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Mixed Finite Element Methods for Variably Saturated Subsurface Flow

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 RICE UNIVERSITY
Mixed Finite Element Methods for Variably
Saturated Subsurface Flow
by
Carol A. San Soucie
A Thesis Submitted
in Partial Fulfillment of the
Requirements for the Degree
Doctor of Philosophy
Approved, Thesis Committee:

Clint N. Dawson, Co-Chairman

Associate Professor of Aerospace
Engineering and Engineering Mechanics
University of Texas at Austin

Mary F. Wheeler, Co-Chairman

Ernest and Virginia Cockrell Chair in
Engineering
University of Texas at Austin

Dan C. Sorensen
Professor of Computational and Applied
Mathematics

J. Ed Akin
Professor of Mechanical Engineering and
Materials Science
Houston, Texas
April, 1996
 Mixed Finite Element Methods for Variably
Saturated Subsurface Flow
Carol A. San Soucie

Abstract
The ow of water through variably saturated subsurface media is commonly mod-
eled by Richards' equation, a nonlinear and possibly degenerate partial dierential
equation. Due to the nonlinearities, this equation is dicult to solve analytically
and the literature reveals dozens of papers devoted to nding numerical solutions.
However, the literature also reveals a lack of two important research topics. First, no
a priori error analysis exists for one of the discretization schemes most often used in
discretizing Richards' equation, cell-centered nite dierences. The expanded mixed
nite element method reduces to cell-centered nite dierences for the case of the
lowest-order discrete space and certain quadrature rules. Expanded mixed methods
are useful because this simplication occurs even for the case of a full coecient
tensor. There has been no analysis of expanded mixed methods applied to Richards'
equation. Second, no results from parallel computer codes have been published. With
parallel computer technology, larger and more computationally intensive problems can
be solved. However, in order to get good performance from these machines, programs
must be designed specically to take advantage of the parallelism. We present an
analysis of the mixed nite element applied to Richards' equation accounting for the
two types of degeneracies that can arise. We also consider and analyze a two-level
method for handling some of the nonlinearities in the equation. Lastly, we present
results from a parallel Richards' equation solve code that uses the expanded mixed
method for discretization.
 Acknowledgments

I want to thank the Texaco Graduate Fellowship program, the Center for Subsurface
Modeling Industrial Aliates and the United States Department of Energy for sup-
porting this work.
I wish to thank my two advisors, Clint Dawson and Mary Wheeler for their ad-
vice and help over the years. Clint Dawson has put much time and eort into my
instruction and for his encouragement and energy, I am especially grateful. Mary
Wheeler has been a strong source of support and inspiration for which I will always
be appreciative.
I would also like to thank Lawrence Cowsar and Fredrik Saaf who have been the
best of \brothers" the last few years.
Furthermore, I thank Laurie Feinswog, Cli Nolan and the basement \dwellers"
at Rice for their friendship. The time we have all shared has made my years in school
memorable.
I would never have attended graduate school were it not for the encouragement
and preparation given me by high school and college mentors, especially Paul Murrin
and Martha Talbert, formerly of the Louisiana School for Math, Science and the Arts,
and Elizabeth Swoope and Guillermo Ferreyra of Loiuisiana State University.
I owe much gratitude to Leonard Gray who rst introduced me to research and
set in motion events which have changed my life.
My mother, Dory San Soucie, my father, William San Soucie, and my brother,
Paul San Soucie, have always been strong sources of encouragement and love. For
that I can never fully express my appreciation.
Most importantly, I thank Robert Woodward for his never-ending words of en-
couragement, for his friendship and love and for the joy and happiness that he brings
to life.
 Contents

Abstract ii
Acknowledgments iii
List of Illustrations vi
List of Tables vii
1 Introduction 1
1.1 Introductory Remarks : : : : : : : : : : : : : : : : : : : : : : : : : : 1
1.2 Previous Work : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 1
1.3 Present Work : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 6
2 Physical Background 9
3 Discretization 17
3.1 Notation : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 17
3.2 Variational Formulations : : : : : : : : : : : : : : : : : : : : : : : : : 18
3.3 Approximating Spaces : : : : : : : : : : : : : : : : : : : : : : : : : : 19
3.4 Time Discretization : : : : : : : : : : : : : : : : : : : : : : : : : : : : 23
4 An a priori Error Analysis of Richards' Equation 25
4.1 Partially to Fully Saturated Flow : : : : : : : : : : : : : : : : : : : : 26
4.2 Strictly Partially Saturated Flow : : : : : : : : : : : : : : : : : : : : 39
4.3 Unsaturated to Fully Saturated Flow : : : : : : : : : : : : : : : : : : 43
5 Two-Level Methods for Nonlinear Parabolic Equations 49
5.1 A Two-Level Finite Dierence Scheme : : : : : : : : : : : : : : : : : 50
5.1.1 A Coarse Grid Nonlinear Finite Dierence Scheme : : : : : : : 50
5.1.2 Fine Grid Linear Scheme : : : : : : : : : : : : : : : : : : : : : 63
5.1.3 Extensions to Multiple Levels : : : : : : : : : : : : : : : : : : 67
5.2 A Two-Level Method for Richards' Equation : : : : : : : : : : : : : : 68
 v

6 Implementation and Numerical Results 74

6.1 Implementation Issues : : : : : : : : : : : : : : : : : : : : : : : : : : 74
6.2 Numerical Results : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 77
6.2.1 A Known Solution Test Case : : : : : : : : : : : : : : : : : : : 77
6.2.2 A One-Dimensional Flow Problem : : : : : : : : : : : : : : : : 79
6.2.3 A Three-Dimensional Irregular Geometry Flow Problem : : : 80
7 Conclusions 87
7.1 Summary : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 87
7.2 Future Work : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 88
Bibliography 89
 Illustrations

2.1 Typical van Genuchten curve of water content vs. matric potential. : 11
2.2 Typical van Genuchten curve of hydraulic conductivity vs. water
content. : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 13
2.3 Typical van Genuchten curve of hydraulic conductivity vs. pressure
head. : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 14

6.1 The 19-point discretization stencil. : : : : : : : : : : : : : : : : : : : 75

6.2 Linear plot of convergence data. : : : : : : : : : : : : : : : : : : : : : 78
6.3 Solutions for the one-dimensional test problem with various time step
sizes. : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 81
6.4 Solutions for the one-dimensional test problem with various mesh sizes. 81
6.5 Three-dimensional single permeability layer test case after 45
simulation days. : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 83
6.6 Three-dimensional two permeability layer test case after 50
simulation days. : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 84
6.7 Three-dimensional irregular geometry test case after 5 simulation days. 85
6.8 Three-dimensional irregular geometry test case after 20 simulation days. 85
6.9 Three-dimensional irregular geometry test case after 50 simulation days. 86
6.10 Three-dimensional irregular geometry test case after 75 simulation days. 86
 Tables

6.1 Convergence results for a three dimensional analytic test problem. : : 78

6.2 Physical data for the one-dimensional ow problem. : : : : : : : : : : 79
6.3 Physical data for the three-dimensional ow problem. : : : : : : : : : 82
 1

Chapter 1
Introduction
1.1 Introductory Remarks
Recent years have seen an increase in attention to modeling the ow of water through
variably saturated porous media. This increase arises from heightened interest in nd-
ing appropriate sites for waste facilities and in evaluating the impact of current sites
on local groundwater systems. One way to gain an understanding of the groundwater
systems at these sites is through computer simulations of subsurface ow.
A commonly accepted mathematical model of water ow through variably satu-
rated porous media is Richards' equation, a nonlinear parabolic partial dierential
equation well known in hydrology and related sciences. Richards' equation is ex-
pressed as,
@(h) + S @h ? r
K (h)rh = f; (1.1)
s
@t @t
where h is the hydraulic head,  is the moisture content of the soil, Ss is the specic
storage of the medium, K is the hydraulic conductivity and f is a water source/sink
term. The highly nonlinear nature of this equation makes analytical solutions dicult
to nd, so this equation is most often solved numerically.
In this thesis we formulate ecient discretization schemes based on the mixed
nite element method for the solution of Richards' equation, prove a priori error
estimates for these methods and show results from a computer program developed
for parallel platforms which solves Richards' equation.

1.2 Previous Work

Before presenting the results of this thesis, a brief summary of previous work on the
analysis and numerical solution of Richards' equation is in order. We rst consider
reasons for choosing mixed nite element methods and some results pertaining to
these methods. We then mention previous work anaylyzing Richards' equation, and
lastly, we discuss the literature pertaining to numerical solutions of the equation.
 2

Mixed methods are considered for this work because they conserve mass on a cell-
by-cell basis. This conservation of mass means that at any time, the ux out of each
cell is equal to the ux into the cell plus any source. Galerkin nite elements only
guarantee a global conservation of mass, meaning that the ux out of the domain is
equal to that into the domain plus any source. Since Richards' equation is actually
a conservation equation, mixed methods in some sense require the solution to hold
cell-by-cell.
Mixed nite element methods for linear elliptic problems have been well studied
[17, 56, 9]. Element spaces have been developed for both two and three dimensions and
for many dierent element shapes [54, 50, 14, 15, 16]. For these equations analysis has
shown that if h is the maximal mesh spacing, then optimal convergence of the lowest
order mixed method is O(h) for both the scalar and velocity variables. Moreover,
superconvergence of O(h2) has been shown for the pressure and velocity variables at
certain points [49, 62, 29, 25].
In the case of linear elliptic equations, Russell and Wheeler [59] have shown that
for the lowest order Raviart-Thomas-Nedelec [54, 50] spaces on rectangles and for a
diagonal tensor K , the use of certain quadrature rules simplies the mixed method
into a cell-centered nite dierence scheme with a 5 point stencil in two dimensions
and a 7 point stencil in three dimensions. Weiser and Wheeler [62] showed that this
simpler scheme retains the convergence and superconvergence rates of the original
method for both the pressure and velocity.
Although much analysis has been done on mixed nite element methods, most of
it assumes that K is a diagonal and invertible tensor. However, a full tensor can arise
when computing \eective permeabilities" as in upscaling from ne to coarse data
[26] or when mapping a rectangular grid into a logically rectangular grid [7]. When
the tensor is full it is not possible to derive a nite dierence scheme equivalent to
the mixed method. Recently, methods have been developed to handle a full, possibly
noninvertible tensor [8, 19, 44]. In particular, Arbogast, Wheeler and Yotov have
analyzed the expanded mixed nite element method [8]. This method simultaneously
approximates the pressure, its gradient and the ux. Arbogast, Wheeler and Yotov
showed that for the lowest order Raviart-Thomas-Nedelec space on parallelepipeds,
a cell-centered nite dierence scheme results from this method. In certain discrete
norms and for linear elliptic equations, this scheme exhibits superconvergence of O(h2)
for the scalar variable and of O(h3=2) for its gradient and ux. However, in the interior
of the domain, they show O(h2 ) for the last two of these.
 3

There has been relatively little analysis of the mixed method applied to nonlinear
equations. Milner [48] developed a mixed method for the solution of two-dimensional
second order quasi-linear elliptic equations. He was able to show existence and unique-
ness of a solution to his scheme as well as optimal convergence. Dawson and Wheeler
[22] in the course of analyzing a two-grid scheme for three-dimensional problems de-
rived optimal order estimates for the expanded mixed method applied to the nonlinear
heat equation.
Richards' equation is particularly dicult to analyze since it can be degenerate,
i.e. the K (h) term can be 0 as can the time derivative of . There has been some re-
cent work on the analysis of degenerate parabolic equations. Rose [57] considered the
porous medium equation, which admits solutions lacking the regularity of classical
solutions. He developed continuous and discrete time Galerkin nite element ap-
proximations and derived estimates based on assumed rates of degeneracy. Nochetto
and Verdi [51] also considered degenerate parabolic equations and developed linear
Galerkin nite element schemes with error estimates. Arbogast, Wheeler and Zhang
[6] made use of the Kirchho transformation in order to develop estimates of the
mixed method applied to degenerate parabolic equations but they assume a linear
time derivative term.
In [4], Arbogast developed error estimates for Galerkin nite elements applied to
Richards' equation. He allowed for the time derivative of  to be 0 but assumed
K > 0. Arbogast, Obeyeskere and Wheeler [5] developed estimates for the Galerkin
method applied to Richards' equation in the case that both the time derivative of 
and the hydraulic conductivity are not 0.
When considering previous numerical work on Richards' equation, it is helpful to
be familiar with some common formulations of the equation. Dierent formulations
of Richards' equation have various advantages and disadvantages depending on the
physical situation and the numerical scheme. Various formulations are possible due
to a constitutive relationship between pressure head and water content. Probably the
most common expression of the equation is formulated in terms of the pressure head
only,
(Ss + C (h)) @h
@t ? r
K (h)rh = f;
where C (h) = @=@h is the water capacity. While this formulation gives the solution
as pressure head, due to the way the time derivative is expressed, numerical schemes
based on this form tend to be nonconservative. Another form is based on the water
 4

content,
@ ? r
D()r = f;
@t
where D() = K ()=(@=@h). This form is advantageous in that it is in conservative
form. However, for saturated media,  becomes constant, D approaches innity, and
this form is no longer applicable. Furthermore,  is not continuous across interfaces
separating layers of two dierent soils. The pressure head is continuous across these
discontinuities which makes head-based methods better suited for modeling ow in
layered soils. However, researchers have found that schemes for the head-based formu-
lation produce large mass balance errors [18, 39]. The formulation in equation (1.1)
is the mixed form. This formulation is also mass conserving and gives the solution in
terms of pressure.
Many papers have been published discussing numerical solutions to Richards'
equation. The most common approaches use a low-order nite dierence or nite
element method in space with backward Euler or Crank-Nicholson time discretization
and Newton or Picard iteration for the nonlinearities. We now brie y describe some
of this work.
Allen and Murphy [2] in the context of collocation methods and Celia, Bouloutas
and Zarba [18] in the context of nite dierences and nite elements have formulated
the modied Picard method for handling nonlinearities in the mixed form of Richards'
equation. This method applies Picard iteration to the nonlinearities in the hydraulic
conductivity, but uses a rst order Taylor expansion of  about the previous value
for the time derivative term. This expansion results in the same linear system as
the standard head-based scheme except that the right hand side also contains the
time derivative of  at the previous iteration for the given time level. Numerical
results show this term helps to preserve mass balance that is lost with the standard
head-based schemes.
Much work on the solution of the head-based form of the equation has focused on
developing mass-conservative schemes for this nonconservative form. In [47], Milly
formulated a mass-conservative scheme by using an average value of the water capacity
over each time step. This averaging reduced error associated with evaluation of the
function at a xed point which may or may not represent the behavior over the
entire time step. Kirkland, Hills and Wierenga [43] employ an update for  based
on computed ux values. This new  update removes the nonconservative nature
of the head-based scheme and preserves mass balance. Rathfelder and Abriola [53]
 5

developed mass-conservative numerical solutions of the head-based form with both

nite elements and nite dierences. They make use of a chord-slope approximation
of the water capacity term, C . In the nite dierence case, their scheme for the
head-based form results in the same discrete system as the scheme of Celia, et.al. for
the mixed form of the equation.
Hills, Porro, Hudson and Wierenga [39] developed a scheme for the -based form.
They modeled the discontinuities of  by adding an additional source term expressed
as a jump in  values across interfaces. Comparisons between their water content-
based and head-based forms show that the -based scheme is far better at conserving
mass and is less sensitive to time step size in dry conditions than the pressure-based
form. They point out that the main disadvantage of the -based scheme is its inap-
plicability to saturated ow.
Some authors have considered the Kirchho transform to numerically handle de-
generacies. Haverkamp and Vauclin [37] compared a nite dierence solution of the
Kirchho transformed equation with the head-based form. They found that the trans-
formed equation gave more accurate results but required much more compute time
due to the need for integrated values of the transformation. Ross and Bristow [58]
have discussed the transformation in the case of discontinuous hydraulic conductiv-
ities. They apply the Kichho transformation element-by-element, then couple the
elements together through the continuous pressure head at element boundaries.
Some authors have looked at variable transformations to switch between saturated
and unsaturated conditions thereby using the -based form in unsaturated regions
and the head-based form in saturated regions. Kirkland, Hills and Wierenga [43]
transform Richards' equation in terms of a single variable which is dened as water
content in dry conditions and pressure head otherwise. With this transformation the
scheme generates very little mass balance errors, and is stable over a wide range of
conditions. However, they nd degradation in accuracy near the interface between
saturated and unsaturated regions. Forsyth, Wu and Pruess [33] developed a similar
scheme in that they switch from head-based to -based schemes depending on water
saturation values. Their scheme diers from Kirkland et.al. in that the change in
variables is performed after the equation is discretized, as opposed to rewriting the
original equation in terms of a new, more general variable. Forsyth et.al. switch
between pressure and water content by substituting the appropriate variable in the
equation for each grid point. Numerical results show a signicant improvement in
computational speed by using this variable substitution method instead of standard
 6

head-based methods for dry conditions. The reason for this improvement is that they
are able to take larger time steps when the domain is unsaturated.
Huyakorn, Thomas and Thompson [40] compared the Newton and Picard meth-
ods. For a Galerkin method applied to the head-based form of the equation, they
have found that even though the Newton iterations are each slower than the Picard
iterations, in general, signicantly fewer Newton iterations are required for conver-
gence.
One diculty with solving Richards' equation numerically is that despite the fact
that the equation is parabolic, steep water saturation fronts can occur when modeling
ow of water into very dry media. The saturation fronts can be very dicult to
simulate numerically and common methods such as Galerkin nite element methods
can produce sharp nonphysical oscillations near these fronts. Forsyth and Kropinski
[32] have given monotonicity conditions for a head-based scheme. If these conditions
are met, the solution will be non-oscillatory near steep fronts. They further indicate
that only upstream weighting [61] for the K term as opposed to central weighting
will give nonoscillatory solutions. Abriola and Lang [1] have shown that adding more
degrees of freedom by using a higher order method near the front gives more accuracy
than if the same number of new unknowns were introduced solely by grid renement.

