Lecture 2

CFD Computational Fluid Dynamics
Finite Difference
Approximations-II
Outline
2
• The linear advection-diffusion equation

• Finite difference approximations
• Finite difference approximation of the linear advection-
diffusion equation
• Accuracy
• Stability
• Consistency
• Higher order finite difference approximations in space
• Time integration: implicit versus explicit and higher
accuracy
Solving
Partial Differential
Equations
Model Equations
4
We will use the model equation:
∂f ∂f ∂ f 2
+U =D 2
∂t ∂x ∂x
to demonstrate how to solve a partial differential equation
numerically.
Although this equation is much simpler than the full
Navier Stokes equations, it has both an advection term
and a diffusion term.
Before attempting to solve the equation, it is useful to
understand how the analytical solution behaves.
Model Equations
5
For initial conditions of the form:

f ( x, t = 0) = A sin(2πkx)
It can be verified by direct substitution that the solution
is given by:
− D ( 2πk ) 2 t
f ( x, t ) = Ae sin( 2πk ( x − Ut ))
which is a decaying k = 1.0

traveling wave U = 1.0
D = 0.05
A = 1.0
Finite Difference
Approximations of
the Derivatives
Finite Difference Approximations
7
Derive a numerical approximation to the governing

equation, replacing a relation between the derivatives by
a relation between the discrete nodal values.
The time derivative is found using a forward EULER

method. The approximation can be found by using a
Taylor series.
f (t + 2∆t)
∆t f(t+∆t,x)
f (t + ∆t)
∆t f(t,x-h) f(t,x) f(t,x+h)
f (t)
h h
8
Time derivative
∂f (t ) ∂ 2 f (t ) ∆t 2
f (t + ∆t ) = f (t ) + ∆t + +⋯
∂t ∂t 2
2
Solving this equation for the time derivative gives:
∂f (t ) f (t + ∆t ) − f (t ) ∂ 2 f (t ) ∆t
= − +⋯
∂t ∆t ∂t 2
2
9
∂f ( x)
Spatial first-order derivative:
∂x
When using FINITE DIFFERENCE approximations,
the values of f are stored at discrete points.
f(x-h) f(x) f(x+h)
h h
The spatial derivatives of the function are

approximated using a Taylor series.
10
Start by expressing the value of f(x+h) and f(x-h) in terms of f(x)
∂f ( x) ∂ 2 f ( x) h 2 ∂ 3 f ( x) h 3 ∂ 4 f ( x) h 4
f ( x + h) = f ( x ) + h+ + + +⋯
∂x ∂x 2
2 ∂x 3
6 ∂x 24
4
∂f ( x) ∂ 2 f ( x) h 2 ∂ 3 f ( x) h 3 ∂ 4 f ( x) h 4
f ( x − h) = f ( x ) − h+ − + −⋯
∂x ∂x 2
2 ∂x 3
6 ∂x 24
4
Subtracting the second equation from the first:
∂f ( x) ∂ 3 f ( x) h 3
f ( x + h) − f ( x − h) = 2 h+2 +⋯
∂x ∂x 3
6
11
The result is:

∂f ( x) ∂ 3 f ( x) h 3
f ( x + h) − f ( x − h) = 2 h+2 +⋯
∂x ∂x 3
6
Rearranging this equation to isolate the first derivative:
∂f ( x) f ( x + h) − f ( x − h) ∂ f ( x) h
3 2
= − +⋯
∂x 2h ∂x 3
6
⇒ Second order central differencing
12
Spatial second-order derivative:

∂ f ( x)
2
∂x 2
Repeat the same Taylor expansion as in the first-

order derivative
f(x-h) f(x) f(x+h)
h h
13
Start by expressing the value of f(x+h) and f(x-h) in terms of f(x)
∂f ( x) ∂ 2 f ( x) h 2 ∂ 3 f ( x) h 3 ∂ 4 f ( x) h 4
f ( x + h) = f ( x ) + h+ + + +⋯
∂x ∂x 2
2 ∂x 3
6 ∂x 24
4
∂f ( x) ∂ 2 f ( x) h 2 ∂ 3 f ( x) h 3 ∂ 4 f ( x) h 4
f ( x − h) = f ( x ) − h+ − + −⋯
∂x ∂x 2
2 ∂x 3
6 ∂x 24
4
Adding the second equation to the first:
∂f 2 ( x) h 2 ∂ 4 f ( x) h 4
f ( x + h) + f ( x − h) = 2 f ( x ) + 2 +2 +⋯
∂x 2
2 ∂x 24
4
14
The result is:
∂f 2 ( x) h 2 ∂ 4 f ( x) h 4
f ( x + h) + f ( x − h) = 2 f ( x ) + 2 +2 +⋯
∂x 2
2 ∂x 24
4
Rearranging this equation to isolate the second derivative:
∂ 2 f ( x ) f ( x + h) − 2 f + f ( x − h) ∂ 4 f ( x ) h 2
= − +⋯
∂x 2
h 2
∂x 12
4
⇒ Second order central differencing

