Lecture Notes

Scientific Computing, advanced
Discretisation of PDEs,
Finite Element Method
P.W. Hemker
ii P.W. Hemker
Contents
1 Introduction to PDEs 1
1.1 Classification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1.1 Ordinary and partial differential equations . . . . . . . . . 1
1.1.2 Elliptic, parabolic or hyperbolic equations . . . . . . . . . 4
1.1.3 Conservation laws . . . . . . . . . . . . . . . . . . . . . . 6
1.2 Hyperbolic equations . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.2.1 Characteristics . . . . . . . . . . . . . . . . . . . . . . . . 8
1.2.2 Discontinuous solutions . . . . . . . . . . . . . . . . . . . 10
2 Discretisation Principles 17
2.1 Discrete representation of the solution . . . . . . . . . . . . . . . 17
2.1.1 Discretisation of the domain, solution and equation . . . . 19
2.1.2 Finite difference approximation . . . . . . . . . . . . . . . 19
2.1.3 Finite element approximation . . . . . . . . . . . . . . . . 21
2.1.4 Finite volume approximation . . . . . . . . . . . . . . . . 21
2.1.5 Spectral methods . . . . . . . . . . . . . . . . . . . . . . . 21
2.1.6 Staggered grid . . . . . . . . . . . . . . . . . . . . . . . . 22
2.2 Techniques for discretisation of PDEs . . . . . . . . . . . . . . . 24
2.2.1 Finite difference methods . . . . . . . . . . . . . . . . . . 24
2.2.2 Variational method . . . . . . . . . . . . . . . . . . . . . . 26
2.2.3 Weighted residual methods . . . . . . . . . . . . . . . . . 27
2.2.4 Collocation methods . . . . . . . . . . . . . . . . . . . . . 27
2.2.5 Galerkin methods . . . . . . . . . . . . . . . . . . . . . . 28
2.2.6 Box methods = Finite Volume methods . . . . . . . . . . 28
2.3 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.3.1 The diffusion equation . . . . . . . . . . . . . . . . . . . . 29
2.3.2 The source term and solution of the system . . . . . . . . 30
2.3.3 The convection equation . . . . . . . . . . . . . . . . . . . 31
2.4 Techniques for time-discretisation . . . . . . . . . . . . . . . . . . 31
2.4.1 Time-space discretisation or semi-discretisation . . . . . . 31
2.4.2 FDM for a linear hyperbolic problem . . . . . . . . . . . . 32
2.4.3 The equivalent differential equation . . . . . . . . . . . . 35
2.5 Criteria for good discretisation methods . . . . . . . . . . . . . . 42
iii
iv P.W. Hemker
3 Finite Element Methods 45
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
3.2 Examples of boundary value problems . . . . . . . . . . . . . . . 45
3.2.1 One-dimensional second order . . . . . . . . . . . . . . . . 45
3.2.2 Two-dimensional second order . . . . . . . . . . . . . . . 46
3.2.3 Fourth order problems . . . . . . . . . . . . . . . . . . . . 48
3.3 Abstract Elliptic Theory . . . . . . . . . . . . . . . . . . . . . . . 48
3.3.1 Introduction to Functional Analysis . . . . . . . . . . . . 49
3.3.2 The Generalised Lax-Milgram Theorem . . . . . . . . . . 56
3.3.3 Distributions and Sobolev Spaces . . . . . . . . . . . . . . 58
3.3.4 The Poincar´e-Friedrichs Inequality. . . . . . . . . . . . . . 64
3.3.5 Variational formulations for differential equations . . . . . 65
3.4 The technique of the finite element method . . . . . . . . . . . . 69
3.4.1 The principles . . . . . . . . . . . . . . . . . . . . . . . . 69
3.4.2 Piecewise Lagrange Interpolation in one dimension . . . . 70
3.4.3 The construction of the discrete equations . . . . . . . . . 73
3.4.4 Other piecewise polynomial approximations in one dimen-
sion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
3.4.5 Approximation in two dimensions . . . . . . . . . . . . . . 83
3.4.6 Isoparametric elements . . . . . . . . . . . . . . . . . . . . 86
3.5 Error estimates for the finite element method . . . . . . . . . . . 87
3.5.1 The discrete version of the Generalised Lax-Milgram . . . 87
3.5.2 More general error estimate . . . . . . . . . . . . . . . . . 90
3.5.3 The formalisation of the finite element method . . . . . . 92
3.5.4 Interpolation theory and applications . . . . . . . . . . . 94
3.5.5 Pointwise error estimate and superconvergence . . . . . . 102
3.5.6 The influence of the quadrature rule . . . . . . . . . . . . 104
References 109
Index 111
Chapter 1
Introduction to PDEs
1.1 Classification
In these lectures we study numerical methods for partial differential equations
(PDEs). In the later part, in particular, we will concentrate on so called ellip-
tic equations. These equations are used in many areas of application, as e.g.
mechanics, electromagnetics, etc..
To get insight into the quantitative behaviour of the solutions of the PDEs,
and to determine the solutions with some accuracy, in most cases analytic meth-
ods fail and we have to rely on numerical methods. The numerical techniques
to compute (approximations to) the solution are often split in two parts. First,
the PDE (the solution of which is a continuous function or set of functions) is
transformed into a set of linear or nonlinear algebraic equations, usually with a
large number of unknowns. This transformation is called the discretisation pro-
cess. The second step is the solution of the large algebraic system of equations,
in order to determine the unknowns that describe (approximately) the solution
of the PDE.
In the present chapter different kinds of differential equations are classified,
and some elementary properties of the PDEs are explained. In Chapter 2 we
will give a survey of the methods that are used for discretisation, for different
kinds of PDEs. In Chapter 3 we study the Finite Element Method for the
discretisation of elliptic equations.
1.1.1 Ordinary and partial differential equations
An ordinary differential equation (ODE) implicitly describes a function depend-
ing on a single variable and the ODE expresses a relation between the solution
and one or more of its derivatives. The order of the differential equation is the
order of the highest derivative in the equation. Beside the ODE, usually one
or more additional (initial) conditions are needed to determine the unknown
function uniquely.
1
2 P.W. Hemker
Example 1.1.1
An example of a first order ODE is
u(x) = u

(x), u(0) = 1.
An example of a second order ODE is
u(x) = −c
2
u

(x), u(0) = 0, u

(0) = 1.
In many interesting cases a function depends on more independent variables
and a relation is given for the function and its partial derivatives. This relation
describes a partial differential equation (PDE). In many practical problems the
independent variables represent the time and space coordinates (t, x, y, z). To
determine the unknown function, again additional relations are required: initial
and/or boundary conditions.
Example 1.1.2
Let u(t, x, y, z) denote the mass fraction of a chemical species, m, in a medium
with density ρ(t, x, y, z). In the presence of a velocity field v(t, x, y, z) the con-
servation of the species m is expressed by

∂t
(ρu) + div (ρuv) = s, (1.1)
where s(t, x, y, z) is a possible source
1
.
If diffusion also plays a role, then the diffusive flux J
d
is described by Fick’s
law of diffusion
2
J
d
= −d grad u,
where d is the diffusion coefficient, and the complete equation describing the
behaviour of u(t, x, y, z) reads

∂t
(ρu) + div (ρvu) + div J
d
= s. (1.2)
In this equation we distinguish between the diffusive flux, J
d
, and the convective
flux, J
c
= ρuv.
1
The divergence of the vector field v is defined by div v = ∇v =
∂v
x
∂x
+
∂v
y
∂y
+
∂v
z
∂z
. An
important relation for the divergence is Gauss’ theorem


div udΩ =

Γ
u · ndΓ,
where Ω ⊂ R
3
is a bounded volume with surface Γ and n is the outward pointing normal on
Γ.
2
The gradient gradient of a scalar function φ(x, y, z) is the vector field defined by
grad φ = ∇φ =

∂φ/∂x
∂φ/∂y
∂φ/∂z

.
Version: September 13, 2004 3
The principle part of a differential equation is the part (the set of terms)
that contain the highest derivatives. E.g. the principle part of (1.1) is (ρu)
t
+
div (ρuv) and the principle part of (1.2) is (ρu)
t
− div (d grad u). PDEs can
have quite diverse properties. A few of such typical forms are given in the next
example. Most typical properties are related with the shape of the principle
part of the equation.
Example 1.1.3
• With Ω ⊂ R
2
an open domain, the Poisson equation is
u
xx
+ u
yy
= f(x, y), (1.3)
where f(x, y) is a prescribed function. In the special case of f ≡ 0 equation
(1.3) is called Laplace’s equation. The solution of these equations can be
determined if the value of u(x, y) is given at the boundary of Ω. Notice
that the equation (in its three-dimensional form) is obtained from (1.2) in
the case of a time-independent solution with v = 0 and s = 0.
• The diffusion equation
u
t
= d u
xx
, (1.4)
describes the one-dimensional unsteady case of simple diffusion, without
a velocity field or a source term.
• A different kind of PDE is the wave equation
u
tt
= a
2
u
xx
, (1.5)
where a is a positive real number. It is simple to see that a solution of
this equation is given by
u(x, y) = φ(at −x) + ψ(at + x), (1.6)
where φ and ψ are arbitrary (twice differentiable) functions.
All the above mentioned examples are differential equations that are linear
in the dependent variable u. Although most theory available is for such linear
partial differential equations, many important equations are nonlinear. E.g. the
equation (1.1) or (1.2) would be nonlinear if the velocity field v was dependent
on u or the source s was a nonlinear function of u. An important subclass of
the nonlinear differential equations are the quasi-linear equations, i.e. equations
in which the highest derivatives appear linearly.
In general, the dependent variable u in the PDE is a function of time, t, and
the three space coordinates, (x, y, z). In numerical methods we have to choose
how to represent the function u, and often we select values of the independent
variables at which the values of u will be calculated. The fewer the number of
degrees of freedom in the approximation of u(t, x, y, z), the less computational
4 P.W. Hemker
effort is needed to determine an approximation of u(t, x, y, z). Fortunately, not
all problems require all independent variables. By symmetry considerations (i.e.
by a judicious choice of the coordinate system) the number of space dimensions
can often be reduced to two or one.
If a solution is sought that is not time-dependent the solution is called steady
and the time-variable can be neglected. The corresponding equations are the
steady equations.
To understand the behaviour of the solution it is important to notice that
in some equations we can distinguish a direction of “flow of information”. For
the solution (1.6) of equation (1.5) we see that the information contained in the
part φ of the solution flows forward (i.e. in the positive x-direction) with speed
a, whereas the information in the part ψ flows backward as time proceeds. Also,
in equation (1.1) the flow of information follows the vector field v. However,
no such direction is found in (1.3). For time-dependent PDEs such as (1.2) or
(1.4) we can always distinguish a unique direction “forward in time”.
The motivation for the discussion of “direction of flow of information” is
that, if such a direction can be identified, the behaviour of the solution can be
better understood. The knowledge also may be used to reduce the computer
storage and/or the computer time needed to find the numerical solution. E.g. in
a time-dependent problem as (1.1), for which the solution has to be computed
over a long time-interval [t
0
, t
2
], the solution at time t = t
1
, with t
0
< t
1
< t
2
,
contains all information to determine the solution for t > t
1
. Having computed
the solution for t ≤ t
1
, it may be efficient -from the point of view of computer
resources- to disregard all or most information that was obtained about the
solution for t < t
1
(or t < t
1
− τ, for some small τ > 0) before the solution on
(t
1
, t
2
] is determined.
The notion of direction “forward in time” shows also that in time-dependent
problems all or part of the side-conditions will be given as “initial conditions”,
that determine the solution (i.e. the state of the physical system) at a later
stage.
1.1.2 Elliptic, parabolic or hyperbolic equations
In the previous section we noticed that different PDEs may show a different
character. This character is mainly determined by the highest derivatives that
appear in the equation. To characterise some typical classes of PDEs, we con-
sider the general linear second order differential equation in two space dimen-
sions:
Lu := a(x, y)u
xx
+ 2 b(x, y)u
xy
+ c(x, y)u
yy
+2 d(x, y)u
x
+ 2 e(x, y)u
y
+ f(x, y)u = g(x, y).
(1.7)
L is a linear differential operator of order two. With this differential operator
we associate the characteristic polynomial
P
xy
= a(x, y)ξ
2
+ 2 b(x, y)ξη + c(x, y)η
2
+
+2 d(x, y)ξ + 2 e(x, y)η + f(x, y).
(1.8)
Version: September 13, 2004 5
The second order differential equation (1.7) is called elliptic at (x, y) if a(x, y)c(x, y)−
b
2
(x, y) > 0; it is hyperbolic at (x, y) if a(x, y)c(x, y) − b
2
(x, y) < 0, and it is
parabolic at (x, y) if a(x, y)c(x, y) − b
2
(x, y) = 0. Thus, this terminology is re-
lated with the geometric interpretation of the characteristic polynomial. The
differential equation is called elliptic, parabolic or hyperbolic (without reference
to a specific point) if it satisfies the corresponding (in)equalities for all (x, y)∈Ω,
where Ω is the domain on which the differential equation is defined. We see that
the Poisson equation, the diffusion equation and the wave equation are elliptic,
parabolic and hyperbolic, respectively.
For an equation of more variables (x
1
, x
2
, ..., x
n
), the general second order
equation reads
Lu :=
n
¸
i,j=1
a
ij
(x)u
x
i
x
j
+
n
¸
i=1
a
i
(x)u
x
i
+ a(x)u. (1.9)
Now, for the principle part of the equation, the characteristic polynomial in
ξ
1
, ξ
2
, ..., ξ
n
is
P
x

1
, ..., ξ
n
) =
n
¸
i,j=1
a
ij
(x) ξ
i
ξ
j
. (1.10)
The operator is elliptic if the matrix (a
ij
(x)) is positive or negative definite; it
is hyperbolic if (a
ij
(x)) has one negative (positive) eigenvalue and n−1 positive
(negative) eigenvalues; it is parabolic if one eigenvalue vanishes and the other
n − 1 have the same sign. It is clear that in more dimensions not all linear
second order PDEs can be classified as elliptic, parabolic or hyperbolic.
The characterisation of the different PDEs is important for distinguishing
the kind of additional conditions that is needed to specify a (unique) solution for
the equation and for understanding the “flow of information” that may appear
in its solution. We show this for the three linear examples given earlier in this
section.
The hyperbolic equation
For the wave equation (1.5) with initial conditions u(0, x) = f(x), u
t
(0, x) =
g(x), the general solution for t ≥ 0 reads
u(t, x) =
1
2
f(x + at) +
1
2
f(x −at) +
1
2a

x+at
x−at
g(ξ) dξ. (1.11)
This means that the solution at (t, x) depends only on the initial solution on
the interval [x −at, x + at].
The parabolic equation
For the linear diffusion equation (1.4), with initial condition u(0, x) = f(x),
with x∈R, the solution reads
u(t, x) =
1
2

πdt

+∞
−∞
f(ξ) e
−(ξ−x)
2
/(4dt)
dξ. (1.12)
6 P.W. Hemker
This implies that the solution at x∈R for any t > 0 depends on all of the solution
u(0, x) over the interval −∞ < x < +∞.
The elliptic equation
For Laplace’s equation, written in polar coordinates (r, φ), it is known from the
theory of harmonic functions that the solution u(x, y) = ˜ u(r, φ) in the interior
of a circle with radius R, is given by
˜ u(r, φ) =
1


0
R
2
−r
2
R
2
−2Rr cos(θ −φ) + r
2
˜ u(R, θ) dθ. (1.13)
This shows that the behaviour of the solution inside a circle, r = R, is completely
determined by all the values of the solution at the boundary of that circle.
Generally, the function of an elliptic second order equation is determined by its
values at the boundary of its domain of definition.
1.1.3 Conservation laws
A slight extension of equation (1.1) is the system of equations

∂t
u(t, x, v) + div J(t, x, v)) = s(t, x, v), (1.14)
where v(t, x) is the solution sought, u(t, x, v) is a state vector and J(t, x, v) is
the flux of the state variables
3
; s(t, x, v) is a possible source term.
Equation(1.14) is called a system of conservation laws because the equations
describe the conservation of the quantities u. This is seen by considering an
arbitrary volume Ω and by integration of (1.14) over Ω. Using Gauss’ theorem,
we see that the increase of the amount of u inside the volume Ω should be
caused either by inflow over its boundary or by a source described in s(t, x, v).
In natural coordinates, a physical system can often be described with u =
u(v), J = J(v), s = s(v). Then, the dependence on (t, x) may be caused by a
coordinate transformation.
Example 1.1.4 The Euler equations.
The Euler equations of gas dynamics describe the flow of an inviscid non-heat-
conducting compressible fluid (a gas). They represent the conservation of mass,
momentum and energy. With ρ(t, x) density, v(t, x) velocity, e(t, x) specific
energy (temperature) and p(t, x) the presure of the gas, these conservation laws
read respectively

∂t
(ρ) + div (ρv) = 0, (1.15)

∂t
(ρv
i
) + div (ρv
i
v) = −
∂p
∂x
i
, i = 1, 2, 3,
3
Because we consider a system of equations, now each component of J is a vector.
Version: September 13, 2004 7

∂t
(ρe) + div (ρev) = −div (pv),
and p = p(ρ, e, v). For a perfect gas we have the state equation
p = (γ −1)ρ(e −
1
2
[v[
2
). (1.16)
With suitable boundary conditions the variables ρ, v, e and p can be solved from
(1.15) and (1.16). These variables play the role of the vector v in (1.14). Notice
that they are different from the conserved quantities u.
1.2 Hyperbolic equations
The second order equation (1.5) allows decomposition into a system of two first
order equations. Similar to the factorisation of the characteristic polynomial
P(τ, ξ) = τ
2
− a
2
ξ
2
= (τ + aξ)(τ − aξ) of (1.5), the first order operators are
found to be

∂t
+a

∂x
and

∂t
−a

∂x
. The decomposition first can be written
4
as
a system

∂u
∂t
= −a
∂p
∂x
,
∂p
∂t
= −a
∂u
∂x
.
(1.17)
If we make the change of dependent variables v = u + p and w = u − p, this
equation (1.17) uncouples and transforms into

∂v
∂t
+ a
∂v
∂x
= 0,
∂w
∂t
−a
∂w
∂x
= 0.
(1.18)
The solution of the system reads v(t, x) = v(x−at), w(t, x) = w(x+at). These
equations show that the quantities u+p (respectively u−p) are constant along
the line x − at = constant (x + at = constant). These lines are called the
characteristics of the differential equation (or of the differential operator).
A typical first order “one-way” wave equation in R
d
, d = 1, 2, 3, is
∂u
∂t
−v grad u = 0. (1.19)
It shares with (1.18) the property of having a characteristic direction, v, along
which the solution is constant. Therefore also the first order equations are called
hyperbolic PDE. To illustrate further the importance of the characteristics, we
consider the inhomogeneous equation
∂u
∂t
−v grad u = s(u). (1.20)
We assume that the vector field v(x) is sufficiently smooth so that it determines
a complete family of characteristics in Ω. Then we will show in Section 1.2.1
that the solution of this PDE is uniquely determined as soon as one value of the
solution is given for each characteristic. Along the characteristic the solution is
now determined by a simple ODE.
4
The minus sign is by convention only.
8 P.W. Hemker
1.2.1 Characteristics
We consider a general first order (quasi-)linear DE in more dimensions. We
write it down for dimension d = 3; for the one-, two- or more- dimensional case
the treatment is completely analogous. We consider the equation
Pp + Qq + Rr = S , (1.21)
where p = u
x
, q = u
y
, r = u
z
, and P, Q, R, S are functions of (x, y, z, u). I.e.
(x, y, z) are the independent variables and u is the dependent variable.
Let u(x, y, z) be the solution of (1.21), then, by definition of p, q, and r,
(1.21) is satisfied as well as
du = pdx + qdy + rdz.
Or, if A is a point (x, y, z, u) on a solution, then at A we find
(p, q, r, −1) ⊥ (P, Q, R, S),
(p, q, r, −1) ⊥ (dx, dy, dz, du),
(p, q, r, −1) ⊥ ( ˙ x, ˙ y, ˙ z, ˙ u),
with ˙ = ∂/∂s, and A(s) is an (arbitrary) curve in a solution surface. Appar-
ently, the vector field (P, Q, R, S)(x, y, z, u) is tangential to the solution in each
point of the solution. Streamlines in this vector field are characteristic solutions.
The projections of these characteristic solutions on the (x, y, z)-space are char-
acteristics (characteristic direction lines). For a solution along a characteristic
solution line (parametrised by s) we have
(P, Q, R, S) | ( ˙ x, ˙ y, ˙ z, ˙ u), (1.22)
i.e. the two vectors are linearly dependent. It follows that the characteristic
direction can be computed from
P
dx
=
Q
dy
=
R
dz
=
S
du
(1.23)
Further, it follows that, if a value of (x, y, z, u) is given in one point of a char-
acteristic, then the characteristic and the solution on it can be found by the
solution of the simple ODE (1.23).
If the solution is prescribed on a suitable (d−1)-dimensional manifold (suit-
able means that the manifold intersects all characteristics once) then the solution
is apparently uniquely determined.
Example 1.2.1 Inviscid Burgers’ equation.
inviscid Burgers’ equation A well-known model problem is the inviscid Burgers’
equation
u
t
+ (
1
2
u
2
)
x
= 0 .
Version: September 13, 2004 9
Figure 1.1: The generation of a shock for Burgers’ equation
(See also example (1.2.2)). We notice that
1
dt
=
u
dx
=
0
du
.
The characteristic satisfies dx/dt = u and du/dt = 0, so that the solution is
constant along the characteristics, and the characteristics are straight lines. If
the initial solution is increasing in some area, the characteristics will intersect
and no smooth solution will further be possible. This will be considered further
in the next section.
We may study the above arguments more generally in d-dimensional space.
Let a solution be prescribed along a (d − 1)-dimensional manifold C. Under
what conditions is a solution determined in a layer in the neighbourhood of C?
We easily extend the question to the case of systems of equations. For simplicity
we take d = 3. Let

a
1
u
x
+ b
1
u
y
+ c
1
u
z
+ d
1
v
x
+ e
1
v
y
+ f
1
v
z
+ = g
1
,
a
2
u
x
+ b
2
u
y
+ c
2
u
z
+ d
2
v
x
+ e
2
v
y
+ f
2
v
z
+ = g
2
,
,
(1.24)
or, in short,
¸
j = 1, 2, 3
i = 1, 2, · · · , m
a
kij
∂u
i
∂x
j
= b
k
, k = 1, , m. (1.25)
We introduce a function φ(x
1
, x
2
, x
3
) such that a surface Φ is determined by
φ(x
1
, x
2
, x
3
) = 0. (The surface Φ is our (d − 1)-dimensional manifold, with
d=3.) Moreover, we introduce a new set of independent variables (φ
1
, φ
2
, φ
3
)
such that the surface is determined by φ
1
= constant; e.g. φ
1
= 0. (I.e. we
introduce local coordinates around the surface Φ.) Now we have
∂u
i
∂x
j
=
¸
l=1,2,3
∂u
i
∂φ
l
∂φ
l
∂x
j

10 P.W. Hemker
Equation (1.25) becomes
¸
l, j = 1, 2, 3
i = 1, 2, · · · , m
a
kij
∂u
i
∂φ
l
∂φ
l
∂x
j
= b
k
, k = 1, , m, (1.26)
and we get
¸
i=1,···,m

¸
j=1,2,3
a
kij
∂φ
1
∂x
j
¸
¸
∂u
i
∂φ
1
= b
k

¸
l = 2, 3
j = 1, 2, 3
i = 1, 2, · · · , m
a
kij
∂u
i
∂φ
l
∂φ
l
∂x
j
. (1.27)
This is a linear mm-system for the computation of ∂u
i
/∂φ
1
, i.e. the normal
component of u
i
on the surface Φ. For the computation we need (i) the coef-
ficients a
kij
; (ii) the right-hand-sides b
k
; (iii) ∂u
i
/∂φ
l
, l = 2, 3, on the surface
φ
1
= 0.
If the solution u(x, y, z) of the system of PDEs is known in the surface Φ,
then we can also find the normal derivatives (and hence the analytic solution in
a layer around Φ), provided that
det

¸
¸
j=1,2,3
a
kij
∂φ
1
∂x
j
¸

= 0. (1.28)
If, on the contrary, det = 0, then -in general- no smooth solution exists in the
neighbourhood of Φ.
1.2.2 Discontinuous solutions
For simplicity, in this section we first consider the one-dimensional case. We
have seen that the solution of
u
t
(t, x) + a u
x
(t, x) = 0, (1.29)
with a∈R, and the initial condition
u(0, x) = u
0
(x) , x∈R, (1.30)
is u(t, x) = u
0
(x − at). Also, with a(x) a continuous function, the behaviour
of u(t, x) is easily understood for t > 0. The problem gets considerably more
interesting if the problem is quasi-linear, i.e. if we consider
u
t
(t, x) + a(u) u
x
(t, x) = 0, (1.31)
where a(u) is a continuous function depending on the solution. Together with
the initial condition (1.30), it now turns out that not in all cases a smooth so-
lution exists for all t > 0, even if u
0
(x) is a smooth function. The reason is that
characteristic lines for the equation (1.31) may intersect. As we have seen, a
Version: September 13, 2004 11
classical solution of (1.31) should be constant on a characteristic line, and dif-
ferent characteristics can carry different values. At points where characteristics
intersect a shock-line is formed and a discontinuity appears. The characteristic
line ends. But this cannot be described by the differential equation.
There are essentially two ways out of this difficulty. The first approach is to
generalise the concept of a solution. The class of possible solutions is extended
from the class of differentiable functions to the class of integrable functions, and
the equation is considered in a weak sense, i.e. it is written in an integral form.
(We see this form later in (1.36).) However, the weak solutions turn out to be
non-unique, (for a given set of initial data), and it remains to characterise the
“physically relevant” weak solutions.
Before we consider this question, we present the second approach. Instead
of (1.31) we now consider the slightly perturbed equation
u
t
(t, x) + a(u) u
x
(t, x) = u
xx
, 0 < < 1. (1.32)
This corresponds with the transition from (1.1) to (1.2) and it means that we
add a small diffusion term to the original equation without diffusion. Under
reasonable conditions for the initial function u
0
(x) the parabolic equation (1.32)
always has a unique smooth solution u

(t, x) for > 0, and a (non-smooth) limit
function u
0
(t, x) = lim
→0
u

(t, x) exists.
Now we return to the first approach, where we obtain weak solutions of
(1.31). As the functions u

(t, x) converge to such a weak solution, then that
solution is called the physically relevant weak solution of (1.31).
The integral or weak form
5
of the conservation law in divergence form
6
u
t
+ div J(u) = 0, (1.34)
is found by integration over an area R = [t
0
, t
1
] Ω. The integral form reads

[t
0
,t
1
]


u
t
+ div J(u) dxdt = 0, (1.35)
5
The general principle of weak solution for a differential equation N(u) = 0 on R
d
is
actually to take an arbitrary φ∈C

0
(R
+
×R
d
), i.e. an arbitrary smooth function with compact
support, and to consider the integral


0

R
d
φ(t, x) N(u)dxdt = 0.
In our case, with N(u) = u
t
+ div J(u), on the half space t ≥ 0, after partial integration this
comes down to


0

R
d

t
+J(u) · grad φ dxdt = −

R
d
φ(0, x) u
0
(x) dx (1.33)
for all φ∈C

0
(R
+
×R
d
). We see that here the requirement of a differentiable u has disappeared
from the formulation of the equation. By taking a sequence of functions φ∈C

0
(R
+
× R
d
),
that have the characteristic function on [t
0
, t
1
] × Ω as its limit, it can be shown that (1.33)
and (1.36) are equivalent.
6
Notice that (1.19) is written as (1.34) with J(u) = −vu, with div v = 0, because
div(−vu) = −u∇
j
(v
j
u) = −u∇
j
v
j
−v
j

j
u = −vgradu.
12 P.W. Hemker
which can also be written as


u(t
1
) dΩ −


u(t
0
) dΩ = −

[t
0
,t
1
]

∂Ω
n J(u) dΓdt. (1.36)
The integral form holds also if there is a (d −1)-dimensional manifold on which
u(t, x) is discontinuous. Thus, (1.35) is a generalisation of (1.34).
For d = 2 we immediately see (cf. Figure ??? ) that at a discontinuity D we
have

dx
dt

D
[u] = [J

(u)] , (1.37)
where [u] denotes the jump of u over the discontinuity. Denoting the propagation
speed of the discontinuity by s, we see
7
s =
J

(u
R
) −J

(u
L
)
u
R
−u
L
. (1.38)
This expression for the shock speed is called the Rankine-Hugoniot relation.
Apparently two types of discontinuities may appear in first order hyperbolic
equations: linear and nonlinear ones. The first type is present in the initial
condition and is carried along a characteristic. It is convected with a speed v
that does not essentially depend on the solution. The second type may appear
even if the initial solution is smooth, and the speed essentially depends the
solution.
Example 1.2.2 Burgers’ equation.
The appearance of a nonlinear discontinuity is often shown for Burgers’ equa-
tion. In one space dimension it reads
u
t
+ uu
x
= u
xx
. (1.39)
If the r.h.s. is neglected, i.e. if we take = 0, in a positive solution the top of a
wave moves faster than the bottom. Hence, after a sufficiently long period this
would lead to a multiple valued function (if that would be possible). Because
such solutions are not allowed, a discontinuity appears of which the speed s is
determined by
J(u) =
u
2
2
, (1.40)
and it follows that the discontinuity moves with a speed s = (u
left
+ u
right
)/2.
7
In more dimensions we get
J

(u
R
) −J

(u
L
) = s(u
R
−u
L
)
where J

denotes the flux vector component in the direction perpendicular to the disconti-
nuity.
Version: September 13, 2004 13
t
x
Figure 1.2: A curved shock solution for Burgers’ equation
If we do allow > 0, then the r.h.s. will always have a significant value in
those regions the solution is steep and the dissipation will prevent the disconti-
nuity to appear
8
.
Example 1.2.3 A discontinuous solution.
As an example (from [17]), the following wave is also a solution to the inviscid
Burgers’ equation:
u(t, x) =

x/t, −

t < x <

t,
0, otherwise.
(1.43)
This solution (see Figure 1.2) has two shocks, propagating with speeds ±1/2

t.
The right shock has left- and right states u
L
= 1/

t and u
R
= 0, so the
Rankine-Hugoniot condition is satisfied. The other shock behaves similarly.
We can use the relation (1.38) to solve explicitly some initial value problems
that are not classically solvable. However, now it appears that these solutions
are not always uniquely determined. We take again the inviscid Burgers’ equa-
tion as an example.
8
For some initial conditions the shape of the dissipated shock is easy to determine for
Burgers’ equation. With
u(0, x) =

u
−∞
= q > 0, x < 0,
u

= −q < 0, x > 0,
(1.41)
the steady solution of (1.39) is
u(∞, x) = −q tanh

qx
2

. (1.42)
Notice that the initial condition is already a weak solution of the reduced Burgers’ equation
((1.39) with = 0). A non-trivial steady solution does not appear for u
−∞
< 0 < u

. In
that case, after a first dissipative phase, the nonlinear convection will level out all differences
in u.
The dissipated shock moves at a speed a = (u
L
+ u
R
)/2, and its shape is given by
u(t, x) =
u
L
+ u
R
2

u
L
−u
R
2
tanh

(u
L
+ u
R
)(x −at)
2

.
14 P.W. Hemker
t
x
u=1
u=1
u=0
u=0
u = (1−x)/(1−t)
x = 1 + (t−1)/2
x = t
t = 1
Figure 1.3: A continuous solution developing a discontinuity
t
t
x x
u = 1 u = 0 u = 0
u = 1
u = x/t
u = 0
Figure 1.4: A discontinuous and a continuous solution solution
Example 1.2.4 A unique solution.
We take Burgers’ equation with initial function
u
0
(x) =

1, x < 0,
1 −x, 0 ≤ x ≤ 1,
0, x > 1.
(1.44)
The solution we find reads (see Figure (1.3))
u(t, x) =

1, x < t, or
x < 1 + (t −1)/2,
(1 −x)/(1 −t), t ≤ x ≤ 1,
0, x > 1, or
x > 1 + (t −1)/2.
(1.45)
Example 1.2.5 A non-unique solution.
We take Burgers’ equation with initial function
u
0
(x) =

0, x < 0,
1, x > 0.
(1.46)
The solutions we find are (see Figure (1.4)) are a family of discontinuous func-
tions for a∈(0, 1)
u(t, x) =

0, x < at/2,
a, at/2 < x < (1 + a)t/2,
1, (1 + a)t/2 < x.
(1.47)
Version: September 13, 2004 15
x
t
u = 1 u = −1
u = −a u = a
2x=−(1+a)t 2x=(1+a)t
Figure 1.5: Another discontinuous solution
and a continuous function
u(t, x) =

0, x < 0,
x/t, 0 < x < t,
1, x > t.
(1.48)
Example 1.2.6 Another non-unique solution.
We may extend the previous example to obtain a more complex non-unique
solution. We again take Burgers’ equation, now with initial function
u
0
(x) =

−1, x < 0,
1, x > 0.
(1.49)
The solution we find reads (see Figure (1.5)), with some a∈(0, 1),
u
a
(t, x) =

−1, 2x < −(1 + a)t,
−a, −(1 + a)t < 2x < 0,
+a, 0 < 2x < (1 + a)t,
+1, (1 + a)t < 2x.
(1.50)
To pick out the “physically relevant solution” we have to find the solution
u(t, x) = lim
→0
u

(t, x), with u

the solution of
u
t
+ f(u)
x
= u
xx
.
First, however, we formulate a condition that guarantees unicity of the discon-
tinuous solution. Such conditions are generally called entropy conditions. Later
we shall see a relationship between these entropy conditions and the physical
relevance of a solution. In the case of a single equation u
t
+ f(u)
x
= 0 with
f

> 0, one can show that there exists a unique solution that satisfies the
“entropy” condition [Oleinik] (1.51),
u(t, x + h) −u(x, t)
h

E
t
, h > 0, t > 0, (1.51)
where E is independent
9
of x, t, and h. This condition implies that if we fix
t > 0, and we let x go from −∞ to +∞, then we can only jump down (in one
direction) over the discontinuity.
9
E depends on u
0


, min{f

(u)} and max{f

(u)}. We do not go into details. The
interested reader is referred to Chapter 16 of [23].
16 P.W. Hemker
This entropy condition of Oleinik guarantees uniqueness of the weak solution.
Condition (1.51) says that, at discontinuities, we have u
L
> u
R
. From the
Rankine-Hugoniot condition we have
s =
f(u
L
) −f(u
R
)
u
L
−u
R
= f

(ζ) ,
for some ζ∈[u
R
, u
L
]. We had assumed f

> 0 (i.e. f is convex) and hence we
finally find that Oleiniks entropy condition implies
f

(u
L
) > s > f

(u
R
) . (1.52)
Sometimes this inequality is also called the entropy condition. The inequality
(1.52) means that the characteristic lines on both sides of the discontinuity run
into the discontinuity. The entropy condition (1.51) of Oleinik has not been
extended to systems of conservation laws. However (1.52) has been extended
by Lax [16].
Example 1.2.7 Traffic flow (shocks and rarefaction waves).
(This example is taken from [17].) Let 0 ≤ ρ(x, t) ≤ ρ
m
denote car density on
a road, and u(x, t) car speed. Because cars don’t disappear we have
ρ
t
+ (ρu)
x
= 0 .
Let u be given as u = u(ρ), e.g. u(ρ) = u
m
(1 − ρ/ρ
m
). Combining both equa-
tions, gives
ρ
t
+ f(ρ)
x
= 0 .
with f(ρ) = ρu
m
(1 −ρ/ρ
m
). We easily derive the characteristic speed
f

(ρ) = u
m
(1 −2ρ/ρ
m
) ,
and the shock speed for a jump in the car density from ρ
L
to ρ
R
:
s =
f(ρ
L
) −f(ρ
R
)
ρ
L
−ρ
R
= u
m
(1 −(ρ
L
+ ρ
R
)/ρ
m
) . (1.53)
The entropy condition implies that a shock must satisfy f


L
) > f


R
), which
implies ρ
L
< ρ
R
. Now, with initial data
ρ(x, 0) =

ρ
L
, x < 0,
ρ
R
, x > 0,
several situations can be distinguished. With 0 < ρ
L
< ρ
R
< ρ
m
a shock wave
travels with speed (1.53). This shock speed can move in the positive or in the
negative direction. With 0 < ρ
R
< ρ
L
< ρ
m
we rather have a “rarefaction
wave’.
Chapter 2
Discretisation Principles
In many cases it is important to obtain quantitative data about physical, tech-
nical or other real-life systems. One may obtain these through measurements.
However, if we have sufficiently accurate mathematical models for a system, we
can also try to derive quantitative data from these models. Models for technical
problems often take the form of a PDE or a system of PDEs, and although much
analytical theory is available for PDEs, most of these equations do not allow an
explicit solution in closed form. Therefore numerical methods are used to get
insight in their quantitative behaviour.
In practice it is clear that there are many restrictions in gathering reliable
data from real-life measurements. In the numerical modelling of these systems,
limitations of accuracy are caused by possible inaccuracies in the mathematical
model, because the model is often a simplification of reality, and also because
there is always a limitation of computing resources.
Numerical mathematics takes the mathematical equations as a starting point
and strives for an efficient and accurate approximation of the the quantitative
data.
2.1 Discrete representation of the solution
In many problems from practice, the solution of a PDE is a steady or time-
dependent (vector-) function in d space variables (d = 1, 2, 3). Thus the solution
is an element of an infinitely-dimensional space, and -in general- it cannot be
described by a finite number of real numbers. Because computational capacity
is always finite, the problem has to be discretised: i.e. the solution has to be
approximated by a function that can be represented by a finite set of numbers.
Example 2.1.1
Let d = 1, and let the solution of the equation be a simple continuous function
u(x), x∈[a, b] = Ω. A few possible ways to represent this function are:
17
18 P.W. Hemker
Piecewise linear Piecewise polynomial
Figure 2.1: Piecewise polynomial approximations
i) a table of equidistant function values
u
i
≈ u(x
i
), i = 0, 1, 2, , N, x
i
= a + i(b −a)/N;
ii) a table of non-equidistant function values
u
i
≈ u(x
i
), i = 0, 1, 2, , N, a ≤ x
0
≤ x
1
≤ ≤ ≤ x
N
≤ b;
iii) a table of function values and values of derivatives of that function (either
equidistant or non-equidistant)
u
i,k
=

d
dx

k
u(x
i
); k = 0, 1; i = 0, 1, 2, , N.
In all these cases the solution at the intermediate values of x can be approxi-
mated by interpolation. This can be done e.g. by a choosing a polynomial, a
spline or a piecewise polynomial as the interpolating function.
Another way to approximate the function is by choosing -a priory- a finite-
dimensional function space, selecting a basis in this space, and determining the
coefficients of the approximation with respect to that basis. Then we have to
select a family of functions ¦φ
i
(x)[i = 1, , N¦, which forms the basis for the
approximating function space, and we compute coefficients ¦a
i
[i = 1, , N¦ so
that the function
φ(x) =
N
¸
i=1
a
i
φ
i
(x) (2.1)
approximates the function that is to be represented.
Possible choices for ¦φ
i
¦ are, e.g. (i) the polynomials φ
i
(x) = x
i
; (ii) gonio-
metric functions ¦φ
i
(x)¦ = ¦1, sin x, cos x, sin(2x), cos(2x), ¦; or (iii) piece-
wise polynomials on a partition of the interval [a, b], e.g. piecewise linear or
piecewise parabolic functions.
To obtain a more accurate approximation of the function u(x), we need -
in general- a denser set of function values or more coefficients to compute. If
Version: September 13, 2004 19
a partition of nodal points is made, or a partition in subintervals, the largest
distance between two neighbouring points, or the size of the largest interval in
the partition is usually denoted by a parameter h. This parameter is called the
mesh-size. For a smaller h the approximation gets (in general) (i) more accurate,
and (ii) more laborious (time-consuming) (”more expensive”) to compute.
We notice that the classification of approximation methods does not yield
disjoint classes of methods. In the representation (2.1) the coefficients may
coincide with function values or values of derivatives. Example (iii) can also
be seen as an interpolation method for a set of function values, given at the
sub-interval endpoints. If there is a set of nodal point ¦x
i
¦ and a set of basis
function ¦φ
i
¦, such that they satisfy the relation
φ
i
(x
j
) = δ
i,j
,
where δ
i,j
denotes the Kronecker delta, the same method can be considered as
a pointwise approximation and as a functional approximation as well.
2.1.1 Discretisation of the domain, solution and equation
In the transformation of the PDE into a finite set of equations, (i.e. in the
discretisation process) it is convenient to distinguish a number of stages:
i) the discretisation of Ω, the domain of definition of the PDE;
ii) the discretisation of u, the solution (i.e. the selection of the representation
for the solution); and
iii) the discretisation of the equation.
Before we describe the techniques how to discretise the equations, we first
describe different methods for the discretisation of the domain and of the solu-
tion.
To find the discrete representation of the solution, one usually selects in the
domain where the PDE is defined, a (regular or irregular) mesh of points, or a
partitioning of the domain in triangles or quadrilaterals (See Figure 2.2 or 2.3).
2.1.2 Finite difference approximation
For the finite difference method (FDM), the domain Ω is represented by a finite
subset of points ¦x
i
¦ = Ω
h
⊂ Ω. These points are the so called “nodal points”
of the grid. This grid is almost always arranged in (uniform or non-uniform)
rectangular manner, see Figure 2.2.
In the finite difference method (FDM) the function u is represented by a
set of function values u
i
that approximate u(x
i
). The discrete equations are
obtained by replacing the differentials in the PDE by finite differences in the
discrete equations.
20 P.W. Hemker
Uniform regular grid Non−uniform regular grid
Figure 2.2: Sets of nodal points in rectangular regions
Figure 2.3: Partition of two-dimensional domains
Version: September 13, 2004 21
Piecewise constant Piecewise linear Piecewise linear
Piecewise quadratic Hermite
piecewise cubic
Figure 2.4: Examples of nodal points in a triangular domain
2.1.3 Finite element approximation
In the finite element method (FEM) the domain Ω is partioned in a a finite set
of elements ¦Ω
i
¦, so that Ω
i
∩ Ω
j
= ∅, for i = j, and ∪Ω
i
= Ω. Usually one
takes for Ω
i
triangles or quadrangles. Then the function is approximated by
u
h
=
¸
a
i
φ
i
(x) ,
where φ
i
are functions that are polynomials on each Ω
i
(i.e. piecewise polyno-
mials). Usually the functions φ
i
are continuous polynomials of a low degree.
Further they are constructed so that their support extends only over a small
number of elements.
2.1.4 Finite volume approximation
In this case the domain Ω is also partitioned in a finite set of volumes (mostly
triangles or quadrangles) so that Ω
i
∩ Ω
j
= ∅, for i = j, and ∪Ω
i
= Ω. Now in
A cell centered (or block centered) finite volume method (FVM), the function u
is approximated by
u
h
=
¸
a
j
φ
j
(x) , (2.2)
where the (possibly discontinuous) functions φ
i
(x) are defined only on a single
volume. or on the boundaries of the volumes.
If there is a single coefficient a
i
associated with each volume (so that a
i
may
represent u(x) for x∈Ω
i
), then the grid is called a block centered or cell centered.
If a (single) coefficient is associated with each vertex, then the method is called
cell vertex (see figure 2.5). If the discretisation is constructed on cells (dashed
lined in Figure 2.5) that are located around vertices of a grid (solid lines), then
the mesh is called vertex centered.
2.1.5 Spectral methods
The function u is again approximated by
u
h
=
¸
a
i
φ
i
(x)
22 P.W. Hemker
Cell centered Cell vertex Vertex centered
Figure 2.5: Examples of nodal points in a quadrangular domain
where the functions φ
i
(x) are defined on all of Ω (they have a support that
extends over more than only a small part of Ω) then the methods are called
global or spectral methods. (We see that the different types of methods are not
always clearly to distinguish.)
2.1.6 Staggered grid
For systems of equations all methods mentioned above are easy to generalise. All
functions can simply be replaced by vector functions. However, it is also possible
to approximate the different (dependent) variables by different representations.
One way is to approximate the different components of the solution on different
point sets. This is the case e.g. with “staggered grids”. We explain this by two
examples.
Example 2.1.2
We consider the Cauchy Riemann equations
(i) u
x
+ v
y
= f
1
(ii) u
y
−v
x
= f
2

on Ω ⊂ R
2
, (2.3)
Ω is a rectangular domain, and Ω is partitioned in a number of equal sub-
rectangles. Approximations are computed for u and v. The values of u are
calculated for the midpoints of the vertical edges, the values of v for the mid-
points of the horizontal edges. The discrete equations corresponding with equa-
tion (2.3(i)) are related with the midpoints of the cells. The discrete equations
corresponding with equation (2.3(ii)) are constructed at the cell vertices.
To understand the character of these equations, we write the Cauchy-Riemann
equations as
L

u
v

=


∂x

∂y

∂y


∂x

u
v

=

f
1
f
2

. (2.4)
We see that
det(L) = −


∂x

2


∂y

2
= −∆.
Version: September 13, 2004 23
u u u u u
u u u u u
u u u u u
u
u u
u u
u
v v v v v
v v v v v
v v v v v v
v v v v v v
v
v
u u u u u
u u u u u
u u u u u
u
u u
u u
u
v v v v v
v v v v v
v v v v v v
v v v v v v
v
v
1 1 1 1 1 1
1 1 1 1 1 1
1 1 1 1 1
1
2 2 2 2
2 2 2 2
2
2
1 1 1 1 1 1
1 1 1 1 1 1
1 1 1 1 1
1
2 2 2 2
2 2 2 2
2
2
variables equations
Figure 2.6: A staggered grid for the Cauchy-Riemann equations
u u u u u
u u u u u
u u u u u
u
u u
u u
u
v v v v v
v v v v v
v v v v v v
v v v v v v
v
v
p p p p p p
p p p p p p
p p p p p p
u u u u u
u u u u u
u u u u u
u
u u
u u
u
v v v v v
v v v v v
v v v v v v
v v v v v v
v
v
p p p p p p
p p p p p p
p p p p p p
Figure 2.7: A staggered grid for Stokes equations
This shows that the system is elliptic and second order. It is also directly seen
by elimination that
1
∆u = div f , or ∆v = −curl f .
The system being second order elliptic, it needs one boundary condition
along all the boundary. We take
u.n
x
+ v.n
y
= v.n = g(x, y) .
In our discrete system, this condition fixes the values of u and v on the boundary.
Now the number of unknowns is 27 (viz. 3 5 for u, and 2 6 for v), and the
number of equations is 28 (3 6 for equation (i), and 2 5 for equation (ii)).
Hence, the system seems to be overdetermined. However, it is easily seen that
the boundary function g(x, y) should satisfy a condition. From u
x
+v
y
= div v =
f
1
, it follows that


u
x
+ v
y
dΩ =


div v dΩ =

∂Ω
v.ndΓ =

∂Ω
g(x, y) dΓ,
1
In three dimensions
curl v =

¸
∂v
3
∂x
2

∂v
2
∂x
3
∂v
1
∂x
3

∂v
3
∂x
1
∂v
2
∂x
1

∂v
1
∂x
2
¸

,
in two dimensions curl v =
∂v
2
∂x
1

∂v
1
∂x
2
.
24 P.W. Hemker
i.e. the compatibility condition


f
1
(x, y) Ω =

∂Ω
g(x, y) dΓ.
Similarly it follows from adding all discrete equations (u
R
−u
L
)/h + (u
T

u
B
)/h = f
1
for each cell, that -in total-
h
¸
k
g
k
= h
¸
i
u
R,i
−h
¸
i
u
L,i
+ h
¸
i
v
T,i
−h
¸
i
v
B,i
= h
2
¸
i
f
1,i
, (2.5)
i.e.
¸
k∈boundary
g
k
= h
¸
i∈interior
f
1,i
(2.6)
Here f
1,i
denotes the value of f
1
(x, y) in the i-th cell in the interior of Ω, and g
k
denotes the value of g(x, y) in the k-th boundary edge element. If the boundary
values satisfy condition (2.6), one (linear) dependence relation exists between
the 28 equations and we get a solvable system of equations.
Example 2.1.3 Stationary Stokes equations
Analogous to the staggered grid for the Cauchy-Riemann equations, we can
construct one for the stationary Stokes equations,

η∆u −p
x
= 0,
η∆v −p
y
= 0,
u
x
+ v
y
= 0.
This can be written as a system with linear differential operator L,
L

¸
u
v
p
¸

=

¸
η∆ 0 ∇
1
0 η∆ ∇
2

1

2
0
¸

¸
u
v
p
¸

=

¸
0
0
0
¸

.
The character of the system of equations is determined by the determinant of
the principle part of the differential operator
detL = η∆ ∇
2
1
+ η∆ ∇
2
2
+ 0 = η∆
2
.
This is a 4-th order elliptic operator, for which we need two conditions over all
of the boundary. The operator ∆ is represented by the finite difference stencil

1
1 −4 1
1
¸
¸
, the operator ∇
1
by

−1 1

and ∇
2
by
¸
1
−1

.
2.2 Techniques for discretisation of PDEs
2.2.1 Finite difference methods
For this method, we have already seen examples. The discrete equation is
constructed by replacing differential operators by difference operators. The
Version: September 13, 2004 25
Figure 2.8: Difference approximation and polynomial interpretation
construction of the difference operators is as follows: in the neighbourhood of a
point x∈Ω the approximation of u(x) is replaced by a truncated Taylor series:
u(x) = a
0
+ a
10
x + a
01
y + a
11
x
2
+ .
With the values u
ij
in the nodal points x
ij
around x, the coefficients a are
expressed in these function values u
ij
. These coefficients a
pq
are associated
with the derivatives of the approximation in x. Now, in the PDE at this point
the differentials are replaced by difference approximations. In this way, for each
unknown u
ij
an equation is set up at the point x
ij
.
For a regular grid, in the interior points of the domain the same difference
approximation can be used. Different difference approximations appear near
the boundary of the domain, or in parts of the domain where the nodal points
are not regularly placed.
In the neighbourhood of x
ij
, the approximation of u(x) is, thus, considered
as a piecewise polynomial (of a low degree). That does not mean that the
complete function u is considered as a polynomial. The interpretation of the
polynomial representation depends on the nodal point where the interpretation
is made.
The (linear or nonlinear) algebraic system of equations that results from the
discretisation process has an important property. By the difference approxima-
tions the value of the unknown function at a particular point is only coupled
with the values at neighbouring points. In this way a “sparse system” of alge-
braic equations appears. The corresponding matrix (of the linearisation) only
contains a few non-zero elements in each row; most entries in the matrix vanish.
Whereas the systems that appear as a result of discretisations can become very
large, they mostly have this nice property, by which the solution can often be
found in a relatively efficient
2
manner. As this property is shared by most dis-
cretisations of PDEs, special methods are sought (and found) for the efficient
solution of such sparse systems of equations.
2
Compared with a full system of equations of the same dimensions.
26 P.W. Hemker
2.2.2 Variational method
Variational method for difference methods
An important class of PDEs, the symmetric elliptic equations, can be written as
a minimisation problem. This gives another possibility to construct the discrete
equations. We show this by means of the Poisson equation
∆u = f, on Ω,
u = 0, on Γ.