1.3 Present Work

Until now, there have been no estimates of the mixed nite element method applied to
Richards' equation. This thesis will present a number of estimates for the expanded
mixed method applied to the equation. We rst present a continuous time analysis
for the case where K > 0 and the time derivative of  may be zero. This is the
case for partially to fully saturated ow. For this situation, bounds of the error in
approximating  and the negative gradient of hydraulic head are derived in terms of a
Holder continuity parameter. Furthermore, an optimal bound for the nonlinear form,
Z T 1=2
0
( (p) ?  (P ); p ? P )dt ;
where p is the hydraulic head, is derived. The bound is optimal since it is equal to the
order of truncation error for approximation with the same degree polynomial as the
approximating space used in the method. In addition, this nonlinear form is bounded
below by the error in  and above by the error in p.
Next, we consider the case where K > 0 and the time derivative of  is strictly
nonzero. This is the case of strictly partially saturated ow. For this situation,
 7

optimal convergence of the hydraulic head and its negative gradient are shown for a
fully discrete time scheme.
The third case considered occurs when the tensor coecient is positive semi-
denite, and @=@p  0. This is the case of unsaturated to fully saturated. For this
possibly degenerate situation, the Kirchho transform,
Zp
R(p) = k((}))d};
0
is used, where p is the hydraulic head and k((p)) is the relative permeability. As seen
below, this transformation moves the nonlinearity from the K term to the gradient. In
the situation when K = 0, the problem solution lacks enough regularity to formulate
a variational problem involving the time derivative of , with trial functions in L2.
Thus, we follow the technique of Arbogast, Wheeler and Zhang [6] and formulate an
integrated in time scheme. The error estimates for the resulting scheme applied to
Richards' equation are optimal in the sense that they reduce to approximation error.
Having analyzed the expanded mixed method applied to Richards' equation, we
turn to methods of handling the nonlinearities at the level of discretization. The
approach used is that of J. Xu [63, 64] and Dawson and Wheeler [22]. In these
works, the discretization scheme is applied to the nonlinear equation on a coarse
grid, and the equation is then linearized about the coarse grid solution on the ne
grid. Xu analyzed this scheme for Galerkin methods applied to nonlinear elliptic
equations, and Dawson and Wheeler analyzed the scheme for the expanded mixed
method applied to the nonlinear heat equation. As a rst step in applying this scheme
to Richards' equation, we analyze the scheme for a superconvergent cell-centered nite
dierence method also applied to the nonlinear heat equation. Then the scheme for
the expanded mixed method applied to Richards' equation is discussed.
Although much computational work has been done in nding ecient ways of
solving Richards' equation, to this author's knowledge there have been no published
results from a parallel computer code. Results are given from a parallel, three-
dimensional Richards' equation code, PREQS. This code uses a cell-centered nite dif-
ference scheme equivalent to the expanded mixed method with quadrature. One point
upstream weighting is used to more accurately model the moving fronts. Parallelism
is achieved by spatially decomposing the domain into subdomains and assigning one
subdomain to each processor, and extra unknowns are introduced along subdomain
interfaces in order to reduce communication requirements.
 8

Results are given from a variety of test cases. The rst case is a nonlinear
parabolic equation with a source term chosen to guarantee a specic solution. A
three-dimensional convergence analysis is done which indicates a spatial rate of con-
vergence of almost O(h2). The second test case is a one-dimensional Richards' equa-
tion problem from Celia, Bouloutas and Zarba [18]. Celia et.al. measure the mass
balance ratio which is the total amount of water entering at the boundaries of the
domain divided into the time rate of change in water mass. For a mass conserving
numerical method, this ratio should always be unity. Celia et.al. report a ratio of 1
for a mixed formulation scheme and ratios signicantly less than 1 for a head-based
scheme. The PREQS code always gives a ratio of 1, indicating conservation of mass.
Lastly, results are given for a three-dimensional full tensor Richards' equation case
using the general geometry techniques of Arbogast, Wheeler and Yotov [7]. These re-
sults indicate that the code predicts reasonable solutions to ow problems on general
domains.
The rest of this document is organized as follows. In the next chapter an overview
of the physical ow problem and assumptions leading to Richards' equation are given.
In chapter 3, notation and discretization schemes are introduced. We summarize the
mixed and expanded mixed nite element methods as well as discuss the Raviart-
Thomas-Nedelec approximating spaces. In the following chapter an a priori error
analysis of the expanded mixed method applied to Richards' equation is presented.
Chapter 5 discusses a novel two-level method for handling the nonlinearities in the
equation and chapter 6 presents the parallel Richards' equation code and numerical
results. Lastly, chapter 7 gives a brief summary of the thesis and indicates directions
for future work.
 9

Chapter 2
Physical Background
In this chapter we give a brief description of the physical laws that lead to Richards'
equation for ow of water through variably saturated porous media. For information
beyond that presented here, the reader is referred to the books of Bear [11, Chapter
9], Fetter [31, Chapter 4] and Freeze and Cherry [34, Chapter 2].
The physical situation we are modeling is that of water owing into a porous
medium lled with air and a small amount of water.
Water saturation measures the amount of water in the medium and is dened
as the fraction of total pore space that is lled with water. The term \variably
saturated" refers to the possibility that the water saturation, s, can vary between
some residual water saturation, sr , and ss , a fully saturated medium. The medium is
called unsaturated if water saturation is less than ss and saturated otherwise. Water
saturation is closely related to the volumetric water content of the soil, , which is
the fraction of total volume that is lled with water. The relationship between  and
s is,
 = s;
where  is the porosity, or amount of pore space per unit volume of the medium, and
s is the water saturation.
In unsaturated ow, the driving force of the ow is the matric potential, , which
has units of Newtons per square meter (N=m2). This potential is caused by sur-
face tension creating a negative pressure on the pore water and is a function of the
volumetric water content of the soil, .
In unsaturated media, the matric potential is negative and is equal to the negative
of capillary pressure, Pc , also having units of N=m2. The capillary pressure is related
to the pressures of the other phases by,
Pc = pa ? pw ;
where pa and pw are the air and water pressures, respectively. For the case of a single
water phase owing into a porous medium, it is assumed that the air phase pressure
 10

remains constant at atmospheric pressure. Thus, the capillary pressure is no longer

a function of pa. In this case, we will consider the water pressure as a gage pressure,
i.e. pw = p0w + pa where p0w is the absolute water pressure. Thus, ?Pc = pw . Capillary
pressure can also be experimentally measured as a function of water saturation. The
resulting curves exhibit hysteresis; they are dierent depending on whether water is
owing into (imbibition) or out of (drainage) the medium. In the work considered
here, hysteresis will be neglected. Due to the relationship between capillary pressure
and water saturation, we can write
s = Pc?1 (pa ? pw );
where pa is constant. This relation shows s as a function of pw .
Van Genuchten [38] derived an empirical formula for the water content as a func-
tion of matric potential. This relationship is,
 = r + [1 +s(? )
r ;
n ]m (2.1)
n = 1 ?1 m ; (2.2)
 = h1 (21=m ? 1)1?m ; (2.3)
b
where  is the volumetric water content, s is the volumetric water content at s = ss ,
r is the irreducible minimum water content at s = sr , is the matric potential, m
is an experimental parameter based on the soil type and hb is the bubbling pressure
(dened below). For a typical soil-water system, m  0:5; r  0:1; s  0:5 and
hb  ?355cm. Thus, n  2:0 and   0:005. A typical curve of water content vs.
matric potential for these parameters is given in Figure 2.1.
The bubbling pressure can be dened as follows. At atmospheric pressure, the
medium is saturated with  = s, where s is the highest value  can take. Now
consider decreasing the matric potential. The medium will remain saturated as the
matric potential is decreased until the potential is negative enough that the water
will begin to drain. The potential value at which this drainage starts to occur is the
bubbling pressure.
For saturated ow, the driving force is again a pressure potential. However, the
pressure is now positive and the potential > 0.
If water is allowed to be slightly compressible, the density is not constant and is
related to the water pressure through an equation of state, for example,
 = 0e(p?p0); (2.4)
 11

Water Content vs. Matric Potential

6
10

5
10
Matric Potential (−cm)

4
10

3
10

2
10

1
10
0 0.1 0.2 0.3 0.4 0.5 0.6
Water Content (dimensionless)

Figure 2.1 Typical van Genuchten curve of

water content vs. matric potential.

where 0 is water density at atmospheric pressure p0, and  is a small constant. The
water compressibility constant,  , is dened as the negative of change in water volume
per unit volume per change in pressure, or,
 = ? dVwdp=Vw  4:4  10?10m2=N: (2.5)
The total soil-moisture potential, , is the sum of the matric potential and a
gravity potential. The gravity potential can be expressed as the product of the water
density, , the acceleration of gravity, g, and the height, z, above some reference level.
Thus, the total soil-moisture potential is,
p = + gz:
If this equation is divided by g, the result is the soil moisture potential expressed as
energy per unit weight, commonly measured in cm. This potential is,
h = g +z
= h + z;
 12

where h is the matric potential expressed in units of length. The matric potential
expressed as a length is often referred to as pressure head, and the soil-moisture
potential expressed as a length is referred to as hydraulic head.
Darcy's Law for saturated ow and the Buckingham ux law for unsaturated ow
relate the ow of water to the gradient of the hydraulic head through the relation,
q = ?K (h)rh; (2.6)
where q is the soil moisture ux (cm=s) and K (h) is the hydraulic conductivity of the
soil. The hydraulic conductivity (cm=s) measures the ability of the soil to transmit
water. For a saturated medium, the pore space is lled with water and all the pores
participate in the transmission of water. Thus, the hydraulic conductivity is a function
of position only. However, for an unsaturated medium, some of the pore space is lled
with air. Water will only travel through wetted areas, so for an unsaturated medium,
the hydraulic conductivity is a function of the moisture content as well as position.
Experiments conducted with ideal, uniform porous media have indicated that the
hydraulic conductivity can be written as,
K () = kkrw()g ;
where k is the intrinsic permeability of the medium (measured in Darcy's where 1
darcy = 10?8 cm2), krw () is the relative permeability of water to air (dimensionless)
and  is the dynamic viscosity of water (N
s=cm2). The relative permeability is
the ratio of the unsaturated hydraulic conductivity evaluated at  to the saturated
hydraulic conductivity, evaluated at s. The value of krw is simply a number between
0 and 1. The hydraulic conductivity can also be expressed as a function of the matric
potential.
Van Genuchten [38] derived expressions relating the hydraulic conductivity to
both the water content and the pressure head. The relationship between K and  is
expressed as,
K () = Ks Se1=2[1 ? (1 ? Se1=m)m]2;
where Se = ( ? r )=(s ? r ) is an eective saturation between 0 and 1, Ks is the
saturated hydraulic conductivity and m is the van Genuchten soil parameter. For the
typical parameters discussed above, this curve is given in Figure 2.2. The relationship
 13

Relative Permeability vs. Water Content

1

Relative Permeability K/K_s (dimensionless) 0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
0 0.1 0.2 0.3 0.4 0.5 0.6
Water Content (dimensionless)

Figure 2.2 Typical van Genuchten curve of

hydraulic conductivity vs. water content.

between K and h is,

K (h) = Ks (1 ? (h[1)+ (h
n?1 [1 + (h)n ]?m )2
)n ]m=2 : (2.7)
Figure 2.3 shows this curve for the above described parameters. Note that the relative
permeability is just, K ()=Ks or K (h)=Ks , so these curves also give the relative
permeability function.
Conservation of mass for ow of water in a porous medium requires that the net
rate of water mass ow into a small control volume be equal to the time rate of
change of water mass storage within the volume plus any source terms. Combining
this statement with equation (2.6) gives,
@ (s) ? r
(K (h)r ) = f;
h
@t
where f is a source term. This is Richards' equation [55].
The time derivative term can be written as,
@ (s) = s @ + s @ +  @s : (2.8)
@t @t @t @t
 14

Relative Permeability vs. Pressure Head

0
10

−1
Relative Permeability K/K_s (dimensionless) 10

−2
10

−3
10

−4
10

−5
10

−6
10 0 1 2 3 4
10 10 10 10 10
Pressure Head (−cm)

Figure 2.3 Typical van Genuchten curve of

hydraulic conductivity vs. pressure head.

Assuming an incompressible medium,  is constant in time and the rst term is zero.
For unsaturated ow, the second term is small relative to the third and the time
derivative is just,
@ (s)   @s =  @(h) :
@t @t @t
For saturated ow, s is a constant equal to ss , and the second term in (2.8) is the
only applicable term. Thus,
@ (s) = s @ = s  @p = S @h ;
@t @t s @t s
@t
where  is a the water compressibility constant in (2.4), and Ss is the specic storage
of the aquifer. The specic storage is dened as the volume of water that a unit
of aquifer releases from storage under a unit decline in the hydraulic head. In the
present work, the component of Ss related to the compressibility of the medium will
be ignored. The derivation of Ss is as follows. By equation (2.5),
dVw = ?Vwdp:
 15

The water volume is just ss VT where VT is the total volume. Assuming VT = 1 and
using the relation p = gh,
dVw = ?ssgdh:
Taking a unit decline in h, dh = ?1, gives,
dVw = ssg = Ss :
For the spatial derivatives, we have r
(q). This term can be written as,
r
(q) = r
q + r
q:
Since we assume that water is slightly compressible as in (2.4), r is very small
and the rst term may be neglected. Canceling the density, we can write Richards'
equation as,
@(h) + S @ h ? r
(K (h)r ) = f; in
; (2.9)
s h
@t @t
where the w subscript has been dropped and
is the ow domain. For purposes of
analysis,  and K are considered functions of h = h + z. Boundary conditions can
be stated as,
h = D ; on ?D ; (2.10)
?K (h)rh
n = gN ; on ?N ; (2.11)
where ?D [ ?N = @
, ?D 6= ;, and n is an outward pointing, unit, normal vector to
.
This is the mixed form of Richards' equation. The second term in (2.9) is neglected for
unsaturated ow, and the rst term does not apply for saturated ow. Note here that
due to the constant (or passive) air phase pressure assumption, Richards' equation
ignores the air phase except through its eects on the hydraulic conductivity, K . An
initial condition,
h = 0(x); t = 0; (2.12)
completes the specication of the problem.
Owing to the fact that  is a function of h, we can write equation (2.9) as,
(Ss + C (h)) @@t
h ? r
(K ( )r ) = f; in
;
h h (2.13)
 16

where C (h) = @=@ h denotes the specic moisture capacity. This form is the
head-based form of the equation. Lastly, equation (2.9) may be written as,
@ ? r
(D()r) = f; in
; (2.14)
@t
where D() = K ()=C () is the soil-moisture diusivity. This is the -based form of
the equation.
We have now presented a complete mathematical model of partially saturated
subsurface ow for a single water phase. In the remaining chapters, we will analyze
and solve this model.
 17

Chapter 3
Discretization
In this chapter we present a discussion of spatial and temporal discretization tech-
niques employed in this work. We begin by introducing notation, then presenting
variational formulations of Richards' equation. Formulations corresponding to both
the mixed and expanded mixed nite element methods will be presented. Discrete ap-
proximating spaces and approximation schemes will be discussed. Lastly, comments
are made on the time discretization method used.

3.1 Notation
Let
be a domain in IRd with boundary ? = @
, and let ?D be the portion of the
boundary where Dirichlet conditions are specied and ?N the portion where Neumann
conditions are specied. We assume that ? = ?D [ ?N . Let L2(
) be the set of square
R
integrable functions on
, i.e., L2(
) = fwj
w2d
< 1g. Let (L2(
))d denote the
space of d-dimensional vectors which have all components in L2(
). Furthermore, let
(:; :) denote the L2(
) inner product, scalar and vector, i.e. for f; g 2 L2(
),
Z
(f; g) = f
g d
:

Let (:; :)@

denote the
L2(@
) inner product and k:k@
its associated norm.
Let H (
; div) be the space of vectors in (L2(
))d which have divergence in L2(
),
i.e. H (
; div) = fv 2 (L2(
))d : r
v 2 L2(
)g. If f 2 H (
; div), then,
 
kf kH (
;div)  kf k2L2(
) + kr
f k2L2(
) 1=2 :
Let Wpk (
) be the standard Sobolev space [12, p. 27],
Wpk (
) = ff : kf kWpk (
) < 1g;
where,
0 11=p
X
kf kWpk (
) = @ kD f kpLp(
)A :
jjk
 18

Let Hs (
) for s a positive integer be the Sobolev space, W2s(
). Denote the inner
product for the Hs Sobolev space as,
XZ 
(f; g)s = D f
Dg d
;
jjs

where f; g 2 Hs(
). Let H?s be the dual space of Hs with norm,
kgk?s = sup < kg; k > ; (3.1)
f 2Hs; 6=0g s
where < :; : > is the duality pairing between Hs and H?s . We will make use of the
fractional Sobolev space H 1=2(@
) with norm [17],
kgk1=2;@
= fv2H 1(
);
infvj =gg kvkH 1(
):
@

Let V = H (
; div); V~ = (L2(
))d ; W = L2(
) and  = H 1=2(@
). Let VN and V0
denote subspaces of V with functions whose normal traces on ?N are equal to gN
from equation (2.11) and 0, respectively.

3.2 Variational Formulations

To avoid confusion, in this and all following chapters, p will denote hydraulic head.
Introducing a velocity variable uM = ?K (p)rp and writing equation (2.9) as a
system of rst order equations gives,
@(p) + S @p + r
u = f; (3.2)
s M
@t @t
uM = ?K (p)rp; (3.3)
D
p = pD ; ? ; (3.4)
uM
n = gN ; ?N ; (3.5)
where n is an outward pointing, unit, normal vector. Multiplying (3.2) by w 2 W
then integrating and multiplying (3.3) by K (p)?1 and v 2 V0, then integrating by
parts, the problem is formulated as nding (pM ; uM ) 2 (W; VN ) such that,
( @(@tpM ) ; w) + (Ss @p@tM ; w) + (r
uM ; w) = (f; w); (3.6)
(K (pM )?1uM ; v) ? (pM ; r
v) = ?(pD ; v
n)?D : (3.7)
Equations (3.6)-(3.7) dene the variational formulation of the mixed form of Richards'
equation corresponding to the mixed nite element method.
 19

For the expanded mixed nite element method we consider a dierent formulation
of the problem,
@(p) + S @p + r
u = f; (3.8)
s
@t @t
u~ = ?rp; (3.9)
u = K (p)u~; (3.10)
p = p D ; ?D ; (3.11)
u
n = g N ; ?N ; (3.12)
where two additional unknowns, u~ and u have been introduced. Multiplying (3.8)
by w 2 W , multiplying (3.9) by v 2 V0 and multiplying (3.10) by v 2 V~ , then
integrating each of the resulting equations, the problem can be formulated as nding
(p; u~; u) 2 (W; V~ ; VN ) such that,
( @@t(p) ; w) + (Ss @p
@t ; w) + (r
u; w) = (f; w); (3.13)
(u~; v) ? (p; r
v) + (pD ; v
n)?D = 0; (3.14)
(u; v) = (K (p)u~; v): (3.15)
Thus, for the expanded mixed method, a set of three equations in three unknowns is
solved.

3.3 Approximating Spaces

For mixed nite element methods, the scalar variable p and its velocity are simultane-
ously approximated. Thus, two approximating spaces are necessary, one for hydraulic
head unknowns and one for velocity unknowns. Ideally, these spaces are chosen so
that the resulting method has a unique solution.
The approximating spaces used in this work are the Raviart-Thomas-Nedelec
spaces on rectangles and parallelepipeds, which are now brie y described. Use of
these spaces for linear elliptic problems guarantees a unique solution to the mixed
method system [13, 45, 54].
Let Th denote a quasi-uniform triangulation of
into rectangles with diameter
O(h) in two dimensions or parallelepipeds also with diameter O(h) in three dimen-
sions.
 20

The Raviart-Thomas-Nedelec (RTN) [54, 50] approximating space of order k on

a rectangular element E 2 T is,
Vk (E ) = Pk+1;k (E )  Pk;k+1 (E ); d = 2;
Vk (E ) = Pk+1;k;k (E )  Pk;k+1;k  Pk;k;k+1 (E ); d = 3;
where Pr;s;t is the space of polynomials of degree r in the x direction, s in the y
direction and t in the z direction. Raviart and Thomas developed these spaces for
two dimensions, and Nedelec for three-dimensions. The space L2(
) is approximated
by,
Wk (E ) = Pk (E ):
For the nite dierence scheme presented in Chapter 5, we consider the lowest
order RTN space, i.e. k = 0, on parallelepipeds,
Vh (E ) = f(1x1 + 1; 2x2 + 2; 3x3 + 3)T : i; i 2 IRg;
Wh (E ) = f :  2 IRg;
where the last component in Vh should be deleted in two dimensions. We also dene
a hybrid space, Bh  L2(@
), of Lagrange multipliers for the pressure restricted to
@
and corresponding to the above RTN spaces [9, 17]. So, on an edge or face e,
Bh (e) = f :  2 IRg:
The standard nodal basis is used, where for Vh and h the nodes are at the
midpoints of edges or faces of the elements, and for Wh the nodes are at the centers
of the elements. Denote the grid points by
(xi+1=2; yj+1=2); i = 0; : : :; Nx; j = 0; : : : ; Ny ;
and dene
xi = 21 (xi+1=2 + xi?1=2); i = 1; : : : ; Nx;
yj = 21 (yj+1=2 + yj?1=2); j = 1; : : : ; Ny ;
hxi+1=2 = xi+1 ? xi; i = 1; : : :; Nx ? 1;
hyj+1=2 = yj+1 ? yj ; j = 1; : : : ; Ny ? 1;
hxi = xi+1=2 ? xi?1=2; i = 1; : : : ; Nx;
hyj = yj+1=2 ? yj?1=2; j = 1; : : : ; Ny ;
h = max (hx; hy );
i;j i j
 21

with corresponding notation for a third dimension.

