest
a numeri al s heme to approximate the singular values of C. Before doing so, we des ribe
the variational method for nding the initial ondition v in from u(x, T ; v) by minimizing
the mist fun tional

1
J0 (v) := ku(·, T ; v) − ξk2L2(Ω) (2.2)
2
over L2 (Ω), subje t to the system (2.1). As the inverse problem is ill-posed, this variational
problem is so, therefore, we use the Tikhonov regularization method to stabilize it by
minimizing the Tikhonov regularization fun tional
γ 1 γ
Jγ (v) := J0 (v) + kv − v ∗ k2L2 (Ω) = ku(·, T ; v) − ξk2L2 (Ω) + kv − v ∗ k2L2 (Ω) , (2.3)
2 2 2
over L2 (Ω) with γ > 0 being the regularization parameter and v∗ an approximation of the
initial ondition v , whi h an be set to zero.

Now we prove that Jγ (v) is Fré het dierentiable and derive a formula for its gradient ∇Jγ .
In doing so, we introdu e the adjoint problem
 !

 ∂p P
n ∂ ∂p

 − − aij (x, t) + b(x, t)p = 0 in Q,
 ∂t i=1 ∂xj ∂xi
(2.4)

 p(x, T ) = u(x, T ; v) − ξ(x) in Ω,



p = 0 on S.
Sin e u(·, T ; v) − ξ(·) ∈ L2 (Ω), due to Theorem 1.1.1, there exists a unique solution p∈
W (0, T ; H01(Ω)).
Theorem 2.1.1. The fun tional Jγ is Fré het dierentiable and its gradient is given by
∇Jγ (v) = p(x, 0) + γ(v − v ∗ ), (2.5)
where p(x, t) is the solution to the adjoint problem (2.4).
45
Proof. For a small variation δv , we have
1 1
J0 (v + δv) − J0 (v) = ku(v + δv) − ξk2L2 (Ω) − ku(v) − ξk2L2 (Ω)
2 2
1 1
= ku(v + δv) − u(v) + u(v) − ξk2L2 (Ω) − ku(v) − ξk2L2 (Ω)
2 2
1
= ku(v + δv) − u(v)k2L2 (Ω) + hu(v + δv) − u(v), u(v) − ξiL2 (Ω) (2.6)
2
1
= kδu(v)k2L2 (Ω) + hδu(v), u(v) − ξiL2 (Ω)
2 Z
1
2
= kδu(v)kL2 (Ω) + δu(v) u(v) − ξ dx
2 Ω
where δu(v) = u(v + δv) − u(v) is the solution to the problem

 !

 ∂δu Pn ∂ ∂δu

 − aij (x, t) + b(x, t)δu = 0 in Q,
 ∂t i=1 ∂xi ∂xj
(2.7)

 δu = 0 on S,



δu(x, 0) = δv(x) in Ω.
Applying the a priori estimate (1.15) of Theorem 1.1.1 to the solution of the problem (2.7),
we obtain that there exists a onstant cD su h that kδukW (0,T ;H 1(Ω)) ≤ cD kδvkL2(Ω) . Hen e
1
2
kδu(v)k2L2(Ω) = o(kδvkL2(Ω) ).
Furthermore, using Green's formula (1.22) of Theorem 1.2.1 for (2.4) and (2.7), we obtain
Z Z
u(v) − ξ δu(x, T )dx = δvp(x, 0)dx.
Ω Ω
Combining it with (2.6), we have

Z
J0 (v + δv) − J0 (v) = o(kδvkL2 (Ω) ) + δvp(x, 0)dx = o(kδvk2L2 (Ω) ) + hδv, p(x, 0)iL2(Ω) .
Ω
Thus, J0 is Fré het dierentiable and
∇J0 (v) = p(x, 0)
where p(x, t) is the solution to the adjoint problem (2.4). It follows the formula (2.5) for
the gradient of the fun tional Jγ (v). The proof is omplete.
We note that
1
J0 (v) = ku(·, T ; v) − ξk2L2 (Ω)
2
1 o
= kCv − (ξ − C u)k2L2 (Ω) .
2
Hen e
o
∇J0 (v) = C ∗ C(v − (ξ − C u)).
o
Thus, if we take ξ = C u, then
∇J0 (v) = C ∗ Cv,
46
where C∗ is the adjoint operator of C. On the other hand, from the above theorem,
∇J0 (v) = C ∗ Cv = p(x, 0),
where p = p(x, t; v) is the solution to the adjoint problem

 !

 ∂p P
n ∂ ∂p

 − − aij (x, t) + b(x, t)p = 0 in Q,
 ∂t i=1 ∂xj ∂xi
o (2.8)

 p(x, T ) = u(x, T ; v) − u(x, T ) in Ω,



p = 0 on S.
Thus, for any v ∈ L2 (Ω) we an always evaluate C ∗ Cv via a dire t problem for al ulating
ū(v) and an adjoint problem for obtaining p(x, 0; v). When we dis retize the problem, C
has a form of a matrix, therefore we an apply Lan zos' algorithm 1.6 to approximate
eigenvalues of C∗C. The numeri al results will be presented in 2.4.
2.2 Dis retization of the variational problem in spa e variable

In this se tion we suppose that the rst equation of the Diri hlet problem (2.1) has no
mixed derivative, that is aij = 0 if i 6= j , and we denote aii by ai as in 1.4 and get
the system (1.46). Furthermore, we assume Ω is an open parallelepiped dened in 1.4.1.
We dis retize this problem by the nite dieren e method in spa e variables and get the
o
system of ordinary dierential equations (1.75). Denote ξ˜ = ξ − u(x, T ). Then J0 (v) =
o o
1 ˜ L2 (Ω) . We approximate the
k u(x, T ; v) − u(x, T ) − ξ − u(x, T ) kL2 (Ω) = 12 kCv − ξk
2
fun tional Jγ (v) by
1 X γ X k
Jγh (v̄) = h |ū(T ; v̄) − ξ¯k |2 + h |v̄ − v¯∗ k |2 (2.9)
2 k∈Ω 2 kΩ
h h
and minimize this fun tional over all grid fun tions v̄ . Set Ch v̄ = ūˆ(x, T ; v̄), where ūˆ is the
pie ewise linear interpolation of ū dened in Subse tion 1.4.1. Then, if the ondition 2) of
Theorem 1.4.8 is satised, we see that all onditions in Subse tion 1.5 for Theorem 1.5.1
are satised. As we do not allow noise in the data ξ yet, we have the following result on
the onvergen e of the solution of the dis retized optimization problem (2.9).
Theorem 2.2.1. Let ondition 2) of Theorem 1.4.8 is satised. Then the linear interpo-
lation ūˆ of the solution uγ of the problem (2.9) onverges in L2 (Ω) to the solution v γ of the
problem (2.3) as h tends to zero.
2.3 Full dis retization of the variational problem

To solve the variational problem numeri ally we need to dis retize the system (1.46) in time.
We use the splitting method in Subse tion 1.4.3. to get the s heme (1.111) or (1.112). Now,
47
we dis retize the obje tive fun tional J0 (v) as follows
1 X k,M
J0h (v̄) := [u (v̄) − ξ k ]2 . (2.10)
2 k∈Ω
h
Here we use the notation uk,M (v̄) to indi ate the dependen e of the solution to the initial
ondition v̄ and M represents the index of the nal time. We drop the multiplier h as it
h
does not play any role here. Furthermore, we use the same notation J0 as in the previous
se tion, although it depends also on the time mesh size ∆t.
2.3.1. The gradient of the obje tive fun tional

We will solve the minimization problem (2.10) by the onjugate gradient method. For
this purpose, we need to al ulate the gradient of the obje tive fun tion J0h . In this
k
subse tion, we use the following inner produ t of two grid fun tions u := {u , k ∈ Ωh } and
v := {v k , k ∈ Ωh } X
(u, v) := uk v k . (2.11)
k∈Ωh
The following theorem give a formula for the gradient of the obje tive fun tional (2.10).
Theorem 2.3.1. The gradient ∇J0h (v̄) of the obje tive fun tional J0h at v̄ is given by
∗
∇J0h (v̄) = A0 η 0 , (2.12)
where η = (η 0 , . . . , η M ) satises the adjoint problem


η M −1 = uM (v̄) − ξ
(2.13)
η m = (Am+1 )∗ η m+1 , m = M − 2, M − 3, . . . , 0.
Here, the matrix (Am )∗ has form

∆t m ∆t m −1 ∆t m ∆t m −1
(Am )∗ = (E1 − Λ1 )(E1 + Λ ) ...(En − Λn )(En + Λ )
4 4 1 4 4 n (2.14)
∆t m ∆t m −1 ∆t m ∆t m −1
× (En − Λn )(En + Λ ) ...(E1 − Λ1 )(E1 + Λ ) .
4 4 n 4 4 1
Proof. For a small variation δv̄ of v̄ , it follows from (2.10) that
1 X k,M 1 X k,M
J0h (v̄ + δv̄) − J0h (v̄) = [u (v̄ + δv̄) − ξ k ]2 − [u (v̄) − ξ k ]2
2 2
k∈Ωh k∈Ωh
1 X k,M 2 X k,M k,M

= w + w [u (v̄) − ξ k ]
2 k∈Ω k∈Ω
h h
(2.15)
1 X k,M 2 X k,M k
= v + w ψ
2 k∈Ω k∈Ω
h h
1 X k,M 2
= w +(w M , ψ).
2 k∈Ω
h
48
wherew k,m := uk,m (v̄ + δv̄) − uk,m(v̄), k ∈ Ωh , m = 0, . . . , M , w m := {v k,m, k ∈ Ωh } and
ψ = uM (v̄) − ξ . It follows from (1.111) that w is the solution to the problem

w m+1 = Am w m , m = 0, .., M − 1,
(2.16)
w 0 = δv̄.
Taking the inner produ t of both sides of the mth equation of (2.16) with an arbitrary
m N1 ×...×Nn
ve tor η ∈R , then summing the results over m = 0, ..., M − 1, we obtain
M
X −1 M
X −1
m+1 m
(w ,η ) = (Am w m , η m )
m=0 m=0
(2.17)
M
X −1
∗
= (w m, Am η m ).
m=0
∗
Here Am is the adjoint matrix of Am . Consider the adjoint problem

η m = (Am+1 )∗ η m+1 , m = M − 2, M − 1, . . . , 0,
(2.18)
η M −1 = ψ.
Taking the inner produ t of the both sides of the rst equation of (2.18) with an arbitrary
ve tor w m+1 , then summing the results over m = 0, ..., M − 2, we obtain
M
X −2 M
X −2
(w m+1 m
,η ) = (w m+1 , (Am+1 )∗ η m+1 ). (2.19)
m=0 m=0
Taking the inner produ t of the both sides of the se ond equation of (2.18) with the ve tor
vM , we have
(w M , η M −1) = (w M , ψ). (2.20)
M
X −2 M
X −2
(w m+1 , η m ) + (w M , η M −1) = (w m+1 , (Am+1 )∗ η m+1 ) + (w M , ψ),
m=0 m=0
or, equivalently
M
X −1 M
X −1
(w m+1 m
,η ) = (w m , (Am )∗ η m ) + (w M , ψ). (2.21)
m=0 m=1
From (2.17) and (2.21) we obtain
∗ ∗
(w M , ψ) = (w 0 , A0 η 0 ) = (δv̄, A0 η 0 ). (2.22)
P 2
On the other hand, it an be proved by indu tion that w k,M = o(kδv̄k). Hen e, it
k∈Ωh
follows from (2.15) and (2.22) that
∗
J0h (v̄ + δv̄) − J0h (v̄) = (δv̄, A0 η 0 ) + o(kδv̄k). (2.23)
Consequently, the gradient of the obje tive fun tional J0h an be written as
∂J0h (v̄) ∗
= A0 η 0 . (2.24)
∂v̄
49
Note that, sin e the matri es Λmi , i = 1, ..., n are symmetri , we have for m = 0, ..., M − 1
∆t m −1 ∆t m ∗
m ∗
(Ai ) = (Ei + Λ ) (Ei − Λ )
4 i 4 i
∆t m ∗ ∆t m −1 ∗
= (Ei − Λ ) (Ei + Λ )
4 i 4 i
∆t m ∆t m −1
= (Ei − Λi )(Ei + Λ ) .
4 4 i
Hen e
(Am )∗ = (Am m m m ∗
1 ...An An ...A1 )
∗ m ∗ m ∗ m ∗
= (Am
1 ) ...(An ) (An ) ...(A1 )
∆t m ∆t m −1 ∆t m ∆t m −1
= (E1 − Λ1 )(E1 + Λ1 ) ...(En − Λn )(En + Λ )
4 4 4 4 n
∆t m ∆t m −1 ∆t m ∆t m −1
× (En − Λn )(En + Λn ) (E1 − Λ1 )(E1 + Λ ) .
4 4 4 4 1
2.3.2. Conjugate gradient method