This equation can be written as the minimisation problem: find a continuous
function u such that u = 0 on Γ, and
J(u) =

∂u
∂x

2
+

∂u
∂y

2
+ 2fu dΩ
exists and is minimal. (Exists: u
2
x
+u
2
y
and fu should be integrable functions.)
Now we can set up a discrete analogue for this minimisation problem [5].
On a regular square grid (i.e. Ω a rectangle, and square meshes with a meshsize
h) we can write: find u
h
= ¦u
ij
¦ such that u
ij
= 0 on Γ, and
J
h
(u
h
) =
¸
ij

u
i+1,j
−u
i,j
h

2
+

u
i,j+1
−u
i,j
h

2
+ 2f
ij
u
i,j
is minimal. The minimisation of this quadratic functional in the unknowns ¦u
ij
¦
leads to linear system in ¦u
ij
¦. This system also yields a difference equation for
each internal point of the grid.
The variational method for coefficients
For problems that can be written as minimisation problems, we can use the
variational method also if we seek an approximation in the form
u
h
(x, y) =
¸
i
a
i
φ
i
(x, y) .
We take the same example (2.2.2), so that with φ
i
(x, y) = 0 on Γ. Now we
compute the coefficients a
i
such that

¸
i
a
i

∂x
φ
i
(x, y)
¸
2
+

¸
i
a
i

∂y
φ
i
(x, y)
¸
2
+ 2f(x, y)
¸
i
a
i
φ
i
(x, y) dΩ
attains its minimum. This minimisation problem also leads to a linear system,
now in the unknown coefficients (a
i
). The same technique is applicable on
irregular grids.
Version: September 13, 2004 27
2.2.3 Weighted residual methods
A quite general discretisation technique is based on the following consideration.
Let the PDE be given by
^

(u) = s

, on Ω,
^
Γ
(u) = s
Γ
, on Γ,

(2.7)
then, for any function w we have


w

(^

(u) −s

) dΩ +

Γ
w
Γ
(^
Γ
(u) −s
Γ
) dΓ = 0. (2.8)
Or, in an even more general notation, let the equation be ^(u) = s and let
s, ^(u)∈V , with V a Banach space, then for an arbitrary linear functional
l
w
∈V

the equation
3
l
w
(^(u) −s) = 0
is satisfied. Now, let S be a set of functions in which the solution u is sought:
^ : S → V , then the PDE can be formulated as: find u∈S such that
l
w
(^(u) −s) = 0, for all l
w
∈V

.
In a weighted residual method an n-dimensional subspace S
h
⊂ S is selected
and an n-dimensional subspace V
D
h
⊂ V

. The discretisation now reads: find
u
h
∈S
h
such that
l
w
(^(u
h
) −s) = 0 for all l
w
∈V
D
h
.
In this way, the discretisation yields an n n-system of equations.
Of course, there are many different applications of the weighted residual
principle. We will treat the most important.
2.2.4 Collocation methods
Collocation methods are weighted residual methods with the functionals l
w
in
the space V
D
h
that is spanned by
¦l
x
i
[ x
i
∈Ω; i = 1, , N¦ .
Here l
x
i
is defined by
l
x
i
(f) = f(x
i
), for f∈V.
This means that the discrete equations are
^(u
h
)(x
i
) = s(x
i
), for i = 1, , N.
This means that the approximate solution u
h
should satisfy the original PDE
precisely in n given points, where n = dim(S
h
).
3
The dual space of a Banach space V (denoted by V

) is the family of all bounded linear
functionals defined on V , furnished with the obvious addition and scalar multiplication.
28 P.W. Hemker
2.2.5 Galerkin methods
When the functionals l are defined by integrals with integrable weight functions,
we obtain “Galerkin”-methods. Typically l
w
∈V
D
h
is defined by
l
w
(f) =


w(x) f(x) dΩ.
The space V
D
h
is now defined by n linearly independent functions w
i
(x).
If we choose ¦w
i
(x)¦
i=1,2,···,N
, such that V
h
:= span (w
i
) = S
h
then the
methods are called Bubnov-Galerkin methods. An obvious choice is the w
i
= φ
i
.
Then the discrete equations read


φ
j
^(
¸
a
i
φ
i
) dΩ =


φ
j
s dΩ.
If we take V
h
:= span (w
i
) = S
h
, the method is called a Petrov-Galerkin
method.
Almost all usual Finite Elements methods are of the (Bubnov-) Galerkin
type. When applied to symmetric positive definite elliptic PDEs, these methods
can also be regarded as variational methods.
2.2.6 Box methods = Finite Volume methods
Box methods are a special kind of Galerkin methods. Here the domain Ω is
partitioned in a number of volumes ¦Ω
i
¦
i=1,···,N
I.e. Ω
i
∩ Ω
j
= ∅, if i = j, and
∪Ω
i
= Ω. The weight functions are now the characteristic functions on these

i
,
w
i
(x) = 1, if x∈Ω
i
,
w
i
(x) = 0, if x∈Ω
i
,

and the discrete equations read


i
^

¸
a
i
φ
i

dΩ
i
=


i
s dΩ
i
.
The volumes Ω
i
are called “boxes”, “cells” or “control volumes”.
Box methods are particularly popular for the discretisation of equations in
divergence form
div J(u) = s(u), on Ω.
Then the discrete equation gets the form

∂Ω
i
J(u
h
) ndΓ
i
=


i
s(u
h
) dΩ
i
, for i = 1, , N. (2.9)
If the computation of J(u
h
) at an interface between two cells is made consis-
tently for both neighbouring cells, then the discretisation satisfies a discrete
conservation law. This means that for an arbitrary union of cells G = ∪Ω
i
hold:

G
div J(u
h
) dΩ =

G
s(u
h
) dΩ.
Version: September 13, 2004 29
x x x
i−1 i i+1
x x
w e
Figure 2.9: Nodal points and boxes on the real line
2.3 Examples
2.3.1 The diffusion equation
To show the principle of discretisation, in this section we discretise a steady
one-dimensional diffusion equation, with a source-term s and a variable diffusion
coefficient k,

d
dx

k(x)
d
dx
u

= s(x, u), on Ω ⊂ R, (2.10)
together with a boundary condition (e.g. u = 0, on ∂Ω). This may be seen
as the description of heat-conduction through a bar, where u(x) denotes the
temperature, k(x) the heat diffusion coefficient, and s(x, u) the heat generation
per unit length, by some source.
We divide Ω in (unequal) boxes Ω
i
and we choose for each Ω
i
a nodal point
x
i
(see Figure 2.9).
We may choose the box-walls halfway the nodal points, or we may put the
nodal points in the midpoint of the boxes. (Such choice is not relevant at the
moment.)
The discrete approximation is represented by the function values at the nodal
points u
i
≈ u(x
i
). Integration of the equation over Ω
i
yields

x
e
x
w
s(x, u)dx = −

x
e
x
w
(ku
x
)
x
dx = − k(x)u
x
(x)[
x
e
x
w
. (2.11)
To set up the discrete equations we need an approximation of u(x) over

i
, and approximations u
x
(x
e
) and u
x
(x
w
). Starting from u
i
≈ u(x
i
) we can
approximate u, e.g. by
i) taking a constant value u
i
on Ω
i
;
ii) taking a piecewise linear approximation between the nodal points.
With (i) we cannot approximate the r.h.s. of (2.11), but with (ii) we can. Then
we obtain
k(x
e
)
u
i+1
−u
i
x
i+1
−x
i
−k(x
w
)
u
i
−u
i−1
x
i
−x
i−1
= −

x
e
x
w
s(x, u
h
) dx = −s
i
(u
h
) (x
e
−x
w
) ,
(2.12)
where s
i
is the mean value of s(x, u) over the volume Ω
i
.
30 P.W. Hemker
2.3.2 The source term and solution of the system
If s is independent of u, or if s depends linearly on u, then (2.12) is a linear
system of equations that can be solved immediately (as soon as the values of
the endpoints u
0
and u
n
are given) if we take s
i
(u
h
) = s(u
i
).
On the other hand, if s = s(u) is a nonlinear function of u, then (i) s
i
(u
h
)
should be approximated, and (ii) the equation has to be solved iteratively. The
source term s
i
can either be approximated by a constant s
i
:= s
i
(u
(n)
h
), where
the previous approximation u
(n)
h
is used directly to obtain a (hopefully better)
approximation u
(n+1)
h
by (2.12), or by linearisation, i.e. taking a linear approx-
imation of s as s
i
= s
C
i
(u
(n)
h
) + s
L
i
(u
(n)
h
)(u
(n+1)
i
−u
(n)
i
. In this case we have to
adapt (2.12) slightly.
The difference between (i) and (ii) is that in (i) s
i
depends completely on the
previous approximation, whereas in (ii) linear dependence of s on u is taken into
account; s
C
i
and s
L
i
are constants, that have to be determined for each nodal
point. This makes that the linear system to solve is changed:
k(x
e
)
x
i+1
−x
i
u
i+1

k(x
e
)
x
i+1
−x
i
+
k(x
w
)
x
i
−x
i−1
−(x
e
−x
w
)s
L
i
(u
(n)
h
)

u
i
+
+
k(x
w
)
x
i
−x
i−1
u
i−1
= −(x
e
−x
w
)s
C
i
(u
(n)
h
)
(2.13)
where s
L
i
and s
C
i
are such that s
L
i
(u
h
)u
i
+ s
C
i
(u
h
) = s
i
(u
h
). Here, the process
reads: first make an initial estimate for u
h
, then determine s
C
i
(u
h
), and s
L
i
(u
h
),
and solve the linear system (2.13). This process is repeated until convergence
is reached.
The final solution of the two processes (i) and (ii) is the same if
s
i
(u
h
) = s
C
i
(u
h
) + s
L
i
(u
h
) u
i
.
An advantage of the alternative (ii) is that, by a judicious choice of s
L
i
we may
expect that the iterative process (ii) converges faster than process (i). The
processes are identical if we take s
L
i
= 0 for all i. However, if s is a linear
function of u, and if we know s
L
(u) = ds/du, then process (ii) may converge in
one step.
We see that by (2.12) or (2.13) u
i
is only coupled with u
i−1
nd u
i+1
, the
values in the neighbouring cells. Hence the linear system is tridiagonal. This
band structure of the matrix makes that the linear system can be solved very
efficiently.
In the construction of (2.12) we have used the simplest possible representa-
tion for u
h
that still allows an approximation of (ku
x
). Other representations
are possible as well. Apparently, it is not necessary to be consistent in the
choice for u
h
, (i.e. in the assumptions for the approximation of u) when the
different parts in the differential operator are discretised. E.g. we could take
s
i
= s(u
i
) piecewise constant, whereas a piecewise linear approximation was
used to determine u
x
.
Version: September 13, 2004 31
2.3.3 The convection equation
Now we consider the problem

∂x
(v(x)u(x)) = s(u, x), (2.14)
where v(x) is a given function. As a boundary condition we use e.g. u = 0 at
the left boundary of the interval. Integration, analogous to (2.11) gives

x
e
x
w
s(u, x)dx =

x
e
x
w
(vu)
x
dx = v(x)u(x)[
x
e
x
w
. (2.15)
We take the same grid as in (2.3.1) and, again, a piecewise linear approximation
for u
h
. This yields the discrete equation
v(x
e
)
u
i+1
+ u
i
2
−v(x
w
)
u
i
+ u
i−1
2
= s
i
(u
h
) (x
e
−x
w
) . (2.16)
For a constant v(x) = v, this leads to
v
2
(u
i+1
−u
i−1
) = s
i
(u
h
) (x
e
−x
w
) . (2.17)
Here we see that an important problem appears. In the simplest case of a
constant v and s, we see that in equation (2.16) u
i+1
is coupled with u
i−1
only.
The approximations of u at the even nodes are coupled to each other, and also
the values at the odd nodes, but there is no coupling between the odd and
the even nodes. If the problem is defined for 0 ≤ i ≤ N, and the boundary
condition is given at the inflow boundary x
0
(i = 0), then there is no boundary
condition to determine the values at the odd nodes. Because the linear system
is singular there is a family of possible solutions. The homogeneous equation
allows nontrivial solutions. This is also called instability: the discrete solution
is not bounded by the rhs of the discrete equation.
Notice that the technique for the discretisation of the equations in the in-
terior domain cannot be used at the outflow boundary. There a different dis-
cretisation method should be used, because no value u
n
is available. In fact it
is this particular discretisation at the outflow boundary that determines the be-
haviour of the discrete solution at the odd points. We consider this completely
intolerable.
2.4 Techniques for time-discretisation
2.4.1 Time-space discretisation or semi-discretisation
We have seen that (because the time-direction is unique) it makes sense to treat
the time-dependence of a problem different from the space-dependence. The dis-
crete solution is determined in a number of subsequent time-steps. Usually one
uses the same time-steps for all nodal points in a grid. Thus, in a 2-dimensional
32 P.W. Hemker
finite difference discretisation, the solutions are represented by ¦u
n
ij
¦, where
(i, j) denotes the nodal point x
ij
and n the time-coordinate t
n
.
By the special character of the time-variable (the future depends on the past,
and not the past on the future) the values ¦u
n
ij
¦ are computed on basis of the
known values ¦u
k
ij
¦, k = n −1, n −2, .
Another possibility for discretisation of time-dependent PDEs is to defer
the time-discretisation and to apply semi-discretisation: the solution of the
equations is represented by ¦u
ij
(t)¦. The value of the solution at the point
x
ij
(or another coefficient used for the space-discretisation) is considered as a
function in time. Then, the semi-discretised PDE leads to a very large system
of ODEs for the unknown functions ¦u
ij
(t)¦, as e.g. in
d
dt
u
ij
(t) = F
ij
(¦u
kl
(t)¦
kl
), ∀i, j.
For the solution of these equations any suitable technique for the solution of
ODEs can be used.
2.4.2 FDM for a linear hyperbolic problem
In this section we will show and analyse a number of characteristic problems
that are encountered in the treatment of time-dependent problems. We do this
by means of the simple convection equation
∂u
∂t
+

∂x
f(u) = 0. (2.18)
As a grid we simply take a set of equidistant nodal point ¦x
i
¦. Halfway the
nodal points we situate the cell interfaces of the cell Ω
i
at x

1
2
. Integration of
(2.18) over Ω
i
yields

∂t


i
udx + f(u(x))

x=x
i+
1
2
x=x
i−
1
2
= 0 . (2.19)
We represent the discrete approximation by ¦u
i
¦, with u
i
the mean value of u
over the cell Ω
i
. Then we arrive at the equation
(x
i+
1
2
−x
i−
1
2
)

∂t
u
i
(t) + f
x
i+
1
2
−f
x
i−
1
2
= 0 . (2.20)
Here, f
x

1
2
denotes an approximation for f(u(x

1
2
)).
For the space discretisation we use upwind, downwind and central flux com-
putations. To construct a system of equations for the variables ¦u
i
¦ we still
have to decide how we relate f(u(x

1
2
)) to the values of ¦u
i
¦. As in section
2.3.3, one possible choice is
f
x
i+
1
2
=
1
2
(f(u
i
) + f(u
i+1
)),
Version: September 13, 2004 33
the central approximation. Other choices are e.g.
f
x
i+
1
2
= f(u
i
) or f
x
i+
1
2
= f(u
i+1
),
respectively the backward and the forward discretisation
4
.
For convenience we will combine the three choices in one formula, with a
parameter w. After some analysis we make a choice for w. We write
f
i+
1
2
= wf(u
i
) + (1 −w)f(u
i+1
), i = 1, 2, 3, . (2.21)
Now we have completed our semi-discretisation:

∂t
u
i
(t) =
w
∆x
f(u
i−1
) +
1 −2w
∆x
f(u
i
) −
1 −w
∆x
f(u
i+1
), (2.22)
where ∆x = x
i+
1
2
−x
i−
1
2
. We write this equation briefly as

∂t
u
h
(t) = g
h
(u
h
(t)). (2.23)
We realise the time discretisation of (2.23) simply by time-stepping with
steps ∆t. This can be done e.g. by the forward Euler method:
1
∆t

u
h
(t
n+1
) −u
h
(t
n
)

= g
h
(u
h
(t
n
)). (2.24)
In this case the new values u
h
(t
n+1
) are expressed explicitly in the old values
u
h
(t
n
).
An alternative possibility is the backward Euler method:
1
∆t

u
h
(t
n+1
) −u
h
(t
n
)

= g
h
(u
h
(t
n+1
)), (2.25)
or also the Cranck-Nicolson method
1
∆t

u
h
(t
n+1
) −u
h
(t
n
)

= ( g
h
(u
h
(t
n
)) + g
h
(u
h
(t
n+1
)) )/2. (2.26)
These two methods are “implicit” time-discretisation methods. Here we have
to solve a system of equations to compute the new values u
h
(t
n+1
).
We summarise the three possibilities, again, in one parametrised formula:
1
∆t

u
h
(t
n+1
) −u
h
(t
n
)

= (1 −θ)g
h
(u
h
(t
n
)) + θg
h
(u
h
(t
n+1
)) . (2.27)
The fully discretised system reads:
u
n+1
i
−u
n
i
=
∆t
∆x
θ ¦wf
n+1
i−1
+ (1 −2w)f
n+1
i
−(1 −w)f
n+1
i+1
¦+
∆t
∆x
(1 −θ) ¦wf
n
i−1
+ (1 −2w)f
n
i
−(1 −w)f
n
i+1
¦,
(2.28)
4
With ∂f/∂u > 0, the approximation f
x
i+
1
2
= f(u
i
) is called upwind approximation,
because the flow of information is from left to right and for the approximation of f
x
i+
1
2
the
upstream value u
i
is used. The other approximation is called downstream approximation.
34 P.W. Hemker
where f
k
j
represents f(u
k
j
).
In general, to compute u
n+1
i
from u
n
i
, we have to solve a system of nonlinear
equations. Because it is difficult to analyse nonlinear equations we simplify the
problem by linearising it. We set
df
du
= f

constant, and we combine a few
parameters in a single: λ = f

∆t/∆x. Now equation (2.28) becomes
u
n+1
i
−u
n
i
= λθ ¦wu
n+1
i−1
+ (1 −2w)u
n+1
i
−(1 −w)u
n+1
i+1
¦+
λ(1 −θ) ¦wu
n
i−1
+ (1 −2w)u
n
i
−(1 −w)u
n
i+1
¦ .
(2.29)
Having simplified the equation so far, it is simple to solve it also analytically.
We will use this knowledge about the analytic solution to check if our numerical
techniques yield reliable results.
The equation now is u
t
+ f

u
x
= 0, and the solution is ψ(x − f

t) for an
arbitrary initial solution ψ(x) = u(0, x). In time the solution doesn’t really
change, it doesn’t grow or shrink, it only moves with the velocity f

. With the
different possible choices for the numerical method, we can see which properties
of the true solution are inherited by the numerical counterparts.
In order to study the behaviour of the solution of the discrete system, we
consider the behaviour in time of the approximate solution in the domain Ω =
(−∞, +∞), for an initial function u(t
0
, x) = e
jωx
. We use the notation j :=

−1 in order not to interfere with the index i previously used. (We refer to a
textbook in Fourier analysis to understand the relevance of this choice.) The
discrete initial function, then, is
u
0
i
= e
jωhi
.
Using equation (2.29) we see immediately that the solution at a later stage is
given by
u
n
i
= γ
n
e
jωhi
, (2.30)
where γ is a complex number that satisfies
γ −1 = λθ ¦wγe
−jωh
+ (1 −2w)γ −(1 −w)γe
+jωh
¦+
λ(1 −θ) ¦we
−jωh
+ (1 −2w) −(1 −w)e
+jωh
¦ .
(2.31)
This can also be written as
γ =
1 + λ(1 −θ)¦(1 −2w) + we
−jωh
−(1 −w)e
+jωh
¦
1 −λθ¦(1 −2w) + we
−jωh
−(1 −w)e
+jωh
¦
(2.32)
=
1 + λ(1 −θ)¦(1 −2w)(1 −cos(ωh)) −j sin(ωh)¦
1 −λθ¦(1 −2w)(1 −cos(ωh)) −j sin(ωh)¦
;
γ is the amplification factor for the time-integration: [u
n
i
[ = [γ[
n
. The solutions
increases for t → ∞ if [γ[ > 1, and it decreases for [γ[ < 1. We see that
[γ[
2
=
¦1 + λ(1 −θ)(1 −2w)(1 −cos(ωh))¦
2
+ λ
2
(1 −θ)
2
sin
2
(ωh)
¦1 −λθ(1 −2w)(1 −cos(ωh))¦
2
+ λ
2
θ
2
sin
2
(ωh)
(2.33)
Now we want to study the effect of the parameter w, that was introduced in
the space discretisation, and of θ that was introduced in the time discretisation.
Further we can see what is the effect of the parameter λ.
Version: September 13, 2004 35
• If w =
1
2
(i.e. for central discretisation in space) equation(2.33) reduces to
[γ[
2
=
1 + λ
2
(1 −θ)
2
sin
2
(ωh)
1 + λ
2
θ
2
sin
2
(ωh)
, (2.34)
and we find
[γ[ < 1 ⇔ (1 −θ)
2
≤ θ
2
⇔ θ ≥
1
2

Depending on θ we can draw the following conclusion:
i) θ =
1
2
⇔ [γ[ = 1. This implies neutral stability (Crank-Nicolson).
ii) θ = 0 ⇔ [γ[ > 1. This means unconditional instability (forward Euler).
iii) θ = 1 ⇔ [γ[ < 1. This means unconditional stability (backward Euler).
• If w = 1 (i.e. for “backward” discretisation in space)
stability ⇔ [γ[ ≤ 1 ⇔ λ(λ(1 − 2θ) −1) ≤ 0. Depending on the sign of f

we find:
– f

> 0 ⇔ λ > 0 ⇔ stability for: λ(1 −2θ) ≤ 1.
This implies stability for θ ≥
1
2
. If θ <
1
2
stability may depend on λ;
stability is obtained for λ ≤
1
1−2θ
and we obtain stability only for λ
(i.e. the time-step) small enough.
– f

< 0 ⇔ λ < 0 ⇔ stability for: λ(1 −2θ) ≥ 1.
This implies instability for θ∈[0,
1
2
]. If θ >
1
2
then stability is guar-
anteed for [λ[ ≥
1
2θ−1
and we obtain stability only for λ large (!)
enough.
• If w = 0 (i.e. for “forward” discretisation in space)
stability ⇔ [γ[ ≤ 1 ⇔ λ(λ(1 −2θ) + 1) ≤ 0
– f

> 0 ⇔ λ > 0 ⇔ stability for λ(1 −2θ) ≤ 1.
This implies instability for θ∈[0,
1
2
]; if θ >
1
2
then get stability for
[λ[ ≥
1
2θ−1
, i.e. only for λ large(!) enough.
– f

< 0 ⇔ λ < 0; this implies stability for θ ≥
1
2
; if θ∈[0,
1
2
] we get
stability for [λ[ ≤
1
1−2θ
, i.e. we obtain stability for λ small enough.
We recognise a symmetry If f

> 0 then w = 1 corresponds with upwind dis-
cretisation and w = 0 with downwind; with f

< 0 it is the other way. We
notice that the upwind discretisation is unconditionally stable when θ ≥
1
2
. For
θ <
1
2
it is stable if the time-step is small enough. The downwind discretisation
is unstable for all reasonable cases.
2.4.3 The equivalent differential equation
In this section we study the local discretisation error (i.e. the amount to which
the true solution -at the nodal points- does not satisfy the discrete equation
5
)
5
For the differential operator L : X →Y and its discrete operator L
h
: X
h
→Y
h
, and the
restriction operators R
h
: X →X
h
and R
h
: Y →Y
h
, we remember the definitions for global
36 P.W. Hemker
for (2.28). We consider again the linear problem

∂t
u + f


∂x
u = 0, (2.35)
and its discretisation equation (2.28). We can write (2.29) also as
u
n+1
i
−u
n
i
= −λθ¦
1
2
(u
n+1
i+1
−u
n+1
i−1
) + (
1
2
−w)(u
n+1
i+1
−2u
n+1
i
+ u
n+1
i−1
)¦+
−λ(1 −θ)¦
1
2
(u
n
i+1
−u
n
i−1
) + (
1
2
−w)(u
n
i+1
−2u
n
i
+ u
n
i−1
)¦.
(2.36)
In order to compute the local truncation error, we expand the function u(x, t)
in a Taylor series around the point x = x
i
, and t

= t
n
+ θ∆t. We denote
u

:= u(x
i
, t

). We obtain
(i) u
n
i
= u

−θ∆t

∂u
∂t

+
1
2
θ
2
∆t
2


2
u
∂t
2

+O(∆t
3
);
(ii) u
n+1
i
= u

+ (1 −θ)∆t

∂u
∂t

+
1
2
(1 −θ)
2
∆t
2


2
u
∂t
2

+O(∆t
3
);
(iii) u
i−1
= u
i
−∆x

∂u
∂x

i
+
1
2
∆x
2


2
u
∂x
2

i
+O(∆x
3
);
(iv) u
i+1
= u
i
+ ∆x

∂u
∂x

i
+
1
2
∆x
2


2
u
∂x
2

i
+O(∆x
3
);
(v)
1
2
(u
i+1
−u
i−1
) = +∆x

∂u
∂x

i
+O(∆x
3
);
(vi) (u
i+1
−2u
i
+ u
i−1
) = ∆x
2


2
u
∂x
2

i
+O(∆x
3
);
(vii)

∂u
∂x

n
i
=

∂u
∂x

−θ ∆t


2
u
∂x∂t

+O(∆t
2
);
(viii)

∂u
∂x

n+1
i
=

∂u
∂x

+ (1 −θ) ∆t


2
u
∂x∂t

+O(∆t
2
);
(ix) (1 −θ)

∂u
∂x

n
i
+ θ

∂u
∂x

n+1
i
=

∂u
∂x

+O(∆t
2
);
(x) (1 −θ)


2
u
∂x
2

n
i
+ θ


2
u
∂x
2

n+1
i
=


2
u
∂x
2

+O(∆t
2
).
(2.37)
Substitution of this in (2.36) yields for the left-hand-side
u
n+1
i
−u
n
i
= ∆t

∂u
∂t

+
1
2
(1 −2θ)∆t
2


2
u
∂t
2

+O(∆t
3
) =
and for the right-hand-side
−λθ

∆x

∂u
∂x

n+1
i
+ (
1
2
−w)∆x
2


2
u
∂x
2

n+1
i
+O(∆x
3
)

−λ(1 −θ)

∆x

∂u
∂x

n
i
+ (
1
2
−w)∆x
2


2
u
∂x
2

n
i
+O(∆x
3
)
¸
= −λ

∆x

∂u
∂x

+O(∆t
2
)

+ (
1
2
−w)∆x
2


2
u
∂x
2

+O(∆t
2
)
¸
+O(∆x
3
) .
discretisation error
|u(x
i
) −u
i
| = |(R
h
u)
i
−u
i
|,
and for the local discretisation error
|(L
h
R
h
u −R
h
Lu)
i
|.
Version: September 13, 2004 37
Making use of the parameter λ = f

∆t/∆x we get the expression for the trun-
cation error (in equation (2.36) τ

(u) = rhs − lhs)
τ

(u)
∆t
= −

∂u
∂t

−(
1
2
−θ)∆t


2
u
∂t
2

+O(∆t
2
)
−f

∂u
∂x

+O(∆t
2
) + (
1
2
−w)∆x


2
u
∂x
2

+O(∆x
2
)

= (θ −
1
2
)∆t


2
u
∂t
2

+ f

(w −
1
2
)∆x


2
u
∂x
2

+O(∆x
2
) +O(∆t
2
) .
This means that the method is first order consistent in time and space. If θ =
1
2
it is second order in time, and if w =
1
2
it is second order in space.
Differentiating the PDE (2.35) we find that u
tt
= (f

)
2
u
xx
, so that the
principal term in the truncation error can be written as
f

¸
(θ −
1
2
)f

∆t + (w −
1
2
)∆x

u
xx
= (2.38)
f

∆x
¸
(θ −
1
2
)λ + (w −
1
2
)

u
xx
=
num
u
xx
. (2.39)
So, we may see the difference scheme as a second order discretisation of a mod-
ified equation (or the equivalent differential equation)
u
t
= f

∆x
¸
(θ −
1
2
)λ + (w −
1
2
)

u
xx
−f

u
x
. (2.40)
For this reason
num
is also called the numerical diffusion of the difference
scheme.
Remark:
Notice that the stability of the difference scheme as studied in Section 2.4.2
corresponds exactly with a positive numerical diffusion!
The numerical diffusion, however, can cause problems in a convection diffu-
sion problem if the diffusion coefficient in the equation is (much) smaller than
the numerical diffusion. The numerical diffusion may then overrule the ‘physi-
cal’ diffusion, and the discrete solutions are much more smeared than the true
solution of the differential equation.
If we make computations with one of the above schemes, we notice:
(i) the numerical diffusion can have a significant effect;
(ii) the second order scheme (without numerical diffusion) shows an “overshoot”,
i.e in the numerical solutions maxima or minima appear that do not exist in the
true solution;
(iii) unstable scheme are useless.
38 P.W. Hemker
Example 2.4.1
We solve the equation
u
t
= 0.01 u
xx
−u
x
on the domain t ≥ 0, x ≥ 0, with initial condition u = 0 at t = 0, and boundary
condition u = 1 at x = 0 (at the “inflow” boundary). We discretise the term
u
xx
by
u
xx

1
2
(u
n+1
i+1
−2u
n+1
i
+ u
n+1
i−1
) +
1
2
(u
n
i+1
−2u
n
i
+ u
n
i−1
) .
The other terms are discretised by (2.29), and we solve the problem for different
values of w and θ. In the Figures 2.10 and 2.11 we show the results for t = 1
(and in Figure 2.12 for t = 0.5). We take a fixed ∆x = 0.01 and either ∆t = 0.05
(λ = 0.5) or ∆t = 0.1 (λ = 1.0). For comparison the true solution is also shown,
as well as the solution of the modified equation
u
t
= (0.01 +
num
)u
xx
−u
x
.
Version: September 13, 2004 39
∆t = 0.1 ∆t = 0.05
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o o o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
θ = 1,
num
= 0.1 θ = 1,
num
= 0.075
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o o o o
o
o
o
o
o
o
o
o
o
o
o
o
o
o o o
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o o o
o
o
o
o
o
o
o
o
o
o
o
o
o
o
o o o
θ = 0.5,
num
= 0.05 θ = 0.5,
num
= 0.05
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o o o o o o
o
o
o
o
o
o
o
o o o o o o o
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o o o o
o
o
o
o
o
o
o
o
o
o
o
o
o o o o
θ = 0,
num
= 0.0 θ = 0,
num
= 0.025
Figure 2.10: Numerical solution of the convection diffusion equation
In all figures the numerical solution is given for t = 1; The true sulution is
given by the solid line; the dashed line represents the solution of the modified
equation. The dotted line is the numerical approximation; obtained with
upwind space discretisation: w = 1.0, ∆x = 0.1.
40 P.W. Hemker
∆t = 0.1 ∆t = 0.05
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o o o o
o
o
o
o
o
o
o
o
o
o
o
o
o
o o o
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o o o o
o
o
o
o
o
o
o
o
o
o
o
o
o o o o
θ = 1,
num
= 0.05 θ = 1,
num
= 0.025
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o
o o
o
o
o
o
o
o
o
o
o
o
o
o o o o o o
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o o o o
o o
o
o
o
o
o
o
o
o
o
o o o o o
θ = 0.5,
num
= 0.0 θ = 0.5,
num
= 0.0
0
0.5
1
1.5
2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o
o
o
o
o
o
o
o
o
o
o
o o o o o o o o o o
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o o
o
o
o
o
o
o
o
o
o
o
o
o
o o o o o o o
θ = 0,
num
= −0.05 θ = 0,
num
= −0.025
Figure 2.11: Numerical solution of the convection diffusion equation
In all figures the numerical solution is given for t = 1; The true sulution is
given by the solid line; the dashed line represents the solution of the modified
equation. The dotted line is the numerical approximation; obtained with
central space discretisation: w = 0.5, ∆x = 0.1.
Version: September 13, 2004 41
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o
o
o
o
o
o
o
o o o o o o o o o o o o o o
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
o
o
o
o
o
o
o
o
o o o o o o o o o o o o o
∆t = 0.1,
num
= −0.05 ∆t = 0.05,
num
= −0.025
Figure 2.12: Numerical solution of the convection diffusion equation
In these figures the numerical solution is given for t = 0.5; The true sulution is
given by the solid line; the dashed line represents the solution of the modified
equation. The dotted line is the numerical approximation; obtained with
central space discretisation (w = 0.5), and forward Euler time-discretisation
(θ = 0), ∆x = 0.1.
Figure 2.13: Non-conservative interpolation
42 P.W. Hemker
2.5 Criteria for good discretisation methods
In this section we want to summarise a set of rules and give criteria that can
help us to find good discretisation methods. The last three rules are taken from
[19].
Rule 1. If the number of nodal points (coefficients for the representation)
increases we may expect (and we should require) that the discrete solutions con-
verge to a true solution of the continuous problem.
This property of a discretisation is usually mathematically formulated by an
asymptotic statement: if the mesh-width h of the discretisation is sufficiently
small, the discretisation error (in the solution) (in some norm) should vanish
(at some rate) as h tends to zero.
Rule 2 Often we wish more than only an asymptotic validity. We wish
that a reasonably accurate solution is already obtained for a reasonably fine (=
reasonably coarse) grid. We do not want to construct an extremely fine grid
before we can be sure about the value of the approximation.
This requirement is more difficult to formulate mathematically. Often it
is expressed that we want to obtain a “physically realistic” solution. I.e. one
requires that the discrete solution -already for a coarse grid- shows the same
“global character” as the continuous solution.
For example, if it is known that the continuous solution is positive or mono-
tone, one often requires that also the discrete solution is positive or monotone.
E.g. (i) if concentrations of a chemical are computed, one doesn’t like to find
negative concentrations by approximation errors; (ii) for the stationary solu-
tion of a heat-conduction problem without sources or sinks, one requires that
the temperature as computed does not show local extrema; (iii) if the continu-
ous equation describes a conservation law, one requires that also the computed
quantity is not created or does not disappear in the computation.
For the class of (hyperbolic) problems in conservation form it is relatively
simple to satisfy the requirement that the discrete equations satisfy the conser-
vation law, not only globally, for all Ω, but also locally, for each cell Ω
e
of the
discretisation of Ω.
A class of (elliptic) problems for which the requirement of “physical rele-
vance” is usually not too hard to satisfy, are those problems that can be formu-
lated as a minimisation problem. For such symmetric elliptic problems a convex
functional exists that is minimised by the solution of the PDE.
Often the functional has a physical meaning (e.g. the energy left in the
system) and, therefore, the minimising element in a subspace satisfies automat-
ically the requirement of physical relevance. Some discretisation methods (finite
element methods) find this minimising approximate solution.
Rule 3: Obeying the conservation law. A conservation law is most
reliably discretised if the discrete system satisfies the law on each sub-element
of the discretisation separately. In order to satisfy the conservation law locally
in a box method, the flux over box-interfaces should be computed consistently.
I.e. the computed flux J(u) n over the box interface should be the same when
it represents the flow out of the one cell or when it represents the flow into the
Version: September 13, 2004 43
other. The explanation is simple: the amount of the conserved quantity that
leaves the one cell should reappear (exactly) in the other cell.
Example 2.5.1
If we use a three-point, parabolic approximation to compute the flux over the
right boundary of cell Ω
i
(fig.2.13) then the requirement of conservation is not
fulfilled. If we take the two-point linear approximation the conservation require-
ment is satisfied.
Example 2.5.2
See Section 2.3.1. In equation (2.12) we have (correctly) approximated J(u) by
J(u) = k(x
i+
1
2
)
u
i+1
−u
i
x
i+1
−x
i
.
If in equation (2.12) we had approximated k(x) by k(x
i
), then the discretisation
would not have been conservative.
Rule 4: Trivial (constant) solutions should satisfy the discrete so-
lution.
If a differential operator only contains derivatives of a dependent variable,
then with an approximate solution u also u + constant should be a solution of
the discrete equations. I.e. the constant function should be in the kernel of the
discrete operator. (The row-sum of the linearisation of the discrete operator
should vanish.)
This rule can be seen as an instance for the more general principle: Seeking
a good discretisation for a complex (intricate) operator, it makes sense to find a
discretisation that -at least- satisfies basic requirements for most simplifications
of the problem. (A good method for a problem is also a good method for any
simplification of that problem.)
Rule 5: Guaranteed positivity of the solution. In order to guarantee
the positivity of the solution (in the absence of sources and sinks) for the lin-
earisation of the discrete operator, the diagonal and the off-diagonal elements
of the Jacobian matrix should have different signs.
Explanation: If we write the linearised discrete equation for one space di-
mension as
a
i
u
i
= a
i−1
u
i−1
+ a
i+1
u
i+1
+ s
i
(2.41)
the coefficients a
i
, a
i−1
and a
i+1
should have the same sign to guarantee that
for all possible u
i−1
and u
i+1
. The same argument is simple to generalise for
two or three dimensions.
For discretisations with a higher order of accuracy (than one) it is difficult
(often impossible) to satisfy this requirement. For higher order discretisations
more non-zero diagonals appear in the linearised operator.
The fifth rule allows an extension for the case that a source term is present.
First, if the source term is neglected the discretisation should satisfy rule 5.
Further, (ii) if there is a source term, it should not disturb the positivity (mono-
tonicity).
44 P.W. Hemker
Let s(u) the source term in the equation Lu = s(u) allow the linearisation
s(u) ≈ s
C
+ s
L
+ u, then the discretisation of Lu = s(u) leads to (see sect
(2.3.2))
(a
i
−s
L
i
)u
i
= a
i−1
u
i−1
+ a
i+1
u
i+1
+ s
C
i
,
then s
L
i
and a
i
should have opposite signs.
Chapter 3
Finite Element Methods
3.1 Introduction
This chapter is devoted entirely to the subject of Finite Elements. First we
give a number of examples that also will be treated later in applications of the
method. Then we give the theoretical foundation of the method. Subsequently
we discuss how the method can be used in practice and finally we show how
accurate the method is.
Excellent reference books on the subject are, e.g., [2] and [3].
3.2 Examples of boundary value problems
The finite element method is best applied to (partial) differential equations in
variational form. This is best illustrated by means of elliptic equations, which
are always of even order. In this section we discuss a number of typical examples
we will frequently use. Although we will restrict ourselves in these lectures to the
examples, in general we can apply the FEM also to systems of PDEs, nonlinear
equations or problems that involve differentiation in time.
3.2.1 One-dimensional second order
The simplest problem we meet is the homogeneous Dirichlet two-point boundary-
value problem (TPBVP) on an interval Ω = [a, b] ⊂ R:
−(a
2
u
x
)
x
+ a
1
u
x
+ a
0
u = f,
u(a) = u(b) = 0.
For smooth functions a
2
, a
1
, a
0
and f, and a
2
> 0, it is known that this problem
has a unique solution.
45
46 P.W. Hemker
3.2.2 Two-dimensional second order
An example of a two-dimensional, second-order, elliptic equation is the steady-
state convection-diffusion equation
∇ (D∇ψ) −∇ (ψv) = f on Ω ⊂ R
2
, (3.1)
where ψ(x, y) is the unknown function (for instance the temperature or the
density of some matter), v(x, y) is a (given) velocity field, D(x, y) a diffusion
tensor, and f(x, y) is the source function. Special examples are the diffusion
equation (v = 0), the potential equation (v = 0, D is is the identity matrix)
and the Laplace equation (v = 0, D is is the identity matrix, f = 0). Because
of the special difficulties in the numerical treatment of the convection diffusion
equation, we will discuss it in more detail in a later chapter.
We write the linear two-dimensional second-order equation in its most gen-
eral form:
a
11
u
xx
+ 2a
12
u
xy
+ a
22
u
yy
+ a
1
u
x
+ a
2
u
y
+ a
0
u = f, (3.2)
on a domain Ω ⊂ R
2
, where the coefficients a
ij
, a
i
and f are functions of x and
y.
We assume the equation to be elliptic on Ω, which means the coefficients of
the principle part of (3.2) satisfy
a
11
ξ
2
1
+ 2a
12
ξ
1
ξ
2
+ a
22
ξ
2
2
= 0, ∀ξ = (ξ
1
, ξ
2
) = (0, 0) ∈ Ω. (3.3)
It is easy to see that (3.3) is equivalent with a
2
12
< a
22
a
11
. The sign of a
11
completely determines the sign of the left hand side of (3.3).
Define the coefficient matrix by
A =

a
11
a
12
a
12
a
22

,
then (3.3) is equivalent with
ξ
T
A ξ > 0, ∀ξ = 0,
i.e. the matrix A is positive definite.
The elliptic equation (3.2) is defined on an open connected domain Ω ⊂ R
2
,
and to obtain a unique solution we have to provide boundary conditions. It
appears that we need one condition along all the boundary Γ := ∂Ω. This
boundary condition can be of the form
u = g on Γ, (3.4)
or, more generally,
∂u
∂n
+ b
1
∂u
∂s
+ b
0
u = h on Γ, (3.5)
where n is the outward unit normal on Γ and s is the vector tangent to the
boundary. Boundary conditions of type (3.4) are called Dirichlet conditions,
boundary conditions of the form (3.5) mixed conditions. The special case when
b
0
= b
1
= 0 is called Neumann condition.
Version: September 13, 2004 47
Theorem 3.2.1 If the coefficients in equation (3.2) are taken constant, the
principle part
a
11
u
xx
+ 2a
12
u
xy
+ a
22
u
yy
can be reduced to the form
∆u
by a linear coordinate transformation.
Proof: First we notice that the principle part of (3.2) can be written as
(∇, A∇u), where we use the notation ∇ = (∂/∂x, ∂/∂y)
T
. We also define

= (∂/∂ξ, ∂/∂η)
T
. The transformation we need is of the form:

ξ
η

= T

x
y

.
A direct consequence is (ξ, η) = (x, y) T
T
. Also easy to check are

∂/∂ξ
∂/∂η

(ξ, η) = I,
and a similar expression for the other coordinates. Assuming the existence of a
W so that ∇ = W∇

we see
T
T
=

∂/∂x
∂/∂y

(x, y) T
T
=

∂/∂x
∂/∂y

(ξ, η)
= W

∂/∂ξ
∂/∂η

(ξ, η) = W.
Hence ∇ = T
T

, and we write the principle part as:
(∇, A∇u) = (T
T

, AT
T

u)
= (∇

, TAT
T

u),
by the definition of adjoint. Because A is positive definite we can choose T
such that TAT
T
= D, with D = diag¦α
11
, α
22
¦, where α
11
, α
22
are positive.
Because both α
11
and α
22
are positive we can reduce the principle part of the
elliptic equation by a simple scaling to
∆u.
This completes the proof.
A transformation of equation (3.2) along the lines of the above theorem reduces
the equation to
−∆u + β
1
u
x
+ β
2
u
y
+ β
0
u = f. (3.6)
By an additional transformation of the dependent variable u we can remove the
first order terms from (3.6). A substitution
u(x, y) = v(x, y) exp¦
1
2

1
x + β
2
y)¦
48 P.W. Hemker
reduces (3.6) to
−∆v + [β
0
+
1
4

2
1
+ β
2
2
)]v = f(x, y) exp¦−
1
2

1
x + β
2
y)¦.
Note that the right hand side of the equation is weighted by an exponential
factor. In case of variable coefficients β
j
, if the field

β is rotation free (.e., if


β = 0, so that there exists a B(x, y) such that

β = ∇B ≡ grad B), we use
the transformation
u(x, y) = v(x, y) exp¦
1
2

β dx¦. (3.7)
Inserting this in (3.6) gives
−∆v + [β
0
+
1
4

2
1
+ β
2
2
) −
1
2
((β
1
)
x
+ (β
2
)
y
)]v = f exp ¦−
1
2

β dx¦.
For constant β’s this is the same as the previous reduced equation.
These computations show that any uniqueness/existence result we obtain
for −∆u + au = f will also be valid for the general case. To understand the
existence and uniqueness of such problem, in Section 3.3 we will discuss parts
of the theory on elliptic partial differential equations.
3.2.3 Fourth order problems
The results on existence and uniqueness of elliptic problems are also applicable
to fourth order elliptic problems like the biharmonic problem

2
u = f in Ω,
u = 0 on Γ,
∂u
∂n
= 0 on Γ.
To this form we may reduce the Stokes problem in fluid dynamics and it also
models the displacement of a thin elastic plate, clamped at its boundary, under
a transversal load.
We may consider the one-dimensional homogeneous biharmonic problem on
[a, b] ⊂ R, e.g.,
a
2
u
xxxx
−a
1
u
xx
+ a
0
u = f,
u(a) = u(b) = u

(a) = u

(b) = 0.
3.3 Abstract Elliptic Theory
A powerful tool to prove the existence and uniqueness of solutions of PDEs of
elliptic type is the (generalised) Theorem of Lax-Milgram 3.3.18, which can be
seen as a variant of the Riesz Representation Theorem 3.3.13. To formulate
this theory properly we first introduce some basic notions. After this we state
the theorem and give a number of applications.
Version: September 13, 2004 49
3.3.1 Introduction to Functional Analysis
Vector-spaces
A linear space or vector space X is a non-empty set of elements, provided with
an addition and a scalar multiplication over a scalar field K. These operations
satisfy (for all x, y ∈ X and scalars α, β ∈ K) the following properties
1. x + y = y + x,
2. x + (y + z) = (x + y) + z,
3. ∃! 0 ∈ X, such that 0 + x = x + 0 = x,
4. ∀x ∈ X, ∃(−x) ∈ X such that x + (−x) = 0,
5. α(x + y) = αx + αy,
6. (α + β)x = αx + βx,
7. (αβ)x = α(βx),
8. 1 x = x. where 1 ∈ K.
The usual fields are the fields of the real (K = R) or the complex (K = C)
numbers.
A normed linear space is a linear space X provided with a norm | |, i.e.
a mapping X → R, that satisfies for all x ∈ X and every scalar α ∈ K the
properties
1. |x| ≥ 0,
2. |x| = 0 ⇐⇒ x = 0,
3. |x + y| ≤ |x| +|y|,
4. |αx| = [α[ |x|.
Property 3 is called the triangle inequality. A semi-norm is a similar mapping
satisfying 1, 3 and 4, but not necessarily 2. Two norms |.| and |.|

are called
equivalent if there exist c, C > 0, such that for all u ∈ X
c|u| ≤ |u|

≤ C|u|.
An inner product space is a linear space X provided with a mapping (, ) :
X X → K (the inner product or scalar product), such that for all x, y ∈ X
and scalars α, β ∈ K
1. (αx + βy, z) = α(x, z) + β(y, z);
2. (x, y) = (y, x);
3. (x, x) ≥ 0, and (x, x) = 0 ⇐⇒ x = 0.
50 P.W. Hemker
Here z denotes the complex conjugate of z ∈ C.
We say that two elements x and y of an inner product space X are perpen-
dicular to each other (notation x ⊥ y) if (x, y) = 0.
Every inner product space is a normed linear space because we can define a
norm:
|x| :=

(x, x), ∀x ∈ X.
Quite useful is the Cauchy-Schwarz inequality:
[(x, y)[ ≤ |x||y|. (3.8)
Equality holds in (3.8) if and only if x and y are linearly dependent.
With the norm we have introduced a metric or distance ρ(x, y) = |x − y|.
So we can discuss the convergence of Cauchy sequences in X and the closure X.
A Banach space is a normed linear space which is closed in the given norm. This
means that every Cauchy sequence converges in the norm given. Such spaces
for which X = X are called complete. A Hilbert space is a inner product space
which is closed in the norm induced by the inner product. Note that different
norms can cause different closures and that a space can be a Banach space when
equipped with one norm but will not be a Banach space in another norm. A
subset M ⊂ X is said to be dense in X if M = X. The set X is separable
if it contains a countable dense subset, or equivalently if it contains a dense
sequence.
We conclude this section with some elementary results on Banach and Hilbert
spaces.
Lemma 3.3.1 A closed linear subspace Y of a Banach space X is also a Banach
space.
Lemma 3.3.2 Let V be a closed linear subspace of a Hilbert space H and
V = H. Then there is a space V

(the orthogonal complement) with V ⊥ V

such that each element e ∈ H can be uniquely written as e = u+v, where u ∈ V
and v ∈ V

Corollary 3.3.3
Let V be a closed linear subspace of a Hilbert space H (V = H), then there
exists an element e = 0 in H such that for all v ∈ V :
(v, e) = 0.
Corollary 3.3.4
Let V be a closed linear subspace of a Hilbert space H and let u ∈ H. If
P : H → V is the orthogonal projection on V , then Pu ⊥ u −Pu. Further
(Pv, w) = (v, Pw)
for all v, w ∈ H, P
2
= P and |P| = 1.
Version: September 13, 2004 51
Function spaces
Functions on Ω (mappings Ω →R or Ω →C) can be considered as elements of
linear spaces. Such linear spaces are called function spaces. Here and in what
follows we denote by Ω an open set Ω ⊂ R
d
. The boundary of Ω is denoted by
Γ = ∂Ω. This boundary is supposed to be Lipschitz continuous
1
.
Before we give examples of function spaces we first introduce the multi-
integer or multi-index notation for higher derivatives of functions in more vari-
ables. Let Ω ⊂ R
d
then we will denote the i-th partial derivative D
i
u of the
function u by:
D
i
u = (

∂x
i
)u, i = 1, 2, . . . d.
Further we introduce a multi-index α = (α
1
, α
2
, . . . α
d
) ∈ N
d
and we write
[α[ = α
1
+ α
2
+ . . . + α
d
.
Then the α-th derivative of u is
D
α
u = D
α
1
1
D
α
2
2
D
α
d
d
u = (

∂x
1
)
α
1
(

∂x
2
)
α
2
(

∂x
d
)
α
d
u. (3.9)
We will now give a number of examples of function spaces as well as norms
and inner products we can define on them.
(
0
(Ω) is the space of all continuous functions defined on Ω and
(
m
(Ω) = ¦u ∈ (
0
(Ω); D
α
u ∈ (
0
(Ω), ∀ [α[ ≤ m¦.
As the elements of these spaces are not necessarily bounded functions we also
introduce the space
(
m
(Ω) = ¦u ∈ (
m
(Ω); D
α
u are bounded and uniformly continuous on Ω,
∀ 0 ≤ [α[ ≤ m¦.
This is a Banach space with norm
|u|
C
m
(Ω)
= max
|α|≤m
sup
x∈Ω
[D
α
u(x)[, (3.10)
in which α is a multi-integer. We will also use the associated semi-norms:
[u[
C
m
(Ω)
= max
|α|=m
sup
x∈Ω
[D
α
u(x)[. (3.11)
The space (

0
(Ω) is the subset of all functions in C

(Ω) with compact support:
the function values and the derivatives vanish on the boundary. Analogously
we define the subsets (
m
0
(Ω) of (
m
(Ω).
1
A boundary Γ of a subset Ω of a d-dimensional space is Lipschitz continuous if it is locally
a sufficiently smooth (d − 1)-dimensional manifold. In effect we can define an outward unit
normal n a.e. on Γ. See [27].
52 P.W. Hemker
Example 3.3.5
Consider the function f : R
d
→R defined by
f(x) =

exp(
1
|x|
2
−1
) [x[ < 1,
0 [x[ ≥ 1.
This function is arbitrarily often differentiable and its support is the unit ball
T
d
= ¦x ∈ R
d
[ [x[ ≤ 1¦. Then f ∈ (

0
(R
d
).
Further we define the Lebesgue-spaces of integrable functions [30]. First, L
p
(Ω),
1 ≤ p < ∞, is the set of functions u on Ω, such that [u[
p
is Lebesgue integrable.
On L
p
(Ω) we define the (obvious) norm:
|u|
L
p
(Ω)
:=


[u(x)[
p
dx
1
p
. (3.12)
As a particular case , L
2
(Ω) is a Hilbert space with inner product:
(u, v)
L
2
(Ω)
:=


u(x)v(x)dx. (3.13)
By L
p
(Ω) with p = ∞ we denote the space L

(Ω) of essentially bounded
functions, with norm
|f|
L

(Ω)
:= ess sup
x∈Ω
[f[ = inf¦λ ∈ R [ [f(x)[ ≤ λ a.e.¦. (3.14)
Lemma 3.3.6 (

0
(Ω) ⊂ L
2
(Ω) and (

0
(Ω) is densely embedded in L
2
(Ω).
Proof: See [1].
Remark:
As (

0
(Ω) is densely embedded in L
2
(Ω) we can say that L
2
(Ω) is the completion
of (

0
(Ω) in the norm
|u|
L
2
(Ω)
=


[u(x)[
2
dx

1/2
.
It is important to note the following inequality due to H¨ older.
Lemma 3.3.7
Let p, q be two real numbers such that q ≥ 1, p ≥ 1,
1
q
+
1
p
= 1 and f ∈ L
p
(Ω),
g ∈ L
q
(Ω). Then fg ∈ L
1
(Ω) and
|fg|
L
1
(Ω)
≤ |f|
L
p
(Ω)
|g|
L
q
(Ω)
. (3.15)
Proof: [30, page 33].
The H¨ older inequality (3.15) is a generalisation of the Cauchy-Schwarz inequal-
ity (3.8).
Version: September 13, 2004 53
Linear operators and functionals
Let X and Y be normed linear spaces over a field K. A linear operator T :
X → Y is a mapping such that T(u + v) = T(u) + T(v) and T(λu) = λT(u)
for all u, v ∈ X and scalar λ ∈ K. A conjugate-linear operator S : X → Y is a
mapping such that S(u + v) = S(u) + S(v) and S(λu) =
¯
λS(u).
The norm of a linear operator T is defined by
|T| = |T|
Y ←X
:= sup
x∈X, x=0
|Tx|
Y
|x|
X
. (3.16)
A linear operator is bounded iff |T| < ∞.
Lemma 3.3.8 A linear operator T is continuous iff it is bounded.
Proof:
Assume T is bounded: |T| < ∞. Let ε > 0, then choose δ <
ε
T
. So for all x, y
such that |x−y| < δ we have (because T is linear): |Tx−Ty| = |T(x−y)| ≤
|T||x −y| < |T|
ε
T
= ε. So T is continuous.
Assume T is continuous, so in 0 we have: ∀ε > 0 ∃δ > 0 : ∀x : |x| < δ ⇒
|Tx| < ε. Take an y and consider y

=
δ
2

y
y
. We have |y

| = δ/2 < δ, so
|Ty

| =
δ
2

Ty
y
< ε, so
Ty
y
<

δ
, or |T| ≤

δ
< ∞, which means that T is
bounded.
Definition 3.3.9 A bilinear operator F : X
1
X
2
→ Y is an operator that
is linear in each of its arguments. A sesquilinear operator is a mapping F :
X X → Y that is linear in its first argument and conjugate-linear in its
second.
A bilinear operator F : X
1
X
2
→ Y is called bounded with bound |F| if
|F| := sup
u,v=0
|F(u, v)|
Y
|u|
X
1
|v|
X
2
< ∞.
A bilinear operator F : X X →C is called symmetric if F(u, v) = F(v, u).
Remark:
An inner product is an example of a sesquilinear operator. In fact every strictly
positive, symmetric, sesquilinear operator can be considered as an inner prod-
uct.
A special class of operators are functionals, i.e. operators that map elements of
a Banach space to the field, K, of real or complex numbers. So we obtain the
following definitions.
Definition 3.3.10
(1) A linear functional T is a linear operator T : X → K.
54 P.W. Hemker
(2) A bilinear functional F is a bilinear operator F : X
1
X
2
→ K.
(3) A sesquilinear functional F is a sesquilinear operator F : X X → K.
Examples: Functionals
• Let X = ((Ω) and f ∈ X, then for every x
0
∈ Ω is T : f → T(f) = f(x
0
)
a bounded linear functional.
• Let X = L
p
(Ω), f ∈ X and w ∈ (

0
(Ω) a given function. Then
f → T(f) =


f(x)w(x)dx (3.17)
is a bounded linear functional. The function w is called the weighting
function.
• Equation (3.17) also defines a bounded linear functional if w is an element
in L
q
(Ω) under condition that p and q are conjugate exponents, that is
p, q ≥ 1 and
1
p
+
1
q
= 1.
This follows from H¨ olders inequality (3.15).
Dual spaces
Definition 3.3.11 The space of all bounded linear functionals X → K is called
the dual space X

of X. It is equipped with the norm
|x

|
X
:= sup
x∈X, x=0
[x

(x)[
|x|
X
(3.18)
We sometimes write < x

, x > instead of x

(x) and we will call < ., . > the
duality paring between X and X

.
We want to characterise the dual of some spaces. First the following elemen-
tary theorem.
Theorem 3.3.12 The dual space X

of a normed linear space X is a Banach
space.
Proof: Let x

n
be a Cauchy-sequence in X

. This means that
∀ > 0 ∃N ≥ 0 ∀n, m ≥ N : |x

n
−x

m
|
X
< ,
or
∀ > 0 ∃N ≥ 0 ∀n, m ≥ N : ∀x ∈ X [x

n
(x) −x

m
(x)[ < .
Now R and C are complete, so for every x the sequence x

n
(x) has a limit, say
x

(x). So,
∀ > 0 ∃N ≥ 0 ∀n ≥ N : ∀x ∈ X [x

n
(x) −x

(x)[ < .
Version: September 13, 2004 55
Now define the function x

as the function that maps every x to the number
x

(x) then we see
∀ > 0 ∃N ≥ 0 ∀n ≥ N : |x

n
−x

|
X
< ,
or rather that the Cauchy-sequence x

n
has limit x

.
To characterise the dual of a Hilbert space we have the following important
theorem. It says that the dual space can be identified with the space itself.
Theorem 3.3.13 (The Riesz Representation Theorem)
Let u : X → K be a bounded linear functional on a Hilbert space X, then there
exists one and only one y
u
∈ X such that
2
u(x) = (x, y
u
)
X
∀x ∈ X. (3.19)
Proof: Consider the null space N(u) = ¦x[u(x) = 0¦. Due to continuity of
u and completeness of X, this is a closed linear subspace of X. Let P be the
projection of X to N(u). Assuming u = 0 (or we could take y
u
= 0) there is
a y
0
such that u(y
0
) = 0. Define y
1
= y
0
− Py
0
, then y
1
⊥ N(u). Further
u(y
1
) = u(y
0
) − u(Py
0
) = u(y
0
) = 0. Normalisation yields y
2
=

1
u(y
1
)

y
1
, so
that u(y
2
) =

1
u(y
1
)

u(y
1
) = 1 and still y
2
⊥ N(u). Now define y
u
:=
y
2
y
2

2
.
Take x ∈ X arbitrarily, then z := x − u(x)y
2
∈ N(u), because u(z) =
u(x) −u(x)u(y
2
) = 0. So
(z, y
2
) = 0
⇐⇒ (x −u(x)y
2
, y
2
) = 0
⇐⇒ (x, y
2
) = u(x)(y
2
, y
2
)
⇐⇒ u(x) =
(x, y
2
)
(y
2
, y
2
)
= (x,
y
2
|y
2
|
2
) = (x, y
u
).
Uniqueness is clear, since (x, z) = 0 for all x implies z = 0.
Corollary 3.3.14
The norms of u ∈ X

and z ∈ X with u(x) = (x, z)
X
are identical:
|u|
X
= sup
x∈X
[u(x)[
|x|
X
= sup
x∈X
[(x, z)[
X
|x|
X
= |z|
X
,
so the mapping R : X

→ X of u to its representation Ru = z is a linear bijective
isomorphism.
2
The converse is trivial: let u
y
(x) = (x, y), then u
y
∈ X