Dene discrete inner products corresponding to applications of the midpoint (M),
trapezoidal (T) and midpoint by trapezoidal (TM) quadrature rules by
Nx X
X Ny
(r; s)M = hxihyj rij sij ;
i=1 j =1
Nx X
X Ny XNx XNy
(v; q)TM = x y x x
hi+1=2hj vi+1=2j qi+1=2j + hxihyj+1=2vijy +1=2qijy +1=2;
i=0 j =1 i=1 j =0
XX x y1 x
N x N y
(v; q)T = hi+1=2hj 2 (vi+1=2j?1=2qix+1=2j?1=2 + vix+1=2j+1=2qix+1=2j+1=2)
i=0 j =1
XNx X Ny
+ hxihyj+1=2 12 (viy?1=2j+1=2qiy?1=2j+1=2 + viy+1=2j+1=2qiy+1=2j+1=2);
i=1 j =0
where a third sum in each is added for the case of three dimensions. We denote
the associated norms by k:kR; where R = M, T or TM and by ER(q; r), the error in
approximating an integral by the given rule, i.e. ET (q; r) = (q; r) ? (q; r)T . The error
in approximating an integral by either the trapezoidal or the trapezoidal by midpoint
rule is [20],
X X @
jEQ(q; v)j  C k @ x (q
v)kL1(E)h2: (3.16)
E 2Th jj=2
For any  2 L2(
) let ^ denote the L2 projection of  onto Wk , i.e.
(; w) = (^; w); 8w 2 Wk : (3.17)
In a similar manner, dene an L2(?) projection onto k . These two L2 projection
operators have the following approximation properties for  2 H k+1(
) and 2
H k+1 (?),
k^ ? k  C kkrhr ; 0  r  k + 1; (3.18)
k ^ ? k?  C k kr;?hr ; 0  r  k + 1; (3.19)
k ^ ? k?;M  Ch2: (3.20)
Associated with the RTN mixed nite element spaces is the projection operator
 : (H 1(
))d ! Vh , such that for q 2 H k+1 (
),
(r
q; w) = (r
q; w); 8w 2 Wk ; (3.21)
(q
n; )e = (q
n; )e ; 8 2 k ; (3.22)
 22

where n is an outward pointing, unit, normal vector. The following approximation

properties hold for the  projection,
kq ? qk  C kqkrhr ; 0  r  k + 1; (3.23)
kr
(q ? q)k  C kr
qkrhr ; 0  r  k + 1; (3.24)
where e is any element edge or face. Note that q
n = q^
n on any boundary edge
e.
We will use the following estimate [25] which is true on rectangular or paral-
lelepiped elements. For u and u~ dened by equations (3.13)-(3.15),
ku ? ukTM + ku~ ? u~kTM  Ch2: (3.25)
The following inverse estimate for discrete polynomial spaces [12, p. 111] will be
used extensively in the following analysis,
Theorem 3.1 Let Th be a quasi-uniform triangulation of
. Let E^ be
a reference element. Let P be a space of approximating polynomials and
h = fy : yjE 2 PE 8E 2 Th g. Then if P (E^ )  Wpl(E^ ) \ Wqm(E^ ) where
1  p  1; 1  q  1 and 0  m  l, then there exists a constant Q
such that,
0 11=p 0 11=q
X d d X
@ kykpWpl (E)A  Chm?1+min(0; p ? q ) @ kykqWqm(E)A ;
E 2Th E 2Th
 1=s
for all y 2 Vh . For s = 1, interpret the expression, PE2Th kyksWsm(E)
as maxE2Th kykW1l (E).
Let Wh and Vh be discrete subspaces of W and V, respectively. Dene Vh0 =
V 0 \ Vh and VhN = V N \ Vh . Then, the continuous time mixed nite element method
is to nd (PM ; UM ) 2 (Wh; VhN ) satisfying,
( @(@tPM ) ; w) + (Ss @P@tM ; w) + (r
UM ; w) = (f; w); w 2 Wh ; (3.26)
(K (PM )?1UM ; v) ? (PM ; r
v) + (pD ; v
n)?D = 0; v 2 Vh0 : (3.27)
Choosing w in equation (3.26) to be the basis function associated with cell i; j; k,
i.e., ( 1; in cell i; j; k,
w= (3.28)
0; otherwise,
 23

then equation (3.26) implies that mass is conserved within cell i; j; k. For this reason,
the mixed method is known to conserve mass on a cell-by-cell basis.
For the expanded mixed method, we approximate the scalar variable, its velocity
and its ux. Thus, three discrete spaces are needed. Let Wh; Vh and V ~ h be dis-
crete subspaces of W; V and V~ , respectively. Then the expanded mixed method is
formulated as nding (P; U ~ ; U) 2 (Wh; V~ h ; VhN ) which satisfy,
(P ) ; w) + (S @P ; w) + (r
U; w) = (f; w); w 2 W ;
( @@t s
@t h (3.29)
~ ; v) ? (P; r
v) + (pD ; v
n)?D = 0; v 2 Vh0 ;
(U (3.30)
(U; v) = (K (P )U ~ ); v); v 2 V~ h : (3.31)
For this method, we have the freedom to choose V~ not equal to V. However, for this
work V~ = V. Note that with w chosen as in (3.28), equation (3.29) again implies
conservation of mass over each cell.

3.4 Time Discretization

We consider nding the solution to equation (2.9) over a time interval J = (0; T ),
where T > 0 is some nal time. Let 0 = t0 < t1 <


< tN = T be a given sequence
of time steps,
tn = tn ? tn?1 and
t = maxn
tn. Further, assume that there exist
constants c and C such that,
c
tn 
tn+1  C
tn; (3.32)
for all n.
For  = (t; :), let n = (tn; :) and denote the discrete and continuous partial
derivatives by,
dtn =  ?
n n?1

tn ;
@t = @
@t :
In subsequent chapters, the following norms will be used,
kkL1(J ;L2(
))  ess sup
t
kk(t);
kkl1(J ;L2(
))  1max
nN
kn k;
 24

ZT ! 21
kkL2(J ;L2(
))  0 k(:; t)k2dt ;
X
N ! 21
kkl2(J ;L2(
)) 
t k k :
n n 2
n=1
This work will use an implicit backward Euler time discretization in order to for-
mulate a discrete time expanded mixed method for Richards' equation. This scheme
~ n ; Un) 2 (Wh; Vh ; VhN )
is to nd for each time step n; n = 1; : : : ; N , functions (P n; U
satisfying,
(dt(P n ); w) + (SsdtP n ; w) + (r
Un; w) = (f n ; w); w 2 Wh; (3.33)
(U~ ; v) ? (P ; r
v) + (pD ; v
n)?D = 0; v 2 Vh ;
n n 0 (3.34)
(Un; v) = (K (P n )U~ n; v); v 2 Vh : (3.35)
An implicit method is used to prevent the need for taking unnecessarily small time
steps.
The Discrete Gronwall Inequality [30] will be used in coming chapters. We present
it now for the sake of completeness,
Lemma 3.1 Let g(t); f (t) and h(t) be nonnegative functions dened on
[0; T ], t = i
t; i = 0; : : : ; N ? 1 and g(t) nondecreasing. If,
tX
?
t
f (t) + h(t)  g(t) + C
t f (s); (3.36)
s=0
then,
f (t) + h(t)  g(t)eCT : (3.37)

In conclusion, this chapter has set some notation, introduced the mixed and ex-
panded mixed methods and dened continuous and discrete time numerical schemes
for Richards' equation. The next chapter analyzes these schemes.
 25

Chapter 4
An a priori Error Analysis of Richards' Equation
In this chapter, we present an error analysis of the expanded mixed nite element
method applied to Richards' equation. For simplicity we analyze the form,
@(p) + S @p ? r
K ((p))rp = f; (4.1)
s
@t @t
where we have made use of the fact that krw is a function of water content, , and
have taken K ((p)) = fk(x)krw ((p))gg=. Two degenerate conditions can occur.
The rst, K = 0, implies a 0 relative permeability, a condition ocurring in very dry
media. The second degeneracy occurs when 0 = 0. This condition happens when the
media is fully saturated.
We rst discuss the case where K > 0 for all p and allow for the possibility that
@(p)=@t = 0. This situation corresponds to partially to fully saturated ow. For
clarity, a continuous time estimate is presented. Bounds for k(p) ? (P )kL1(L2) and
ku~ ? U~ kL2(L2) are shown for the partially saturated case, i.e. Ss = 0, and a bound
on kp ? P kL1(L2) for the saturated case. These proofs closely follow the techniques
of Arbogast [4] who derived estimates for the case of Galerkin methods. We have
extended his work to account for the expanded mixed nite element method.
Next the case where K is bounded above 0 and the derivative of  is strictly
nonzero is considered. This is the case of strictly unsaturated ow. For this situation,
optimal convergence of a discrete time scheme is shown.
The next set of estimates are for the case where K  0. This situation corresponds
to completely dry to fully saturated ow. The Kirchho transformation [6, 37, 58]
is used to analyze this case. A bound for the ux only is presented in the case that
@=@p can be 0 and a bound for kp ? P kH?1 is presented for @=@p 6= 0. When
K = 0, the solution generally does not have enough regularity to prove optimal
bounds. However, the results presented here would be optimal if the solution had the
necessary smoothness. These estimates follow the techniques of Arbogast, Wheeler
and Zhang [6] for degenerate equations. This work extends their work to the case of
the expanded mixed method and to Richards' equation.
 26

In the following arguments, C will represent a generic constant independent of

mesh and time step sizes, and its value should be assumed dierent at each instance.
The arithmetic-geometric inequality,
ab  2 a2 + 21 b2; a; b;  2 IR;  > 0; (4.2)
will be used throughout the analysis.

4.1 Partially to Fully Saturated Flow

In this section, the expanded mixed nite element method applied to Richards' equa-
tion (4.1) is considered. The following assumptions are made:
1. The tensor K is symmetric and positive denite.
2. The tensor K is Lipschitz in . Thus, there exists a constant LK independent
of two numbers, 1 and 2 such that, kK (1) ? K (2)k  LK k1 ? 2k.
3. The function  is Lipschitz in p. Thus, there exists a constant L independent
of two numbers, p1 and p2 such that, k(p1) ? (p2)k  L kp1 ? p2 k.
4. The function (p) is monotone nondecreasing in p.
5. The specic storage Ss can be 0, i.e. Ss  0. Recall that Ss = 0 in the case of
unsaturated ow and Ss > 0 for saturated ow.
6. The derivative @ K is bounded above, j@ K j  C .
7. The derivative @t is bounded above, j@tj  C .
8. The composition (@p)  ?1 is Holder continuous of order ; 0 <   1. Thus,
for f; g 2 IR,
j@p(f ) ? @p(g)j  C j(f ) ? (g)j : (4.3)

The following analysis bounds the error in the continuous time expanded mixed
method applied to Richards' equation given in equations (3.29)-(3.31).
We start with a lemma, proven by Arbogast in [4].
 27

Lemma 4.1 Assume (x; p) is monotone and nondecreasing in p 2 IR

for each xed x 2
, uniformly Lipschitz in both x and p, and uniformly
bounded from above and below. Then, for v and w in IR,
Zv
(2 sup
p
j@pj) ((v) ? (w))  ((}) ? (w))d}
?1 2
w
 ((v) ? (w))(v ? w): (4.4)

The following theorem holds for the convergence of the continuous time scheme.
Theorem 4.1 Let (P; U~ ; U) 2 (Wh ; Vh; VhN ) satisfy equations (3.29)-
(3.31). Then, under the assumptions given in 1-8 above and for  =
2(k + 1)=(1 +  ) with k + 1 > d(1 +  )=(2(3 ? 1)) > 0,
k(p) ? (P )kL1(J ;L2(
)) + Ss kp^ ? P k2L1(J ;L2 (
))
+ku~^ ? U~ kL2(J ;L2(
)) Ch ; (4.5)
Sskp ? P k2L1 (J ;L2(
)) C (h + hk+1); (4.6)
ku~ ? U~ kL2(J ;L2(
)) C (h + hk ); (4.7)
where k is the order of the approximating space.
Proof The proof will be in two parts. First, a bound for ((p) ? (P ); p ? P ) is
found. Then a bound for k(p) ? (P )k in terms of ((p) ? (P ); p ? P ) will be derived.
These two pieces are put together in a continuation argument which gives the nal
result.
Applying the denitions of the L2 and  projections and subtracting (3.29)-(3.31)
from (3.13)-(3.15), gives the error equations,
(@t((p) ? (P )); w) + (Ss@t(p ? P ); w) = ?(r
(u ? U); w); w 2 Wh ; (4.8)
~ ; v) = (^p ? P; r
v); v 2 Vh0 ;
(u~^ ? U (4.9)
(u ? U; v) ? (K ((p))u~ ? K ((P ))U ~ ; v) = 0; v 2 Vh : (4.10)
Rewriting (4.10) results in,
~ ); v)
(u ? U; v) = (u ? u; v) + (K ((p))(u~ ? u~^ ); v) + (K ((p))(u~^ ? U
+((K ((p)) ? K ((P )))u~^ ; v)
?((K ((p)) ? K ((P )))(u~^ ? U~ ); v): (4.11)
 28

Let = p^ ? P;  = u~^ ? U~ and  = u ? U. Let Q1 be a constant whose value

R
will be determined later. Then, in (4.8) let w = tt e?Q1s (:; s)ds,
Zt ! Zt !
@t((p) ? (P )); t e (:; s)ds + Ss@t(p ? P ); t e (:; s)ds
?Q 1 s ? Q 1 s

Zt !
+ r
; e (:; s)ds = 0:
?Q 1 s (4.12)
t

Multiplying (4.9) by e?Q1s, integrating from t to t < T holding v xed, then letting
v =  gives,
Zt ! Zt !
?Q s
e (:; s)ds;  =
1 e (:; s)ds; r
 :
? Q 1 s (4.13)
t t
R
In (4.11), let v = tt e?Q1s(:; s)ds to get,
Zt
(; e?Q1s(:; s)ds)
t
Zt ! Zt !
= u ? u; e (:; s)ds + K ((p))(u~ ? u~^ ); e (:; s)ds
? Q 1 s ?Q 1 s
t t
Zt ! Zt !
+ K ((p)) ; e 1 (:; s)ds + (K ((p)) ? K ((P )))u~^ ; e 1 (:; s)ds
? Q s ?Q s
t t
Zt !
? (K ((p)) ? K ((P ))); e?Q1s (:; s)ds :
t
(4.14)

Combining (4.12)-(4.14) results in,

Zt ! Zt !
@t((p) ? (P )); e 1 (:; s)ds + Ss@t(p ? P ); e 1 (:; s)ds
? Q s ? Q s
t t
Zt ! Zt !
+ u ? u; e 1 (:; s)ds + K ((p))(u~ ? u~^ ); e 1 (:; s)ds
?Q s ?Q s
t t
Zt ! Zt !
?Q 1 s ^
+ K ((p)); e (:; s)ds + (K ((p)) ? K ((P )))u~; e (:; s)ds
?Q 1 s
t t
Zt !
? (K ((p)) ? K ((P ))); t e?Q1s (:; s)ds = 0: (4.15)
Since K is Lipschitz in ,
j((K ((p)) ? K ((P )))u~^ ; v)j  C k(p) ? (P )kku~^ kL1 kvk: (4.16)
 29

Also, by the product rule,

Zt Zt !2
?Q s 1
K ((p))
e 1 (:; s)ds = ? 2 @t[K ((p)) e 1 (:; s)ds eQ1t]
?Q s
t t
1
+ 2 [Q1K ((p)) + @ K ((p))@t(p)] 
Zt !2
?Q
e (:; s)ds eQ1t
1 s (4.17)
t
Thus, equation (4.15) becomes,
Zt ! Zt !
@t((p) ? (P )); e (:; s)ds + Ss @t(p ? P ); e (:; s)ds
? Q 1 s ? Q 1 s
t t
Z Zt !2
1
? 2 @t
K ((p)) t e (:; s)ds eQ1tdx
? Q 1 s

Z Zt !2
1
+ 2 Q1 K ((p)) ?
e 1 (:; s)ds eQ1tdx
Q s

t
Zt ! Zt !
 ? u ? u; t e?Q1s (:; s)ds ? K ((p))(u~ ? u~^ ); t e?Q1s(:; s)ds
Z Zt !2
1
? 2
@ K ((p))@t(p) t e 1 (:; s)ds eQ1tdx
?Q s

Zt !
+ (K ((p)) ? K ((P ))); e 1 (:; s)ds ?Q s
t
Zt
+ C k(p) ? (P )kk e?Q1s (:; s)dsk: (4.18)
t
Now consider bounding the rst four right-hand side terms. Rewriting the rst of
these gives,
Zt Zt
j(u ? u; t e (:; s)ds)j  ku ? ukk t e?Q1s(:; s)dsk
?Q 1 s
Zt !
 (ku ? uke ?Q 1 t=2 ) k e (:; s)dske
t
? Q 1 s Q1 t=2

 ku ? uk2e?Q1t
Zt
+C k e?Q1s(:; s)dsk2eQ1t (4.19)
t
Since K is bounded,
Zt
j(K ((p))(u~ ? u~^ ); t e?Q1s (:; s)ds)j
 30
Zt
C ku~ ? u~^ kk e?Q1 s(:; s)dsk
t
Zt
ku~ ? u~^ k2e?Q1t + C k t e?Q1s(:; s)dsk2eQ1t: (4.20)
Since @ K and @t are assumed to be bounded above,
Z Zt
j 21
@ K ((p))@t(p)( t e?Q1s (:; s)ds)2dxeQ1t)j
Zt
 C k t e?Q1s(:; s)dsk2eQ1t: (4.21)
Using Theorem 3.1,
Zt
j((K ((p)) ? K ((P ))); t e?Q1s (:; s)ds)j
Zt
 C kkL1 k(p) ? (P )kk t e?Q1s(:; s)dsk
Zt
 Ch?d=2kkk(p) ? (P )kk t e?Q1 s(:; s)dsk
Zt
 h kk k(p) ? (P )k e + C k t e?Q1s (:; s)dsk2eQ1t:
?d 2 2 ?Q 1 t (4.22)
Combining the above bounds with equation (4.18) results in,
Zt ! Zt !
@t((p) ? (P )); e (:; s)ds + Ss@t(p ? P ); e (:; s)ds
? Q 1 s ?Q 1 s
t t
Z Zt !2
1
? 2 @t
K ((p)) t e (:; s)ds eQ1tdx
? Q 1 s

Z Zt !2
1
+ 2 Q1 K ((p)) ?
e 1 (:; s)ds eQ1tdx
Q s

t
Zt
 C k t e?Q1s (:; s)dsk2eQ1t + f1 + h?d kk2gk(p) ? (P )k2e?Q1t
+ fku ? uk2 + ku~ ? u~^ k2ge?Q1t: (4.23)
This equation is integrated in time over (0; t). The rst two left-hand side terms
are handled by integration by parts,
Zt Zt !
@t((p) ? (P )); e (:; s)ds dt
?Q 1 s
0 t
Zt ! Zt
= ? (p ) ? (P ); (:; t)e 1 dt + ((p) ? (P ); p ? P )e?Q1 tdt
0 0 ?Q t
0 0
 31
Zt
? 0 ((p) ? (P ); p ? p^)e?Q1tdt
Zt Zt
 0 ((p) ? (P ); p ? P )e?Q1tdt ? C f 0 kp ? p^k2e?Q1 tdt + k(p0 ) ? (P 0)k2g
Zt Zt
?f 0
k(p) ? (P )k e dt + k 0 (:; t)e?Q1tdtk2g:
2 ?Q 1 t (4.24)
The second term is,
Zt Zt
Ss (@t(^p ? P ); e?Q1s (:; s)ds)dt
0 t
Zt Zt
 Ss k k2e?Q1tdt ? CSskp^0 ? P 0k2 ? Ssk (:; s)e?Q1s dsk2:
0 0
(4.25)
So, integrating (4.23) over (0; t) gives,
Zt Zt
((p) ? (P ); p ? P )e dt + Ss kp^ ? P k2e?Q1tdt
? Q 1 t
0 0
Z Z ! 2
+ 21 K ((p0 ))
t
 (:; s)e?Q1 s ds dx

0
Z tZ Zt !2
1
+ 2 Q1 ?
K ((p)) e (:; s)ds eQ1tdxdt
Q 1 s
0
t
Zt Zt Zt
 C 0 k t e?Q1s(:; s)dsk2eQ1tdt + C 0 kp ? p^k2e?Q1 tdt + C k(p0) ? (P 0)k2
Zt Zt
+ CSskp^ ? P k + f k(p) ? (P )k e dt + k (:; t)e?Q1tdtk2g
0 0 2 2 ?Q 1 t
0 0
Zt
+  f1 + h?d kk2gk(p) ? (P )k2e?Q1tdt
0
Zt
+  fku ? uk2 + ku~ ? u~^ k2ge?Q1tdt: (4.26)
0
Since  is Lipschitz in p,
Zt Zt
 k(p) ? (P )k2e?Q1tdt   kp ? P k2e?Q1tdt
0 0
Zt
  0 kp ? p^k2e?Q1tdt
Zt
+  0 k (:; t)k2e?Q1tdt: (4.27)
Choosing Q1 to exactly cancel the last left-hand side term in (4.26) with the rst
right-hand side term, again using the fact that  is Lipschitz and choosing  small
 32

enough gives,
Zt Zt
((p) ? (P ); p ? P )e?Q1 tdt + S s kp^ ? P k2e?Q1tdt
0 0
Z Zt !2
1
+ 2 K ((p )) 0 (:; s)e?Q1 s ds dx

0
Zt
 C 0 kp ? p^k2e?Q1tdt + C k(p0) ? (P 0)k2 + CSskp^0 ? P 0k2
Zt
+ k 0 (:; t)e?Q1tdtk2
Zt
+ h 0 kk2k(p) ? (P )k2e?Q1 tdt
? d
Zt
+  fku ? uk2 + ku~ ? u~^ k2ge?Q1tdt
0
Zt
+  0 k (:; t)k2e?Q1tdt: (4.28)
Before continuing, we present the following lemma.
Lemma 4.2 For P and U~ dened as in equations (3.29)-(3.31) and for
= p^ ? P and  = u~^ ? U~ , we have,
Z t k k  C k k; (4.29)
Z t
e?Q1s (:; s)ds  C e?Q1s(:; s)ds :
(4.30)
t t