Denote by ǫ the noise level of the measured data. Using the well-known onjugate gradient
method with an a posteriori stopping rule introdu ed by Nemirovskii [59℄, we re onstru t
the initial ondition v̄ from the measured nal state uM = ξ by the following steps:
Step 1 (initialization): Given an initial guess v 0 and a s alar α > 1, al ulate the residual
r̂ 0 = u(v 0) − ξ by solving the splitting s heme (1.111) with the initial ondition v̄ being
0
repla ed by the initial guess v .
If kr̂ 0 k ≤ αǫ, stop the algorithm. Otherwise, set i = 0, d−1 = (0, . . . , 0) and go to Step 2.
Step 2. Cal ulate the gradient r i = ∇J0k,M (v i ) given in (2.12) by solving the adjoint
problem (2.13). Then set
di = −r i + βi−1 di−1 , (2.25)
where 
i 2
β i−1 = k r k

for i ≥ 1,
k r i−1 k2 (2.26)

 −1
β = 0.
Step 3. Cal ulate the solution ūi of the splitting s heme (1.111) with v̄ being repla ed by
di , put
k r i k2
αi = . (2.27)
k (ūi )M k2
Then, set
v i+1 = v i + αi di . (2.28)
The residual an be al ulated by
r̂ i+1 = r̂ i + αi (ūi )M . (2.29)
50
Step 4. If k r̂ i+1 k≤ αǫ, stop the algorithm (Nemirovskii's stopping rule). Otherwise, set
i := i + 1, and go ba k to Step 2.
We note that (2.29) an be derived from the equality
r̂ i+1 = uM (v i+1 ) − ξ = uM (v i + αi di ) − ξ
(2.30)
= r̂ i + uM (αi di ) = r̂ i + αi (ūi )M .
2.4 Numeri al results

To illustrate the performan e of the proposed algorithm, we present in this se tion some
numeri al tests to estimate the singular values and to re onstru t the initial ondition v(x).
2.4.1. Approximations of the singular values

Let Ω = (0, 1) and T = 1. Consider the system


ut − (a(x, t)ux )x = f (x, t)
 in Q,
u(0, t) = u(1, t) = 0 t ∈ (0, T ], (2.31)



u(x, 0) = v(x) in Ω
with a(x, t) = 2xt + x2 + 1.

Example 1. o
u the solution to (2.31) for v ≡ 0. As presented above the operator
Denote by
o
Cv = u(x, T ; v) − u(x, T ) is linear and ompa t from L2 (Ω) to L2 (Ω). Furthermore,
C ∗ Cv = p(x, 0),
where p is the solution to the adjoint problem



−pt − (a(x, t)px )x = 0
 in Q,
p(0, t) = p(1, t) = 0 t ∈ (0, T ], (2.32)


 o
p(x, T ) = u(x, T, v) − u(x, T ). in Ω
Thus, to approximate the singular values of C we have to approximate (2.31) and (2.32) to
get an approximation to C in a matrix form, say Ch , and Ch∗ Ch v and then apply Lan zos'
∗
algorithm to approximate eigenvalues of Ch Ch . In doing so, we subdivide the domain Ω into
50 uniform subintervals and the time interval (0, 1) into 50 subintervals and then apply the
method presented in Chapter 1 to solve (2.31) and (2.32).
The result of estimating the singular values after 51 iterations is presented in Figure 2.1.
We an see that the singular value of the operator is very small, the 51th value is about
−15
10 . The ondition number (the quotient of the rst singular value and the 51th singular
10
value) is about 3.38431 × 10 .
51
−4
10
−6
10
−8
10
−10
10
−12
10
−14
10
−16
10
0 5 10 15 20 25 30 35 40 45 50 55
Figure 2.1: Example 1: Singular values.
2.4.2. Numeri al examples for two-dimensional problems

Set Ω = (0, 1) × (0, 1) and T = 1. Set x = (x1 , x2 ). Consider the system


ut − (a1 (x, t)ux1 )x1 − (a2 (x, t)ux2 )x2 + b(x, t)u = f (x, t),

u(0, x2 , t) = u(1, x2 , t) = u(x1 , 0, t) = u(x1 , 1, t) = 0, (2.33)



u(x, 0) = v(x1 , x2 ).
We test our algorithm for dierent kinds of the initial onditions: 1) very smooth (Exam-
ple 2), 2) ontinuous but not smooth (Example 3) and 3) dis ontinuous (Example 4 and
Example 5). For the nite dieren e method for solving the dire t problem, we take the
spatial mesh size h = (0.02, 0.02) and the time mesh size ∆t = 0.02.
Example 2. In this example, we take
1
a1 (x, t) = 0.02[1 − (1 − t) cos(15πx1 ) cos(15πx2 )],
2
1
a2 (x, t) = 0.01[1 − (1 − t) cos(15πx1 ) cos(15πx2 )],
2
2 2
b(x, t) = x1 + x2 + 2x1 t + 1,
and the exa t solution
uexa t = sin(πx1 ) sin(πx2 ) × (1 − t/2).
After inserting the exa t solution to the system (2.33), we get the exa t initial ondition
v(x) = sin(πx1 ) sin(πx2 ),
52
and the right hand side
v(x) t 1−t
f (x, t) = − 1 − 0.06 1 − 1− cos(15πx1 ) cos(15πx2 )
2 2 2
t
− (x1 + x2 + 2x1 t + 1)(2 − t) − 0.075π 2(1 − )(1 − t)
2 2
2
× 2 cos(πx1 ) sin(πx2 ) sin(15πx1 ) cos(15πx2 )

− sin(πx1 ) cos(πx2 ) cos(15πx1 ) sin(15πx2 ) .
The numeri al results of re onstru ting the initial ondition v(x) for Example 2 are pre-
sented in Figure 2.2.
Exact function v Estimated function v
1 1
0.5 0.5
v(x)
v(x)
0 0
−0.5 −0.5
0.81 0.81
0.81 0.81
0.41 0.41
0.41 0.41
x 0.01 0.01 x 0.01 0.01

2 x 2 x
1 1
(a) (b)
Error
1
0.8
0.5 0.6
0 0.4
0.2
−0.5
0.81
0.81 0
0.41 exact sol.

0.41 appr. sol.
−0.2
x 0.01 0.01 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
2 x x2
1
( ) (d)
Figure 2.2: Example 2: Re onstru tion results: (a) exa t fun tion v ; (b) estimated one; ( ) point-wise error;
(d) the omparison of v|x1 =1/2 and its re onstru tion (the dashed urve: the exa t fun tion, the solid urve: the
estimated fun tion).
In the next examples we present our tests for re onstru ting nonsmooth initial onditions
v. We generate the examples by hoosing v

f = 0, then applying the splittingand setting
method for getting approximations to the exa t solution u. Taking numeri al solutions to
u(x, T ) as the data, we apply our algorithm for re onstru ting v . For solving the dire t
and inverse problems we use two dierent mesh sizes to avoid "inverse rime".
53
Example 3. In this example, v(x) is hosen as a multi-linear fun tion given by


 2x2 , if x2 ≤ 1/2 and x2 ≤ x1 and x1 ≤ 1 − x2 ,



2(1 − x ),
2 if x2 ≥ 1/2 and x2 ≥ x1 and x1 ≥ 1 − x2 ,
v(x) =

 2x1 , if x1 ≤ 1/2 and x1 ≤ x2 and x2 ≤ 1 − x1 ,



2(1 − x ),
1 otherwise,
the oe ients a1 (x, t), a2 (x, t) and b(x, t) are given as
1
a1 (x, t) = 0.02[1 − (1 − t) cos(15πx1 ) cos(15πx2 )],
2
1
a2 (x, t) = 0.01[1 − (1 − t) cos(15πx1 ) cos(15πx2 )],
2
2 2
b(x, t) = x1 + x2 + 2x1 t + 1.
The numeri al results for Example 3 are presented in Figure 2.3.
1 1
0.5 0.5
v(x)
v(x)
0 0
−0.5 −0.5
0.81 0.81
0.81 0.81
0.41 0.41
0.41 0.41
x 0.01 0.01 x 0.01 0.01

2 x 2 x
1 1
(a) (b)
Error
1
0.8
0.5 0.6
0 0.4
0.2
−0.5
0.81
0.81 0
0.41 exact sol.

0.41 appr. sol.
−0.2
x 0.01 0.01 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
2 x x2
1
( ) (d)
Figure 2.3:Example 3: Re onstru tion result: (a) exa t fun tion v ; (b) estimated one; ( ) point-wise error; (d) the
omparison of v|x1 =1/2 and its re onstru tion (the dashed urve: the exa t fun tion, the solid urve: the estimated
fun tion).
In Examples 4 and 5, we test the algorithm with the pie ewise onstant initial ondition
54
given by 
1, if 1/4 ≤ x1 ≤ 3/4 and 1/4 ≤ x2 ≤ 3/4,
v(x) =
0, otherwise .
Example 4. The oe ients a1 (x, t) = a2 (x, t) = b(x, t) = 10−2 .
The numeri al results for Example 4 are presented in Figure 2.4
1 1
0.5 0.5
v(x)
v(x)
0 0
−0.5 −0.5
0.81 0.81
0.81 0.81
0.41 0.41
0.41 0.41
x 0.01 0.01 x 0.01 0.01

2 x 2 x
1 1
(a) (b)
Error
1.2
1
1
0.8
0.5
0.6
0
0.4
−0.5 0.2
0.81
0.81 0
0.41 exact sol.
0.41 appr. sol.
−0.2
x2 0.01 0.01 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
x1 x2
( ) (d)
fun tion).
Example 5. The oe ients
a1 (x, t) = 0.02(1 − 0.5(1 − t) cos(15πx1 ) cos(15πx2 )),

a2 (x, t) = 0.01(1 − 0.5(1 − t) cos(15πx1 ) cos(15πx2 )),
b(x, t) = x21 + x22 + 2x1 t + 1.
Figure 2.5 shows the numeri al results for Example 5.
55
1 1
0.5 0.5
v(x)
v(x)
0 0
−0.5 −0.5
0.81 0.81
0.81 0.81
0.41 0.41
0.41 0.41
x 0.01 0.01 x 0.01 0.01

2 x 2 x
1 1
(a) (b)
Error
1.2
1
1
0.8
0.5
0.6
0
0.4
−0.5 0.2
0.81
0.81 0
0.41 exact sol.
0.41 appr. sol.
−0.2
x 0.01 0.01 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
2 x x2
1
( ) (d)
fun tion).
This hapter is written on the basis of the paper
[61℄ Oanh N.T.N., A splitting method for a ba kward paraboli equation with time-
dependent oe ients. Computers & Mathemati s with Appli ations 65(2013), 1728.
56
Chapter 3
Data assimilation by the integral

observations
In this hapter, we study the data assimilation problem of determining the initial ondition
v(x) in the Diri hlet problem (1.7)(1.9) from N integral observations li u = hi (t), t ∈
(τ, T ), τ ≥ 0, i = 1, 2, . . . , N regarded as generalization of pointwise spatial observations:
1
R
Suppose that we are given N nonnegative weight fun tions ωi ∈ L (Ω) with ω (x)dx > 0
Ω i
and we an observe u by
Z
li u(x, t) = ωi (x)u(x, t)dx = hi (t), t ∈ [τ, T ], i = 1, . . . , N.
Ω
It is required to re onstru t the initial ondition v from these observations. As in the
previous hapter, we reformulate this problem as a variational problem aims of minimizing
a mist fun tional. As the variational problem is ill-posed, we stabilize it by the Tikhonov
regularization method. It is proved that the regularized fun tional is Fré het dierentiable
and a formula for its gradient is derived via an adjoint problem. The variational prob-
lem is rst dis retized in spa e variables and the onvergen e results of the method are
proved. The problem is then fully dis retized and it is proved that the dis retized fun -
tional is Fré het dierentiable. A formula for its gradient is derived via a dis rete adjoint
problem and the onjugate gradient method is applied to numeri ally solve the dis retized
variational problem. Some numeri al examples are provided to show the e ien y of the
proposed algorithm.
57
As in the previous hapter, for the ease of reading, we rewrite the Diri hlet problem (1.7)
(1.9) with the new indexing:

 !