.
56 P.W. Hemker
The dual of a L
p
-space is a L
q
-space under some conditions, as is shown by the
following theorem.
Theorem 3.3.15 (Riesz for L
p
(Ω))
L
q
(Ω) is isometric isomorph to the dual space of L
p
(Ω) if p, q ≥ 1 and
1
p
+
1
q
= 1.
If p = 1 then q = ∞, but L

can not be associated with the dual of L
1
.
Proof: See [1, page 40,41]
With the notion of the dual in mind we can give a weaker definition for conver-
gence. For contrast we also state the usual definition.
Definition 3.3.16 A sequence ¦u
n
¦
n
in X is called (strongly) convergent to
u ∈ X if
lim
n→∞
|u
n
−u|
X
= 0.
A sequence ¦u
n
¦
n
in X is called weakly convergent to u ∈ X if
lim
n→∞
ϕ(u
n
) = ϕ(u) ∀ϕ ∈ X

.
As this defines the weakest topology which renders all elements of the dual
continuous, we call it the weak topology.
Strong convergence implies weak convergence, but the converse is not true
(cf. [22]).
Remark:
If X is a Hilbert space we have by the Riesz Representation Theorem 3.3.13
that weak convergence is equivalent to
lim
n→∞
(u
n
, v)
X
= (u, v)
X
, ∀v ∈ X.
3.3.2 The Generalised Lax-Milgram Theorem
Definition 3.3.17
(1) A symmetric bilinear (sesquilinear) functional F : X X → K is called
coercive (or strictly positive) if there exists a γ > 0 such that for all x ∈ X
[F(x, x)[ ≥ γ|x|
2
. (3.20)
(2) A non-symmetric bilinear functional F : X
1
X
2
→ K is called sub-coercive
if there exists a γ > 0 such that:
∀x ∈ X
1
∃z ∈ X
2
, z = 0 [F(x, z)[ ≥ γ|x|
X
1
|z|
X
2
(3.21)
and
∀z ∈ X
2
, z = 0 ∃x ∈ X
1
[F(x, z)[ > 0. (3.22)
Version: September 13, 2004 57
It is easy to see that a coercive functional also satisfies the properties (3.21) and
(3.22) of a sub-coercive functional.
Condition (3.22) is equivalent to ∀z ∈ X
2
, z = 0 F(, z) ≡ 0. Condition
(3.21) implies that ∃γ > 0 such that for all x ∈ X
1
:
sup
z∈X
2
[F(x, z)[
|z|
X
2
≥ γ|x|
X
1
. (3.23)
This means that we can find a largest possible γ as:
γ := inf
x∈X
1
sup
z∈X
2
[F(x, z)[
|x| |z|
. (3.24)
We now come to the central theorem of this chapter: the Lax-Milgram Theorem.
It discusses, in an abstract setting, the existence as well as the uniqueness and
boundedness of solutions to elliptic PDEs. We will state it in a more generalised
version than usually, namely for the general, asymmetric instead of only the
symmetric case. The treatment is such that we can easily generalise it for
discrete equations later.
Theorem 3.3.18 (Generalised Lax-Milgram)
Let X
1
and X
2
be two Hilbert spaces and let F : X
1
X
2
→ K be a bounded,
sub-coercive, bilinear functional. Let f ∈ X

2
, then there exists one and only
one u
0
∈ X
1
such that ∀v ∈ X
2
,
F(u
0
, v) = f(v). (3.25)
Further the problem is stable: small changes in the data f cause only small
changes in the solution u
0
:
|u
0
|
X
1

1
γ
|f|
X

2
.
Proof: We give the proof in six parts.
(1) As F is bounded we have a bounded linear functional F(u, ) : X
2
→ K for
each u ∈ X
1
. Now, according to the Riesz Theorem for every u ∈ X
1
a unique
element z ∈ X
2
exists such that F(u, ) = (, z)
X
2
. This defines an operator
R : X
1
→ X
2
such that
F(u, ) = (, Ru)
X
2
. (3.26)
(2) The operator R is linear, due to the bi-linearity of F.
(3) To prove that R is a surjection we first prove that R(X
1
) is a closed subspace
of X
2
. We first note that:
|Ru|
X
2
= sup
v∈X
2
[(Ru, v)[
|v|
X
2
= sup
v∈X
2
[F(u, v)[
|v|
X
2
.
58 P.W. Hemker
(a) An easy consequence is that R is bounded, and so continuous:
|R|
X
2
←X
1
= sup
u∈X
1
|Ru|
X
2
|u|
X
1
= sup
u∈X
1
1
|u|
sup
v∈X
2
[F(u, v)[
|v|
X
2
= |F|.
(b) F is sub-coercive, so we get using (3.21) or (3.23):
|Ru| = sup
v
[F(u, v)[
|v|
≥ γ|u|. (3.27)
(c) Now we show that R(X
1
) is closed or that every accumulation
point of R(X
1
) is an element of it. So let v be an accumulation
point of R(X
1
), then it is the limit point of some Cauchy-sequence
¦Ru
n
¦. Due to (3.27) we know |Ru
m
−Ru
n
|
X
2
≥ γ|u
m
− u
n
|, so
¦u
n
¦ is a Cauchy sequence in X
1
. Because X
1
is a Banach space
∃!u ∈ X
1
, u = limu
n
and so ∃!Ru ∈ X
2
as limit of ¦Ru
n
¦. Clearly
v = Ru, by continuity of R, so v ∈ R(X
1
). Hence it follows that
R(X
1
) = R(X
1
) ⊂ X
2
.
(4) We prove that the range of R actually is all of X
2
. To do so we first assume
that R(X
1
) = X
2
. This means there exists a v
0
= 0 ∈ X
2
such that v
0
⊥ R(X
1
),
or (v
0
, Ru)
X
2
= 0 for all u ∈ X
1
(by Corollary 3.3.3). By (3.26) F(, v
0
) ≡ 0,
which contradicts the sub-coercivity of F. This implies R(X
1
) = X
2
. Now we
have proved that R is surjective. So we obtain ∀v ∈ X
2
∃u ∈ X
1
Ru = v
which means ∃R
−1
: X
2
→ X
1
.
(5) In fact R
−1
is the solution operator for the equation (3.25). This is seen as
follows. If we take a right-hand-side of our equation f ∈ X

2
, then according to
the Riesz theorem ∃!v
0
(v, v
0
) = f(v), ∀v ∈ X
2
. If we define u
0
= R
−1
v
0
then
f() = (, v
0
) = (, Ru
0
) = F(u
0
, ),
so u
0
is the solution of equation (3.25).
(6) Finally we prove the stability of the problem, using (3.27): γ|u
0
| ≤ |Ru
0
| =
|v
0
| = |f|, or:
|u
0
| ≤
1
γ
|f|.
Uniqueness is a direct consequence of this stability.
3.3.3 Distributions and Sobolev Spaces
Solutions to (weak formulations of) elliptic PDEs are often found among special
classes of functions: the so called Sobolev spaces. In this section we will discuss
these spaces and some of the properties of their elements. Because it involves
weak formulations of PDEs we first treat the subject of distributions.
Version: September 13, 2004 59
Distributions
We define the function space T(Ω) as the set of functions (

0
(Ω) supplied with
the following topology. We say that a sequence ϕ
n
∈ T(Ω) converges to ϕ ∈
T(Ω), notation
lim
n→∞
ϕ
n
= ϕ,
if and only if there exists a compact subset K ⊂ Ω such that for every function
ϕ
n
we have supp(ϕ
n
) ⊂ K and such that for all [α[ ≥ 0
D
α
ϕ
n
→ D
α
ϕ.
So T(Ω) is the same set of functions as (

0
(Ω), but it has more structure.
Definition 3.3.19 A distribution (or generalised function) on Ω is a bounded
linear functional on T(Ω). The space of distributions is denoted by T

(Ω), being
the dual of T(Ω).
Example 3.3.20 (Generalised functions)
A function f ∈ L
p
(Ω) defines
3
a distribution T
f
: T(Ω) →R by:
T
f
(ϕ) =


f(x)ϕ(x)dx, ∀ϕ ∈ T(Ω).
In this way we can identify each L
p
-function with a distribution from T

(Ω).
Sometimes we write T
f
(ϕ) =< f, ϕ >, in which < , > is the duality paring
between T(Ω) and T

(Ω).
Example 3.3.21
Let x
0
∈ Ω and define T
x
0
: T(Ω) →R as
T
x
0
(ϕ) = ϕ(x
0
).
This generalised function is called the Dirac delta function associated with point
x
0
and it is also called δ
x
0
. We write < δ
x
0
, ϕ > or


δ
x
0
(x)ϕ(x)dx.
However, the latter is rather formal because it has nothing to do with an actual
integration.
3
In fact we can extend the class of such functions to the locally integrable functons
L
1
loc
(Ω) =
¸
f | f∈L
1
(K) ∀compactK ⊂ Ω
¸
.
60 P.W. Hemker
The topology on T

(Ω) is defined as follows. With T
n
, T ∈ T

(Ω) we say that
lim
n→∞
T
n
= T
when:
lim
n→∞
T
n
(ϕ) = T(ϕ), ∀ϕ ∈ T(Ω).
Because of the analogy with weak convergence we will call this the weak topology.
Definition 3.3.22 The distributional or generalised derivative D
α
T of a distri-
bution T is defined by
D
α
T(ϕ) = (−1)
|α|
T(D
α
ϕ), ∀ϕ ∈ T(Ω).
If we have a differentiable f, say f ∈ (
1
(Ω), then we may consider the dis-
tribution T
f
associated with f, and the distribution T
Df
associated with the
derivative Df of f. Now we see, for any ϕ ∈ T(Ω)
T
Df
(ϕ) =


Df(x)ϕ(x)dx = −


f(x)Dϕ(x)dx = −T
f
(Dϕ) = DT
f
(ϕ).
This means that, for differentiable functions, the generalised derivative of the
(generalised) function is the generalised function of the derivative. However, for
all (generalised) functions all generalised derivatives (always) exist.
Remark:
The mapping D
α
: T

(Ω) → T

(Ω) is continuous because if
lim
n→∞
T
n
= T in T

(Ω),
then ∀ϕ ∈ T(Ω):
D
α
T
n
(ϕ) = (−1)
|α|
T
n
(D
α
ϕ) → (−1)
|α|
T(D
α
ϕ) = D
α
T(ϕ).
Example 3.3.23 (Heaviside and delta-function)
We consider the Heaviside function H(x), which yields 0 if x < 0 and 1 if x ≥ 0.
Of course, this is not an L
2
-function, (if Ω = R) but it is a distribution:
T
H
(ϕ) =

R
H(x)ϕ(x) dx =


0
ϕ(x) dx,
which is clearly bounded as ϕ ∈ (

0
(Ω). We compute the derivative DT
H
:
DT
H
(ϕ) = −T
H
(Dϕ) = −

R
H(x)Dϕ(x)dx
= −


0
Dϕ(x)dx = ϕ(0) = T
δ
0
(ϕ).
This means DT
H
= T
δ
0
, i.e. the generalised derivative of the Heaviside-function
is the Dirac delta-function.
Version: September 13, 2004 61
Sobolev spaces
In the theory of elliptic PDEs, functions that, together with their (generalised)
derivatives, are elements of L
2
(Ω), play an important role. Therefore, we intro-
duce the so called Sobolev spaces.
Definition 3.3.24 The Sobolev space W
n,p
(Ω), p ≥ 1, n = 0, 1, . . . , is the
space of all L
p
(Ω)-functions u for which all distributional derivatives D
α
u, [α[ ≤
n are also elements of L
p
(Ω):
W
n,p
(Ω) = ¦u ∈ L
p
(Ω)[D
α
u ∈ L
p
(Ω), ∀ [α[ ≤ n¦.
This is a Banach space if we provide it with the norm:
|u|
n,p,Ω
:=

¸
|α|≤n
|D
α
u|
p
L
p
(Ω)

1
p
. (3.28)
In case of p = 2 we denote the space W
n,2
(Ω) as H
n
(Ω). Supplied with the
inner product
(u, v)
W
n,2
(Ω)
=
¸
|α|≤n
(D
α
u, D
α
v)
L
2
(Ω)
, (3.29)
these Sobolev spaces are Hilbert spaces. We write |u|
n,Ω
:= |u|
n,2,Ω
, or even
|u|
n
:= |u|
n,2,Ω
.
Another way of saying that a functional u is an element of W
n,p
(Ω) is that they
are L
p
-functions u
α
, 0 ≤ [α[ ≤ n such that


u
α
(x) ϕ(x) dx = (−1)
|α|


u(x) D
α
ϕ(x) dx,
for all ϕ ∈ T(Ω).
Example 3.3.25
The definition is not trivial. For instance the Heaviside function on an interval
Ω = [a, b], −∞ < a < 0 < b < ∞ shows that u ∈ L
p
(Ω) does not imply
Du ∈ L
p
(Ω).
Example 3.3.26
Consider the basic hat function on the interval Ω = [0, 1]:
u(x) =

2x for x ∈ [0,
1
2
)
2 −2x for x ∈ [
1
2
, 1].
¸
.
This function is in L
2
(Ω). To look if it is also in H
1
(Ω) we must find an L
2
(Ω)-
function du that is the derivative of u in distributional sense:


du(x) ϕ(x) dx =


u(x) Dϕ(x) dx, for all ϕ ∈ T(Ω). Now take the function du such that
du =
∂u
∂x
, except for x = 0,
1
2
, 1 where we define it (arbitrarily) zero. This
62 P.W. Hemker
function du is a simple function, so it is in L
2
, so it remains to check if this is
the generalised derivative of u.


du(x) ϕ(x) dx =
1
2
0
du(x) ϕ(x) dx +

1
1
2
du(x) ϕ(x) dx
=
1
2
0
∂u
∂x
ϕ(x) dx +

1
1
2
∂u
∂x
ϕ(x) dx
=

lim
x↑
1
2
u(x) ϕ(x) −lim
x↓0
u(x)ϕ(x)
¸

1
2
0
u(x)
∂ϕ
∂x
(x) dx
+

lim
x↑1
u(x)ϕ(x) − lim
x↓
1
2
u(x) ϕ(x)
¸

1
1
2
u(x)
∂ϕ
∂x
(x) dx
= −
1
2
0
u(x)
∂ϕ
∂x
(x) dx −

1
1
2
u(x)
∂ϕ
∂x
(x) dx
= −


u(x) Dϕ(x) dx,
where we have used the fact that
lim
x↑
1
2
u(x) = lim
x↓
1
2
u(x)
and that ϕ ∈ T([0, 1]), so ϕ(0) = ϕ(1) = 0.
The proof shows that it is essential that u is continuous in the point
1
2
, where
its (generalised) derivative is discontinuous. This raises the question under
which conditions elements of Sobolev spaces are continuous or even continuously
differentiable.
4
This is the content of the next theorem.
Theorem 3.3.27 (Sobolev’s Embedding Theorem)
Let Ω ⊂ R
d
be a bounded open region and let n > k +d/p, then every element
from W
n,p
(Ω) is k times continuously differentiable. Or:
n > k + d/p ⇒ W
n,p
(Ω) ⊂ (
k
(Ω). (3.30)
Proof: [30, page 174]
Example 3.3.28
Note that the dimension d plays a role. So for d = 1 the functions of H
1
(Ω)
are continuous, but for d = 2 they do not have to be and indeed it should be
4
An element u of a Sobolev space is continuous, bounded or whatever, if there is an
equivalent function u

such that this function has the property.
Version: September 13, 2004 63
noted that the Sobolev’s inequality (3.30) is sharp: there are functions in H
1
(Ω)
(d = 2) that are not continuous. An example of this is
f(x, y) = log [ log(x
2
+ y
2
)[ on B1
2
(0, 0).
It is not continuous in (x, y) = (0, 0), but it is not difficult to prove that |f|
L
2 ,
|
∂f
∂x
|
L
2 and |
∂f
∂y
|
L
2 do exist.
Example 3.3.29
Remember that, according to Lemma 3.3.6, we have that (

0
(Ω) is dense in
L
2
(Ω). Unfortunately, for a true subset Ω ⊂ R
d
, the space (

0
(Ω) is not dense
in W
n,p
(Ω). For instance, consider H
1
(Ω). Assuming that (

0
(Ω) is not dense
we compute the orthogonal complement:
0 = (u, ϕ)
H
1 = (u, ϕ)
L
2 + (Du, Dϕ)
L
2 = (u, ϕ)
L
2 −(∆u, ϕ)
L
2 = (u −∆u, ϕ)
L
2.
So the orthogonal complement of (

0
(Ω) consists of those u that satisfy u−∆u =
0 distributionally. A non trivial example is the function e
(ξ,x)
, with [ξ[ = 1. This
function is in H
1
(Ω), but not in H
1
0
(Ω) (in terms of the trace operator in the
next section: the trace on Γ is not zero). Luckily however, (

(Ω) is dense
in W
n,p
(Ω) under the Sobolev norm. This implies that we might introduce
W
n,p
(Ω) as the closure of (

(Ω) in the norm | |
n,p,Ω
.
We now give the following definition.
Definition 3.3.30 W
n,p
0
(Ω) is the closure of (

0
(Ω) in the norm | |
n,p,Ω
. In
analogy to W
n,2
(Ω) = H
n
(Ω) we write also W
n,2
0
(Ω) = H
n
0
(Ω).
Corollary 3.3.31
T(Ω) is dense in H
n
0
(Ω).
From Lemma 3.3.6 we see that H
0
0
(Ω) = H
0
(Ω). For n ≥ 1 however H
n
0
(Ω) =
H
n
(Ω), as is shown by Example 3.3.29.
We are interested in the dual spaces of the Sobolev spaces. First a definition.
Theorem 3.3.32 Let p = ∞ and
1
p
+
1
q
= 1, then
(W
p,m
0
(Ω))


= W
q,−m
(Ω).
Proof: [1, page 48]
For the Sobolev spaces with p = q = 2 we write H
−m
= (H
m
0
)

, m > 0. In
particular we use H
−1
(Ω) := W
2,−1
(Ω), the dual of H
1
0
(Ω).
64 P.W. Hemker
Trace operator
For a function f ∈ (

(Ω) we define the trace γ
0
f as γ
0
f = f[
Γ
i.e. the restriction
of f to Γ, the boundary of the domain Ω.
5
If Ω is a bounded area and has a Lipschitz continuous boundary then one
can show that the linear mapping
γ
0
: (

(Ω) → L
2
(Γ)
is bounded in the sense that

0
u|
L
2
(Γ)
≤ C|u|
H
1
(Ω)
.
So one can extend the operator γ
0
to a bounded linear operator
γ
0
: H
1
(Ω) → L
2
(Γ).
H
1
0
(Ω) is exactly the kernel of γ
0
:
H
1
0
(Ω) = ¦u ∈ H
1
(Ω) : γ
0
u = 0¦.
We also define the trace operator γ
1
:
γ
1
u :=
∂u
∂n
=
d
¸
i=1
γ
0

∂u
∂x
i

n
i
.
3.3.4 The Poincar´e-Friedrichs Inequality.
To prove the coercivity of a bilinear functional one can sometimes use the fol-
lowing lemma.
Lemma 3.3.33 (Poincar´e’s Lemma)
If Ω ⊂ R
d
is a bounded and open set then for all v ∈ H
1
0
(Ω)


[v[
2
dx ≤ C(Ω)


[∇v[dx. (3.31)
Proof: It is sufficient to prove the statement for functions in T(Ω) as T(Ω) is
dense in H
1
0
(Ω).
We enclose Ω in a rectangle S:
Ω ⊂ S = [a
1
, b
1
] [a
d
, b
d
].
We extend u to S by setting u(x) = 0 whenever x ∈ S ` Ω.
As u ∈ T(Ω) we have u ∈ T(S) and for every i = 1, . . . , d:
u(x) =

x
i
a
i
∂u
∂x
i
(x
1
, . . . , x
i−1
, t, x
i+1
, . . . , x
d
), dt
5
For more on trace operators we refer to [1, page 113].
Version: September 13, 2004 65
so we get by the Cauchy-Schwarz-Lemma (3.8):
[u(x)[
2

x
i
a
i
1
2
dt

x
i
a
i
[
∂u
∂x
i
(. . . , t, . . .)[
2
dt
≤ (b
i
−a
i
)

b
i
a
i
[
∂u
∂x
i
(. . . , t, . . .)[
2
dt
Now integrate over S:

b
1
a
1

b
d
a
d
[u(x)[
2
dx ≤ (b
i
−a
i
)

b
1
a
1

b
d
a
d

b
i
a
i
[
∂u
∂x
i
(. . . , t, . . .)[
2
dxdt
= (b
i
−a
i
)
2

b
1
a
1

b
d
a
d
[
∂u
∂x
i
(. . . , t, . . .)[
2
dx.
So we get for every i = 1, 2, . . . , n,


[u(x)[
2
dx ≤ (b
i
−a
i
)
2


[∇
i
u[
2
dx
and so


[u(x)[
2
dx ≤ C(Ω)


[∇u[
2
dx.
Corollary 3.3.34
When the set Ω is bounded, the semi-norm [ [
1,Ω
is a norm over the space
H
1
0
(Ω) equivalent to the norm | |
1,Ω
.
The inequality (3.31) is also known as the Poincar´e-Friedrichs inequality.
3.3.5 Variational formulations for differential equations
A Dirichlet problem
Let Ω ⊂ R
d
be an open bounded area with Lipschitz continuous boundary Γ.
Let u ∈ (
2
(Ω) be a solution of the Poisson problem with homogeneous Dirichlet
boundary conditions
−∆u = f in Ω, (3.32)
u = 0 on Γ, (3.33)
then, by partial integration, for every ϕ ∈ (

(Ω)


ϕf dx = −


ϕ∆udx = −


ϕ
¸
i

i

i
udx (3.34)
=
¸
i



i
ϕ∇
i
udx −

Γ
ϕ(∇u n) ds, (3.35)
66 P.W. Hemker
where n is the outward unit normal. For all ϕ ∈ T(Ω) we get


ϕfdx =
¸
i



i
ϕ∇
i
u dx.
This leads to the following formulation of a problem similar to (3.32): find a u
with u = 0 on Γ such that



i
ϕ∇
i
u dx =


ϕfdx, ∀ϕ ∈ (

0
(Ω). (3.36)
We see that a solution of (3.32) is also a solution of (3.36).
Equation (3.36) is of the following form: given the bilinear form B : SV →
R defined by
B(u, ϕ) =
¸
i



i
ϕ∇
i
u dx
and the linear form l : V →R, defined by
l(ϕ) =


ϕf dx,
find a u ∈ S such that
B(u, ϕ) = l(ϕ) for all ϕ ∈ V. (3.37)
In our case (3.36) we see that B : H
1
0
(Ω) H
1
0
(Ω) →R is a symmetrical bilinear
form defined on H
1
0
(Ω), and from Poincar´e’s Lemma 3.3.33 we get:
B(u, u) =


[∇u[
2
dx ≥ γ |u|
1,Ω
,
which tells us B : H
1
0
(Ω) H
1
0
(Ω) → R is coercive. Now it is an immediate
consequence of the generalised theorem of Lax-Milgram 3.3.18 that for every
f ∈ H
−1
(Ω) there exists a unique solution u ∈ H
1
0
(Ω) to (3.36) for which
|u|
H
1
0
(Ω)

1
γ
|f|
H
−1
(Ω)
.
If (3.32) has a solution, we can find this solution by solving (3.36).
It is clear that there will be cases where (3.36) has a solution but (3.32)
hasn’t: for instance when u ∈ H
1
0
(Ω) but u ∈ (
2
0
(Ω). Obviously we have
generalised the meaning of (3.32). Hence we will call the solution u ∈ H
1
0
(Ω)
the weak solution.
More general problems
Let u ∈ (
2
(Ω) be a solution to
−∆u + cu = f in Ω, (3.38)
u
n
+ βu = h on Γ, (3.39)
Version: September 13, 2004 67
then for every ϕ ∈ (

(Ω):


ϕfdx = −


∆u ϕ dx +


cϕ u dx
=



i
ϕ∇
i
u dx +


cϕ u dx −

Γ
ϕ∇
i
u n
i
dx
=


[∇
i
ϕ∇
i
u + c ϕu ] dx −

Γ
ϕ(h −βu) ds
=


[∇
i
ϕ∇
i
u + c ϕu ] dx +

Γ
βϕu ds −

Γ
ϕh ds.
This leads to the problem: find u ∈ S such that
B(u, ϕ) = l(ϕ), ∀ϕ ∈ V,
where
B(u, ϕ) =



i
ϕ∇
i
u dx +


c ϕ u dx +

Γ
β ϕ u ds
and
l(ϕ) =


ϕ f dx +

Γ
ϕ h ds.
The bilinear operator B : H
1
(Ω) H
1
(Ω) →R is bounded and symmetric, and
it is coercive if c ≥ 0, β ≥ 0, except when c = 0 and β = 0:
[B(ϕ, ϕ)[ =


[∇ϕ[
2
dx + c


[ϕ[
2
dx + β

Γ
[ϕ[
2
ds

=


[∇ϕ[
2
dx + c


[ϕ[
2
dx + β

Γ
[ϕ[
2
ds
≥ C
¸
[ϕ[
2
+[∇ϕ[
2
¸
= C|ϕ|
1,Ω
, ∀ϕ ∈ H
1
(Ω),
for some C > 0, and also
[B(ϕ, ϕ)[ ≤ C
¸
[ϕ[
2
+[∇ϕ[
2
¸
= C|ϕ|
1,Ω
, ∀ϕ ∈ H
1
(Ω),
for some C > 0. From the Lax-Milgram Theorem we conclude that there exists
one and only one solution in H
1
(Ω). So, if the solution to (3.38) with boundary
condition (3.39) exists, we can find it by solving the weak problem.
Symmetric problems and minimisation of quadratic func-
tionals
In the equations (3.32) and (3.38), where B(u, v) is a symmetric, coercive bilin-
ear form, the functional J(ϕ) = B(ϕ, ϕ) can be considered as a quadratic form.
B(ϕ, ϕ) ≥ 0 and B(ϕ, ϕ) = 0 if and only if ϕ = 0. For problem (3.32) this
functional is defined on X = H
1
0
(Ω), for problem (3.38) on X = H
1
(Ω).
68 P.W. Hemker
Theorem 3.3.35 Under the circumstances that B(ϕ, ϕ) is a quadratic form,
we can also characterise the solution of the problem: find u ∈ X such that
B(u, ϕ) = l(ϕ) for all ϕ ∈ X
as: find u ∈ X which minimises the quadratic functional
J(u) =
1
2
B(u, u) −l(u).
Proof:
J(u + ϕ) =
1
2
B(u + ϕ, u + ϕ) −l(u + ϕ)
=
1
2
B(u, u) −l(u) + B(u, ϕ) −l(ϕ) +
1
2
B(ϕ, ϕ).
For a u that satisfies B(u, ϕ) = l(ϕ) we see that
J(u + ϕ) = J(u) +
1
2
B(ϕ, ϕ) ≥ J(u).
Obviously, there is one and only one u ∈ X that minimises J().
Asymmetric problems
A quite different situation exists for problems with first derivatives and/or more
general boundary values:

−∆u + b
j

j
u + cu = f on Ω,
u
n
+ αu
s
+ βu = h on Γ.
(3.40)
Then for ϕ ∈ (

(Ω)


ϕfdx =


[∇
i
ϕ∇
i
u + ϕ b
j

j
u + ϕ c u] dx −

Γ
ϕ(h −βu −αu
s
)ds.
This again can be written in the form
B(u, ϕ) = l(ϕ), ∀ϕ ∈ V,
but in this case the form B(u, ϕ) is not symmetric, due to the first order deriva-
tive. To prove that the conditions of Lax-Milgram are satisfied is a bit more
hard to do. As we have seen in Theorem 3.2.1 we can get rid of the first order
terms by a transformation of the variables. This helps us to prove existence
and uniqueness (as in Section 3.3.5), but for numerical purposes the transfor-
mation is of no use. We will see an example of this in the chapter concerning
the convection-diffusion equation.
Version: September 13, 2004 69
3.4 The technique of the finite element method
In this section we treat the practical aspects of the finite element method. We
give a simple error estimate and we discuss the choice of basic functions (in
one or two dimensions) and the construction of the discrete equations for an
example problem. We will also discuss the use of isoparametric elements for
the case of curved boundaries. The techniques explained here for the one and
two-dimensional case can readily be generalised to three space dimensions.
3.4.1 The principles
The basic principle of the finite element method is the following. It is a Galerkin
method applied to the variational problem: find u ∈ S such that
B(u, ϕ) = l(ϕ), ∀ ϕ ∈ V, (3.41)
in which S and V are (infinitely dimensional) vector spaces. Usually we have a
conforming finite element discretisation for which the discrete system of equa-
tions read: find u
h
∈ S
h
such that
B(u
h
, ϕ
h
) = l(ϕ
h
), ∀ ϕ
h
∈ V
h
, (3.42)
where S
h
and V
h
are finite dimensional subspaces of S and V , with dim(S
h
) =
dim(V
h
). We also may replace B(, ) with an approximation B
h
(, ) and l()
with an approximation l
h
(). The consequences of this are discussed in Section
3.5.
If B(, ) is a symmetric and coercive bilinear form and if S = V then we
can show that this type of discretisation gives an approximate solution if S
h
=
V
h
⊂ S = V . The solution to (3.41) is the minimising function of a quadratic
functional J(u) over S. The discrete function u
h
minimises the same functional
over the subspace. This implies that an optimal solution is found in the norm
induced by the problem (the energy norm). We describe this in the following
theorem.
Theorem 3.4.1 Let (, )
B
= B(, ) be the inner product induced by the bi-
linear form B and let e
h
= u
h
− u be the error in the approximation, then, in
the norm |.|
B
induced by B, the solution of (3.42) is in S
h
= V
h
the optimal
approximation of u, the solution to (3.41):
|e
h
|
B
≤ inf
v
h
∈S
h
|u −v
h
|
B
.
Proof: First,
|e
h
|
2
B
= B(e
h
, e
h
) = B(e
h
, u
h
−u).
Now because B(u, v
h
) = f(v
h
) for all v
h
∈ V , and B(u
h
, v
h
) = f(v
h
) for all
v
h
∈ V
h
, we have B(u
h
− u, v
h
) = B(e
h
, v
h
) = 0 for all v
h
∈ V
h
and because
u
h
∈ S
h
= V
h
we get B(e
h
, u
h
) = 0. So
B(e
h
, u
h
−u) = B(e
h
, v
h
−u) ≤ |e
h
|
B
|u −v
h
|
B
∀v
h
∈ V
h
.
70 P.W. Hemker
This gives
|e
h
|
B
≤ inf
v
h
∈V
h
|u −v
h
|
B
.
We want to investigate the approximation in other norms (L
p
and Sobolev
norms) and for more general problems. To this purpose we will first consider
some specific approximation spaces V
h
and in the next chapter discuss in more
detail the error estimates that are valid when we use these approximations.
3.4.2 Piecewise Lagrange Interpolation in one dimension
We divide an interval Ω = [a, b] ⊂ R in N (not necessarily equal) subintervals
e
j
= [x
j−1
, x
j
] j = 1, . . . , N.
We denote this partition by

N
: a = x
0
< x
1
< . . . < x
N
= b.
Further we define h
j
= x
j
−x
j−1
and h = max¦h
j
¦, the meshwidth of the mesh

N
.
Definition 3.4.2
(1) Let Ω

be a (connected) subinterval of Ω, then P
k
(Ω

) is the set of all
polynomials of degree less or equal k on Ω

.
(2) We define P
k
(Ω
N
) as the space of continuous, piecewise polynomial functions
on Ω:
P
k
(Ω
N
) = ¦f[f ∈ ((Ω); f[
e
i
∈ P
k
(e
i
), i = 1, . . . , N¦.
A polynomial in P
k
(e
i
) needs k +1 (independent) values in order to be defined
correctly and uniquely.
Lemma 3.4.3 P
k
(Ω
N
) ⊂ H
1
(Ω). Also P
k
(Ω) ⊂ P
k
(Ω
N
), for each partition

N
.
Proof: We prove the first, the second is obvious.
Take a polynomial p ∈ P
k
(Ω
N
), then p ∈ L
2
(Ω). Define the distribution
dp
dx
by dp(x) =
∂p
∂x
(x), x = x
i
and
dp
dx
(x
i
) = 0, then we can prove in a way similar
to Example 3.3.26 (and using the continuity of p) that dp is the distributional
derivative of p. Also dp ∈ L
2
(Ω), so p ∈ H
1
(Ω).
Now we want to determine the dimension and a basis for the space P
k
(Ω
N
) for
k = 1, 2, 3. For this purpose we first define on the subinterval e
i
a new variable
t = (x − x
j−1
)/h
j
, so that t = 0 corresponds with x = x
j−1
and t = 1 with
x = x
j
.
The case k = 1.
Version: September 13, 2004 71
An element from P
1
(Ω
N
) is a piecewise linear function. Such a function is
determined by its values at the points x
i
. So there are N + 1 basis functions.
A natural choice is the set ¦ψ
j
¦
N
j=1
where
ψ
j
(x
i
) = δ
ij
i, j = 0, . . . , N. (3.43)
These are the so called standard hat functions. In figure 3.1 the function ψ
i
is
given.
a b x
i
Figure 3.1: Hat function ψ
j
.
It turns out that a basis function ψ
i
vanishes everywhere on Ω except on the two
subintervals to which x
i
belongs. For each subinterval e
j
there are two non-zero
basis-functions:
ψ
j−1
(x) = 1 −(x −x
j−1
)/h
j
= (1 −t),
ψ
j
(x) = (x −x
j−1
)/h
j
= t.
The case k = 2.
An element from P
2
(Ω
N
) is a piecewise quadratic function. The functions are
not completely determined by their values on the points in the partition Ω
N
.
We need one additional value in each interval. We take in each e
j
an interior
point, for instance x
j−
1
2
= (x
j−1
+x
j
)/2, the midpoint of the interval. We now
choose the basis functions ¦ψ
i
¦ ⊂ P
2
(Ω
N
) as
ψ
i
(x
j
) = δ
i,j
i, j = 0, 1/2, 1, 3/2, . . . , (2N −1)/2, N.
The number of basis functions is 2N+1. Again ψ
i
= 0 on at most two segments
e
i
, namely those to which x
i
belongs. On each segment e
j
there are at most
three basis functions unequal to zero
ψ
j−1
(x) = (1 −t)(1 −2t),
ψ
j−
1
2
(x) = 4t(1 −t),
ψ
j
(x) = −t(1 −2t).
In figure 3.2 the functions ψ
j
and ψ
j−
1
2
are shown. All basis-functions ψ
i
,
i integer, are similar to ψ
j
(with the exception for the two functions at the
72 P.W. Hemker
e
j
x x x x
x x x
j−1 j+1
0 1 2 N
j
Figure 3.2: Second order Lagrange.
boundary). Note that the support of ψ
j−
1
2
is completely contained in e
j
. All
functions ψ
i−
1
2
, i integer, are translated versions of ψ
j−
1
2
.
The case k = 3.
This can be treated completely analogous to the case k = 2. We get the space
P
3
(Ω
N
) of piecewise cubic functions. Now we have two extra degrees of freedom
for each interval e
j
. We can choose x
j+k/3−1
= x
j−1
+
k
3
h
j
for k = 1, 2 and the
basis ¦ψ
i
¦ is defined by
ψ
i
(x
j
) = δ
i,j
i, j = 0, 1/3, 2/3, 1, 4/3, . . . , N.
On each interval e
j
we now have four non-zero functions:
ψ
j−1
(x) = −
1
2
(3t −1)(3t −2)(t −1),
ψ
j−
2
3
(x) =
9
2
(3t −2)t(t −1),
ψ
j−
1
2
(x) = −
9
2
(3t −1)t(t −1),
ψ
j
(x) =
1
2
(3t −1)(3t −2)t.
These functions are shown in Figure 3.3. Again the basis functions correspond-
ing to the interior points have their support in a single interval e
j
. Obviously,
the dimension of the approximation space P
3
(Ω
N
) is 3N + 1.
Figure 3.3: Third order Lagrange.
Version: September 13, 2004 73
Remark:
For the same spaces P
k
(Ω
N
), k = 1, 2, 3, we can also choose different basis
functions. One possibility is to use a hierarchical basis. This means that we
start with the basis for the lower dimensional approximating space (smaller k
or smaller N) and that we extend this basis to a basis of the current approxi-
mating space. For instance, we make such a basis for k = 2 by starting with the
N + 1 basis functions already used as basis for the case k = 1. To this set we
add one quadratic basis-function, for each interval e
j
. We can take for instance
ψ
j−1/2
. Similarly the basis for k = 3 can be formed by adding one cubic basis
function per interval to the (hierarchical) basis that was constructed for k = 2.
3.4.3 The construction of the discrete equations
As an example of a finite element discretisation we discuss the discretisation
of a two-point boundary-value problem (TPBVP). We consider the following
problem
−(a
2
u
x
)
x
+ a
1
u
x
+ a
0
u = s in Ω,
u = 0 on Γ,
where Ω = [a, b], Γ = ∂Ω and a
2
, a
1
, a
0
and s are functions on Ω. To apply the
finite element method we first have to formulate the problem in its the weak
form, so we seek an approximation for the function u ∈ H
1
0
(Ω) that satisfies
(a
2
u
x
, v
x
) + (a
1
u
x
, v) + (a
0
u, v) = (s, v), ∀ v ∈ H
1
0
(Ω). (3.44)
For our finite element discrete approximation we choose
S
h
= ¦u ∈ P
k
(Ω
N
) [ u(a) = u(b) = 0¦ ⊂ H
1
0
(Ω),
and we take our weighting functions to be the same space, so V
h
= S
h
.
With P
k
(Ω
N
) = Span ¦ψ
i
¦ we can write u
h
(x) =
¸
j
c
j
ψ
j
(x). This yields
the discrete system of kN + 1 equations
¸
j
c
j


a
2
ψ

j
ψ

i
+ a
1
ψ

j
ψ
i
+ a
0
ψ
j
ψ
i
dx =



i
dx,
one equation for every weighting function ψ
i
. Here the prime denotes differentia-
tion with respect to x. The integration interval can be split into the subintervals
e
j
. We get
¸
j
c
j
¦
¸
k

e
k
a
2
ψ

j
ψ

i
+ a
1
ψ

j
ψ
i
+ a
0
ψ
j
ψ
i
dx¦ =
¸
k

e
k

i
dx,
74 P.W. Hemker
where we notice that the contributions from most of the subintervals vanish
Thus the discrete equations are a linear system
¸
j
m
ij
c
j
= s
i
, (3.45)
in which
m
ij
=
¸
k

e
k
a
2
ψ

j
ψ

i
+ a
1
ψ

j
ψ
i
+ ψ
j
ψ
i
dx,
s
i
=
¸
k

e
k

i
dx.
From equation (3.45) the coefficients c
j
are to be solved, to obtain the discrete
solution
u
h
(x) =
¸
j
c
j
ψ
j
(x).
The matrix (m
ij
) is called the stiffness matrix and the vector (s
i
) the load
vector. (m
ij
) is composed of contributions from the separate intervals e
k
. These
contributions vanish if e
k
is not a subset of the support of both ψ
i
and ψ
j
. The
contribution of e
k
to (m
ij
) or (s
i
) is called the elementary stiffness matrix or
the elementary load vector corresponding to this interval.
In practice the linear system is built up by scanning every element in the
partition and adding the elementary stiffness matrix and elementary load-vector
to the full stiffness matrix or load-vector. This means that the matrix and vector
elements are not computed one by one. This technique is practical not only for
one-dimensional, but also for two and three-dimensional problems. It is called
the assembly of the stiffness matrix and load vector.
Now we show explicitly how such a matrix/vector is drawn up for a two-
point boundary-value problem. For simplicity we take the coefficients a
2
, a
1
and a
0
constant. Define
m
2,k,i,j
=

e
k
ψ

j
ψ

i
dx,
m
1,k,i,j
=

e
k
ψ

j
ψ
i
dx,
m
0,k,i,j
=

e
k
ψ
j
ψ
i
dx,
then the element matrix entries are
m
ij
=
¸
k
m
k,i,j
,
with
m
k,i,j
= a
2
m
2,k,i,j
+ a
1
m
1,k,i,j
+ a
0
m
0,k,i,j
.
Version: September 13, 2004 75
Example 3.4.4
If we take piecewise linear basis-functions as in (3.43), for which ψ
k−1
= 1 − t,
ψ
k
= t, ψ

k−1
= −
1
h
k
and ψ

k
=
1
h
k
, we get
m
k,i,j
=
a
2
h
k

1 −1
−1 1

+ a
1


1
2
1
2

1
2
1
2

+ a
0
h
k

1
3
1
6
1
6
1
3

. (3.46)
Note that for convenience we have given only the essential part of the matrix:
the elements (k − 1, k − 1), (k, k − 1), (k − 1, k) and (k, k); all other elements
vanish.
6
The elementary stiffness matrices for higher order piecewise polynomials can
be computed in a similar way.
Use of quadrature rules
The computation of the matrix entries is more laborious when the coefficients
a
2
, a
1
and a
0
are not (piecewise) constant. Only in special cases we can compute
the integrals m
k,i,j
exactly. In most cases it is necessary to compute the integral
using a quadrature rule:

b
a
f(x) dx ≈
l
¸
m=0
w
m
f(x
m
),
where w
m
is the weight for quadrature node x
m
. Replacing the integral by
a summation causes a new error, so that the accuracy of the quadrature may
influence the accuracy of the discretisation. We usually want to use quadrature
rules that preserve the order of accuracy of the discretisation method. The
requirements for such a quadrature rule are discussed in section 3.5.
An interesting quadrature in combination with Lagrangian interpolation is
the method that uses the same nodal points for the integration. Assume that
the approximation uses polynomials of degree l (so V
h
= P
l
(Ω
N
)) and take y
k,m
,
m = 0, . . . , l as the nodes in e
k
:
x
k−1
= y
k,0
< y
k,1
< < y
k,l
= x
k
.
Or rather,
y
k,m
:= x
k+
m
l
−1
,
so that
ψ
i
(y
k,m
) = δ
i,k+
m
l
−1
.
The elementary matrix entry becomes (k = 0, , N and i = n
i
+
m
i
l
− 1,
j = n
j
+
m
j
l
−1 where n
i
, n
j
= 0, , N, m
i
, m
j
= 0, , l)
m
k,i,j

l
¸
m=0
w
m
¸
a
2
(y
k,m

j
(y
k,m

i
(y
k,m
)
6
Be aware of the boundaries however, see a next section.
76 P.W. Hemker
+ a
1
(y
k,m

j
(y
k,m

i
(y
k,m
) + a
0
(y
m

j
(y
k,m

i
(y
k,m
)
¸
=
l
¸
m=0
w
m
¸
a
2
(y
k,m

j
(y
k,m

i
(y
k,m
) (3.47)
+ a
1
(y
k,m

j
(y
k,m

i,k+m/l−1
+ a
0
(y
k,m

j,k+m/l−1
δ
i,k+m/l−1
¸
=
l
¸
m=0
w
m
¸
a
2
(y
k,m

j
(y
k,m

i
(y
k,m
)
¸
+a
1
(y
k,m
i

j
(y
n
i
,m
i
) w
m
i
+ a
0
(x
i

i,j
w
m
i
.
Example 3.4.5
In case of piecewise linear approximation (l = 1) and the trapezoidal rule
(w
0
= w
1
=
1
2
), we get
m
k,i,j

a
2
(x
k−1
) + a
2
(x
k
)
2h
k

1 −1
−1 1

(3.48)
+
1
2

−a
1
(x
k−1
) a
1
(x
k−1
)
−a
1
(x
k
) a
1
(x
k
)

+
h
k
2

a
0
(x
k−1
) 0
0 a
0
(x
k
)

.
We observe that the zero order term contribution is a diagonal matrix, which
is different from formula (3.46) for constant coefficients. Using the quadrature
also for the elementary load vector, we obtain
s
k,i

h
k
2

s(x
k−1
)
s(x
k
)

.
Remark:
It is known that for an accurate quadrature we better take the nodes within
each element [x
j−1
, x
j
] not equidistant. To obtain the most accurate quadrature
(and assuming that the endpoints of the interval are be nodal points) the nodes
should be placed as for Lobatto quadrature. These points, then, may determine
the nodal points for the Lagrange interpolation.
Example 3.4.6
As a last example, we give the construction of the element matrix based on
piecewise quadratic functions and the Simpson quadrature (l = 2, w
0
= w
2
=
1
6
,
w
1
=
2
3
). For simplicity we choose a
2
(x) piecewise constant on the partitioning

N
. We obtain
m
k,i,j

a
2,k
6h
k

¸
14 −16 2
−16 32 −16
2 −16 14
¸

+
1
6

¸
−3a
1
(x
k−1
) 4a
1
(x
k−1
) −a
1
(x
k−1
)
−4a
1
(x
k−
1
2
) 0 4a
1
(x
k−
1
2
)
a
1
(x
k
) −4a
1
(x
k
) 3a
1
(x
k
)
¸

(3.49)
Version: September 13, 2004 77
+
h
k
6

¸
a
0
(x
k−1
) 0 0
0 4a
0
(x
k−
1
2
) 0
0 0 a
0
(x
k
)
¸

.
For a
1
and a
0
also piecewise constant this formula simplifies to
m
k,i,j

a
2,k
6h
k

¸
14 −16 2
−16 32 −16
2 −16 14
¸

+
a
1,k
6

¸
−3 4 −1
−4 0 4
1 −4 3
¸

+
+
a
0,k
h
k
6

¸
1 0 0
0 4 0
0 0 1
¸

. (3.50)
Again the contribution of the zero-order term is a diagonal matrix. The ele-
mentary load-vector follows after direct computation, using the same Simpson
quadrature
s
k,i

h
6

¸
s(x
k−1
)
4s(x
k−
1
2
)
s(x
k
)
¸

. (3.51)
For our two-point boundary-value problem and piecewise second and higher-
order functions the shape of the complete matrix and right-hand vector is given
in Figure 3.4.
Figure 3.4: Matrix and right-hand-side constructed by means of C
0
piecewise
cubic polynomials.
Static condensation, lumping
The solution of the general matrix system (3.45) is not a topic we will discuss
here. See for instance [6]. We however make some remarks.
78 P.W. Hemker
First notice, that due to the relatively small support of the basis functions,
we have a linear system that is sparse: only a fairly limited amount of the matrix
elements is non-zero.
The use of Lagrange interpolation has a nice advantage. We can reduce the
set of equations in figure 3.4 to a tridiagonal form by so-called static conden-
sation. With this we mean the elimination of the unknowns belonging to the
internal nodes x
i
, for which the basis functions ψ
i
have a support that is com-
pletely contained in a single element e
k
. The elimination of these unknowns is
a strictly local process that can be done elementwise: it causes no changes in
the contributions of other elements to the stiffness matrix and the load vector.
The same technique can be applied for 2- or 3-dimensional problems, for each
basis function ψ
i
(x) that has its support completely in a single element e
k
.
Let a linear system be partitioned as

A
11
A
12
A
21
A
22

x
1
x
2

=

b
1
b
2

and let the second set of variables and equations be available for elimination,
then after elimination we get the system
(A
11
−A
12
A
−1
22
A
21
)x
1
= b
1
−A
12
A
−1
22
b
2
,
so there remains just a number of additional contributions in the matrix and
right-hand-side.
When all interior variables are eliminated in this way we get the tridiagonal
system of equations shown in figure 3.5.
x x
x x x
0
1
2
3
4
Figure 3.5: Matrix and right-hand side after lumping.
We have seen that the zero order (not differentiated) terms consist only of
diagonal elements if we use a quadrature. The technique in which these terms
are placed on the main diagonal is called lumping
7
. This technique is interesting
7
Originally the off-diagonal elements where added to the main diagonal without any ex-
planation.
Version: September 13, 2004 79
for two reasons:
1. The part a
0
(x)u(x) = s(x) of the equation is discretised pointwise. This
can be preferable when a
0
(x) or s(x) is strongly varying or dominating.
2. For an initial-boundary-value problem (IBVP), when there is time depen-
dence in the problem, we can use lumping together with the method of
semi-discretisation to reduce the IBVP to an explicit set of ordinary dif-
ferential equations. As an example we may consider a parabolic equation
of the form ϕ
t
= Lϕ, where L is a differential operator in the space vari-
ables (for instance Lϕ = pϕ
xx
+qϕ
x
+rϕ+s), then a semi-discretisation
with S
h
= V
h
= Span ¦ϕ
i
¦ yields the following set of equations: find
ϕ
h
(x, t) =
¸
j
c
j
(t)ϕ
j
(x) such that
(

∂t
ϕ
h
, ϕ
i
) = (Lϕ
h
, ϕ
i
), ∀ϕ
i
.
So we have to compute the set ¦c
j
(t)¦ for which
¸
j
dc
j
(t)
dt

j
, ϕ
i
) = (Lϕ
h
(t, ), ϕ
i
), ∀ϕ
i
.
The matrix (ϕ
j
, ϕ
i
) is called the mass matrix. By using the technique
“lumping” we can recast it to a diagonal matrix (ϕ
j
, ϕ
i
) = w
i
δ
ij
so that we
obtain an explicit set of ordinary differential equations for the coefficients
¦c
i
(t)¦:
dc
i
(t)
dt
=
1
w
i
(Lϕ
h
(t, ), ϕ
i
), ∀ i.
Treatment of boundary conditions
Until now we have limited ourselves to problems with homogeneous Dirichlet
boundary conditions. In this section we treat also inhomogeneous and more
general boundary conditions.
First we handle inhomogeneous Dirichlet boundary conditions. Consider
Ω = [a, b] and the equation
Lu := −(a
2
u
x
)
x
+ a
1
u
x
+ a
0
u = s on Ω, (3.52)
u = g on Γ. (3.53)
The weak form of this problem can be written as: find a u ∈ H
1
(Ω) such that
u = g on Γ
and
B(u, v) := (a
2
u
x
, v
x
) + (a
1
u
x
, v) + (a
0
u, v) = (s, v), ∀v ∈ H
1
0
(Ω).
80 P.W. Hemker
For theoretical purposes, this problem is easily reduced to the problem with
homogeneous boundary conditions by choosing a function g ∈ H
1
(Ω) (the ex-
tension of the g defined on Γ) that satisfies the boundary conditions
8
. Defining
the function w := u −g we have w ∈ H
1
0
(Ω) and w satisfies the equation
Lw = s −Lg,
or,
B(w, v) = (s, v) −B(g, v).
Thus the problem is reduced to the problem with homogeneous boundary con-
ditions. This gives existence and uniqueness.
In practice it is also easy to implement non-homogeneous Dirichlet boundary
conditions. Because the value of the function u at the boundary points is given
we have to compute less unknowns. This means that there are no discrete
equations needed for the boundary points.
We can handle Dirichlet boundary conditions in two ways. To show this, we
first assume the equations are constructed elementwise as shown in the previous
section (figure 3.4). The two approaches are as follows.
I) Replace the equations for the boundary points by equations that force the
boundary conditions. For example, in the stiffness matrix put 1 on the main
diagonal and 0 at the other entries of this row, and put the boundary value in
the right-hand-side. This forces the boundary value to be part of the solution.
In this way we get a linear system of equations of the original form, of which
the size corresponds with the total number of nodes.
II) In the other approach (see Figure 3.6) we eliminate the known “unknowns”
on the boundary. The set of equations is reduced, but more important is that
the right-hand-side has to be adjusted at a number of places. Now the size of the
system corresponds with the interior nodes. In practice, this is less convenient,
in particular if we have a combination of Dirichlet and Neumann conditions.
In this case, however, a symmetric operator B(u, v) guarantees a symmetric
stiffness matrix.
If we consider more general boundary conditions than Dirichlet boundary
conditions, we see that the whole procedure can be carried out in the same
manner as before. In the discrete operator and right-hand-side additional terms
will appear due to the boundary condition. See for instance the B(u, ϕ) and
the l(ϕ) of section 3.3.5. Every boundary integral gives a contribution to the
elementary matrix/right-hand-side at each boundary point. In practice we first
add all contributions from the interior elements to the stiffness-matrix and later
the contributions from the boundary segments are added. Also these boundary
integrals can be computed by quadrature.
8
That we can actually find such a function puts an extra condition on the boundary
condition and on the smoothness of the boundary Γ. With γ
0
the trace operator we have the
requirement that
γ
0
u = γ
0
g.
Version: September 13, 2004 81
A 0 0 0
a
a
a
1
2
3
u
0
−a u
−a u
−a u
1 0
2 0
3 0
u
3
−a u
−a u
−a u
1 3
2 3
3 3
...
...
...
...
...
...
...
Figure 3.6: Treatment of boundary conditions.
3.4.4 Other piecewise polynomial approximations in one
dimension
In every finite element method we use an approximation of the solution of the
form
u
h
(x) =
¸
j
c
j
ϕ
i
(x),
where the use of continuous, piecewise polynomial basis functions ϕ
i
(x) with a
small support is preferred. Not only Lagrange interpolation but also Hermite
interpolation can be used. Here the functions ϕ
i
(x) are not only determined by
their function values at the nodes, but also by the values of the derivatives. The
approximating basis functions thus may have larger smoothness, which gives us
the opportunity to solve problems which contain higher order derivatives. We
may find solutions in H
k
0
(Ω) for k > 1. For instance it allows the solution of
the homogeneous Dirichlet problem for the biharmonic operator ∆
2
:

2
u = f in Ω,
u = ∂
n
u = 0 on Γ.
A polynomial of degree k needs k +1 (independent) values on an interval to be
defined correctly.
Definition 3.4.7 Let f be a function in (
m−1
([a, b]), then the Hermite inter-
polate of f on a partition Ω
N
is the function p ∈ P
2m−1
(Ω
N
) ∩ (
m−1
([a, b]) for
which, for all x
i
∈ Ω
N
and k = 0, 1, . . . , m−1,
D
k
p(x
i
) = D
k
f(x
i
).
Note that the Hermitian interpolation of a polynomial q of degree 2m−1 is the
polynomial itself. Moreover it is not just an element of (
m−1
([a, b]), but even
from (
2m−1
([a, b]).
82 P.W. Hemker
A usual Hermite-basis for a finite element method in one space dimension is
that of the cubic Hermite splines (m=2): on every interval [x
i
, x
i+1
] the P
3
(∆)-
function is determined by four parameters f(x
i
), f

(x
i
), f(x
i+1
) and f

(x
i+1
).
For every element e
j
= [x
j
, x
j+1
] there are four non-zero basis-functions: ϕ
0,j
,
ϕ
1,j
, ϕ
0,j+1
and ϕ
1,j+1
such that D
k
ϕ
l,j
(x
i
) = δ
kl
δ
ij
. Let t = (x −x
j
)/(x
j+1

x
j
) then the form of these functions is on element e
j
ϕ
0,j
(t) = (t −1)
2
(2t + 1),
ϕ
0,j+1
(t) = t
2
(3 −2t),
ϕ
1,j
(t) = t(t −1)
2
(x
j+1
−x
j
),
ϕ
1,j+1
(t) = t
2
(t −1)(x
j+1
−x
j
).
Extending these functions to the entire interval [a, b] such that D
k
ϕ
l,j
(x
i
) =
δ
kl
δ
ij
we get functions ϕ
j,k
(x) ∈ H
2
([a, b]), because the derivatives are continu-
ous. Except for the functions that are associated with the boundary points, all
functions ϕ
l,j
have a support that extends over two subintervals e
k
.
The smoothness of the approximating function u
h
(x) implies that it can be
used for solving fourth order elliptic problems like
au
xxxx
−bu
xx
+ cu = f, (3.54)
u(a) = u