Proof Let  satisfy the equation ?
 = , and let f satisfy,

f = ?r; in
; (4.31)
f
n = 0; on ?N ; (4.32)
 = 0; on ?D ; (4.33)
where we have assumed that ?D 6= ;. Then, recalling (4.9),
k k2 = ( ; r
f ) = ( ; r
f ) = (; f )
 kk(kf ? f k + kf k)
 kk(Chkf k1 + kf k)
 C kkkk2
 C kkk k;
 33

where the last inequality holds by elliptic regularity. In a similar manner (4.30) is
shown.
Applying approximation results, (3.18) and (3.23), and Lemma 4.2 to equation
R
(4.28) and noting that 0t e?Q1tdt = Q11 (1 ? eQ11 t ) = C , gives,
Zt Zt
0
((p) ? (P ); p ? P )e dt + Ss 0 kp^ ? P k2e?Q1tdt
?Q 1 t

Z Zt !2
1 (:; s)e?Q1 s ds dx
2
K ((p )) 0
+ 0

 Ch2(k+1) + C k(p0) ? (P 0)k2 + CSskp^0 ? P 0k2

Zt
+ h?d kk2k(p) ? (P )k2e?Q1tdt: (4.34)
0
This completes the rst part of the proof. We come back to this estimate later.
Let w = in (4.8), v =  in (4.9) and v =  in (4.10) and combine the three
resulting equations to get,
(@t((p) ? (P )); p^ ? P ) + (Ss @t(^p ? P ); p^ ? P ) + (u ? u; )
+ (K ((p))u~ ? K ((P ))U ~ ; ) = 0: (4.35)
Now,
K ((p))u~ ? K ((P ))U~ = K ((p))(u~ ? u~^ ) + K ((P ))(u~^ ? U~ )
+(K ((p)) ? K ((P )))u~^ : (4.36)
Combining equations (4.36) and (4.35), applying approximation properties (3.18)
and (3.23), using the assumption that K is Lipschitz and using the arithmetic-
geometric inequality,
(@t((p) ? (P )); p ? P ) + (Ss@t(^p ? P ); p^ ? P ) + 1 (K ((P )); )
2
= ?(u ? u; ) ? (K ((p))(u~ ? u~); ) ? ((K ((p)) ? K ((P )))u~^ ; )
^
+(@t((p) ? (P )); p ? p^)
 Ch2(k+1) + C k(p) ? (P )k2 + (@t((p) ? (P )); p ? p^): (4.37)
Note that,
Zp
@t ((}) ? (P ))d} = ((p) ? (P ))@tp ? @t(P )(p ? P )
P
= ((p) ? (P ))@tp + @t[(p) ? (P )](p ? P )
?@t(p)(p ? P ): (4.38)
 34

So,
@t[(p) ? (P )](p ? P )e?Q2t
Zp Zp
= @t[ ((}) ? (P ))d}e ] + Q2 ((}) ? (P ))d}e?Q2t
? Q 2 t
P P
+ f@t(p)(p ? P ) ? ((p) ? (P ))@tpge?Q2t: (4.39)
Consider the last term in this equation and apply the chain rule and Mean Value
Theorem, where for some w 2 (P; p),
j@t(p)(p ? P ) ? ((p) ? (P ))@tpj
= j(@p(p) ? @p(w))(p ? P )@tpj
 C j(p) ? (w)j jp ? P j
 C j(p) ? (P )j jp ? P j
 C j((p) ? (P ))(p ? P )j2=(1+) + fjp^ ? P j2 + jp ? p^j2g; (4.40)
where we have used the inequality, [4]
jabj  p=q1 p jajp + q jbjq; (4.41)
for any 1 < p < 1; p1 + q1 = 1, which implies, jajjbj  C jabj2=(1+) + b2.
Multiplying (4.37) by e?Q2t, combining with the above bounds and integrating
from 0 to t gives,
Z tZ Z p Z tZ Z p
@ [ ((}) ? (P )d}]e dxd + Q2
? Q 2  ((}) ? (P ))d}e?Q2  dxd
0
P 0
P
Zt 1 Zt
+ (Ss@ (^p ? P ); p^ ? P )e d +
?Q 2  (K ((P )); )e?Q2 d
0 2 0
Zt Zt
 Ch 2(k +1) + C k(p) ? (P )k e d + (@t((p) ? (P ); p ? p^)e?Q2 d
0
2 ?Q 2 
0
Z Zt
+
0 j((p) ? (P ))(p ? P )j2=(1+)e?Q2 ddx
Z Zt
+  (jp^ ? P j2 + jp ? p^j2)e?Q2 ddx: (4.42)

0
R
Lemma (4.1) implies that, C ((v) ? (w))2  wv (() ? (w))d. So, the above
becomes,
Zt Zt
C (@ k(p) ? (P )k2e?Q2 d + Q2 k(p) ? (P )k2e?Q2 d
0 0
 35
Zt Zt
+ (Ss@ (^p ? P ); p^ ? P )e?Q2  d + 21 (K ((P )); )e?Q2 d
0 0
Zt Zt
 Ch2(k+1) + C 0 k(p) ? (P )k2e?Q2 d + 0 (@ ((p) ? (P ); p ? p^)e?Q2 d
Zt Zt
+ 0 j((p) ? (P ); p ? P )j 2=(1+ ) e d +  0 kp^ ? P k2e?Q2  d
?Q 2 
Zt
+  kp ? p^k2e?Q2 d (4.43)
0
By integration by parts,
Zt
(@ ((p) ? (P ); p ? p^)e?Q2 d
0 Zt Zt
= ? ((p) ? (P ); @ (p ? p^))e d + Q2 ((p) ? (P ); p ? p^)e?Q2 d
?Q 2 
0 0
+((p) ? (P ); p ? p^)e ? ((p ) ? (P ); p0 ? p^0)
?Q 2 t 0 0
Zt Zt
  0 k(p) ? (P )k2e?Q2 d + C 0 k@ (p ? p^)k2e?Q2 d
Zt Zt
+Q2 k(p) ? (P )k2e?Q2 d + Q2 kp ? p^k2e?Q2  d + ^k(p) ? (P )k2e?Q2t
0 0
+C kp ? p^k2e?Q2t + j((p0) ? (P 0); p0 ? p^0 )j: (4.44)
Also by integration by parts,
Zt Zt
C (@ k(p) ? (P )k )e d = Q2C k(p) ? (P )k2e?Q2 d
2 ?Q 2 
0 0
+C k(p) ? (P )k2e?Q2t
?C k(p0) ? (P 0)k2; (4.45)
and
Zt Z t Ss
(Ss@ (^p ? P ); p^ ? P )e?Q2  d =@ kp^ ? P k2e?Q2  d
0 0 2
Zt
= Ss2Q2 kp^ ? P k2e?Q2 d + S2s kp^ ? P k2e?Q2
0
? S2s kp^0 ? P 0k2: (4.46)
Combining (4.44) and (4.45) with (4.43) gives,
Zt Zt
Q2C 0 k(p) ? (P )k2e?Q2 d + C k(p) ? (P )k2e?Q2t + Ss2Q2 0 kp^ ? P k2e?Q2 d
Zt
+ S2s kp^ ? P k2e?Q2 + 41 (K ((P )); )e?Q2 d
0
 36
Zt Zt
 Ch2(k+1) + (Q2 + C ) 0 k(p) ? (P )k2e?Q2 d + C 0 k@ (p ? p^)k2e?Q2 d
Zt
+
0
j((p) ? (P ); p ? P )j2=(1+)e?Q2 d + ^k(p) ? (P )k2e?Q2 t
+ j((p0) ? (P 0); p0 ? p^0 )j + C k(p0) ? (P 0)k2 + S2s kp^0 ? P 0k2: (4.47)
So, choosing Q2 and  to make the rst left-hand side term cancel the second
right-hand side term, noting that the third left-hand side term is nonnegative and
taking ^ small enough,
S s 1 Zt
C k(p) ? (P )k e + 2 kp^ ? P k e + 4 (K ((P )); )e?Q2 d
2 ?Q 2 t 2 ?Q 2 
Zt 0
 Ch2(k+1) + 0 j((p) ? (P ); p ? P )j2=(1+)e?Q2 d + j((p0) ? (P 0); p0 ? p^0)j
+C k(p0) ? (P 0)k2 + S2s kp^0 ? P 0k2: (4.48)
Take P 0 = p^0. Then,
k(p0) ? (P 0)k2  C (kp0 ? p^0k2 + kp^0 ? P 0k2)  Ch2(k+1):
Thus,
Zt
C k(p) ? (P )k2e?Q2t + Ss kp^ ? P k2e?Q2
2 + 1
4 0
(K ((P )); )e?Q2 d
Z t 2=(1+)
 C fh2(k+1) + j((p) ? (P ); p ? P )je?Q2(1+)=2d
0
g; (4.49)
where we have used the Holder inequality with p = (1+  )=2 and q = (1 ?  )=(1+  ).
This completes the second part of the proof. We now combine the rst two parts to
derive the desired estimate.
For some xed value C0 independent of h, let T 0  T be the largest value of time
for which,
ku~^ ? U~ kL2(J 0;L2(
))  C0hd=(3?1); (4.50)
~ = 0 and u~ is
where J 0 = (0; T 0) and d is the spatial dimension. Since initially u~^ ? U
assumed continuous in time, we must have T 0 > 0.
We make use of the following inequality [4]. If 21 <   1, then
jabcj  jbj + (jaj=(2?1)jbj)(2?1)=jcj: (4.51)
 37

Note that since 0 <   1, k + 1  2(k1++1)  .

Let t = t be the time when ess supt2(0;J 0) k(p) ? (P )k is attained. Then, com-
bining equations (4.34) and (4.49),
k(p) ? (P )k2L1 (J 0;L2(
)) + Sskp^ ? P k2L1 (J 0;L2 (
)) + ku~^ ? U~ k2L2(J ;L2(
))
Zt !2=(1+)
 Ch (k +1)(4=(1+ )) + h ?d ^ ~
ku~ ? Uk k(p) ? (P )k e dt
2 2 ?Q 1 t
0
 Ch(k+1)(4=(1+))
+(h?dku~^ ? U~ k2L2 (J ;L2(
))k(p) ? (P )k2L1 (J 0;L2(
)))2=(1+)
 Ch(k+1)(4=(1+)) + 2=(1+)fku~^ ? U~ k2L2 (J ;L2)
+((h?d2=(3?1)ku~^ ? U ~ k2L2(J ;L2))(3?1)=2k(p) ? (P )k2L1 (J 0;L2)g; (4.52)
where J = (0; t), inequality (4.51) is used to derive the last inequality, and we have
assumed 3 > 1 so that  = 2=(1 +  ) > 12 . In (4.50), we took the exponent on h
to be exactly large enough to cancel the ?d exponent in (4.52). Now, since t  t0,
we can use (4.50) and take  small enough to hide the last two right-hand side terms.
Thus,
k(p) ? (P )k2L1 (J 0;L2) + Sskp^ ? P k2L1(J 0 ;L2(
)) + ku~^ ? U~ k2L2 (J ;L2)
 Ch(k+1)(4=(1+)): (4.53)
Without a bound on ku~ ? U~ k or k(p) ? (P )k, we could not have hidden the last
right-hand side term. We thus assumed the minimum for one bound and derived the
other. We now can improve the rst.
Let t = T 0 and again combine equations (4.34) and (4.49),
k(p) ? (P )k2L1(J 0 ;L2(
)) + Sskp^ ? P k2L1 (J 0;L2(
)) + ku~^ ? U~ k2L2(J 0 ;L2(
))
 Ch(k+1)(4=(1+)) + 2=(1+)fku~^ ? U~ k2L2(J 0 ;L2)
+((h?2d=(3?1)ku~^ ? U ~ k2L2(J 0;L2 ))3?1=2k(p) ? (P )k2L1(J 0 ;L2)g: (4.54)
Using the bounds (4.53) and (4.50) and taking  small enough gives,
ku~^ ? U~ k2L2(J 0;L2)  Ch(k+1)(4=(1+)): (4.55)
We continue by contradiction. Suppose that T 0 < T , that h0 > 0 is xed and that
k + 1 > d(1 +  )=(2(3 ? 1)) > 0: Then,
ku~^ ? U~ kL2 (J 0;L2)  Ch2(k+1)=(1+)  21 C0hd=(3?1)); (4.56)
 38

for all values of h < h0. Since T 0 < T and T 0 is the maximal value such that (4.50)
is true, we have a contradiction. Thus, T 0 = T and,
ku~^ ? U~ k2L2 (J ;L2)  Ch(k+1)(4=(1+)): (4.57)
This, together with (4.53) gives the desired result.
We have the following corollary,
Corollary 4.1 For the scheme given by (3.29)-(3.31) and  = k +1 with
k + 1 > d(1 +  )=(2(3 ? 1)) > 0, we have,
Z T 1
((p) ? (P ); p ? P )dt 2  Ch: (4.58)
0

Proof Let t = T in (4.34) to get,

ZT
((p) ? (P ); p ? P )e?Q1tdt
0
ZT
 Ch 2(k +1) + h ?d
0
ku~^ ? U~ k2k(p) ? (P )k2e?Q1tdt
 Ch2(k+1) + h?dk(p) ? (P )k2L1(J ;L2(
))ku~^ ? U~ k2L2(J ;L2 (
))
 Ch2(k+1) + h2(k+1)4=(1+)?d
 Ch2(k+1) + h2(k+1)4=(1+)?(k+1)2(3?1)=(1+)
 Ch2(k+1): (4.59)

 1
As Arbogast [4] points out, the nonlinear form R0T ((p) ? (P ); p ? P )dt 2 tells
us something about the error of the scheme, since for two constants c and C ,
cj(p) ? (P )j  (((p) ? (P ))(p ? P )) 12  C jp ? P j:
Thus, as the nonlinear form gets smaller, the error in the water content also decreases.
Furthermore, the bound on the nonlinear form is optimal, since O(hk+1 ) is the order
of truncation error for approximation with polynomials of order k.
The estimates in this section show bounds for the case where the equation is
degenerate. For this case, Ss can be 0, and we have only a bound on k(p) ? (P )k.
In the next section we make a simplifying assumption that allows us to bound the
error in the hydraulic head directly.
 39

4.2 Strictly Partially Saturated Flow

In this section, the case of strictly partially saturated ow is analyzed. It is assumed
that the ow never reaches the fully saturated realm and thus that the derivative,
@=@p is never zero.
The following assumptions are made.
1. The tensor K is symmetric, positive denite and bounded, i.e. K  Kij  K 
for all i and j , where K and K  are xed positive constants.
2. The tensor K is Lipschitz in . Thus, there exists a constant LK independent
of two numbers, 1 and 2 such that, kK (1) ? K (2)k  LK k1 ? 2k.
3. The function  is Lipschitz in p. Thus, there exists a constant L independent
of two numbers, p1 and p2 such that, k(p1) ? (p2)k  L kp1 ? p2 k.
4. The function (p) is monotone increasing in p, 0(p) > 0.
5. The specic storage Ss = 0.
6. The derivative @pK is bounded above, j@pK j  C .
In this section, K is considered to be a function of p and not specically of (p).
The estimates given are simpler than in the previous section. As a consequence, we
consider a discrete time scheme.
Again consider the variational formulation of Richards' equation given in equations
(3.13)-(3.15). The discrete time numerical scheme considered here is that given in
equations (3.33)-(3.35).
Before analyzing this case, we give without proof a lemma proven in [4] which will
be used in the following arguments,
Lemma 4.3 Suppose that un, un?1 , vn and vn?1 are real numbers.
Suppose also that  : IR 7! IR is such that 0  0  Q < 1 and j00j  Q
for some constant Q. Then,
Z u n
dt((u) ? (v)) (u ? v ) = dt [() ? (v)]d ? E; (4.60)
n n n
v
where
E  C 0f(un ? vn)2 + (un?1 ? vn?1)2 + (
tn)2g; (4.61)
for some C 0 depending on Q and jdtuj.
 40

The main result of this section is as follows.

Theorem 4.2 Let (P n ; U~ n; Un ) 2 (Wh; Vh ; VhN ) satisfy the equations
(3.33)-(3.35) for each time step n; n = 1; : : : ; N . Then,
XN !1=2
kP ? p k +
N N KkU~ ? u~ k
t
n n 2 n  C (hk+1 +
t):
n=1

Proof Subtracting equations (3.13)-(3.15) from equations (3.33)-(3.35) gives the

error equations,
(dt((P ) ? (p))n ; w) + (r
(Un ? un); w)
= ?(dt(pn ) ? @@t (pn ) ; w); (4.62)
~ n ? u~^ n ; v) = (P n ? p^n ; r
v);
(U (4.63)
(Un ? un; v) = (un ? un; v) + (K (pn )(u~^n ? u~n); v)
~ n ? u~^ n ); v) + ((K (P n ) ? K (pn ))u~^ n; v):(4.64)
+ (K (P n )(U
~ n ? u~^ n and n = Un ? un. Let w = n in (4.62),
Let, n = P n ? p^n ; n = U
v = n in (4.63) and v = n in (4.64), giving,
(dt((P n ) ? (pn )); P n ? pn ) + (r
n; n)
= (dt((P ) ? (p))n ; p^n ? pn ) ? (dt(pn ) ? @@t
(pn ) ; n);
(n ; n ) = ( n; r
n ); (4.65)
n
(n ; n ) = +(un ? un; n) + (K (pn )(u~^ ? u~n); n) + (K (P n )n; n)
+ ((K (P ) ? K (p))u~^ n; n): (4.66)
Combine these equations to get,
(dt((P ) ? (p))n ; P n ? pn ) + (K (P n )n; n)
@ (pn ); n)
=(dt((P ) ? (p))n ; p^n ? pn ) ? (dt(pn ) ? @t
? (un ? un; n ) ? (K (pn )(u~^ n ? u~n); n)
? ((K (P n) ? K (pn ))u~^ n ; n ): (4.67)
 41

By the Mean Value Theorem,

((K (P n) ? K (pn ))u~^ n ; n ) = (K 0(z)(P n ? pn )u~^ n; n);
where z 2 (P n ; pn).
Consider the rst term on the left-hand side of equation (4.67) and apply Lemma
4.3 to give,
Z Z Pn !
(dt((P ) ? (p)) ; P ? p ) 
n n n dt n (() ? (p ))d dx
n

p
?C fkP n ? pn k2 + kP n?1 ? pn?1 k2
+(
tn)2g: (4.68)
Using the integral form of the remainder in Taylor's Theorem and the Schwarz
inequality, the time discretization error term is bounded by,
j(dt(pn ) ? @t@ (pn ); n)j  C k nk2 + C kdt(pn ) ? @t@ (pn )k2
Z tn 2
 C k nk2 + C k
1tn tn?1 @ @t(2p) (t ? tn?1)dtk2
 C k nk2 + C
tnk @ @t(2p) k2L2((tn?1;tn);L2):
2
(4.69)
Combining the above bounds with equation (4.67),
Z Z Pn !
dt n (() ? (p ))d dx + (K (P n)n; n )
n

p
 (dt((P ) ? (p))n ; p^n ? pn ) + kn k2
+ C fkun ? un k2 + ku~n ? u~^ nk2 + kP n ? pnk2 + kP n?1 ? pn?1 k2
@ 2(p)
+ C
t k 2 k2L2 ((tn?1;tn);L2) + (
tn)2g:
n (4.70)
@t
Taking  small enough, the kn k2 term can be brought to the left-hand side.
Multiply by
tn and sum on n = 1; : : : ; N . The rst term on the left-hand side
collapses giving,
XN Z Z Pn ! Z Z PN

t n dt n (() ? (p ))d dx =
n
N
(() ? (P N ))ddx
n=1
p
p
Z Z P0
? 0 (() ? (p0))ddx: (4.71)

p
 42

Applying summation by parts, the rst term on the right-hand side becomes,
XN
(dt ((P n) ? (pn )); p^n ? pn )
tn
n=1
= ((P N ) ? (pN ); p^N ? pN ) ? ((P 0) ? (p0 ); p^1 ? p1)
XN
? ((P n) ? (pn ); dt(^pn+1 ? pn+1 ))

t tn
tn
n+1
n=1
 kP N ? pN k2 + C kp^N ? pN k2 + C kP 0 ? p0 k2 + C kp^1 ? p1k2
X
+ C fkP n ? pn k2 + k @ (^p @t? p ) k2g
tn;
N n n
(4.72)
n=1
where the assumption (3.32) has been used.
Since 0 is bounded above and below by positive constants, there exists a constant
Q such that,
Zv
Q?1(v ? u)2  (() ? (v))d  Q(v ? u)2: (4.73)
u
Combining these bounds gives the following estimate,
X
N
kP N ?pN k2 + Kknk2
tn
n=1
 C kP 0 ? p0k2 + C kp^N
? pN k2 + kp^1 ? p1k2
X
+ C fkP n ? pn k2 + k @ (^p ? p ) k2 + kun ? un k2 + ku~n ? u~^ nk2g
tn
N n n
n=1 @t
+ (
tn)2: (4.74)
Take P 0 = p^0 and apply Gronwall's Lemma 3.1 to equation (4.74) to remove the
rst term in the sum on the right-hand side. Taking approximation properties of the
L2 and  projections results in,
XN
kP N ? pN k2 + K ku~^ ? U~ n k2
tn  C (h2(k+1) + (
t)2); (4.75)
n=1
where k is the order of the approximating space.
Thus, in the case of strictly partially saturated ow, convergence for both hydraulic
head and velocity is optimal.
 43

