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Numerical solutions of third-order system of boundary value problems

Article  in  Applied Mathematics and Computation · July 2007

DOI: 10.1016/j.amc.2007.01.031 · Source: DBLP

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 Applied Mathematics and Computation 190 (2007) 332–338
www.elsevier.com/locate/amc

Numerical solutions of third-order system

of boundary value problems
Eisa A. Al-Said a, Muhammad Aslam Noor b,*

a
Department of Mathematics, College of Science, King Saud University, P.O. Box 2455, Riyadh 11451, Saudi Arabia
b
Department of Mathematics, COMSATS Institute of Information Technology, Islamabad, Pakistan

Abstract

We develop a two stage numerical method for computing approximate solutions of a system of third-order boundary
value problems associated with odd order obstacle problems. Such a problem arise in physical oceanography and can be
studied in the framework of variational inequality theory. We show that the present method is of order two and gives
numerical results which are better than the other available results. Numerical example is presented to illustrate the appli-
cability of the new method. Our results can be viewed as an important and significant refinement of the previously known
results.
Ó 2007 Elsevier Inc. All rights reserved.

Keywords: Finite difference technique; Boundary value problems; Odd order obstacle problems; Variational inequalities; Numerical
results

1. Introduction

For the sake of simplicity and to develop the numerical method, we consider a system of third-order bound-
ary value problem of the type
8
< f ðxÞ;
> a 6 x 6 c;
000
u ¼ pðxÞuðxÞ þ f ðxÞ þ r; c 6 x 6 d; ð1:1aÞ
>
:
f ðxÞ; d6x6b
with the boundary conditions
uðaÞ ¼ a; u0 ðaÞ ¼ b1 ; and u0 ðbÞ ¼ b2 ; ð1:1bÞ
and the continuity conditions of u, u0 and u00 at c and d. Here, f and p are continuous functions on ½a; b and
½c; d, respectively. The parameters r, a, b1 and b2 are real finite constants. Using the penalty method

*
Corresponding author.
E-mail addresses: se992003@yahoo.com (E.A. Al-Said), noormaslam@hotmail.com (M.A. Noor).

0096-3003/$ - see front matter Ó 2007 Elsevier Inc. All rights reserved.
doi:10.1016/j.amc.2007.01.031
 E.A. Al-Said, M.A. Noor / Applied Mathematics and Computation 190 (2007) 332–338 333

technique, one can easily show that a wide class of unrelated obstacle, unilateral, moving and free boundary
value problems arising in various branches of pure and applied sciences can be characterized by the system of
third-order boundary value problems of type (1.1), see, for example [1–17] and the references therein. In gen-
eral it is not possible to obtain the analytical solution of (1.1) for arbitrary choices of f(x) and p(x). We usually
resort to some numerical methods for obtaining an approximate solution of (1.1).
The available finite difference and collocation methods are not suitable for solving system of boundary
value problems of the form defined by (1.1). Such methods have a serious drawback in the accuracy regardless
of the order of the convergent of the method being used, see [2,3,8,14,16,17]. On the other hand, Al-Said [1],
Al-Said et al. [3] and Noor and Al-Said [13] have developed first- and second-order two stage difference meth-
ods for solving (1.1) which gives numerical results that are better than those produced by the first, second and
third-order methods considered in [2,3,8,14,16].
Motivated by the above works, we suggest a new two stage numerical algorithm for solving the system of
third-order boundary value problem (1.1), which is the main motivation of this paper. We prove that the pres-
ent method is of order two and it outperforms other collocation and finite difference methods when solving
(1.1). In Section 2, we derive the numerical method for solving (1.1). Section 3 is devoted for the convergence
analysis of the method. The numerical experiments and comparison with other methods are given in Section 4.
Our results can be considered as an important refinement of the previously known results.