(a) = u(b) = u

(b) = 0,
of which the corresponding variational formulation is as follows: find u ∈ H
2
0
(Ω)
such that


a u
xx
ϕ
xx
+ b u
x
ϕ
x
+ cu ϕ dx =

f ϕ dx,
for all ϕ ∈ H
2
0
(Ω).
This problem can not be solved by Lagrangian interpolation because the
space spanned by the Lagrange interpolation polynomials ¦ϕ
i
¦ is not in H
2
(Ω).
The discrete set of equations for the two point boundary value problem
discretised with Hermite interpolation polynomials has a block-tridiagonal form
(see Figure 3.7).
Exercise 3.4.8
Consider the fourth order problem (Ω = [0, 1])
u
xxxx
−2u
xx
+ u = 1,
u(0) = u(1) = u
x
(0) = u
x
(1) = 0.
Prove that the analytic solution is
u(x) = 1 + e
x
(c
1
+ c
2
x) + e
−x
(c
3
+ c
4
x),
c
1
= −
(2e −1)(e
2
−2e −1)
e
4
−6e
2
+ 1
,
c
2
=
(e −1)(e
2
−2e −1)
e
4
−6e
2
+ 1
,
c
3
= −1 −c
1
,
c
4
= c
3
−c
1
−c
2
.
Version: September 13, 2004 83
X X X
X X X X X
X
X X X X X X
X X X X X X
X X X X X X
X X X X X X
X X X X X X
X X X X X X
X X X X X X
X X X X X X
X X X X
X X X X
Figure 3.7: Block-tridiagonal matrix.
Make a uniform discretisation with h = 1/N, compute and solve the linear
system. This gives discrete approximations for u(x
i
) and u

(x
i
). Compute
max
i
[u(x
i
) −u
h
(x
i
)[
and
max
i
[u

(x
i
) −u

h
(x
i
)[,
for N = 10, 20, 40. Compare the order of convergence you observe with the
order you expected.
Other piecewise polynomials that might be used are for instance the splines.
These are P
m
(∆)∩(
m−1
([a, b])-functions. Such functions have a single degree of
freedom for each interval and they have a maximum smoothness for a polynomial
of degree m. However, in general, the support of these basic spline stretches over
many adjacent elements. Application for a finite element method is therefore
unusual, because it means that many non-zero elements will appear in each row
of the stiffness matrix. In other words: the use of splines causes a non-sparse
system of linear equations (although in the one-dimensional case it will be a
band system).
3.4.5 Approximation in two dimensions
In the introduction to discretisation methods we have seen some possible repre-
sentations of a two-dimensional function. Not all of them are useful for the solu-
tion of second order elliptic problems by a (conforming) finite element method.
The most important which remain are shown in Figure 3.8. A dot indicates that
at this point we take the function value, a circle that we also take the value of
the derivative, two circles the value of two derivatives, etc.
84 P.W. Hemker
Figure 3.8: Some representations of a two-dimensional function.
Among these are the piecewise Lagrange interpolation polynomials on a trian-
gulation. Notice that the basis-functions defined by ϕ
i
∈ P
k
(Ω
N
) (functions
with [α[ ≤ k) and ϕ
i
(x
j
) = δ
ij
are indeed continuous.
Example 3.4.9
On the standard triangle shown in figure 3.9 we find basis functions for a P
2
(∆)
Lagrange approximation by
Φ
1
(x, y) = 2 (x + y −1) (x + y −
1
2
),
Φ
2
(x, y) = 2x (x −
1
2
),
Φ
3
(x, y) = 2y (y −
1
2
),
Φ
4
(x, y) = 4x y,
Φ
5
(x, y) = −4y (x + y −1),
Φ
6
(x, y) = −4x (x + y −1).
That the dimension of P
2
(∆) is indeed 6 can be easily seen because any element
is of the form
p(x, y) =
¸
|α|≤2
a
α
x
α
1
y
α
2
.
This is only possible for the set of values
α = (α
1
, α
2
) ∈ ¦(0, 0), (1, 0), (0, 1), (2, 0), (0, 2), (1, 1)¦.
To express the symmetry in this formulas more clearly, we may use barycentric
coordinates (r, s, t) defined by r = x, s = y and t = 1 −x −y.
9
Then we get
Φ
1
(r, s, t) = t (2t −1),
Φ
2
(r, s, t) = r (2r −1),
Φ
3
(r, s, t) = s (2s −1), (3.55)
Φ
4
(r, s, t) = 4 r s,
Φ
5
(r, s, t) = 4 s t,
Φ
6
(r, s, t) = 4 r t.
9
So: t = 0 ⇒ x + y = 1, r = 0 ⇒ x = 0 and s = 0 ⇒ y = 0. Which give the three
boundaries of the triangle.
Version: September 13, 2004 85
(0,0) (1,0)
(0,1)
x
y
Figure 3.9: Lagrange for a triangle.
These functions are also used for isoparametrical elements, which we shall dis-
cuss in the following section.
The number of degrees of freedom for a general k-th order polynomial in 2 or 3
dimensions is exactly the number of points that can be distributed nicely over
a triangle or tetrahedron. If, on a rectangle or a parallelepiped, a number of
nodes is distributed in a regular way we will not be able to construct exactly
all k-th order polynomials. For a parallelepiped one usually takes polynomials
of the form P
k
(x) P
k
(y) (so the tensor product of the two spaces) and for the
nodes one takes the Cartesian product of the one-dimensional partitions.
Example 3.4.10
We consider the bilinear interpolation on a rectangle. A bilinear basis function
is of the form
a + bx + cy + dxy,
or,
(a
1
+ a
2
x)(b
1
+ b
2
y).
The first form shows clearly that such a function has four degrees of freedom on
each rectangle and the second form shows that the space of bilinear functions
is the product of the two spaces of linear functions.
Having four degrees of freedom, such a bilinear function is completely deter-
mined by the function values at the vertices of the rectangle.
Note that in two dimensions, on triangles, the piecewise Hermite interpolation
polynomials are continuous, but are not in (
1
(Ω). If we want to find a piecewise
polynomial in (
1
(Ω), then we have to use a relatively intricate construction. One
of the more simple ones is a P
5
(Ω)-function which has 21 degrees of freedom for
each triangle (the Argyris triangle, cf [4, p. 71], see Figure 3.10).
Note that the function u along a boundary is a 5th order function determined
by its function value and first and second order derivatives at the vertices and
the value of
∂u
∂n
(n is the outward unit normal) at the edges midpoints.
The construction of the discrete equations and the treatment of the boundary
86 P.W. Hemker
u
u
n
u
u
n
u
u u
x y
u u u
xx xy yy
Figure 3.10: The Argyris triangle.
conditions is in principle similar to the one-dimensional case: the matrix and
the right-hand-side will be build up elementwise. To handle the boundary con-
ditions we have to compute boundary integrals. When basis functions φ
j
(x)
have a support that is completely contained in a single element, then we can
eliminate the corresponding variables by static condensation. When computing
the elementary matrices we again use a quadrature and also the combination
of the elementary basis-functions for Lagrange interpolation and an associated
quadrature can lead to lumping.
3.4.6 Isoparametric elements
By triangulation of the domain, the solution of a problem on polygonal areas
can be performed in a relatively simple way. However when there is a curved
boundary we can approximate it by means of isoparametric elements. To define
these elements we first introduce the following
Definition 3.4.11 Let v = ¦z
1
, . . . , z
N
k
¦ be a set of N
k
points in R
2
. Then v
is called a k-unisolvent set if for every sequence of real numbers (α
1
, . . . , α
N
k
)
there is precisely one polynomial of degree ≤ k such that
P
k
(z
i
) = α
i
, i = 1, . . . , N
k
.
Examples of this are: for k = 1: the vertices of a triangle; k = 2: the vertices
and the midpoints of the edges. Examples for k > 2 are easily found.
An isoparametric element of degree k = 2 is defined as follows. Let v =
¦z
1
, z
2
, . . . , z
6
¦ be a 2-unisolvent set in R
2
. The matching isoparametric ele-
ment is
I

= ¦(x, y)[(x, y)
T
=
6
¸
i=1
z
i
Φ
i
(r, s, t); 0 ≤ r, s, t ≤ 1; r + s + t = 1¦,
where r, s and t are the barycentric coordinates as introduced in Section 3.4.5
and Φ
i
the functions defined in (3.55). On the isoparametric element we now
have a parametrisation in r, s, t, with r + s + t = 1, and basis functions can be
Version: September 13, 2004 87
defined on this element like it was done in case of triangular elements
u
h
(x)[
I

=
6
¸
i=1
a
i
Φ
i
(r, s, t).
We see that with k-th order isoparametric elements the boundary is approxi-
mated by piecewise k-th order polynomials.
The dependent and independent variables (u and (x, y) respectively) are
both parametrised by the same type of functions. This is the reason to call
these elements isoparametric elements.
3.5 Error estimates for the finite element method
In this section we derive error estimates for the finite element method. First
we will give the discrete version of the Generalised Lax-Milgram theorem. It
gives the uniqueness of the solution to the discrete equation and it gives a first
estimate of the error.
This theorem is in fact only applicable when we use finite dimensional sub-
spaces of our original Hilbert spaces. We have a more general case when we
don’t have such subspaces or when the operators in the variational equation are
replaced by approximations (for instance by quadrature). We give also error
estimates for this case.
The error estimates depend on how good we can interpolate elements of
Banach spaces in subspaces of these Banach spaces, so we have to discuss the
interpolation theory in Banach spaces, preceded by a necessary discussion of
the formalism of the finite element method. This will give us estimates in the
Sobolev norms |.|
m,q,Ω
. We will also give an estimate in the L
2
-norm, but for
this we need additional requirements on the problem we consider.
We also discuss pointwise convergence and superconvergence, i.e the phe-
nomenon that at some particular points the accuracy of the approximation is
better than the global error estimates indicate. Finally we study the influence
of the use of particular quadrature rules on Banach space interpolation and on
superconvergence.
3.5.1 The discrete version of the Generalised Lax-Milgram
In Section 3.3.2 we saw that -under certain conditions- a variational problem
has a solution, which is bounded by the right-hand-side of the equation. This
Generalised Lax-Milgram Theorem 3.3.18 can be applied not only to continuous
problems, but also to the associated discrete problems, with trial functions in
S
h
⊂ S and test functions in V
h
⊂ V . Taking these discrete spaces as subspaces
of the continuous spaces we obtain a so called conforming finite element methods.
In the following theorem we show that the discrete solution obtained in this
way is “quasi-optimal”. This means that, apart from a constant factor, it is (in
the S-norm) not worse than the best approximation of the solution u ∈ S in the
discrete space S
h
.
88 P.W. Hemker
Theorem 3.5.1 (Discrete Generalised Lax-Milgram)
Let the requirements of the Generalised Lax-Milgram Theorem 3.3.18 be sat-
isfied. So, let X
1
and X
2
be two Hilbert spaces and let F : X
1
X
2
→ R be
a bilinear functional that is bounded and sub-coercive. Further, let X
1
h
⊂ X
1
and X
2
h
⊂ X
2
be linear subspaces, such that
∀x
h
∈ X
1
h
∃z
h
∈ X
2
h
, z
h
= 0 [F(x
h
, z
h
)[ ≥ γ
h
|x
h
| |z
h
|,
and
∀z
h
∈ X
2
h
, z
h
= 0 ∃x
h
∈ X
1
h
[F(x
h
, z
h
)[ > 0.
Finally, let f ∈ (X
2
)

, and u
0
∈ X
1
be the solution of
F(u
0
, v) = f(v) for all v ∈ X
2
.
Then there exists a unique u
h
∈ X
1
h
, the solution of the discrete problem
F(u
h
, v
h
) = f(v
h
) for all v
h
∈ X
2
h
,
and the following error estimate holds
|u
h
−u
0
|
X
1 ≤
¸
1 +
|F|
γ
h

inf
x
h
∈X
1
h
|u
0
−x
h
|
X
1. (3.56)
Proof: Let R : X
1
→ X
2
be the Riesz mapping as used in the proof of the
Generalised Lax-Milgram Theorem 3.3.18
(Ru, v)
X
2 = F(u, v), for all u ∈ X
1
, v ∈ X
2
,
and let S : X
1
h
→ X
2
h
be the analogue mapping for X
1
h
and X
2
h
, i.e.,
(Su
h
, v
h
)
X
2 = F(u
h
, v
h
), for all u
h
∈ X
1
h
, v
h
∈ X
2
h
.
Then |R| = |F| and |S
−1
| ≤ γ
−1
h
.
Let P
1
h
: X
1
→ X
1
h
and P
2
h
: X
2
→ X
2
h
be orthogonal projections
X
1
R
−→ X
2
P
1
h
↓ ↓ P
2
h
.
X
1
h
S
−→ X
2
h
i) Consider point (5) in the GLM theorem. With v
0
∈ X
2
such that f(v) =
(v
0
, v)
X
2 for all v ∈ X
2
(Riesz) and v
h
∈ X
2
h
such that f(v) = (v
h
, v)
X
2 for all
v ∈ X
2
h
(Riesz) we have (v
0
− v
h
, P
2
h
v) = 0 for all v ∈ X
2
; so Corollary 3.3.4
gives that P
2
h
(v
0
−v
h
) = 0. It follows that P
2
h
v
0
= P
2
h
v
h
= v
h
, so v
h
= P
2
h
v
0
.
From Lax Milgram we know that u
0
= R
−1
v
0
and u
h
= S
−1
v
h
, so that
u
h
= S
−1
P
2
h
Ru
0
.
ii) For every x
h
∈ X
1
h
we have Sx
1
h
= P
2
h
Rx
1
h
because, for all v
h
∈ X
2
h
,
(P
2
h
Rx
1
h
, v
h
) = (Rx
1
h
, P
2
h
v
h
) = (Rx
1
h
, v
h
)
= F(x
1
h
, v
h
) = (Sx
1
h
, v
h
).
Version: September 13, 2004 89
We want to know how well the discrete solution approximates the solution of
the continuous problem, so we are interested in |u
h
−u
0
|. First we look at
|u
h
−P
1
h
u
0
| = |S
−1
P
2
h
Ru
0
−P
1
h
u
0
|
≤ |S
−1
| |P
2
h
Ru
0
−SP
1
h
u
0
|
= |S
−1
| |P
2
h
Ru
0
−P
2
h
RP
1
h
u
0
|
≤ |S
−1
| |P
2
h
| |R| |u
0
−P
1
h
u
0
|
(∗)
= |S
−1
| |R| |u
0
−P
1
h
u
0
|.
In (∗) we used that |P
2
h
| = 1 by Corollary 3.3.4. Hence
|u
h
−u
0
| ≤ |u
h
−P
1
h
u
0
| +|P
1
h
u
0
−u
0
|
≤ ¦1 +|S
−1
||R|¦ |u
0
−P
1
h
u
0
|.
From this easily follows
|u
h
−u
0
|
X
1 ≤ ¦1 +|F|/γ
h
¦ inf
x
h
∈X
1
h
|u
0
−x
h
|
X
1.
Corollary 3.5.2
Given a problem that satisfies the conditions of the Generalised Lax Milgram
Theorem, then for a conforming finite element method a sufficient condition for
convergence is the existence of a family of subspaces (X
1
h
) of X
1
such that, for
each u ∈ X
1
,
lim
h→0
inf
x
h
∈X
1
h
|u −x
h
| = 0.
So the problem we were facing is reduced to an approximation problem: evaluate
the distance d(u, X
1
h
) = inf
x
h
∈X
1
h
|u − x
h
| between a function u ∈ X
1
and a
subspace X
1
h
⊂ X
1
. Thus, if we can prove that d(u, X
1
h
) = O(h
k
), for some
k > 0, we have as an immediate consequence that
|u −u
h
| = O(h
k
)
We then will call k the order of convergence.
The norm in which the error is measured is more or less induced by the
problem: the conditions on coercivity and continuity are stated in the X
1
-norm.
For an elliptic problem of order 2m this will usually be the H
m
(Ω)-norm. This
will be discussed later.
Measuring the error in other norms (and especially the L
2
-norm) requires a
further analysis of the problem.
90 P.W. Hemker
3.5.2 More general error estimate
In this section we study an error estimate for more general problems. We can
approximate both the bilinear form B and the linear form f by discrete versions
B
h
and f
h
. These discrete operators will work on some spaces V
h
and S
h
that
are now not necessarily contained in V and S. This means we have to expect a
supplementary consistency error in our estimates. The estimate thus obtained
will also be valid for non-conforming finite element methods.
We consider a solution u

∈ S ⊂ S

(S

a normed linear space) of the
problem: find u ∈ S such that
B(u, v) = f(v), ∀v ∈ V. (3.57)
Let B
h
: S

V

→R and f
h
: V

→R. We also consider the discrete problem
associated with (3.57): find u
h
∈ S
h
such that
B
h
(u
h
, v
h
) = f
h
(v
h
), ∀v
h
∈ V
h
, (3.58)
in which S
h
⊂ S

and V
h
⊂ V

, but not necessarily S
h
⊂ S, V
h
⊂ V .
Note that we have assumed no relation between B and B
h
or f and f
h
.
What can we say about |u
h
−u

|
S
∗?
Theorem 3.5.3 Assume there exists a u
h
∈ S
h
that satisfies equation (3.58).
Let B
h
: S

V

→R be bounded with |B| = M
h
, so that
∃M
h
> 0 ∀s ∈ S

, v ∈ V

[B
h
(s, v)[ ≤ M
h
|s|
S
∗|v|
V
∗.
Let B
h
: S
h
V
h
→R be coercive:
∃α
h
> 0 ∀s
h
∈ S
h
∃v
h
∈ V
h
α
h
|s
h
|
S
∗|v
h
|
V
∗ ≤ [B
h
(s
h
, v
h
)[.
Then the following estimate is valid
|u
h
−u

|
S
∗ ≤
¸
1 +
M
h
α
h

inf
s
h
∈S
h
|u

−s
h
|
S

+
1
α
h
sup
v
h
∈V
h
[B
h
(u

, v
h
) −f
h
(v
h
)[
|v
h
|
V

. (3.59)
Proof: In the proof norms are either |.|
S
∗ or |.|
V
∗.
Because B
h
is coercive we know that for each s
h
∈ S
h
there exists a w
h
∈ V
h
such that
α
h
|u
h
−s
h
| |w
h
| ≤ [B
h
(u
h
−s
h
, w
h
)[
= [B
h
(u

−s
h
, w
h
) −B
h
(u

, w
h
) + B
h
(u
h
, w
h
)[
≤ [B
h
(u

−s
h
, w
h
)[ +[B
h
(u
h
, w
h
) −B
h
(u

, w
h
)[
≤ M
h
|u

−s
h
| |w
h
| +[B
h
(u

, w
h
) −f
h
(w
h
)[,
Version: September 13, 2004 91
because u
h
is a solution to (3.58). It follows that for arbitrary s
h
∈ S
h
|u
h
−s
h
| ≤
M
h
α
h
|u

−s
h
| +
1
α
h
[B
h
(u

, w
h
) −f
h
(w
h
)[
|w
h
|
.
Now choose an arbitrary s
h
∈ S
h
then
|u
h
−u

| ≤ |u
h
−s
h
| +|s
h
−u

|

¸
1 +
M
h
α
h

|u

−s
h
| +
1
α
h
[B
h
(u

, w
h
) −f
h
(w
h
)[
|w
h
|
.
From this the theorem follows.
We see that the error is determined by
1. the conditioning of the discrete problem: M
h

h
;
2. the interpolation error: inf
s
h
|u

−s
h
|
S
∗;
3. the consistency error: [B
h
(u

, v
h
) −f
h
(v
h
)[.
Remarks:
• In the proof of the theorem we have not used the fact that u

is a solution
to (3.57). However we can expect the consistency error to be rather big if
we choose a u

that is not a solution.
• The conditioning of the problem can also be formulated as: there exist
α
h
> 0 and M
h
> 0 so that for all s
h
∈ S
h
α
h
|s
h
|
S
h
≤ sup
v
h
∈V
h
[B
h
(s
h
, v
h
)[
|v
h
|
V
h
≤ M
h
|s
h
|
S
h
.
• If the discrete spaces are embedded in continuous spaces , i.e. if S
h
⊂ S
and V
h
⊂ V , and if B
h
is the restriction of a B : S V → R and f
h
the
restriction of a f : V →R to these subspaces, i.e. if
B
h
(u
h
, v
h
) = B(u
h
, v
h
) and f
h
(v
h
) = f(v
h
), ∀u
h
∈ S
h
, ∀v
h
∈ V
h
,
then
B
h
(u

, w
h
) −f
h
(w
h
) = B(u

, w
h
) −f(w
h
) = 0, ∀w
h
∈ V
h
.
It follows that in this case the estimate is reduced to the result from
Theorem 3.5.1. A difference is the fact that for the present estimate we
have assumed the existence of the solution u

.
It turns out from theorem 3.5.3 that, apart from studying interpolation theory
for Banach spaces, we also have to study the approximation of bilinear and linear
operators. In this we will restrict ourselves to errors caused by quadrature. See
Section 3.5.6.
92 P.W. Hemker
3.5.3 The formalisation of the finite element method
We do not want to describe the theory of interpolation by piecewise polynomials
in all detail (for instance: we will prove few theorems) but we will show some of
the main results in the next section. To gain some insight in the derivation of
these results, we show in this section a formal way to introduce finite elements.
Let Ω ⊂ R
d
be an open bounded domain with a Lipschitz continuous bound-
ary ∂Ω. A partition ∆
h
of Ω is defined as

h
= ¦ Ω
e
[
¸
e

e
= Ω, Ω
e
i
∩ Ω
e
j
= ∅ if i = j,

e
= ∅, ∂Ω
e
Lipschitz continuous¦.
Let u ∈ (
m
(Ω) with m ≥ 0. For a local finite element approximation of u on

e
∈ ∆
h
we choose a set of functions P
e
= ¦φ
e
j
¦
j=1,···,N
e
and we approximate u
on Ω
e
by
u
h
(x) =
N
e
¸
j=1
a
e
j
φ
e
j
(x) for x ∈ Ω
e
.
As a rule we choose ¦φ
e
j
¦ such that
1. there exists a set of nodal points of Ω
e
: ¦b
e
j
[ b
e
j
∈ Ω
e
, i = 1, , N
e
¦ and
2. there exists a set of derivatives D
α
i
, where α
i
are multi-integers, such that
D
α
i
φ
e
j
(b
e
i
) = δ
ij
. (3.60)
Usually we choose ¦φ
e
j
¦ such that it contains all polynomials of degree k
P
k
(Ω
e
) ⊂ Span(φ
e
j
).
We formalise the above construction.
Definition 3.5.4 Let P be a set of real-valued functions defined over a domain
Ω. Let L be a finite set of linearly independent linear functionals l
i
, i = 1, , N
over P. Then L is P-unisolvent if for every set of scalars α
i
, i = 1, , N, there
is a unique p ∈ P such that
l
i
(p) = α
i
.
Corollary 3.5.5
Let L be a P-unisolvent set then there exists a unique set of piecewise polyno-
mials ¦p
j
, j = 1, , N, p
j
∈ P¦ such that,
l
i
(p
j
) = δ
ij
. (3.61)
Example 3.5.6
Take Ω = [0, 1] and make a partition 0 = x
1
< x
2
< < x
N+1
= 1. Let

i
= [x
i
, x
i+1
], P

i
= P
1
(Ω
i
) and L

i
= ¦l
i
, l
i+1
¦, with l
i
(f) = f(x
i
) and
l
i+1
(f) = f(x
i+1
). Then ¦L

i
¦ is a ¦P

i
¦-unisolvent set: take any two numbers
α and β then there is one and only one polynomial p ∈ P

i
such that
p(x
i
) = α and p(x
i+1
) = β.
Version: September 13, 2004 93
Definition 3.5.7 A finite element is a triple ¦Ω
e
, P
e
, L
e
¦ in which
P
e
= ¦φ
e
j
∈ (

(Ω
e
), j = 1, , N
e
¦
are the basis functions of the finite element and the P
e
-unisolvent set
L
e
= ¦l
e
i

(
m
(Ω
e
)

, i = 1, , N
e
¦
gives the degrees of freedoms of the finite element.
Definition 3.5.8 A global finite element approximation of a function u on Ω is
defined by
u
h
(x) =
N
¸
j=1
a
j
φ
j
(x)
for x ∈ Ω, where we choose the set P = ¦φ
j
¦ such that
1. there exists a partition ∆
h
= ¦Ω
e
¦
e
of Ω;
2. for every Ω
e
∈ ∆
h
there is a finite element ¦Ω
e
, P
e
, L
e
¦;
3. by L = ∪
e
L
e
we denote the set of degrees of freedom of the global ap-
proximation. The number of (different) elements in L is N =dim(L), so
N ≤
¸
e
N
e
, and N is the total number of degrees of freedom;
4. by P we denote the set of basis functions of the global approximation; P
is the set of N functions given by
P = ¦φ
j
[ ∃e ÷ , φ
j
[

e
∈ P
e
; l
k

m
) = δ
km
¦ .
The P-unisolvent set L of degrees of freedom implies a natural P-interpolation
of a (
m
(Ω)- function
Π : (
m
(Ω) → Span(P). (3.62)
This Π is defined as
v → Πv =
¸
j
l
j
(v)φ
j
. (3.63)
Π is a projection because l
i
(Πv) = l
i
(v) for all l
i
∈ L and any v ∈ (
m
(Ω).
Usually we take the same type of L
e
and P
e
on every Ω
e
in ∆. So we take
a set of finite elements ¦Ω
e
, P
e
, L
e
¦, that are all is equivalent to a reference
or master element (
ˆ
Ω,
ˆ
P,
ˆ
L). Then all finite elements are constructed from
(
ˆ
Ω,
ˆ
P,
ˆ
L) by an affine or isoparametric transformation. Error estimates for the
master element are then easily transferred to every element.
94 P.W. Hemker
3.5.4 Interpolation theory and applications
Interpolation theory in Sobolev spaces
In Section 3.5.3 we saw the construction of an interpolation operator Π :
(
m
(Ω) → Span(P). It is clear that a function on an area Ω is approximated
better if more degrees of freedom are available. This can be done either by
making the elements Ω
e
smaller or by taking a higher order of approximation.
In this section we choose for the first option and study the quality of the
approximation if we take smaller and smaller elements Ω
e
. In fact, we consider
a sequence ¦∆
h
¦
h→0
of partitions, in which h denotes the largest diameter of
the elements Ω
e
∈ ∆
h
. Further we assume that the refinement of the whole area
will take place in a regular way so that also the smallest of the inscribed circles
of the elements in the partition will be O(h).
On each partition ∆
h
we assume a global finite element approximation and
we denote by S
h
= Span(P) the space of approximating functions. In this
way we also introduce a sequence of projections ¦Π
h
¦
h→0
with Π
h
: (
m
(Ω) →
S
h
. With an appropriate choice of the functionals in L (imposed by Sobolev’s
Lemma), the operator Π
h
: W
l,p
(Ω) → S
h
can be defined
Π
h
u =
¸
j
l
j
(u)φ
j
.
We are interested in the behaviour of the error of approximation |u −Π
h
u| for
h → 0. A result is given in theorem 3.5.18 below. The proof of this theorem
and a number of preceding lemmas will not be given explicitly. They can be
found in [4], or its more recent version [18].
The plan of our treatment is as follows. First we define on each element
in the partition a projection operator which shall be used for the approxima-
tion. Assuming that all elements are similar to one another (and thus there
will be a unique reference element) we can find estimates for these projection
operators on each element. From this we can find error estimates for the global
approximation. We apply this to analyse a second-order problem in detail.
Definition 3.5.9
Let Ω
e
be a bounded polygon then define
h
e
= diam(Ω
e
),
ρ
e
= sup¦diam(S); S a ball contained in Ω
e
¦,
meas(Ω
e
) =


e
dx.
Definition 3.5.10 Two open subsets Ω and
ˆ
Ω of R
n
are affine-equivalent if
there is an invertible affine mapping
F : ˆ x ∈ R
n
→ F(ˆ x) = Bˆ x + b ∈ R
n
such that Ω = F(
ˆ
Ω).
Version: September 13, 2004 95
If we denote the outer and the inner diameter by respectively h and ρ, then we
find
|B| ≤ h

e

ˆ

and |B
−1
| ≤ h
ˆ



e
.
Usually we have the following correspondences between points and functions
ˆ x ∈
ˆ
Ω → x = F(ˆ x) ∈ Ω, (3.64)
(ˆ v :
ˆ
Ω →R) → (v = ˆ v ◦ F
−1
: Ω →R). (3.65)
So we have
ˆ v(ˆ x) = v(x).
Analogously we define the affine-equivalence of two finite elements and all finite
elements in a partitioning are affine equivalent to a master element (
ˆ
Ω,
ˆ
P,
ˆ
L) if
for each Ω
e
∈ ∆
h
there exists an affine mapping F
e
such that for this element
• x = F
e
(ˆ x),
• ψ
e
j
(x) =
ˆ
ψ
j
(ˆ x),
• l
e
i

e
j
(x)) =
ˆ
l
i
(
ˆ
ψ
j
(ˆ x)).
Before we give the basic error theorems we recall the definitions of the norms
and semi-norms with which we work.
[v[
m,p,Ω
e
:=

¸
¸
|α|=m


e
[D
α
v[
p
dx
¸

1
p
,
|v|
m,p,Ω
e
:=

¸
¸
l≤m
[v[
p
l,p,Ω
e
¸

1
p
=

¸
¸
|α|≤m


e
[D
α
v[
p
dx
¸

1
p
,
[v[
m,∞,Ω
e
:= max
|α|=m
¦ess.sup
x
[D
α
v(x)[¦,
|v|
m,∞,Ω
e
:= max
|α|≤m
¦ess.sup
x
[D
α
v(x)[¦.
Lemma 3.5.11 Assume the integers k ≥ 0 and m ≥ 0 and the numbers p, q ∈
[1, ∞] are such that the Sobolev spaces W
k+1,p
(
ˆ
Ω) and W
m,q
(
ˆ
Ω) satisfy the
inclusion
W
k+1,p
(
ˆ
Ω) → W
m,q
(
ˆ
Ω).
Further let
ˆ
Π ∈ L(W
k+1,p
(
ˆ
Ω); W
m,q
(
ˆ
Ω)) be a polynomial preserving mapping:
∀ˆ p ∈ P
k
(
ˆ
Ω),
ˆ
Πˆ p = ˆ p.
For every open set Ω
e
that is affine-equivalent to
ˆ
Ω define the mapping Π
e
by

e
v)ˆ=
ˆ
Πˆ v,
96 P.W. Hemker
with ˆ v ∈ W
k+1,p
(
ˆ
Ω) and v ∈ W
k+1,p
(Ω
e
) corresponding as in (3.65). Then
there exists a constant C = C(
ˆ
Π,
ˆ
Ω) such that for all affine-equivalent sets Ω
e
and all v ∈ W
k+1,p
(Ω
e
)
[v −Π
e
v[
m,q,Ω
e
≤ C(meas(Ω
e
))
1/q−1/p
h
k+1
e
ρ
m
e
[v[
k+1,p,Ω
e
,
with h
e
, ρ
e
and meas(Ω
e
) as in definition 3.5.9.
We specialise this immediately to affine-equivalent finite element families. We
formulate a number of requirements on the spaces we use:
1. we have a set of degrees of freedom
ˆ
L which uses derivatives up to certain
order s. By Sobolev’s Lemma, this sets requirements on the Sobolev
spaces. This gives condition (3.66),
2. the projections will be measured in a weaker norm | |
m,q,Ω
e
: condition
(3.67),
3. the approximating functions will at least have to include all polynomials
up to certain order: condition (3.68).
Lemma 3.5.12 Let (
ˆ
Ω,
ˆ
P,
ˆ
L) be a master element for which s is the largest
derivative in
ˆ
L. If for some k ≥ 0, m ≥ 0 and p, q ∈ [1, ∞]
W
k+1,p
(
ˆ
Ω) → (
s
(
ˆ
Ω), (3.66)
W
k+1,p
(
ˆ
Ω) → W
m,q
(
ˆ
Ω), (3.67)
P
k
(
ˆ
Ω) ⊂
ˆ
P ⊂ W
m,q
(
ˆ
Ω), (3.68)
then there is a C = C(
ˆ
Ω,
ˆ
P,
ˆ
L) such that for affine-equivalent finite elements
(Ω
e
, P
e
, L
e
) and all v ∈ W
k+1,p
(Ω
e
)
[v −Π
e
v[
m,q,Ω
e
≤ C(meas(Ω
e
))
1/q−1/p
h
k+1
e
ρ
m
e
[v[
k+1,p,Ω
e
.
Obviously, the term
h
k+1
e
ρ
m
e
appearing in this lemma is undesirable, so we would
like to dispose of the ρ
e
. This can be done provided the elements do not become
”flat” in the limit: for h
e
→ 0 we want that ρ
e
= O(h
e
).
Definition 3.5.13 A sequence of partitionings ¦∆
h
¦ of finite elements ¦(Ω
e
, P
e
, L
e

h
10
is regular if the following two conditions are satisfied:
1. There exists a constant σ such that
∀e,
h
e
ρ
e
≤ σ.
10
Note that we use e as a kind of parameter of the family.
Version: September 13, 2004 97
2. The diameter h = max

e
∈∆
h
h
e
tends to zero.
Remark:
The regularity of the elements can also be stated in a more geometrical sense:
let θ

denote the smallest angle in an element Ω, then there must be a θ
0
> 0
such that
∀Ω ∈ T
h
, θ

≥ θ
0
> 0.
For regular families we can convert the error estimate 3.5.12 in estimates for
the associated norms.
Lemma 3.5.14 Let there be given a regular affine family of finite elements
(Ω
e
, P
e
, L
e
) whose reference element (
ˆ
Ω,
ˆ
P,
ˆ
L) satisfies conditions (3.66), (3.67)
and (3.68). Then there exists a constant C = C(
ˆ
Ω,
ˆ
P,
ˆ
L) such that for all
members Ω of the family and all v ∈ W
k+1,p
(Ω),
|v −Π
e
v|
m,q,Ω
e
≤ C(meas(Ω
e
))
1/q−1/p
h
k+1−m
e
[v[
k+1,p,Ω
e
.
Thus, we can give an error estimate on each element in a partition ∆
h
of our
domain Ω
e
. Assuming the family is affine-equivalent we would like to give
an error estimate for the global finite element approximation. The assumptions
above have to be applied in an even more strict sense: on each level of refinement.
Assumptions:
(H1) We consider a regular family of finite elements T
h
. That is, there exists a
constant σ > 0 such that
∀ Ω
e
∈ ∪
h
T
h
,
h
e
ρ
e
≤ σ.
and
h = max

e
∈F
h
h
e
→ 0 .
(H2) All the finite elements (Ω
e
, P
e
, L
e
), Ω
e
∈ ∪
h
T
h
are affine-equivalent to
a single reference element (
ˆ
Ω,
ˆ
P,
ˆ
L).
(H3) All the elements are of class (
0
.
To summarise the result we define a norm and a semi-norm for piecewise
smooth functions on a given partitioning ∆
h
.
Definition 3.5.15 For functions that are (together with their derivatives up to
order m) integrable on the elements Ω
e
∈ ∆
h
, we introduce the following norm
and seminorm if p < ∞
|v|
m,p,∆
h
:=

¸

e
∈∆
h
|v|
p
m,p,Ω
e
¸1
p
,
98 P.W. Hemker
[v[
m,p,∆
h
:=

¸

e
∈∆
h
[v[
p
m,p,Ω
e
¸1
p
.
In case p = 2 we drop the p in the subscripts. We denote the space of functions
with finite norm |.|
m,∆
h
by H
m

h
.
If p = ∞ we define
|v|
m,∞,∆
h
:= max

e
∈∆
h
|v|
m,∞,Ω
e
,
[v[
m,∞,∆
h
:= max

e
∈∆
h
[v[
m,∞,Ω
e
.
Example 3.5.16
The norm | |
m,p,∆
h
on the partitioning ∆
h
of Ω is not the same as the norm
| |
m,p,Ω
on Ω itself. This is seen as follows. Take Ω = [a, b] and consider the
piecewise linear function in figure 3.11. This function is an element of H
1
(Ω),
Figure 3.11: Piecewise H
2
-function.
but it is not in H
2
(Ω). If we take however a partition ∆
h
such that the elements

e
correspond with the smooth parts of the function, it is piecewise H
2
, so in
H
2

h
(Ω).
A number of approximation results is summarised in the following lemma.
Lemma 3.5.17 Let T
h
be a regular family of finite elements satisfying (H1),
(H2) and (H3) that are all affine equivalent with the master element (
ˆ
Ω,
ˆ
L,
ˆ
P).
Let the requirements (3.66), (3.67) and (3.68) be satisfied for every element.
Consider the global interpolation operator
Π
h
: W
k+1,p
(Ω) → S
h
⊂ W
m,p
(Ω)
defined by
Π
h
[

e
= Π
e
then there is a constant C = C(
ˆ
Ω,
ˆ
L,
ˆ
P) > 0, such that,
[v −Π
e
v[
m,p,Ω
e
≤ C h
k+1−m
e
[v[
k+1,p,Ω
e
,
and
[v −Π
h
v[
m,p,∆
h
≤ C h
k+1−m
[v[
k+1,p,∆
h
.
Version: September 13, 2004 99
From this easily follows
|v −Π
e
v|
m,p,Ω
e
≤ C h
k+1−m
e
[v[
k+1,p,Ω
e
, (3.69)
and
|v −Π
h
v|
m,p,Ω
≤ C h
k+1−m
[v[
k+1,p,Ω
. (3.70)
Remark:
If the functions v and Π
h
v are not sufficiently smooth estimate (3.70) is not
valid, but we still have
|v −Π
h
v|
m,p,∆
h
≤ C h
k+1−m
[v[
k+1,p,∆
h
.
As a direct consequence of this lemma we can state the basic interpolation
theorem that can be applied to elliptic problems. We thus take p = q = 2.
Theorem 3.5.18 Under conditions as in lemma 3.5.17, for a regular family of
finite element approximations, the following error estimate is valid
|u −Π
h
u|
m,Ω
≤ C h
k+1−m
[u[
k+1,∆
h
.
Here C is independent of h, 0 ≤ m ≤ k + 1, u ∈ H
k+1
(Ω) and Π
h
is the
interpolation operator that leaves invariant all polynomials of degree k or less.
Definition 3.5.19 The spaces S
h
, based on a regular family T
h
of finite el-
ements, such that the requirements of lemma 3.5.12 are satisfied for p =
2, i.e.they are k-th degree piecewise polynomials in H
m
(Ω), are denoted by
S
k,m
h
(Ω), 0 ≤ m ≤ k + 1.
The spaces S
k,m
h
(Ω) contain all k-th order piecewise polynomials and are subsets
of H
m
(Ω). By the preceding theorem we know that for a sequence ¦S
k,m
h
(Ω)¦
h→0
,
h ≤ h
0
, u ∈ H
r
(Ω), r ≥ 0 and 0 ≤ s ≤ min(r, m) there exists a u
h
∈ S
k,m
h
(Ω)
and a constant C ≥ 0, independent of h, such that
|u −u
h
|
s
≤ C h
σ
|u|
r
,
where σ = min(k + 1 −s, r −s).
Corollary 3.5.20
Under the same conditions as in theorem 3.5.18, let u be the solution to a
second order elliptic problem and let u
h
be the associated discrete solution.
Then
|u −u
h
|
1,Ω
= O(h
k
).
Sufficient for convergence for a second order problem is thus k = 1, or approxi-
mation by piecewise linear functions.
Proof: Because we consider a second order problem we have m = 1 and the
theorem follows by combining theorem 3.5.1 and theorem 3.5.18.
100 P.W. Hemker
Inverse inequalities
We now treat a property of piecewise polynomial spaces that has no immediate
use at this point. However it is an easy consequence of the foregoing and we
will use it in section 3.5.6.
Definition 3.5.21 (H4) A family T
h
of triangulations satisfies an inverse as-
sumption if there exists a ν such that
∀ T ∈ ∪
h
T
h
,
h
h
T
≤ ν.
In fact an inverse assumption implies that the elements can not differ too much
in size, which in turn implies that functions in the approximation space have
derivatives that will not ”blow up”, unless the function itself ”blows up”.
It is clear that this assumption is by no means restrictive in practice: the
’usual’ finite element spaces satisfy an inverse assumption.
For such families of spaces we establish the following equivalence between
semi-norms. Note that σ appears in the regularity assumption (H1).
Theorem 3.5.22 Let there be given a regular family of triangulations T
h
in
R
d
, satisfying an inverse assumption. Let 0 ≤ m ≤ k, p, q ∈ [1, ∞], and
ˆ
P ⊂ W
k,p
(
ˆ
Ω) ∩ W
m,q
(
ˆ
Ω),
then ∃C = C(ν, σ, k, m, p, q) such that for all v
h
∈ V
h
[v
h
[
k,p,∆
h

C
meas(Ω
h
)
max{0,1/q−1/p}
h
k−m
[v
h
[
m,q,∆
h
, (3.71)
with the usual adaptation if p or q is ∞.
Proof: See [4, p. 141].
Example 3.5.23
Assume V
h
∈ W
l,r
for some (l, r), then the above inequalities can be given for
the seminorms [.[
l,r,Ω
. For instance suppose assumption (H3) is valid and that
ˆ
P ⊂ H
1
(Ω), then
[v
h
[
0,∞,Ω

C
h
n/2
[v
h
[
0,Ω
,
and
[v
h
[
1,Ω

C
h
[v
h
[
0,Ω
. (3.72)
If
ˆ
P ⊂ W
1,∞
(Ω), then
[v
h
[
1,∞,Ω

C
h
[v
h
[
0,∞,Ω
.
Version: September 13, 2004 101
Example 3.5.24
We can also easily give inequalities for the norms: for instance, from (3.72) we
find
|v
h
|
1,Ω

C
h
[v
h
[
0,Ω
. (3.73)
This can be applied for the following case. Take Ω = [a, b]. Consider S
1,1
h
(Ω),
the space of piecewise linear functions on a regular partition ∆
h
, then (3.73) is
valid for each v
h
∈ S
1,1
h
(Ω).
Motivated by this we come to the following definition, suited for the function
spaces S
k,m
h
(Ω).
Definition 3.5.25 A family of piecewise polynomial spaces ¦S
k,m
h
(Ω)¦
h→0
has
the inverse property if
∃C : ∀s ≤ m, h
m
|u
h
|
m
≤ C h
s
|u
h
|
s
, ∀u
h
∈ S
k,m
h
(Ω).
Error estimate in the L
2
-norm
In Section 3.5.4 we saw that under conditions we can assure that |u−u
h
|
1,Ω
=
O(h
k
). This means that at least |u −u
h
|
0,Ω
= O(h
k
). In this section we show
that, under mild additional assumptions, |u −u
h
|
0,Ω
= O(h
k+1
).
Theorem 3.5.26 (Aubin-Nitsche Lemma)
Let Lu = f be a problem of order 2m and let V
h
⊂ V = H
m
(Ω). The continuous
problem is to find u such that B(u, v) = f(v) for all v ∈ V . The discrete problem
is: find u
h
such that B(u
h
, v
h
) = f(v
h
) for all v
h
∈ V
h
. Assume that for all
g ∈ H
−s
there is a solution to L
T
z = g (the adjoint problem), such that
|z|
2m−s
≤ C |g|
−s
, s ∈ [0, m] ,
(the regularity of the adjoint problem). Then
|u −u
h
|
s,Ω
≤ C h
m−s
|u −u
h
|
m,Ω
. (3.74)
Proof: Define the error e = u
h
−u. For any 0 ≤ s ≤ m:
|e|
s
= sup
g∈H
−s
[g(e)[
|g|
−s
,
We first evaluate [g(e)[. Let z be the solution to the adjoint problem B(w, z) =
g(w), for all w ∈ H
s
(Ω). In particular B(e, z) = g(e), or, as B(e, v
h
) = 0 for all
v
h
∈ V
h
,
B(e, z −v
h
) = g(e).
So
[g(e)[ ≤ |B| |e|
m
inf
v
h
∈V
h
|z −v
h
|
m
.
102 P.W. Hemker
Now, provided r ≤ k + 1 −m,
[g(e)[ ≤ |B| |e|
m
C h
r
|z|
m+r
,
due to theorem 3.5.18. If we put r = m−s and provided 2m−s ≤ k + 1,
[g(e)[ ≤ |B| |e|
m
C h
m−s
|z|
2m−s
≤ |B| |e|
m
C h
m−s
|g|
−s
,
because of the regularity of the adjoint problem. So, if we compute the error in
the s-norm, we get
|e|
s
= sup
g∈H
−s
[g(e)[
|g|
−s
≤ C h
m−s
|e|
m
.
Corollary 3.5.27
For the error in L
2
-norm for a second order problem we get
|u −u
h
|
0,Ω
≤ C h
k+1
[u[
k+1,∆
h
,
provided k ≥ 1.
Remarks:
• The regularity of the adjoint problem is not very restrictive. For example
in case of a symmetric problem it is a trivial matter.
3.5.5 Pointwise error estimate and superconvergence
In this section we restrict ourselves to a second order linear ordinary differential
equation on Ω = [a, b] ⊂ R
Ly ≡ −
d
dx
(a
2
(x)
d
dx
y) + a
1
(x)
d
dx
y + a
0
(x)y = s(x), (3.75)
with a
2
(x) = 0 and homogeneous Dirichlet boundary conditions
y(a) = y(b) = 0.
We will use the Greens function for equation (3.75): i.e. the function G(x; ξ)
such that
11
y(x) = −

b
a
G(x; ξ) s(ξ) dξ, (3.76)
11
The function G is the resolvent kernel of the differential equation.
Version: September 13, 2004 103
for any function s(x). A priori, it is not clear that such a function G(x; ξ) can
exist, but we will construct it. Therefore, let ϕ
1
and ϕ
2
be two independent
solutions to the adjoint (transposed) equation
L
T
y ≡ −
d
dx
(a
2
(x)
d
dx
y) −
d
dx
(a
1
(x)y) + a
0
(x)y = 0,
with boundary conditions ϕ
1
(a) = 0, ϕ

1
(a) = 1, ϕ
2
(b) = 0 and ϕ

2
(b) = 1.
Now G(x; ξ) is constructed as
G(x; ξ) =

ϕ
1
(x)ϕ
2
(ξ)/z(x) if x < ξ
ϕ
1
(ξ)ϕ
2
(x)/z(x) if ξ < x,
(3.77)
where
12
z(x) := a
2
(x) (ϕ
1
(x)ϕ

2
(x) −ϕ

1
(x)ϕ
2
(x)) .
Remark:
It is easily seen that this function z(x) satisfies the equation a
2
z

+a
1
z = 0. So
z has a unique sign. If z ≡ 0 then ϕ
1
and ϕ
2
are linearly dependent. (In that
particular case the homogeneous problem has a non-trivial solution and G(x, ξ)
does not exist.)
By substitution of (3.76) in (3.75), it is not hard to verify that G(x; ξ) is the
Green’s function indeed. Other properties of this Greens function G(x; ξ) are:
1. G(x; ) ∈ H
1
0
(Ω) ∩ C
2
( (a, x) ∪ (x, b) ),
2. L
T
G(x; ) ≡ 0 on (a, x) ∪ (x, b),
3.
jump
ξ=x

∂ξ
G(x; ξ) := lim
h→0
∂G(x; ξ + h)
∂ξ
− lim
h→0
∂G(x; ξ −h)
∂ξ
=
1
a
2
(x)
.
If x
i
is a nodal point in a partition ∆
h
of Ω, then G(x
i
, ) can be approxi-
mated well in S
k,1
h
(Ω). Under this condition we see that
inf
v
h
∈S
k,1
h
|G(x
i
; ) −v
h
|
m,∆
h
≤ C h
k+1−m
|G(x
i
; )|
k+1,∆
h
.
So, for m = 1
inf
v
h
∈S
k,1
h
(Ω)
|G(x; ) −v
h
|
1

C h
k
[G[
k+1,∆
h
if x = x
i
,
C h
0
[G[
1
if x = x
i
.
(3.78)
The last estimate is true because in this case G(x; ) is not piecewise H
k+1
on

h
, but it still is continuous, so in H
1
.
12
The determinant ϕ
1
ϕ

2
−ϕ

1
ϕ
2
=

ϕ
1
ϕ

1
ϕ
2
ϕ

2

is called the Wronskian.
104 P.W. Hemker
Theorem 3.5.28 If equation (3.75) is discretised by a finite element method
with S
h
= V
h
= S
k,1
h
(Ω), then we have the pointwise error estimate
[y(x) −y
h
(x)[ ≤

C h
2k
if x = x
i
∈ ∆
h
,
C h
k
if x ∈ ∆
h
.
(3.79)
Proof: y ∈ H
1
0
(Ω) is the solution to B(y, v) = f(v), ∀v ∈ H
1
0
(Ω). Similarly
y
h
∈ S
k,1
h
(Ω) is the solution to B(y
h
, v
h
) = f(v
h
), ∀v
h
∈ S
k,0
h
(Ω), so for e :=
y −y
h
we have B(e, v
h
) = 0 ∀v
h
∈ S
k,1
h
(Ω). Now
y(x) = −

b
a
G(x; ξ) f(ξ) dξ = −

G(x; ξ)Ly(ξ)dξ = −B(y, G(x; )),
and analogously for y
h
, so
e(x) = −B(e, G(x; ))
= −B(e, G(x; ) −v
h
), ∀v
h
∈ S
k,1
h
(Ω).
This gives
[e(x)[ ≤ |B| |e|
1
inf
v
h
|G(x; ) −v
h
|
1
.
Because B is bounded, |e|
1
= O(h
k
) and (3.78) the theorem follows.
The phenomenon that the order of accuracy of an approximation at particular
points is better than the estimate in a global norm, is called superconvergence.
Remark:
If this same problem is tackled with functions in S
3,2
(Ω), there will be no super-
convergence. Then estimate (3.78) fails to be better at the points of ∆
h
.
3.5.6 The influence of the quadrature rule
In the previous sections we have given estimates for the error |y −y
h
|, that we
obtain when we solve the discrete equation instead of the continuous equation.
As we have seen in section 3.4.3 it may be so that we have to compute the
integrals in the discrete equations using a quadrature rule. So we not only have
the error |y−y
h
| but also an additional error |y
h
− ˜ y
h
| (which can be associated
with the consistency error of theorem 3.5.3). This could disturb all the error
estimates we have given so far. In order to take this into account we require that
the additional error should be at most of the same order as the discretisation
error. This will lead to some requirement for accuracy of the quadrature rule.
In this section we will formulate these requirements for two cases: first we
show under which conditions the global error estimate is preserved (as in the-
orem 3.5.18) and further we discuss the how we can preserve the pointwise
superconvergence of theorem 3.5.28.
Version: September 13, 2004 105
Definition 3.5.29 A quadrature rule of the form


f dx ≈
¸
i
w
i
f(x
i
)
is called to be of degree t if it integrates any polynomial f of degree t exactly.
Theorem 3.5.30 Given a repeated quadrature rule of degree t, applied to a
partition ∆
h
, then there exists, for f ∈ ((Ω) ∩ W
t+1,p
(Ω
e
), ∀Ω
e
, a piecewise
polynomial Π
h
f of degree t such that it interpolates f on the nodes, i.e.
f(x
i
) = Π
h
f(x
i
)
and such that
|f −Π
h
f|
m,p,∆
h
≤ C h
t+1−m
[f[
t+1,p,∆
h
.
Proof: Take a (t + 1)-points interpolating polynomial of degree t on every

e
: each of this gives the estimate of lemma 3.5.17. Provided the set of nodes
contains the quadrature points the estimate is valid.
Corollary 3.5.31
When a quadrature rule of degree t is used the quadrature error is O(h
t+1
):


e
[f −Π
h
f[ dx ≤ C h
t+1
¸
|α|=t+1


e
[D
α
f(x)[ dx. (3.80)
Example 3.5.32
A t +1-point Newton-Coates formula has degree t. An n-points Gauss quadra-
ture has degree 2n −1; an n-point Lobatto formula has degree 2n −3.
In the following we will restrict ourselves to second order elliptic problems, and
we use a quadrature of degree t, we will assume that all the coefficients in the
partial differential equation are (piecewise) C
t+1
(Ω)-functions.
In order to study the influence of the quadrature on the accuracy of the FEM
we have to distinguish three different problems:
1. the continuous problem
find y ∈ S such that B(y, v) = f(v), for all v ∈ V ;
2. the discrete problem
find y
h
∈ S
h
such that B(y
h
, v
h
) = f(v
h
) for all v
h
∈ V
h
;
3. the discrete problem with quadrature
find ˜ y
h
∈ S
h
such that B
h
(˜ y
h
, v
h
) = f
h
(v
h
), for all v
h
∈ V
h
.
106 P.W. Hemker
Here f
h
is a linear and B
h
is a bilinear functional in which the integrals (see
Section 3.4.3) are replaced by a repeated quadrature rule of degree t on the
partition ∆
h
.
To compute the additional error we first have to make an estimate of the
amount by which f
h
deviates from f, and B
h
deviates from B.
Lemma 3.5.33 When using a quadrature rule of degree t we have
[f(v
h
) −f
h
(v
h
)[ ≤ C h
t+1
|v
h
|
k,∆
h
(3.81)
and
[B(˜ y
h
, v
h
) −B
h
(˜ y
h
, v
h
)[ ≤ C h
t+1
|˜ y
h
|
k,∆
h
|v
h
|
k,∆
h
. (3.82)
Proof: We only give the proof for f
h
and f, the other goes analogously. Using
the operator Π
h
, as introduced in Theorem 3.5.30, we have
E := [f(v
h
) −f
h
(v
h
)[ =
¸
e
[


e
((fv) −Π
h
(fv)) dx[.
Using (3.80) we have
E ≤ C h
t+1
¸
e


e
[D
t+1
(fv)[ dx,
so, by Leibniz’ rule and the fact that v
h
∈ V
h
,
E ≤ C h
t+1
k
¸
l=0
¸
e


e
[(D
t+1−l
f)(D
l
v
h
)[ dx ≤ C h
t+1
|v
h
|
k,∆
h
.
The following theorem states the conditions under which the accuracy as given
in theorem 3.5.18 is preserved.
Theorem 3.5.34 Let S = V = H
1
(Ω), ∆
h
a regular partition of Ω and assume
S
h
and V
h
satisfy the inverse property. Further, let B : S
h
V
h
→R be bounded
and coercive and let f
h
and B
h
be the approximations of f and B obtained by
quadrature t ≥ 2k −2. Then
|y − ˜ y
h
|
1,Ω
= O(h
k
).
Proof: Let y
h
be the solution of the discrete problem and ˜ y
h
the solution to
the discrete equation with quadrature. We seek a upper bound of |y
h
− ˜ y
h
| by
considering
|y
h
− ˜ y
h
|
1