4.3 Unsaturated to Fully Saturated Flow

In this section, the case of ow through unsaturated to fully saturated soil is consid-
ered. In this situation, K can be zero, and Richards' equation is degenerate. The
general technique of Arbogast, Wheeler and Zhang [6] is followed for this analysis.
We write Richards' equation in the following way,
@(p) ? r
(K (x)k((p))rp) = f; (4.76)
@t
where in the case of fully saturated ow, we neglect the specic storage term. We
allow for the case that k((p)) = 0, a condition arising when the porous media is
at residual saturation. Note here that we assume the relative permeability is only a
function of hydraulic head. The results given below can be generalized to the case
where relative permeability also depends on position.
The following analysis will employ the Kirchho transformation,
Zp
R(p) = k((}))d};
0
(4.77)
with gradient,
rR(p) = k((p))rp: (4.78)
Dening u~ = ?rR and u = K (x)u~, equation (4.76) can be written as the follow-
ing equivalent system of equations,
@(p) + r
u = f; (4.79)
@t
u~ = ?rR; (4.80)
u = K (x)u~: (4.81)
Alt and Luckhaus [3] state the following regularity results for the above equation,
(p) 2 L1 (J ; L1(
)); (4.82)
@t(p) 2 L2(J ; H ?1(
)); (4.83)
u~ 2 L2(J ; (L2(
))d ): (4.84)
Since @t is only in L2(J ; H ?1(
)), a variational formulation of the problem would
require trial functions for equation (4.79) to be taken in H 1(
). In order to relax
this requirement, an alternate time integrated variational formulation developed by
Arbogast, Wheeler and Zhang [6] is considered.
 44

For this formulation, we need to integrate  in time, but equation (4.82) does
not guarantee that (p) exits pointwise everywhere in time. However, we know that
physically  is dened at every time and we assume that (p) 2 L1(J ; L1(
)) so
that (p) exists pointwise for each t. Therefore, (4.79) can be integrated to get,
Zt Zt
(p(:; t)) + r
ud = fd + (p0): (4.85)
0 0
Since physically, the normal components of the ow ux are continuous, r
u 2
L (
). Thus, the integral R0t ud is in L2(J ; H (
; div)), and the following variational
2
formulation can be dened,
Zt Zt
((p); w) + (r
ud;w) = ( fd; w) + ((p0); w); w 2 W; (4.86)
0 0
(u~; v) =(R(p); r
v) ? (R(pD ); v
n)?D ; v 2 V0; (4.87)
(u; v) =(K (x)u~; v); v 2 V: (4.88)
The continuous time numerical scheme is to nd (P; U ~ ; U) 2 (Wh; Vh ; VhN ) satis-
fying,
Zt Zt
((P ); w) + (r
Ud;w) = ( fd; w) + ((P 0); w); w 2 Wh; (4.89)
0 0
(U~ ; v) =(R(P ); r
v) ? (R(pD ); v
n)?D ; v 2 Vh0 ; (4.90)
(U; v) =(K (x)U~ ; v); v 2 Vh : (4.91)
Theorem 4.3 For the numerical scheme given by equations (4.89)-
(4.91), the following bounds hold,
ZT ZT
((P ) ? (p); e?rt(Rd(P ) ? Rd(p))) + kK 1=2 dsk2
0 0
ZT ZT
C fe?rT k 0 K 1=2(u~ ? u~^ )d k2 + 0 e?rtkK 1=2(u~ ? u~^ )k2dt
ZT ZT
+ e?rT k (u ? u)d k2 + e?rtku ? uk2dtg: (4.92)
0 0
Proof Making use of the L2 and  projections, and then subtracting equations
(4.86)-(4.88) from (4.89)-(4.91) gives the following error equations,
Zt
((P ) ? (p); w) + (r
 (U ? u)d; w) = ((P 0) ? (p0); w); w 2 Wh ; (4.93)
0
~ ? u~^ ; v) =(Rd
(U (P ) ? Rd
(p); r
v); v 2 Vh0 ; (4.94)
~ ? u~); v) + (u ? u; v); v 2 Vh :
(U ? u; v) =(K (x)(U (4.95)
 45

For some constant r dened later, let w = e?rt(Rd

(P ) ? Rd(p)) 2 Wh in (4.93)
resulting in,
Zt
((P ) ? (p); e (R(P ) ? R(p)))+(r
 (U ? u)d; e?rt(Rd
?rt d d (P ) ? Rd
(p)))
0
=((P 0) ? (p0 ); e?rt(Rd
(P ) ? Rd
(p))): (4.96)
In (4.94), let v = e?rt R0t(U ? u)d to give,
Zt Zt
~ ^ d d
(U ? u~; e  0 (U ? u)d ) = (R(P ) ? R(p); r
e  0 (U ? u)d ): (4.97)
? rt ?rt

Lastly, integrate (4.95) from 0 to t holding v xed and multiply by ert. Then, let
v = U~ ? u~^ so that,
Zt
(e?rt (U ? u)d; U ~ ? u~^ )
0
Zt Zt
=(e?rt K (x)(U~ ? u~)d; U~ ? u~^ ) + (e?rt (u ? u)d; U
~ ? u~^ ): (4.98)
0 0
Combining the above three equations results in,
 Zt 
((P ) ? (p);e?rt(Rd(P ) ? Rd
(p))) + e?rt K (x)(U ~ ? u~^ ); U~ ? u~^
0
 Zt   Zt 
= e ?rt ^ ~ ^
K (x)(u~ ? u~); U ? u~ + e ? rt ~
(u ? u); U ? u~ ^
0 0
+ ((P 0) ? (p0); e?rt(Rd (P ) ? Rd
(p))): (4.99)
Let  = U ~ ? u~^ and integrate (4.99) in time from 0 to T . Then, consider the
second left-hand side term of (4.99),
d K (x) Z t ds; Z t ds = 2 K (x); Z t ds : (4.100)
dt 0 0 0
R R
So, (e?rt 0t K (x); ) = 21 e?rt dtd kK 1=2 0t dsk2: Thus, by integration by parts,
ZT Zt  ZT Z t 2
K (x); e?rt ds = 21 re?rt K 1=2 ds dt
0 0 0 0
Z 2
? rT
+e 2 K1 1 =2 T
 ds : (4.101)
0
Therefore, (4.99) integrated in time is,
Z T
d d  1 Z T ?rt 1=2 Z t 2
0
(P ) ? (p); e (R(P ) ? R(p)) + 2 0 re K 0 ds dt
?rt
 46

Z T 2
+ e?rT 1 K 1=2 ds
2 0
ZT  Zt  Z T Z t 
rt ^
= 0 e 0 K (x)(u~ ? u~);  + 0 e 0 e (u ? u); 
? ? rt r
ZT
+ ((P 0) ? (p0); e?rt(Rd (P ) ? Rd (p))): (4.102)
0
Now, by integration by parts,
ZT Zt 
e?rt K (x)(u~ ? u~^ );  dt
0 0
ZT Zt Zt  ZT Zt 
? rt ^
=r 0 e 0 K (x)(u~ ? u~)d; 0 d dt ? 0 e K (x)(u~ ? u~); 0 d dt ? rt ^
ZT ZT !
+ e 0 K (x)(u~ ? u~); 0 d
? rT ^
Z T Zt 2 Z T Z t 2
Cr 0 e K 0 (u~ ? u~)d dt + r 0 e K 0 d dt
? rt 1= 2 ^ ? rt 1= 2

ZT Z T Z t 2
+ C e kK (u~ ? u~)k dt +  e K
? rt 1 =2 ^ 2 ? rt 1= 2  d dt
0 0 0
Z T 2 Z T 2
1 =2
+ Ce 0 K (u~ ? u~^ )d + e K 0 d :
? rT ? rT 1= 2 (4.103)
Similarly,
ZT Zt 
e ? rt (u ? u); 
0 0
Z T Z t 2 Z T Z t 2
Cr 0 e 0 (u ? u)d dt + ~r 0 e?rt 0 d dt
? rt
ZT Z T Z t 2
+ C e ku ? uk dt + ~ e?rt d dt
? rt 2
0 0 0
Z T 2 Z T 2
+ Ce?rT (u ? u)d + ~e?rT d : (4.104)
0 0
Take the initial approximation, P 0, such that, ((P 0) ? (p0); w) = 0; 8w 2 Wh .
This is done by computing P 0 = ?1(d (p0)), where (^p0)jEi = m(1Ei) Ei (p0 ).
R
Thus, combining equations (4.103)-(4.104) with equation (4.102), taking  and ~
small enough and choosing r large enough to exactly cancel the second left-hand side
term in (4.102) gives,
ZT Z T 2
rt d
((P ) ? (p); e (R(P ) ? R(p))) + K
? d 1 =2  ds
0 0
 47

Z T 2 Z T
C fe?rT K 1=2(u~ ? u~^ )d + e?rtkK 1=2(u~ ? u~^ )k2dt
0 0
Z T 2 Z T
+ e (u ? u)d + e?rtku ? uk2dtg:
?rT (4.105)
0 0

The theorem just proven bounds the error in the numerical ux by approximation
bounds. Thus, once the regularity of the solution is known, the error in the ux will
have the same asymptotic behavior as approximation in the discrete space.
The next estimate gives a bound in the H?1 norm of the numerical approximation
to hydraulic head in the case that @=@p > 0. The above result is used to derive this
result.
Let 2 H01(
). Then, equation (4.93) and the denition of the L2 projection
imply,
((P ) ? (p); ) =((P ) ? (p); ? ^) + ((P ) ? (p); ^)
 Zt 
^
=((P ) ? (p); ? ) ? r
 (U ? u)d; ^
 Zt 0 
^
=((P ) ? (p); ? ) +  (U ? u)d; r ; (4.106)
0
where we have used integration by parts, the denition of the  projection and have
again choosen P 0 so that the initial term is 0.
Now, assuming  is Lipschitz continuous, and again using the denition of the L2
projection,
((P ) ? (p); ? ^) = ((P ) ? (^p); ? ^) + ((^p) ? (p); ? ^)
 0 + Chkp^ ? pkk kH1 : (4.107)
Also,
 Zt  Z t
 (U ? u)d; r   (U ? u)d k kH1 :
(4.108)
0 0
Integrating equation (4.95) from 0 to t holding v xed and then taking v =
Rt
 0 (U ? u)d , results in,
Z t 2  Z Z 
 (U ? u)d = K (x) t(U~ ? u~)d;  t(U ? u)d
0 0 0
 48
Z t Zt 
+ (u ? u)d;  (U ? u)d
0 Z t 02 Z t 2
1=2 ~
 C K 0 (U ? u~)d + C 0 (u ? u)d
Z t 2
+  0 (U ? u)d :
(4.109)
Combining equations (4.106)-(4.109) and recalling the denition of the H?1 norm,
equation (3.1), gives,
k(P ) ? (p)kH?1
Zt Z t
1=2 ~
C fhkp^ ? pk + K 0 (U ? u~)d + 0 (u ? u)d g:
(4.110)
For a given time t, apply the mean value theorem to write,
(P (:; t)) ? (p(:; t)) = 0(w(t))(P (:; t) ? p(:; t))  C (P ? p): (4.111)
Thus,
kP ? pkH?1
Zt Z t
1=2 ~
C fhkp^ ? pk + K 0 (U ? u~)d + 0 (u ? u)d g: (4.112)
So, with Theorem 4.3, the error in hydraulic head is bounded in terms of approxima-
tion error.
 49

Chapter 5
Two-Level Methods for Nonlinear Parabolic
Equations
The analysis in the previous chapter applies to discretizing the full nonlinear problem
on a computational grid of cell diameter h. However, due to the highly nonlinear
nature of  and K , solving the resulting discrete nonlinear system is computationally
very expensive. Thus, alternative schemes which get around solving the full nonlinear
mixed formulation of Richards' equation are attractive.
One alternative approach is to consider linearizing the equation before discretiza-
tion. For this approach, one would solve the full nonlinear problem on a coarse grid
with a small amount of unknowns, then use that coarse grid solution to linearize the
problem on a ne grid. This idea of using a two level scheme for nonlinear problems
was rst developed by Xu [63, 64] who applied it to nonlinear elliptic equations with
Galerkin nite elements and extended by Dawson and Wheeler [22] to the expanded
mixed method applied to nonlinear parabolic equations.
Xu showed optimal H1 convergence for both the coarse and ne grids. Dawson
and Wheeler showed optimal H1 and L2 estimates for the coarse and ne grids,
and for the case of the lowest order Raviart-Thomas-Nedelec space, they showed
superconvergence for the coarse grid in both norms.
In this work, we will show superconvergence results in certain discrete norms on
both grids for a nite dierence scheme applied to the nonlinear heat equation. This
is a rst step in trying to apply the two-level technique to Richards' equation. After
completing this analysis. We show convergence results for a two-level scheme with the
expanded mixed method applied to Richards' equation. For this scheme, the equation
is not fully linearized on the ne grid. To fully linearize the equation would require
giving up a mass conserving scheme. Previous work has shown that solutions become
inaccurate when mass balance is lost. We thus leave the time term nonlinear on the
ne grid and just consider linearizing the hydraulic conductivity term.
 50

Two quasi-uniform triangulations of

are considered, a coarse triangulation with
mesh size H denoted by TH , and a ne triangulation with mesh size h denoted by
Th . We assume that Th is a renement of TH . Both these triangulations consist of
rectangles in two dimensions and parallelepipeds in three dimensions.

5.1 A Two-Level Finite Dierence Scheme

We begin with a nite dierence scheme for the nonlinear heat equation,
@p ? r
K (p)rp = f; (5.1)
@t
?K (p)rp
n = 0: (5.2)
For simplicity we consider homogeneous Neumann boundary conditions. It is
straightforward to extend the following results to nonhomogeneous conditions. The
following assumptions are made.
1. The tensor K is symmetric and positive denite.
2. The tensor K is bounded, i.e. there exist positive constants, K and K  such
that for z 2 IRd,
Kkzk2  ztKz  K kzk:
3. Each element of K is twice continuously dierentiable in space and time with
derivatives up to second order bounded above by K .
4. The tensor K (p) is Lipschitz continuous in p.

5.1.1 A Coarse Grid Nonlinear Finite Dierence Scheme

In this section we develop and give convergence estimates for a nonlinear cell-centered
nite dierence scheme on the coarse grid. For simplicity we consider two dimensions
and note that extensions to three dimensions are straightforward.

Denition of the Scheme

A variational formulation for (5.1)-(5.2) at time tn is to nd (pn ; u~n ; un) 2 (W  V 
V 0) satisfying
(@tpn ; w) + (r
un ; w) = (f n ; w); 8w 2 W; (5.3)
 51

(u~n ; v) = (pn ; r
v); 8v 2 V 0; (5.4)

(un ; v) = (K (pn )u~n ; v); 8v 2 V: (5.5)
Cell-centered nite dierence approximations PHn 2 WH ; U ~ nH 2 VH and UnH 2 VH0
to the functions p(tn ; :); u~(tn; :) and u(tn; :), respectively, are chosen for each n =
1; : : : ; N , satisfying
(dtPHn ; w) + (r
UnH ; w) = (f n ; w); 8w 2 WH ; (5.6)
~ nH ; v)TM = (PHn ; r
v); 8v 2 VH0 ;
(U (5.7)
(UnH ; v)TM = (K (PH (PHn ))U ~ nH ; v)T; 8v 2 VH ; (5.8)
with PH0 = p^H (t0; :):
Recalling that the grid points are denoted by,
(xi+1=2; yj+1=2); i = 0; : : :; Nx; j = 0; : : : ; Ny ;
and midpoints by,
xi = 12 (xi+1=2 + xi?1=2); i = 1; : : : ; Nx;
yj = 21 (yj+1=2 + yj?1=2); j = 1; : : :; Ny ;
dene PH (p) from the values of pij for i = 1; : : : ; N^x and j = 1; : : :; N^y as follows.
For points (x; y) such that xi  x  xi+1; i 2 f1; : : : ; N^xg and yj  y  yj+1; j 2
f1; : : : ; N^y g, take PH (p)(x; y) to be the bilinear interpolant,
PH (p)(x; y) = (pij ( xxi+1 ?? xx ) + pi+1j ( xx ??xix ))( yyj+1 ?? yy )
i+1 i i+1 i j +1 j
x ?
+(pij+1 ( x i+1 ? x ) + pi+1j+1 ( x ? ix ))( y ??yjy ):
x x ? x y
i+1 i i+1 i j +1 j

For i = 1; : : : ; N^x ? 1, set

(2 H y + H y )p ? H y p
PH (p)(xi; y1=2) = 1 2 i1 1 i2 :
y
H1 + H 2 y

This is a two point extrapolation, and by Taylor's theorem j(PH (p) ? p)(xi ; y1=2)j 
CH 2. For points (x; y) such that xi  x  xi+1 and y1=2  y  y1, dene PH (p) as
the bilinear interpolant between pi;1; pi+1;1; PH (p)(xi; y1=2) and PH (p)(xi+1; y1=2). By
interpolation theory jPH (p) ? pj  CH 2 for these points. In a similar way dene
 52

PH (p) for (x; y) such that xi  x  xi+1 and yN^y  y  yN^y+1=2 as well as for points
(x; y) where x1=2  x  x1 or xN^x  x  xN^x+1=2 and yj  y  yj+1 for j such that
1  j  N^y . Lastly, dene PH (p) at the corners of the domain. Here, three point
extrapolation is used,
PH (p)(x1=2; y1=2) = PH (p)1;1=2 + PH (p)1=2;1 ? p1;1
= p1;1=2 + p1=2;1 ? p1;1 + O(H 2 ):
By Taylor's theorem, j(PH (p) ? p)(x1=2; y1=2)j  CH 2. For points (x; y) such that
x1=2  x  x1 and y1=2  y  y1, dene PH (p)(x; y) as the bilinear interpolant of
PH (p)(x1=2; y1=2); PH (p)(x1=2; y1); PH (p)(x1; y1=2) and p1;1 which is an O(H 2 ) approx-
imation to p(x; y) within this \corner region". Similarly, dene PH (p) as an O(H 2)
approximation to p in the other three \corner" regions.
We have just proven the following lemma,
Lemma 5.1 If p is twice dierentiable, then for PH (p) dened above,
kPH (p) ? pkL1  CH 2:

If a uniform mesh is used and K is a diagonal tensor, equations (5.6)-(5.8) reduce

to a standard nonlinear nite dierence procedure. Denoting PHn by P n , in the interior
of
,
n 2 n?
fij H + Pij
tn 1 H 2

= 12 [(K11(PH (P n ))i+1=2j+1=2 + K11(PH (P n ))i+1=2j?1=2)(Pijn ? Pin+1j )

+ (K11(PH (P n ))i?1=2j+1=2 + K11(PH (P n ))i?1=2j?1=2)(Pijn ? Pin?1j )
+ (K22(PH (P n ))i+1=2j+1=2 + K22(PH (P n ))i?1=2j+1=2)(Pijn ? Pijn+1 )
+ (K22(PH (P n ))i+1=2j?1=2 + K22(PH (P n ))i?1=2j?1=2)(Pijn ? Pijn?1 )]
+
Htn Pijn :
2
(5.9)
Existence and uniqueness of a solution to this discrete nonlinear problem is given
in the following theorem.
Theorem 5.1 For time tn and
t suciently small, there exists a unique
solution to equations (5.6)-(5.8).
 53

Proof We are seeking a unique solution to the nonlinear equation F (P n) = 0, where

F (P n) = bn + P n +
Ht2n A(P n)P n . Here, bn is a vector whose entry corresponding to
R
grid cell (xi; yj ) is ?
Ht2n
ij fijn ? Pijn?1 , P is a vector whose ij th entry corresponds
to the value of the scalar variable Pijn and A is a matrix function of P n given by the
stencil above. By Theorem 5.4.5 of Ortega and Reinbolt [52], if F is continuously
dierentiable and uniformly monotone on IRn, then a unique solution to F (P n) = 0
exists. It is easily veried that the F dened above is continuously dierentiable. In
order to prove that F is uniformly monotonic we note that uniform monotoncity is
equivalent to positive deniteness of the Jacobian, J = F 0, and that a real matrix J
is positive denite if and only if its symmetric part, (J + J T )=2, is positive denite
[10, Lemma 3.1]. Furthermore, we know that if a matrix is stricly diagonal dominant
with positive diagonal entries, then the eigenvalues of the matrix have positive real
parts [10, Theorem 4.9]. Now, J = I +
Ht2n A(P n) +
Ht2n A0(P n )P n . Thus, with
Ht2n
suciently small, we have that the symmetric part of J has positive real eigenvalues
and, hence, is positive denite, making J positive denite and F uniformly monotonic.