 ∂u Pn ∂ ∂u

 − aij (x, t) + b(x, t)u = f in Q,
 ∂t i,j=1 ∂xi ∂xj
(3.1)

 u|t=0 = v in Ω,



u = 0 on S.
We assume that the oe ients aij , b and the data f and v satisfy the onditions (1.1)(1.6).
The solution to this problem is understood in the weak sense of Denition 1.1.7. It has
been proved that under these onditions there exists a unique solution u ∈ W (0, T ; H01(Ω))
to (3.1).
Data assimilation: Suppose that v is not given and we have to re onstru t it from
the observation of the solution u to (3.1) from N integral observations li u = hi (t), t ∈

(τ, T ), τ ≥ 0, i = 1, 2, . . . , N , with
Z
li u(x, t) = ωi (x)u(x, t)dx = hi (t), t ∈ (τ, T ), i = 1, . . . , N. (3.2)
Ω
R
Here ωi ∈ L1 (Ω) with
Ω
ωi (x)dx > 0 are N given nonnegative weight fun tions.
Remark 3.1.1. If v ∈ H01 (Ω), aij , b ∈ C 1 ([0, T ]; L∞ (Ω)), i, j = 1, . . . , n and there exists
2
a onstant µ1 su h that |∂aij /∂t|, |∂b/∂t| ≤ µ1 , then the operator C maps v ∈ L (Ω) to
(l1 u(x, t; v), · · · , lN u(x, t; v)) is ompa t from L2 (Ω) to (L2 (τ, T ))N . Hen e the problem of
2 N
re onstru ting v from Cu(v) = (h1 , · · · , hN ) ∈ (L (τ, T )) is ill-posed.
Proof. If the ondition 2) of Theorem 1.1.1 is satised, then u ∈ H01,1 (Q). Therefore,
(l1 u(x, t; v), · · · , lN u(x, t; v)) ∈ (H 1 (τ, T ))N whi h is ompa tly embedded in (L2 (τ, T ))N .
2 2 N
Hen e, the operator C from L (Ω) to (L (τ, T )) is ompa t.
o
Now we analyze the degree of ill-posedness of this problem. We denote by u the solution
of the problem


 ∂u Pn ∂ ∂u

 − aij (x, t) + b(x, t)u = f in Q,
 ∂t i,j=1 ∂xi ∂xj
(3.3)

 u = 0 on S,



u|t=0 = 0 in Ω,
and u[v] the solution of the problem



 ∂u Pn ∂ ∂u

 − aij (x, t) + b(x, t)u = 0 in Q,
 ∂t i,j=1 ∂xi ∂xj
(3.4)

 u = 0 on S,



u|t=0 = v in Ω.
58
o
Then, u(v) = u[v] + u. Hen e
o o
li u(v) = li u[v] + li u = Ci v + li u (3.5)
where Ci v, i = 1, . . . , N mapping v to li u[v], i = 1, . . . , N are linear bounded operators
from L2 (Ω) to L2 (τ, T ).

Dene the linear operator
C = (C1 , . . . , CN ) : L2 (Ω) → (L2 (τ, T ))N ,

Cv = (C1 v, . . . , CN v) for v ∈ L2 (Ω),
where the s alar produ t in (L2 (τ, T ))N is dened by: if ~~1 = (~11 , . . . , ~1N ) and ~~2 =
PN
(~21 , . . . , ~2N ) are in (L2 (τ, T ))N , then (~~1 , ~~2 )(L2 (τ,T ))N = 1 2
i=1 (~i , ~i )L2 (τ,T ) . Hen e the
P
is dened by k~ k~i k2L2 (τ,T ) for ~~ = (~1 , . . . , ~N ) ∈
2 N
norm in (L (τ, T )) ~k2(L2 (τ,T ))N =
o
(L2 (τ, T ))N . Set ~i = hi − li u, i = 1, . . . , N and ~~ = (~1 , . . . , ~N ). Then the problem of
re onstru ting the initial ondition v in (3.1) from the observations (3.2) has the form
Cv = ~~. (3.6)
We introdu e now a variational method for solving the re onstru tion problem.
We denote u(x, t), u(x, t; v) or u(v), if there is no onfusion,

the solution to (3.1) by
to emphasise the dependen e of the solution u(x, t) on the initial ondition v . A natural
method for re onstru ting v from the observations li (u), i = 1, 2, . . . , N (3.2) is to minimize
the mist fun tional

N
1X
J0 (v) = kli u(v) − hi k2L2 (τ,T ) (3.7)
2 i=1
with respe t to v ∈ L2 (Ω).
Let v∗ be an a priori guess of v. We now ombine the above least squares problem with
Tikhonov regularization as follows: minimize the fun tional

N
γ ∗ 2
1X γ
Jγ (v) = J0 (v) + kv − v kL2 (Ω) = kli u(v) − hi k2L2 (τ,T ) + kv − v ∗ k2L2 (Ω) (3.8)
2 2 i=1 2
with respe t to v ∈ L2 (Ω) with γ being positive Tikhonov regularization parameter.
Sin e γ > 0, it is easily seen that the problem of minimizing Jγ (v) over L2 (Ω) has a unique
solution. Now we prove that Jγ (v) is Fré het dierentiable and derive a formula for its
gradient. In doing so, onsider the adjoint problem:




 ∂p P
n ∂ ∂p N
X

− − a (x, t) + b(x, t)p = ωi (li u − hi )χ(τ,T ) (t) in Q,
 ∂t i,j=1 ∂xi ij ∂xj i=1
(3.9)

p = 0 on S,



p(x, T ) = 0 in Ω,
where χ(τ,T ) (t) = 1, if t ∈ (τ, T ) and χ(τ,T ) (t) = 0, otherwise. The solution to (3.9) is
XN
understood in the weak sense of 1.2. Sin e ωi (li u − hi )χ(τ,T ) (t) ∈ L2 (Q), there exists
i=1
a unique solution p ∈ W (0, T ; H01(Ω)) to (3.9).
59
Theorem 3.1.1. The gradient ∇J0 (v) of the obje tive fun tional J0 (v) at v is given by
∇J0 (v) = p(x, 0), (3.10)
Proof. For a small variation δv of v, we have
N
X N
X
1 1
J0 (v + δv) − J0 (v) = kli u(v + δv) − hi k2L2 (τ,T ) − kli u(v) − hi k2L2 (τ,T )
i=1
2 i=1
2
XN N
X
1
= kli δu(v)k2L2(τ,T ) + hli δu(v), li u(v) − hi iL2 (τ,T )
i=1
2 i=1
XN
= hli δu(v), li u(v) − hi iL2 (τ,T ) + o(kδvkL2 (Ω) )
i=1
where δu(v) is the solution to the problem


 ∂δu − P
 n ∂ ∂δu

 aij (x, t) + b(x, t)δu = 0 in Q,
 ∂t i,j=1 ∂xi ∂xj
(3.11)

δu(x, t) = 0 on S,



δu(x, 0) = δv in Ω.
It follows from (3.2) that
N
X
J0 (v + δv) − J0 (v) = hli δu, li u − hi iL2 (τ,T ) + o(kδvkL2 (Ω) )
i=1
XN Z T Z
= ωi δudx li u − hi dt + o(kδvkL2 (Ω) )
i=1 τ Ω
(3.12)
XN Z T Z
= δuωi (li u − hi )dxdt + o(kδvkL2 (Ω) )
i=1 τ Ω
Z T Z N
X
= δu ωi (li u − hi )χ(τ,T ) (t)dxdt + o(kδvkL2(Ω) ).
0 Ω i=1
Using Green's fomula (1.22) (Theorem 1.2.1) for systems (3.9) and (3.11), we obtain
Z T Z N
X Z
δu ωi (li u − hi )χ(τ,T ) (t)dxdt = δvp(x, 0)dx. (3.13)
0 Ω i=1 Ω

Z
J0 (v + δv) − J0 (v) = δvp(x, 0)dx + o(kδvkL2(Ω) ) = hp(x, 0), δviL2 (Ω) + o(kδvkL2(Ω) ).
Ω
Consequently, J0 is Fré het dierentiable and
∇J0 (v) = p(x, 0).
60
From this result, we see that the fun tional Jγ (v) is also Fré het dierentiable and its
gradient ∇Jγ (v) has the form
∇Jγ (v) = p(x, 0) + γ(v − v ∗ ), (3.14)
Now we turn to the question of estimating the degree of ill-posedness of our re onstru ting
problem. Sin e Ci , i = 1, . . . , N, are dened by (3.5), from the above theorem we have
Ci∗ g = p†i (x, 0), where p†i is the solution to the adjoint problem


 ∂p†i Pn ∂ ∂p†i

− −
 ∂t i=1 ∂xi i a (x, t) + b(x, t)p†i = ωi (x)g̃(t) in Q,
∂xi
(3.15)

p†i = 0 on S,


p† (x, T ) = 0 in Ω
i
with g ∈ L2 (τ, T ) and g̃(t) = g(t) for t ∈ (τ, T ) and g̃(t) = 0, otherwise.
From (3.5), we have
N
1X
J0 (v) = kli u(v) − hi k2L2 (τ,T )
2 i=1
N
1X o
= kCi v − hi − li u k2L2 (τ,T )
2 i=1
1
= kCv − ~~k2(L2 (τ,T ))N .
2
Hen e
N
X
J0′ (v) = C (Cv − ~~) =
∗
Ci∗ (Ci v − ~i ).
i=1
o
If we take hi su h that hi = li u, then
N
X
J0′ (v) = C ∗ Cv = Ci∗ Ci v.
i=1
PN
Due to Theorem 3.10, C ∗ Cv = i=1 Ci∗ Ci v = p0 (x, 0), where p0 is the solution of the adjoint
problem


 ∂p0 P
n ∂ ∂p0 PN

 − − aij (x, t) + b(x, t)p 0
= i=1 ωi li u[v]χ(τ,T ) (t) in Q,
 ∂t i,j=1 ∂xi ∂xj
(3.16)

 p0 = 0 on S,


 0
p (x, T ) = 0 in Ω.
Thus, if v ∈ L2 (Ω) is given, we have the value C ∗ Cv = p0 (x, 0). However, an expli it form
∗
of C C is not available to analyze its eigenvalues and eigenfun tions. Despite this, when
we dis retize the problem, the nite-dimensional approximations Ch to C are matri es, and
61
so we an apply the Lan zos' algorithm [81℄ to estimates the eigenvalues of Ch∗ Ch based on
∗
the values Ch Ch vh . The numeri al simulation of this approa h will be given in 3.4.
Sin e the gradient of the fun tional Jγ (v) an be al ulated via the adjoint problem (3.9),
the onjugate gradient algorithm is appli able to approximating the initial ondition v as
follows [60℄. Let


−∇J (v k ) if k = 0,
γ
v k+1 = v k + αk dk , k
d = (3.17)
−∇Jγ (v k ) + β k dk−1 if k > 0,
where
k
k∇Jγ (v k )k2
β = , αk = argminα≥0 Jγ (v k + αdk ). (3.18)
k∇Jγ (v k−1)k2
From (3.5), we have
N
X 1 γ
k
Jγ (v + αd ) = k
kli u(v k + αdk ) − hi k2L2 (τ,T ) + kv k + αdk − v ∗ k2L2 (Ω)
i=1
2 2
XN
1 o γ
= kCi (v k + αdk ) + li u − hi k2L2 (τ,T ) + kαdk + v k − v ∗ k2L2 (Ω)
i=1
2 2
XN
1 γ
= kαCi dk + li u(v k ) − hi k2L2 (τ,T ) + kαdk + v k − v ∗ k2L2 (Ω) .
i=1
2 2
Hen e
XN XN
∂Jγ (v k + αdk ) k 2
=α kCi d kL2 (τ,T ) + hCi dk , li u(v k ) − hi iL2 (τ,T )
∂α i=1 i=1
+ γαkdk k2L2 (Ω) + γhdk , v k − v ∗ iL2 (Ω) .