1
γ
h
sup
v
h
∈V
h
[B(y
h
− ˜ y
h
, v
h
)[
|v
h
|
1
,
Version: September 13, 2004 107
in which γ
h
is the (discrete) coercivity constant of B.
So compute
[B(y
h
− ˜ y
h
, v
h
)[ ≤ [B(y
h
, v
h
) −B
h
(˜ y
h
, v
h
)[ +[B
h
(˜ y
h
, v
h
) −B(˜ y
h
, v
h
)[
i
= [f(v
h
) −f
h
(v
h
)[ +[B
h
(˜ y
h
, v
h
) −B(˜ y
h
, v
h
)[
ii
≤ C h
t+1
|v
h
|
k,∆
h
+ C h
t+1
|˜ y
h
|
k,∆
h
|v
h
|
k,∆
h
iii
≤ C h
t+2−k
|v
h
|
1
+
C h
t+2−k
|v
h
|
1
¦|y
h
|
k,∆
h
+|y
h
− ˜ y
h
|
k,∆
h
¦
iiii
≤ C h
t+2−k
|v
h
|
1
¦1 +|y
h
|
k,∆
h
¦ +
C h
t+3−2k
|v
h
|
1
|˜ y
h
−y
h
|
1,∆
h
.
We used (i) that y
h
is a solution of the discrete problem and ˜ y
h
is the solution
to the discrete problem with quadrature, (ii) the estimates of Lemma 3.5.33
for the quadrature, (iii) the fact that V
h
has the inverse property and (iiii) that
S
h
has the inverse property.
Thus,
|y
h
− ˜ y
h
|
1
¦1 −C h
t+3−2k
¦ ≤ C h
t+2−k
¦1 +|y
h
|
k,∆
h
¦.
Provided h is small enough (C h
t+3−2k
< 1), we have
|y
h
− ˜ y
h
|
1
≤ C h
t+2−k
¦1 +|y
h
|
k,∆
h
¦. (3.83)
To preserve the accuracy t should satisfy both t +2 −k ≥ k and t +3 −2k > 0,
both of which are satisfied if t ≥ 2k −2.
For the superconvergence as treated in Section 3.5.5 we now answer the same
question: what should be the degree of the quadrature to preserve the pointwise
superconvergence accuracy?
Theorem 3.5.35 Let the two point boundary value problem (3.75) be discre-
tised by a finite element method with S
h
= V
h
= S
k,1
h
(Ω), and let the quadrature
rule be of degree t, with t ≥ 2k −1, then
[y(x) − ˜ y
h
(x)[ =

O(h
2k
), x ∈ ∆
h
,
O(h
k
), x ∈ ∆
h
.
Proof: We introduce G
i
= G(x
i
, ), x
i
a nodal point, and consider
[y
h
(x
i
) − ˜ y
h
(x
i
)[ = [B(y
h
− ˜ y
h
, G
i
)[.
First
B(y
h
− ˜ y
h
, G
i
) = B(y
h
− ˜ y
h
, G
i
−v
h
) + B(y
h
− ˜ y
h
, v
h
)
108 P.W. Hemker
= B(y
h
− ˜ y
h
, G
i
−v
h
) + B(y
h
, v
h
) −B
h
(˜ y
h
, v
h
)
+B
h
(˜ y
h
, v
h
) −B(˜ y
h
, v
h
)
= B(y
h
− ˜ y
h
, G
i
−v
h
) + f(v
h
) −f
h
(v
h
)
+B
h
(˜ y
h
, v
h
) −B(˜ y
h
, v
h
),
so, using the continuity of B
[B(y
h
− ˜ y
h
, G
i
)[ ≤ M |y
h
− ˜ y
h
|
1
|G
i
−v
h
|
1
+[f(v
h
) −f
h
(v
h
)[
+[B
h
(˜ y
h
, v
h
) −B(˜ y
h
, v
h
)[
≤ M |y
h
− ˜ y
h
|
1
|G
i
−v
h
|
1
+ C h
t+1
|v
h
|
k,∆
h
+C h
t+1
|˜ y
h
|
k,∆
h
|v
h
|
k,∆
h
(3.83)
≤ M C h
t+2−k
¦1 +|y
h
|
k,∆
h
¦ |G
i
−v
h
|
1
+C h
t+1
|v
h
|
k,∆
h
¦1 +|y
h
|
k,∆
h
¦
≤ M C h
t+2−k
¦1 +|y
h
|
k,∆
h
¦ |G
i
−v
h
|
1
+C h
t+1
|G
i
−v
h
|
k,∆
h
¦1 +|y
h
|
k,∆
h
¦
+C h
t+1
|G
i
|
k,∆
h
¦1 +|y
h
|
k,∆
h
¦
(3.78)
≤ C h
t+1
|G
i
|
k,∆
h
+ C h
t+1
|G
i
|
k,∆
h
≤ C h
t+1
|G
i
|
k,∆
h
.
According to theorem 3.5.28 y(x) − y
h
(x) = O(h
2k
) in nodal points x = x
i


h
, so we conclude that by the condition t +1 ≥ 2k also y(x) − ˜ y
h
(x) = O(h
2k
)
in nodal points.
Example 3.5.36
A Gaussian quadrature on k points or a Lobatto quadrature on k +1 points are
sufficiently accurate to preserve superconvergence.
Acknowledgement
In 1992 H. Eleveld prepared an earlier version of these notes on finite element
methods, based on lectures given at the University of Amsterdam. Final cor-
rections 2004.
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Index
adjoint problem, 101
affine-equivalent, 94
amplification factor, 34
asymmetric problem, 68
Aubin-Nitsche Lemma, 101
backward Euler method, 33
Banach space, 50
barycentric coordinates, 84
bilinear functional, 54
bilinear operator, 53
block centered, 21
boundary conditions, 46
bounded operator, 53
box method, 28
Bubnov-Galerkin, 28
Burgers’ equation, 12, 13
Cauchy Riemann, 22
Cauchy-Schwarz inequality, 50
cell centered, 21
cell vertex, 21
central approximation, 32
characteristic polynomial, 5
characteristics, 7
coercive, 56
collocation method, 27
compact support, 51
compatibility condition, 24
complete, 50
conforming method, 69
conjugate exponents, 54
conjugate-linear operator, 53
conservation law, 6
consistency error, 91
convection equation, 31
convective flux, 2
convergence
strong, 56
weak, 56
Cranck-Nicolson method, 33
curved boundary, 86
degree, 105
degrees of freedoms, 93
delta function, 59
dense, 50
diffusion equation, 3, 29, 46
diffusive flux, 2
Dirac delta function, 59
Dirichlet boundary conditions, 46
Discrete Lax-Milgram Theorem, 88
discrete solution, 87
distance, 50
distribution, 59
distributional derivative, 60
divergence, 2
downwind approximation, 32
dual space, 54
elementary load vector, 74
elementary stiffness matrix, 74
elliptic, 5, 6
elliptic equation, 46
energy norm, 69
entropy condition, 15, 16
equivalent differential equation, 37
Euler equations, 6
finite difference approximation, 19
finite element, 93
finite element approximation, 21
finite volume approximation, 21
finite volume method, 28
111
112 P.W. Hemker
forward Euler method, 33
function spaces, 51
functionals, 53
Galerkin method, 28
Gauss’ theorem, 2
generalised derivative, 60
generalised function, 59
global discretisation error, 36
global finite element approximation,
93
gradient, 2
Greens function, 102
Heaviside function, 60
Hermite interpolate, 81
hierarchical basis, 73
Hilbert space, 50
hyperbolic, 5, 7
IBVP, 79
initial-boundary-value problem, 79
inner product, 49
inner product space, 49
interpolation error, 91
inverse property, 101
inviscid Burgers’ equation, 8
isoparametric elements, 86
Lagrange interpolation, 70
Laplace equation, 46
Laplace’s equation, 3
Lax-Milgram Theorem, generalised,
57
linear functional, 53
linear operator, 53
linear space, 49
linearisation, 30
Lipschitz continuous, 51
load vector, 74
local discretisation error, 36
lumping, 78
mass matrix, 79
master element, 93
mesh, 19, 70
meshwidth, 70
metric, 50
mixed boundary conditions, 46
modified equation, 37
multi-index, 51
multi-integer, 51
Neumann boundary conditions, 46
nodal points, 92
non-unique solution, 14
nonconforming method, 90
norm, 49
normed linear space, 49
numerical diffusion, 37
Oleinik, 15, 16
order of the differential equation, 1
ordinary differential equation, 1
parabolic, 5
partial differential equation, 2
partitioning, 19
PDE, 1
Petrov-Galerkin, 28
piecewise Lagrange interpolation, 70
piecewise polynomials, 21
Poincar´e’s Lemma, 64
Poisson equation, 3
positive
strictly, 56
positive definite, 46
potential equation, 46
principle part, 3, 5, 46
projection Π
h
, 94, 98, 105
quadrature rule, 75
quasi-linear, 3
Rankine-Hugoniot, 12
reference element, 93
regular family, 97
regularity, 101
scalar field, 49
scalar product, 49
semi-discretisation, 31, 79
semi-norm, 49
separable, 50
Version: September 13, 2004 113
sesquilinear functional, 54
sesquilinear operator, 53
Sobolev space, 61
Sobolev’s Embeddings Theorem, 62
spectral method, 21
splines, 83
staggered grid, 22
standard hat functions, 71
static condensation, 78
steady equations, 4
stiffness matrix, 74
Stokes equations, 24
strictly positive, 56
sub-coercive, 56
superconvergence, 104
symmetric operator, 53
symmetric problem, 67
topology, 60
trace, 64
triangle inequality, 49
unisolvent set, 86
upwind approximation, 32
variational method, 26
vector space, 49
vertex centered, 21
wave equation, 3
weak solution, 11, 66
weak topology, 60
weakly convergent, 56
weighted residual method, 27
weighting function, 54
Wronskian, 103

ii

P.W. Hemker

Contents
1 Introduction to PDEs 1.1 Classification . . . . . . . . . . . . . . . . . . . . . 1.1.1 Ordinary and partial differential equations . 1.1.2 Elliptic, parabolic or hyperbolic equations . 1.1.3 Conservation laws . . . . . . . . . . . . . . 1.2 Hyperbolic equations . . . . . . . . . . . . . . . . . 1.2.1 Characteristics . . . . . . . . . . . . . . . . 1.2.2 Discontinuous solutions . . . . . . . . . . . 1 1 1 4 6 7 8 10 17 17 19 19 21 21 21 22 24 24 26 27 27 28 28 29 29 30 31 31 31 32 35 42

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2 Discretisation Principles 2.1 Discrete representation of the solution . . . . . . . . . . . . 2.1.1 Discretisation of the domain, solution and equation . 2.1.2 Finite difference approximation . . . . . . . . . . . . 2.1.3 Finite element approximation . . . . . . . . . . . . . 2.1.4 Finite volume approximation . . . . . . . . . . . . . 2.1.5 Spectral methods . . . . . . . . . . . . . . . . . . . . 2.1.6 Staggered grid . . . . . . . . . . . . . . . . . . . . . 2.2 Techniques for discretisation of PDEs . . . . . . . . . . . . 2.2.1 Finite difference methods . . . . . . . . . . . . . . . 2.2.2 Variational method . . . . . . . . . . . . . . . . . . . 2.2.3 Weighted residual methods . . . . . . . . . . . . . . 2.2.4 Collocation methods . . . . . . . . . . . . . . . . . . 2.2.5 Galerkin methods . . . . . . . . . . . . . . . . . . . 2.2.6 Box methods = Finite Volume methods . . . . . . . 2.3 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.3.1 The diffusion equation . . . . . . . . . . . . . . . . . 2.3.2 The source term and solution of the system . . . . . 2.3.3 The convection equation . . . . . . . . . . . . . . . . 2.4 Techniques for time-discretisation . . . . . . . . . . . . . . . 2.4.1 Time-space discretisation or semi-discretisation . . . 2.4.2 FDM for a linear hyperbolic problem . . . . . . . . . 2.4.3 The equivalent differential equation . . . . . . . . . 2.5 Criteria for good discretisation methods . . . . . . . . . . . iii

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. . . . 90 3. 86 3. . . .5 Error estimates for the finite element method . 45 3. . . . . . . . . . . .2 More general error estimate . . . .1 The discrete version of the Generalised Lax-Milgram . . . . . . . . .3. . . .3 Distributions and Sobolev Spaces . . . . . . . . . .4. . .5. . . . . . . . 87 3.1 One-dimensional second order . . . . . . . . . . .4 The technique of the finite element method .5 Variational formulations for differential equations . . . .5 Pointwise error estimate and superconvergence . . . . . . . . . .2 Piecewise Lagrange Interpolation in one dimension . . . . . .2. .6 The influence of the quadrature rule . 102 3. .2 Two-dimensional second order . . . . . . . . . Hemker 3 Finite Element Methods 45 3. . . . . . . 56 3. . . . . . . . . . . . . . . . . 49 3. . 64 e 3. . . . . . . . . . 83 3. . .1 Introduction to Functional Analysis . .5. . . . . . . 70 3. . . . . . . . . .3 Fourth order problems . . . . . . . . . . . .4. .5. . .6 Isoparametric elements . . . . . . . 46 3. . . . 104 References Index 109 111 . . . . . . . . .3. . . 87 3. . . . . . . . . . . . . . .W. . . . . . . . .2 Examples of boundary value problems . . . . . . . . . . .2. . . 58 3. . . . . . . . . . . . 81 3. . . . 94 3. . . .4. .4 The Poincar´-Friedrichs Inequality. . . . . . . . . . 69 3. . .4 Interpolation theory and applications . . . . . . . .4. 48 3.3 The formalisation of the finite element method . . . . .iv P. 45 3.3 The construction of the discrete equations . .1 Introduction . . . . 69 3. . .1 The principles . . .5. . . . . . .5 Approximation in two dimensions . . . . . . . . . . . .3.5.4 Other piecewise polynomial approximations in one dimension . . . 92 3. . . . . . .3. . . . . . . . . . . .5. . . . . . . .4. . . . 48 3. . . .3. . . . . . . . . . . 73 3. . . . . .2 The Generalised Lax-Milgram Theorem . .4. . . 65 3. .3 Abstract Elliptic Theory . . 45 3.2. . . . . . . .

usually one or more additional (initial) conditions are needed to determine the unknown function uniquely. usually with a large number of unknowns. The second step is the solution of the large algebraic system of equations. etc. In the later part. as e. 1. and some elementary properties of the PDEs are explained. First. and to determine the solutions with some accuracy.1 Ordinary and partial differential equations An ordinary differential equation (ODE) implicitly describes a function depending on a single variable and the ODE expresses a relation between the solution and one or more of its derivatives. electromagnetics. Beside the ODE. In Chapter 3 we study the Finite Element Method for the discretisation of elliptic equations. The order of the differential equation is the order of the highest derivative in the equation.Chapter 1 Introduction to PDEs 1. The numerical techniques to compute (approximations to) the solution are often split in two parts. in order to determine the unknowns that describe (approximately) the solution of the PDE. To get insight into the quantitative behaviour of the solutions of the PDEs. This transformation is called the discretisation process.. in particular.1 Classification In these lectures we study numerical methods for partial differential equations (PDEs). for different kinds of PDEs. the PDE (the solution of which is a continuous function or set of functions) is transformed into a set of linear or nonlinear algebraic equations. we will concentrate on so called elliptic equations. These equations are used in many areas of application. in most cases analytic methods fail and we have to rely on numerical methods. 1 .1. mechanics. In Chapter 2 we will give a survey of the methods that are used for discretisation. In the present chapter different kinds of differential equations are classified.g.

z) reads ∂ (ρu) + div (ρvu) + div Jd = s. .2) In this equation we distinguish between the diffusive flux. x. ∂t (1.1. This relation describes a partial differential equation (PDE). ∂t (1. y. An example of a second order ODE is u(x) = −c2 u (x). z). y. y. again additional relations are required: initial and/or boundary conditions. y. x. and the complete equation describing the behaviour of u(t.2 Let u(t. y. x. Hemker In many interesting cases a function depends on more independent variables and a relation is given for the function and its partial derivatives. 2 The gradient gradient of a scalar function φ(x. z) denote the mass fraction of a chemical species. m. in a medium with density ρ(t.1) where s(t. If diffusion also plays a role. u (0) = 1. Jd .W. x. To determine the unknown function. u(0) = 1. y. y. where d is the diffusion coefficient. In the presence of a velocity field v(t. x. z) the conservation of the species m is expressed by ∂ (ρu) + div (ρuv) = s. In many practical problems the independent variables represent the time and space coordinates (t. divergence of the vector field v is defined by div v = important relation for the divergence is Gauss’ theorem div u dΩ = Ω 3 Γ 1 The v= ∂vx ∂x + ∂vy ∂y + ∂vz ∂z . P. Example 1. u(0) = 0. z) is the vector field defined by grad φ = φ= ∂φ/∂x ∂φ/∂y ∂φ/∂z . where Ω ⊂ R is a bounded volume with surface Γ and n is the outward pointing normal on Γ. and the convective flux.2 Example 1.1 An example of a first order ODE is u(x) = u (x). x. then the diffusive flux Jd is described by Fick’s law of diffusion 2 Jd = −d grad u. z) is a possible source 1 . An u · n dΓ. Jc = ρuv. z).1.

2004 3 The principle part of a differential equation is the part (the set of terms) that contain the highest derivatives.5) where a is a positive real number.1) is (ρu)t + div (ρuv) and the principle part of (1.g. All the above mentioned examples are differential equations that are linear in the dependent variable u. the principle part of (1. the less computational (1. equations in which the highest derivatives appear linearly.3) where f (x. E. x. and often we select values of the independent variables at which the values of u will be calculated. (1. y) is given at the boundary of Ω. (x.e. An important subclass of the nonlinear differential equations are the quasi-linear equations. PDEs can have quite diverse properties. where φ and ψ are arbitrary (twice differentiable) functions. without a velocity field or a source term. The fewer the number of degrees of freedom in the approximation of u(t.3) is called Laplace’s equation.6) .g. the equation (1. • The diffusion equation ut = d uxx . Although most theory available is for such linear partial differential equations. t.3 • With Ω ⊂ R2 an open domain. Notice that the equation (in its three-dimensional form) is obtained from (1.1. y. • A different kind of PDE is the wave equation utt = a2 uxx . z). the dependent variable u in the PDE is a function of time. Most typical properties are related with the shape of the principle part of the equation. z). i. In general. y) is a prescribed function. Example 1. The solution of these equations can be determined if the value of u(x. y. In the special case of f ≡ 0 equation (1. and the three space coordinates. In numerical methods we have to choose how to represent the function u. A few of such typical forms are given in the next example. y) = φ(at − x) + ψ(at + x). (1.1) or (1. many important equations are nonlinear. the Poisson equation is uxx + uyy = f (x.4) describes the one-dimensional unsteady case of simple diffusion.2) is (ρu)t − div (d grad u). (1.Version: September 13. y).2) in the case of a time-independent solution with v = 0 and s = 0. E. It is simple to see that a solution of this equation is given by u(x.2) would be nonlinear if the velocity field v was dependent on u or the source s was a nonlinear function of u.

no such direction is found in (1. The notion of direction “forward in time” shows also that in time-dependent problems all or part of the side-conditions will be given as “initial conditions”. To understand the behaviour of the solution it is important to notice that in some equations we can distinguish a direction of “flow of information”. y)u = g(x.g. x. y)η + f (x. that determine the solution (i. y).3). we consider the general linear second order differential equation in two space dimensions: Lu := a(x. If a solution is sought that is not time-dependent the solution is called steady and the time-variable can be neglected.to disregard all or most information that was obtained about the solution for t < t1 (or t < t1 − τ . z). y)ξ 2 + 2 b(x.4 P. in equation (1. y)ux + 2 e(x. if such a direction can be identified.2 Elliptic.6) of equation (1. The knowledge also may be used to reduce the computer storage and/or the computer time needed to find the numerical solution. y. The corresponding equations are the steady equations. E.1) the flow of information follows the vector field v.2) or (1.1). y)ξ + 2 e(x. the state of the physical system) at a later stage.e. in the positive x-direction) with speed a. Having computed the solution for t ≤ t1 .W.e. t2 ] is determined. Also. For the solution (1. contains all information to determine the solution for t > t1 . (1. in a time-dependent problem as (1. (1. This character is mainly determined by the highest derivatives that appear in the equation. whereas the information in the part ψ flows backward as time proceeds. y)uxy + c(x. with t0 < t1 < t2 .4) we can always distinguish a unique direction “forward in time”. y)η 2 + + 2 d(x. For time-dependent PDEs such as (1. the behaviour of the solution can be better understood. t2 ]. parabolic or hyperbolic equations In the previous section we noticed that different PDEs may show a different character. y). 1. However. the solution at time t = t1 .7) L is a linear differential operator of order two. for which the solution has to be computed over a long time-interval [t0 . y)uy + f (x. The motivation for the discussion of “direction of flow of information” is that.e. y)ξη + c(x.8) . by a judicious choice of the coordinate system) the number of space dimensions can often be reduced to two or one. y)uyy + 2 d(x. not all problems require all independent variables. it may be efficient -from the point of view of computer resources. Fortunately. y)uxx + 2 b(x. Hemker effort is needed to determine an approximation of u(t.1. for some small τ > 0) before the solution on (t1 . By symmetry considerations (i.5) we see that the information contained in the part φ of the solution flows forward (i. To characterise some typical classes of PDEs. With this differential operator we associate the characteristic polynomial Pxy = a(x.

j=1 aij (x) ξi ξj . . x) = 1 1 1 f (x + at) + f (x − at) + 2 2 2a x+at g(ξ) dξ. the general second order equation reads n n Lu := i. it is hyperbolic at (x. x−at (1.. the diffusion equation and the wave equation are elliptic. ξ2 . (1. y) if a(x. ut (0. y)c(x.j=1 aij (x)uxi xj + i=1 ai (x)uxi + a(x)u. parabolic or hyperbolic (without reference to a specific point) if it satisfies the corresponding (in)equalities for all (x.4). It is clear that in more dimensions not all linear second order PDEs can be classified as elliptic. . The differential equation is called elliptic.. the characteristic polynomial in ξ1 . (1. with initial condition u(0..9) Now.. 2004 5 The second order differential equation (1. y) if a(x. The characterisation of the different PDEs is important for distinguishing the kind of additional conditions that is needed to specify a (unique) solution for the equation and for understanding the “flow of information” that may appear in its solution. xn ). y) > 0. x) = g(x).. y)c(x. x) = √ 2 πdt +∞ −∞ f (ξ) e−(ξ−x) 2 /(4dt) dξ.Version: September 13. where Ω is the domain on which the differential equation is defined. with x∈R. x + at]. y) < 0. . ξn is n Px (ξ1 . The parabolic equation For the linear diffusion equation (1. y)∈Ω. ξn ) = i. y)c(x.7) is called elliptic at (x.10) The operator is elliptic if the matrix (aij (x)) is positive or negative definite. y) − b2 (x.. x) = f (x). y) if a(x.. We show this for the three linear examples given earlier in this section.. for the principle part of the equation. x) depends only on the initial solution on the interval [x − at. parabolic or hyperbolic. this terminology is related with the geometric interpretation of the characteristic polynomial. y)− b2 (x. Thus. x2 . and it is parabolic at (x. The hyperbolic equation For the wave equation (1. the general solution for t ≥ 0 reads u(t.12) . y) − b2 (x. For an equation of more variables (x1 . it is parabolic if one eigenvalue vanishes and the other n − 1 have the same sign.. parabolic and hyperbolic. y) = 0.5) with initial conditions u(0. (1.11) This means that the solution at (t. respectively. it is hyperbolic if (aij (x)) has one negative (positive) eigenvalue and n − 1 positive (negative) eigenvalues. x) = f (x). the solution reads 1 u(t. We see that the Poisson equation.

v).14) where v(t. a physical system can often be described with u = u(v). v) + div J(t. ˜ − 2Rr cos(θ − φ) + r 2 (1. v)) = s(t. written in polar coordinates (r. we consider a system of equations. (1.6 P. J = J(v). v(t.14) over Ω. we see that the increase of the amount of u inside the volume Ω should be caused either by inflow over its boundary or by a source described in s(t.13) This shows that the behaviour of the solution inside a circle. v) is the flux of the state variables3 .14) is called a system of conservation laws because the equations describe the conservation of the quantities u.15) ∂t ∂ ∂p (ρvi ) + div (ρvi v) = − . The Euler equations of gas dynamics describe the flow of an inviscid non-heatconducting compressible fluid (a gas). r = R. Then. momentum and energy. φ) = ˜ 1 2π 2π 0 R2 R2 − r 2 u(R. This is seen by considering an arbitrary volume Ω and by integration of (1. ∂t (1. x) specific energy (temperature) and p(t. is completely determined by all the values of the solution at the boundary of that circle. φ). u(t. Generally. x. s(t. x) may be caused by a coordinate transformation. these conservation laws read respectively ∂ (ρ) + div (ρv) = 0.3 Conservation laws A slight extension of equation (1. the dependence on (t. With ρ(t. 1. is given by u(r. x) over the interval −∞ < x < +∞. x) velocity. x.W. x. Equation(1. 2.1. x. the function of an elliptic second order equation is determined by its values at the boundary of its domain of definition. now each component of J is a vector. x. Example 1. In natural coordinates. v) is a possible source term. x. x. Using Gauss’ theorem. x) the presure of the gas. y) = u(r. v) is a state vector and J(t. e(t.4 The Euler equations. x) is the solution sought.1. x) density. it is known from the theory of harmonic functions that the solution u(x. s = s(v). . φ) in the interior ˜ of a circle with radius R. ∂t ∂xi 3 Because i = 1. They represent the conservation of mass. 3.1) is the system of equations ∂ u(t. θ) dθ. v). Hemker This implies that the solution at x∈R for any t > 0 depends on all of the solution u(0. The elliptic equation For Laplace’s equation.

For a perfect gas we have the state equation 1 p = (γ − 1)ρ(e − |v|2 ). Along the characteristic the solution is now determined by a simple ODE. 1.18) The solution of the system reads v(t.2 Hyperbolic equations The second order equation (1. ∂t and p = p(ρ. If we make the change of dependent variables v = u + p and w = u − p.17) ∂p ∂u ∂t = −a ∂x .5) allows decomposition into a system of two first order equations. v. along which the solution is constant. we consider the inhomogeneous equation ∂u − v grad u = s(u). is ∂u − v · grad u = 0. 3. ∂w ∂w ∂t − a ∂x = 0.1 that the solution of this PDE is uniquely determined as soon as one value of the solution is given for each characteristic. e. These variables play the role of the vector v in (1. this equation (1. These lines are called the characteristics of the differential equation (or of the differential operator). x) = w(x + at).Version: September 13. Notice that they are different from the conserved quantities u.16) With suitable boundary conditions the variables ρ.20) We assume that the vector field v(x) is sufficiently smooth so that it determines a complete family of characteristics in Ω. the first order operators are ∂ ∂ ∂ ∂ found to be ∂t + a ∂x and ∂t − a ∂x .18) the property of having a characteristic direction. A typical first order “one-way” wave equation in Rd . (1. (1. v. d = 1. ∂t (1.17) uncouples and transforms into ∂v ∂v ∂t + a ∂x = 0. v). The decomposition first can be written4 as a system ∂p ∂u ∂t = −a ∂x . These equations show that the quantities u + p (respectively u − p) are constant along the line x − at = constant (x + at = constant). ∂t (1. 2004 ∂ (ρe) + div (ρev) = −div (pv).16). x) = v(x − at). e and p can be solved from (1.19) It shares with (1. . w(t.15) and (1. 2 7 (1.2.5). To illustrate further the importance of the characteristics.14). Therefore also the first order equations are called hyperbolic PDE. Similar to the factorisation of the characteristic polynomial P (τ. 4 The minus sign is by convention only. Then we will show in Section 1. 2. ξ) = τ 2 − a2 ξ 2 = (τ + aξ)(τ − aξ) of (1.

23) Further.8 P. y. if A is a point (x. Q.or more.22) i. y. u). and P.1 Inviscid Burgers’ equation.2. Hemker 1. We write it down for dimension d = 3. y. Let u(x.e. If the solution is prescribed on a suitable (d − 1)-dimensional manifold (suitable means that the manifold intersects all characteristics once) then the solution is apparently uniquely determined. It follows that the characteristic direction can be computed from P Q R S = = = · dx dy dz du (1. z) be the solution of (1. −1) ⊥ (dx. R. u) is tangential to the solution in each point of the solution. y. if a value of (x. −1) ⊥ (P. r = uz . y. and r. We consider the equation P p + Qq + Rr = S . for the one-.W. u) is given in one point of a characteristic. z)-space are characteristics (characteristic direction lines). z. y. and A(s) is an (arbitrary) curve in a solution surface.21) where p = ux . Apparently. Or. q. Example 1.dimensional case the treatment is completely analogous. u).2.21). S are functions of (x. u) on a solution.e. by definition of p. y. z. The projections of these characteristic solutions on the (x. z. u). For a solution along a characteristic solution line (parametrised by s) we have (P. q. then the characteristic and the solution on it can be found by the solution of the simple ODE (1.1 Characteristics We consider a general first order (quasi-)linear DE in more dimensions. (1. R. q = uy . dy. q. (1. y. I. the two vectors are linearly dependent. Q. z.21) is satisfied as well as du = pdx + qdy + rdz. Q. z. then at A we find (p. R. (p. dz. z) are the independent variables and u is the dependent variable. S). y. q. r. inviscid Burgers’ equation A well-known model problem is the inviscid Burgers’ equation 1 ut + ( u2 ) x = 0 . R. z. ˙ ˙ ˙ ˙ with ˙ = ∂/∂s. (x. S) (x. then. (p. the vector field (P. two.23). S)(x. −1) ⊥ (x. du). Q. it follows that. 2 . Streamlines in this vector field are characteristic solutions. r. ˙ ˙ ˙ ˙ (1. r.

dt dx du The characteristic satisfies dx/dt = u and du/dt = 0.2.g. ∂xj (1. m ∂ui = bk . we introduce a new set of independent variables (φ1 . Under what conditions is a solution determined in a layer in the neighbourhood of C? We easily extend the question to the case of systems of equations. φ2 . m . Let   a 1 ux + b 1 uy + c 1 uz + d 1 v x + e 1 v y + f 1 v z + · · · = g 1 . x2 .2)). 2. x2 . (1. we introduce local coordinates around the surface Φ.Version: September 13. or. a 2 ux + b 2 uy + c 2 uz + d 2 v x + e 2 v y + f 2 v z + · · · = g 2 . with d=3. · · · . φ1 = 0. in short. 2004 9 Figure 1. We may study the above arguments more generally in d-dimensional space.e. (The surface Φ is our (d − 1)-dimensional manifold. (I.) Now we have ∂ui = ∂xj ∂ui ∂φl · ∂φl ∂xj l=1. e. For simplicity we take d = 3. k = 1. akij j = 1.3 . x3 ) = 0. Let a solution be prescribed along a (d − 1)-dimensional manifold C. 2. If the initial solution is increasing in some area.) Moreover. · · · . This will be considered further in the next section. φ3 ) such that the surface is determined by φ1 = constant. x3 ) such that a surface Φ is determined by φ(x1 .25) We introduce a function φ(x1 . 3 i = 1. the characteristics will intersect and no smooth solution will further be possible.1: The generation of a shock for Burgers’ equation (See also example (1. and the characteristics are straight lines.24)  ···.2. so that the solution is constant along the characteristics. We notice that 1 u 0 = = .

Also. then we can also find the normal derivatives (and hence the analytic solution in a layer around Φ). 3 j = 1. on the contrary. then -in general. with a∈R. m .e.2. x) is easily understood for t > 0. (iii) ∂ui /∂φl . If the solution u(x. ∂φl ∂xj (1.3 If. m i=1. 2.···. x) = u0 (x − at). 3 i = 1. x∈R.2. x) = 0. · · · . y.31) where a(u) is a continuous function depending on the solution.30) (1. with a(x) a continuous function.27) This is a linear m × m-system for the computation of ∂ui /∂φ1 . in this section we first consider the one-dimensional case. 3 i = 1. on the surface φ1 = 0. x) + a(u) ux (t. x) = u0 (x) . and the initial condition u(0. x) + a ux (t. det = 0. We have seen that the solution of ut (t. provided that   ∂φ1  det  akij = 0. j = 1. (1. The reason is that characteristic lines for the equation (1.25) becomes akij l. The problem gets considerably more interesting if the problem is quasi-linear. For the computation we need (i) the coefficients akij . i. z) of the system of PDEs is known in the surface Φ.2 Discontinuous solutions For simplicity. m P. k = 1. x) = 0. 2. l = 2. Together with the initial condition (1.2.m j=1.no smooth solution exists in the neighbourhood of Φ.29) is u(t. if we consider ut (t.26) and we get   akij ∂φ1  ∂ui = bk − ∂xj ∂φ1  akij l = 2.e.30). (1. 2. even if u0 (x) is a smooth function. ∂φl ∂xj (1.31) may intersect. the normal component of ui on the surface Φ. · · · .28) ∂xj j=1. Hemker ∂ui ∂φl = bk . a . 2. As we have seen. the behaviour of u(t. 3. it now turns out that not in all cases a smooth solution exists for all t > 0.W. (ii) the right-hand-sides bk .10 Equation (1. 1. (1. i.3 ∂ui ∂φl . · · · .

where we obtain weak solutions of (1.33) ∞ for all φ∈C0 (R ×R ). As the functions u (t. (1. on the half space t ≥ 0. At points where characteristics intersect a shock-line is formed and a discontinuity appears. and to consider the integral ∞ 0 Rd φ(t. that have the characteristic function on [t0 .2) and it means that we add a small diffusion term to the original equation without diffusion. because div(−vu) = −u j (vj u) = −u j vj − vj j u = −vgrad u. We see that here the requirement of a differentiable u has disappeared ∞ from the formulation of the equation. [t0 . an arbitrary smooth function with compact support. x) = lim →0 u (t. x) for > 0. x) + a(u) ux (t. The class of possible solutions is extended from the class of differentiable functions to the class of integrable functions. Instead of (1. x) N (u)dx dt = 0. (for a given set of initial data). and different characteristics can carry different values.e.e. In our case. 2004 11 classical solution of (1. then that solution is called the physically relevant weak solution of (1. we present the second approach. The integral form reads ut + div J(u) dx dt = 0.t1 ] 5 The (1. with N (u) = ut + div J(u). after partial integration this comes down to ∞ − 0 + d Rd uφt + J(u) · grad φ dx dt = − Rd φ(0.1) to (1.31). 6 Notice that (1.33) and (1.32) This corresponds with the transition from (1. (1. x) exists. and a (non-smooth) limit function u0 (t.34) is found by integration over an area R = [t0 .35) d Ω general principle of weak solution for a differential equation N (u) = 0 on R is + d ∞ actually to take an arbitrary φ∈C0 (R × R ).34) with J(u) = −vu.36). The first approach is to generalise the concept of a solution. x) u0 (x) dx (1. The characteristic line ends. (We see this form later in (1.) However. There are essentially two ways out of this difficulty. Under reasonable conditions for the initial function u0 (x) the parabolic equation (1. it can be shown that (1. i. and the equation is considered in a weak sense.31) should be constant on a characteristic line.32) always has a unique smooth solution u (t.36) are equivalent. t1 ] × Ω as its limit. The integral or weak form5 of the conservation law in divergence form6 ut + div J(u) = 0. and it remains to characterise the “physically relevant” weak solutions. i. By taking a sequence of functions φ∈C0 (R × R ). t1 ] × Ω. Before we consider this question. But this cannot be described by the differential equation. 0 < 1.Version: September 13.31). it is written in an integral form. x) converge to such a weak solution. x) = uxx . with div v = 0.31) we now consider the slightly perturbed equation ut (t. Now we return to the first approach. the weak solutions turn out to be non-unique.19) is written as (1. + d .

Because such solutions are not allowed. For d = 2 we immediately see (cf. Apparently two types of discontinuities may appear in first order hyperbolic equations: linear and nonlinear ones.W.35) is a generalisation of (1.40) 2 and it follows that the discontinuity moves with a speed s = (uleft + uright )/2.34).2 Burgers’ equation. (1. after a sufficiently long period this would lead to a multiple valued function (if that would be possible). The first type is present in the initial condition and is carried along a characteristic. is neglected.2. Hence. Hemker Ω Ω [t0 .37) dt D where [u] denotes the jump of u over the discontinuity. a discontinuity appears of which the speed s is determined by u2 J(u) = . (1. we see7 s= J⊥ (uR ) − J⊥ (uL ) .38) This expression for the shock speed is called the Rankine-Hugoniot relation. Figure ??? ) that at a discontinuity D we have dx [u] = [J⊥ (u)] . Denoting the propagation speed of the discontinuity by s. In one space dimension it reads ut + uux = uxx .t1 ] ∂Ω n · J(u) dΓ dt.e. x) is discontinuous. (1.s. The second type may appear even if the initial solution is smooth.36) The integral form holds also if there is a (d − 1)-dimensional manifold on which u(t. (1. in a positive solution the top of a wave moves faster than the bottom. . i. Thus. It is convected with a speed v that does not essentially depend on the solution.12 which can also be written as u(t1 ) dΩ − u(t0 ) dΩ = − P. The appearance of a nonlinear discontinuity is often shown for Burgers’ equation. (1. if we take = 0.39) If the r. Example 1.h. and the speed essentially depends the solution. uR − u L (1. 7 In more dimensions we get J⊥ (uR ) − J⊥ (uL ) = s(uR − uL ) where J⊥ denotes the flux vector component in the direction perpendicular to the discontinuity.

A non-trivial steady solution does not appear for u−∞ < 0 < u∞ . x > 0. We can use the relation (1.42) Notice that the initial condition is already a weak solution of the reduced Burgers’ equation ((1. so the Rankine-Hugoniot condition is satisfied.2. . after a first dissipative phase. and its shape is given by u(t. now it appears that these solutions are not always uniquely determined.39) with = 0).h. otherwise.38) to solve explicitly some initial value problems that are not classically solvable. With u(0.2) has two shocks. then the r. propagating with speeds ±1/2 t. In that case. We take again the inviscid Burgers’ equation as an example. √ The right shock has left. 2004 t 13 x Figure 1.41) u(∞.2: A curved shock solution for Burgers’ equation If we do allow > 0.3 A discontinuous solution. the nonlinear convection will level out all differences in u. (1.s. u∞ = −q < 0.and right states uL = 1/ t and uR = 0. The dissipated shock moves at a speed a = (uL + uR )/2. 8 For some initial conditions the shape of the dissipated shock is easy to determine for Burgers’ equation. x) = the steady solution of (1. Example 1. − t < x < t. However.Version: September 13. The other shock behaves similarly. x < 0. (1. the following wave is also a solution to the inviscid Burgers’ equation: √ √ x/t. x) = uL + u R uL − u R − tanh 2 2 (uL + uR )(x − at) 2 .39) is u−∞ = q > 0. x) = −q tanh qx 2 . will always have a significant value in those regions the solution is steep and the dissipation will prevent the discontinuity to appear8 . x) = (1. u(t.43) 0. √ This solution (see Figure 1. As an example (from [17]).

   x < 1 + (t − 1)/2.47)  1. at/2 < x < (1 + a)t/2. or    x > 1 + (t − 1)/2. . 1.3: A continuous solution developing a discontinuity u=0 t u=0 u=1 x u=0 t u = x/t u=1 x Figure 1. x < at/2.44) Example 1. x > 0. (1. u(t. 1)   0.2. Hemker u=1 u=0 t=1 u=1 x=t u=0 x u = (1−x)/(1−t) Figure 1.5 A non-unique solution. 0. 1 − x. x) =   0. x) = (1. We take Burgers’ equation with initial function  x < 0. (1. (1 + a)t/2 < x. t ≤ x ≤ 1.W. u(t.4: A discontinuous and a continuous solution solution Example 1.14 t x = 1 + (t−1)/2 P.  (1 − x)/(1 − t). (1. x > 1. 0 ≤ x ≤ 1.4 A unique solution.  1. or  1.45) 0. u0 (x) =  x > 1.4)) are a family of discontinuous functions for a∈(0. a. We take Burgers’ equation with initial function u0 (x) = The solution we find reads (see Figure (1.3))  x < t.46) The solutions we find are (see Figure (1. x < 0.2.

We again take Burgers’ equation. The interested reader is referred to Chapter 16 of [23]. x) = lim →0 u (t. 2004 t 2x=−(1+a)t u = −a u=a 2x=(1+a)t 15 u = −1 u=1 x Figure 1. t > 0. Such conditions are generally called entropy conditions. x) =  1. −a.51) where E is independent9 of x. +a. min{f (u)} and max{f (u)}.5)).  0.48) Example 1. This condition implies that if we fix t > 0. 2x < −(1 + a)t. however. x) =    −1. with some a∈(0.49) Figure (1. and we let x go from −∞ to +∞. with u the solution of ut + f (u)x = uxx . (1 + a)t < 2x. 1). 1.Version: September 13. . then we can only jump down (in one direction) over the discontinuity. x < 0. we formulate a condition that guarantees unicity of the discontinuous solution. x > t. and h. t. We may extend the previous example to obtain a more complex non-unique solution. t) E ≤ . x + h) − u(x.2. now with initial function u0 (x) = The solution we find reads (see     ua (t. x/t. (1. (1. −1.51). x). u(t. −(1 + a)t < 2x < 0. 0 < 2x < (1 + a)t. (1. h > 0. We do not go into details. u(t. First. one can show that there exists a unique solution that satisfies the “entropy” condition [Oleinik] (1. 0 < x < t. 9 E depends on u 0 ∞ . In the case of a single equation ut + f (u)x = 0 with f > 0. h t (1. +1. x > 0.50) To pick out the “physically relevant solution” we have to find the solution u(t. Later we shall see a relationship between these entropy conditions and the physical relevance of a solution.6 Another non-unique solution.5: Another discontinuous solution and a continuous function  x < 0.

Combining both equations. This shock speed can move in the positive or in the negative direction.53) The entropy condition implies that a shock must satisfy f (ρL ) > f (ρR ). The inequality (1. We had assumed f > 0 (i. With 0 < ρL < ρR < ρm a shock wave travels with speed (1. u(ρ) = um (1 − ρ/ρm ). t) car speed. which implies ρL < ρR . Because cars don’t disappear we have ρt + (ρu)x = 0 . uL − u R for some ζ ∈[uR . (1. Condition (1.52) means that the characteristic lines on both sides of the discontinuity run into the discontinuity. 0) = ρL . With 0 < ρR < ρL < ρm we rather have a “rarefaction wave’. Let u be given as u = u(ρ). and the shock speed for a jump in the car density from ρL to ρR : s= f (ρL ) − f (ρR ) = um (1 − (ρL + ρR )/ρm ) .g. e. uL ].51) says that. x < 0. Hemker This entropy condition of Oleinik guarantees uniqueness of the weak solution.e.52) has been extended by Lax [16].) Let 0 ≤ ρ(x. x > 0. t) ≤ ρm denote car density on a road.7 Traffic flow (shocks and rarefaction waves).W.2. We easily derive the characteristic speed f (ρ) = um (1 − 2ρ/ρm ) . ρL − ρ R (1.53). From the Rankine-Hugoniot condition we have s= f (uL ) − f (uR ) = f (ζ) .52) Sometimes this inequality is also called the entropy condition. f is convex) and hence we finally find that Oleiniks entropy condition implies f (uL ) > s > f (uR ) . we have uL > uR . ρR . with f (ρ) = ρum (1 − ρ/ρm ). .51) of Oleinik has not been extended to systems of conservation laws. However (1. at discontinuities. several situations can be distinguished. with initial data ρ(x. Example 1. (This example is taken from [17].16 P. Now. and u(x. The entropy condition (1. gives ρt + f (ρ)x = 0 .

One may obtain these through measurements. and -in general. In practice it is clear that there are many restrictions in gathering reliable data from real-life measurements. Numerical mathematics takes the mathematical equations as a starting point and strives for an efficient and accurate approximation of the the quantitative data. Because computational capacity is always finite. technical or other real-life systems. In the numerical modelling of these systems. the solution has to be approximated by a function that can be represented by a finite set of numbers.e.it cannot be described by a finite number of real numbers. the solution of a PDE is a steady or timedependent (vector-) function in d space variables (d = 1. 3). 2. Therefore numerical methods are used to get insight in their quantitative behaviour.1.Chapter 2 Discretisation Principles In many cases it is important to obtain quantitative data about physical. and let the solution of the equation be a simple continuous function u(x).1 Let d = 1. most of these equations do not allow an explicit solution in closed form. x∈[a. limitations of accuracy are caused by possible inaccuracies in the mathematical model. b] = Ω. A few possible ways to represent this function are: 17 . we can also try to derive quantitative data from these models. and although much analytical theory is available for PDEs.1 Discrete representation of the solution In many problems from practice. 2. However. because the model is often a simplification of reality. Thus the solution is an element of an infinitely-dimensional space. Example 2. and also because there is always a limitation of computing resources. if we have sufficiently accurate mathematical models for a system. the problem has to be discretised: i. Models for technical problems often take the form of a PDE or a system of PDEs.

which forms the basis for the approximating function space. (ii) goniometric functions {φi (x)} = {1. sin x. iii) a table of function values and values of derivatives of that function (either equidistant or non-equidistant) ui.g.W. e. N. Possible choices for {φi } are. xi = a + i(b − a)/N .a denser set of function values or more coefficients to compute. or (iii) piecewise polynomials on a partition of the interval [a. k = 0.g. · · · . In all these cases the solution at the intermediate values of x can be approximated by interpolation. 1.1) approximates the function that is to be represented. This can be done e.g. N. 2. Another way to approximate the function is by choosing -a priory. selecting a basis in this space. we need in general. b]. cos x. · · · . ii) a table of non-equidistant function values ui ≈ u(xi ). 1.a finitedimensional function space. N } so that the function N φ(x) = i=1 ai φi (x) (2. 1. i = 0. N }. and we compute coefficients {ai |i = 1. sin(2x). cos(2x). (i) the polynomials φi (x) = xi .1: Piecewise polynomial approximations i) a table of equidistant function values ui ≈ u(xi ). · · · . · · · . a spline or a piecewise polynomial as the interpolating function. If . 1.18 P. · · · . Hemker Piecewise linear Piecewise polynomial Figure 2. 2. piecewise linear or piecewise parabolic functions. Then we have to select a family of functions {φi (x)|i = 1. To obtain a more accurate approximation of the function u(x).k = d dx k u(xi ). by a choosing a polynomial. N. i = 0. 2. and determining the coefficients of the approximation with respect to that basis. · · ·}. e. a ≤ x0 ≤ x1 ≤ · · · ≤ · · · ≤ xN ≤ b. i = 0.

Before we describe the techniques how to discretise the equations.2 or 2. in the discretisation process) it is convenient to distinguish a number of stages: i) the discretisation of Ω. where δi.Version: September 13.1.1. (i. a (regular or irregular) mesh of points. the domain of definition of the PDE. or a partitioning of the domain in triangles or quadrilaterals (See Figure 2. We notice that the classification of approximation methods does not yield disjoint classes of methods. This grid is almost always arranged in (uniform or non-uniform) rectangular manner. the domain Ω is represented by a finite subset of points {xi } = Ωh ⊂ Ω.2. the same method can be considered as a pointwise approximation and as a functional approximation as well. or a partition in subintervals. The discrete equations are obtained by replacing the differentials in the PDE by finite differences in the discrete equations. This parameter is called the mesh-size. . These points are the so called “nodal points” of the grid.j denotes the Kronecker delta.1) the coefficients may coincide with function values or values of derivatives. To find the discrete representation of the solution. the selection of the representation for the solution). ii) the discretisation of u. the solution (i.1 Discretisation of the domain. 2. Example (iii) can also be seen as an interpolation method for a set of function values.2 Finite difference approximation For the finite difference method (FDM). the largest distance between two neighbouring points. If there is a set of nodal point {xi } and a set of basis function {φi }. one usually selects in the domain where the PDE is defined. and iii) the discretisation of the equation. we first describe different methods for the discretisation of the domain and of the solution. In the finite difference method (FDM) the function u is represented by a set of function values ui that approximate u(xi ). In the representation (2. For a smaller h the approximation gets (in general) (i) more accurate.e. or the size of the largest interval in the partition is usually denoted by a parameter h.e. 2004 19 a partition of nodal points is made. solution and equation In the transformation of the PDE into a finite set of equations. see Figure 2. and (ii) more laborious (time-consuming) (”more expensive”) to compute.3). given at the sub-interval endpoints.j . 2. such that they satisfy the relation φi (xj ) = δi.

Hemker Uniform regular grid Non−uniform regular grid Figure 2.3: Partition of two-dimensional domains .W.20 P.2: Sets of nodal points in rectangular regions Figure 2.

5) that are located around vertices of a grid (solid lines). If the discretisation is constructed on cells (dashed lined in Figure 2. and ∪Ωi = Ω. If there is a single coefficient ai associated with each volume (so that ai may represent u(x) for x∈Ωi ). so that Ωi ∩ Ωj = ∅.1. then the mesh is called vertex centered.2) where the (possibly discontinuous) functions φi (x) are defined only on a single volume.3 Finite element approximation In the finite element method (FEM) the domain Ω is partioned in a a finite set of elements {Ωi }. (2.5 Spectral methods uh = ai φi (x) The function u is again approximated by . Further they are constructed so that their support extends only over a small number of elements. the function u is approximated by uh = aj φj (x) . then the grid is called a block centered or cell centered. 2.Version: September 13. and ∪Ωi = Ω. or on the boundaries of the volumes. 2004 21 Piecewise constant Piecewise linear Piecewise linear Piecewise quadratic Hermite piecewise cubic Figure 2. Usually the functions φi are continuous polynomials of a low degree. for i = j. where φi are functions that are polynomials on each Ωi (i. then the method is called cell vertex (see figure 2. for i = j. Usually one takes for Ωi triangles or quadrangles. piecewise polynomials). Then the function is approximated by uh = ai φi (x) .e. If a (single) coefficient is associated with each vertex. Now in A cell centered (or block centered) finite volume method (FVM). 2.5).1.1.4: Examples of nodal points in a triangular domain 2.4 Finite volume approximation In this case the domain Ω is also partitioned in a finite set of volumes (mostly triangles or quadrangles) so that Ωi ∩ Ωj = ∅.

6 Staggered grid For systems of equations all methods mentioned above are easy to generalise. All functions can simply be replaced by vector functions.g. . Example 2. (We see that the different types of methods are not always clearly to distinguish. with “staggered grids”. Hemker Cell centered Cell vertex Vertex centered Figure 2. This is the case e.3(ii)) are constructed at the cell vertices.1. The discrete equations corresponding with equation (2. (2. the values of v for the midpoints of the horizontal edges.3) Ω is a rectangular domain. we write the Cauchy-Riemann equations as L We see that det(L) = − ∂ ∂x u v = ∂ ∂x ∂ ∂y ∂ ∂y ∂ − ∂x 2 u v 2 = f1 f2 .2 We consider the Cauchy Riemann equations (i) (ii) ux + vy = f1 uy − vx = f2 on Ω ⊂ R2 .3(i)) are related with the midpoints of the cells.4) − ∂ ∂y = −∆ . The discrete equations corresponding with equation (2. To understand the character of these equations. Approximations are computed for u and v. The values of u are calculated for the midpoints of the vertical edges. We explain this by two examples.1. (2.22 P. it is also possible to approximate the different (dependent) variables by different representations.W.5: Examples of nodal points in a quadrangular domain where the functions φi (x) are defined on all of Ω (they have a support that extends over more than only a small part of Ω) then the methods are called global or spectral methods.) 2. One way is to approximate the different components of the solution on different point sets. However. and Ω is partitioned in a number of equal subrectangles.

it is easily seen that the boundary function g(x.6: A staggered grid for the Cauchy-Riemann equations v u p v p v p v u v p v p v p v u v p v p v p v u v p v p v p v u v p v p v p v u v p v p v p v u u v p v p v p v u v p v p v p v u v p v p v p v u v p v p v p v u v p v p v p v u v p v p v p v u u u u u u u u u u u u u u u u u u u u u u u u u u u u u Figure 2. y) should satisfy a condition.7: A staggered grid for Stokes equations This shows that the system is elliptic and second order. and 2 × 5 for equation (ii)). and the number of equations is 28 (3 × 6 for equation (i). From ux +vy = div v = f1 . Now the number of unknowns is 27 (viz.n dΓ = ∂Ω g(x.Version: September 13. the system seems to be overdetermined. or ∆v = −curl f .n = g(x.ny = v. and 2 × 6 for v). y) . 3 × 5 for u.nx + v. three dimensions in two dimensions curl v = ∂v2 ∂x1 − curl v =  ∂v1 . However. it needs one boundary condition along all the boundary. it follows that ux + vy dΩ = Ω 1 In div v dΩ = Ω ∂Ω v. In our discrete system. It is also directly seen by elimination that 1 ∆u = div f . this condition fixes the values of u and v on the boundary. y) dΓ . ∂x2  ∂v3 ∂x2 ∂v1 ∂x3 ∂v2 ∂x1 − − − ∂v2 ∂x3 ∂v3 ∂x1 ∂v1 ∂x2  . The system being second order elliptic. 2004 v u 1 v 1 v 1 v 23 v u 2 u 2 u 1 v 1 v 1 v u 2 u 2 u v 1 v 1 v 1 v u 2 u 2 u v 1 v 1 v 1 v u 2 u 2 u v 1 v 1 v 1 v u 2 u 2 u v 1 v 1 v 1 v u u u u u variables v u v u v u v u v u v u v u v u v u v v u v u v u v v u v u v u v v u v u v u 1 v u v u 1 2 1 v u 1 2 1 2 1 2 equations 1 2 1 2 1 1 2 1 2 1 1 2 1 2 1 1 1 1 Figure 2. We take u. . Hence.

and gk denotes the value of g(x. −1 1 2.1 Techniques for discretisation of PDEs Finite difference methods For this method.   η∆u − px = 0. Example 2. y) in the k-th boundary edge element.24 i. Hemker g(x. The discrete equation is constructed by replacing differential operators by difference operators. y) in the i-th cell in the interior of Ω.5) i. (2.3 Stationary Stokes equations Analogous to the staggered grid for the Cauchy-Riemann equations.6) Here f1. y) dΓ .  ux + vy = 0.1. for which we need two conditions over all of the boundary. one (linear) dependence relation exists between the 28 equations and we get a solvable system of equations. If the boundary values satisfy condition (2. we have already seen examples. that -in totalh k gk = h i uR.6). This is a 4-th order elliptic operator. L  v  =  0 η∆ 2 0 p 0 p 1 2 The character of the system of equations is determined by the determinant of the principle part of the differential operator detL = η∆ · 2 1 + η∆ · 2 2 + 0 = η∆2 .W.i denotes the value of f1 (x. we can construct one for the stationary Stokes equations. the compatibility condition f1 (x.i − h uL. The .i − h vB. η∆v − py = 0.i = h2 i i f1.        0 u η∆ 0 u 1  v  =  0  .i (2.e.i . the operator 1 by −1 1 and 2 by . This can be written as a system with linear differential operator L.2 2.i + h i i vT. The operator ∆ is represented by the finite difference stencil   1 1  1 −4 1 . gk = h k∈boundary i∈interior f1. y) Ω = Ω ∂Ω P.e.2. Similarly it follows from adding all discrete equations (uR − uL )/h + (uT − uB )/h = f1 for each cell.