Preliminary Estimates
Before we show convergence estimates for this nite dierence scheme, we show con-
vergence for a related linear scheme. The arguments given below closely follow those
of Arbogast, Wheeler and Yotov [8] except that we extend their work to time dier-
enced time dependent problems.
Theorem 5.2 For each n = 1; : : : ; N , let (P nH ; U~ nH ; UnH ) 2 (WH  VH 
VH0 ) satisfy
(r
UnH ; w) = (bn; w); 8w 2 WH ; (5.10)
(U~ H ; v)TM = (P nH ; r
v); 8v 2 VH0 ;
n
(5.11)
(UnH ; v)TM = (K (PH (pn ))U~ H ; v)T; 8v 2 VH ;
n
(5.12)
with bn = f n ? @tpn and P 0H = p^0H . We further require the compatibility
condition, R
P nH =
p^n . Then,
R
kUnH ? un kTM + kU~ nH ? u~n kTM  CH 2; (5.13)
kP H ? p kM  CH ;
n n 2 (5.14)
kdtP nH ? dt pn kM  C (H 2 +
t): (5.15)
 54

We will make use of the following lemma proven in Arbogast, Wheeler and Yotov
[8].
Lemma 5.2 For the lowest order RTN space on rectangles and for any
q = (qx; qy ) 2 H 1(
) and E 2 Tk ,
@ (q)xk  k @q k ;
k @x
x
(5.16)
0;E
@x 0;E
@ (q)y k  k @q k :
k @y
y
(5.17)
0;E
@y 0;E

In order to prove the above theorem, we will rst prove two preliminary lemmas.
Lemma 5.3 Assume for each n = 1; : : : ; N , that pn ; @tpn 2 W34(
).
~ ;n 2 VH ; P ;n 2 WH ; Z;n 2 VHn; Z~ ;n 2 VH and W ;n 2
Then, there exist U
WH such that
(U~ ;n; v)TM =(P ;n; r
v); v 2 VH0 ; (5.18)
(Z~ ;n; v)TM =(W ;n; r
v); v 2 VH0 ; (5.19)
(Z;n; v)TM = (K (pn )Z~ ;n; v)T + (@t(K (pn ))U
~ ;n; v)T; v 2 VH ;(5.20)
and there exists a constant C independent of H such that for all i; j ,
jPi;j;n ? pni;j j  CH 2; (5.21)
jWi;j;n ? @tpni;j j  CH 2; (5.22)
jU~x;i;n+1=2j ? u~nx;i+1=2j j + jU~y;ij
;n
+1=2 ? u ~ny;ij+1=2j  CH 2; (5.23)
jZ~x;i;n+1=2j ? @tu~nx;i+1=2j j + jZ~y;ij;n
+1=2 ? @t u ~ny;ij+1=2j  CH 2; (5.24)
jZx;i;n+1=2j ? @tunx;i+1=2j j + jZy;ij ;n
+1=2 ? @tuy;ij +1=2 j  CH :
n 2 (5.25)

Proof Arbogast, Wheeler and Yotov [8] present a lemma which gives the desired
~ ;n above. In order to derive (5.22) and (5.24), we apply a lemma due to
P ;n and U
 55

Weiser and Wheeler [62] to the pair (@tu~n; @tpn ) which, by denition, satises the two
equations,
r
@tu~n = F n; in
;
@tu~n = ?r@tpn; in
;
where F n = @tf n + @ttpn . This result gives a W ;n satisfying (5.22) and through
(5.19), Z~ ;n satises (5.24) in the interior of
. Dene Z~ on ? by,
Z~x;i
;n
+1=2j = @tu~nx;i+1=2j ;
Z~y;ij
;n ~ny;ij+1=2:
+1=2 = @tu

Then, (5.24) clearly holds on ?.

Choosing v in (5.20) to be the basis function associated with node (xi+1=2; yj ), we
have for i = 1; : : : ; N^x ? 1,
Zx;i;n+1=2j = 21 [K11(pn )i+1=2j+1=2 + K11(pn )i+1=2j?1=2]Z~ x;i;n+1=2j
+ 21 [@t(K11(pn ))i+1=2j+1=2 + @t(K11(pn ))i+1=2j?1=2]U ~ x;i;n+1=2j :
Since @tun = K (pn )@tu~n + @tK (pn )u~n , Taylor's theorem gives for i = 1; : : : ; N^x ? 1,
@tunx;i+1=2j = 21 [K11(pn )i+1=2j+1=2 + K11(pn )i+1=2j?1=2]@tu~nx;i+1=2j
+ 21 [@t(K11(pn ))i+1=2j+1=2 + @t(K11(pn ))i+1=2j?1=2]u~nx;i+1=2j + O(H 2):
Therefore,
jZx;i;n+1=2j ? @tunx;i+1=2j j  C jZ~ x;i;n+1=2j ? @tu~nx;i+1=2j j + O(H 2):
In a similar manner we can bound jZy;ij
;n
+1=2 ? @tuy;ij +1=2 j, and (5.25) follows.
n

We can now extend a corollary from Arbogast, Wheeler and Yotov [8] to arrive at
the following statement. For the U~ ;n; P ;n; Z;n; Z~ ;n and W ;n in Lemma 5.3, there
exists a constant C , independent of H , such that
kU~ ;n ? u~n kTM  CH 2;
kZ~ ;n ? @tu~n kTM  CH 2;
kZ;n ? @tun kTM  CH 2:
 56

Lemma 5.4 There exists a constant C independent of H and
t such

that,
kr
(dtun ? dt UnH )k  CH; (5.26)
kdtu~n ? dtU~ nH kTM + kdtun ? dtUnH kTM  C (H 2 +
t): (5.27)

Proof To prove this lemma, consider the time dierence of (5.3)-(5.5),

(r
dtun; w) = (dtbn; w); 8w 2 W; (5.28)
(dt u~n; v) = (dtpn ; r
v); 8v 2 V 0; (5.29)
(dt un; v) = (dt(K (pn ))u~n ; v) + (K (pn?1 )dtu~n ; v); 8v 2 V; (5.30)
and the time dierence of (5.10)-(5.12),
(r
dtUnH ; w) = (dtbn; w); 8w 2 WH ; (5.31)
~ nH ; v)TM = (dtP nH ; r
v); 8v 2 VH0 ;
(dtU (5.32)
(dtUnH ; v)TM = (dt(K (PH (pn )))U ~ nH ; v)T
+(K (PH (pn?1 ))dtU ~ nH ; v)T; 8v 2 VH : (5.33)
Subtract (5.31) from (5.28), and subtract (5.32) and (5.33) from (5.19) and (5.20) to
give,
(r
(dtun ? dtUnH ); w) = 0; (5.34)
(Z~ ;n ? dtU
~ H ; v)TM = (W ;n ? dtP nH ; r
v);
n
(5.35)
(Z;n ? dtUnH ; v)TM = (K (pn )Z~ ;n ? K (PH (pn?1 ))dtU~ H ; v)T
n

+(@t(K (pn )U~ ;n ? dtK (PH (pn ))U~ nH ; v)T: (5.36)
Using (5.34) and applying the Cauchy-Schwarz inequality we have,
kr
(dtun ? dtUnH )k2 = (r
(dtun ? dtUnH ); r
(dtun ? dtun ))
 kr
(dtun ? dt UnH )kkr
(dtun ? dtun )k:
Thus, by (3.24) the rst part of the lemma is obtained.
 57

Now, let v = dtun ? dtUnH in (5.35) and v = Z~ ;n ? dtU ~ nH in (5.36), use (5.34)
and combine to get,
(K (pn )Z~ ;n ? K (PH (pn?1 ))dtU ~ nH ; Z~ ;n ? dtU~ nH )T
= ? (Z~ ;n ? dtU~ nH ; dtun ? dtUnH )TM + (Z;n ? dt UnH ; Z~ ;n ? dtU~ nH )TM
? (@tK (pn )U~ ;n ? dtK (PH (pn))U~ nH ; Z~ ;n ? dtU~ nH )T: (5.37)
Adding (K (PH (pn?1 ))Z~ ;n; Z~ ;n ? dtU~ nH )T to both sides of (5.37), using the bounded-
ness assumption on K , Taylor's Theorem, the Cauchy-Schwarz inequality and (4.2)
results in,
kZ~ ;n ? dtU~ nH kTM  C (kdtun ? Z;nkTM +
tkU~ ;nkTM
+kdt(K (pn ) ? K (PH (pn )))U ~ ;nkT
+kdtK (PH (pn ))(U ~ ;n ? U~ nH )kT + (H 2 +
t)kZ~ ;nkT):
Taylor's theorem, the estimate (3.25) and Lemma 5.3 imply that kdtun ? Z;nkTM 
C (H 2 +
t). By Lemma 5.3 kU~ ;nkTM and kZ~ ;n kT are bounded. Thus, by Taylor's
theorem, the Lipschitz condition on @tK , the boundedness of @tK and the approxi-
mation properties of PH ,
kZ~ ;n ? dtU~ nH kTM  C (H 2 +
t + kU~ ;n ? U~ nH kT ): (5.38)
By results from Arbogast, Wheeler and Yotov [8], kU ~ ;n ? U~ nH kT  CH 2. Hence, by
the triangle inequality and Lemma 5.3,
kdtu~n ? dt U~ nH kTM  C (H 2 +
t):
Now, let v = Z;n ? dtUnH in (5.36) and use the Cauchy-Schwarz inequality to get
kZ;n ? dtUnH kTM  kK (pn )Z~ ;n ? K (PH (pn?1 ))dtU~ nH kT
+k@tK (pn )U ~ ;n ? dt (K (PH (pn )))U~ nH kT :
By the Lipschitz assumptions on K and @tK , Taylor's theorem, the approximation
properties of PH and the boundedness of @tK ,
kZ;n ? dt UnH kTM
k(K (pn) ? K (PH (pn?1 )))Z~ ;nkT + kK (PH (pn?1 ))(Z~ ;n ? dt U~ nH )kT
+ k(@tK (pn ) ? dtK (PH (pn )))U ~ ;nkT + kdtK (PH (pn ))(U~ ;n ? U~ nH )kT
C (H 2 +
t):
 58

The triangle inequality and Lemma 5.3 result in,

kdtun ? dt UnH kTM  C (H 2 +
t):

Remark 5.1.1 By the inverse assumption, the denition of  and (3.25)

we have
kU~ nH kL1  kU~ nH ? u~nkL1 + ku~n ? u~n kL1 + ku~n kL1
 CH ?d=2kU~ nH ? u~nkTM + ku~n ? u~n kL1 + ku~n kL1
 C (H ?d=2H 2 + H + 1);
where d is the space dimension. Thus, kU ~ nH kL1 is bounded.
Proof (Of Theorem 5.2) Results (5.13) and (5.14) have been proven by Arbogast,
Wheeler and Yotov [8].
In order to derive (5.15), subtract (5.32)-(5.33) from (5.29)-(5.30) and use the
denition of the L2 projection to give,
~ nH ; v) + ETM (dtU~ nH ; v) = (dt p^nH ? dtP nH ; r
v); v 2 VH0 ;
(dtu~n ? dtU (5.39)
(dtun ? dtUnH ; v) + ETM (dtUnH ; v) = (dt (K (pn ))u~n ? dt(K (PH (pn )))U ~ H ; v)
n

+(K (pn?1 )dt u~n ? K (PH (pn?1 ))dtU ~ nH ; v)

+ET (dt(K (PH (pn )))U ~ nH ; v)
+ET (K (PH (pn?1 ))dtU~ nH ; v); v 2 VH : (5.40)
Let  satisfy the auxilliary problem with n 2 L2(
) dened later,
?r
K (PH (pn?1 ))rn = n;
; (5.41)
K (PH (pn?1 ))rn
n = 0; ?; (5.42)
where we assume that
R n = 0. Elliptic regularity implies that

knk2  C knk: (5.43)

By equations (5.41) and (5.39) and the denition of ,
(dtp^nH ? dtP nH ; n )
 59

= ?(dtp^nH ? dtP nH ; r
K (PH (pn?1 ))rn)

= ?(dtu~n ? dtU~ nH ; K (PH (pn?1 ))rn)
?ETM(dt U~ nH ; K (PH (pn?1 ))rn)
= ?(dtu~n ? dtU~ nH ; K (PH (pn?1 ))rn ? K (PH (pn?1 ))rn)
?(K (PH (pn?1 ))(dtu~n ? dtU~ nH ); rn ? rn)
?(K (PH (pn?1 ))(dtu~n ? dtU~ nH ); rn)
?ETM(dt U~ nH ; K (PH (pn?1 ))rn): (5.44)
By (5.40),
?(K (PH (pn?1 ))(dtu~n ? dtU~ nH ); rn)
=((K (pn?1 ) ? K (PH (pn?1 )))dtu~n; rn) ? (dt un ? dtUnH ; rn)
+ (dt (K (pn ))u~n ? dt(K (PH (pn )))U ~ nH ; rn) ? ETM (dtUnH ; rn)
+ ET (dt(K (PH (pn)))U ~ nH ; rn)
+ ET (K (PH (pn?1 ))dt U ~ nH ; rn): (5.45)
We also have by integration by parts, (5.34) and (5.36)
?(dtun ? dtUnH ; rn)
= ?(dtun ? dtUnH ; rn ? rn) ? (dtun ? dtUnH ; rn)
= ?(dtun ? dtUnH ; rn ? rn) + (r
(dtun ? dtUnH ); n ? ^nH ): (5.46)
Furthermore, we can write
(dt K (pn )u~n?dtK (PH (pn ))U ~ nH ; rn)
=((dtK (pn ) ? dtK (PH (pn )))u~n ; rn)
+ (dtK (PH (pn ))(u~n ? U ~ nH ); rn): (5.47)
Using (3.16) and recalling the denition of the lowest order RTN space gives,
X X @ ~ n
jETM (dtU~ nH ; K (pn)rn)j  C k @ x (dt UH
K (pn )rn)kL1(E)H 2
E 2TH jj=2
X @dtU~ nH;x @ (K (pn)rn)xk
 C (k @x k0;E k @x 0;E
E 2TH
@dtU~ nH;y @ (K (pn )rn)y k )H 2: (5.48)
+k @y k0;E k @y 0;E
 60

By Lemma 5.2 and the inverse inequality we have

@dtU~ nH;x @ (d U~ n ? d u~n )k + k @ d u~n k
k @x k0;E  k @x t H;x t x 0;E
@x t x 0;E
@ d u~n k
 C kdtU~ nH;x ? dtu~nxk0;E H ?1 + k @x t x 0;E
 C kdtU~ nH ? dtu~n k0;E H ?1 + kdtu~n k1;E : (5.49)
~ nH and K (pn )rn are in VH , by (5.48) and the Cauchy-Schwarz inequality,
Since dtU
X
jETM (dtU~ nH ; K (pn)rn)j  C (kdtU~ nH ? dtu~n k0;E + kdtu~n k1;E H )knk2;E H
E
 C (kdtU~ nH ? dtu~nk0 + kdtu~n k1H )kn k2H: (5.50)
As done above and noting that K has bounded second derivatives,
jETM (dtUnH ; rn)j  C (kdtUnH ? dtunk + kdtun k1H )
knk2H; (5.51)
jET(dt (K (PH (pn )))U~ H ; rn)j  (C +
t)(kU~ H ? u~nk + ku~n k1H )
n n

knk2H; (5.52)
jET(K (PH (pn?1 ))dtU~ nH ; rn)j  C (kdtU~ nH ? dtu~nk + kdtu~n k1H )
knk2H; (5.53)
where C in the second and third inequalities depends on K .
Combining (5.44) with (5.45)-(5.53), applying approximation properties of the L2
and  projections, using Lemma 5.4, and equations (5.13) and (3.25) gives
(dtp^nH ? dtP nH ; n )
 kdtu~n ? dtU~ nH kkK (pn)rn ? K (pn )rnk
+kK (PH (pn?1 ))(dtu~n ? dtU~ nH )kkrn ? rnk
+k(dtK (pn ) ? dtK (PH (pn )))u~nkkrnk
~ n )kkrnk
+kdtK (PH (pn ))(u~n ? U
+k(K (pn?1 ) ? K (PH (pn?1 )))dt u~nkkrnk
+kdtun ? dtUnH kkrn ? rnk
+kr
(dtun ? dtUnH )kkn ? ^nH k
+kdt(K (pn ))u~n ? dt(K (PH (pn )))U~ nH kkrnk
 61

+jETM (dtU~ nH ; K (pn)rn)j + jETM (dtUnH ; rn)j

+jET (dt(K (PH (pn )))U ~ nH ; rn)j + jET(K (PH (pn?1 ))dtU~ nH ; rn)j
 C (H 2 +
t)knk2:
Taking n = dtp^n ? dtP nH and noting that that R
n = R
0 = 0 and applying
equation (5.43) we have,
kdtp^nH ? dt P nH k  C (H 2 +
t): (5.54)

Convergence Estimate of the Nonlinear Scheme

We now prove the following theorem about the convergence of the above coarse grid
nite dierence scheme:
Theorem 5.3 Let PHn ; U~ nH and UnH ; n = 1; : : : ; N be dened as in (5.6)-
(5.8) with initial values PH0 = p^H (t0; :). Then, there exists a positive
constant C , independent of H and
t such that
XN
kPHN ? pN kM + f
t KkU~ nH ? u~nk2Tg1=2  C (H 2 +
t): (5.55)
n=1

Proof Let n = PHn ? P nH ; n = U~ nH ? U~ nH ; n = UnH ? UnH and n = P nH ? pn .

Subtracting (dtP nH ; w) + (r
UnH ; w) from both sides of (5.6) and using equations
(5.10) and (5.3) we have,
(dt n ; w) + (r
n ; w) = (f n ; w) ? (r
UnH ; w) ? (dtP nH ; w)
= (@tpn ; w) ? (dtpn ; w) ? (dtn ; w)
= (n ; w) ? (dt n; w); w 2 WH ; (5.56)
where n is a time truncation term. Subtracting (5.11) from (5.7) results in,
(n; v)TM = ( n; r
v); v 2 VH0 ; (5.57)
and subtracting (5.12) from (5.8) gives,
(n ; v)TM = (K (PH (PHn ))U~ nH ; v)T ? (K (PH (pn ))U ~ nH ; v)T
= (K (PH (PHn ))n ; v)T + ((K (PH (PHn )) ? K (PH (P nH )))U ~ nH ; v)T
?((K (PH (pn )) ? K (PH (P nH )))U~ nH ; v)T; v 2 VH : (5.58)
 62

Letting w = n in (5.56), v = n in (5.57) and v = n in (5.58) gives,

(dt n ; n) = ?(r
n; n ) + (n; n)M ? (dtn; n ); (5.59)
(n; n)TM = ( n; r
n); (5.60)
~ H ; n )T
(n; n)TM = (K (PH (PHn ))n; n)T + ((K (PH (PHn )) ? K (PH (P nH )))U n

?((K (PH (pn )) ? K (PH (P nH )))U~ nH ; n)T : (5.61)

Combining equations (5.59)-(5.61), applying the Cauchy-Schwarz inequality and
(4.2) we have,
1 [k nk2 ? k n?1 k2 ] + kK (P (P n ))1=2nk2
M M H H T
2
t
 (dt n ; n)M + kK (PH (PHn ))1=2n k2T
 (n; n )M ? (dtn ; n)M + ((K (PH (pn )) ? K (PH (P nH )))U~ nH ; n)T
?((K (PH (PHn )) ? K (PH (P nH )))U~ nH ; n )T
 21 kn k2M + k nk2M + 21 kdtn k2M + C k(K (PH (pn )) ? K (PH (P nH )))U~ nH k2T
+C k(K (PH (PHn )) ? K (PH (P nH )))U~ nH k2T + knk2TM ;
where   K=2.
Now,
Z tn
jnij j =
1t j tn?1 ptt(xi; yj ; t)(t ? tn)dtj  kptt(xi; yj ; :)kL2(tn?1;tn)(
t) 21 :
So,
X
knk2M 
t HixHjy kptt(xi; yj ; :)k2L2(tn?1;tn): (5.62)
ij
By the triangle inequality and Theorem 5.2,
kdt nk2M  C (H 4 +
t2):
By the Lipschitz assumption on K , the denition of PH and Theorem 5.2
k(K (PH (pn )) ? K (PH (P nH )))U~ nH k2T  C kpn ? P nH k2M  CH 4; (5.63)
k(K (PH (PHn )) ? K (PH (P nH )))U~ nH k2T  C k nk2M ; (5.64)
where we have used the boundedness of kU ~ nH kL1 as per Remark 5.1.1.
 63

Multiplying by 2
t, bringing the knk2TM term to the left-hand side, summing
on n; n = 1; : : :; N , using (5.62)-(5.64) and applying Gronwall's Lemma 3.1 gives,
XN
k N k2M ? k 0k2M +
t kK (PH (PHn ))1=2n k2T
n=1
X
N X
N
 C
t (knk2M + kdtn k2M + kn k2M) + CH 4 + C
t k n k2M
n=1 n=1
 C (
t + H ):
2 4

The proof is completed by applying the initial conditions on PH0 and P 0H , Theorem
5.2 and the triangle inequality.