∂J(v k + αdk )
Letting = 0, we obtain
∂α
P
N
hCi dk , li u(v k ) − hi iL2 (τ,T ) + γhdk , v k − v ∗ iL2 (Ω)
αk = − i=1
P
N
kCi dk k2L2 (τ,T ) + γkdk k2L2 (Ω)
i=1
P
N
hdk , Ci∗ (li u(v k ) − hi )iL2 (Ω) + γhdk , v k − v ∗ iL2 (Ω)
i=1
=−
P
N
i=1 (3.19)
P
N
hdk , Ci∗ (li u(v k ) − hi ) + γ(v k − v ∗ )iL2 (Ω)
i=1
=−
P
N
i=1
h∇Jγ (v k ), dk iL2 (Ω)

=− .
P
N
i=1
62
It follows from (3.17) that αk an be rewritten as


 h∇Jγ (v k ), −∇Jγ (v k )iL2 (Ω)

 −N , if k = 0,

 P

 k 2 k 2
 kCi d kL2 (τ,T ) + γkd kL2 (Ω)
αk = i=1
(3.20)

 h∇Jγ (v k ), −∇Jγ (v k ) + β k dk−1iL2 (Ω)

 − , if k > 0.

 PN

 k 2 k 2
kCi d kL2 (τ,T ) + γkd kL2 (Ω)

i=1
Therefore,
k
k∇Jγ (v k )k2L2 (Ω)
α = , k = 0, 1, 2, . . . (3.21)
P
N
i=1
3.2 Dis retization of the variational problem in spa e variable

Suppose that the rst equation of the Diri hlet problem (3.1) has no mixed derivative,
that is aij = 0 if i 6= j , and we denote aii by ai as in 1.4 and get the system (1.46).
Furthermore, we assume Ω is the open parallelepiped dened in 1.4.1. We dis retize this
problem by the nite dieren e method in spa e variables and get the system of ordinary
dierential equations (1.75).
Using the representation in Subse tion 3.1, we have the rst-order optimality ondition for
this problem as follows
∇Jγ (v) = C ∗ (Cv − ~~) + γ(v − v ∗ ) = p(x, 0) + γ(v − v ∗ ) = 0. (3.22)
We approximate the fun tional Jγ as follows. First, we approximate the fun tional li (v)
by
X
lih ū(v̄) = ∆h ω̄ik ūk (v̄), i = 1, . . . , N. (3.23)
k∈Ωh
ō
As in the ontinuous problem, we dene u by the solution to the Cau hy problem


 dū
+ (Λ1 + · · · + Λn )ū − F̄ = 0,
dt (3.24)

ū(0) = 0,
where F̄ is dened as in (1.75), and ū[v̄] the solution to the Cau hy problem


 dū
+ (Λ1 + · · · + Λn )ū = 0,
dt (3.25)

ū(0) = v̄.
Then,
ō X X ō k
lih ū(v̄) = lih ū[v̄] + lih u = ∆h ω̄ik ūk [v̄] + ∆h ω̄ik u , i = 1, . . . , N. (3.26)
k∈Ωh k∈Ωh
63
Hen e the operator Cih v̄˜ = lih ū[v̄] is linear and bounded from L2 (Ω) into L2 (τ, T ), for
i = 1, . . . , N . Furthermore, if p¯† is a solution to the Cau hy problem


 ¯
 d p†
+ (Λ1 + · · · + Λn )p¯† − Ḡ = 0,
dt (3.27)

p̄† (T ) = 0,
˜
with Ḡ = {ω̄ik g(t), k ∈ Ωh } where ω̄ik is dened in formula (1.67), then
∗
Cih g = p¯† (x, 0).
Thus, the dis retized version of C has the form Ch := (C1h , . . . , CN h ) and the fun tional Jγ
is now approximated as follows:
1 γ
Jγh (vh ) : = kChv̄˜ − ~~k2(L2 (τ,T ))N + kv̄ − v¯∗ k2L2 (Ω) (3.28)
2 2
N
1X γ
= kCih v̄˜ − ~i k2L2 (τ,T ) + kv̄ − v¯∗ k2L2 (Ω) . (3.29)
2 i=1 2
ō
Here, for simpli ity of notation, we again set ~i = hi −lih u. For this dis retized optimization
problem we have the rst-order optimality ondition
Ch∗ (Ch v̄ − ~~) + γ(v̄ − v¯∗ ) = 0. (3.30)
If we suppose that ondition 2) of Theorem 1.4.11 is satised, then kCh v̄ − Cvk(L2 (τ,T ))N and
kCh∗ v − CvkL2 (τ,T ) tend to zero as h tends to zero. Following Theorem 1.5.1 of Subse tion
1.5 we have the following result.
Theorem 3.2.1. Let ondition 2) of Theorem 1.4.11 be satised. Then the interpolation
v̄bhγ
of the solution v̄hγ of the problem (3.28) onverges to the solution v γ of the problem (3.8)
in L2 (Ω) as h tends to zero.
3.3 Full dis retization of the variational problem

To solve the variational problem numeri ally we need to dis retize the system (1.46) in time.
We use Crank-Ni olson's method in Se tion 1.3 and the splitting method in Subse tion
1.4.3. to get the s heme (1.111) or (1.112). Now, we dis retize the obje tive fun tional
J0 (v) as follows
N X M X
1X
J0h,∆t (v̄) := [ ω k uk,m(v̄) − hm 2
i ] , (3.31)
2 i=1 m=ℓ k∈Ω i
h
where ℓ is the rst index for whi h ℓ∆t > τ and uk,m (v̄) shows its dependen e on the initial
k k
ondition v̄ and m is the index of grid points on time axis. We denote ωi = ωi (x ) the
k
approximation of the fun tion ωi (x) in Ωh at points x , as dened by (1.67). We note that
h,∆t
in the denition of J0 the multiplier ∆h has been dropped as it plays no role.
To minimize J0h,∆t (v̄) by the onjugate gradient method, we rst al ulate its gradient.
Theorem 3.3.1. The gradient of J0h,∆t at v̄ is given by

∗ ∗
∇J0h,∆t (v̄) = A0 · · · Aℓ−1 η ℓ−1 , (3.32)
64
where η satises the adjoint problem

η m = (Am+1 )∗ η m+1 + P ω k [ P ω k um+1 (v̄) − hm+1 ],
N

i i i m = M − 1, M − 2, . . . , ℓ − 1,
i=1 k∈Ωh

η M = 0.
(3.33)
Here the matrix (A ) is given bym ∗
∆t m ∆t m −1 ∆t m ∆t m −1
(Am )∗ = (E1 − Λ1 )(E1 + Λ ) ...(En − Λn )(En + Λ )
4 4 1 4 4 n (3.34)
∆t m ∆t m −1 ∆t m ∆t m −1
× (En − Λn )(En + Λ ) ...(E1 − Λ1 )(E1 + Λ ) .
4 4 n 4 4 1
Proof. For a small variation δv̄ of v̄ ,we have from (3.31) that
N X M X N X M X
1X 1X
J0h,∆t(v̄ + δv̄)−J0h,∆t (v̄) = [ ωik uk,m (v̄+δv̄)−hm
i ] 2
− [ ω k uk,m(v̄)−hm
i ]
2
2 i=1 m=ℓ k∈Ω 2 i=1 m=ℓ k∈Ω i
h h
N X
X M X N X
X M X X
1 2
= ωik w k,m + ωik w k,m[ ωik uk,m(v̄)−hm
i ]
2 i=1 m=ℓ k∈Ωh i=1 m=ℓ k∈Ωh k∈Ωh
N X M X N X M X
1X X
k k,m 2
= ωi w + ωik w k,mψik,m
2 i=1 m=ℓ k∈Ω i=1 m=ℓ k∈Ω
h h
X M
N X X N X
X M
1 2
= ωik w k,m + (ωi w m , ψim ),
2 i=1 m=ℓ k∈Ωh i=1 m=ℓ
(3.35)
k,m k,m k,m k,m P
where v := u (v̄ + δv̄) − u (v̄) and ψi = ωik uk,m − hm
i , k ∈ Ωh , and the inner
k∈Ωh
produ t is that of RN1 ×...×Nn .
It follows from (1.111) that w is the solution to the problem

w m+1 = Am w m , m = 0, .., M − 1,
(3.36)
w 0 = δv̄.
Taking the inner produ t of the both sides of the mth equation of (3.36) with an arbitrary
m N1 ×...×Nn
ve tor η ∈R , summing the results over m = ℓ − 1, ..., M − 1, we obtain
M
X −1 M
X −1
m+1 m
(w ,η ) = (Am w m , η m )
m=ℓ−1 m=ℓ−1
(3.37)
M
X −1
∗
= (w m , Am η m ).
m=ℓ−1
∗
Here Am is the adjoint matrix of Am . Consider the adjoint problem

η m = (Am+1 )∗ η m+1 + PN ω ψ m+1 , m = M − 1, M − 2, . . . , ℓ − 1,
i=1 i i
(3.38)
η M = 0.
65
ve tor w m+1 , summing the results over m = ℓ − 1, ..., M − 1, we obtain
M
X −1 M
X −1 N
X M
X −1
m+1 m m+1 m+1 ∗ m+1
(w ,η ) = (w , (A )η )+ (w m+1 , ωi ψim+1 )
m=ℓ−1 m=ℓ−1 i=1 m=ℓ−1
(3.39)
M
X N X
X M
= (w m , (Am )∗ η m ) + (w m, ωi ψim ).
m=ℓ i=1 m=ℓ
From (3.37) and (3.39), we have
N X
X M
∗ ∗
(w m , ωi ψ m ) + (w M , AM η M ) = (w ℓ−1, Aℓ−1 η ℓ−1 )
i=1 m=ℓ
∗
= (Aℓ−2 w ℓ−2 , Aℓ−1 η ℓ−1)
(3.40)
= ···
∗
= (Aℓ−2 · · · A0 w 0 , Aℓ−1 η ℓ−1 )
∗ ∗
= (δv̄, A0 · · · Aℓ−1 η ℓ−1).
P
N P
M P 2
On the other hand, it an be proved by indu tion that ωik w k,m = o(kδv̄k).
i=1 m=ℓ k∈Ωh
M
Hen e, it follows from the ondition η = 0, (3.35) and (3.40) that
∗ ∗
J0∆t (v̄ + δv̄) − J0∆t (v̄) = (δv̄, A0 · · · Aℓ−1 η ℓ−1 ) + o(kδv̄k). (3.41)
Consequently, the gradient of the obje tive fun tion J0h an be written as
∂J0∆t (v̄) ∗ ∗
= A0 · · · Aℓ−1 η ℓ−1 . (3.42)
∂v̄
m
Note that, sin e the the matri es Λi , i = 1, ..., n are symmetri , we have for m = ℓ−
1, ..., M − 1
∆t m −1 ∆t m ∗
∗
(Am
i ) = (Ei + Λ ) (Ei − Λ )
4 i 4 i
∆t m ∗ ∆t m −1 ∗
= (Ei − Λ ) (Ei + Λ )
4 i 4 i
∆t m ∆t m −1
= (Ei − Λi )(Ei + Λ ) .
4 4 i
Hen e
(Am )∗ = (Am m m m ∗
1 ...An An ...A1 )
∗ m ∗ m ∗ m ∗
= (Am
1 ) ...(An ) (An ) ...(A1 )
∆t m ∆t m −1 ∆t m ∆t m −1 (3.43)
= (E1 − Λ1 )(E1 + Λ1 ) ...(En − Λn )(En + Λ )
4 4 4 4 n
∆t m ∆t m −1 ∆t m ∆t m −1
× (En − Λn )(En + Λn ) (E1 − Λ1 )(E1 + Λ ) .
4 4 4 4 1
The onjugate gradient method for the dis retized fun tional (3.31) onsists of the following
steps:
66
P
N
Step 1. Choose an initial approximation v0 and al ulate the residual r̂ 0 = [li u(v 0) − hi ]
i=1
by solving the splitting s heme (1.111) with v̄ being repla ed by the initial approximation
v0 and set k = 0.
Step 2. Cal ulate the gradient r 0 = −∇Jγ (v 0 ) given in (3.32) by solving the adjoint
problem (3.33). Then set d0 = r 0 .