As this property is shared by most discretisations of PDEs. by which the solution can often be found in a relatively efficient2 manner. In the neighbourhood of xij . most entries in the matrix vanish. the coefficients a are expressed in these function values uij . 2 Compared with a full system of equations of the same dimensions. in the interior points of the domain the same difference approximation can be used. In this way a “sparse system” of algebraic equations appears. Whereas the systems that appear as a result of discretisations can become very large. in the PDE at this point the differentials are replaced by difference approximations.Version: September 13. With the values uij in the nodal points xij around x. thus. 2004 25 Figure 2. That does not mean that the complete function u is considered as a polynomial. Different difference approximations appear near the boundary of the domain. for each unknown uij an equation is set up at the point xij . Now. In this way. they mostly have this nice property. or in parts of the domain where the nodal points are not regularly placed. By the difference approximations the value of the unknown function at a particular point is only coupled with the values at neighbouring points. the approximation of u(x) is. considered as a piecewise polynomial (of a low degree). The (linear or nonlinear) algebraic system of equations that results from the discretisation process has an important property. These coefficients apq are associated with the derivatives of the approximation in x. The corresponding matrix (of the linearisation) only contains a few non-zero elements in each row. The interpretation of the polynomial representation depends on the nodal point where the interpretation is made.8: Difference approximation and polynomial interpretation construction of the difference operators is as follows: in the neighbourhood of a point x∈Ω the approximation of u(x) is replaced by a truncated Taylor series: u(x) = a0 + a10 x + a01 y + a11 x2 + · · · . For a regular grid. special methods are sought (and found) for the efficient solution of such sparse systems of equations. .

j h 2 + ui. y) = 0 on Γ. y) ∂y 2 + 2f (x. y) . This minimisation problem also leads to a linear system. This gives another possibility to construct the discrete equations.2). we can use the variational method also if we seek an approximation in the form uh (x. y) dΩ attains its minimum. and square meshes with a meshsize h) we can write: find uh = {uij } such that uij = 0 on Γ. On a regular square grid (i. This equation can be written as the minimisation problem: find a continuous function u such that u = 0 on Γ. We show this by means of the Poisson equation ∆u = f. so that with φi (x.2. Ω a rectangle. .e. on Γ . now in the unknown coefficients (ai ). This system also yields a difference equation for each internal point of the grid. Now we compute the coefficients ai such that ∂ ai φi (x. can be written as a minimisation problem. Hemker 2. y) i ai φi (x. The minimisation of this quadratic functional in the unknowns {uij } leads to linear system in {uij }.j − ui. We take the same example (2.j h 2 + 2fij ui. u = 0. y) ∂x 2 + i Ω i ∂ ai φi (x.2. The variational method for coefficients For problems that can be written as minimisation problems. the symmetric elliptic equations.j+1 − ui.2 Variational method Variational method for difference methods An important class of PDEs.) x y Now we can set up a discrete analogue for this minimisation problem [5]. and J(u) = Ω ∂u ∂x 2 + ∂u ∂y 2 + 2f u dΩ exists and is minimal. The same technique is applicable on irregular grids.W.26 P.j is minimal. (Exists: u2 + u2 and f u should be integrable functions. on Ω. y) = i ai φi (x. and Jh (uh ) = ij ui+1.

We will treat the most important. for f ∈V. Of course. In this way. This means that the discrete equations are N (uh )(xi ) = s(xi ). Here lxi is defined by lxi (f ) = f (xi ). let S be a set of functions in which the solution u is sought: N : S → V . · · · . in an even more general notation. (2. 2. then for an arbitrary linear functional lw ∈V the equation3 lw (N (u) − s) = 0 is satisfied. there are many different applications of the weighted residual principle. . Now. NΓ (u) = sΓ . on Γ. 3 The dual space of a Banach space V (denoted by V ) is the family of all bounded linear functionals defined on V . the discretisation yields an n × n-system of equations.8) on Ω. N } . for any function w we have wΩ (NΩ (u) − sΩ ) dΩ + wΓ (NΓ (u) − sΓ ) dΓ = 0.2. N (u)∈V . In a weighted residual method an n-dimensional subspace Sh ⊂ S is selected D and an n-dimensional subspace Vh ⊂ V . (2. i = 1. · · · . then. furnished with the obvious addition and scalar multiplication. where n = dim(Sh ). This means that the approximate solution uh should satisfy the original PDE precisely in n given points. The discretisation now reads: find uh ∈Sh such that D lw (N (uh ) − s) = 0 for all lw ∈Vh .3 Weighted residual methods A quite general discretisation technique is based on the following consideration. 2004 27 2. let the equation be N (u) = s and let s. for all lw ∈V . for i = 1. N.7) Ω Γ Or.2.Version: September 13. with V a Banach space. then the PDE can be formulated as: find u∈S such that lw (N (u) − s) = 0. Let the PDE be given by NΩ (u) = sΩ .4 Collocation methods Collocation methods are weighted residual methods with the functionals lw in D the space Vh that is spanned by {lxi | xi ∈Ω.

The weight functions are now the characteristic functions on these Ωi . and ∪Ωi = Ω.5 Galerkin methods When the functionals l are defined by integrals with integrable weight functions. (2. for i = 1. Then the discrete equation gets the form ∂Ωi J(uh ) · n dΓi = Ωi s(uh ) dΩi . then the discretisation satisfies a discrete conservation law. The volumes Ωi are called “boxes”. “cells” or “control volumes”. if i = j. Then the discrete equations read w(x) f (x) dΩ . · · · .6 Box methods = Finite Volume methods Box methods are a special kind of Galerkin methods. Almost all usual Finite Elements methods are of the (Bubnov-) Galerkin type.28 P.N I. Typically lw ∈Vh is defined by lw (f ) = Ω D The space Vh is now defined by n linearly independent functions wi (x). 2. such that Vh := span (wi ) = Sh then the methods are called Bubnov-Galerkin methods.2.···. wi (x) = 1. wi (x) = 0.e. if x∈Ωi . Here the domain Ω is partitioned in a number of volumes {Ωi }i=1. Ω φj N ( ai φi ) dΩ = Ω φj s dΩ. N. and the discrete equations read Ωi N ai φi dΩi = Ωi s dΩi . Hemker 2. D we obtain “Galerkin”-methods. When applied to symmetric positive definite elliptic PDEs.2. if x∈Ωi .W. This means that for an arbitrary union of cells G = ∪Ωi hold: div J(uh ) dΩ = G G s(uh ) dΩ . these methods can also be regarded as variational methods.9) If the computation of J(uh ) at an interface between two cells is made consistently for both neighbouring cells. on Ω. Ωi ∩ Ωj = ∅. An obvious choice is the wi = φi . If we take Vh := span (wi ) = Sh . If we choose {wi (x)}i=1. .N . the method is called a Petrov-Galerkin method.2. Box methods are particularly popular for the discretisation of equations in divergence form div J(u) = s(u).···.

.g. in this section we discretise a steady one-dimensional diffusion equation. e.3 2.s.) The discrete approximation is represented by the function values at the nodal points ui ≈ u(xi ). u) the heat generation per unit length.9: Nodal points and boxes on the real line 2. and approximations ux (xe ) and ux (xw ). but with (ii) we can. on Ω ⊂ R. Starting from ui ≈ u(xi ) we can approximate u. We divide Ω in (unequal) boxes Ωi and we choose for each Ωi a nodal point xi (see Figure 2. 2004 x w x e 29 x i−1 x i x i+1 Figure 2. u = 0.10) together with a boundary condition (e.12) where si is the mean value of s(x. u) over the volume Ωi . and s(x. u)dx = − xw (kux )x dx = − k(x)ux (x)|xe . We may choose the box-walls halfway the nodal points. (2.1 Examples The diffusion equation To show the principle of discretisation. by i) taking a constant value ui on Ωi . or we may put the nodal points in the midpoint of the boxes. by some source.Version: September 13.11). This may be seen as the description of heat-conduction through a bar. ii) taking a piecewise linear approximation between the nodal points. with a source-term s and a variable diffusion coefficient k.3. − d dx k(x) d u dx = s(x.9). k(x) the heat diffusion coefficient. Then we obtain k(xe ) ui − ui−1 ui+1 − ui − k(xw ) =− xi+1 − xi xi − xi−1 xe xw s(x. Integration of the equation over Ωi yields xe xw xe s(x. xw (2. With (i) we cannot approximate the r.11) To set up the discrete equations we need an approximation of u(x) over Ωi . uh ) dx = −si (uh ) (xe − xw ) .g.h. (Such choice is not relevant at the moment. on ∂Ω). u). where u(x) denotes the temperature. (2. of (2.

12). if s = s(u) is a nonlinear function of u. The processes are identical if we take sL = 0 for all i. Hence the linear system is tridiagonal.W.2 The source term and solution of the system If s is independent of u. i. whereas in (ii) linear dependence of s on u is taken into account.g. and (ii) the equation has to be solved iteratively. The final solution of the two processes (i) and (ii) is the same if si (uh ) = sC (uh ) + sL (uh ) ui . This makes that the linear system to solve is changed: k(xe ) xi+1 −xi ui+1 k(xe ) k(xw ) xi+1 −xi + xi −xi−1 k(x + xi −xw ) ui−1 = −(xe i−1 − − xw )sC (uh ) i L − (xe − xw )si (uh ) ui + (n) (n) (2. In this case we have to imation of s as si = si (uh ) + sL (uh )(ui i adapt (2. On the other hand. that have to be determined for each nodal i i point.12) slightly.12) we have used the simplest possible representation for uh that still allows an approximation of (kux ). The (n) source term si can either be approximated by a constant si := si (uh ). or by linearisation.e. then determine sC (uh ). where (n) the previous approximation uh is used directly to obtain a (hopefully better) (n+1) approximation uh by (2. In the construction of (2. (i. Hemker 2. The difference between (i) and (ii) is that in (i) si depends completely on the previous approximation. i i L An advantage of the alternative (ii) is that. taking a linear approx(n) (n) (n+1) (n) C − ui . or if s depends linearly on u. in the assumptions for the approximation of u) when the different parts in the differential operator are discretised. the process i i i reads: first make an initial estimate for uh . the values in the neighbouring cells. then (2.13). This band structure of the matrix makes that the linear system can be solved very efficiently.30 P. i i and solve the linear system (2.3. we could take si = s(ui ) piecewise constant. Here.e.12) or (2. then (i) si (uh ) should be approximated. . then process (ii) may converge in one step. sC and sL are constants. This process is repeated until convergence is reached.13) ui is only coupled with ui−1 nd ui+1 . Apparently. and if we know sL (u) = ds/du. if s is a linear i function of u. E. it is not necessary to be consistent in the choice for uh .13) L where si and sC are such that sL (uh )ui + sC (uh ) = si (uh ). However. by a judicious choice of si we may expect that the iterative process (ii) converges faster than process (i). We see that by (2. whereas a piecewise linear approximation was used to determine ux . and sL (uh ).12) is a linear system of equations that can be solved immediately (as soon as the values of the endpoints u0 and un are given) if we take si (uh ) = s(ui ). Other representations are possible as well.

The discrete solution is determined in a number of subsequent time-steps.1) and. and also the values at the odd nodes. again. x).16) ui+1 is coupled with ui−1 only. This is also called instability: the discrete solution is not bounded by the rhs of the discrete equation. this leads to v (ui+1 − ui−1 ) = si (uh ) (xe − xw ) . in a 2-dimensional . u = 0 at the left boundary of the interval. The approximations of u at the even nodes are coupled to each other.4. Notice that the technique for the discretisation of the equations in the interior domain cannot be used at the outflow boundary. x)dx = xw xw x (vu)x dx = v(x)u(x)|xe .3. analogous to (2.16) For a constant v(x) = v. ∂x Now we consider the problem (2. 2 2 (2.Version: September 13.3 The convection equation ∂ (v(x)u(x)) = s(u.17) Here we see that an important problem appears. Because the linear system is singular there is a family of possible solutions.14) where v(x) is a given function.1 Techniques for time-discretisation Time-space discretisation or semi-discretisation We have seen that (because the time-direction is unique) it makes sense to treat the time-dependence of a problem different from the space-dependence. we see that in equation (2.11) gives xe xe s(u. There a different discretisation method should be used. Thus. As a boundary condition we use e. Usually one uses the same time-steps for all nodal points in a grid. a piecewise linear approximation for uh .3. 2 (2. In fact it is this particular discretisation at the outflow boundary that determines the behaviour of the discrete solution at the odd points. w (2. In the simplest case of a constant v and s. but there is no coupling between the odd and the even nodes.g. If the problem is defined for 0 ≤ i ≤ N .4 2.15) We take the same grid as in (2. because no value un is available. The homogeneous equation allows nontrivial solutions. 2004 31 2. 2. We consider this completely intolerable. This yields the discrete equation v(xe ) ui + ui−1 ui+1 + ui − v(xw ) = si (uh ) (xe − xw ) . Integration. then there is no boundary condition to determine the values at the odd nodes. and the boundary condition is given at the inflow boundary x0 (i = 0).

18) over Ωi yields ∂ ∂t x=xi+ 1 u dx + f (u(x)) Ωi 2 = 0. with ui the mean value of u over the cell Ωi . Another possibility for discretisation of time-dependent PDEs is to defer the time-discretisation and to apply semi-discretisation: the solution of the equations is represented by {uij (t)}. Hemker finite difference discretisation. The value of the solution at the point xij (or another coefficient used for the space-discretisation) is considered as a function in time. We do this by means of the simple convection equation ∂u ∂ + f (u) = 0. one possible choice is fxi+ 1 = 2 1 (f (ui ) + f (ui+1 )).2 FDM for a linear hyperbolic problem In this section we will show and analyse a number of characteristic problems that are encountered in the treatment of time-dependent problems. Then we arrive at the equation (xi+ 1 − xi− 1 ) 2 2 ∂ ui (t) + fxi+ 1 − fxi− 1 = 0 . and not the past on the future) the values {un } are computed on basis of the ij k known values {uij }. where ij (i. Then. the solutions are represented by {un }. Halfway the 1 nodal points we situate the cell interfaces of the cell Ωi at xi± 2 . as e. fxi± 1 denotes an approximation for f (u(xi± 1 )).g. (2. As in section 2 2. 2 . downwind and central flux computations. To construct a system of equations for the variables {ui } we still have to decide how we relate f (u(xi± 1 )) to the values of {ui }. k = n − 1. 2. the semi-discretised PDE leads to a very large system of ODEs for the unknown functions {uij (t)}. Integration of (2. By the special character of the time-variable (the future depends on the past.3. ∀i. · · ·.32 P. 2 2 For the space discretisation we use upwind. ∂t ∂x (2.3. in d uij (t) = Fij ({ukl (t)}kl ). n − 2. j) denotes the nodal point xij and n the time-coordinate tn . dt For the solution of these equations any suitable technique for the solution of ODEs can be used.18) As a grid we simply take a set of equidistant nodal point {xi }.4.W.20) Here. ∂t 2 2 (2. j.19) x=xi− 1 2 We represent the discrete approximation by {ui }.

An alternative possibility is the backward Euler method: 1 uh (tn+1 ) − uh (tn ) = gh (uh (tn+1 )). fxi+ 1 = f (ui ) or fxi+ 1 = f (ui+1 ). We write fi+ 1 = wf (ui ) + (1 − w)f (ui+1 ).24) In this case the new values uh (tn+1 ) are expressed explicitly in the old values uh (tn ). 2 2 33 respectively the backward and the forward discretisation4 .g.22) ∂ uh (t) = gh (uh (t)). 2.23) simply by time-stepping with steps ∆t. ∂t (2.25) These two methods are “implicit” time-discretisation methods. ∆t (2.g. ∆t The fully discretised system reads: un+1 − un = i i 4 With (2. Other choices are e.Version: September 13. the approximation fx = f (ui ) is called upwind approximation. (2. This can be done e.27) ∆t ∆x θ ∆t ∆x (1 n+1 n+1 {wfi−1 + (1 − 2w)fin+1 − (1 − w)fi+1 }+ n n n − θ) {wfi−1 + (1 − 2w)fi − (1 − w)fi+1 }. by the forward Euler method: 1 uh (tn+1 ) − uh (tn ) = gh (uh (tn )). ∂t ∆x ∆x ∆x 1 where ∆x = xi+ 2 − xi− 1 . .23) We realise the time discretisation of (2. For convenience we will combine the three choices in one formula. We summarise the three possibilities. The other approximation is called downstream approximation. in one parametrised formula: 1 uh (tn+1 ) − uh (tn ) = (1 − θ)gh (uh (tn )) + θgh (uh (tn+1 )) . · · · . 2 Now we have completed our semi-discretisation: w 1 − 2w 1−w ∂ ui (t) = f (ui−1 ) + f (ui ) − f (ui+1 ). After some analysis we make a choice for w. 2004 the central approximation. with a parameter w. ∆t (2. again. ∆t or also the Cranck-Nicolson method 1 uh (tn+1 ) − uh (tn ) = ( gh (uh (tn )) + gh (uh (tn+1 )) )/2. Here we have to solve a system of equations to compute the new values uh (tn+1 ).21) (2. 3. i+ 1 2 because the flow of information is from left to right and for the approximation of fx the upstream value ui is used.26) (2. We write this equation briefly as 2 (2.28) i+ 1 2 ∂f /∂u > 0. i = 1.

This can also be written as γ= = 1 + λ(1 − θ){(1 − 2w) + we−jωh − (1 − w)e+jωh } 1 − λθ{(1 − 2w) + we−jωh − (1 − w)e+jωh } (2. In order to study the behaviour of the solution of the discrete system. We set du = f constant. we consider the behaviour in time of the approximate solution in the domain Ω = (−∞. The equation now is ut + f ux = 0. x). it doesn’t grow or shrink. it is simple to solve it also analytically. +∞). i Using equation (2. In time the solution doesn’t really change.28) becomes un+1 − un = λθ {wun+1 + (1 − 2w)un+1 − (1 − w)un+1 }+ i i i−1 i i+1 λ(1 − θ) {wun + (1 − 2w)un − (1 − w)un } . and we combine a few parameters in a single: λ = f ∆t/∆x. we can see which properties of the true solution are inherited by the numerical counterparts. it only moves with the velocity f .30) i where γ is a complex number that satisfies γ − 1 = λθ {wγe−jωh + (1 − 2w)γ − (1 − w)γe+jωh }+ λ(1 − θ) {we−jωh + (1 − 2w) − (1 − w)e+jωh } .29) we see immediately that the solution at a later stage is given by un = γ n ejωhi . We see that |γ|2 = {1 + λ(1 − θ)(1 − 2w)(1 − cos(ωh))}2 + λ2 (1 − θ)2 sin2 (ωh) · {1 − λθ(1 − 2w)(1 − cos(ωh))}2 + λ2 θ 2 sin2 (ωh) (2.W. (We refer to a textbook in Fourier analysis to understand the relevance of this choice. Hemker k where fj represents f (uk ).31) 1 + λ(1 − θ){(1 − 2w)(1 − cos(ωh)) − j sin(ωh)} . for an initial function u(t0 . that was introduced in the space discretisation. We use the notation j := √ −1 in order not to interfere with the index i previously used. is u0 = ejωhi . With the different possible choices for the numerical method. Further we can see what is the effect of the parameter λ. . Because it is difficult to analyse nonlinear equations we simplify the df problem by linearising it. and of θ that was introduced in the time discretisation. i−1 i i+1 (2.34 P. We will use this knowledge about the analytic solution to check if our numerical techniques yield reliable results. and the solution is ψ(x − f t) for an arbitrary initial solution ψ(x) = u(0.) The discrete initial function. The solutions i increases for t → ∞ if |γ| > 1. Now equation (2. j In general. then.32) (2. to compute un+1 from un . 1 − λθ{(1 − 2w)(1 − cos(ωh)) − j sin(ωh)} γ is the amplification factor for the time-integration: |un | = |γ|n .33) Now we want to study the effect of the parameter w. (2. we have to solve a system of nonlinear i i equations. x) = ejωx . and it decreases for |γ| < 1.29) Having simplified the equation so far.

4. 1 This implies instability for θ ∈[0. 2004 • If w = 1 2 35 (i. the amount to which the true solution -at the nodal points. The downwind discretisation is unstable for all reasonable cases.e. the time-step) small enough. with f < 0 it is the other way. – f < 0 ⇔ λ < 0 ⇔ stability for: λ(1 − 2θ) ≥ 1. If θ < 1 stability may depend on λ. |γ| < 1 ⇔ (1 − θ)2 ≤ θ 2 ⇔ θ ≥ • If w = 1 (i. Depending on the sign of f we find: – f > 0 ⇔ λ > 0 ⇔ stability for: λ(1 − 2θ) ≤ 1. 2 2 1 stability is obtained for λ ≤ 1−2θ and we obtain stability only for λ (i.e.e. only for λ large(!) enough. i. 1 ].33) reduces to |γ|2 = 1 + λ2 (1 − θ)2 sin2 (ωh) .e. we obtain stability for λ small enough.does not satisfy the discrete equation 5 ) 5 For the differential operator L : X → Y and its discrete operator L : X → Y . 2 ] we get 1 stability for |λ| ≤ 1−2θ . if θ ∈[0.e. • If w = 0 (i. This means unconditional instability (forward Euler). if θ > 2 then get stability for 2 1 |λ| ≥ 2θ−1 . i. We recognise a symmetry If f > 0 then w = 1 corresponds with upwind discretisation and w = 0 with downwind. 1 + λ2 θ 2 sin2 (ωh) (2. for “forward” discretisation in space) stability ⇔ |γ| ≤ 1 ⇔ λ(λ(1 − 2θ) + 1) ≤ 0 – f > 0 ⇔ λ > 0 ⇔ stability for λ(1 − 2θ) ≤ 1. 1 ]. and we find 1 1 – f < 0 ⇔ λ < 0. This implies instability for θ ∈[0. If θ > 1 then stability is guar2 2 1 anteed for |λ| ≥ 2θ−1 and we obtain stability only for λ large (!) enough. 2.3 The equivalent differential equation In this section we study the local discretisation error (i. for central discretisation in space) equation(2. iii) θ = 1 ⇔ |γ| < 1.Version: September 13. this implies stability for θ ≥ 2 . For 2 1 θ < 2 it is stable if the time-step is small enough. 2 ii) θ = 0 ⇔ |γ| > 1. This implies stability for θ ≥ 1 . This means unconditional stability (backward Euler). for “backward” discretisation in space) stability ⇔ |γ| ≤ 1 ⇔ λ(λ(1 − 2θ) − 1) ≤ 0.e. We notice that the upwind discretisation is unconditionally stable when θ ≥ 1 .e. and the h h h restriction operators Rh : X → Xh and Rh : Y → Yh .34) 1 · 2 Depending on θ we can draw the following conclusion: i) θ = 1 ⇔ |γ| = 1. we remember the definitions for global . This implies neutral stability (Crank-Nicolson).

37) Substitution of this in (2. ∂x2 i ∂u ∂2u ∂u n = ∂x − θ ∆t ∂x∂t + O(∆t2 ). and t = tn + θ∆t. 1 + 2 ∆x2 + O(∆x3 ). . We consider again the linear problem ∂ ∂ u+f u = 0.36 for (2. We obtain (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) (ix) (x) un+1 = u + (1 − θ)∆t i ui−1 = ui − ∆x ui+1 = ui + ∆x 1 2 (ui+1 ∂u ∂x i ∂u ∂x i un = u − θ∆t i ∂u ∂t + 1 θ 2 ∆t2 2 ∂u ∂t ∂2u ∂t2 + 1 ∆x2 2 + 1 (1 − θ)2 ∆t2 2 ∂2u ∂x2 ∂2u ∂x2 i i + O(∆t3 ). ∂x i ∂u n+1 ∂2u = ∂u + (1 − θ) ∆t ∂x∂t + O(∆t2 ). ∂x i ∂x n n+1 = ∂u + O(∆t2 ).W. We denote u := u(xi . |u(xi ) − ui | = |(Rh u)i − ui |. t ). ∂2u ∂t2 + O(∆t3 ).36) In order to compute the local truncation error. and for the local discretisation error |(Lh Rh u − Rh Lu)i |. ∂x2 i i − ui−1 ) = +∆x (2. we expand the function u(x.29) also as 1 1 un+1 − un = −λθ{ 2 (un+1 − un+1 ) + ( 2 − w)(un+1 − 2un+1 + un+1 )}+ i i+1 i−1 i+1 i i−1 i 1 1 n n −λ(1 − θ){ 2 (ui+1 − ui−1 ) + ( 2 − w)(un − 2un + un )}. t) in a Taylor series around the point x = xi . ∂t ∂x P. + O(∆x3 ). i+1 i i−1 (2. Hemker (2.35) and its discretisation equation (2.36) yields for the left-hand-side n un+1 − ui i ∂u ∂t 1 + 2 (1 − 2θ)∆t2 ∂2u ∂t2 = ∆t + O(∆t3 ) = and for the right-hand-side −λθ ∆x = −λ ∆x ∂u n+1 ∂x i 1 + ( 2 − w)∆x2 ∂2u ∂x2 n+1 i ∂2u ∂x2 −λ(1 − θ) ∆x discretisation error ∂u n ∂x i ∂u ∂x + O(∆t2 ) + ( 1 − w)∆x 2 1 + ( 2 − w)∆x2 n i 2 + O(∆x3 ) + O(∆x3 ) ∂2u ∂x2 + O(∆t2 ) + O(∆x3 ) . ∂u 3 ∂x i + O(∆x ).28). 2 (ui+1 − 2ui + ui−1 ) = ∆x2 ∂ u + O(∆x3 ). We can write (2.28). (1 − θ) ∂u i + θ ∂u i ∂x ∂x ∂x n n+1 2 ∂2u ∂2u (1 − θ) ∂x2 + θ ∂x2 = ∂ u + O(∆t2 ).

and the discrete solutions are much more smeared than the true solution of the differential equation. 1 + O(∆t2 ) + ( − w)∆x 2 ∂2u ∂t2 1 + f (w − )∆x 2 1 = (θ − )∆t 2 ∂2u ∂x2 1 This means that the method is first order consistent in time and space. however.38) 1 1 f ∆x (θ − )λ + (w − ) uxx = 2 2 . 2004 37 Making use of the parameter λ = f ∆t/∆x we get the expression for the truncation error (in equation (2.2 corresponds exactly with a positive numerical diffusion! The numerical diffusion.e in the numerical solutions maxima or minima appear that do not exist in the true solution. can cause problems in a convection diffusion problem if the diffusion coefficient in the equation is (much) smaller than the numerical diffusion. If we make computations with one of the above schemes.39) So.35) we find that utt = (f )2 uxx . If θ = 2 1 it is second order in time.40) is also called the numerical diffusion of the difference Remark: Notice that the stability of the difference scheme as studied in Section 2. (2. i. num (2. and if w = 2 it is second order in space. we may see the difference scheme as a second order discretisation of a modified equation (or the equivalent differential equation) 1 1 ut = f ∆x (θ − )λ + (w − ) uxx − f ux . we notice: (i) the numerical diffusion can have a significant effect. .Version: September 13. (iii) unstable scheme are useless.4.36) τ (u) = rhs − lhs) τ (u) =− ∆t −f ∂u ∂t ∂u ∂x 1 − ( − θ)∆t 2 ∂2u ∂t2 + O(∆t2 ) ∂2u ∂x2 + O(∆x2 ) + O(∆x2 ) + O(∆t2 ) . (ii) the second order scheme (without numerical diffusion) shows an “overshoot”. so that the principal term in the truncation error can be written as f 1 1 (θ − )f ∆t + (w − )∆x uxx = 2 2 num uxx (2. The numerical diffusion may then overrule the ‘physical’ diffusion. Differentiating the PDE (2. 2 2 For this reason scheme.

and we solve the problem for different values of w and θ.38 Example 2.05 (λ = 0.01 + num )uxx − ux . as well as the solution of the modified equation ut = (0. We discretise the term uxx by uxx ≈ 1 1 n+1 (ui+1 − 2un+1 + un+1 ) + (un − 2un + un ) .01 and either ∆t = 0.1 We solve the equation ut = 0.1 (λ = 1.10 and 2. We take a fixed ∆x = 0.4. and boundary condition u = 1 at x = 0 (at the “inflow” boundary). Hemker on the domain t ≥ 0. with initial condition u = 0 at t = 0. . x ≥ 0.W.11 we show the results for t = 1 (and in Figure 2.0). i i−1 i i−1 2 2 i+1 The other terms are discretised by (2.29).12 for t = 0.5) or ∆t = 0. For comparison the true solution is also shown.01 uxx − ux P. In the Figures 2.5).

2 0.05 1o o o o o o o o o o 1o o o o o o o o o o 0.025 Figure 2. num = 0. .10: Numerical solution of the convection diffusion equation In all figures the numerical solution is given for t = 1.6 o o 0.4 0. num = 0.6 0.2 0.4 1. ∆x = 0.4 0.0. The true sulution is given by the solid line.4 1.8 o o 0.4 0.1 1.8 o 0.2 0.2 0.4 1.6 0.8 0.2 1. 2004 39 ∆t = 0.5. num = 0. 1. The dotted line is the numerical approximation.8 2 θ = 0.2 1. obtained with upwind space discretisation: w = 1.4 o 0.6 o o o 0.8 2 θ = 1.8 o o 0.4 1.6 o o 0.2 0 0.2 0.2 0 0. the dashed line represents the solution of the modified equation.2 0 0.2 0 0.8 1 1.6 0.2 o o o o o 0 o 0 o o o -0.6 o o 0.Version: September 13.1.8 0.2 num = 0.2 1.6 1.8 2 -0.4 o o o o o o o o 0.2 o o o 0 o o o o o o o 0 o o o o o -0.8 2 -0.6 o o o o o o o o o o o o o 0.2 o o 0.6 1.05 1.6 0.6 1.4 0.2 0.4 0.2 0 0.6 0.4 o 0.2 ∆t = 0.8 2 θ = 0.6 1.2 1.2 0.8 1 1.05 1o o o o 1o o o o o o o o o o o o 0.4 o o 0.4 0.2 1.4 1.6 0.8 1 1.8 1 1.2 0.8 o o 0.6 0.8 1 1.2 θ = 1.6 1.075 1o o o o o o o o 1o o o o o o o o 0.2 θ = 0. num = 0.2 o o o o o o o 0 0 -0.2 0 0.8 2 -0.2 1.5. 1.4 0.6 1.2 1.8 1 1.4 1.4 0.1 1.0 θ = 0.2 num = 0.

2 1.2 ∆t = 0.2 0.40 P.4 0. 1.8 2 -0.6 0. the dashed line represents the solution of the modified equation.4 o o 0.2 o o o 0 o o o o o 0 o o o o o o -0.4 1.8 o o o 0.2 0 0.4 0.6 1.2 0 0.4 0.8 2 θ = 0.2 1.4 o o 0.4 0.8 2 θ = 0.8 2 -0.4 1.2 1.6 0.2 o o o o o o o o 0.6 1o 0.4 o o 0.2 0 0.8 1 1.6 0.2 o o o o 0 0 o o o o -0.11: Numerical solution of the convection diffusion equation In all figures the numerical solution is given for t = 1.4 1. obtained with central space discretisation: w = 0.8 0.2 o o o o o o o o o o o o o o o 0 o o o o o o o o 0 0 0.0 2 1o o o o o o 1.8 2 -0.6 0.2 0.6 1.2 θ = 0.4 1.5.8 1 1.2 o o o o 0.2 0.5.6 0.8 1 1.4 0.05 1. num = −0.8 1 1.8 1 1. o o o num = 0.8 o 0.2 0 0.05 1o o o o o o o 1o o o o o o o o o o 0.8 1 1.6 0.5.6 o o 0.6 1.1 1.6 1.8 0. num = −0. Hemker ∆t = 0.2 0.025 1o o o o 1o o o o o o o o 0.4 0. .6 1.2 1.4 1.2 0.8 2 θ = 1.2 o o o o num = 0.5 o o o 0.2 0. o o num = 0.05 θ = 0.2 1.4 0. o o num = 0.4 1.2 1.8 o o 0. The dotted line is the numerical approximation. ∆x = 0. The true sulution is given by the solid line.6 1.6 o o 0.025 Figure 2.W.6 0.2 1.1.5 o 0.2 θ = 1.2 0 0.0 1.6 0.4 o o 0.

8 o 0.2 0.05 ∆t = 0.13: Non-conservative interpolation . The dotted line is the numerical approximation.5).2 1.6 1.4 0.4 1.8 2 ∆t = 0.8 0.1.2 0 0 o o o o o o o o o o o o o 0.4 0. num = −0.4 1. obtained with central space discretisation (w = 0.5.12: Numerical solution of the convection diffusion equation In these figures the numerical solution is given for t = 0. ∆x = 0.6 o o o 0. The true sulution is given by the solid line.Version: September 13. and forward Euler time-discretisation (θ = 0). 2004 41 o 1. Figure 2.05.025 Figure 2.1.6 0.8 2 -0. num = −0.2 1o 0.6 o 0.2 1.2 o o o 1. the dashed line represents the solution of the modified equation.2 0.4 1o 1.6 1.2 0.2 o o o o o o o o o o o o o o o o o o 0 -0.8 1 1.4 0.6 0.4 0.8 1 1.2 0 0.

42 P. Often the functional has a physical meaning (e. if it is known that the continuous solution is positive or monotone. the energy left in the system) and. We wish that a reasonably accurate solution is already obtained for a reasonably fine (= reasonably coarse) grid. Hemker 2. I.shows the same “global character” as the continuous solution. the flux over box-interfaces should be computed consistently. I. In order to satisfy the conservation law locally in a box method. If the number of nodal points (coefficients for the representation) increases we may expect (and we should require) that the discrete solutions converge to a true solution of the continuous problem.g. The last three rules are taken from [19]. E. not only globally. the computed flux J(u) · n over the box interface should be the same when it represents the flow out of the one cell or when it represents the flow into the .W. one doesn’t like to find negative concentrations by approximation errors. Often it is expressed that we want to obtain a “physically realistic” solution. A conservation law is most reliably discretised if the discrete system satisfies the law on each sub-element of the discretisation separately. Rule 2 Often we wish more than only an asymptotic validity. This requirement is more difficult to formulate mathematically. for all Ω. A class of (elliptic) problems for which the requirement of “physical relevance” is usually not too hard to satisfy. For such symmetric elliptic problems a convex functional exists that is minimised by the solution of the PDE. Rule 1. are those problems that can be formulated as a minimisation problem. the minimising element in a subspace satisfies automatically the requirement of physical relevance. but also locally. For the class of (hyperbolic) problems in conservation form it is relatively simple to satisfy the requirement that the discrete equations satisfy the conservation law. Rule 3: Obeying the conservation law. one requires that also the computed quantity is not created or does not disappear in the computation. one requires that the discrete solution -already for a coarse grid. For example. therefore.e. (iii) if the continuous equation describes a conservation law. one requires that the temperature as computed does not show local extrema. (i) if concentrations of a chemical are computed.e. the discretisation error (in the solution) (in some norm) should vanish (at some rate) as h tends to zero. one often requires that also the discrete solution is positive or monotone. This property of a discretisation is usually mathematically formulated by an asymptotic statement: if the mesh-width h of the discretisation is sufficiently small. for each cell Ωe of the discretisation of Ω.g. We do not want to construct an extremely fine grid before we can be sure about the value of the approximation. (ii) for the stationary solution of a heat-conduction problem without sources or sinks. Some discretisation methods (finite element methods) find this minimising approximate solution.5 Criteria for good discretisation methods In this section we want to summarise a set of rules and give criteria that can help us to find good discretisation methods.

I. 2004 43 other. The same argument is simple to generalise for two or three dimensions.5. If a differential operator only contains derivatives of a dependent variable.1. .2. First.1 If we use a three-point. In order to guarantee the positivity of the solution (in the absence of sources and sinks) for the linearisation of the discrete operator. Further. Explanation: If we write the linearised discrete equation for one space dimension as ai ui = ai−1 ui−1 + ai+1 ui+1 + si (2.satisfies basic requirements for most simplifications of the problem. (The row-sum of the linearisation of the discrete operator should vanish. the constant function should be in the kernel of the discrete operator. Rule 4: Trivial (constant) solutions should satisfy the discrete solution.) Rule 5: Guaranteed positivity of the solution.12) we had approximated k(x) by k(xi ). xi+1 − xi If in equation (2. Example 2. If we take the two-point linear approximation the conservation requirement is satisfied. In equation (2.5. (ii) if there is a source term. then with an approximate solution u also u + constant should be a solution of the discrete equations.12) we have (correctly) approximated J(u) by J(u) = k(xi+ 1 ) 2 ui+1 − ui . parabolic approximation to compute the flux over the right boundary of cell Ωi (fig. The explanation is simple: the amount of the conserved quantity that leaves the one cell should reappear (exactly) in the other cell. (A good method for a problem is also a good method for any simplification of that problem.) This rule can be seen as an instance for the more general principle: Seeking a good discretisation for a complex (intricate) operator. The fifth rule allows an extension for the case that a source term is present. it should not disturb the positivity (monotonicity).3.13) then the requirement of conservation is not fulfilled. it makes sense to find a discretisation that -at least.41) the coefficients ai . Example 2. then the discretisation would not have been conservative. if the source term is neglected the discretisation should satisfy rule 5.2 See Section 2. For discretisations with a higher order of accuracy (than one) it is difficult (often impossible) to satisfy this requirement. the diagonal and the off-diagonal elements of the Jacobian matrix should have different signs. For higher order discretisations more non-zero diagonals appear in the linearised operator. ai−1 and ai+1 should have the same sign to guarantee that for all possible ui−1 and ui+1 .e.Version: September 13.

2)) (ai − sL )ui = ai−1 ui−1 + ai+1 ui+1 + sC . Hemker Let s(u) the source term in the equation Lu = s(u) allow the linearisation s(u) ≈ sC + sL + u.44 P. i . then the discretisation of Lu = s(u) leads to (see sect (2.3.W. i i then sL and ai should have opposite signs.

45 ..1 Introduction This chapter is devoted entirely to the subject of Finite Elements. Then we give the theoretical foundation of the method. This is best illustrated by means of elliptic equations. Excellent reference books on the subject are. 3.Chapter 3 Finite Element Methods 3. First we give a number of examples that also will be treated later in applications of the method. nonlinear equations or problems that involve differentiation in time. 3. Although we will restrict ourselves in these lectures to the examples. in general we can apply the FEM also to systems of PDEs. e.g. a0 and f .2 Examples of boundary value problems The finite element method is best applied to (partial) differential equations in variational form. b] ⊂ R: −(a2 ux )x + a1 ux + a0 u = f. it is known that this problem has a unique solution. In this section we discuss a number of typical examples we will frequently use. u(a) = u(b) = 0. Subsequently we discuss how the method can be used in practice and finally we show how accurate the method is. For smooth functions a2 .1 One-dimensional second order The simplest problem we meet is the homogeneous Dirichlet two-point boundaryvalue problem (TPBVP) on an interval Ω = [a. a1 . [2] and [3]. and a2 > 0.2. which are always of even order.

2) is defined on an open connected domain Ω ⊂ R2 .46 P. we will discuss it in more detail in a later chapter. ∀ξ = (ξ1 . The special case when b0 = b1 = 0 is called Neumann condition.3) is equivalent with completely determines the sign of the left hand side of (3. D is is the identity matrix) and the Laplace equation (v = 0. This boundary condition can be of the form u = g on Γ. Define the coefficient matrix by A= then (3. The sign of a11 It is easy to see that (3. .W. ∀ξ = 0.3) < a22 a11 .1) where ψ(x.4) a11 a12 a12 a22 . (3. f = 0). ai and f are functions of x and y. The elliptic equation (3. and f (x.e. boundary conditions of the form (3.5) mixed conditions. It appears that we need one condition along all the boundary Γ := ∂Ω. more generally. or. the matrix A is positive definite. where the coefficients aij . a2 12 ∂u ∂u + b1 + b0 u = h on Γ. v(x. Special examples are the diffusion equation (v = 0). Because of the special difficulties in the numerical treatment of the convection diffusion equation. y) is the source function.3) is equivalent with ξ T A ξ > 0. second-order. and to obtain a unique solution we have to provide boundary conditions. ξ2 ) = (0. We assume the equation to be elliptic on Ω.2 Two-dimensional second order An example of a two-dimensional.2. Hemker 3. elliptic equation is the steadystate convection-diffusion equation · (D ψ) − · (ψv) = f on Ω ⊂ R2 . (3. D(x. We write the linear two-dimensional second-order equation in its most general form: a11 uxx + 2a12 uxy + a22 uyy + a1 ux + a2 uy + a0 u = f. (3. 0) ∈ Ω. the potential equation (v = 0. D is is the identity matrix.2) satisfy 2 2 a11 ξ1 + 2a12 ξ1 ξ2 + a22 ξ2 = 0. y) a diffusion tensor.2) on a domain Ω ⊂ R2 . which means the coefficients of the principle part of (3. (3. y) is the unknown function (for instance the temperature or the density of some matter). i.4) are called Dirichlet conditions. y) is a (given) velocity field.5) ∂n ∂s where n is the outward unit normal on Γ and s is the vector tangent to the boundary.3). (3. Boundary conditions of type (3.

η) = W. y) = v(x. η) = I. AT T u) = ( . η) . the principle part a11 uxx + 2a12 uxy + a22 uyy can be reduced to the form ∆u by a linear coordinate transformation. A u). Also easy to check are ∂/∂ξ ∂/∂η (ξ. and a similar expression for the other coordinates. We also define T = (∂/∂ξ. T AT T u).2) can be written as ( .1 If the coefficients in equation (3. ∂/∂η) . A direct consequence is (ξ. A substitution 1 u(x. A transformation of equation (3. Because both α11 and α22 are positive we can reduce the principle part of the elliptic equation by a simple scaling to ∆u. Assuming the existence of a W so that = W we see TT = = W Hence = TT ∂/∂x ∂/∂y ∂/∂ξ ∂/∂η (x. (3.Version: September 13. ∂/∂y)T . Proof: First we notice that the principle part of (3.2. y) T T . y) T T = (ξ. ∂/∂x ∂/∂y (ξ. α22 are positive. by the definition of adjoint. where α11 .6).6) By an additional transformation of the dependent variable u we can remove the first order terms from (3. y) · exp{ (β1 x + β2 y)} 2 .2) along the lines of the above theorem reduces the equation to −∆u + β1 ux + β2 uy + β0 u = f. α22 }. 2004 47 Theorem 3. and we write the principle part as: ( . Because A is positive definite we can choose T such that T AT T = D. where we use the notation = (∂/∂x.2) are taken constant. A u) = (T T . The transformation we need is of the form: ξ η =T x y . with D = diag{α11 . This completes the proof. η) = (x.

In case of variable coefficients βj . We may consider the one-dimensional homogeneous biharmonic problem on [a.13.. 3.7) For constant β’s this is the same as the previous reduced equation. 3. To understand the existence and uniqueness of such problem. After this we state the theorem and give a number of applications.. b] ⊂ R. Hemker 1 1 2 2 −∆v + [β0 + (β1 + β2 )]v = f (x. These computations show that any uniqueness/existence result we obtain for −∆u + au = f will also be valid for the general case. so that there exists a B(x. if × β = 0. y) exp{− (β1 x + β2 y)}. y) such that β = B ≡ grad B). To formulate this theory properly we first introduce some basic notions. 1 2 β · dx}.2. e. in Section 3.3 we will discuss parts of the theory on elliptic partial differential equations.3 Fourth order problems The results on existence and uniqueness of elliptic problems are also applicable to fourth order elliptic problems like the biharmonic problem ∆2 u = f in Ω. if the field β is rotation free (. y) = v(x. clamped at its boundary.g. we use the transformation u(x.18.3.W.6) gives 1 2 1 1 2 −∆v + [β0 + (β1 + β2 ) − ((β1 )x + (β2 )y )]v = f · exp {− 4 2 2 β · dx}. ∂u = 0 on Γ.48 reduces (3. u = 0 on Γ. u(a) = u(b) = u (a) = u (b) = 0. under a transversal load. a2 uxxxx − a1 uxx + a0 u = f.3. y) · exp{ Inserting this in (3. ∂n To this form we may reduce the Stokes problem in fluid dynamics and it also models the displacement of a thin elastic plate.e.3 Abstract Elliptic Theory A powerful tool to prove the existence and uniqueness of solutions of PDEs of elliptic type is the (generalised) Theorem of Lax-Milgram 3.6) to P. which can be seen as a variant of the Riesz Representation Theorem 3. (3. 4 2 Note that the right hand side of the equation is weighted by an exponential factor. .

x ≥ 0. i. 8. ∃! 0 ∈ X. 4. 1 · x = x. x).e. that satisfies for all x ∈ X and every scalar α ∈ K the properties 1. z) + β(y. 3 and 4. (x. These operations satisfy (for all x. 7. y ∈ X and scalars α. 2. Property 3 is called the triangle inequality. a mapping X → R. x) ≥ 0. and (x. x + y ≤ x + y . x) = 0 ⇐⇒ x = 0. x + (y + z) = (x + y) + z. β ∈ K 1. where 1 ∈ K.Version: September 13. provided with an addition and a scalar multiplication over a scalar field K. α(x + y) = αx + αy. 3. x = 0 ⇐⇒ x = 0. 4. 2. 3. An inner product space is a linear space X provided with a mapping (·. and . such that for all u ∈ X c u ≤ u ≤C u . 3. such that 0 + x = x + 0 = x.3. β ∈ K) the following properties 1. ∃(−x) ∈ X such that x + (−x) = 0. ∀x ∈ X. (αβ)x = α(βx). y ∈ X and scalars α. (αx + βy. z) = α(x. αx = |α| x . A normed linear space is a linear space X provided with a norm · . 2. (x. C > 0. but not necessarily 2. such that for all x. 5. The usual fields are the fields of the real (K = R) or the complex (K = C) numbers. x + y = y + x.1 Introduction to Functional Analysis Vector-spaces A linear space or vector space X is a non-empty set of elements. are called equivalent if there exist c. Two norms . 2004 49 3. (α + β)x = αx + βx. y) = (y. A semi-norm is a similar mapping satisfying 1. ·) : X × X → K (the inner product or scalar product). . z). 6.

then P u ⊥ u − P u. .3. Then there is a space V ⊥ (the orthogonal complement) with V ⊥ V ⊥ such that each element e ∈ H can be uniquely written as e = u+v. ∀x ∈ X.3. Further (P v.1 A closed linear subspace Y of a Banach space X is also a Banach space.8) if and only if x and y are linearly dependent. We say that two elements x and y of an inner product space X are perpendicular to each other (notation x ⊥ y) if (x.3 Let V be a closed linear subspace of a Hilbert space H (V = H). y) = 0. Note that different norms can cause different closures and that a space can be a Banach space when equipped with one norm but will not be a Banach space in another norm.W.8) Equality holds in (3. Quite useful is the Cauchy-Schwarz inequality: |(x. Lemma 3. If P : H → V is the orthogonal projection on V . Such spaces for which X = X are called complete.2 Let V be a closed linear subspace of a Hilbert space H and V = H. A Banach space is a normed linear space which is closed in the given norm. The set X is separable if it contains a countable dense subset. then there exists an element e = 0 in H such that for all v ∈ V : (v. (3. where u ∈ V and v ∈ V ⊥ Corollary 3.3. w ∈ H. This means that every Cauchy sequence converges in the norm given. So we can discuss the convergence of Cauchy sequences in X and the closure X. Hemker Here z denotes the complex conjugate of z ∈ C. Corollary 3. With the norm we have introduced a metric or distance ρ(x. A Hilbert space is a inner product space which is closed in the norm induced by the inner product.50 P. w) = (v.4 Let V be a closed linear subspace of a Hilbert space H and let u ∈ H. or equivalently if it contains a dense sequence. Lemma 3. y) = x − y . e) = 0. x). P w) for all v. We conclude this section with some elementary results on Banach and Hilbert spaces. P 2 = P and P = 1. y)| ≤ x y .3. A subset M ⊂ X is said to be dense in X if M = X. Every inner product space is a normed linear space because we can define a norm: x := (x.

C 0 (Ω) is the space of all continuous functions defined on Ω and C m (Ω) = {u ∈ C 0 (Ω). Let Ω ⊂ Rd then we will denote the i-th partial derivative Di u of the function u by: ∂ Di u = ( )u. See [27].9) We will now give a number of examples of function spaces as well as norms and inner products we can define on them. 2. . 1 A boundary Γ of a subset Ω of a d-dimensional space is Lipschitz continuous if it is locally a sufficiently smooth (d − 1)-dimensional manifold. ∀ 0 ≤ |α| ≤ m}. + αd . . Before we give examples of function spaces we first introduce the multiinteger or multi-index notation for higher derivatives of functions in more variables.10) in which α is a multi-integer. In effect we can define an outward unit normal n a. As the elements of these spaces are not necessarily bounded functions we also introduce the space C m (Ω) = {u ∈ C m (Ω). . ∀ |α| ≤ m}. |α|≤m x∈Ω (3. Then the α-th derivative of u is α α α D α u = D 1 1 D2 2 · · · D d d u = ( ∂ α1 ∂ α2 ∂ αd ) ( ) ···( ) u. d. We will also use the associated semi-norms: |u|C m (Ω) = max sup |D α u(x)|. ∂x1 ∂x2 ∂xd (3. 2004 51 Function spaces Functions on Ω (mappings Ω → R or Ω → C) can be considered as elements of linear spaces. This boundary is supposed to be Lipschitz continuous 1 . i = 1. . . . The boundary of Ω is denoted by Γ = ∂Ω.11) ∞ The space C0 (Ω) is the subset of all functions in C ∞ (Ω) with compact support: the function values and the derivatives vanish on the boundary. . |α|=m x∈Ω (3.Version: September 13. ∂xi Further we introduce a multi-index α = (α1 . . on Γ. αd ) ∈ Nd and we write |α| = α1 + α2 + . α2 . Such linear spaces are called function spaces. This is a Banach space with norm u C m (Ω) = max sup |D α u(x)|. . Analogously m we define the subsets C0 (Ω) of C m (Ω).e. D α u are bounded and uniformly continuous on Ω. D α u ∈ C 0 (Ω). Here and in what follows we denote by Ω an open set Ω ⊂ Rd .

15) ≤ f Lp (Ω) · g Lq (Ω) . q be two real numbers such that q ≥ 1.3.5 Consider the function f : Rd → R defined by f (x) = P. The H¨lder inequality (3. g ∈ Lq (Ω). such that |u|p is Lebesgue integrable.3.}. Then f ∈ C0 (Rd ).6 C0 (Ω) ⊂ L2 (Ω) and C0 (Ω) is densely embedded in L2 (Ω). Lp (Ω). (3.3. := Ω |u(x)| dx p 1 p .14) ∞ ∞ Lemma 3.8). (3. page 33]. Proof: See [1]. o Lemma 3. Remark: ∞ As C0 (Ω) is densely embedded in L2 (Ω) we can say that L2 (Ω) is the completion ∞ of C0 (Ω) in the norm 1/2 u L2 (Ω) = Ω |u(x)|2 dx . Further we define the Lebesgue-spaces of integrable functions [30]. It is important to note the following inequality due to H¨lder. L2 (Ω) is a Hilbert space with inner product: (u. with norm f L∞ (Ω) := ess sup |f | = inf{λ ∈ R | |f (x)| ≤ λ a.7 Let p.W. First. L1 (Ω) 1 q + 1 p = 1 and f ∈ Lp (Ω). 0 |x| ≥ 1.13) By Lp (Ω) with p = ∞ we denote the space L∞ (Ω) of essentially bounded functions. is the set of functions u on Ω. (3.12) As a particular case . x∈Ω (3. v)L2 (Ω) := Ω u(x)v(x)dx. Then f g ∈ L1 (Ω) and fg Proof: [30.e.15) is a generalisation of the Cauchy-Schwarz inequalo ity (3. . 1 ≤ p < ∞.52 Example 3. p ≥ 1. On Lp (Ω) we define the (obvious) norm: u Lp (Ω) This function is arbitrarily often differentiable and its support is the unit ball ∞ Td = {x ∈ Rd | |x| ≤ 1}. Hemker 1 exp( |x|2 −1 ) |x| < 1.

v) = F (v. In fact every strictly positive. x X (3. So for all x. Proof: ε Assume T is bounded: T < ∞. We have y ∗ = δ/2 < δ.10 (1) A linear functional T is a linear operator T : X → K. A bilinear operator F : X1 × X2 → Y is called bounded with bound F if F := sup u. operators that map elements of a Banach space to the field. A special class of operators are functionals. .e. i. v ∈ X and scalar λ ∈ K.v=0 F (u. So we obtain the following definitions. then choose δ < T . of real or complex numbers. A sesquilinear operator is a mapping F : X × X → Y that is linear in its first argument and conjugate-linear in its second.3.3.16) A linear operator is bounded iff T < ∞. 2004 53 Linear operators and functionals Let X and Y be normed linear spaces over a field K. Let ε > 0. u). Remark: An inner product is an example of a sesquilinear operator.9 A bilinear operator F : X1 × X2 → Y is an operator that is linear in each of its arguments. K.8 A linear operator T is continuous iff it is bounded. so Ty y < 2ε δ . Ty y < ε.Version: September 13. which means that T is Definition 3. so in 0 we have: ∀ε > 0 ∃δ > 0 : ∀x : x < δ ⇒ y δ T x < ε. So T is continuous. or T ≤ 2ε δ < ∞. The norm of a linear operator T is defined by T = T Y ←X := sup x∈X. A linear operator T : X → Y is a mapping such that T (u + v) = T (u) + T (v) and T (λu) = λT (u) for all u. v) u X1 v Y X2 < ∞. symmetric. Definition 3. so δ T y∗ = 2 · bounded. A conjugate-linear operator S : X → Y is a ¯ mapping such that S(u + v) = S(u) + S(v) and S(λu) = λS(u). Lemma 3. Take an y and consider y ∗ = 2 · y . sesquilinear operator can be considered as an inner product. A bilinear operator F : X × X → C is called symmetric if F (u. x=0 Tx Y .3. y such that x − y < δ we have (because T is linear): T x − T y = T (x − y) ≤ ε T x − y < T · T = ε. Assume T is continuous.

so for every x the sequence xn (x) has a limit. Theorem 3. (3) A sesquilinear functional F is a sesquilinear operator F : X × X → K.15). . . ∞ • Let X = Lp (Ω). q ≥ 1 and 1 1 + = 1. say x (x). Proof: Let xn be a Cauchy-sequence in X ..17) is a bounded linear functional. then for every x0 ∈ Ω is T : f → T (f ) = f (x0 ) a bounded linear functional. • Equation (3. Hemker (2) A bilinear functional F is a bilinear operator F : X1 × X2 → K. Then f → T (f ) = f (x)w(x)dx Ω (3. > the duality paring between X and X . First the following elementary theorem.W. that is p. It is equipped with the norm x X := sup x∈X.18) We sometimes write < x . x n − xm X < . m ≥ N : or ∀ > 0 ∃N ≥ 0 ∀n. Examples: Functionals • Let X = C(Ω) and f ∈ X.12 The dual space X of a normed linear space X is a Banach space.54 P.3. m ≥ N : ∀x ∈ X |xn (x) − xm (x)| < . This means that ∀ > 0 ∃N ≥ 0 ∀n. We want to characterise the dual of some spaces. So.11 The space of all bounded linear functionals X → K is called the dual space X of X. |x (x)| x=0 x X (3. o Dual spaces Definition 3.17) also defines a bounded linear functional if w is an element in Lq (Ω) under condition that p and q are conjugate exponents. The function w is called the weighting function. x > instead of x (x) and we will call < . Now R and C are complete. f ∈ X and w ∈ C0 (Ω) a given function. p q This follows from H¨lders inequality (3.3. ∀ > 0 ∃N ≥ 0 ∀n ≥ N : ∀x ∈ X |xn (x) − x (x)| < .

so the mapping R : X → X of u to its representation Ru = z is a linear bijective isomorphism. Define y1 = y0 − P y0 . 2004 55 Now define the function x as the function that maps every x to the number x (x) then we see ∀ > 0 ∃N ≥ 0 ∀n ≥ N : xn − x X < . or rather that the Cauchy-sequence xn has limit x . z)|X |u(x)| = sup = z x X x X x∈X X.3. Corollary 3.13 (The Riesz Representation Theorem) Let u : X → K be a bounded linear functional on a Hilbert space X.3. It says that the dual space can be identified with the space itself. Further 1 u(y1 ) = u(y0 ) − u(P y0 ) = u(y0 ) = 0. then z := x − u(x)y2 ∈ N (u). Normalisation yields y2 = u(y1 ) y1 . z) = 0 for all x implies z = 0. then there exists one and only one yu ∈ X such that 2 u(x) = (x. yu )X ∀x ∈ X. y2 ) y2 2 Uniqueness is clear. ⇐⇒ ⇐⇒ (x. To characterise the dual of a Hilbert space we have the following important theorem. yu ).19) Proof: Consider the null space N (u) = {x|u(x) = 0}. this is a closed linear subspace of X.14 The norms of u ∈ X and z ∈ X with u(x) = (x. because u(z) = u(x) − u(x)u(y2 ) = 0. y2 ) = u(x)(y2 . Let P be the projection of X to N (u).Version: September 13. Theorem 3. 2 The converse is trivial: let uy (x) = (x. y2 ) y2 u(x) = = (x. then y1 ⊥ N (u). y2 ) (x. ) = (x. y). so that u(y2 ) = 1 u(y1 ) Take x ∈ X arbitrarily. . (y2 . Assuming u = 0 (or we could take yu = 0) there is a y0 such that u(y0 ) = 0. So ⇐⇒ (z. y2 ) = 0 (x − u(x)y2 . since (x. then uy ∈ X . z)X are identical: u X = sup x∈X |(x. Due to continuity of u and completeness of X. Now define yu := y2 y2 2 . y2 ) = 0 u(y1 ) = 1 and still y2 ⊥ N (u). (3.