5.1.2 Fine Grid Linear Scheme

We now consider a linear cell-centered nite dierence scheme on the ne grid where
we make use of the nonlinear solution on the coarse grid. Note that since we assume
Th is a renement of TH , we have, WH  Wh and VH  Vh .
~ nh 2 Vh and Unh 2 VH0 at each time
We solve the following problem for Phn 2 Wh; U
step n = 1; : : : ; N ,
(dtPhn; w) = ?(r
Unh ; w) + (f n ; w); w 2 Wh; (5.65)
~ nh; v)TM = (Phn ; r
v); v 2 Vh0;
(U (5.66)
(Unh; v)TM = (K (PH (PHn ))U ~ nh ; v)T
+(K 0(PH (PHn ))QH (U ~ nH )(Ph(Phn) ? PH (PHn )); v)T; v 2 Vh : (5.67)
We dene QH (u~) as a vector quantity with entries QxH (~ux) and QyH (~uy ). The
entry QxH (~ux) is dened from the values of u~xi+1=2j for i = 0; : : : ; N^x and j = 1; : : : ; N^y
as follows. For points (x; y) such that xi?1=2  x  xi+1=2; i 2 f1; : : : ; N^xg and
yj  y  yj+1; j 2 f1; : : : ; N^y g, we take QxH (~ux) to be the bilinear interpolant of
u~xi?1=2;j ; u~xi+1=2;j ; u~xi?1=2;j+1 and u~xi+1=2;j+1. This leaves a strip half a cell in height along
the top and bottom of the domain. We will consider the bottom strip. For i =
0; : : : ; N^x, we set
(2H y + H y )~ux ? H y u~x
QxH (~ux)(xi+1=2; y1=2) = 1 2 Hiy+1+=2H;1 y 1 i+1=2;2 :
1 2
Now, for points (x; y) such that xi?1=2  x  xi+1=2; i 2 f1; : : :; N^xg and y1=2 
y  y1, we let QxH (~ux)(x; y) be the bilinear interpolant of the two interpolated values
 64

QxH (~ux)(xi?1=2; y1=2) and QxH (~ux)(xi+1=2; y1=2) and the two values u~xi?1=2;1 and u~xi+1=2;1.
An analogous dention is made along the top strip of the domain. The denition of
QyH (~uy ) is similar to the above, except that the strips are along the left and right
sides of the domain.
The following lemma summarizes the approximation error of QH .
Lemma 5.5 If each component of u~ is twice dierentiable, then for
QH (u~) dened above,
kQH (u~) ? u~kL1  CH 2:

Proof By Taylor's theorem we have that the two point extrapolation for the bound-
ary points described above is O(H 2) accurate. Thus, since bilinear interpolation is
also O(H 2 ) accurate, the lemma is proven.
We turn now to an analysis of the ne grid scheme.
Theorem 5.4 Let Phn ; U~ nh and Unh; n = 1; : : : ; N be dened as in (5.65)-
(5.67) with initial values Ph0 = p^h (t0; :). Then, there exists a positive
constant C , independent of h; H and
t such that
XN
kPhN ? pN kM + f
t K kU~ nh ? u~nk2T g1=2
n=1
C (H 4?d=2 + h2 +
t):

Proof We can dene P nh 2 Wh; U~ nh 2 Vh and Unh 2 Vhn at each n = 1; : : : ; N

satisfying equations (5.10)-(5.12) and Theorem 5.2 on the ne grid.
~ nh ? U~ nh; n = Unh ? Unh and n = P nh ? pn . As done in
Let n = Phn ? P nh ; n = U
Theorem 5.3, we subtract (dtP nh ; w) + (r
Unh; w) from both sides of equation (5.65)
and combine with equation (5.10) applied to the ne grid. We also subtract (5.11)
and (5.12) from (5.66) and (5.67) to give the error equations,
(dt n ; w) = ?(r
n ; w) + (n; w) ? (dtn ; w); (5.68)
(n ; v)TM = ( n ; r
v); (5.69)
( ; v)TM = (K (PH (PH ))U~ h ; v)T ? (K (Ph(p ))U
n n n n ~ h ; v )T
n

+(K 0(PH (PHn ))QH (U ~ nH )(Ph(Phn ) ? PH (PHn )); v)T: (5.70)

 65

Using Taylor's Theorem, K (Ph(pn )) can be written as

K (Ph (pn)) = K (Ph(PHn )) + K 0(PH (PHn ))(Ph(pn ) ? PH (PHn ))
00 n
+ K 2( ) (Ph(pn ) ? PH (PHn ))2;
where n is between Ph(pn ) and PH (PHn ).
Using this expression in (5.70) and adding and subtracting the derivative term,
~ nH )Ph(pn ); v)T gives,
(K (PH (PHn ))QH (U
0

(n; v)TM = (K (PH (PHn ))n; v)T

+(K 0(PH (PHn ))(QH (U~ nH ) ? U
~ nh )(Ph(pn ) ? PH (PHn )); v)T
+(K 0(PH (PHn ))QH (U~ nH )(Ph(Phn) ? Ph(pn )); v)T
00 n
+( K 2( ) (Ph(pn ) ? PH (PHn ))2U ~ nh ; v)T:
Let w = n ; v = n and v = n in (5.68), (5.69) and (5.71), respectively, and
combine to give,
1 [k nk2 ? k n?1k2] + K kn k2
 T
2
t
 (dt n ; n) + kK (PH (PHn ))1=2nk2T
 21 knk2 + k nk2 + 21 kdtnk2 + kn k2
+C kK 0(PH (PHn ))(QH (U~ nH ) ? U~ nh )(Ph(pn ) ? PH (PHn ))k2T
+C kK 0(PH (PHn ))QH (U ~ nH )(Ph(Phn ) ? Ph(pn ))k2T
00 n
+C k K 2( ) (Ph(pn ) ? PH (PHn ))2U ~ nhk2T ; (5.71)
where   K=2.
Consider now the last three terms of (5.71). The rst of these can be bounded as
follows.
kK 0(PH (PHn ))(QH (U~ nH ) ? U~ nh)(Ph(pn ) ? PH (PHn ))k2T
 C kQH (U~ nH ) ? U~ nhk2TM kPh(pn ) ? PH (PHn )k2L1 ; (5.72)
where,
kQH (U~ nH ) ? U~ nhk2TM  kQH (U~ nH ) ? QH (u~n )k2TM + kQH (u~n) ? u~n k2TM
+ku~n ? U ~ nhk2TM :
 66

Since QH (U~ nH ) is a bilinear interpolant of terms that can be expressed in terms of

nodal values of U ~ nH on the coarse grid, it can be shown that,
kQH (U~ nH ) ? QH (u~n )k2TM  C kU~ nH ? u~n k2TM;H ;
where k
kTM;H denotes the midpoint by trapezoidal norm on the coarse grid. Also,
kQH (u~n ) ? u~nk2TM  CH 4 by Lemma 5.5. In order to bound the second term in
(5.72), write it as,
kPh(pn ) ? PH (PHn )k2L1  kPH (PHn ) ? PH (pn )k2L1 + kPH (pn ) ? pn k2L1
+kpn ? Ph(pn )k2L1 :
By the denition of PH , the quasi-uniformity assumption on the coarse grid and
Theorem 5.3,
kPH (PHn ) ? PH (pn )k2L1  HCd kPHn ? pn k2M;H
 CH ?d(H 4 +
t2);
where d is the space dimension. By Lemma 5.1, kPH (pn ) ? pn k2L1  CH 4 and
kPh(pn ) ? pn k2L1  Ch4. Thus,
kK 0(PH (PHn ))(QH (U~ nH ) ? U~ nh )(Ph(pn ) ? PH (PHn ))k2T
 C (kU~ nH ? u~n k2TM;H + ku~n ? U~ nhk2TM + H 4)(H 4?d + H ?d
t2 + h4): (5.73)
The second to last term in (5.71) can be bounded by,
kK 0(PH (PHn ))QH (U~ nH )(Ph(Phn) ? Ph(pn ))k2T
 C kU~ nH k2L1 kPh(Phn) ? Ph(pn )k2T
 C (H ?d kU~ nH ? u~n k2TM + ku~nk2L1 )(kPhn ? P nh k2M + kP nh ? pnk2M )
 C (H ?d kU~ nH ? u~n k2TM + C )(k nk2 + h4): (5.74)
The last term in (5.71) is bounded by,
00 n
k K 2( ) (Ph(pn ) ? PH (PHn ))2U~ nhk2T
 C kPh(pn ) ? PH (PHn )k2L1 kPh(pn ) ? PH (PHn )k2T
 C (H 4?d + H ?d
t2 + h4)(h4 + H 4 + kpn ? PHn k2M;H )
 C (H 4?d + H ?d
t2 + h4)(h4 + H 4 +
t2)
 C (H 8?d + h4 +
t2 + H ?d h4
t2 + H ?d
t4): (5.75)
 67

Combining equation (5.71) with equations (5.73)-(5.75), taking the kn k2 term
to the left side, multiplying by 2
t and summing over n; n = 1; : : : ; N  where N  is
the time step at which k nk achieves its maximum value gives,
 2 XN
k k ? k k +
t Kknk2TM
N 0
n=1
N
X N
X

t (k k + kdt k ) + C
t k nk2
n 2 n 2
n=1 n=1

X ~n n 2
N
~ nh k2TM + H 4)
+C (H 4?d + H ?d
t2 + h4)
t (kU H ?u ~ kTM;H + ku~n ? U
n=1
N
X
 2
+C (h + k k )
t H ?d kU
4 N ~ nH ? u~nk2
n=1
+C (H + h +
t + H ?d h4
t2 + H ?d
t4):
8?d 4 2

Recalling the bound on n, using Theorem 5.2 and recalling the initial conditions
on P 0h and Ph0 gives,
 2 N
X
k k +
t Kkn k2TM  C (H 8?d + h4 +
t2 + H ?d h4
t2 + H ?d
t4)
N
n=1
N
X
+C
t k nk2 + C~ k N  k2(H 4?d + H ?d
t2):
n=1
We can choose H and
t such that H 4?d + H ?d
t2  21C~ ,
and the last term can be
moved to the left-hand side. Applying Gronwall's Lemma gives
 2 XN
k k +
t Kkn k2TM  C (H 8?d + h4 +
t2):
N
n=1
Applying Theorem 5.2 and the triangle inequality gives the desired result.

5.1.3 Extensions to Multiple Levels

The above analysis carries through for multiple levels. In this case, the nonlinear prob-
lem would still be solved once on the coarsest grid. However, one could have multiple
ne grids. On each of these ner and ner grids, the nonlinear term is expanded about
the next coarser solution and the resulting linear system is solved. Adding more grids
corresponds to adding more Newton-like iterations with each iteration taking place
on the next ner grid.
 68

5.2 A Two-Level Method for Richards' Equation

In this section, we consider applying these two-level ideas to Richards' equation. We
discuss only the expanded mixed method and not the superconvergent nite dierence
case.
In order to get a sucient rate of convergence on the coarse grid to transfer to
the ne grid, we make the assumption of strictly partially saturated ow. Under
this assumption, the scheme in Section 4.2 can be applied on the coarse grid giving
optimal convergence. Thus, we turn to the ne grid.
Linearizations of the time derivative term lead to schemes which are nonconser-
vative and give incorrect mass balance. Thus, we consider leaving the time term
nonlinear and just linearizing the hydraulic conductivity, K .
~ n ; Un) 2 (Wh; Vh ; Vh ) for each
Our discrete time ne grid scheme is to nd (P n; U
time step n = 1; : : : ; N satisfying,
(dt(P n ); w) + (r
Un; w) =(f n ; w); (5.76)
~ n ; v) =(P n ; r
v);
(U (5.77)
(Un ; v) =(K (PHn )U ~ n; v) + (K 0(PHn )U~ nH (P n ? PHn ); v): (5.78)
The following theorem gives the convergence behavior of this scheme.
Theorem 5.5 For (P n ; U~ n; Un ) 2 (Wh; Vh ; Vh) dened as in equations
(5.76)-(5.78), we have,
X
N !1=2
kp ? P k+ kK (PH ) (U~ ? u~ )k
t
N N n 1=2 n n 2
n=1
C (hk+1 +
t + H 2k+2?d=2 ): (5.79)
Proof Subtracting the numerical scheme from the variational formulation, equa-
tions (3.13)-(3.15), gives the error equations,
(dt((pn ) ? (P n )); w) + (r
(un ? Un ); w) =(n; w); (5.80)
~ n ; v) =(^pn ? P n ; r
v);
(u~^ n ? U (5.81)
and
(un ? Un; v) =(un ? un ; v) ? (K (PHn )U~ n ; v)
? (K 0(PHn )U~ nH (P n ? PHn ); v) + (K (pn )u~n ; v): (5.82)
 69

Let n = p^n ? P n; n = u~^ n ? U ~ n ; and n = un ? Un . Take w = n in (5.80),

v = n in (5.81) and v = n in (5.82) and combine to get,
(dt((pn )?(P n)); n ) ? (K (PHn )U ~ n; n)
=(n; n) ? (un ? un ; n ) + (K 0(PHn )U ~ nH (P n ? PHn ); n )
? (K (pn)u~n ; n): (5.83)
Expanding K (pn ) gives,
00 n
K (pn ) = K (PHn ) + K 0(PHn )(pn ? PHn ) + K (2 ) (pn ? PHn )2:
Rewriting (5.83) and using this expansion gives,
(dt ((pn )?(P n )); pn ? P n) + (K (PHn )n ; n )
=(n; n ) + (un ? un; n) ? (K (pn )(u~^ n ? u~n); n)
+ (( n + (pn ? p^n ))K 0(PHn )U ~ nH ; n) + (K (PHn )(pn ? PHn )(u~^ n ? U~ nH ); n)
+ 21 ((pn ? PHn )2K 00(n )u~^ ; n ) + (dt((pn ) ? (P n )); pn ? p^n ): (5.84)
n

By Lemma 4.3, we have,

(dt ((pn )?(P n )); pn ? P n)
Z Z pn
 dt n ((}) ? (P n ))d}dx

P
? C f(pn ? P n )2 + (pn?1 ? P n?1)2 + (
tn)2g: (5.85)
We bound the time discretization term as in section 4.2,
knk  k @@t2 kL2(tn?1;tn);L2)(
tn)1=2:
2
(5.86)
Combining equations (5.84)-(5.86) and applying the Cauchy-Schwarz and the
arithmetic-geometric mean inequalities, we have,
Z Z pn !
dt n ((}) ? (P ))d} dx + (K (PHn )n; n)
n

P
C fkpn ? P n k2 + kpn?1 ? P n?1 k2g + C f(
t)2 + k@ttk2L2 (tn?1;tn);L2)
tn + k nk2g
+ (dt((pn ) ? (P n )); pn ? p^n ) + C kun ? unk2 + kn k2 + C ku~^ n ? u~nk2
+ C kn kk nk(kU ~ nH ? u~n kL1 + ku~n kL1 ) + C k(pn ? p^n )U~ nH k2
+ C k(pn ? PHn )(u~^ ? U~ nH )k2 + C k(pn ? PHn )2u~^ nk2: (5.87)
 70

Let N^ be the time index where maxn kpn ? P n k occurs. Multiply (5.87) by
tn
and sum on n = 1; : : : ; M , where M  N and M  N^ .
The rst left-hand side term becomes,
XM Z Z pn !

t dt n ((}) ? (P ))d} dx
n n
n=1
P
Z Z p0 ! Z Z pM !
=? ((}) ? (P ))d} dx +
P M ((}) ? (P ))d} dx
0 M

P0
 ? C kp0 ? P 0k2 + C kpM ? P M k2; (5.88)
where we have used Lemma 4.3.
By summation by parts,
XM
(dt((pn ) ? (P n)); pn ? p^n )
tn
n=1
MX
?1
=? ((pn ) ? (P n ); dt(pn+1 ? P n+1 ))
tn
n=1
? ((p0 ) ? (P 0); p1 ? p^1 ) + ((pM ) ? (P M ); pM ? p^M ); (5.89)
where we have used assumption (3.32) of a quasi-uniform time discretization. The
rst right-hand side term of equation (5.87) is bounded by,
X
M
fkpn ? P n k2 + kpn?1 ? P n?1k2g
tn
n=1
X
M
2 kpn ? P n k2
tn + kp0 ? P 0k2
t: (5.90)
n=1
So, noting that k n k  kpn ? p^n k + kpn ? P n k, we have,
X
M
kpM ? P M k2+ (K (PHn )n; n)
tn
n=1
X
M
C kpn ? P nk2
tn + kp0 ? P 0k2 + C (
t)2
n=1
X
M XM
+ C kp^ ? p k
t +  knk2
tn
n n 2 n
n=1 n=1
XM
+ C k(pn ) ? (P n)kkdt(pn+1 ? p^n+1 )k
tn
n=1
 71

X
m X
4
+C fkun ? unk2 + ku~^ n ? u~k2g
tn + Ti: (5.91)
n=1 i=1
We bound T1 by.
X
M
T1 =C kn kk nk(kU~ nH ? u~n kL1 + ku~n kL1 )
tn
n=1
XM
C kn kkpn ? P n k(kU~ nH ? u~n kL1 + ku~n kL1 )
tn
n=1
X
M
+C kn kkp^n ? pn k(kU~ nH ? u~nkL1 + ku~nkL1 )
tn
n=1
X
M !1=2 X M !1=2 X M
C kpN^ ? P N^ k knk2
tn ~
kUH ? u~ kL1
t
n n 2 n +  knk2
tn
n=1 n=1 n=1
X
M ! X ~ n n 2 n 1=2
1=2 M !
+ C kp^ ? pkL1 (L2) k k
t
n 2 n kUH ? u~ kL1
t
n=1 n=1
X
M X
M
+C kpn ? P n k2
tn + C kpn ? p^n k2
tn
n=1 n=1
X
M !1=2
C kpN^ ? P N^ k knk2
tn (H ?d=2(H k+1 +
t))
n=1
X
M !1=2
+ C kp^ ? pkL1 (L2) k k
t
n 2 n (H ?d=2(H k+1 +
t))
n=1
X
M X
M
+C kpn ? P n k2
tn + C kpn ? p^n k2
tn; (5.92)
n=1 n=1
where we have used the inverse assumption Theorem 3.1 and Theorem 4.2.
Now,
!1=2
^ ^ X M
kp ? P k k k
t
N N n 2 n (H ?d=2(H k+1 +
t))
n=1
!
^ 2 1 X n 2 n
1 ^
M
 2 kp ? P k + 2
N N k k
t (H ?d=2(H k+1 +
t))2: (5.93)
n=1
We choose H and
t such that,
H ?d=2(H k+1 +
t)  K1=2: (5.94)
 72

Note that in two dimensions, this requires k  0 and in three dimensions, we must
have k  1. Then, the second right-hand side term in (5.93) is bounded by,
K XM
2 n=1 k k
t :
n 2 n (5.95)
Similarly,
XM !1=2
kp^ ? pkL1 (L2) knk2
tn (H ?d=2(H k+1 +
t))
n=1
1 K  XM
 2 kp^ ? pkL1 (L2) + 2 knk2
tn:
2 (5.96)
n=1
Thus, T1 is bounded by,
X
M X
M X
M
T1 C kpn ? P n k2
tn + C kpn ? p^n k2
tn + K2 kn k2
tn: (5.97)
n=1 n=1 n=1
The term T2 is bounded by,
XM
T2 =C k(pn ? p^n )U~ nH k2
tn
n=1
XM
~ nH ? u~nk2)
tn
C (kpn ? p^n k2ku~n k21 + kpn ? p^n k21kU
n=1
X
M
Ch2(k+1) + C h2(k+1)kU~ nH ? u~nk2
tn; (5.98)
n=1
and T3 by,
X
M
T3 =C k(pn ? PHn )(u~^ n ? U~ nH )k2
tn
n=1
XM
C kpn ? PHn k21ku~^ n ? U~ nH k2
tn
n=1
XM
~ nH k2
tn;
C (H ?d=2(H k+1 +
t))2ku~^ n ? U (5.99)
n=1
where we have again used the inverse assumption.
Lastly,
XM
T4 =C k(pn ? PHn )u~^ n k2
tn
n=1
 73

X
M
C kpn ? PHn k21kpn ? PHn k2ku~^ nk21
tn
n=1
XM
C (H ?d=2(H k+1 +
t))2(H k+1 +
t)2
tn: (5.100)
n=1
Thus, again using Theorem 4.2 we have for these last terms,
X4
jTij C (h2(k+1) + (H ?d=2(H k+1 +
t))2(H k+1 +
t)2
i=2
X
M X
M
+C kpn ? P n k2
tn + C kpn ? p^n k2
tn: (5.101)
n=1 n=1

Now, let M = N^ . Applying approximation properties, Gronwall's Lemma 3.1 and

taking P 0 = p^0 in (5.91) gives,
^ 2 XN^
kpN^ ? P k + (K (PHn )n ; n )
tn
N
n=1
C f
t2 + H 2(k+1) + h2(k+1) + H ?d H 4(k+1)g: (5.102)
So, kpN^ ? P N^ k  C f
t + hk+1 + H ?d=2+2(k+1)g.
Combining these equations and taking M = N in (5.91) gives,
X
N !1=2
kp ? P k+ kK (PH )  k
t
N N n 1=2 n 2
n=1
C (hk+1 +
t + H 2k+2?d=2): (5.103)
The triangle inequality nishes the result.
 74

Chapter 6
Implementation and Numerical Results
In this chapter the implementation of a C++ three-dimensional Parallel Richards'
EQuation Solve code, PREQS, is described. We rst discuss the equation formulation
and discretization scheme used. Then, a brief discussion of the nonlinear and linear
discrete system solution techniques is given. Lastly, some numerical test cases are
presented along with results.