Step 3. Cal ulate
kr 0 k2
α0 =
P
N
kli d0 k2 + γkd0 k2
i=1
0
where li d an be al ulated from the splitting s heme (1.111) with v̄ being repla ed by d0
and F = 0. Then, set
v 1 = v 0 + α 0 d0 .
Step 4. For k = 1, 2, · · · , al ulate r k = −∇J0 (v k ), dk = r k + β k dk−1 , where
kr k k2
βk =
kr k−1 k2
Step 5. Cal ulate αk
k
kr k k2
α =
P
N
kli dk k2 + γkdk k2
i=1
k
where li d an be al ulated from the splitting s heme (1.111) with v̄ being repla ed by dk
and F = 0. Then, set
v k+1 = v k + αk dk .
3.4 Numeri al example

To illustrate the e ien y of the proposed algorithm, we present in this se tion some nu-
meri al results. We test our algorithm for 1) very smooth initial, 2) for ontinuous, but
not smooth, and 3) for dis ontinuous initial onditions. Thus, the degree of di ulties
in reases with examples. We note that although in the theory we only prove the onver-
gen e of our dieren e s heme for smooth initial onditions, it works for other ases as our
numeri al examples show. Also, we vary the observation points as well as time interval of
observations. The results for the one-dimensional ase with approximate singular values
will be presented in Examples 14, respe tively. The results for two-dimensional ases will
be given in Examples 57.
67
3.4.1. One-dimensional numeri al examples
Set Ω = (0, 1), the nal time T = 1, the grid size to be 0.02 and the random noise is 0.01.
The one-dimensional system has the form:


ut − (a(x, t)ux )x + b(x, t)u = f (x, t),
 in Q,
u(0, t) = u(1, t) = 0, t ∈ (0, T ], (3.44)



u(x, 0) = v(x), in Ω.
In the all tests for this ase, we set the oe ients
a(x, t) = x2 t + 2xt + 1,
b(x, t) = 0.
We take N=3 observations of the form (3.2) with weight fun tions ωi (x), i = 1, 2, 3 are
hosen as follows

1 if x ∈ (xi − ǫ, xi + ǫ)
2ǫ
ωi (x) = with ǫ = 0.01 (3.45)
0 otherwise
where x1 = 0.1, x2 = 0.5 and x3 = 0.9

Example 1. Following 3.1, we denote the solution to the system (3.44) with v ≡ 0 by
o o o o
u. Then the operator C dened by Cv = (l1 (u − u), l2 (u − u), l2 (u − u)) is bounded and
2 2 3
linear from L (Ω) to (L (τ, T )) . The result of approximate singular values of the solution
operator obtained by our method des ribed in 3.1 for dierent τ are given in Figure 3.1.
0
10
τ=0
−2 τ=0.3
10
τ=0.5
−4
τ=0.9
10
−6
10
−8
10
−10
10
−12
10
−14
10
−16
10
−18
10
−20
10
0 5 10 15 20 25 30 35 40 45 50 55
Figure 3.1: Example 1. Singular values: three observations and various time intervals of observations.
68
From these singular values we see that our inverse problem is severely ill-posed and the
ill-posedness depends on the time interval of observations: the less observation time is, the
more ill-posed the problem is.
Now we show numeri al results for re onstru ting dierent initial onditions with dierent
time intervals of observations and dierent positions for observations.
Example 2. We set the exa t solution to system (3.44) as follows
uexa t = et sin(2πx).
Hen e, the exa t initial ondition is given by v(x) = sin(2πx). The right hand side
f (x, t) = (1 + 4π 2 (x2 t + 2xt + 1))et sin(2πx) − 2πet (2xt + 2t) cos(2πx).
We hoose τ = 0, the regularization parameter is hosen to be γ = 5 × 10−3 . The re on-
stru tion result and the exa t initial ondition v for various positions of observations are
shown in Figure 3.2.
Comparison Comparison
exact sol. exact sol.

1 approx. sol. 1 approx. sol.
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
−0.2 −0.2
−0.4 −0.4
−0.6 −0.6
−0.8 −0.8
−1 −1
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1

x x
(a) (b)

1 approx. sol. 1 approx. sol.
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
−0.2 −0.2
−0.4 −0.4
−0.6 −0.6
−0.8 −0.8
−1 −1
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1

x x
( ) (d)
Figure 3.2: Example 2: Re onstru tion results for (a) 3 uniform observation points in (0, 0.5), error in L2 -norm
= 0.006116; (b) 3 uniform observation points in (0.5, 1), error in L2 -norm = 0.006133; ( ) 3 uniform observation
points in (0.25, 0.75), the error in L2 -norm = 0.0060894; (d) 3 uniform observation points in Ω, the error in L2 -norm
= 0.0057764 .
69
The numeri al results show that the quality of the re onstru tion depends on the positions
of the observations and is better when the observations are uniformly distributed in Ω.
Example 3. In this example, the initial ondition is hosen to be the same as Example
1, and regularization parameter is also γ = 5 × 10−3 , but the starting time for observation
is taken to be τ = 0.01, τ = 0.05, τ = 0.1 and τ = 0.3. The omparison of re onstru tion
results is displayed in Figure 3.3.

1 appr. sol. 1 appr. sol.
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
−0.2 −0.2
−0.4 −0.4
−0.6 −0.6
−0.8 −0.8
−1 −1
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1

x x
(a) (b)

1 appr. sol. 1 appr. sol.
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
−0.2 −0.2
−0.4 −0.4
−0.6 −0.6
−0.8 −0.8
−1 −1
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1

x x
( ) (d)
Figure 3.3: Re onstru tion result of Example 3: (a) τ = 0.01 ; (b) τ = 0.05; ( ) τ = 0.1; (d) τ = 0.3.
70
Table 1 shows the relation between the starting point of observation τ and the error in the
2
L -norm of the algorithm when the number of observations is N = 3 and the regularization
−3
parameter is γ = 5 × 10 .
Starting point τ Error in L2 norm
τ = 0.01 0.0084225
τ = 0.05 0.0226540
τ = 0.1 0.0388760
τ = 0.15 0.0405540
τ = 0.2 0.0622210
τ = 0.3 0.1015000
τ = 0.5 0.1798100
Number of observations N = 3; regularization parameter γ = 5 × 10−3
Table 3.1: Example 3: Behavior of the algorithm with dierent starting points of observation τ .
We now test the algorithm for nonsmooth initial onditions. In Examples 3 and 4, we
hoose v, set f = 0, and solve the dire t problem by the Crank-Ni olson method to nd
an approximation to the exa t solution u, then use these data for re onstru ting the exa t
initial ondition v. Here, we use dierent mesh-sizes for the dire t solvers to avoid "inverse
rime".
Example 4. In this example, the initial ondition is given by


2x, if x ≤ 0.5,
v(x) =
2(1 − x), otherwise .
The regularization parameter and the starting time τ are hosen to be the same as Example
1. The omparison of re onstru tion results is displayed in Figure 3.4.
71

appr. sol. appr. sol.
1 1
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
−0.2 −0.2
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
x x
(a) (b)

1 1
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
−0.2 −0.2
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
x x
( ) (d)
Example 5. In this example, the initial ondition is given by


1, if 0.25 ≤ x ≤ 0.75,
v(x) =
0, otherwise .
The regularization parameter and the starting time τ are hosen to be the same as Example
1. The omparison of re onstru tion results is displayed in Figure 3.5.
72
1 1
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
−0.2 −0.2
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
x x
(a) (b)
1 1
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
−0.2 −0.2
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
x x
( ) (d)
3.4.2. Two-dimensional numeri al examples

SetΩ = (0, 1) × (0, 1), T = 1, the grid sizes 0.02 and the random noise 0.01. Set further
x = (x1 , x2 ). The problem Diri hlet problem has the form



ut − (a1 (x1 , x2 , t)ux1 )x1 − (a2 (x1 , x2 , t)ux2 )x2 + b(x1 , x2 , t)u = f (x1 , x2 , t)
 in Q,
u(x1 , 0, t) = u(x1 , 1, t) = u(0, x2 , t) = u(1, x2 , t) = 0, 0 ≤ x1 , x2 ≤ 1, t ∈ (0, T ],



u(x1 , x2 , 0) = v(x1 , x2 ) in Ω.
(3.46)
1
For the tests we take a1 (x, t) = a2 (x, t) = 0.5[1 − 2
(1 − t) cos(3πx1 ) cos(3πx2 )] and b(x, t) =
x21 + x22 + 2x1 t + 1.
The weight fun tions ωi (x) are hosen as follows

1 if x ∈ (xi1 − ǫ, xi1 + ǫ) × (xi2 − ǫ, xi2 + ǫ)
2ǫ
ωi (x) = with ǫ = 0.01. (3.47)
0 otherwise
As said in the Introdu tion the operators li dened by (3.2) with these weight fun tions an
be regarded as "pra ti al" point-wise observations. We shall test our algorithm for dierent
distributions of xi : they will taken either in the whole Ω or in a part of it: (0, 0.5) ×(0, 0.5),
73
(0.5, 1) × (0, 0.5), (0.5, 1) × (0.5, 1) or (0, 0.5) × (0.5, 1). The number of observation N will
be taken either 4 or 9.
Example 6. We test algorithm for the smooth initial ondition given by v(x) = sin(πx1 ) sin(πx2 )
and u(x, t) = (1 − t)v(x). The sour e term f is thus given by

f (x, t) = − v(x) 1 − (1 − t) π 2 + 0.5π 2 cos(3πx1 ) cos(3πx2 ) − (x21 + x22 + 2x1 t + 1)
+ 0.75π 2 (1 − t)2 ×

sin(3πx1 ) cos(3πx2 ) cos(πx1 ) sin(πx2 ) + cos(3πx1 ) sin(3πx2 ) sin(πx1 ) cos(πx2 ) .
The measurement is taken at 9 points, the regularization parameter is set to be γ = 5×10−3 .

The re onstru tion result and the exa t initial ondition v are shown in Figure 3.6. The
Exact solution
Approximation solution
1
1
0.5
0.5
0
0
−0.5 −0.5
50
0.79 40 50
0.79 30 40
0.39 20 30
0.39 20
10 10
x2 −0.01 −0.01 0 0
x1 x x1
2
(a) (b)
Error
0.6
0.8
0.4
0.6
0.2
0.4
0
0.2
−0.2
50
40 50 0
30 40
20 30 exact sol.
20 appr. sol.
10 10 −0.2
x2 0 0 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
x1 x2
( ) (d)
Figure 3.6: Example 6. Re onstru tion results: (a) Exa t initial ondition v ; (b) re onstru tion of v ; ( ) point-wise
error; (d) the omparison of v|x1 =1/2 | and its re onstru tion .
algorithm stops after 38 iterations and omputational time is 87.496271 se onds and the
2
error in L -norm is 0.02346. The behavior of the algorithm when observation regions and
number of observations vary is shown in Tables 2 and 3. We an see that the more number
of observations we take, the more a ura y we have.
74
Observation region Iteration Error in L2 norm
(0, 0.5) × (0, 0.5) 17 0.028807
(0.5, 1) × (0, 0.5) 15 0.028366
(0.5, 1) × (0.5, 1) 15 0.028147
(0, 0.5) × (0.5, 1) 17 0.028395
(0, 1) × (0, 1) 17 0.027934
Number of observations N = 4; regularization parameter γ = 5 × 10−3 .
Table 3.2:Example 6: Behavior of the algorithm when the number of observations and the positions of observations
vary (N = 4).
Observation region Iteration Error in L2 norm
(0, 0.5) × (0, 0.5) 29 0.024127
(0.5, 1) × (0, 0.5) 25 0.024503
(0.5, 1) × (0.5, 1) 32 0.024667
(0, 0.5) × (0.5, 1) 25 0.025325
(0, 1) × (0, 1) 22 0.023887
Number of observations N = 9; regularization parameter γ = 5 × 10−3
Table 3.3:Example 6: Behavior of the algorithm when the number of observations and the positions of observations
vary (N = 9).
Now we test the algorithm for nonsmooth initial onditions. In Examples 7 and 8, we
hoose v and set f = 0, then use the splitting method to nd an approximation to the
solution u. After that we use the obtained data to test our algorithm.
Example 7. In this example, we hoose 9 observations, set the regularization parameter

