Accuracy and stability of numerical schemes

Introduction to Numerical Methods for Engineering - MATH711

Monika Woloszyn, Mathilde Wirtz,

Christian Ruyer-Quil, Nirina Marx Chhay

MASTER 1 ESB - Polytech Annecy Chambéry 2020, semester 7

1 / 17
 Lecture 2

Recall from Lecture 1

Thanks to Taylor expansion formula :

∆x 2 00 ∆x k (k )
f (x + ∆x) = f (x) + ∆xf 0 (x) + f (x) + . . . + f (x) + O(∆x k +1 )
2! k!

we know how to discretize differential operators occuring into a mathematical

∂u ∂2 u
model (for example − α 2 = 0) for getting a numerical model.
∂t ∂x
However :
I There are many ways to compute an approximation. For example, the
fluxes can be approximated as
∂u uj+1 − uj ∂u uj+1 − uj−1
(xj ) ' or (xj ) '
∂x dx ∂x 2 dx
What is the difference between each approximation ?
I Thus, different apprxoimations yield different numerical schemes.
How can we compare the different numerical schemes one against an
other ?
2 / 17
 Lecture 2

An illustrative example : y 0 = −λy

Let’s consider the simplest (non-trivial) differential equation :

y 0 (t) = −λ y(t) with λ > 0

I Set an initial value y(t 0 = 0) = y 0

I Exact solution yex (t) = y 0 e −λt
For example : if y0 = 1, λ = 50 and we compute the exact solution every
instant t n = t 0 + n × dt with dt = 10−2 :

t0 = 0 t 1 = 0.01 t 2 = 0.02 t 3 = 0.03 t 4 = 0.04

yex (t 0 ) = 1 yex (t 1 ) = 0.61 yex (t 2 ) = 0.37 yex (t 3 ) = 0.22 yex (t 4 ) = 0.14

Let’s compute 2 numerical schemes for y 0 = −λy and compare their

numerical solution

3 / 17
 Lecture 2

Forward numerical scheme for y 0 = −λy

Thanks to the Taylor expansion formula :

y(t n + dt) − y(t n )

y 0 (t n ) = + O(dt 1 )
dt
Note by y n the approximation of y(t n ).
y n+1 − y n
Thus, a forward approximation of the derivative is : y 0 (t n ) '
dt
I this approximation is of order 1
I the resulting numerical scheme reads :

Forward Euler scheme : yfen+1 = (1 − λdt) yfen ∀n > 0

time 0 0.01 0.02 0.03 0.04

yex 1 0.61 0.37 0.22 0.14
yfe 1 0.5 0.25 0.13 0.07

4 / 17
 Lecture 2

Backward numerical scheme for y 0 = −λy

Thanks to the Taylor expansion formula :
y(t n ) − y(t n − dt)
y 0 (t n ) = + O(dt 1 )
dt
Still noting by y n the approximation of y(t n ), we get a backward approximation
y n − y n−1
of the derivative : y 0 (t n ) ' , for n > 1.
dt
I this approximation is of order 1
−1 n−1
I the resulting numerical scheme reads :y n = (1 + λdt) y , for n > 1,
or equivalently :

Backward Euler scheme : n+1

ybe = (1 + λdt)−1 ybe
n
∀n > 0

time 0 0.01 0.02 0.03 0.04

yex 1 0.61 0.37 0.22 0.14
yfe 1 0.5 0.25 0.13 0.07
ybe 1 0.66 0.44 0.3 0.2

5 / 17
 Lecture 2

Accuracy

Which of the 2 numerical scheme is the mode accurate ?

I From the table of numerical values, the discrepancy of each numerical
scheme with the exact solution is of same order of magnitude :

|yex − yfe | = O(dt 1 ) and |yex − ybe | = O(dt 1 )

I The error with the exact solution is given exactly by the remaining terms
in the Taylor expansion : these terms where neglected for the
approximation of the differential operator.
I The order of accuracy of a numerical scheme is given by the order of
truncation of the Taylor expansion.
I Both the Forward and Backward Euler schemes are accurate to the 1rst
order.
Does it mean that the 2 schemes behave the same ? NO !