6.1 Implementation Issues

In order to achieve parallelism, the parallellepiped domain,
, is decomposed into a
set of smaller parallelepiped subdomains, denoted by
i, so that
= [i
i. The data
corresponding to the cells in each of these subdomains is stored on a single processor.
Let ?i = @
i and ?Ii = ?i n ?. Thus, ?Ii is the part of the boundary of subdomain i
that is contained in
.
As shown in Section 5.1, the expanded mixed nite element method with certain
quadrature rules simplies to a cell-centered nite dierence scheme with a 19 point
stencil. This stencil is shown in Figure 6.1. In order to implement this nite dierence
scheme in parallel, each processor communicates with up to 18 neighbors. To reduce
this requirement, we add extra unknowns along the interfaces between subdomains.
Adding these unknowns allows for the normal uxes at the interface points to be
discontinuous, which is a nonphysical condition. Thus, extra equations which enforce
continuity of normal uxes at the interfaces are also introduced. Adding these extra
unknowns corresponds to adding a single hydraulic head at the interface points. This
value will be \owned" by one processor and communicated to the \non-owner" after
updates.
Formulating a mixed method with these extra unknowns along interfaces between
subdomains was rst done by Glowinski and Wheeler [35] in the context of linear
elliptic equations. They used these unknowns to formulate domain decomposition
schemes for the mixed method.
 75

Figure 6.1 The 19-point discretization stencil.

General conditions of the form,

u
n + p = g;
are considered for the external boundaries. The functions  and  are assumed to be
functions of position only. The data g is a function of both time and position.
To dene the numerical scheme, we dene a new discrete vector space, V^ h . Let
Vi = Vh j
i . Then take, V^ h = L Vi. The numerical scheme is dened as nding
~ n; Un ; Ln) 2 (Wh ; V^ h; V^ h ; h) at each time step n = 1; : : : ; N satisfying,
(P n ; U
(dt (P n); w) + (r
Un; w) = (f n ; w); (6.1)
(U~ n ; v)
i;TM = (P n ; r
v)
i ? (Ln ; v
n)?i ; (6.2)
(Un ; v)
i;TM = (K (P n )U ~ n; v)
i;T ; (6.3)
(Un
n;  )?i\? = (g + Ln ;  )M;?i\?; (6.4)
X n
(U
n;  )?Ii = 0: (6.5)
i
The extra unknowns provide a boundary condition for internal interfaces. Thus,
the subdomains are coupled only through shared boundaries, and each subdomain
will only need to communicate with neighbors sharing interfaces. Hence, subdomains
communicate with up to 6 neighbors and not 18.
 76

The main disadvantage of this approach is that as the number of subdomains

increases, so does the number of extra unknowns. Thus, the algorithm changes as
more processors are added, and parallel speedup, in the traditional sense, will be
non-optimal.
In calculating ow velocities, the technique of one point upstream weighting [46] is
employed. For this technique, the relative permeability and its derivative at interfaces
are approximated by the value at the cell one point upstream. The upstream point
is dened in the case of a full permeability tensor and cell-centered nite dierences
by [21], 8
< k (P ); if k(x)U~ i+1=2  0,
krw (Pi+1=2) = : rw i+1 (6.6)
krw (Pi ); otherwise.
Forsyth and Kropinski [32] and Sammon [61] have shown that upstream weighting is
necessary in order to accurately track the uid front. However, by Taylor's Theorem
the truncation error associated with upstream weighting is O(h). Thus, we expect
this approximation to be only O(h).
We use an inexact Newton method [23] with backtracking line search globalization
[24, 27] to solve the discrete nonlinear problem. In this method the Jacobian system
is solved inexactly, most often with an iterative method. The GMRES Krylov sub-
space method [60] preconditioned with a Jacobi preconditioner is used in the code.
The linear system tolerances are chosen using an algorithm of Eisenstat and Walker
[28] which prevents oversolving of the system. Far from the solution, the nonlinear
function F and its local linear approximation may disagree signicantly. In this case,
forcing the linear solution to be very accurate may lead to a step which provides little
or no progress toward a solution. Furthermore, solving the linear system to a high
level of accuracy can be very costly. Eisenstat and Walker give a variety of choices
for tolerances [28]. One choice is,
m = j kF (P )k ? kFk(FP(P m)?+ J (P m?1 )
P mk j ;
m m?1
1)k

where P m is the current Newton iterate. This choice re ects the agreement between
the function and its linear model at the previous step. Eisenstat and Walker have
shown that for this choice of m, once the iterates are close enough to the solution,
the inexact Newton method shows two-step quadratic convergence. This method
has been eectively implemented in a two-phase ow code where the compute time
decreased signicantly with this choice for the linear system tolerances [21].
 77

The PREQS code uses the kScript scripting language of Keenan [42] in order to
provide a exible user interface. The kScript command generation program cmdGen
[41] was used to dene kScript commands and variables. As a result, code input can
be set in any units and in any order. Furthermore, Keenan has developed extensive
array and vector C++ classes that were used throughout the PREQS code.

6.2 Numerical Results

In this section, results are given for the PREQS code applied to various test problems.
A three-dimensional nonlinear heat equation with a known solution is considered rst.
Then, one-dimensional and three-dimensional partially saturated ow problems are
discussed.

6.2.1 A Known Solution Test Case

In order to verify the asymptotic rate of convergence, a test problem with a known
closed form analytical solution is considered. For this case,  and kr are both taken
to be p, giving the equation,
@p ? r
(pkrp) = f; (6.7)
@t
where f is chosen so that p = xyzt + 1. The problem domain is taken to be the unit
cube and, 2 3
6 1:0 0:1 0:1 7
k = 64 0:1 1:0 0:1 75 :
0:1 0:1 1:0
Dirichlet boundary conditions are taken on all sides of the domain and the initial
condition is 1 everywhere. The nonlinear iteration tolerance was set to 10?9 , and all
problems were solved on a processor mesh of 2  2  1. Time steps of 0:001 were
taken, and the discrete L2 error measured at the nal time, 0:1. The time step was
taken to ensure that
t  h2 for all h considered.
Table 6.1 gives the discrete L2 error for various mesh sizes. Let Ei be the error
after solving on a grid of size hi. Then, Ei = Chri is the discrete L2 error at the last
time step. Taking logs results in,
(log hi)r + log C = log Ei: (6.8)
 78

Writing this for each data pair (Ei; hi) gives an overdetermined set of equations for
the convergence rate r and the log of the constant C . Using Matlab to solve this
system, we arrive at the solution r = 1:9; log C = ?6:3411. This line, along with the
ve data points, is plotted in Figure 6.2.

Table 6.1 Convergence results for a three

dimensional analytic test problem.
Grid L2 error
222 4:2947  10?4
444 1:3104  10?4
888 3:4952  10?5
16  16  16 8:8112  10?6
32  32  32 2:1521  10?6

Log−Log Plot of Convergence Data and Best Fit Line

−3
10

−4
10
slope = 1.9
Log of Error

−5
10

−6
10 −2 −1 0
10 10 10
Log of Mesh Size

Figure 6.2 Linear plot of convergence data.

The analysis in Chapter 4 indicates that the expanded mixed method with the
lowest order space should give at least O(h) spatial convergence. However, the above
results indicate that it may be possible to prove better than O(h). Furthermore, the
code uses a nite dierence scheme based on superconvergent points similar to the
 79

coarse grid scheme proven to be O(h2) for the nonlinear heat equation in Chapter 5.
The method used in the PREQS code employs one-point upstream weighting which
is O(h) instead of the O(h2) bilinear interpolation. However, for problems where no
steep fronts are present, it is not surprising to see better than O(h) convergence even
though upstream weighting is used.

6.2.2 A One-Dimensional Flow Problem

The next test problem we consider was reported by Celia, Bouloutas and Zarba [18]
and is a one-dimensional ow problem. This problem was implemented in order to
verify conservation of mass and to examine the eect of lengthening time steps.
Physical properties for this test case are given in Table 6.2. The water con-

Table 6.2 Physical data for the one-dimensional ow problem.

Domain 1 cm  1 cm  60 cm
 0.0335
n 2
m 0.5
s 0.368
r 0.102
kxx; kyy ; kzz 1:0568  10?4 cm2
kxy ; kxz ; kyz 0
Density 1gm=cm3
Viscosity 1:124cP
Porosity 0.368

tent and relative permeability are given by the van Genuchten curves, (2.2) and
(2.7). Initial and boundary conditions for pressure head were as follows, h(z; 0) =
?1000cm; h(0; t) = ?1000cm and h(60cm; t) = ?75cm. No ow boundary conditions
were taken on the four remaining boundaries. The depth direction was divided into
cells of width 2:5cm, and a single processor was used for all results with this test case.
Let W denote the time change of water content in the domain over the time of
simulation, and let F denote the water mass entering the domain over the time of
simulation. Then,
X i
tn
z = X(N ? 0 )
z;
N X n ? n?1
W i

tn i i
n=1 i i
 80
N X
X ! X
N
F (ui+1=2 ? ui?1=2)
ni
tn = (un0
n0 ? unB
nB )
tn;
n n
n=1 i n=1
where unB
n is the ux on the z = 60cm boundary. The mass balance ratio is given
by,
MB  W F: (6.9)
If this ratio is unity, the numerical method exactly conserves mass.
Celia, et.al. show the mass balance ratio for a head-based form of Richards'
equation solved with both a Galerkin nite element method and a nite dierence
method. Both schemes show large degradations of the mass balance as the time step
increases. For steps of 1 minute, the nite dierence scheme gives a ratio close to 1,
but as
t goes to 60 minutes, the ratio drops to 0:6. The nite element scheme gives
even worse results. However, with the mixed form of Richards' equation, mass should
be conserved and the ratio should be close to unity.
This test problem was solved with the PREQS code for one simulation day with
various time steps ranging from 1 minute to 60 minutes. In all cases, the above mass
balance ratio was always unity. Thus, no water was articially created or destroyed
by the numerical method.
Figure 6.3 shows the approximate solutions for four dierent time steps. These
solutions are almost identical indicating that the mixed formulation of Richards'
equation used in this work prevents degradation in results due to time step increases,
unlike h-based forms which degrade quickly with step increases. This degradation
can be dramatic and is documented in Celia, et.al. [18].
Figure 6.4 shows approximate solutions after 0.5 simulation days for a xed time
step of 15 minutes and varying spatial steps. The solution is converging to a sharper
and sharper front indicating that as the grid is rened, the solution improves.

6.2.3 A Three-Dimensional Irregular Geometry Flow Problem

The last problem we consider is a three-dimensional problem over an irregular geom-
etry domain.
For this case, the domain can be mapped to a rectangular domain of 100cm 
100cm  20cm with a C 2 map, F . The theory of Arbogast, Wheeler and Yotov
[7] discusses the transformation of the original problem to one over the rectangular
computational domain. Specically, if the mapping is C 2, then the problem can
 81

Solutions for Varying Time Steps

0

−100

−200

−300 dz = 2.5cm
Hydraulic Head (cm)

T_f = 1 day
−400

−500

−600

−700

−800 dt = 3min
dt = 10min
−900 dt = 30min
dt = 60min
−1000

0 10 20 30 40 50 60
Depth (cm)

Figure 6.3 Solutions for the one-dimensional

test problem with various time step sizes.

Solutions for Varying Mesh Sizes

0

−100

−200 dt = 15 min

T_f = 0.5 day

−300
Hydraulic Head (cm)

−400

−500

−600

−700 dz = 0.125cm
dz = 0.25cm
−800
dz = 0.5cm
−900 dz = 1cm
dz = 2cm
−1000

0 10 20 30 40 50 60
Depth (cm)

Figure 6.4 Solutions for the one-dimensional

test problem with various mesh sizes.
 82

be transformed into an equivalent problem over a rectangular domain which has a

convergent solution. The permeability tensor, K, is transformed by,
K = JDF ?1K(DF ?1)T ; (6.10)
where DF is the Jacobian of the map, F , and J is the determinant of DF . The
resulting permeability tensor will be full even in the case that the original is diagonal.
Furthermore, the time derivative term is multiplied by J . Applying these transfor-
mations allows computation over a regular grid.
Physical properties for the original case are given in Table 6.3. The water content

Table 6.3 Physical data for the three-dimensional ow problem.

Domain 100 cm  100 cm  20 cm
 0.0334
n 2
m 0.5
s 0.361
r 0.102
kxx; kyy ; kzz ; z  10cm 9:33  10?12 m2
kxy ; kxz ; kyz ; z  10cm 9:33  10?13 m2
kxx; kyy ; kzz ; z > 10cm 9:33  10?10 m2
kxy ; kxz ; kyz ; z > 10cm 9:33  10?11 m2
Density 1gm=cm3
Viscosity 1:124cP
Porosity 0.368

and relative permeability are again given by the van Genuchten curves, (2.2) and (2.7).
The computational grid was 20  20  10 divided uniformly over a 2  2  1 processor
mesh. As seen in Table 6.3, the domain has two horizontal layers. The top layer has
a much higher permeability than the lower. No ow boundary conditions were taken
on all boundaries except the top and bottom. On the top face, the x 2 (0; 20cm); y 2
(0; 20cm) section had a hydraulic head boundary condition of -50 cm and no ow
conditions everywhere else. On the bottom face, the x 2 (80cm; 100cm); y 2 (0; 20cm)
section had a hydraulic head condition of -1000 cm and no ow everywhere else. These
conditions eectively placed a source at the top left section of the domain and a sink
at the bottom right section.
 83

Figure 6.5 shows results for the regular domain in the case that the entire do-
main has the higher permeabilities given in Table 6.3 after 45 simulation days. The
inltrating water has advanced radially outward from the injection part of the upper
boundary and has been pulled downward by gravity. The water has reached the sink
boundary condition and has started owing out of the domain. Figure 6.6 shows the
regular domain for the two permeability layer case given in Table 6.3 after 50 simula-
tion days. Here, we see that the water does not easily ow into the low permeability
region. The water must accumulate enough weight in order to push into this region.
Furthermore, the low hydraulic head condition is not felt by the water since it has
not yet gotten to that part of the boundary.

Hydraulic Head After 45 Days

−729
−661
−593
−525
−457
−389
−322
−254
−186
−118
−50

Figure 6.5 Three-dimensional single permeability

layer test case after 45 simulation days.

Lastly, Figures 6.7-6.10 show the hydraulic head after 5, 20, 50 and 75 simulation
days for the irregular geometry test case. As can be seen from the gures, water
starts owing at the top left of the domain. As time passes, it begins drifting toward
the right while gravity pulls it downward. However, when the water reaches the lower
permeability region, it must accumulate enough pressure to go further. Instead of
going straight down, it pools along the interface between the two regions. As enough
pressure builds underneath the injection area, the water is pushed downward and
 84

Hydraulic Head After 50 Simulation Days

−772
−699
−627
−555
−483
−411
−338
−266
−194
−122
−50

Figure 6.6 Three-dimensional two permeability

layer test case after 50 simulation days.

begins to accumulate at the bottom of the domain. Around 20 days we can see the
preference of the water to ow toward the rightmost part of the domain. This is due
to the shape of the domain as it is twisted at the oor. Thus, the downward direction
is toward the lower front of the domain. By 75 days, most of the upper region has
lled with water and the water is starting to ow into the lower region. The eect
of the two layers is clearly seen. Furthermore, it is clear that domain shapes have a
dramatic eect on the ow and should not be modeled by simple rectangles.
In conclusion, we have shown that the PREQS code gives O(h2) accuracy on a
model problem with a known solution. Furthermore, the code maintains perfect mass
balance and is robust for large time steps. Lastly, the code predicts expected solutions
to three-dimensional groundwater problems with full tensor coecients.
 85

Hydraulic Head After 5 Simulation Days

−735
−666
−598
−529
−461
−393
−324
−256
−187
−119
−51

Figure 6.7 Three-dimensional irregular

geometry test case after 5 simulation days.

Hydraulic Head After 20 Simulation Days

−736
−667
−598
−530
−461
−393
−324
−256
−187
−119
−50

Figure 6.8 Three-dimensional irregular

geometry test case after 20 simulation days.
 86

Hydraulic Head After 50 Simulation Days

−736
−667
−598
−530
−461
−393
−323
−256
−187
−119
−50

Figure 6.9 Three-dimensional irregular

geometry test case after 50 simulation days.

Hydraulic Head After 75 Simulation Days

−736
−667
−598
−530
−461
−393
−324
−256
−187
−119
−50

Figure 6.10 Three-dimensional irregular

geometry test case after 75 simulation days.
 87

Chapter 7
Conclusions
7.1 Summary
In this thesis we have analyzed and solved numerical methods for simulating variably
saturated subsurface ow. A brief summary of existing literature in this area was
presented along with the physical situation that is modeled.
We developed and analyzed a number of expanded mixed nite element methods
applied to Richards' equation. Optimal convergence was shown for a discrete time
scheme applied to the strictly variably saturated case. Optimal convergence was
also shown for a nonlinear form in the case of partially to fully saturated ow. The
nonlinear form is bounded below by the error in water content and above by the error
in hydraulic head. Convergence rates in terms of a Holder continuity rate were shown
for the error in water content for this case. Lastly, convergence rates in terms of
approximation error were shown for the unsaturated to fully saturated ow case with
a continuous time scheme. This scheme was dened using the Kirchho transform in
order to put the equation into a more easily analyzable form.
A method for handling nonlinearities was examined where the nonlinear problem
is solved on a coarse grid and the problem on the ne grid linearized about the coarse
grid solution. This technique is dicult to apply to Richards' equation due to the
need to maintain mass balance. Thus, a scheme where the time derivative term on
the ne grid was left nonlinear was analyzed.
Numerical results were given for a three-dimensional parallel Richards' equation
solve code, PREQS. The code exhibited superconvergence on a model problem as well
as robustness for large time steps. Mass balance is maintained exactly in the code.
Results from a full tensor three-dimensional irregular geometry test case were shown
and expected behavior was produced.
 88

7.2 Future Work

Despite the above results, there is still plenty of work to be done in the area of
simulating partially saturated subsurface ow.
The PREQS code uses only a Jacobi preconditioner and can be quite slow for long
simulations where the linear systems get dicult to solve. Thus, future work will in-
clude nding robust preconditioners for the linear nonsymmetric Jacobian systems.
Furthermore, the dynamic linear system tolerances described in Chapter 6 can sig-
nicantly slow convergence of the Newton method. Further work will try to identify
ways of making the forcing term selection more robust.
Richards' equation has been criticized as a simplistic model for expressing the
two-phase ow of water and air [36]. However, when applicable, it is much faster to
solve Richards' equation than a full two-phase model such as described in [21]. An
interesting area for future work would be to closely examine under which numerical
and physical conditions the solution of Richards' equation fails to match that of the
full two-phase ow problem.
 89

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