−3
γ = 5 × 10 and v a multi-linear fun tion given by


 2x2 if x2 ≤ 1/2 and x2 ≤ x1 and x1 ≤ 1 − x2 ,



2(1 − x ) if x ≥ 1/2 and x ≥ x and x ≥ 1 − x ,
2 2 2 1 1 2
v(x) =

 2x1 if x1 ≤ 1/2 and x1 ≤ x2 and x2 ≤ 1 − x1 ,



2(1 − x ) otherwise .
1
The re onstru tion results and the exa t initial ondition v are shown in Figure 3.7. The
algorithm stops after 45 iterations and the omputational time is 103.394200 se onds and
the error in L2 -norm is 0.024959.
75
Exact solution
1
1
0.5
0.5
0
0
−0.5 −0.5
50
0.79 40 50
0.79 30 40
0.39 20 30
0.39 20
10 10
x2 −0.01 −0.01 0 0
x1 x x1
2
(a) (b)
Error
0.6
0.8
0.4
0.6
0.2
0.4
0
0.2
−0.2
50
40 50 0
30 40
20 30 exact sol.
20 appr. sol.
10 10 −0.2
x2 0 0 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
x1 x2
( ) (d)
error; (d) the omparison of v|x1 =1/2 | and its re onstru tion.
Example 8. We test the algorithm with the pie ewise onstant initial ondition

1 if 1/4 ≤ x1 ≤ 3/4 and 1/4 ≤ x2 ≤ 3/4,
v(x) =
0 otherwise .
The algorithm stops after 100 iterations and the omputational time is 109.423362 se onds
2
and the error in L -norm is 0.033148. The re onstru tion results and the exa t initial
ondition v are shown in Figure 3.8.
76
Exact solution
1
1
0.5
0.5
0
0
−0.5 −0.5
50
0.79 40 50
0.79 30 40
0.39 20 30
0.39 20
10 10
x2 −0.01 −0.01 0 0
x1 x x1
2
(a) (b)
Error
0.6
0.8
0.4
0.6
0.2
0.4
0
0.2
−0.2
50
40 50 0
30 40
20 30 exact sol.
20 appr. sol.
10 10 −0.2
x2 0 0 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
x1 x2
( ) (d)
error; (d) the omparison of v|x1 =1/2 | and its re onstru tion.
tions from integral observations. Inverse Problems in S ien e and Engineering (to appear)
doi: 10.1080/17415977.2016.1229778.
77
Chapter 4
Data assimilation by the boundary

observations
v(x) in the
In this hapter, we study the data assimilation of estimating the initial ondition
Neumann problem (1.7), (1.8), (1.10) from the boundary observation u|Σ = ϕ(ζ, t), (ζ, t) ∈
Σ = Γ × (0, T ), Γ ⊂ ∂Ω. We reformulate it as a variational problem of minimizing a mist

fun tional. As the variational problem is ill-posed, we stabilize it by the Tikhonov regular-
ization method. It is proved that the regularized fun tional is Fré het dierentiable and a
formula for its gradient is derived via an adjoint problem. The variational problem is rst
dis retized in spa e variables and the onvergen e results of the method are proved. The
problem is then fully dis retized and it is proved that the dis retized fun tional is Fré het
dierentiable. A formula for its gradient is derived via a dis rete adjoint problem and
the onjugate gradient method is applied to numeri ally solve the dis retized variational
problem. Some numeri al examples are provided to show the e ien y of the proposed
algorithm.

We re all the Neumann problem (1.7), (1.8), (1.10) in this hapter with new indexing for
the ease of reading:

n
∂u X ∂ ∂u
− aij (x, t) + b(x, t)u = f in Q, (4.1)
u|t=0 = v in Ω, (4.2)
∂u
= g, on S, (4.3)
∂N
where
X n
∂u
|S := (aij (x, t)uxj ) cos(ν, xi )|S ,
∂N i,j=1
ν is the outer normal to S.
78
The solution to this problem is a fun tion u ∈ W (0, T ; H 1(Ω)) satisfying Denition 1.1.8.
If the onditions (1.1)(1.6) are satised, then Theorem 1.1.2 shows that there exists a
unique solution u ∈ W (0, T ; H 1(Ω)) to the Neumann problem (4.1)(4.3).
Data assimilation: Re onstru t the initial ondition v(x) in (4.1)(4.3) from the obser-
vations of the solution u on a part of the boundary S. Namely, let Γ ⊂ ∂Ω and denote
Σ = Γ × (0, T ). Our aim is to re onstru t the initial ondition v from the impre ise
2
measurement ϕ ∈ L (Σ) of the solution u on Σ:
ku|Σ − ϕkL2 (Σ) ≤ ǫ. (4.4)
From now on, as in the previous hapters, to emphasize the dependen e of the solution
u in (4.1)(4.3) on the initial ondition v, we denote it by u(v) or u(x, t; v). Denote
Cu(v) = u(v)|Σ , we thus have to solve the operator equation
Cu(v) = ϕ. (4.5)
Remark 4.1.1. To see the ill-posedness of the problem, note that if the ondition 2) of
Theorem 1.1.2 is satised, then u ∈ H 1,1 (Q). Hen e the operator mapping v to u|Σ is
ompa t from L2 (Ω) to L2 (Σ). Thus, the problem of re onstru ting v from u|Σ is ill-posed.
To hara terize the degree of ill-posedness of this problem, denote the solution to the
o
problem (4.1)(4.3) with v ≡ 0 by u and denote the solution to the problem (4.1)(4.3)
with f ≡ 0, g ≡ 0 by u0 . Then, the operator

o
Cv = Cu − C u (4.6)
fromL2 (Ω) to L2 (Σ) is linear and the problem (4.5) is redu ed to solving the linear equation
o
Cv = ϕ − C u. We thus have to analyze the singular values of C . In doing so, let introdu e
the variational method for solving the problem (4.5).
We reformulate the re onstru tion problem as the least squares problem of minimizing the
fun tional
1
J0 (v) = ku(v) − ϕk2L2 (Σ) (4.7)
2
over L2 (Ω). As this minimization problem is unstable, we minimize its Tikhonov regular-
ized fun tional

1 γ
Jγ (v) = ku(v) − ϕk2L2 (Σ) + kv − v ∗ k2L2 (Ω) (4.8)
2 2
over L2 (Ω) with γ > 0 the regularization parameter, v ∗ an estimation of v whi h an be
set by zero.
Now we prove that Jγ is Fré het dierentiable and derive a formula for its gradient. In
doing so, we introdu e the adjoint problem




 ∂p Pn ∂ ∂p

 − − aij (x, t) + b(x, t)p = 0 in Q,

 ∂t i,j=1 ∂xj ∂xi
∂p (4.9)

 = u(v) − ϕ χΣ on S,

 ∂N


p(x, T ) = 0 in Ω,
79
where χΣ (ξ, t) = 1 if (ξ, t) ∈ Σ and zero otherwise.
The solution of this problem is understood in the weak sense of 1.2. Sin e u(v)|Σ − ϕ ∈
2 1
L (Σ), we see that there exists a unique solution in W (0, T ; H (Ω)) to (4.9).
Lemma 4.1.1. The fun tional Jγ is Fré het dierentiable and
∇Jγ (v) = p(x, 0) + γ(v(x) − v ∗ (x)), (4.10)
Proof. For a small variation δv of v, we have
1 1
J0 (v + δv) − J0 (v) = ku(v + δv) − ϕk2L2 (Σ) − ku(v) − ϕk2L2 (Σ)
2 2
1
= kδu(v)k2L2(Σ) + hδu(v), u(v) − ϕiL2 (Σ)
2
= hδu(v), u(v) − ϕiL2 (Σ) + o(kδvkL2 (Ω) )
ZZ
= δu(v) u(v) − ϕ dsdt + o(kδvkL2 (Ω) )
Σ
where δu is the solution to the problem



 P n ∂ ∂δu

δut − ai (x, t) + b(x, t)δu = 0 in Q,


 i,j=1 ∂xi ∂xj
∂δu (4.11)

 = 0 on S,

 ∂N


δu(x, 0) = δv in Ω.
Using Green's formula (1.25) (Theorem 1.2.2) for (4.9) and (4.11), we have
ZZ Z
δu u(v) − ϕ dsdt = δvp(x, 0)dx.
Σ Ω
Hen e
Z
J0 (v + δv) − J0 (v) = δvp(x, 0)dx + o(kδvk) = hp(x, 0), δviL2(Ω) + o(kδvkL2 (Ω) ).
Ω
Consequently, the fun tional J0 is Fré het dierentiable and
∇J0 (v) = p(x, 0).
From this result, we see that the fun tional Jγ (v) is also Fré het dierentiable and its
gradient ∇Jγ (v) has the form (4.10). The proof is omplete.
Now we return to hara terizing the degree of ill-posedness of the problem (4.5). Sin e
1
J0 (v) = ku(v)|Σ − ϕk2L2 (Σ)
2
1 o
= kCv − (ϕ − u|Σ )k2L2 (Σ) .
2
80
o
If in this formula we take ϕ = u|Σ , then
J0′ (v) = C ∗ Cv. (4.12)
Due to Proposition 4.1.1 we have C ∗ Cv = p† (x, 0), where p† is the solution to the adjoint
problem 

 ∂p† P n ∂ ∂p†

− − a (x, t) + b(x, t)p† = 0 in Q

 ∂t ∂x
ij
∂x
 i,j=1 j i
†
∂p (4.13)

 = u0 (v)χΣ on S,

 ∂N


p† (x, T ) = 0 in Ω.
Thus, for any v ∈ L2 (Ω) we an evaluate C ∗ Cv by solving the dire t problem (4.1)(4.3) and
∗
the adjoint problem (4.13). However, the expli it form for C C is not available. As in the
previous hapters, when we dis retize the problem, the nite-dimensional approximations
Ch to C are matri es, and so we an apply the Lan zos' algorithm [81℄ to estimates the
eigenvalues of Ch∗ Ch based on its values Ch∗ Ch v . We will present some numeri al results in
Se tion 4.4.
We note that when Σ ≡ S Lions [50, p. 216219℄ suggested the following variational
method. Consider two boundary value problems
n
∂u1 X ∂ ∂u1
− aij (x, t) + b(x, t)u1 = f in Q, (4.14)
∂t i,j=1
∂xi ∂xj
u1 = h on S, (4.15)
u1 |t=0 = v in Ω, (4.16)
and
n
∂u2 X ∂ ∂u2
− aij (x, t) + b(x, t)u2 = f in Q, (4.17)
∂t i,j=1
∂xi ∂xj
∂u2
=g on S, (4.18)
∂N
u2 |t=0 = v in Ω, (4.19)
then minimize the fun tional
1
JL0 (v) = ku1 (v) − u2 (v)k2L2 (Q) (4.20)
2
over L2 (Ω). As this variational problem has the ill-posed nature of the original problem
we regularize it by minimizing the Tikhonov fun tional
γ
JLγ (v) = JL0 (v) + kv − v ∗ k2L2 (Ω) . (4.21)
2
In this setting, the solution of the Diri hlet problem (4.14)(4.16) is understood in a om-
mon sense: hoose a fun tion Φ ∈ H 1,1 (Q) su h that Φ|S = h, then ũ1 = u1 − Φ satises a
new homogeneous Diri hlet problem with the new right hand side f˜ and initial ondition
81
ṽ . The fun tion ũ1 ∈ W (0, T ; H01(Ω)) is said to be a weak solution to this homogeneous
Diri hlet problem, if
Z ZZ X
n
T ∂ ũ1 ∂η
(ũ1t , η)H −1 (Ω),H01 (Ω) dt + aij (x, t) + b(x, t)ũ1 η dxdt
0 Q i,j=1
∂xi ∂xj
Z T Z
= f˜ηdxdt, ∀η ∈ L2 (0, T ; H01(Ω))
0 Ω
and
ũ1 |t=0 = ṽ in Ω. (4.22)
If h is regular enough, there exists a unique solution ũ1 to the homogeneous Diri hlet
problem and thus, there exists a unique solution u1 ∈ W (0, T ; H 1(Ω)) to (4.14)(4.16).
Sin e u1 and u2 belong to W (0, T ; H 1(Ω)) we an modify Lions' method as follows: mini-
mize the fun tional
n ZZ
λ1 1 2 2
λ2 X
MJL0 (v) = ku (v) − u (v)kL2 (Q) + aij (u1 (v) − u2 (v))xi (u1 (v) − u2 (v))xj dxdt,
2 2 i,j=1 Q
(4.23)
with λ1 and λ2 being non-negative and λ1 + λ2 > 0 .