2. Numerical method

For simplicity, we take c ¼ ð3a þ bÞ=4 and d ¼ ða þ 3bÞ=4 in order to develop the numerical method for
solving the system of differential equations (1.1). For this purpose we divide the interval ½a; b into n equal sub-
intervals using the grid points xi ¼ a þ ih, i ¼ 0; 1; 2; . . . ; n, x0 ¼ a, xn ¼ b and
ba
h¼ ; ð2:1Þ
n
where n is a positive integer chosen such that both n=4 and 3n=4 are also positive integers.
Using Taylor series expansions along with the method of undetermined coefficients, boundary and conti-
nuity conditions, we develop the following finite difference scheme:
9
9u12  u32 ¼ 8u0 þ 3hu00  38 h3 u000
1 þ t1 for i ¼ 1; >
>
2
h i >
>
>
>
0 1 3 000 000
2u12 þ 3u32  u52 ¼ þhu0  48 h 21u1 þ 25u3 þ t2 for i ¼ 2; >
=
2 2
h i ð2:2Þ
ui52  3ui32 þ 3ui12  uiþ12 ¼ 121 h3 u000  8u 000
 5u 000
þ t for 3 6 i 6 n  1; >
>
i 5 i2 3 i 1 i >
>
h 2 i2 >
>
0 1 3 000 000
>
;
u 5  3u 3 þ 2u 1 ¼ hu  h 25u þ 21u
n2 n2 n2 n 48 n32
þ t for i ¼ n;
n12 n

where
( 3n
fiþ12 for 0 6 i 6 n4  1 and 4
6 i 6 n  1;
u000
iþ12
¼ n 3n
piþ12 uiþ12 þ fiþ12 þ r for 4
6i6 4
 1;
fiþ12 ¼ f ðxiþ12 Þ; i ¼ 0; 1; 2; . . . ; n  1. Relation (2.2) form a system of n linear equations in the unknowns
ui12 ; i ¼ 1; 2; . . . ; n. The local truncation errors associate with (2.2) are given by
8 ð5Þ
>
>  192027
h5 u0 þ Oðh6 Þ for i ¼ 1;
>
>
>
>
< 31 h5 uð5Þ þ Oðh6 Þ for i ¼ 2;
1920 0
ti ¼ ð2:3Þ
>
>  1 5 ð5Þ
h u þ Oðh 6
Þ for 3 6 i 6 n  1;
>
> 12 i
>
>
: 31 5 ð5Þ
1920
h ui þ Oðh6 Þ for i ¼ n;

which suggest that scheme (2.2) is a second-order accurate over the whole interval ½a; b.
334 E.A. Al-Said, M.A. Noor / Applied Mathematics and Computation 190 (2007) 332–338

Let wi12 be an approximate value of ui12 , for i ¼ 1; 2; . . . ; n given by neglecting the truncation error in (2.2).
Having the values of wi12 for i ¼ 1; 2; . . . ; n, we can compute wi  ui using the second-order interpolating
1h i
ui ¼ uiþ12 þ ui12 þ Oðh2 Þ ð2:4Þ
2
for i ¼ 1; 2; . . . ; n. Note that we make use of the boundary condition u0 ðbÞ ¼ b2 to compute the value of wn.
From (2.2) and (2.4) one can easily verified that the order of accuracy of the computed approximations wi,
i ¼ 1; 2; . . . ; n is two. The computations of wi, i ¼ 1; 2; . . . ; n give us the opportunity for a fare comparisons
with the other methods discussed in [2,3,8,14–16].

3. Convergence analysis

In this section, we 
investigate
 the
 convergence
 analysis of the method
 developed
 in Section 2. For this pur-
pose we first let u ¼ uiþ12 , w ¼ wiþ12 , c ¼ ðci Þ, t ¼ ðti Þ and e ¼ eiþ12 be n-dimensional column vectors.
Here eiþ12 ¼ uiþ12  wiþ12 is the discretization error. Thus, we can write our method as follows:

Au ¼ c þ t; ð3:1aÞ
Aw ¼ c; ð3:1bÞ
Ae ¼ t; ð3:1cÞ

where
1
A ¼ A0 þ h2 BP; ð3:2Þ
  48
P ¼ diag pi12 , i ¼ 1; 2; . . . ; n with pi12 6¼ 0 for n4 < i 6 3n4 ,
2 3
9 1 0 ... ... ... 0
6 7
6 2 3 1 0 ... ... 0 7
6 7
6 7
6 1 3 3 1 0 ... 0 7
6 7
6 .. .. .. .. .. 7
6 7
A0 ¼ 6 0 . . . . . 0 7; ð3:3Þ
6 7
6 . .. .. .. .. .. .. 7
6 .. . . . . . . 7
6 7
6 7
6 0 ... 0 1 3 3 1 7
4 5
0 ... ... 0 1 3 2

and the lower triangular matrix

2 3
18 0 0 ... ... ... 0
6 7
6 21 25 0 0 ... ... 0 7
6 7
6 7
6 4 32 20 0 0 ... 0 7
6 7
6 .. .. .. .. 7
6 7
B¼6 0 . ... . . . 0 7: ð3:4Þ
6 7
6 . .. .. .. .. .. .. 7
6 .. . . . . . . 7
6 7
6 7
6 0 ... 0 4 32 20 0 7
4 5
0 ... ... 0 0 25 21
 E.A. Al-Said, M.A. Noor / Applied Mathematics and Computation 190 (2007) 332–338 335