6 / 17
 Lecture 2

Stability of the Forward Euler scheme

As the time step decreases dt → 0 :
I The error diminishes too : quite normal because the error is function of dt.

As time step increases :

time ×10−2 0 1 2 3 4 5 6 7 8
dt = 10−2 1 0.5 0.25 0.13 0.07 0.03 0.02 0.01 0.01
dt = 2 × 10−2 1 0 0 0 0
dt = 4 × 10−2 1 -1 1
u

ujn for dt < 0.01

ujn for dt = 0.02 xj

ujn for dt = 0.04

I Above a threshold value for dt, the numerical solution blows up !

7 / 17
 Lecture 2

Stability of the Backward Euler scheme

As the time step decreases dt → 0 :
I The error diminishes too : quite normal because the error is function of dt.

As time step increases :

time ×10−2 0 1 2 3 4 5 6 7 8
dt = ×10−2 1 0.66 0.44 0.3 0.2 0.13 0.09 0.06 0.04
dt = 2 × 10−2 1 0.5 0.25 0.13 0.07
dt = 4 × 10−2 1 0.33 0.11
u

ujn for dt = 0.04

ujn for dt = 0.02

ujn for dt < 0.01 xj

I There is no threshold value above which the numerical solution blows up.
8 / 17
 Lecture 2

A posteriori analysis

With an information on the qualitative behaviour of the exact solution, we can

compute the threshold time step for which the numerical solution blows up :
I Starting with a positive initial condition y 0 > 0, all the other terms must
stay positive : y n > 0.
I That is to say : for any n, if y n > 0, then y n+1 > 0
I But for the Forward Euler scheme, y n+1 = (1 − λdt) y n .
Thus y n+1 > 0 only if dt < λ−1
I For the Backward Euler scheme, as y n+1 = (1 + λdt)−1 y n , one has y n+1
always positive, whatever the value for the time step dt.
This result can be generalized :
I Forward schemes cannot support a time step dt too big, otherwise their
numerical solution blows up : they have a stability condition.
I Backward schemes have no limitation on the time step : they are
unconditionnaly stable

9 / 17
 Lecture 2

Back to the heat equation

Consider the unsteady heat equation in one spatial dimension :

∂u ∂2 u
=α 2 for x ∈]a; b[, and t > 0
∂t ∂x
With an initial condition : u(x, t 0 ) = U 0 (x), and fixed (Dirichlet) boundary
conditions : u(x0 , t n ) = Ua , and u(xNx , t n ) = Ub .
Notation, as usual :
I Time discretization : t n = t 0 + ndt
I Space discretization : xj = x0 + jdx
I Numerical approximation of the temperature : ujn ' u(xj , t n ).
Thus ujn+1 ' u(xj , t n + dt) and uj±1
n
' u(xj ± dx, t n ).

10 / 17
 Lecture 2

Forward Euler scheme for the Heat equation

The Forward Euler scheme reads :

I Initial condition : uj0 = U 0 (xj ), for j = 0, . . . , Nx
I Boudary conditions :
I at left : u0n = Ua
I at right : uNn x = Ub
I For all interior nodes, j = 1, . . . , Nx − 1, we assume to know all un , and we
need to compute the values un+1 :

αdt n
ujn+1 = ujn + u − 2ujn + uj−1
n


dx 2 j+1

11 / 17
 Lecture 2

Accuracy, Stability of the Forward Euler scheme

I Thanks to Taylor expansion, the Forward Euler scheme is computed by

approximating the differential operators as :

∂u ujn+1 − ujn ∂2 u
n
uj+1 − 2ujn + uj−1
n
(xj , t n ) ' and (xj , t n
) '
∂t dt ∂x 2 dx 2
The truncated terms are of order O(dt + dx 2 ) :
The Forward Euler scheme is accurate of order 1 in time and 2 in space
I Injecting a particular solution (monochromatic wave) : ujn = ρn e iβx , and
knowing that the heat equation is energy-dissipating : |un+1 | 6 |un |, we
get after some computation :
dx 2
The stability condition for the Forward Euler scheme : dt 6
α2