3.3.16 A sequence {un }n in X is called (strongly) convergent to u ∈ X if lim un − u X = 0. Theorem 3. Hemker The dual of a Lp -space is a Lq -space under some conditions.3.20) (2) A non-symmetric bilinear functional F : X1 × X2 → K is called sub-coercive if there exists a γ > 0 such that: ∀x ∈ X1 ∃z ∈ X2 . Strong convergence implies weak convergence. z)| ≥ γ x and ∀z ∈ X2 . Proof: See [1. Definition 3. x)| ≥ γ x 2 . z)| > 0.17 (1) A symmetric bilinear (sesquilinear) functional F : X × X → K is called coercive (or strictly positive) if there exists a γ > 0 such that for all x ∈ X |F (x.3. Remark: If X is a Hilbert space we have by the Riesz Representation Theorem 3.2 The Generalised Lax-Milgram Theorem Definition 3. q ≥ 1 and p + 1 = 1. but the converse is not true (cf. v)X = (u. [22]).3. z = 0 ∃x ∈ X1 |F (x. but L can not be associated with the dual of L1 . (3. (3. For contrast we also state the usual definition.3. as is shown by the following theorem. we call it the weak topology. n→∞ A sequence {un }n in X is called weakly convergent to u ∈ X if n→∞ lim ϕ(un ) = ϕ(u) ∀ϕ ∈ X . v)X .21) . q ∞ If p = 1 then q = ∞. As this defines the weakest topology which renders all elements of the dual continuous.13 that weak convergence is equivalent to n→∞ lim (un .22) X1 z X2 (3.41] With the notion of the dual in mind we can give a weaker definition for convergence.W. ∀v ∈ X. z = 0 |F (x.56 P. page 40.15 (Riesz for Lp (Ω)) 1 Lq (Ω) is isometric isomorph to the dual space of Lp (Ω) if p.

x z (3.18 (Generalised Lax-Milgram) Let X1 and X2 be two Hilbert spaces and let F : X1 × X2 → K be a bounded. the existence as well as the uniqueness and boundedness of solutions to elliptic PDEs. F (u0 . sub-coercive. It discusses. z) ≡ 0. z)| . (3. z)X2 . z = 0 F (·. Proof: We give the proof in six parts. z)| ≥γ x z X2 X1 . Ru)X2 . in an abstract setting. v X2 v X2 v∈X2 . namely for the general. according to the Riesz Theorem for every u ∈ X1 a unique element z ∈ X2 exists such that F (u.22) is equivalent to ∀z ∈ X2 . ·) : X2 → K for each u ∈ X1 . due to the bi-linearity of F .25) Further the problem is stable: small changes in the data f cause only small changes in the solution u0 : u0 X1 ≤ 1 f γ X2 .23) This means that we can find a largest possible γ as: γ := inf sup |F (x. (1) As F is bounded we have a bounded linear functional F (u. Now.24) x∈X1 z∈X2 We now come to the central theorem of this chapter: the Lax-Milgram Theorem.22) of a sub-coercive functional.26) (2) The operator R is linear. Condition (3. v)| |(Ru. Theorem 3. The treatment is such that we can easily generalise it for discrete equations later. then there exists one and only one u0 ∈ X1 such that ∀v ∈ X2 . (3) To prove that R is a surjection we first prove that R(X1 ) is a closed subspace of X2 . ·) = (·. v)| = sup . (3. (3.21) implies that ∃γ > 0 such that for all x ∈ X1 : sup z∈X2 |F (x. We first note that: Ru X2 = sup v∈X2 |F (u. This defines an operator R : X1 → X2 such that F (u. We will state it in a more generalised version than usually.Version: September 13. asymmetric instead of only the symmetric case. Let f ∈ X2 . 2004 57 It is easy to see that a coercive functional also satisfies the properties (3. ·) = (·. Condition (3. bilinear functional.21) and (3. v) = f (v).3.

23): Ru = sup v |F (u. ∀v ∈ X2 . (6) Finally we prove the stability of the problem. This is seen as follows.27) (c) Now we show that R(X1 ) is closed or that every accumulation point of R(X1 ) is an element of it.3 Distributions and Sobolev Spaces Solutions to (weak formulations of) elliptic PDEs are often found among special classes of functions: the so called Sobolev spaces. Because it involves weak formulations of PDEs we first treat the subject of distributions. v0 ) = (·. So we obtain ∀v ∈ X2 ∃u ∈ X1 Ru = v which means ∃R−1 : X2 → X1 .58 P.3). v0 ) ≡ 0.25). v)| = F . By (3. v (3. then it is the limit point of some Cauchy-sequence {Run }. . v0 ) = f (v). so {un } is a Cauchy sequence in X1 .27) we know Rum − Run X2 ≥ γ um − un . (4) We prove that the range of R actually is all of X2 . So let v be an accumulation point of R(X1 ). v)| ≥γ u .25). by continuity of R. Hence it follows that R(X1 ) = R(X1 ) ⊂ X2 . so u0 is the solution of equation (3. or: 1 f . Because X1 is a Banach space ∃!u ∈ X1 . Clearly v = Ru. To do so we first assume that R(X1 ) = X2 . Ru0 ) = F (u0 .3. If we take a right-hand-side of our equation f ∈ X2 . which contradicts the sub-coercivity of F .W. Ru)X2 = 0 for all u ∈ X1 (by Corollary 3. then according to the Riesz theorem ∃!v0 (v.3. (5) In fact R−1 is the solution operator for the equation (3.27): γ u0 ≤ Ru0 = v0 = f . In this section we will discuss these spaces and some of the properties of their elements. If we define u0 = R−1 v0 then f (·) = (·. and so continuous: R X2 ←X1 = sup u∈X1 Ru X2 1 = sup u X1 u∈X1 u sup v∈X2 |F (u.21) or (3. Hemker (a) An easy consequence is that R is bounded. v X2 (b) F is sub-coercive. 3. This means there exists a v0 = 0 ∈ X2 such that v0 ⊥ R(X1 ). ·). u = lim un and so ∃!Ru ∈ X2 as limit of {Run }. Due to (3. so we get using (3. using (3. so v ∈ R(X1 ). This implies R(X1 ) = X2 . Now we have proved that R is surjective.26) F (·. u0 ≤ γ Uniqueness is a direct consequence of this stability. or (v0 .

19 A distribution (or generalised function) on Ω is a bounded linear functional on D(Ω). ϕ >. We say that a sequence ϕn ∈ D(Ω) converges to ϕ ∈ D(Ω). In this way we can identify each Lp -function with a distribution from D (Ω). 2004 59 Distributions ∞ We define the function space D(Ω) as the set of functions C0 (Ω) supplied with the following topology. Example 3. Ω However. 3 In fact we can extend the class of such functions to the locally integrable functons L1 (Ω) = loc f | f ∈L1 (K) ∀compactK ⊂ Ω . Sometimes we write Tf (ϕ) =< f. Definition 3.Version: September 13. · > is the duality paring between D(Ω) and D (Ω). . being the dual of D(Ω). We write < δx0 . the latter is rather formal because it has nothing to do with an actual integration.3. Example 3. n→∞ if and only if there exists a compact subset K ⊂ Ω such that for every function ϕn we have supp(ϕn ) ⊂ K and such that for all |α| ≥ 0 D α ϕn → D α ϕ.3. in which < ·.3. notation lim ϕn = ϕ. ∞ So D(Ω) is the same set of functions as C0 (Ω). ϕ > or δx0 (x)ϕ(x)dx.20 (Generalised functions) A function f ∈ Lp (Ω) defines3 a distribution Tf : D(Ω) → R by: Tf (ϕ) = Ω f (x)ϕ(x)dx. This generalised function is called the Dirac delta function associated with point x0 and it is also called δx0 . ∀ϕ ∈ D(Ω).21 Let x0 ∈ Ω and define Tx0 : D(Ω) → R as Tx0 (ϕ) = ϕ(x0 ). The space of distributions is denoted by D (Ω). but it has more structure.

this is not an L2 -function. for any ϕ ∈ D(Ω) TDf (ϕ) = Ω Df (x)ϕ(x)dx = − Ω f (x)Dϕ(x)dx = −Tf (Dϕ) = DTf (ϕ). i. for all (generalised) functions all generalised derivatives (always) exist.W.22 The distributional or generalised derivative D α T of a distribution T is defined by D α T (ϕ) = (−1)|α| T (D α ϕ). Of course. which yields 0 if x < 0 and 1 if x ≥ 0. 0 This means DTH = Tδ0 . ∞ which is clearly bounded as ϕ ∈ C0 (Ω). then ∀ϕ ∈ D(Ω): D α Tn (ϕ) = (−1)|α| Tn (D α ϕ) → (−1)|α| T (D α ϕ) = D α T (ϕ). the generalised derivative of the Heaviside-function is the Dirac delta-function. However. This means that. Example 3. the generalised derivative of the (generalised) function is the generalised function of the derivative. Definition 3. ∀ϕ ∈ D(Ω). then we may consider the distribution Tf associated with f .60 P. . (if Ω = R) but it is a distribution: ∞ TH (ϕ) = R H(x)ϕ(x) dx = 0 ϕ(x) dx.e. If we have a differentiable f . Remark: The mapping D α : D (Ω) → D (Ω) is continuous because if n→∞ lim Tn = T in D (Ω).3.3. We compute the derivative DTH : DTH (ϕ) = −TH (Dϕ) = − ∞ R H(x)Dϕ(x)dx = − Dϕ(x)dx = ϕ(0) = Tδ0 (ϕ). say f ∈ C 1 (Ω). Now we see. Because of the analogy with weak convergence we will call this the weak topology. for differentiable functions. Hemker The topology on D (Ω) is defined as follows. ∀ϕ ∈ D(Ω). T ∈ D (Ω) we say that n→∞ lim Tn = T when: n→∞ lim Tn (ϕ) = T (ϕ). and the distribution TDf associated with the derivative Df of f . With Tn .23 (Heaviside and delta-function) We consider the Heaviside function H(x).

24 The Sobolev space W n. 2 . 1 ) 2 . 1]. |α| ≤ n are also elements of Lp (Ω): W n. for all ϕ ∈ D(Ω).2 (Ω) = (D α u. ∀ |α| ≤ n}. This is a Banach space if we provide it with the norm:    Dα u p Lp (Ω)  1 p  u n.3. (3.p (Ω) is that they are Lp -functions uα . is the space of all Lp (Ω)-functions u for which all distributional derivatives D α u. are elements of L2 (Ω). . (3. 1.26 Consider the basic hat function on the interval Ω = [0.p (Ω). we introduce the so called Sobolev spaces. b].Ω .Ω .Ω := u n.2. p ≥ 1. play an important role. This function is in L2 (Ω). v)W n. Example 3. We write u u n := u n. Now take the function du such that 1 du = ∂u . except for x = 0. For instance the Heaviside function on an interval Ω = [a.28) |α|≤n In case of p = 2 we denote the space W n. 1 x ∈ [ 2 . . 0 ≤ |α| ≤ n such that uα (x) ϕ(x) dx = (−1)|α| Ω Ω u(x) D α ϕ(x) dx.3. . Definition 3.2. .2 (Ω) as H n (Ω). 1 where we define it (arbitrarily) zero. Therefore.p. for all ϕ ∈ D(Ω). n.Ω := . To look if it is also in H 1 (Ω) we must find an L2 (Ω)function du that is the derivative of u in distributional sense: Ω du(x) ϕ(x) dx = − Ω u(x) Dϕ(x) dx. together with their (generalised) derivatives. Supplied with the inner product (u.3. functions that.p (Ω) = {u ∈ Lp (Ω)|D α u ∈ Lp (Ω). 2004 61 Sobolev spaces In the theory of elliptic PDEs. Example 3.29) |α|≤n these Sobolev spaces are Hilbert spaces. or even Another way of saying that a functional u is an element of W n. D α v)L2 (Ω) . −∞ < a < 0 < b < ∞ shows that u ∈ Lp (Ω) does not imply Du ∈ Lp (Ω).Version: September 13. This ∂x . n = 0.25 The definition is not trivial. 1]: u(x) = 2x 2 − 2x for for x ∈ [0.

1 2 1 du(x) ϕ(x) dx = Ω 0 1 2 du(x) ϕ(x) dx + 1 2 du(x) ϕ(x) dx 1 = 0 ∂u ϕ(x) dx + ∂x 1 2 ∂u ϕ(x) dx ∂x 1 2 = + = = − − x↑ 2 lim u(x) ϕ(x) − lim u(x)ϕ(x) 1 x↓0 − − u(x) 0 1 ∂ϕ (x) dx ∂x ∂ϕ (x) dx ∂x lim u(x)ϕ(x) − lim u(x) ϕ(x) 1 x↑1 x↓ 2 1 2 u(x) 1 2 u(x) 0 ∂ϕ (x) dx − ∂x 1 u(x) 1 2 ∂ϕ (x) dx ∂x u(x) Dϕ(x) dx. 1]). where 2 its (generalised) derivative is discontinuous. but for d = 2 they do not have to be and indeed it should be 4 An element u of a Sobolev space is continuous. The proof shows that it is essential that u is continuous in the point 1 . Ω where we have used the fact that 1 x↑ 2 lim u(x) = lim u(x) 1 x↓ 2 and that ϕ ∈ D([0.p (Ω) ⊂ C k (Ω).30) Example 3. so it is in L2 . if there is an equivalent function u such that this function has the property. Hemker function du is a simple function.3.p (Ω) is k times continuously differentiable. So for d = 1 the functions of H 1 (Ω) are continuous. . This raises the question under which conditions elements of Sobolev spaces are continuous or even continuously differentiable.3. page 174] (3. Theorem 3. bounded or whatever. Or: n > k + d/p ⇒ W n.27 (Sobolev’s Embedding Theorem) Let Ω ⊂ Rd be a bounded open region and let n > k + d/p.62 P.4 This is the content of the next theorem. then every element from W n.W. so ϕ(0) = ϕ(1) = 0. so it remains to check if this is the generalised derivative of u. Proof: [30.28 Note that the dimension d plays a role.

Ω .m (W0 (Ω)) ∼ W q. for a true subset Ω ⊂ R .Ω .2 (Ω) = H n (Ω) we write also W0 (Ω) = H0 (Ω). In 1 particular we use H −1 (Ω) := W 2.p. Assuming that C0 (Ω) is not dense we compute the orthogonal complement: 0 = (u.p (Ω) under the Sobolev norm.3. For n ≥ 1 however H0 (Ω) = n H (Ω).6 we see that H0 (Ω) = H 0 (Ω).31 n D(Ω) is dense in H0 (Ω).3. as is shown by Example 3.29. 0 n From Lemma 3. L2 . n. A non trivial example is the function e(ξ. 2 It is not continuous in (x.32 Let p = ∞ and 1 p + 1 q = 1. C ∞ (Ω) is dense in W n.3.3. ϕ)L2 + (Du. = Proof: [1. but not in H0 (Ω) (in terms of the trace operator in the next section: the trace on Γ is not zero).30 W0 (Ω) is the closure of C0 (Ω) in the norm n.p (Ω) as the closure of C ∞ (Ω) in the norm · n. In Corollary 3. y) = log | log(x2 + y 2 )| on B 1 (0. ϕ)L2 = (u − ∆u. consider H 1 (Ω). page 48] m For the Sobolev spaces with p = q = 2 we write H −m = (H0 ) .p (Ω).2 n analogy to W n. Unfortunately. ϕ)H 1 = (u. 2004 63 noted that the Sobolev’s inequality (3. ∞ So the orthogonal complement of C0 (Ω) consists of those u that satisfy u−∆u = 0 distributionally. m > 0. This implies that we might introduce W n. ϕ)L2 . . y) = (0. This 1 function is in H 1 (Ω).6. 0).3. Dϕ)L2 = (u.Version: September 13.x) . ϕ)L2 − (∆u. we have that C0 (Ω) is dense in d 2 ∞ L (Ω). the space C0 (Ω) is not dense ∞ in W n. For instance.−m (Ω). Example 3.−1 (Ω). the dual of H0 (Ω). then p. Theorem 3. We are interested in the dual spaces of the Sobolev spaces. with |ξ| = 1. We now give the following definition. according to Lemma 3. Luckily however. An example of this is f (x. 0).p ∞ Definition 3.3.3. · n. but it is not difficult to prove that f ∂f ∂f 2 2 ∂x L and ∂y L do exist.29 ∞ Remember that. First a definition.p.30) is sharp: there are functions in H 1 (Ω) (d = 2) that are not continuous.

64 P. . We also define the trace operator γ1 : γ1 u := ∂u = ∂n d γ0 i=1 ∂u ∂xi ni . xd ).3. Lemma 3. 1 H0 (Ω) is exactly the kernel of γ0 : 1 H0 (Ω) = {u ∈ H 1 (Ω) : γ0 u = 0}. . 5 If Ω is a bounded area and has a Lipschitz continuous boundary then one can show that the linear mapping γ0 : C ∞ (Ω) → L2 (Γ) is bounded in the sense that γ0 u L2 (Γ) ≤C u H 1 (Ω) . page 113]. the restriction of f to Γ. So one can extend the operator γ0 to a bounded linear operator γ0 : H 1 (Ω) → L2 (Γ). . t. . bd ]. .4 The Poincar´-Friedrichs Inequality.3. . e To prove the coercivity of a bilinear functional one can sometimes use the following lemma. . .31) Proof: It is sufficient to prove the statement for functions in D(Ω) as D(Ω) is 1 dense in H0 (Ω). (3. Hemker Trace operator For a function f ∈ C ∞ (Ω) we define the trace γ0 f as γ0 f = f |Γ i. d: xi u(x) = ai 5 For ∂u (x1 . the boundary of the domain Ω. 3. . xi−1 . We enclose Ω in a rectangle S: Ω ⊂ S = [a1 . . xi+1 . . dt ∂xi more on trace operators we refer to [1.W. b1 ] × · · · × [ad .e. .33 (Poincar´’s Lemma) e 1 If Ω ⊂ Rd is a bounded and open set then for all v ∈ H0 (Ω) Ω |v|2 dx ≤ C(Ω) Ω | v|dx. As u ∈ D(Ω) we have u ∈ D(S) and for every i = 1. . We extend u to S by setting u(x) = 0 whenever x ∈ S \ Ω.

. t. . . .Version: September 13. ∂xi So we get for every i = 1.)|2 dx. t. . . Let u ∈ C 2 (Ω) be a solution of the Poisson problem with homogeneous Dirichlet boundary conditions −∆u = f in Ω. t.35) − Γ ϕ( u · n) ds. . Corollary 3.5 Variational formulations for differential equations A Dirichlet problem Let Ω ⊂ Rd be an open bounded area with Lipschitz continuous boundary Γ. t. . . . . . . . . . n. by partial integration.31) is also known as the Poincar´-Friedrichs inequality. . .Ω is a norm over the space 1 H0 (Ω) equivalent to the norm · 1. .3. The inequality (3. 2004 so we get by the Cauchy-Schwarz-Lemma (3. 2. .Ω .)|2 dt ∂xi ≤ (bi − ai ) · Now integrate over S: b1 a1 bd ∂u (.)|2 dt ∂xi ··· ad |u(x)|2 dx b1 bd bi ai ≤ (bi − ai ) = (bi − ai )2 a1 ··· b1 ad bd | ∂u (.33) u = 0 on Γ. . . . .32) (3. . |u(x)|2 dx ≤ (bi − ai )2 |u(x)|2 dx ≤ C(Ω) | i u| 2 dx Ω Ω and so Ω Ω | u|2 dx. then.34 When the set Ω is bounded.3. . . .8): |u(x)|2 xi 65 ≤ ai 12 dt · xi ai bi ai | | ∂u (. the semi-norm | · |1.)|2 dx dt ∂xi a1 ··· ad | ∂u (. . e 3. for every ϕ ∈ C ∞ (Ω) Ω (3. ϕf dx = − = i Ω ϕ∆u dx = − iϕ Ω i u dx ϕ Ω i i i u dx (3.34) (3.

Now it is an immediate consequence of the generalised theorem of Lax-Milgram 3. u) = Ω | u|2 dx ≥ γ u 1.33 we get: e B(u.36) for which u 1 H0 (Ω) ≤ 1 f γ H −1 (Ω) . find a u ∈ S such that B(u.32).32) 1 2 hasn’t: for instance when u ∈ H0 (Ω) but u ∈ C0 (Ω).18 that for every 1 f ∈ H −1 (Ω) there exists a unique solution u ∈ H0 (Ω) to (3. More general problems Let u ∈ C 2 (Ω) be a solution to −∆u + cu = f in Ω. For all ϕ ∈ D(Ω) we get ϕf dx = Ω i Ω iϕ iu P. we can find this solution by solving (3. Hemker dx.32) has a solution.W.32) is also a solution of (3. Hence we will call the solution u ∈ H0 (Ω) the weak solution.32): find a u with u = 0 on Γ such that iϕ Ω iu dx = Ω ∞ ϕf dx.36) is of the following form: given the bilinear form B : S ×V → R defined by B(u. and from Poincar´’s Lemma 3. (3. ϕ) = i Ω iϕ iu dx and the linear form l : V → R.Ω . It is clear that there will be cases where (3.39) . 1 1 which tells us B : H0 (Ω) × H0 (Ω) → R is coercive.36). defined by l(ϕ) = Ω ϕf dx. This leads to the following formulation of a problem similar to (3. Obviously we have 1 generalised the meaning of (3. un + βu = h on Γ.36). ϕ) = l(ϕ) for all ϕ ∈ V.36) we see that B : H0 (Ω) × H0 (Ω) → R is a symmetrical bilinear 1 form defined on H0 (Ω).36) has a solution but (3. Equation (3.66 where n is the outward unit normal. (3.3. (3. ∀ϕ ∈ C0 (Ω). If (3.38) (3.36) We see that a solution of (3.37) 1 1 In our case (3.3.

32) this 1 functional is defined on X = H0 (Ω). B(ϕ. ϕ) ≥ 0 and B(ϕ. if the solution to (3. 1. Γ |ϕ|2 ds ≥ C |ϕ|2 + | ϕ|2 = C ϕ for some C > 0.32) and (3. for some C > 0. For problem (3. Symmetric problems and minimisation of quadratic functionals In the equations (3. β ≥ 0. for problem (3. From the Lax-Milgram Theorem we conclude that there exists one and only one solution in H 1 (Ω).38) on X = H 1 (Ω). and also |B(ϕ. ϕ) = Ω iϕ iu dx + Ω c ϕ u dx + Γ β ϕ u ds and l(ϕ) = Ω ϕ f dx + Γ ϕ h ds.38).Ω . where B(u. ϕ) can be considered as a quadratic form.39) exists. ∀ϕ ∈ V. v) is a symmetric. the functional J(ϕ) = B(ϕ. ϕ) = l(ϕ). coercive bilinear form. ∀ϕ ∈ H 1 (Ω). . ϕ)| ≤ C |ϕ|2 + | ϕ|2 = C ϕ ∀ϕ ∈ H 1 (Ω). So. Γ = Γ This leads to the problem: find u ∈ S such that B(u.Version: September 13. The bilinear operator B : H 1 (Ω) × H 1 (Ω) → R is bounded and symmetric. except when c = 0 and β = 0: |B(ϕ. 2004 then for every ϕ ∈ C ∞ (Ω): ϕf dx = Ω 67 − Ω ∆u ϕ dx + Ω iϕ iu iu iu Ω cϕ u dx cϕ u dx − Γ = = Ω dx + Ω ϕ Γ iu ni dx [ [ Ω iϕ iϕ + c ϕu ] dx − + c ϕu ] dx + ϕ(h − βu) ds βϕu ds − ϕh ds. we can find it by solving the weak problem.Ω . ϕ)| = = Ω Ω | ϕ|2 dx + c Ω |ϕ|2 dx + β Γ |ϕ|2 ds | ϕ|2 dx + c Ω |ϕ|2 dx + β 1. and it is coercive if c ≥ 0.38) with boundary condition (3. where B(u. ϕ) = 0 if and only if ϕ = 0.

ϕ) is not symmetric. on Γ. This again can be written in the form B(u. but in this case the form B(u. due to the first order derivative. (3. To prove that the conditions of Lax-Milgram are satisfied is a bit more hard to do.68 P. 2 Obviously. u + ϕ) − l(u + ϕ) 2 1 1 B(u.40) [ iϕ iu + ϕ bj ju + ϕ c u] dx − Γ ϕ(h − βu − αus )ds. . u) − l(u) + B(u. u) − l(u). ϕ) = l(ϕ) for all ϕ ∈ X as: find u ∈ X which minimises the quadratic functional J(u) = Proof: J(u + ϕ) = = 1 B(u + ϕ. ϕ).W. ∀ϕ ∈ V. ϕ) = l(ϕ) we see that 1 J(u + ϕ) = J(u) + B(ϕ. Asymmetric problems A quite different situation exists for problems with first derivatives and/or more general boundary values: −∆u + bj j u + cu = f un + αus + βu = h Then for ϕ ∈ C ∞ (Ω) ϕf dx = Ω Ω on Ω.3. As we have seen in Theorem 3.3. Hemker Theorem 3. ϕ) ≥ J(u).1 we can get rid of the first order terms by a transformation of the variables. We will see an example of this in the chapter concerning the convection-diffusion equation. ϕ) − l(ϕ) + B(ϕ. ϕ) is a quadratic form. but for numerical purposes the transformation is of no use. there is one and only one u ∈ X that minimises J(·).35 Under the circumstances that B(ϕ. 2 For a u that satisfies B(u. we can also characterise the solution of the problem: find u ∈ X such that B(u.5). ϕ) = l(ϕ).2. This helps us to prove existence and uniqueness (as in Section 3. 2 2 1 B(u.

then. uh ) = 0. vh − u) ≤ eh B = B(eh . ·) is a symmetric and coercive bilinear form and if S = V then we can show that this type of discretisation gives an approximate solution if Sh = Vh ⊂ S = V .4 The technique of the finite element method In this section we treat the practical aspects of the finite element method. uh − u). ∀ ϕh ∈ Vh . with dim(Sh ) = dim(Vh ). in the norm .42) is in Sh = Vh the optimal approximation of u.41) is the minimising function of a quadratic functional J(u) over S. We also may replace B(·. ϕh ) = l(ϕh ). B induced by B. The solution to (3. (3. the solution to (3. eh ) = B(eh . uh − u) = B(eh . ·)B = B(·.42) where Sh and Vh are finite dimensional subspaces of S and V . ·) with an approximation Bh (·. It is a Galerkin method applied to the variational problem: find u ∈ S such that B(u. (3. If B(·. Theorem 3. Now because B(u. We give a simple error estimate and we discuss the choice of basic functions (in one or two dimensions) and the construction of the discrete equations for an example problem. vh ) = f (vh ) for all vh ∈ V . . The techniques explained here for the one and two-dimensional case can readily be generalised to three space dimensions. vh ) = f (vh ) for all vh ∈ Vh . the solution of (3. The discrete function uh minimises the same functional over the subspace. vh ) = 0 for all vh ∈ Vh and because uh ∈ Sh = Vh we get B(eh . we have B(uh − u. We describe this in the following theorem. 2004 69 3. ∀ ϕ ∈ V. 3.41): eh Proof: First. and B(uh . u − vh B ∀vh ∈ Vh .1 Let (·. Usually we have a conforming finite element discretisation for which the discrete system of equations read: find uh ∈ Sh such that B(uh . vh ) = B(eh . ·) and l(·) with an approximation lh (·).4.1 The principles The basic principle of the finite element method is the following. The consequences of this are discussed in Section 3. So B(eh .5. ϕ) = l(ϕ).41) in which S and V are (infinitely dimensional) vector spaces. This implies that an optimal solution is found in the norm induced by the problem (the energy norm). We will also discuss the use of isoparametric elements for the case of curved boundaries.4. eh 2 B B ≤ inf vh ∈Sh u − vh B.Version: September 13. ·) be the inner product induced by the bilinear form B and let eh = uh − u be the error in the approximation.

We want to investigate the approximation in other norms (Lp and Sobolev norms) and for more general problems. Also dp ∈ L2 (Ω). 3. for each partition ΩN .3 Pk (ΩN ) ⊂ H 1 (Ω).4. (2) We define Pk (ΩN ) as the space of continuous. . . dp Take a polynomial p ∈ Pk (ΩN ). f |ei ∈ Pk (ei ). so that t = 0 corresponds with x = xj−1 and t = 1 with x = xj . Definition 3. To this purpose we will first consider some specific approximation spaces Vh and in the next chapter discuss in more detail the error estimates that are valid when we use these approximations. 2. Lemma 3. Define the distribution dx ∂p dp by dp(x) = ∂x (x). xj ] j = 1. . The case k = 1. Also Pk (Ω) ⊂ Pk (ΩN ).70 This gives eh B P. Further we define hj = xj − xj−1 and h = max{hj }.4. 3. .3. Hemker ≤ inf vh ∈Vh u − vh B. so p ∈ H 1 (Ω). < xN = b. N }. . the second is obvious. piecewise polynomial functions on Ω: Pk (ΩN ) = {f |f ∈ C(Ω).26 (and using the continuity of p) that dp is the distributional derivative of p. N.2 Piecewise Lagrange Interpolation in one dimension We divide an interval Ω = [a. A polynomial in Pk (ei ) needs k + 1 (independent) values in order to be defined correctly and uniquely.W. then we can prove in a way similar to Example 3. then Pk (Ω ) is the set of all polynomials of degree less or equal k on Ω . i = 1. For this purpose we first define on the subinterval ei a new variable t = (x − xj−1 )/hj . . the meshwidth of the mesh ΩN . Now we want to determine the dimension and a basis for the space Pk (ΩN ) for k = 1. . . .4. x = xi and dx (xi ) = 0. . then p ∈ L2 (Ω). . We denote this partition by ΩN : a = x0 < x1 < . b] ⊂ R in N (not necessarily equal) subintervals ej = [xj−1 . Proof: We prove the first.2 (1) Let Ω be a (connected) subinterval of Ω.

It turns out that a basis function ψi vanishes everywhere on Ω except on the two subintervals to which xi belongs. 3/2.1: Hat function ψj . We now 2 choose the basis functions {ψi } ⊂ P2 (ΩN ) as ψi (xj ) = δi. The number of basis functions is 2N + 1.Version: September 13. 1/2. N. The functions are not completely determined by their values on the points in the partition ΩN . .j i. We need one additional value in each interval. For each subinterval ej there are two non-zero basis-functions: ψj−1 (x) = 1 − (x − xj−1 )/hj = (1 − t). 1.43) These are the so called standard hat functions. . (3. . 2 i integer. (2N − 1)/2. 1 ψj− 2 (x) = ψj (x) = In figure 3. In figure 3. j = 0. . On each segment ej there are at most three basis functions unequal to zero ψj−1 (x) = (1 − t)(1 − 2t). j = 0. . −t(1 − 2t).2 the functions ψj and ψj− 1 are shown. The case k = 2. are similar to ψj (with the exception for the two functions at the . for instance xj− 1 = (xj−1 + xj )/2. Again ψi = 0 on at most two segments ei . 2004 71 An element from P1 (ΩN ) is a piecewise linear function.1 the function ψi is given. All basis-functions ψi . N A natural choice is the set {ψj }j=1 where ψj (xi ) = δij i. . N. Such a function is determined by its values at the points xi . An element from P2 (ΩN ) is a piecewise quadratic function. We take in each ej an interior point. . namely those to which xi belongs. So there are N + 1 basis functions. . ψj (x) = (x − xj−1 )/hj = t. 4t(1 − t). the midpoint of the interval. a x i b Figure 3.

Hemker x x j−1 j x j+1 x 0 x 1 x 2 x e j N Figure 3. . are translated versions of ψj− 2 . 1. On each interval ej we now have four non-zero functions: ψj−1 (x) = 1 − 2 (3t − 1)(3t − 2)(t − 1). We get the space P3 (ΩN ) of piecewise cubic functions. N. i integer. . These functions are shown in Figure 3. . 1/3.72 P. Now we have two extra degrees of freedom for each interval ej .j i. 2 and the 3 basis {ψi } is defined by ψi (xj ) = δi. 2 The case k = 3. 1 2 (3t ψj− 2 (x) = 3 1 ψj− 2 (x) = − 2)t(t − 1). We can choose xj+k/3−1 = xj−1 + k hj for k = 1.3. boundary). j = 0. This can be treated completely analogous to the case k = 2. Figure 3. Obviously. 4/3. ψj (x) = − 1)(3t − 2)t.2: Second order Lagrange.3: Third order Lagrange. . . Again the basis functions corresponding to the interior points have their support in a single interval ej .W. 9 2 (3t 9 − 2 (3t − 1)t(t − 1). 2/3. the dimension of the approximation space P3 (ΩN ) is 3N + 1. Note that the support of ψj− 1 is completely contained in ej . All 2 1 functions ψi− 1 .

To this set we add one quadratic basis-function. One possibility is to use a hierarchical basis. We consider the following problem −(a2 ux )x + a1 ux + a0 u = s in Ω.4. (3. and we take our weighting functions to be the same space. To apply the finite element method we first have to formulate the problem in its the weak 1 form. Similarly the basis for k = 3 can be formed by adding one cubic basis function per interval to the (hierarchical) basis that was constructed for k = 2. This means that we start with the basis for the lower dimensional approximating space (smaller k or smaller N ) and that we extend this basis to a basis of the current approximating space. u=0 on Γ. v). The integration interval can be split into the subintervals ej . for each interval ej . k = 1. ek j k ek . v) + (a0 u. We get cj { a2 ψj ψi + a1 ψj ψi + a0 ψj ψi dx} = k sψi dx. a1 . Ω one equation for every weighting function ψi .Version: September 13. so Vh = Sh . 2. With Pk (ΩN ) = Span {ψi } we can write uh (x) = j cj ψj (x). Γ = ∂Ω and a2 . ∀ v ∈ H0 (Ω). 3.3 The construction of the discrete equations As an example of a finite element discretisation we discuss the discretisation of a two-point boundary-value problem (TPBVP). 2004 73 Remark: For the same spaces Pk (ΩN ). We can take for instance ψj−1/2 . For instance.44) For our finite element discrete approximation we choose 1 Sh = {u ∈ Pk (ΩN ) | u(a) = u(b) = 0} ⊂ H0 (Ω). where Ω = [a. v) = (s. b]. vx ) + (a1 ux . a0 and s are functions on Ω. so we seek an approximation for the function u ∈ H0 (Ω) that satisfies 1 (a2 ux . 3. we make such a basis for k = 2 by starting with the N + 1 basis functions already used as basis for the case k = 1. Here the prime denotes differentiation with respect to x. we can also choose different basis functions. This yields the discrete system of kN + 1 equations cj j Ω a2 ψj ψi + a1 ψj ψi + a0 ψj ψi dx = sψi dx.

k.i.k. with mk. but also for two and three-dimensional problems.i. This technique is practical not only for one-dimensional.i. These contributions vanish if ek is not a subset of the support of both ψi and ψj .i. = ek = ek mk. sψi dx.i. The contribution of ek to (mij ) or (si ) is called the elementary stiffness matrix or the elementary load vector corresponding to this interval. For simplicity we take the coefficients a2 . This means that the matrix and vector elements are not computed one by one. a1 and a0 constant.k.k.W. .j m0.74 P.j + a0 m0.i.k.45) the coefficients cj are to be solved.j = a2 m2.j + a1 m1.45) in which mij si = k ek a2 ψj ψi + a1 ψj ψi + ψj ψi dx. ψj ψi dx. = k ek From equation (3. Hemker where we notice that the contributions from most of the subintervals vanish Thus the discrete equations are a linear system mij cj = si . to obtain the discrete solution cj ψj (x). Define m2.j then the element matrix entries are mij = k = ek ψj ψi dx. In practice the linear system is built up by scanning every element in the partition and adding the elementary stiffness matrix and elementary load-vector to the full stiffness matrix or load-vector.j .j . It is called the assembly of the stiffness matrix and load vector.i. uh (x) = j The matrix (mij ) is called the stiffness matrix and the vector (si ) the load vector. ψj ψi dx.k. Now we show explicitly how such a matrix/vector is drawn up for a twopoint boundary-value problem.i. j (3. (mij ) is composed of contributions from the separate intervals ek .j m1.

m )ψi (yk. all other elements vanish. 2004 Example 3. · · · . see a next section.m . Or rather.4 75 If we take piecewise linear basis-functions as in (3. .k+ m −1 . . yk.m ) m=0 aware of the boundaries however.i.m ) = δi. (k. l as the nodes in ek : xk−1 = yk.43). we get mk.4.l = xk . m = 0.i. ψk−1 = − hk and ψk = hk . . (k − 1.m := xk+ m −1 .j = a2 hk 1 −1 −1 1 + a1 1 −2 1 −2 1 2 1 2 + a 0 hk 1 3 1 6 1 6 1 3 .1 < · · · < yk. Replacing the integral by a summation causes a new error.i.Version: September 13. N and i = ni + m j = nj + l j − 1 where ni . k) and (k.m )ψj (yk.j exactly. In most cases it is necessary to compute the integral using a quadrature rule: b a l f (x) dx ≈ wm f (xm ). l The elementary matrix entry becomes (k = 0. k). l) l mi l − 1. for which ψk−1 = 1 − t. · · · . .46) Note that for convenience we have given only the essential part of the matrix: the elements (k − 1. k − 1). (3. so that the accuracy of the quadrature may influence the accuracy of the discretisation. a1 and a0 are not (piecewise) constant. Assume that the approximation uses polynomials of degree l (so Vh = Pl (ΩN )) and take yk. 1 1 ψk = t. Only in special cases we can compute the integrals mk.j 6 Be ≈ wm a2 (yk. Use of quadrature rules The computation of the matrix entries is more laborious when the coefficients a2 . An interesting quadrature in combination with Lagrangian interpolation is the method that uses the same nodal points for the integration.5. · · · . The requirements for such a quadrature rule are discussed in section 3. mj = 0. l so that ψi (yk. mi . m=0 where wm is the weight for quadrature node xm . nj = 0. 6 The elementary stiffness matrices for higher order piecewise polynomials can be computed in a similar way. We usually want to use quadrature rules that preserve the order of accuracy of the discretisation method. N .0 < yk. k − 1). . mk.

m )ψj (yk. Using the quadrature also for the elementary load vector. w0 = w2 = 6 .m )ψi (yk.j ≈ a2 (xk−1 ) + a2 (xk ) 2hk + 1 2 1 −1 −1 1 + hk 2 a0 (xk−1 ) 0 0 a0 (xk ) (3. which is different from formula (3. We obtain   14 −16 2 a2. Example 3.47) + a1 (yk.W.m )ψj (yk. We observe that the zero order term contribution is a diagonal matrix. xj ] not equidistant.4.48) . For simplicity we choose a2 (x) piecewise constant on the partitioning ΩN . Example 3. Hemker + a1 (yk.76 P.m ) + a0 (ym )ψj (yk.mi )ψj (yni . To obtain the most accurate quadrature (and assuming that the endpoints of the interval are be nodal points) the nodes should be placed as for Lobatto quadrature.m ) +a1 (yk.k  −16 32 −16  mk.m )δj.5 In case of piecewise linear approximation (l = 1) and the trapezoidal rule (w0 = w1 = 1 ).k+m/l−1 δi.m )δi.k+m/l−1 l = m=0 wm a2 (yk.i.m )ψi (yk.i.m )ψi (yk.m ) l = m=0 wm a2 (yk.m )ψj (yk. may determine the nodal points for the Lagrange interpolation. we obtain sk. These points.i ≈ hk 2 s(xk−1 ) s(xk ) . −a1 (xk−1 ) a1 (xk−1 ) −a1 (xk ) a1 (xk ) Remark: It is known that for an accurate quadrature we better take the nodes within each element [xj−1 .6 As a last example.j wmi .j ≈ 6hk 2 −16 14 +   −3a1 (xk−1 ) 4a1 (xk−1 ) −a1 (xk−1 ) 1 1 1 0 4a1 (xk− 2 )  −4a1 (xk− 2 ) 6 a1 (xk ) −4a1 (xk ) 3a1 (xk ) (3. 2 w1 = 3 ).4.mi ) wmi + a0 (xi )δi.46) for constant coefficients.m )ψj (yk. we get 2 mk. we give the construction of the element matrix based on 1 piecewise quadratic functions and the Simpson quadrature (l = 2.m ) (3.m )ψi (yk.k+m/l−1 + a0 (yk. then.49) .

45) is not a topic we will discuss here. Static condensation. 2004   a (x ) 0 0 hk  0 k−1 . Again the contribution of the zero-order term is a diagonal matrix.k mk. The elementary load-vector follows after direct computation.k k  0 4 0  . using the same Simpson quadrature   s(xk−1 ) h 1 4s(xk− 2 )  .k  −4 0 4 + 6 −16 14 1 −4 3   1 0 0 a h (3.i.i ≈ (3. sk.j ≈ 6hk  −16 2 For our two-point boundary-value problem and piecewise second and higherorder functions the shape of the complete matrix and right-hand vector is given in Figure 3.51) 6 s(xk ) constant this formula simplifies to    −16 2 −3 4 −1 a 32 −16  + 1. 0 4a0 (xk− 1 ) 0 2 6 0 0 a0 (xk ) 77 + For a1 and a0 also piecewise  14 a2.4. See for instance [6]. We however make some remarks. lumping The solution of the general matrix system (3. 6 0 0 1 Figure 3.50) + 0.4: Matrix and right-hand-side constructed by means of C 0 piecewise cubic polynomials. .Version: September 13.

The use of Lagrange interpolation has a nice advantage. The elimination of these unknowns is a strictly local process that can be done elementwise: it causes no changes in the contributions of other elements to the stiffness matrix and the load vector.or 3-dimensional problems. We can reduce the set of equations in figure 3. Let a linear system be partitioned as A11 A21 A12 A22 x1 x2 = b1 b2 and let the second set of variables and equations be available for elimination.4 to a tridiagonal form by so-called static condensation. Hemker First notice. With this we mean the elimination of the unknowns belonging to the internal nodes xi . x 1 x 3 x 0 x 2 x 4 Figure 3. The technique in which these terms are placed on the main diagonal is called lumping 7 . that due to the relatively small support of the basis functions. we have a linear system that is sparse: only a fairly limited amount of the matrix elements is non-zero. for each basis function ψi (x) that has its support completely in a single element ek .W. then after elimination we get the system (A11 − A12 A−1 A21 )x1 = b1 − A12 A−1 b2 . We have seen that the zero order (not differentiated) terms consist only of diagonal elements if we use a quadrature. for which the basis functions ψi have a support that is completely contained in a single element ek .5: Matrix and right-hand side after lumping. .78 P. 22 22 so there remains just a number of additional contributions in the matrix and right-hand-side.5. When all interior variables are eliminated in this way we get the tridiagonal system of equations shown in figure 3. This technique is interesting 7 Originally the off-diagonal elements where added to the main diagonal without any explanation. The same technique can be applied for 2.

∀ϕi . ϕi ). then a semi-discretisation with Sh = Vh = Span {ϕi } yields the following set of equations: find ϕh (x.Version: September 13.52) (3. First we handle inhomogeneous Dirichlet boundary conditions. ·). By using the technique “lumping” we can recast it to a diagonal matrix (ϕj . v) + (a0 u. In this section we treat also inhomogeneous and more general boundary conditions. u = g on Γ. dt j The matrix (ϕj . As an example we may consider a parabolic equation of the form ϕt = Lϕ. v). ϕi ) = (Lϕh . ϕi ). ϕi ) = wi δij so that we obtain an explicit set of ordinary differential equations for the coefficients {ci (t)}: dci (t) 1 = (Lϕh (t. v) := (a2 ux . ϕi ) is called the mass matrix. ϕi ). v) = (s. ·). ϕi ) = (Lϕh (t. For an initial-boundary-value problem (IBVP). (3. where L is a differential operator in the space variables (for instance Lϕ = pϕxx + qϕx + rϕ + s). t) = j cj (t)ϕj (x) such that ( ∂ ϕh . The part a0 (x)u(x) = s(x) of the equation is discretised pointwise. ∂t So we have to compute the set {cj (t)} for which dcj (t) (ϕj . we can use lumping together with the method of semi-discretisation to reduce the IBVP to an explicit set of ordinary differential equations. vx ) + (a1 ux . when there is time dependence in the problem. ∀v ∈ H0 (Ω).53) The weak form of this problem can be written as: find a u ∈ H 1 (Ω) such that u = g on Γ and 1 B(u. dt wi Treatment of boundary conditions Until now we have limited ourselves to problems with homogeneous Dirichlet boundary conditions. 2004 for two reasons: 79 1. b] and the equation Lu := −(a2 ux )x + a1 ux + a0 u = s on Ω. 2. ∀ϕi . . Consider Ω = [a. ∀ i. This can be preferable when a0 (x) or s(x) is strongly varying or dominating.

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For theoretical purposes, this problem is easily reduced to the problem with homogeneous boundary conditions by choosing a function g ∈ H 1 (Ω) (the extension of the g defined on Γ) that satisfies the boundary conditions 8 . Defining 1 the function w := u − g we have w ∈ H0 (Ω) and w satisfies the equation Lw = s − Lg, or, Thus the problem is reduced to the problem with homogeneous boundary conditions. This gives existence and uniqueness. In practice it is also easy to implement non-homogeneous Dirichlet boundary conditions. Because the value of the function u at the boundary points is given we have to compute less unknowns. This means that there are no discrete equations needed for the boundary points. We can handle Dirichlet boundary conditions in two ways. To show this, we first assume the equations are constructed elementwise as shown in the previous section (figure 3.4). The two approaches are as follows. I) Replace the equations for the boundary points by equations that force the boundary conditions. For example, in the stiffness matrix put 1 on the main diagonal and 0 at the other entries of this row, and put the boundary value in the right-hand-side. This forces the boundary value to be part of the solution. In this way we get a linear system of equations of the original form, of which the size corresponds with the total number of nodes. II) In the other approach (see Figure 3.6) we eliminate the known “unknowns” on the boundary. The set of equations is reduced, but more important is that the right-hand-side has to be adjusted at a number of places. Now the size of the system corresponds with the interior nodes. In practice, this is less convenient, in particular if we have a combination of Dirichlet and Neumann conditions. In this case, however, a symmetric operator B(u, v) guarantees a symmetric stiffness matrix. If we consider more general boundary conditions than Dirichlet boundary conditions, we see that the whole procedure can be carried out in the same manner as before. In the discrete operator and right-hand-side additional terms will appear due to the boundary condition. See for instance the B(u, ϕ) and the l(ϕ) of section 3.3.5. Every boundary integral gives a contribution to the elementary matrix/right-hand-side at each boundary point. In practice we first add all contributions from the interior elements to the stiffness-matrix and later the contributions from the boundary segments are added. Also these boundary integrals can be computed by quadrature.
8 That we can actually find such a function puts an extra condition on the boundary condition and on the smoothness of the boundary Γ. With γ0 the trace operator we have the requirement that γ0 u = γ0 g.

B(w, v) = (s, v) − B(g, v).

Version: September 13, 2004
A 0 0 0 u 0

81

a a a 3 1 2

...−a u 1 0 ...−a u 2 0 ...−a u 3 0

...−a u 1 3 ...−a u 2 3 ...−a u 3 3 u ...

3

Figure 3.6: Treatment of boundary conditions.

3.4.4

Other piecewise polynomial approximations in one dimension

In every finite element method we use an approximation of the solution of the form cj ϕi (x), uh (x) =
j

where the use of continuous, piecewise polynomial basis functions ϕi (x) with a small support is preferred. Not only Lagrange interpolation but also Hermite interpolation can be used. Here the functions ϕi (x) are not only determined by their function values at the nodes, but also by the values of the derivatives. The approximating basis functions thus may have larger smoothness, which gives us the opportunity to solve problems which contain higher order derivatives. We k may find solutions in H0 (Ω) for k > 1. For instance it allows the solution of the homogeneous Dirichlet problem for the biharmonic operator ∆2 : ∆2 u = f u = ∂n u = 0 in on Ω, Γ.

A polynomial of degree k needs k + 1 (independent) values on an interval to be defined correctly. Definition 3.4.7 Let f be a function in C m−1 ([a, b]), then the Hermite interpolate of f on a partition ΩN is the function p ∈ P2m−1 (ΩN ) ∩ C m−1 ([a, b]) for which, for all xi ∈ ΩN and k = 0, 1, . . . , m − 1, D k p(xi ) = D k f (xi ). Note that the Hermitian interpolation of a polynomial q of degree 2m − 1 is the polynomial itself. Moreover it is not just an element of C m−1 ([a, b]), but even from C 2m−1 ([a, b]).

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A usual Hermite-basis for a finite element method in one space dimension is that of the cubic Hermite splines (m=2): on every interval [xi , xi+1 ] the P3 (∆)function is determined by four parameters f (xi ), f (xi ), f (xi+1 ) and f (xi+1 ). For every element ej = [xj , xj+1 ] there are four non-zero basis-functions: ϕ0,j , ϕ1,j , ϕ0,j+1 and ϕ1,j+1 such that D k ϕl,j (xi ) = δkl δij . Let t = (x − xj )/(xj+1 − xj ) then the form of these functions is on element ej ϕ0,j (t) ϕ0,j+1 (t) ϕ1,j (t) ϕ1,j+1 (t) = = = = (t − 1)2 (2t + 1), t2 (3 − 2t), t(t − 1)2 (xj+1 − xj ), t2 (t − 1)(xj+1 − xj ).

Extending these functions to the entire interval [a, b] such that D k ϕl,j (xi ) = δkl δij we get functions ϕj,k (x) ∈ H 2 ([a, b]), because the derivatives are continuous. Except for the functions that are associated with the boundary points, all functions ϕl,j have a support that extends over two subintervals ek . The smoothness of the approximating function uh (x) implies that it can be used for solving fourth order elliptic problems like auxxxx − buxx + cu = f, u(a) = u (a) = u(b) = u (b) = 0,
2 of which the corresponding variational formulation is as follows: find u ∈ H0 (Ω) such that a uxx ϕxx + b ux ϕx + cu ϕ dx = f ϕ dx, Ω 2 for all ϕ ∈ H0 (Ω). This problem can not be solved by Lagrangian interpolation because the space spanned by the Lagrange interpolation polynomials {ϕi } is not in H 2 (Ω). The discrete set of equations for the two point boundary value problem discretised with Hermite interpolation polynomials has a block-tridiagonal form (see Figure 3.7).

(3.54)

Exercise 3.4.8 Consider the fourth order problem (Ω = [0, 1]) uxxxx − 2uxx + u = 1, u(0) = u(1) = ux (0) = ux (1) = 0. Prove that the analytic solution is u(x) = 1 + ex (c1 + c2 x) + e−x (c3 + c4 x), (2e − 1)(e2 − 2e − 1) c1 = − , e4 − 6e2 + 1 (e − 1)(e2 − 2e − 1) c2 = , e4 − 6e2 + 1 c3 = −1 − c1 , c4 = c 3 − c 1 − c 2 .

Make a uniform discretisation with h = 1/N .4. The most important which remain are shown in Figure 3. Such functions have a single degree of freedom for each interval and they have a maximum smoothness for a polynomial of degree m. 3. . a circle that we also take the value of the derivative. b])-functions.7: Block-tridiagonal matrix. In other words: the use of splines causes a non-sparse system of linear equations (although in the one-dimensional case it will be a band system). 20. 2004 X X X X X X X X X X X X X X X X X X X X 83 X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X X Figure 3. the support of these basic spline stretches over many adjacent elements.5 Approximation in two dimensions In the introduction to discretisation methods we have seen some possible representations of a two-dimensional function. 40. etc. in general. These are Pm (∆)∩C m−1 ([a.8. A dot indicates that at this point we take the function value. compute and solve the linear system. because it means that many non-zero elements will appear in each row of the stiffness matrix. two circles the value of two derivatives. Not all of them are useful for the solution of second order elliptic problems by a (conforming) finite element method. This gives discrete approximations for u(xi ) and u (xi ).Version: September 13. However. Other piecewise polynomials that might be used are for instance the splines. Compute max |u(xi ) − uh (xi )| i and max |u (xi ) − uh (xi )|. i for N = 10. Compare the order of convergence you observe with the order you expected. Application for a finite element method is therefore unusual.

r = 0 ⇒ x = 0 and s = 0 ⇒ y = 0. Φ5 (x.55) . t) = 4 r s. Among these are the piecewise Lagrange interpolation polynomials on a triangulation. Which give the three boundaries of the triangle.9 we find basis functions for a P2 (∆) Lagrange approximation by Φ1 (x. (1. Φ6 (x. 1 2x (x − 2 ). Φ3 (r. 1)}. (0. t) defined by r = x. Φ5 (r. y) = Φ3 (x. 9 Then we get Φ1 (r. 9 So: (3. t) = r (2r − 1). Φ2 (r. 2). 1 2y (y − 2 ). (1. t = 0 ⇒ x + y = 1. s. s. y) = 1 2 (x + y − 1) (x + y − 2 ). s = y and t = 1 − x − y. s. p(x. t) = s (2s − 1). s. Example 3. t) = 4 r t. (0. 0).9 On the standard triangle shown in figure 3.4. y) = −4y (x + y − 1). 0). Φ6 (r. 0). t) = 4 s t. y) = Φ4 (x. (2. Φ4 (r. s. 1). t) = t (2t − 1). we may use barycentric coordinates (r. y) = |α|≤2 This is only possible for the set of values α = (α1 . To express the symmetry in this formulas more clearly. Notice that the basis-functions defined by ϕi ∈ Pk (ΩN ) (functions with |α| ≤ k) and ϕi (xj ) = δij are indeed continuous. y) = −4x (x + y − 1). s.W. That the dimension of P2 (∆) is indeed 6 can be easily seen because any element is of the form a α xα 1 y α 2 . y) = Φ2 (x. s. α2 ) ∈ {(0. 4x y. Hemker Figure 3.84 P.8: Some representations of a two-dimensional function.