The fun tional MJLγ is Fré het dierentiable and its gradient an be represented via two
adjoint problems


 ∂p1 P n ∂ ∂p1

 − − aij (x, t) + a(x, t)p1 =

 ∂t i,j=1 ∂x i ∂xj

 Pn
1 2 1 2
λ1 (u (v) − u (v)) + λ2 i,j=1 aij u (v) − u (v) xj in Q, (4.24)
 xi

 1

 p = 0 on S,


 1
p (x, T ) = 0 in Ω,
and


 ∂p2 P n ∂ ∂p2

 − − aij (x, t) + b(x, t)p2 =

 ∂t ∂x ∂x
 i,j=1 i j


 1 2
Pn 1 2

λ (u (v) − u (v)) + λ
1 a 2 i,j=1 ij u (v) − u (v) xj
in Q,
xi (4.25)

 ∂p2 ∂(u1 (v) − u2 (v))



 = λ 2 on S,

 ∂N ∂N

p2 (x, T ) = 0 in Ω.
Lemma 4.1.2. The fun tional MJL0 is Fré het dierentiable and its gradient has the
form
MJL′0 (v) = p1 (x, 0) − p2 (x, 0). (4.26)
Lions' method is a subje t of another independent resear h, we therefore do not pursuit it
in this thesis.
82
4.2 Dis retization of the variational method in spa e variables
We now turn to approximating the minimization problem (4.8). Due to the previous
Se tion 4.1,
1 o γ
Jγ (v) = kCv − (ϕ − u|Σ )k2L2 (Σ) + kv − v ∗ k2L2 (Ω)
2 2
and
o

Jγ′ (v) = C ∗ Cv − (ϕ − u|Σ ) + γ(v − v ∗ ) = p(x, 0) + γ(v − v ∗ ),
where Cv = u0(v)|Σ and p is the solution to the adjoint problem (4.13). Thus, the optimality
ondition is
o

C ∗ Cv − (ϕ − u|Σ ) + γ(v − v ∗ ) = p(x, 0) + γ(v − v ∗ ) = 0. (4.27)
Denote by Ch v = û0h |Σ we have that kCv − Ch vkL2 (Σ) tends to zero as h tends to zero. The
dis rete version of the fun tional (4.8) is
1 oˆ γ
Jγh (v) = kCh v − (ϕ̂h − uh |Σ )k2L2 (Σ) + kv̂h − v̂h∗ k2L2 (Ω)
2 2
for whi h we have the rst-order optimality ondition
oˆ

Ch∗ Ch v − (ϕ̂h − uh |Σ ) + γ(v̂h − v̂h∗ ) = 0. (4.28)
We note that to evaluate Ch∗ we have to solve the orresponding dis retized adjoint problem,
1,1
but the Neumann ondition in the adjoint problem (4.13) does not belong to H (S),
therefore p is not in H
1,1
(Q), hen e we do not have the strong onvergen e of Ch z to C ∗ z
∗
2
in L (Ω). However, when we dis retize (4.13) we have to mollify the Neumann data by
the onvolution with Steklov's kernel [40℄, therefore we have a new approximate data in
H 1,1 (S). Sin e the solution of the adjoint problem (4.13) is stable with respe t to the
data, the solution of the adjoint problem with mollied data p̄ approximates the solution
p of (4.13). Now we apply the above nite dieren e s heme to the adjoint problem with
mollied data to get its multi-linear interpolation p̄ˆh su h that p̄ˆh → p̄ in L2 ([0, T ], L2(Ω))
ˆh (t) → p̄(t) weakly in H 1 (Ω) for all t ∈ [0, T ]. Thus, in this way, instead of the
and p̄
∗
adjoint operator Sh , we dened an approximation C ˆ∗ of C for whi h kC ∗ z − Cˆ∗ zkL2 (Ω) tends
h h h
to zero for all z being multi-linear interpolations on Ωh .
Let v̂hγ be the solution of the variational problem
oˆ

Cˆh∗ Ch v − (ϕ̂h − uh |Σ ) + γ(v̂h − v̂h∗ ) = 0. (4.29)
Following Se tion 1.5 we an prove the following result.
Proposition 4.2.1. Let v γ be the solution of the variational problem (4.27) and γ > 0.
Then v̂hγ onverges to v γ in L2 (Ω) as h tends to zero.
83
4.3 Full dis retization of the variational problem and the onju-
gate gradient method
In this se tion, we onsider the problem of estimating the dis rete initial ondition v̄ from
the dis rete measurement of the solution on the boundary of the domain. The fully dis-
retized version of Jγ has the form
M
1XX
J0h,∆t (v̄) := [uk,m(v̄) − ϕk,m]2 . (4.30)
2 m=1 k∈Γh
For minimizing the problem (4.30) by the onjugate gradient method, we rst al ulate
h,∆t
the gradient of obje tive fun tion J0 (v̄) and it is shown by the following theorem
Theorem 4.3.1. The gradient of J0h,∆t at v̄ is given by
∗
∇J0h,∆t (v̄) = A0 η 0 , (4.31)
where η = (η 0 , . . . , η M ) satises the adjoint problem


 m m+1 ∗ m+1
+ ψ m+1 , m = M − 2, M − 3 . . . , 0,
η = (A
 )η
η M −1 = ψ M , (4.32)


 M
η = 0,
with
ψ m = {ψ k,m := uk,m(v̄) − ϕk,m, k ∈ Γh }, m = 0, 1, . . . , M
and the matri es (Am )∗ and (B m )∗ being given by
∆t m ∆t m −1 ∆t m ∆t m −1
(Am )∗ = (E1 − Λ1 )(E1 + Λ1 ) ...(En − Λn )(En + Λ )
4 4 4 4 n
∆t m ∆t m −1 ∆t m ∆t m −1
× (En − Λn )(En + Λn ) ...(E1 − Λ1 )(E1 + Λ ) , (4.33)
4 4 4 4 1
∆t m ∆t m −1 ∆t m ∆t m −1
(B m )∗ = (En − Λn )(En + Λn ) ...(E1 − Λ1 )(E1 + Λ ) .
4 4 4 4 1
Proof. For a small variation δv̄ of v̄ , we have from (4.30) that
J0h,∆t (v̄ + δv̄) − J0h,∆t (v̄)

M M
1XX k,m k,m 2
1XX
= [u (v̄ + δv̄) − ϕ ] − [uk,m (v̄) − ϕk,m ]2
2 k∈Γ m=1 2 k∈Γ m=1
h h
M 2 M
1XX XX
= w k,m + w k,m(uk,m(v̄) − ϕk,m )
2 k∈Γ m=1 k∈Γh m=1 (4.34)
h
M 2 X XM
1XX k,m
= w + w k,mψ k,m
2 m=1 m=1
k∈Γh k∈Γh
M 2 XM
1XX
= w k,m + hw m , ψ m i,
2 k∈Γ m=1 m=1
h
84
where w m = {w k,m := uk,m(v̄ + δv̄) − uk,m (v̄), k ∈ Γh } and ψ m = {ψ k,m := uk,m(v̄) −
ϕk,m, k ∈ Γh }, m = 0, 1, . . . , M.
It follows from (1.111) that w is the solution to the problem

w m+1 = Am w m , m = 0, .., M − 1,
(4.35)
w 0 = δv̄.
Taking the inner produ t of the both sides of the mth equation of (4.35) with an arbitrary
m N1 ×...×Nn
ve tor η ∈R and then summing the results over m = 0, ..., M − 1, we obtain
M
X −1 M
X −1
m+1 m
hw ,η i = hAm w m , η m i
m=0 m=0
(4.36)
M
X −1
∗
= hw m, Am η m i.
m=0
∗
Here, h·, ·i is the inner produ t in RN1 ×...×Nn và Am is the adjoint matrix of Am .
ve tor w m+1 , summing the results over m = 0, ..., M − 2, we have
M
X −2 M
X −2 M
X −2
hw m+1 , η m i = hw m+1 , (Am+1 )∗ η m+1 i + hw m+1 , ψ m+1 i
m=0 m=0 m=0
(4.37)
M
X −1 M
X −1
= hw m , (Am )∗ η m i + hw m, ψ m i.
m=1 m=1
Taking the inner produ t of both sides of the se ond equation of (4.32) with an arbitrary
ve tor wM , we have
hw M , η M −1 i = hw M , ψ M i. (4.38)
M
X −2 M
X −1 M
X −1
m+1 m M M −1 m m ∗ m
hw , η i + hw , η i= hw , (A ) η i + hw m , ψ m i + hw M , ψ M i. (4.39)
m=0 m=1 m=1
From (4.36) and (4.39) we obtain
M
X −1
∗
hw 0, A0 η 0 i = hw m , ψ m i + hw M , ψ M i.
m=1
Equivalently,
M
X

0 ∗ 0
hδv̄, A η i= hw m , ψ m i. (4.40)
m=1
P P
M 2
On the other hand, we an prove that w k,m = o(kv̄k). Hen e, it follows form
k∈Γh m=1
(4.34) and (4.40) that
∗
J0h,∆t (v̄ + δv̄) − J0h,∆t (v̄) = hδv̄, A0 η 0 i. (4.41)
85
Consequently, J0h,∆t is dierentiable and its gradient has the form (3.32).
Note that, sin e the matri es Λi , i = 1, . . . , n are symmetri , we have for m = 0, . . . , M − 1

∆t m ∆t m −1 ∆t m ∆t m −1
(Am )∗ = (E1 − Λ1 )(E1 + Λ1 ) ...(En − Λn )(En + Λ )
4 4 4 4 n (4.42)
∆t m ∆t m −1 ∆t m ∆t m −1
× (En − Λn )(En + Λn ) ...(E1 − Λ1 )(E1 + Λ ) .
4 4 4 4 1
Similarly,
∆t m ∆t m −1 ∆t m ∆t m −1
(B m )∗ = (En − Λn )(En + Λn ) ...(E1 − Λ1 )(E1 + Λ ) . (4.43)
4 4 4 4 1
Conjugate gradient method for the dis retized fun tional (4.30) onsists of the following
steps
Step 1. Choose an initial approximation v 0 and al ulate the residual r̂ 0 = u(v 0 )|Σ − ϕ by
0
solving the splitting s heme (1.111) with v̄ being repla ed by the initial approximation v
and set k = 0.
Step 2. Cal ulate the gradient r 0 = −∇Jγ (v 0 ) given in (4.31) by solving the adjoint
problem (4.32). Then set d0 = r 0 .

Step 3. Cal ulate
0
kr 0 k2
α =
ku(d0)|Σ k2 + γkd0 k2
where u(d0) an be al ulated from the splitting s heme (1.111) with v̄ being repla ed by
d0 and g = 0, F = 0. Then, set

v 1 = v 0 + α 0 d0 .
Step 4. For k = 1, 2, · · · , al ulate r k = −∇J0 (v k ), dk = r k + β k dk−1 , where
kr k k2
βk =
kr k−1 k2
Step 5. Cal ulate αk
k
kr k k2
α =
ku(dk )|Σ k2 + γkdk k2
where u(dk ) an be al ulated from the splitting s heme (1.111) with v̄ being repla ed by
dk and g = 0, F = 0. Then, set
v k+1 = v k + αk dk .
The simulation of this algorithm on omputer will be given in the next se tion.
4.4 Numeri al example

In this se tion we will present our numeri al simulation for one- and two-dimensional prob-
lems. As in the previous hapters, we will test for dierent kinds of the initial onditions:
86
1) very smooth, 2) ontinuous but not smooth (the hat fun tion), 3) dis ontinuous (step
fun tions). We see that the degree of di ulty in reases from test 1) to test 3). In the
one-dimensional ases we will present our numeri al al ulation for the singular values by
the method des ribed in Se tion 4.1.
4.4.1. Numeri al example in one-dimensional ase

Set Ω = (0, 1), T = 1. Consider the system
ut − (aux )x = f in Q,
−aux (0, t) = ϕ1 (t) in (0, T ],
aux (1, t) = ϕ2 (t) in (0, T ],
u|t=0 = v in Ω,
where oe ient a = 2xt + x2 t + 1. The observations will be taken at x=0 and x = 1.
−2
The noise level is 10 .
Example 1. We approximate singular values for the ases when we in rease the oe ient
a by a0 = 5 and a0 = 10 times. It appeared that if the oe ient of the equation is larger,
the singular values are smaller. This an be seen in Figure 4.1 on the singular values
evaluated by the method presented in Se tion 4.1.
2
10
a0=1
a0=5
0 a0=10
10
−2
10
−4
10
−6
10
−8
10
−10
10
−12
10
0 5 10 15 20 25 30 35 40 45 50 55
Figure 4.1: Example 1: Singular Values for 1D Problem
87
Now we present numeri al results for dierent initial onditions as explained above.
Example 2. Smooth initial ondition: v = sin(2πx).