For the vector c, we have

8
>
> 8a þ 3hb1 38 h3 ½F 1 ; i ¼ 1;
>
>
>
> 1 3
>
> hb1 þ 48 h ½F 2 ; i ¼ 2;
>
>
>
>
>
>
1 3
h ½F i ; 3 6 i 6 n4 and 3n
þ 3 6 i 6 n  1;
>
> 12 4
>
>
>
> 1
h3 ½F i  5r; n
i ¼ þ 1;
>
< 12 4

ci ¼ 121 h3 ½F i  13r; i ¼ n4 þ 2; ð3:5Þ

>
>
>
> 1 3 3n
>
> h ½F i  12r; n
þ36i6 ;
>
> 12 4 4
>
>
>
>
1 3
h ½F i  7r; i ¼ 3n4 þ 1;
>
> 12
>
>
>
> 1 3
h ½F i þ r; i ¼ 3n4 þ 2;
>
> 12
>
:
hb2 þ 481 h3 ½F n ; i ¼ n;
where
8
>
> f1 ; i ¼ 1;
> 2h
> i
>
>
<  21f 1 þ 25f 3 ; i ¼ 2;
2 2
Fi ¼
>
> fi52  8f i32  5f i12 ; 3 6 i 6 n  1;
>
> h i
>
>
:  25f n32 þ 21f n12 ; i ¼ n:

Our main purpose now is to derive a bound on kek, where k  k represent the 1-norm. It has been shown in
[1] that A1
0 exits and satisfies the equation

4n3  n þ 3
kA1
0 k ¼ ; ð3:6Þ
48
which upon using (2.1) we obtain
3h3  ðb  aÞh2 þ 4ðb  aÞ3
kA1
0 k ¼ : ð3:7Þ
48h3
Thus, using Eqs. (3.1) and (3.2) and the fact that kBk ¼ 56 and kPk 6 jpðxÞj, we get
2kM 5 h2
kek 6 ffi Oðh2 Þ; ð3:8Þ
3½8  11kjpðxÞj
where k ¼ 481 ½h3  ðb  aÞh2 þ ðb  aÞ3 . See [1] for more details. Relation (3.8) shows that (3.1b) is a second-
order convergent method.
The above discussion suggest that the approximations of the solution computed by the method developed
in Section 2 are second-order accurate approximations. This suggestion is supported by the numerical exper-
iments given in the next section.

4. Applications

To illustrate the application of the numerical method developed in the previous sections, we consider the
third-order obstacle boundary value problem of finding u such that
9
u000 P f on X ¼ ½0; 1 >
>
>
uPw on X ¼ ½0; 1 =
; ð4:1Þ
½u000  f ½u  w ¼ 0 on X ¼ ½0; 1 >
>
>
;
uð0Þ ¼ 0; u0 ð0Þ ¼ 0; u0 ð1Þ ¼ 0
336 E.A. Al-Said, M.A. Noor / Applied Mathematics and Computation 190 (2007) 332–338

where f(x) is a continuous function and wðxÞ is the obstacle function. Using the penalty function technique of
Lewy and Stampacchia [9] and Noor [10–12], we can rewrite the obstacle boundary value problem (4.1) in the
following equivalent form:

u000 þ mfðu  wÞgðu  wÞ ¼ f ; 0 < x < 1
; ð4:2Þ
uð0Þ ¼ u0 ð0Þ ¼ u0 ð1Þ ¼ 0
where

1 for t P 0;
mðtÞ ¼ ð4:3Þ
0 for t < 0
is a discontinuous function and is known as the penalty function and w is the given obstacle function defined
by
(
1 for 0 6 x 6 14 and 34 6 x 6 1;
wðxÞ ¼ ð4:4Þ
1 for 14 6 x 6 34 :

From Eqs. (4.2)–(4.4), we obtain the following system of differential equations:

(
000
f for 0 6 x 6 14 and 34 6 x 6 1;
u ¼ ð4:5Þ
u þ f  1 for 14 6 x 6 34

with the boundary conditions

uð0Þ ¼ u0 ð0Þ ¼ u0 ð1Þ ¼ 0; ð4:6Þ
and the condition of continuity of u; u0 and u00 at x ¼ 14 and 34. Note that the system of differential equations (4.5)
is a special form of the system (1.1a) with pðxÞ ¼ 1 and r ¼ 1.
Example. For f ¼ 0, the system of differential equations (4.5) reduces to
(
000
0 for 0 6 x 6 14 and 34 6 x 6 1;
u ¼ ð4:7Þ
u  1 for 14 6 x 6 34

with the boundary conditions (4.6). The analytical solution for this problem is
81 2
>
> a1 x ; 0 6 x 6 14 ;
<2 h pffiffi pffiffi i
x
uðxÞ ¼ 1 þ a2 ex þ e2 a3 cos 23 x þ a4 sin 23 x ; 14 6 x 6 34 ; ð4:8Þ
>
>
:1 3
a xðx  2Þ þ a6 ;
2 5 4
6 x 6 1:
We can find the constants ai, i ¼ 1; 2; . . . ; 6 by solving a system of linear equations constructed by applying the
continuity conditions of u; u0 and u00 at x ¼ 14 and 34, see [3] for more details.
For different values of h, the boundary value problem defined by (4.6) and (4.7) was solved using the numer-
ical methods developed in the previous sections and the observed maximum errors kek and maxi jui  wi j are
listed in Table 1.
It may be noted from Table 1 that halving the stepsize reduces the value of kek as well as the value of
maxi jui  wi j by a factor of approximately 14, which confirm that our method is a second-order convergent
process.

Table 1
The observed maximum errors for the present method
1 1 1
h 20 40 80
4 5
kek 1:48  10 3:70  10 9:24  106
maxi jui  wi j 7:62  105 1:91  105 4:77  106
 E.A. Al-Said, M.A. Noor / Applied Mathematics and Computation 190 (2007) 332–338 337

Table 2
Observed maximum errors maxi jui  wi j
h Our method [1] [4] [13] [16]
1
32 2:98  105 4:89  105 4:68  104 3:76  104 4:05  104
1
64 7:44  106 1:22  105 2:31  104 9:40  105 2:24  104
1
128 1:86  106 3:06  106 1:15  104 2:35  105 1:15  104

The system of differential equations (4.7) along with the boundary conditions (4.6) was also solved by
Al-Said [1] and Al-Said et al. [1–4,13,14], Gao and Chi [8] and Siraj-ul-Islam et al. [16] using first-, second-
and third-order finite difference and spline methods. A comparison between our and the best of other results
is given in Table 2. We mentioned here in passing that the numerical results for the second-order method
developed in [8] are worse than those given in [16] and are not presented here, see [8, Table 1, p. 273].
Remark 4.1. From the numerical results given in Table 2, it is clear that our present method outperforms the
others. Also, we have noticed from our experiments that the maximum value of the error occurs near the
center of the interval and not around x ¼ 14 nor 34, where the solution satisfies the extra conditions. Similar
observation was pointed out in [1,4,13] where two stage first- and second-order method was developed. On the
other hand, it was noticed from the experiments done in [2,3,14] that the maximum error occurs at or near
the indicated values of x. Thus, we can conclude that the extra conditions at x ¼ 14 and 34 has little effect on the
performance of our method, whereas for the other two methods these added conditions introduce a serious
drawback in the accuracy.

5. Conclusion

In this paper, we have developed a second-order finite difference technique for solving a system of third-
order obstacle boundary value problems. We have shown that a class of obstacle odd order boundary value
problems arising in the physical oceanography can be studied in the framework of variational inequalities.
Using the technique of Lewy and Stampacchia [9], the variational inequality is characterized by a system of
differential equations, which is solved by the new algorithm. The numerical results were as accurate as the the-
ory predicted and it outperforms other available results. It is an very interesting problem to extend this tech-
nique for a third-order system of nonlinear boundary value problems associated with nonlinear obstacle
problems. This area of research is dynamic and deserve further research efforts.

Acknowledgement

The research of Prof. Dr. Muhammad Aslam Noor is supported by the Higher Education Commission,
Pakistan, through Grant No. 1-28/HEC/HRD/2005/90.

References

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