If we want to find a piecewise polynomial in C 1 (Ω).Version: September 13. but are not in C 1 (Ω). For a parallelepiped one usually takes polynomials of the form Pk (x) · Pk (y) (so the tensor product of the two spaces) and for the nodes one takes the Cartesian product of the one-dimensional partitions. Having four degrees of freedom.0) Figure 3. If. a number of nodes is distributed in a regular way we will not be able to construct exactly all k-th order polynomials. on triangles. 71].9: Lagrange for a triangle. Example 3. A bilinear basis function is of the form a + bx + cy + dxy. One of the more simple ones is a P5 (Ω)-function which has 21 degrees of freedom for each triangle (the Argyris triangle.4. or. These functions are also used for isoparametrical elements. then we have to use a relatively intricate construction. on a rectangle or a parallelepiped.0) (1. p. The number of degrees of freedom for a general k-th order polynomial in 2 or 3 dimensions is exactly the number of points that can be distributed nicely over a triangle or tetrahedron. Note that in two dimensions. such a bilinear function is completely determined by the function values at the vertices of the rectangle. The first form shows clearly that such a function has four degrees of freedom on each rectangle and the second form shows that the space of bilinear functions is the product of the two spaces of linear functions. the piecewise Hermite interpolation polynomials are continuous.10).1) x (0. cf [4. 2004 y 85 (0.10 We consider the bilinear interpolation on a rectangle. which we shall discuss in the following section. see Figure 3. Note that the function u along a boundary is a 5th order function determined by its function value and first and second order derivatives at the vertices and ∂u the value of ∂n (n is the outward unit normal) at the edges midpoints. The construction of the discrete equations and the treatment of the boundary . (a1 + a2 x)(b1 + b2 y).

y)|(x. . the solution of a problem on polygonal areas can be performed in a relatively simple way. .5 and Φi the functions defined in (3. and basis functions can be . On the isoparametric element we now have a parametrisation in r. .86 u u ux uy u xx u xy u yy u n P. Examples of this are: for k = 1: the vertices of a triangle. k = 2: the vertices and the midpoints of the edges. y)T = i=1 zi Φi (r. Then v is called a k-unisolvent set if for every sequence of real numbers (α1 . then we can eliminate the corresponding variables by static condensation. z6 } be a 2-unisolvent set in R2 . z2 . .55). t). However when there is a curved boundary we can approximate it by means of isoparametric elements. s. Examples for k > 2 are easily found.11 Let v = {z1 .4. Hemker u un Figure 3. s and t are the barycentric coordinates as introduced in Section 3. s. When basis functions φj (x) have a support that is completely contained in a single element.4. To handle the boundary conditions we have to compute boundary integrals. where r. An isoparametric element of degree k = 2 is defined as follows.10: The Argyris triangle. s. To define these elements we first introduce the following Definition 3. Nk . . . . . . zNk } be a set of Nk points in R2 . . i = 1. with r + s + t = 1. .6 Isoparametric elements By triangulation of the domain. Let v = {z1 . conditions is in principle similar to the one-dimensional case: the matrix and the right-hand-side will be build up elementwise. r + s + t = 1}. t. . 0 ≤ r. When computing the elementary matrices we again use a quadrature and also the combination of the elementary basis-functions for Lagrange interpolation and an associated quadrature can lead to lumping. 3. t ≤ 1. . . . αNk ) there is precisely one polynomial of degree ≤ k such that Pk (zi ) = αi .4.W. The matching isoparametric element is 6 I∆ = {(x. .

In the following theorem we show that the discrete solution obtained in this way is “quasi-optimal”. This means that. but also to the associated discrete problems. which is bounded by the right-hand-side of the equation. This will give us estimates in the Sobolev norms .3. t). 3. y) respectively) are both parametrised by the same type of functions. preceded by a necessary discussion of the formalism of the finite element method. It gives the uniqueness of the solution to the discrete equation and it gives a first estimate of the error.18 can be applied not only to continuous problems. We have a more general case when we don’t have such subspaces or when the operators in the variational equation are replaced by approximations (for instance by quadrature).5 Error estimates for the finite element method In this section we derive error estimates for the finite element method. We also discuss pointwise convergence and superconvergence. The dependent and independent variables (u and (x. This is the reason to call these elements isoparametric elements. m. We give also error estimates for this case.1 The discrete version of the Generalised Lax-Milgram In Section 3. We see that with k-th order isoparametric elements the boundary is approximated by piecewise k-th order polynomials. but for this we need additional requirements on the problem we consider. 2004 defined on this element like it was done in case of triangular elements 6 87 uh (x)|I∆ = i=1 ai Φi (r.q.5. it is (in the S-norm) not worse than the best approximation of the solution u ∈ S in the discrete space Sh .e the phenomenon that at some particular points the accuracy of the approximation is better than the global error estimates indicate. Finally we study the influence of the use of particular quadrature rules on Banach space interpolation and on superconvergence. The error estimates depend on how good we can interpolate elements of Banach spaces in subspaces of these Banach spaces. This theorem is in fact only applicable when we use finite dimensional subspaces of our original Hilbert spaces.Ω . i. This Generalised Lax-Milgram Theorem 3. with trial functions in Sh ⊂ S and test functions in Vh ⊂ V . We will also give an estimate in the L2 -norm. . s. 3. so we have to discuss the interpolation theory in Banach spaces.2 we saw that -under certain conditions.Version: September 13.3. First we will give the discrete version of the Generalised Lax-Milgram theorem. apart from a constant factor. Taking these discrete spaces as subspaces of the continuous spaces we obtain a so called conforming finite element methods.a variational problem has a solution.

such that 1 2 ∀xh ∈ Xh ∃zh ∈ Xh . so that 2 uh = S −1 Ph Ru0 . and Finally. zh )| > 0. for all vh ∈ Xh .18 (Ru. 2 2 1 ii) For every xh ∈ Xh we have Sx1 = Ph Rx1 because.5. With v0 ∈ X 2 such that f (v) = 2 (v0 . 1 Then there exists a unique uh ∈ Xh . −1 Then R = F and S −1 ≤ γh . So. Ph v) = 0 for all v ∈ X 2 . v) = f (v) for all v ∈ X 2 . vh ∈ Xh . −1 −1 From Lax Milgram we know that u0 = R v0 and uh = S vh . Ph vh ) = (Rx1 .3. vh )X 2 = F (uh . vh ) = (Rx1 . i.3. for all uh ∈ Xh . F (u0 .1 (Discrete Generalised Lax-Milgram) Let the requirements of the Generalised Lax-Milgram Theorem 3. Hemker Theorem 3. vh ) = f (vh ) for all vh ∈ Xh .4 2 2 2 2 gives that Ph (v0 − vh ) = 0. 1 2 1 2 and let S : Xh → Xh be the analogue mapping for Xh and Xh . h h 2 2 (Ph Rx1 . v)X 2 = F (u. vh ). and the following error estimate holds uh − u0 X1 ≤ 1+ F γh 1 xh ∈Xh inf u0 − xh X1 . vh ) h h h 1 = F (xh . 1 1 1 2 2 Let Ph : X → Xh and Ph : X 2 → Xh be orthogonal projections 1 Ph 1 Xh X1 ↓ −→ −→ X 2 ↓ S 2 Xh R 2 Ph . so vh = Ph v0 . vh ). i) Consider point (5) in the GLM theorem. v)X 2 for all 2 2 v ∈ Xh (Riesz) we have (v0 − vh . v).88 P. zh )| ≥ γh xh zh . (3. 2 1 (Suh . vh ) = (Sx1 . let X 1 and X 2 be two Hilbert spaces and let F : X 1 × X 2 → R be 1 a bilinear functional that is bounded and sub-coercive.18 be satisfied.e. zh = 0 ∃xh ∈ Xh |F (xh . for all u ∈ X 1 . so Corollary 3. zh = 0 |F (xh .W. v)X 2 for all v ∈ X 2 (Riesz) and vh ∈ Xh such that f (v) = (vh . Further. the solution of the discrete problem 2 F (uh .. It follows that Ph v0 = Ph vh = vh . h .56) Proof: Let R : X 1 → X 2 be the Riesz mapping as used in the proof of the Generalised Lax-Milgram Theorem 3. and u0 ∈ X 1 be the solution of 2 1 ∀zh ∈ Xh .3. v ∈ X 2 . let Xh ⊂ X 1 2 2 and Xh ⊂ X be linear subspaces. let f ∈ (X 2 ) .

For an elliptic problem of order 2m this will usually be the H m (Ω)-norm.3. Hence uh − u0 From this easily follows uh − u0 X1 1 1 ≤ u h − P h u0 + P h u0 − u 0 1 ≤ {1 + S −1 R } u0 − Ph u0 . Measuring the error in other norms (and especially the L2 -norm) requires a further analysis of the problem. Xh ) = inf xh ∈Xh u − xh between a function u ∈ X 1 and a 1 1 1 subspace Xh ⊂ X . 2 In (∗) we used that Ph = 1 by Corollary 3. 1 h→0 xh ∈Xh lim inf u − xh = 0. we have as an immediate consequence that u − uh = O(hk ) We then will call k the order of convergence.4. for 1 each u ∈ X . First we look at 1 u h − P h u0 = ≤ = ≤ 2 1 S −1 Ph Ru0 − Ph u0 S −1 S −1 S −1 (∗) 2 1 Ph Ru0 − SPh u0 2 2 1 Ph Ru0 − Ph RPh u0 2 1 P h R u 0 − P h u0 = S −1 R 1 u 0 − P h u0 . ≤ {1 + F /γh } inf 1 xh ∈Xh u0 − xh X1 . 2004 89 We want to know how well the discrete solution approximates the solution of the continuous problem. if we can prove that d(u. then for a conforming finite element method a sufficient condition for 1 convergence is the existence of a family of subspaces (Xh ) of X 1 such that. Corollary 3. The norm in which the error is measured is more or less induced by the problem: the conditions on coercivity and continuity are stated in the X 1 -norm.2 Given a problem that satisfies the conditions of the Generalised Lax Milgram Theorem. . so we are interested in uh − u0 . Xh ) = O(hk ). Thus.Version: September 13.5. This will be discussed later. So the problem we were facing is reduced to an approximation problem: evaluate 1 1 the distance d(u. for some k > 0.

v)| ≤ Mh s Let Bh : Sh × Vh → R be coercive: ∃αh > 0 ∀sh ∈ Sh ∃vh ∈ Vh αh sh Then the following estimate is valid uh − u∗ S∗ S∗ S∗ v V ∗.58). ∀v ∈ V. vh ) − fh (vh )| sup . We consider a solution u∗ ∈ S ⊂ S ∗ (S ∗ a normed linear space) of the problem: find u ∈ S such that B(u. V ∗ . wh )| Mh u∗ − sh wh + |Bh (u∗ . Let Bh : S ∗ × V ∗ → R be bounded with B = Mh .59) Proof: In the proof norms are either . v) = f (v). vh ) = fh (vh ).5. wh ) + Bh (uh .57) Let Bh : S ∗ × V ∗ → R and fh : V ∗ → R.57): find uh ∈ Sh such that Bh (uh . What can we say about uh − u∗ S ∗ ? Theorem 3. (3. Vh ⊂ V . We can approximate both the bilinear form B and the linear form f by discrete versions Bh and fh . wh ) − fh (wh )|. αh vh ∈Vh vh V ∗ (3. so that ∃Mh > 0 ∀s ∈ S ∗ . Hemker 3. wh )| + |Bh (uh . Because Bh is coercive we know that for each sh ∈ Sh there exists a wh ∈ Vh such that αh u h − s h wh ≤ = ≤ ≤ |Bh (uh − sh . vh V∗ ≤ |Bh (sh . ∀vh ∈ Vh . We also consider the discrete problem associated with (3. v ∈ V ∗ |Bh (s. wh )| |Bh (u∗ − sh .5. Note that we have assumed no relation between B and Bh or f and fh .90 P.2 More general error estimate In this section we study an error estimate for more general problems. wh ) − Bh (u∗ . . ≤ + 1+ Mh αh sh ∈Sh inf u∗ − s h S∗ 1 |Bh (u∗ .58) in which Sh ⊂ S ∗ and Vh ⊂ V ∗ . wh )| |Bh (u∗ − sh . This means we have to expect a supplementary consistency error in our estimates. S ∗ or . but not necessarily Sh ⊂ S. wh ) − Bh (u∗ .3 Assume there exists a uh ∈ Sh that satisfies equation (3. (3. vh )|.W. These discrete operators will work on some spaces Vh and Sh that are now not necessarily contained in V and S. The estimate thus obtained will also be valid for non-conforming finite element methods.

6. we also have to study the approximation of bilinear and linear operators. 2. i. wh ) − f (wh ) = 0. vh ) = B(uh . the conditioning of the discrete problem: Mh /αh . ∀vh ∈ Vh . vh ) − fh (vh )|. apart from studying interpolation theory for Banach spaces. • If the discrete spaces are embedded in continuous spaces .5. However we can expect the consistency error to be rather big if we choose a u∗ that is not a solution. i. A difference is the fact that for the present estimate we have assumed the existence of the solution u∗ . if Bh (uh . then Bh (u∗ .5. the interpolation error: inf sh u∗ − sh S∗ .e. wh ) − fh (wh ) = B(u∗ . Remarks: • In the proof of the theorem we have not used the fact that u∗ is a solution to (3.57). vh ) and fh (vh ) = f (vh ).Version: September 13. ∀wh ∈ Vh . the consistency error: |Bh (u∗ . αh αh wh u h − s h + s h − u∗ 1 |Bh (u∗ . if Sh ⊂ S and Vh ⊂ V . and if Bh is the restriction of a B : S × V → R and fh the restriction of a f : V → R to these subspaces. αh αh wh 91 Now choose an arbitrary sh ∈ Sh then uh − u∗ ≤ ≤ From this the theorem follows. wh ) − fh (wh )| Mh u∗ − s h + 1+ . vh )| ≤ Mh sh v h Vh Sh . 3. See Section 3.5. It follows that for arbitrary sh ∈ Sh uh − s h ≤ Mh ∗ 1 |Bh (u∗ . It turns out from theorem 3. It follows that in this case the estimate is reduced to the result from Theorem 3.e. ∀uh ∈ Sh .58). In this we will restrict ourselves to errors caused by quadrature. 2004 because uh is a solution to (3.1.3 that. . • The conditioning of the problem can also be formulated as: there exist αh > 0 and Mh > 0 so that for all sh ∈ Sh αh s h Sh ≤ sup vh ∈Vh |Bh (sh . We see that the error is determined by 1. wh ) − fh (wh )| u − sh + .

li+1 }. Ωei ∩ Ωej = ∅ if i = j.3 The formalisation of the finite element method We do not want to describe the theory of interpolation by piecewise polynomials in all detail (for instance: we will prove few theorems) but we will show some of the main results in the next section. · · · .···. uh (x) = j=1 ae φe (x) for x ∈ Ωe .92 P. Corollary 3. i = 1. i = 1. Let L be a finite set of linearly independent linear functionals li . 1] and make a partition 0 = x1 < x2 < · · · < xN +1 = 1. · · · . Let Ωi = [xi . Let Ω ⊂ Rd be an open bounded domain with a Lipschitz continuous boundary ∂Ω.5.W. Let u ∈ C m (Ω) with m ≥ 0. j i 2.5. Then L is P -unisolvent if for every set of scalars αi .61) Example 3. N . Hemker 3. ∂Ωe Lipschitz continuous}. where αi are multi-integers. · · · . · · · . i = 1. .4 Let P be a set of real-valued functions defined over a domain Ω. (3. j We formalise the above construction. Definition 3.5 Let L be a P -unisolvent set then there exists a unique set of piecewise polynomials {pj . N over P . there exists a set of derivatives D αi . PΩi = P1 (Ωi ) and LΩi = {li . Then {LΩi } is a {PΩi }-unisolvent set: take any two numbers α and β then there is one and only one polynomial p ∈ PΩi such that p(xi ) = α and p(xi+1 ) = β. we show in this section a formal way to introduce finite elements. For a local finite element approximation of u on Ωe ∈ ∆h we choose a set of functions Pe = {φe }j=1. pj ∈ P } such that. such that (3.Ne and we approximate u j on Ωe by Ne Ωe = ∅. j j As a rule we choose {φe } such that j 1. there is a unique p ∈ P such that li (p) = αi . j = 1.60) Usually we choose {φe } such that it contains all polynomials of degree k j Pk (Ωe ) ⊂ Span(φe ). xi+1 ]. A partition ∆h of Ω is defined as ∆h = { Ω e | e Ωe = Ω. To gain some insight in the derivation of these results. there exists a set of nodal points of Ωe : {be | be ∈ Ωe . with li (f ) = f (xi ) and li+1 (f ) = f (xi+1 ).5. Ne } and j j D αi φe (be ) = δij .6 Take Ω = [0. N . li (pj ) = δij .5.

So we take a set of finite elements {Ωe . Le } in which e Pe = {φj ∈ C ∞ (Ωe ). i = 1. 3. Ne } gives the degrees of freedoms of the finite element.63) Π is a projection because li (Πv) = li (v) for all li ∈ L and any v ∈ C m (Ω). The number of (different) elements in L is N =dim(L).8 A global finite element approximation of a function u on Ω is defined by N uh (x) = j=1 aj φj (x) for x ∈ Ω. that are all is equivalent to a reference ˆ ˆ ˆ or master element (Ω. The P -unisolvent set L of degrees of freedom implies a natural P -interpolation of a C m (Ω). P .Version: September 13. there exists a partition ∆h = {Ωe }e of Ω.5. j = 1. Pe . Error estimates for the master element are then easily transferred to every element. v → Πv = lj (v)φj .62) This Π is defined as (3. 2004 Definition 3. Le }. Le }. so N ≤ e Ne . L). L) by an affine or isoparametric transformation. j (3. · · · . where we choose the set P = {φj } such that 1.5. 4. and N is the total number of degrees of freedom. Pe . φj |Ωe ∈ Pe . by L = ∪e Le we denote the set of degrees of freedom of the global approximation.7 A finite element is a triple {Ωe . lk (φm ) = δkm } . for every Ωe ∈ ∆h there is a finite element {Ωe . 2. by P we denote the set of basis functions of the global approximation.function Π : C m (Ω) → Span(P ). P is the set of N functions given by P = {φj | ∃e . Then all finite elements are constructed from ˆ ˆ ˆ (Ω. Pe . Definition 3. Ne } 93 are the basis functions of the finite element and the Pe -unisolvent set e Le = {li ∈ C m (Ωe ) . · · · . P . . Usually we take the same type of Le and Pe on every Ωe in ∆.

The proof of this theorem and a number of preceding lemmas will not be given explicitly. Hemker 3. We are interested in the behaviour of the error of approximation u − Πh u for h → 0. In fact. They can be found in [4]. meas(Ωe ) = Ωe dx.94 P.p (Ω) → Sh can be defined Πh u = j lj (u)φj . In this way we also introduce a sequence of projections {Πh }h→0 with Πh : C m (Ω) → Sh . On each partition ∆h we assume a global finite element approximation and we denote by Sh = Span(P ) the space of approximating functions. We apply this to analyse a second-order problem in detail. First we define on each element in the partition a projection operator which shall be used for the approximation. From this we can find error estimates for the global approximation.18 below. This can be done either by making the elements Ωe smaller or by taking a higher order of approximation. the operator Πh : W l.5. In this section we choose for the first option and study the quality of the approximation if we take smaller and smaller elements Ωe . . ˆ Definition 3.5. Assuming that all elements are similar to one another (and thus there will be a unique reference element) we can find estimates for these projection operators on each element. in which h denotes the largest diameter of the elements Ωe ∈ ∆h .5. A result is given in theorem 3.3 we saw the construction of an interpolation operator Π : C m (Ω) → Span(P ). With an appropriate choice of the functionals in L (imposed by Sobolev’s Lemma).10 Two open subsets Ω and Ω of Rn are affine-equivalent if there is an invertible affine mapping F : x ∈ Rn → F (ˆ) = B x + b ∈ Rn ˆ x ˆ ˆ such that Ω = F (Ω). S a ball contained in Ωe }. or its more recent version [18]. Further we assume that the refinement of the whole area will take place in a regular way so that also the smallest of the inscribed circles of the elements in the partition will be O(h). we consider a sequence {∆h }h→0 of partitions. Definition 3. The plan of our treatment is as follows.5. ρe = sup{diam(S).9 Let Ωe be a bounded polygon then define he = diam(Ωe ). It is clear that a function on an area Ω is approximated better if more degrees of freedom are available.5.W.4 Interpolation theory and applications Interpolation theory in Sobolev spaces In Section 3.

.p (Ω) and W m.p.11 Assume the integers k ≥ 0 and m ≥ 0 and the numbers p. ˆx Analogously we define the affine-equivalence of two finite elements and all finite ˆ ˆ ˆ elements in a partitioning are affine equivalent to a master element (Ω.q (Ω).supx |D α v(x)|}. ∞] are such that the Sobolev spaces W k+1.∞.5. (3.Ωe :=   |α|=m 1 p Ωe |D α v|p dx .Ωe := max {ess. then we find B ≤ hΩe /ρΩ and B −1 ≤ hΩ /ρΩe .∞.65) Before we give the basic error theorems we recall the definitions of the norms and semi-norms with which we work.Version: September 13. q ∈ ˆ ˆ [1. p ˆ For every open set Ωe that is affine-equivalent to Ω define the mapping Πe by ˆv (Πe v)ˆ= Πˆ.Ωe |α|≤m |v|p e  =  l. v m. ˆ ˆ ˆ Further let Π ∈ L(W k+1. L) if for each Ωe ∈ ∆h there exists an affine mapping Fe such that for this element • x = Fe (ˆ). e e ˆ ˆ x • li (ψj (x)) = li (ψj (ˆ)). ˆ ˆ Usually we have the following correspondences between points and functions x ∈ Ω → x = F (ˆ) ∈ Ω.p (Ω).Ω  |α|≤m Ωe |D α v|p dx .supx |D α v(x)|}. |α|=m m.Ωe :=  v l≤m |v|m. W m.p. Πˆ = p. 2004 95 If we denote the outer and the inner diameter by respectively h and ρ. v ˆ ˆ So we have v (ˆ) = v(x).q (Ω)) be a polynomial preserving mapping: ˆ ˆp ˆ ∀ˆ ∈ Pk (Ω). 1  p |v|m.p. P . Lemma 3. x e ˆ x • ψj (x) = ψj (ˆ).q (Ω) satisfy the inclusion ˆ ˆ W k+1. 1 p := max {ess.64) (3.p (Ω) → W m. ˆ ˆ x (ˆ : Ω → R) → (v = v ◦ F −1 : Ω → R).

W. Pe . 2.67). This can be done provided the elements do not become ”flat” in the limit: for he → 0 we want that ρe = O(he ).9.Ωe . We specialise this immediately to affine-equivalent finite element families. ˆ ˆ W k+1.q. P .5. There exists a constant σ such that ∀e. ˆ ˆ ˆ Lemma 3. (3. the approximating functions will at least have to include all polynomials up to certain order: condition (3.68) ˆ ˆ ˆ then there is a C = C(Ω. Pe . ρe that we use e as a kind of parameter of the family. m.p (Ωe ) corresponding as in (3.5.67) (3.q. ∞] ˆ ˆ W k+1.p and all v ∈ W (Ωe ) |v − Πe v|m. By Sobolev’s Lemma.Ωe ≤ C(meas(Ωe ))1/q−1/p hk+1 hk+1 e |v|k+1.p (Ω) → W m. we have a set of degrees of freedom L which uses derivatives up to certain order s.66) (3.Ωe : hk+1 e |v|k+1. ρe and meas(Ωe ) as in definition 3. Le ) and all v ∈ W k+1. ρm e e Obviously. Definition 3. ρm e condition 3.96 P.5.p. We formulate a number of requirements on the spaces we use: ˆ 1. L) such that for affine-equivalent finite elements (Ωe .65).p (Ω) and v ∈ W k+1.12 Let (Ω. Ω) such that for all affine-equivalent sets Ωe k+1.p.66).68). · m.q (Ω). Hemker ˆ with v ∈ W k+1.q ˆ ˆ ˆ Pk (Ω) ⊂ P ⊂ W (Ω). the term ρm appearing in this lemma is undesirable.p (Ω) → C s (Ω).Ωe .13 A sequence of partitionings {∆h } of finite elements {(Ωe .q.p (Ωe ) |v − Πe v|m. This gives condition (3. m ≥ 0 and p. this sets requirements on the Sobolev spaces. Le )}h 10 is regular if the following two conditions are satisfied: 1. If for some k ≥ 0. 10 Note he ≤ σ. L) be a master element for which s is the largest ˆ derivative in L. the projections will be measured in a weaker norm (3. so we would e like to dispose of the ρe . q ∈ [1. Then ˆ ˆ ˆ there exists a constant C = C(Π. P . .Ωe ≤ C(meas(Ωe ))1/q−1/p with he .

5.q. The diameter h = maxΩe ∈∆h he tends to zero.Ωe . θΩ ≥ θ0 > 0. L) such that for all k+1. Lemma 3. That is. Assumptions: (H1) We consider a regular family of finite elements Fh . Thus. 2004 2.p. P . Pe .Version: September 13. Definition 3.∆h := Ωe ∈∆h v p m.5.67) ˆ ˆ ˆ and (3. For regular families we can convert the error estimate 3.15 For functions that are (together with their derivatives up to order m) integrable on the elements Ωe ∈ ∆h . Ωe ∈Fh he ≤ σ. ρe (H2) All the finite elements (Ωe . (3. 97 Remark: The regularity of the elements can also be stated in a more geometrical sense: let θΩ denote the smallest angle in an element Ω.66).Ωe . L). and h = max he → 0 . P . L) satisfies conditions (3. (H3) All the elements are of class C 0 . Pe . Le ) whose reference element (Ω. then there must be a θ0 > 0 such that ∀Ω ∈ Fh .5.p. Assuming the family is affine-equivalent we would like to give an error estimate for the global finite element approximation.p members Ω of the family and all v ∈ W (Ω). we introduce the following norm and seminorm if p < ∞ 1 p v m. we can give an error estimate on each element in a partition ∆h of our domain Ωe . The assumptions above have to be applied in an even more strict sense: on each level of refinement.68). P . Then there exists a constant C = C(Ω.p. Ωe ∈ ∪h Fh are affine-equivalent to ˆ ˆ ˆ a single reference element (Ω. Le ). .14 Let there be given a regular affine family of finite elements ˆ ˆ ˆ (Ωe .12 in estimates for the associated norms.Ωe k+1−m ≤ C(meas(Ωe ))1/q−1/p he |v|k+1. there exists a constant σ > 0 such that ∀ Ωe ∈ ∪ h Fh . v − Πe v m. To summarise the result we define a norm and a semi-norm for piecewise smooth functions on a given partitioning ∆h .

A number of approximation results is summarised in the following lemma. Figure 3.p (Ω) → Sh ⊂ W m. In case p = 2 we drop the p in the subscripts.∆h .Ω on Ω itself. P ) > 0. Lemma 3.Ωe .p.p.5. but it is not in H 2 (Ω).98 1 p P. If we take however a partition ∆h such that the elements Ωe correspond with the smooth parts of the function. Let the requirements (3. such that.68) be satisfied for every element.∆h := max |v|m.16 The norm · m. Hemker |v|m. b] and consider the piecewise linear function in figure 3.Ωe . Consider the global interpolation operator Πh : W k+1. This is seen as follows.∞. P ).p.Ωe .∆h on the partitioning ∆h of Ω is not the same as the norm · m.p (Ω) defined by ˆ ˆ ˆ then there is a constant C = C(Ω. (3.∞. This function is an element of H 1 (Ω).∆h ≤ C hk+1−m |v|k+1.∞. Ωe ∈∆h Example 3.17 Let Fh be a regular family of finite elements satisfying (H1). Π h |Ω e = Π e and |v − Πh v|m.p. L.11.∞.11: Piecewise H 2 -function.p. ˆ ˆ ˆ (H2) and (H3) that are all affine equivalent with the master element (Ω. it is piecewise H 2 . |v|m.5.67) and (3.∆h by H∆h . Take Ω = [a.p.∆h := max Ωe ∈∆h v m. m.∆h := Ωe ∈∆h |v|p m.p. L.p. . k+1−m |v − Πe v|m. so in 2 H∆h (Ω).W. We denote the space of functions m with finite norm .Ωe .Ωe ≤ C he |v|k+1. If p = ∞ we define v m.66).

i. let u be the solution to a second order elliptic problem and let uh be the associated discrete solution.70) ≤ C hk+1−m |v|k+1.17.p. r − s).m The spaces Sh (Ω) contain all k-th order piecewise polynomials and are subsets k. Theorem 3.p.12 are satisfied for p = 2.p.∆h .18 Under conditions as in lemma 3.∆h ≤ C hk+1−m |v|k+1. the following error estimate is valid u − Πh u m.Ω = O(hk ).5. r ≥ 0 and 0 ≤ s ≤ min(r.5.5.18. s ≤ C hσ u r .Ω ≤ C hk+1−m |u|k+1. Sufficient for convergence for a second order problem is thus k = 1.p. are denoted by k. such that the requirements of lemma 3.p. Proof: Because we consider a second order problem we have m = 1 and the theorem follows by combining theorem 3. u ∈ H k+1 (Ω) and Πh is the interpolation operator that leaves invariant all polynomials of degree k or less.18. m) there exists a uh ∈ Sh (Ω) and a constant C ≥ 0.e. but we still have v − Πh v m.m Sh (Ω). Definition 3.m h ≤ h0 . 2004 From this easily follows v − Πe v and v − Πh v m. Remark: If the functions v and Πh v are not sufficiently smooth estimate (3. Here C is independent of h. or approximation by piecewise linear functions. .m m of H (Ω).they are k-th degree piecewise polynomials in H m (Ω). 0 ≤ m ≤ k + 1. 99 (3. for a regular family of finite element approximations.∆h .5. u ∈ H r (Ω).5. 0 ≤ m ≤ k + 1.5. We thus take p = q = 2. By the preceding theorem we know that for a sequence {Sh (Ω)}h→0 .1 and theorem 3.5. As a direct consequence of this lemma we can state the basic interpolation theorem that can be applied to elliptic problems.Version: September 13.p.Ω m. Corollary 3.Ωe k+1−m ≤ C he |v|k+1. k.70) is not valid.19 The spaces Sh .5. k.Ω .69) (3. independent of h. Then u − uh 1. such that u − uh where σ = min(k + 1 − s.20 Under the same conditions as in theorem 3. based on a regular family Fh of finite elements.Ωe .

Ω . satisfying an inverse assumption. and ˆ ˆ ˆ P ⊂ W k.q.∞ (Ω). q) such that for all vh ∈ Vh |vh |k. then ∃C = C(ν.Ω ≤ n/2 |vh |0.r for some (l.r. Example 3.71) with the usual adaptation if p or q is ∞. p.Ω .∞. Note that σ appears in the regularity assumption (H1). p. unless the function itself ”blows up”.Ω .Ω ≤ C |vh |0.6.23 Assume Vh ∈ W l. then C |vh |0. h and |vh |1. Theorem 3. h (3. q ∈ [1. k. then |vh |1.5. For such families of spaces we establish the following equivalence between semi-norms.5.p. which in turn implies that functions in the approximation space have derivatives that will not ”blow up”. then the above inequalities can be given for the seminorms |.∆h . It is clear that this assumption is by no means restrictive in practice: the ’usual’ finite element spaces satisfy an inverse assumption. m. (3.21 (H4) A family Th of triangulations satisfies an inverse assumption if there exists a ν such that ∀ T ∈ ∪ h Th .Ω . Definition 3.72) . p. Proof: See [4.5. For instance suppose assumption (H3) is valid and that ˆ P ⊂ H 1 (Ω). r).22 Let there be given a regular family of triangulations Th in Rd . Hemker Inverse inequalities We now treat a property of piecewise polynomial spaces that has no immediate use at this point. 141].W.|l. σ.∞. Let 0 ≤ m ≤ k.∆h ≤ C meas(Ωh )max{0.100 P.∞. h C |vh |0.1/q−1/p} hk−m |vh |m.p (Ω) ∩ W m.q (Ω).5. ∞]. hT In fact an inverse assumption implies that the elements can not differ too much in size. However it is an easy consequence of the foregoing and we will use it in section 3. h ≤ ν.Ω ≤ ˆ If P ⊂ W 1.

Ω = O(hk ).26 (Aubin-Nitsche Lemma) Let Lu = f be a problem of order 2m and let Vh ⊂ V = H m (Ω). suited for the function k. Let z be the solution to the adjoint problem B(w. the space of piecewise linear functions on a regular partition ∆h . vh ) = 0 for all vh ∈ Vh . Motivated by this we come to the following definition. under mild additional assumptions.73) is 1. Error estimate in the L2 -norm In Section 3. z − vh ) = g(e). In this section we show that. or. For any 0 ≤ s ≤ m: e s = sup g∈H −s |g(e)| .74) Proof: Define the error e = uh − u.1 valid for each vh ∈ Sh (Ω). s ∈ [0. for all w ∈ H s (Ω).25 A family of piecewise polynomial spaces {Sh (Ω)}h→0 has the inverse property if ∃C : ∀s ≤ m.5. from (3. 2004 101 Example 3. k. (3. m] .4 we saw that under conditions we can assure that u − uh 1.72) we find C (3. such that z 2m−s ≤C g −s .24 We can also easily give inequalities for the norms: for instance. B(e.Ω . This means that at least u − uh 0. g −s We first evaluate |g(e)|. Theorem 3.1 This can be applied for the following case.Ω = O(hk+1 ).Ω .m Definition 3.73) vh 1. Consider Sh (Ω). So |g(e)| ≤ B e m vh ∈Vh inf z − vh m. hm uh m k. h 1. The continuous problem is to find u such that B(u. In particular B(e. .5. Take Ω = [a.Ω = O(hk ). Then u − uh s. Assume that for all g ∈ H −s there is a solution to LT z = g (the adjoint problem). vh ) = f (vh ) for all vh ∈ Vh .m ≤ C hs uh s . then (3.m spaces Sh (Ω).Version: September 13. b]. z) = g(w).Ω ≤ C hm−s u − uh m.5. ∀uh ∈ Sh (Ω).5. The discrete problem is: find uh such that B(uh . v) = f (v) for all v ∈ V . z) = g(e).Ω ≤ |vh |0. u − uh 0. (the regularity of the adjoint problem). as B(e.

if we compute the error in the s-norm. ξ) s(ξ) dξ. the function G(x.76) function G is the resolvent kernel of the differential equation. Hemker C hr z m+r . 0. b] ⊂ R Ly ≡ − d d d (a2 (x) y) + a1 (x) y + a0 (x)y = s(x). We will use the Greens function for equation (3.75): i.Ω ≤ C hk+1 |u|k+1. Corollary 3. dx dx dx (3.5. For example in case of a symmetric problem it is a trivial matter. So. because of the regularity of the adjoint problem. a (3. If we put r = m − s and provided 2m − s ≤ k + 1. |g(e)| ≤ B e m P.W. due to theorem 3. |g(e)| ≤ ≤ B B e e m m C hm−s z C hm−s g 2m−s −s . we get e s = sup g∈H −s |g(e)| ≤ C hm−s e g −s m. provided r ≤ k + 1 − m.5 Pointwise error estimate and superconvergence In this section we restrict ourselves to a second order linear ordinary differential equation on Ω = [a.102 Now.5. 3.27 For the error in L2 -norm for a second order problem we get u − uh provided k ≥ 1. .75) with a2 (x) = 0 and homogeneous Dirichlet boundary conditions y(a) = y(b) = 0.e.18. ξ) such that 11 b y(x) = − 11 The G(x.5.∆h . Remarks: • The regularity of the adjoint problem is not very restrictive.

ϕ1 (a) = 1. (3. x) ∪ (x. LT G(x. ϕ1 (x)ϕ2 (ξ)/z(x) if x < ξ ϕ1 (ξ)ϕ2 (x)/z(x) if ξ < x. let ϕ1 and ϕ2 be two independent solutions to the adjoint (transposed) equation LT y ≡ − d d d (a2 (x) y) − (a1 (x)y) + a0 (x)y = 0. h→0 h→0 ∂ξ ∂ξ ∂ξ a2 (x) If xi is a nodal point in a partition ∆h of Ω. ξ + h) ∂G(x. 3. x) ∪ (x. Remark: It is easily seen that this function z(x) satisfies the equation a2 z + a1 z = 0. Therefore. .77) 2. Under this condition we see that k. b). ·) − vh 1 k. 2004 103 for any function s(x). ξ) := lim − lim = . x = xi . ξ − h) 1 G(x. ξ) are: 1 1. it is not hard to verify that G(x. If z ≡ 0 then ϕ1 and ϕ2 are linearly dependent. ξ) is constructed as G(x. b) ). for m = 1 inf G(x. dx dx dx with boundary conditions ϕ1 (a) = 0.76) in (3. Other properties of this Greens function G(x.1 vh ∈Sh inf G(xi .∆h if if x = xi .∆h .) By substitution of (3.1 vh ∈Sh (Ω) ≤ C h0 |G|1 C hk |G|k+1. ·) − vh m. So. ·) ∈ H0 (Ω) ∩ C 2 ( (a.∆h ≤ C hk+1−m G(xi . ·) is not piecewise H k+1 on ∆h . G(x. A priori.Version: September 13. but we will construct it. (In that particular case the homogeneous problem has a non-trivial solution and G(x. but it still is continuous. then G(xi . So z has a unique sign. so in H 1 .1 mated well in Sh (Ω). ϕ2 (b) = 0 and ϕ2 (b) = 1. ξ) is the Green’s function indeed. ·) k+1. it is not clear that such a function G(x.78) The last estimate is true because in this case G(x. ξ) can exist. ξ) does not exist. Now G(x. jumpξ=x ∂ ∂G(x. ·) can be approxik. ·) ≡ 0 on (a. (3.75). ξ) = where12 z(x) := a2 (x) (ϕ1 (x)ϕ2 (x) − ϕ1 (x)ϕ2 (x)) . 12 The determinant ϕ1 ϕ2 − ϕ1 ϕ2 = ϕ1 ϕ2 ϕ1 ϕ2 is called the Wronskian.

vh ) = f (vh ). so for e := k. e 1 k. ξ) f (ξ) dξ = − G(x.75) is discretised by a finite element method k. Similarly k.4.W.78) fails to be better at the points of ∆h .1 k.104 P. ξ)Ly(ξ)dξ = −B(y. e k 1 inf G(x. that we obtain when we solve the discrete equation instead of the continuous equation.5.0 yh ∈ Sh (Ω) is the solution to B(yh . there will be no superconvergence.3). G(x. As we have seen in section 3. Hemker Theorem 3. In this section we will formulate these requirements for two cases: first we show under which conditions the global error estimate is preserved (as in theorem 3. ·)) This gives |e(x)| ≤ B Because B is bounded. v) = f (v). This could disturb all the error estimates we have given so far. ·)).28. so e(x) = −B(e. .5. Now b y(x) = − a G(x. ∀vh ∈ Sh (Ω). and analogously for yh . ·) − vh ).1 = −B(e.3 it may be so that we have to compute the integrals in the discrete equations using a quadrature rule. (3.5.78) the theorem follows. ∀v ∈ H0 (Ω). G(x.1 with Sh = Vh = Sh (Ω).1 y − yh we have B(e.2 (Ω).5. x ∈ ∆h . Then estimate (3. So we not only have the error y−yh but also an additional error yh − yh (which can be associated ˜ with the consistency error of theorem 3. In order to take this into account we require that the additional error should be at most of the same order as the discretisation error.5. 3.18) and further we discuss the how we can preserve the pointwise superconvergence of theorem 3. This will lead to some requirement for accuracy of the quadrature rule. G(x. ∀vh ∈ Sh (Ω). is called superconvergence. then we have the pointwise error estimate |y(x) − yh (x)| ≤ C h2k C hk if if x = x i ∈ ∆h . ·) − vh 1 . Remark: If this same problem is tackled with functions in S 3. vh = O(h ) and (3.79) 1 1 Proof: y ∈ H0 (Ω) is the solution to B(y. The phenomenon that the order of accuracy of an approximation at particular points is better than the estimate in a global norm. vh ) = 0 ∀vh ∈ Sh (Ω).28 If equation (3.6 The influence of the quadrature rule In the previous sections we have given estimates for the error y − yh .

32 A t + 1-point Newton-Coates formula has degree t. Provided the set of nodes contains the quadrature points the estimate is valid. ˜ y . Proof: Take a (t + 1)-points interpolating polynomial of degree t on every Ωe : each of this gives the estimate of lemma 3.Version: September 13. and we use a quadrature of degree t. vh ) = fh (vh ). 3. ∀Ωe . applied to a partition ∆h . v) = f (v).∆h .5. (3.p (Ωe ). the continuous problem find y ∈ S such that B(y.5. for all vh ∈ Vh . we will assume that all the coefficients in the partial differential equation are (piecewise) C t+1 (Ω)-functions. 2004 Definition 3. f (xi ) = Πh f (xi ) and such that f − Πh f m. for f ∈ C(Ω) ∩ W t+1. for all v ∈ V .p. the discrete problem find yh ∈ Sh such that B(yh .31 When a quadrature rule of degree t is used the quadrature error is O(ht+1 ): Ωe |f − Πh f | dx ≤ C ht+1 |α|=t+1 Ωe |D α f (x)| dx.∆h ≤ C ht+1−m |f |t+1. then there exists.29 A quadrature rule of the form f dx ≈ wi f (xi ) i 105 Ω is called to be of degree t if it integrates any polynomial f of degree t exactly. In order to study the influence of the quadrature on the accuracy of the FEM we have to distinguish three different problems: 1. the discrete problem with quadrature find yh ∈ Sh such that Bh (˜h .e.p.30 Given a repeated quadrature rule of degree t. an n-point Lobatto formula has degree 2n − 3. An n-points Gauss quadrature has degree 2n − 1. vh ) = f (vh ) for all vh ∈ Vh . In the following we will restrict ourselves to second order elliptic problems.17. i. Theorem 3.5. a piecewise polynomial Πh f of degree t such that it interpolates f on the nodes. 2.5.5.80) Example 3. Corollary 3.

Then y − yh ˜ 1.5. Hemker Here fh is a linear and Bh is a bilinear functional in which the integrals (see Section 3.4. let B : Sh ×Vh → R be bounded and coercive and let fh and Bh be the approximations of f and B obtained by quadrature t ≥ 2k − 2. and Bh deviates from B. Using the operator Πh .5.80) we have E ≤ C ht+1 |D t+1 (f v)| dx.∆h k.3) are replaced by a repeated quadrature rule of degree t on the partition ∆h . the other goes analogously.∆h .∆h (3. Theorem 3.5. e Ωe e Ωe so.∆h .5.33 When using a quadrature rule of degree t we have |f (vh ) − fh (vh )| ≤ C ht+1 vh and y y ˜ |B(˜h . Further.30. vh )| ˜ yh − y h 1 ≤ ˜ sup . as introduced in Theorem 3. Lemma 3. The following theorem states the conditions under which the accuracy as given in theorem 3. To compute the additional error we first have to make an estimate of the amount by which fh deviates from f . by Leibniz’ rule and the fact that vh ∈ Vh . we have E := |f (vh ) − fh (vh )| = Using (3.W.Ω = O(hk ). Proof: Let yh be the solution of the discrete problem and yh the solution to ˜ the discrete equation with quadrature.81) vh k.18 is preserved.82) Proof: We only give the proof for fh and f . | ((f v) − Πh (f v)) dx|.34 Let S = V = H 1 (Ω).106 P. γh vh ∈Vh vh 1 . vh ) − Bh (˜h . ∆h a regular partition of Ω and assume Sh and Vh satisfy the inverse property. k E ≤ C ht+1 l=0 e Ωe |(D t+1−l f )(D l vh )| dx ≤ C ht+1 vh k. (3. vh )| ≤ C ht+1 yh k. We seek a upper bound of yh − yh by ˜ considering 1 |B(yh − yh .

Thus. ·). xi a nodal point. ˜ ˜ First B(yh − yh .∆h } 1.∆h iii ≤ iiii C ht+2−k vh 1 + C ht+2−k vh 1 { yh C ht+2−k vh C ht+3−2k vh 1 1 k. Gi − vh ) + B(yh − yh . (ii) the estimates of Lemma 3. yh − yh 1 {1 − C ht+3−2k } ≤ C ht+2−k {1 + yh ˜ Provided h is small enough (C ht+3−2k < 1).35 Let the two point boundary value problem (3. vh ) − Bh (˜h . Proof: We introduce Gi = G(xi .∆h }. (3. (iii) the fact that Vh has the inverse property and (iiii) that Sh has the inverse property. x ∈ ∆h . 2004 in which γh is the (discrete) coercivity constant of B. and consider |yh (xi ) − yh (xi )| = |B(yh − yh .∆h + C ht+1 yh ˜ k.5 we now answer the same question: what should be the degree of the quadrature to preserve the pointwise superconvergence accuracy? Theorem 3.33 for the quadrature. vh )| y y y |f (vh ) − fh (vh )| + |Bh (˜h . O(hk ). we have yh − y h ˜ 1 k. So compute |B(yh − yh . vh )| + |Bh (˜h .∆h ˜ + yh − yh k. then |y(x) − yh (x)| = ˜ O(h2k ). vh ) − B(˜h .∆h }.∆h .5. x ∈ ∆h .1 tised by a finite element method with Sh = Vh = Sh (Ω). with t ≥ 2k − 1. Gi ) = B(yh − yh .∆h } ≤ {1 + yh y h − yh ˜ + We used (i) that yh is a solution of the discrete problem and yh is the solution ˜ to the discrete problem with quadrature. vh )| ˜ ≤ = ≤ ii i 107 |B(yh .5. vh )| y y C ht+1 vh k. Gi )|. k. ≤ C ht+2−k {1 + yh k.5.Version: September 13.75) be discrek. vh ) − B(˜h . both of which are satisfied if t ≥ 2k − 2. and let the quadrature rule be of degree t. vh ) ˜ ˜ ˜ .83) To preserve the accuracy t should satisfy both t + 2 − k ≥ k and t + 3 − 2k > 0.∆h vh k. For the superconvergence as treated in Section 3.

vh ) − B(˜h . Gi − vh ) + B(yh . vh ) ˜ y +Bh (˜h . .∆h ˜ k.36 A Gaussian quadrature on k points or a Lobatto quadrature on k + 1 points are sufficiently accurate to preserve superconvergence.∆h {1 + yh k. y y so. Acknowledgement In 1992 H. so we conclude that by the condition t + 1 ≥ 2k also y(x) − yh (x) = O(h2k ) ˜ in nodal points. Final corrections 2004.∆h .108 P.∆h ≤ ≤ (3. Gi − vh ) + f (vh ) − fh (vh ) ˜ +Bh (˜h .5. Hemker = B(yh − yh .∆h {1 + yh k.5. Example 3. Gi )| ˜ ≤ ≤ (3.28 y(x) − yh (x) = O(h2k ) in nodal points x = xi ∈ ∆h . vh ) − Bh (˜h .83) M yh − yh 1 Gi − vh 1 + |f (vh ) − fh (vh )| ˜ +|Bh (˜h .∆h } Gi − vh 1 +C ht+1 Gi − vh k. vh ) − B(˜h . According to theorem 3.W. vh ).∆h {1 + yh k.∆h } C ht+1 Gi C ht+1 Gi k.∆h k. vh ) y y = B(yh − yh . Eleveld prepared an earlier version of these notes on finite element methods.∆h M C ht+2−k {1 + yh k.∆h } 1 ≤ ≤ + C ht+1 Gi k. based on lectures given at the University of Amsterdam.∆h } Gi − vh +C ht+1 vh k. using the continuity of B |B(yh − yh .∆h } +C ht+1 Gi k. vh )| y y M yh − yh 1 Gi − vh 1 + C ht+1 vh ˜ +C ht+1 yh k.∆h vh k. vh ) − B(˜h .78) M C ht+2−k {1 + yh k.

RWTH. Koren. [9] P. J. Braess. Jeltsch. Academic Press. Numerical Computation of Internal and External Flows. Defect correction and nonlinear multigrid for the steady Euler equations. Hemker and B. [13] R. J. D. 25:35–61. Lax. SIAM Review. Numerical Computation of Internal and External Flows. Ciarlet. Sobolev Spaces. Volume 1: Fundamentals of Numerical Discretisation. van Loan. [5] G. Properties of discrete hyperbolic conservation laws. 1988. 1983. Cambridge University Press. [10] P. G. f. Hirsch. P. Hirsch.W.A. [6] G. H. CWI. Ridgeway Scott. Teubner. 109 . Volume 2: Computational Methods fir Inviscid and Viscous Flow. Theorie und Numerik elliptischer Differentialgleichungen. Efficient multi-dimensional upwinding for the steady Euler equations. 1991. Finite-Difference Methods for Partial Differential Equations. 1988. Wiley. Koren. 1975. New York. Baltimore. Wiley. G. 1997. 2nd edition. and B.Bibliography [1] R. Hemker and B.W. 1960. [3] S. [11] C. volume vol 65 of Pure and applied mathematics series. Harten. 1986. [4] P. 1988. The finite element method for elliptic problems. Technical Report NM-N8801. Johns Hopkins University Press. Finite Elements. Forsythe and W. volume vol 4 of Studies in mathematics and its application. The Mathematical Theory of Finite Element Methods. Praktische Mathematik. Technical Report NM-R9107. Van Leer. F. Brenner and L. Golub and Ch. B. Springer Verlag. CWI. 1978. Technical Report 88-54. [8] A. C. New York. London. Wasow. [12] C. [2] D. Aken.E. Stuttgart. On upstream differencing and Godunov-type schemes for hyperbolic conservation laws. 1989. North-Holland. Wiley.R. 1994. Hackbusch. Geometrie u. Adams. Amsterdam. Matrix Computations. [7] W. 1990. Inst.

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[14] C. Johnson, A. Szepessy, and P. Hansbo. Defect correction and nonlinear multigrid for the steady Euler equations. Technical Report 21, Chalmers Univ. Techn., 1987. [15] B. Koren. Multigrid and Defect Correction for the Steady Navier-Stokes equations, Applications to aerodynamics. Number 74 in CWI Tract series. CWI, Amsterdam, 1991. [16] P. D. Lax. Hyperbolic Systems of Conservation Laws and the Mathematical Theory of Shock Waves, volume 11 of Regional Conference Series in Applied Mathematics. SIAM Publication, Philadelphia, 1973. [17] R.J. LeVeque. Numerical Methods for Conservation Laws. Lectures in Mathematics. Birkh¨user, Basel, 1990. a [18] J. L. Lions (eds.) P. G. Ciarlet. Handbook of Numerical Analysis, Vol II: Finite Element Methods, part I. [19] S. V. Patankar. Numerical Heat Transfer and Fluid Flow. Hemisphere McGraw-Hill, 1980. [20] D. W. Peaceman. Fundamentals of Numerical Reservoir Simulation. Elsevier Science Publ., 1977. [21] R. D. Richtmyer and K. W. Morton. Difference Methods for Initial Value Problems. Interscience Publ., 1967. [22] W. Rudin. Functional Analysis. McGraw-Hill, New Delhi, etc., 1973. [23] J. Smoller. Shock Waves and Reaction Diffusion Equations, volume 258 of Grundlehren der mathematische Wissenschaften. Springer Verlag, 1983. [24] S.P. Spekreijse. Multigrid Solution of the Steady Euler Equations, volume 46 of CWI Tracts. CWI, 1988. [25] J. C. Strikwerda. Finite Difference Schemes and Partial Differential Equations. Wadswordth and Brooks, Pacific Grove, Calif., 1989. [26] R. Struijs, H. Deconinck, and G. Coussement. Multidimensional upwind schemes for the compressible flow equations. Technical report, Von Karman Institute, 1989. [27] P. A. Raviart. V. Girault. Finite Elements Methods for Navier Stokes Equations, volume vol. 5 of Springer series in Computational Mathematics. Springer-Verlag, Berlin, et.c, 1986. [28] B. Van Leer. On numerical dispersion by upwind differencing. Technical Report 85-51, Delft Univ. Techn., 1985. [29] B. Van Leer. Flux vector splitting for the 1990’s. Technical report, Univ. Michigan, 1990. [30] K. Yosida. Functional Analysis. Springer Verlag, Berlin, etc., 1974.

Index
adjoint problem, 101 affine-equivalent, 94 amplification factor, 34 asymmetric problem, 68 Aubin-Nitsche Lemma, 101 backward Euler method, 33 Banach space, 50 barycentric coordinates, 84 bilinear functional, 54 bilinear operator, 53 block centered, 21 boundary conditions, 46 bounded operator, 53 box method, 28 Bubnov-Galerkin, 28 Burgers’ equation, 12, 13 Cauchy Riemann, 22 Cauchy-Schwarz inequality, 50 cell centered, 21 cell vertex, 21 central approximation, 32 characteristic polynomial, 5 characteristics, 7 coercive, 56 collocation method, 27 compact support, 51 compatibility condition, 24 complete, 50 conforming method, 69 conjugate exponents, 54 conjugate-linear operator, 53 conservation law, 6 consistency error, 91 convection equation, 31 convective flux, 2 111 convergence strong, 56 weak, 56 Cranck-Nicolson method, 33 curved boundary, 86 degree, 105 degrees of freedoms, 93 delta function, 59 dense, 50 diffusion equation, 3, 29, 46 diffusive flux, 2 Dirac delta function, 59 Dirichlet boundary conditions, 46 Discrete Lax-Milgram Theorem, 88 discrete solution, 87 distance, 50 distribution, 59 distributional derivative, 60 divergence, 2 downwind approximation, 32 dual space, 54 elementary load vector, 74 elementary stiffness matrix, 74 elliptic, 5, 6 elliptic equation, 46 energy norm, 69 entropy condition, 15, 16 equivalent differential equation, 37 Euler equations, 6 finite finite finite finite finite difference approximation, 19 element, 93 element approximation, 21 volume approximation, 21 volume method, 28

112 forward Euler method, 33 function spaces, 51 functionals, 53 Galerkin method, 28 Gauss’ theorem, 2 generalised derivative, 60 generalised function, 59 global discretisation error, 36 global finite element approximation, 93 gradient, 2 Greens function, 102 Heaviside function, 60 Hermite interpolate, 81 hierarchical basis, 73 Hilbert space, 50 hyperbolic, 5, 7 IBVP, 79 initial-boundary-value problem, 79 inner product, 49 inner product space, 49 interpolation error, 91 inverse property, 101 inviscid Burgers’ equation, 8 isoparametric elements, 86 Lagrange interpolation, 70 Laplace equation, 46 Laplace’s equation, 3 Lax-Milgram Theorem, generalised, 57 linear functional, 53 linear operator, 53 linear space, 49 linearisation, 30 Lipschitz continuous, 51 load vector, 74 local discretisation error, 36 lumping, 78 mass matrix, 79 master element, 93 mesh, 19, 70 meshwidth, 70

P.W. Hemker metric, 50 mixed boundary conditions, 46 modified equation, 37 multi-index, 51 multi-integer, 51 Neumann boundary conditions, 46 nodal points, 92 non-unique solution, 14 nonconforming method, 90 norm, 49 normed linear space, 49 numerical diffusion, 37 Oleinik, 15, 16 order of the differential equation, 1 ordinary differential equation, 1 parabolic, 5 partial differential equation, 2 partitioning, 19 PDE, 1 Petrov-Galerkin, 28 piecewise Lagrange interpolation, 70 piecewise polynomials, 21 Poincar´’s Lemma, 64 e Poisson equation, 3 positive strictly, 56 positive definite, 46 potential equation, 46 principle part, 3, 5, 46 projection Πh , 94, 98, 105 quadrature rule, 75 quasi-linear, 3 Rankine-Hugoniot, 12 reference element, 93 regular family, 97 regularity, 101 scalar field, 49 scalar product, 49 semi-discretisation, 31, 79 semi-norm, 49 separable, 50

67 topology. 62 spectral method. 4 stiffness matrix. 54 Wronskian. 66 weak topology. 56 weighted residual method. 21 splines. 86 upwind approximation. 21 wave equation. 103 113 . 24 strictly positive. 53 symmetric problem. 104 symmetric operator. 74 Stokes equations. 3 weak solution. 2004 sesquilinear functional. 64 triangle inequality.Version: September 13. 11. 56 superconvergence. 60 trace. 26 vector space. 22 standard hat functions. 56 sub-coercive. 53 Sobolev space. 49 vertex centered. 78 steady equations. 49 unisolvent set. 83 staggered grid. 27 weighting function. 71 static condensation. 61 Sobolev’s Embeddings Theorem. 60 weakly convergent. 32 variational method. 54 sesquilinear operator.

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