Example 3. Continuous but not smooth initial ondition:

2x, if x ≤ 0.5,
v=
2(1 − x), otherwise.
Example 4. Dis ontinuous initial ondition:


1, if 0.25 ≤ x ≤ 0.75,
v=
0, otherwise.
Estimated function v Estimated function v
Exact sol. Exact sol.

1 Noiselevel=1% Noiselevel=1%
Noiselevel=10% Noiselevel=10%
1
0.8
0.6
0.8
0.4
0.2 0.6
v(x)
0 v(x)
−0.2 0.4
−0.4
0.2
−0.6
−0.8
0
−1
−0.2
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
x x
Estimated function v
0.8
0.6
v(x)
0.4
0.2
0
Exact sol.
Noiselevel=1%
Noiselevel=10%
−0.2
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
x
Figure 4.2: Example 2, 3, 4: 1D Problem: Re onstru tion results for smooth, ontinuous and dis ontinuous initial
onditions.
4.4.2. Numeri al example in the multi-dimensional ase

Set Ω := (0, 1) × (0, 1), T = 1. ut − (a1 ux1 )x1 − (a2 ux2 )x2 = f . As
Consider the equation
in the one-dimensional ase, we hoose the initial ondition v , then let u = v × (1 − t).
Putting u in the equation to get the boundary data and right hand side f . The observation
88
is taken on the whole boundary S and the noise level is set by 10−2 . In all examples we
take
a1 (x1 , x2 , t) = a2 (x1 , x2 , t) = 10−1 (1 + 10−2 cos(πx1 t) cos(πx2 )).
Example 5. Smooth initial ondition: v = sin(πx1 ) sin(πx2 ).

Exact function v Estimated function with noiselevel 1%
1 1
0.5 0.5
v(x)
v(x)
0 0
−0.5 −0.5
0.79 0.79
0.79 0.79
0.39 0.39
0.39 0.39
x2 −0.01 −0.01 x2 −0.01 −0.01

x x
1 1
Figure 4.3: Example 5: Exa t initial ondition (left) and its re onstru tion (right).
Error
Exact sol.
Noiselevel=1%
Noiselevel=10%
1
1
0.8
0.5
0.6
Vertical slice
0.4
−0.5
0.2
−1
0.79
0
0.79
0.39
0.39
−0.2
x −0.01 −0.01 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
2 x1 x
2
Figure 4.4: Example 5 ( ontinue): Error (left) and the verti al sli e of the exa t initial ondition and its re on-
stru tion along the interval [(0.5, 0), (0.5, 1)] (right).
Example 6. Continuous initial ondition:



2x2 , if x2 ≤ 0.5 and x2 ≤ x1 and x1 ≤ 1 − x2 ,



2(1 − x ), if x ≥ 0.5 and x ≥ x and x ≥ 1 − x ,
2 2 2 1 1 2
v=

2x1 , if x1 ≤ 0.5 and x1 ≤ x2 and x2 ≤ 1 − x1 ,



2(1 − x ), otherwise.
2
89
1 1
0.5 0.5
v(x)
v(x)
0 0
−0.5 −0.5
0.79 0.79
0.79 0.79
0.39 0.39
0.39 0.39
x −0.01 −0.01 x −0.01 −0.01

2 x 2 x
1 1
Error
Exact sol.
Noiselevel=1%
Noiselevel=10%
1
1
0.8
0.5
0.6
Vertical slice
0
0.4
−0.5
0.2
−1
0.79
0
0.79
0.39
0.39
−0.2
x −0.01 −0.01 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
2 x1 x
2
Figure 4.6: Example 6 ( ontinue): Error (left) and the sli e of the exa t initial ondition and its re onstru tion
along the interval [(0.5, 0), (0.5, 1)] (right).
Example 7. Dis ontinuous initial ondition:


1, if 0.25 ≤ x1 ≤ 0.75 and 0.25 ≤ x2 ≤ 0.75
v=
0, otherwise.
1 1
0.5 0.5
v(x)
v(x)
0 0
−0.5 −0.5
0.79 0.79
0.79 0.79
0.39 0.39
0.39 0.39
x2 −0.01 −0.01 x2 −0.01 −0.01

x x
1 1
90
Error
1.2
1 1
0.5 0.8
Vertical slice
0 0.6
−0.5 0.4
−1 0.2
0.79
0.79 0
Exact sol.
0.39 Noiselevel=1%
0.39 Noiselevel=10%
−0.2
x −0.01 −0.01 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
2 x x
1 2
Figure 4.8: Example 7 ( ontinue): Error (left) and the sli e of the exa t initial ondition and its re onstru tion
along the interval [(0.5, 0), (0.5, 1)] (right).
In all examples we see that the numeri al re onstru tions are pretty good. However, when
the oe ients are large, the ill-posedness of the problem is more severe and the method
is less ee tive.
tions from boundary observations. Journal of Inverse and Ill-Posed Problems 24(2016),
no. 2, 195220.
91
Con lusion
In this thesis we study data assimilation in heat ondu tion of re onstru ting the initial
ondition in a heat transfer pro ess from either 1) the observation of the temperature at
the nal time moment, or 2) interior integral observations whi h are regarded as interior
measurements, or 3) boundary observations. The rst problem is new in the sense that the
oe ients of the equation des ribing the heat transfer pro ess are depending on time, and
up to now there are very few studies devoted to it. The se ond problem is a new setting
for su h kind of problems in data assimilation: interior observations are important, but
related studies are devoted to the ase of pointwise observations whi h are not realisti
in pra ti e. The use of integral observations is more pra ti al. The third problem is very
hard as the observation is only on the boundary and up to now there have been very few
studies for this ase. We reformulate these problems as a variational problem aiming at
minimizing a mist fun tional in the least squares sense. We prove that the fun tional is
Fré het dierentiable and derive a formula for its gradient via an adjoint problem and as
a by-produ t of the method, we propose a very natural and easy method for estimating
the degree of ill-posedness of the re onstru tion problem. For numeri ally solving the
problems, we dis retize the dire t and adjoint problems by the splitting nite dieren e
method for getting the gradient of the dis retized variational problems and then apply
the onjugate gradient method for solving them. We note that sin e the solutions in the
thesis are understood in the weak sense, the nite dieren e method for them is not trivial.
With respe t to the dis retization in spa e variables we prove onvergen e results for the
dis retization methods. We test our method on omputer for various numeri al examples
to show the e ien y of our approa h.
92
The author's publi ations related to
the thesis
[1℄ Nguyen Thi Ngo Oanh, A splitting method for a ba kward paraboli equation with
time-dependent oe ients, Computers & Mathemati s with Appli ations 65(2013), 1728;
[2℄ Dinh Nho Hào and Nguyen Thi Ngo Oanh, Determination of the initial ondition in
paraboli equations from integral observations, Inverse Problems in S ien e and Engineer-
ing (to appear) doi: 10.1080/17415977.2016.1229778.
[3℄ Dinh Nho Hào and Nguyen Thi Ngo Oanh, Determination of the initial ondition in
paraboli equations from boundary observations, Journal of Inverse and Ill-Posed Problems
24(2016), no. 2, 195220.
93
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MINISTRY OF VIETNAM ACADEMY OF

EDUCATION AND TRAINING SCIENCE AND TECHNOLOGY

NGUYEN THI NGOC OANH

DATA ASSIMILATION IN HEAT CONDUCTION

THESIS FOR THE DEGREE OF

DOCTOR OF PHILOSOPHY IN MATHEMATICS

NGUYEN THI NGOC OANH

DATA ASSIMILATION IN HEAT CONDUCTION

Spe iality: Dierential and Integral Equations

THESIS FOR THE DEGREE OF

Supervisor: PROF. DR. HABIL. ĐINH NHO HÀO

VIỆN TOÁN HỌC

NGUYỄN THỊ NGỌC OANH

ĐỒNG HÓA SỐ LIỆU TRONG TRUYỀN NHIỆT

Chuyên ngành: Phương trình Vi phân và Tích phân

LUẬN ÁN TIẾN SĨ TOÁN HỌC

Người hướng dẫn khoa học:

are studied. We reformulate these inverse problems as variational problems of minimizing

method to demonstrate the ill-posedness.

2.1 Example 1: Singular values. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

Rn the n− dimensional Eu lidean spa e;

List of Figures iii

List of Notations vii

Chapter 1 Auxiliary results 9

1.1 Dire t problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

1.2 Adjoint problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

1.3 Finite dieren e method for one-dimensional dire t problems . . . . . . . . . 14

1.3.1. Dis retization in the spa e variable . . . . . . . . . . . . . . . . . . . 15

1.3.2. Dis retization in time . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

1.4 Finite dieren e method for multi-dimensional dire t problems . . . . . . . . 18

1.4.1. Interpolations of grid fun tions . . . . . . . . . . . . . . . . . . . . . 19

1.5 Approximation of the variational problems . . . . . . . . . . . . . . . . . . . 39

1.6 Lan zos' algorithm for approximating singular values . . . . . . . . . . . . . 43

Chapter 2 Data assimilation by the nal time observations 44

2.1 Problem setting and the variational method . . . . . . . . . . . . . . . . . . 44

2.2 Dis retization of the variational problem in spa e variable . . . . . . . . . . . 47

2.3 Full dis retization of the variational problem . . . . . . . . . . . . . . . . . . 47

2.3.1. The gradient of the obje tive fun tional . . . . . . . . . . . . . . . . . 48

2.3.2. Conjugate gradient method . . . . . . . . . . . . . . . . . . . . . . . 50

2.4 Numeri al results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51

2.4.1. Approximations of the singular values . . . . . . . . . . . . . . . . . . 51

2.4.2. Numeri al examples for two-dimensional problems . . . . . . . . . . . 52

Chapter 3 Data assimilation by the integral observations 57

3.1 Problem setting and the variational method . . . . . . . . . . . . . . . . . . 58

3.2 Dis retization of the variational problem in spa e variable . . . . . . . . . . . 63

3.3 Full dis retization of the variational problem . . . . . . . . . . . . . . . . . . 64

3.4 Numeri al example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

3.4.1. One-dimensional numeri al examples . . . . . . . . . . . . . . . . . . 68

3.4.2. Two-dimensional numeri al examples . . . . . . . . . . . . . . . . . . 73

Chapter 4 Data assimilation by the boundary observations 78

4.1 Problem setting and the variational method . . . . . . . . . . . . . . . . . . 78

4.2 Dis retization of the variational method in spa e variables . . . . . . . . . . 83

4.4 Numeri al example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86

4.4.1. Numeri al example in one-dimensional ase . . . . . . . . . . . . . . . 87

4.4.2. Numeri al example in the multi-dimensional ase . . . . . . . . . . . 88

The author's publi ations related to the thesis 93

from T0 on. However, we an observe (measure) U somehow, say, by CU with C being a

linear operator. The data assimilation problem is to determine an approximation of the

improperly posed). Hadamard thought that su h problems have no physi al meaning.

a tive bran h of mathemati al physi s and omputational s ien e.

of observation: 1) observation at the nal time moment, 2) interior (integral) observations,

3) boundary observations. We now formulate our problems more pre isely.

Let Ω be an open bounded domain in Rn , n ≥ 1, with boundary ∂Ω. Denote Q = Ω×(0, T ]

Spe iality: Dierential and Integral Equations

1.3 Finite dieren e method for one-dimensional dire t problems . . . . . . . . . 14

1.4 Finite dieren e method for multi-dimensional dire t problems . . . . . . . . 18

Chapter 2 Data assimilation by the nal time observations 44

of observation: 1) observation at the nal time moment, 2) interior (integral) observations,

To nd v, we minimize the mist fun tional

3. Vietnam-Korea workshop on sele ted topi s in Mathemati s, 2024 February, 2017,

7. Seminar at Department of Dierential Equations, Institute of Mathemati s, Vietnam

Let B be a Bana h spa e, we dene

u∈ H01,0 (Q) satises the identity

proved in the same way as in [82, 3.6.1., p. 156158℄.

and it satises an a priori inequality similar to (1.16).

1.3 Finite dieren e method for one-dimensional dire t problems