12 / 17
 Lecture 2

Solving the Forward Euler scheme

One of the great advantage with the Forward Euler scheme is its low
computational cost :
I Starting from the initial condition uj0 = U 0 (xj ), for j = 0, . . . , Nx ,
I Use the numerical scheme for each node to compute the approximation
of the temperature u1 at time t 1 = t 0 + dt :

αdt 0
uj1 = uj0 + uj+1 − 2uj0 + uj−1
0


2
for j = 1, . . . , Nx − 1
dx
The Forward Euler scheme is said to be explicit because the unknown
un+1 has an explicite formulation involving known terms un . The
computational cost is low !
I The boundary conditions are then solved : in case of Dirichlet boundary
conditions, one has straightforwardly u00 = Ua and uN1 x = Ub
I At this stage, the full numerical solution has been computed for the time
layer t 1 : we have to apply the same process in order to compute the next
time layer t 2 , and so on...

13 / 17
 Lecture 2

Backward Euler scheme for the Heat equation

The Backward Euler scheme reads :

I Initial condition : uj0 = U 0 (xj ), for j = 0, . . . , Nx
I Boudary conditions :
I at left : u0n = Ua
I at right : uNn x = Ub
I For all interior nodes, j = 1, . . . , Nx − 1, we assume to know all un , and we
need to compute the values un+1 :
 
αdt αdt  n+1 
1 + 2 2 ujn+1 − 2
n+1
uj+1 + uj−1 = ujn
dx dx

It is obtained by considering the approximations :

∂u ujn − ujn−1 ∂2 u
n
uj+1 − 2ujn + uj−1
n
(xj , t n ) ' and (xj , t n
) '
∂t dt ∂x 2 dx 2
and shifting the time labels n := n + 1 in order to start with n > 0

14 / 17
 Lecture 2

Accuracy, Stability of the Backward Euler scheme

I The truncated terms in the approximations

∂u ujn − ujn−1 ∂2 u
n
uj+1 − 2ujn + uj−1
n
(xj , t n ) ' and (xj , t n
) '
∂t dt ∂x 2 dx 2
are of order O(dt + dx 2 ) : The Backward Euler scheme is accurate of
order 1 in time and 2 in space, as the Forward Euler scheme.
I Injecting a particular solution (monochromatic wave) : ujn = ρn e iβx , and
knowing that the heat equation is energy-dissipating : |un+1 | 6 |un |, we
get after some computation :
The Backward Euler scheme has no stability condition : dt may be as big
as wanted, the solution will not blow up !

15 / 17
 Lecture 2

Solving the Backward Euler scheme

One of the great disdvantage with the Backward Euler scheme is its low
computational cost :
I Starting from the initial condition u0 = U 0 (xj ), for j = 0, . . . , Nx ,
j
I The numerical scheme indicates that each unkown ujn+1 cannot be
n+1
computed separatly from its neighbourgh uj±1 . One has to consider the
whole time layer.
The numerical scheme can be recast into a matrix form :

MUn+1 = Un

The Backward Euler scheme is said to be implicit because the unknown

U n+1 has to be computed by inverting the matrix M : U n+1 = M−1 Un . The
computational cost is high !
I The boundary conditions are solved at the same time as all interior
nodes.
I At this stage, the full numerical solution has been computed for the time
layer t 1 : we have to apply the same process in order to compute the next
time layer t 2 , and so on...
16 / 17
 Lecture 2

Summarize

For the heat equation :

I Forward Euler (explicit) scheme :
I Easy to construct, fast in computation
I but it is conditionally stable : the time step cannot be too big, otherwise the
numerical solution blows up !
dx 2
Stability condition : dt 6
α2
I Backward Euler (implicit) scheme :
I unconditionally stable : dt independent of dx
I need a matrix inversion (computational cost)
I these two schemes are as accurate one as the other : O(dt + dx 2 )

17 / 17