15
Solving Partial
Differential Equations
16
A numerical approximation to
∂f ∂f ∂2 f
+U =D 2
∂t ∂x ∂x
is found by replacing the derivatives by the following
approximations
n
 ∂f   ∂f  ∂ f
n n 2

  + U   = D 2 
 ∂t  j  ∂x  j  ∂x j
n+1
fj
f jn−1 f jn f jn+1 ∆t
h h
17
Using the shorthand

gives
notation
 ∂f 
n
f jn +1 − f jn
f j = f (t, x j )
n   = + O(∆t )
 ∂t  j ∆t
= f (t + ∆t, x j )
n+1
fj
 ∂f 
n
f jn+1 − f jn−1
f jn+1 = f (t, x j + h)   = + O(h 2 )
 ∂x  j 2h
f jn−1 = f (t, x j − h)
f jn+1 − 2 f jn + f jn−1
n
∂ f
2

 2  = + O(h 2 )
 ∂x j h2
18
Substituting these approximations into:

∂f ∂f ∂2 f
+U =D 2
∂t ∂x ∂x
gives
f jn +1 − f jn f jn+1 − f jn−1 f jn+1 − 2 f jn + f jn−1

+U =D + O(∆t , h 2 )
∆t 2h h2
Solving for the new value and dropping the error terms yields
n +1 U∆t n D∆t n
f j = f −j
n
( f j +1 − f j −1 ) + 2 ( f j +1 − 2 f jn + f jn−1 )
n
2h h
19
Thus, given f at one time level, f at the next time

level is given by:
n +1 U∆t n D∆t n
f j = f −
j
n
( f j +1 − f j −1 ) + 2 ( f j +1 − 2 f jn + f jn−1 )
n
2h h
The value of every point at level n+1 is given
explicitly in terms of the values at the level n.
f jn+1
Forward in Time,
f n
fj n
f n ∆t Central in Space
j −1 j +1
(FTCS)
h h
20
Example:
A short MATLAB program
The model equation is computed by the spatial
differencing and time integration.
Domain length = 2
Two waves (wavelength = 1)
Periodic boundary conditions.
Compare the numerical results with the exact solution.

21
% one-dimensional advection-diffusion by the FTCS scheme

n=21; nstep=100; length=2.0; h=length/(n-1); dt=0.05; D=0.05;
f=zeros(n,1); y=zeros(n,1); ex=zeros(n,1); time=0.0;
for i=1:n, f(i)=0.5*sin(2*pi*h*(i-1)); end; % initial conditions
for m=1:nstep, m, time
for i=1:n, ex(i)=exp(-4*pi*pi*D*time)*...
0.5*sin(2*pi*(h*(i-1)-time)); end; % exact solution
hold off; plot(f,'linewidt',2); axis([1 n -2.0, 2.0]); % plot solution
hold on; plot(ex,'r','linewidt',2);pause; % plot exact solution
y=f; % store the solution
for i=2:n-1,
f(i)=y(i)-0.5*(dt/h)*(y(i+1)-y(i-1))+...
D*(dt/h^2)*(y(i+1)-2*y(i)+y(i-1)); % advect by centered differences
end;
f(n)=y(n)-0.5*(dt/h)*(y(2)-y(n-1))+...
D*(dt/h^2)*(y(2)-2*y(n)+y(n-1)); % do endpoints for
f(1)=f(n); % periodic boundaries
time=time+dt;
end;
22
Evolution
for
U=1;
D=0.05;
k=1
N=21
∆t=0.05
Exact
Numerical
23
Accuracy
24
Although the numerical solution shows a

qualitatively similar trend as the analytical solution,
there are significant quantitative differences.
The derivation of the numerical approximations for

the derivatives showed that the error depends on
the size of h and ∆t.
First we test for different ∆t.
Number of time steps= T/ ∆t

Accuracy
25
Evolution m = 10, time = 0.50

for 1
U=1;
D=0.05; 0.5
k=1 f(x,t)
0
N=21
∆t=0.05 -0.5
-1
Exact
0 0.5 1 1.5 2
Numerical x
Accuracy
26
Repeat with
m = 20, time = 0.50
a smaller 1
time-step
∆t=0.025 0.5
f(x,t)
0
-0.5
-1
Exact
0 0.5 1 1.5 2
Numerical x
Accuracy
27
Repeat with
m = 40, time = 0.50
a smaller 1
time-step
∆t=0.0125 0.5
f(x,t)
0
-0.5
-1
Exact
0 0.5 1 1.5 2
Numerical x
Accuracy
28
Very fine spatial

resolution and a m = 1000, time = 0.50
small time step 1
U=1;
D=0.05; 0.5
k=1 f(x,t)
0
N=201
-0.5
∆t=0.0005
-1
Exact
0 0.5 1 1.5 2
Numerical x
29
Quantifying the Error

I. Order of Accuracy
Order of Accuracy
30
Exact
time=0.50
Numerical
n=11; E = 0.1633
n=21; E = 0.0403
n=41; E = 0.0096
n=61; E = 0.0041
n=81; E = 0.0022
n=101; E = 0.0015
N n=121; E = 0.0011
E=h ∑( f
j =1
j − fexact )
2
n=161; E = 9.2600e-04
Order of Accuracy
31
time=0.50
0
10
Accuracy. Effect of
spatial resolution 10
-1
dt = 0.0005
-2
N = 11 to N = 161 E 10
10-3
10-4 0
10 101 102
1/ h
Order of Accuracy
32
If the error is of second order:

2
L −2
E = Ch = C   = CL N
2 2
N
~ −2
E = CN
(
~ −2
)~
ln E = ln C N = ln C − 2 ln N
On a log-log plot, the E versus N (or 1/h) curve

should therefore have a slope −2
Order of Accuracy
33
time=0.50
0
Accuracy. Effect of 10
spatial resolution
-1
10
dt = 0.0005
-2
E 10 2
?
N = 11 to N = 161 1
10-3
10-4 0
10 101 102
1/ h
34
Why is does the error deviate from the line for the
highest values of N?
Total
Error
Roundoff
Truncation
Number of Steps, N = 1/h

35
Quantifying the Error

II. Modified Wave Number
Modified Wave Number
36
Order of Accuracy
- How mesh refinement improves the accuracy
- How the difference scheme maintains accuracy

at high wave numbers
37
Consider a pure harmonic of period L
f ( x) = e ikx
The exact derivative is

′
f ( x) = ike ikx
where k can take on any of the following values

2π
k= n n = − N / 2 + 1,− N / 2 + 2, ⋯ N / 2
L
We now ask how the second order central difference
computes the derivative of f
38
Discretize the x axis with a uniform mesh

L
xj = j, j = 0,1,2, ⋯ N − 1.
N
Finite-difference approximation:
δf f j +1 − f j −1
= , ∆ = L/ N
δx j 2∆
Substituting f ( x) = e ikx = ei 2πnj / N ,

39
δf ei 2πn ( j +1) / N − ei 2πn ( j −1) / N

=
δx j 2∆
i 2πn / N − i 2πn / N
e −e
= fj
2∆
sin( 2πn / N )
=i f j = ik ′f j
∆
Modified Wave Number:
sin( 2πn / N )
k′ =
∆
40
Summary:
2π 2π n
k= n; k∆ =
L N
sin(2π n / N ) 2π n
k′ = ; k ′∆ = sin( )
∆ N
41
3 Exact
2nd Order Central
4th Order Central
6th Order Central
4th Order Pade
6th Order Pade
2
k'∆
0
0 1 2 3
k∆
Enhancing Accuracy - Padé Scheme
42
2nd Order Central Difference:

2
1 h
f j′ = ( f j +1 − f j −1 ) − f j′′′
2h 6
4th Order Central Difference:
1
f j′ = ( f j − 2 − 8 f j −1 + 8 f j +1 − f j + 2 ) + O(h )
4
12h
4th Order Padé Scheme:
4
3 h
f j′+1 + 4 f j′ + f j′−1 = ( f j +1 − f j −1 ) +
v
fj
h 30
Tridiagonal system of equations for f j′
43
Stability
Stability
44
As long as accuracy is reasonable, integration at

larger time steps is more efficient and desirable.
Can we increase the time step indefinitely?
Let’s repeat the 1-D advection-diffusion equation

with large time steps.
Stability
45
Evolution
for
U=1;
D=0.05;
k=1
N=21
∆t=0.2
Exact
Numerical
Stability
46
Instead of decaying as it should, the

amplitude of the numerical solution keeps
increasing.
Indeed, if we continued the calculations, we

would eventually produce numbers larger
than the computer can handle. This results
in an “overflow” or “NaN” (not a number).
Stability
47
Stability Analysis of
1st Order ODE
(Euler Method)
Stability
48
Consider a differential equation
y ' = f ( y, t ), y (0) = y0
Stability analysis seeks the conditions (of stepsize h)
for which the numerical solution remains bounded.
Taylor Expansion:
f ( y, t ) = f ( y0 , t0 ) + ( y − y0 ) f ′( y0 , t0 )
′ [
+(t − t0 ) f ( y0 , t0 ) + O ( y − y0 ) , (t − t0 )
2 2
]
y′ = λy + α + βt + ⋯
Stability
49
A Linearized Model Equation
y ' = λy, y (0) = y0

where λ = λ R + iλ I
For the Euler Method
yn +1 = yn + λhyn = yn (1 + λh)
Solution at time step n
yn = y0 (1 + λh) n
Stability
50
The numerical solution is stable (bounded) if
1 + λh ≤ 1 ( λ = λ R + iλ I )
λI h
Stability boundary
(1 + λR h) + λI h = 1
2 2 2
1
If λ is real and negative, Stable
h≤
2 −1 λR h
λ −1
Stability
51
Stability Analysis of
Advection-Diffusion Equation:
Von Neumann Method
Stability
52
Stability analysis of the full nonlinear system of equations

is in general too complicated.
We study a model problem that in some way mimics the

full equations.
The linear advection-diffusion equation is one such model

equation, and we will apply von Neumann's method to
check the stability of a simple finite difference
approximation to that equation.
Stability
53
Consider the 1-D advection-diffusion equation:
∂f ∂f ∂2 f
+U =D 2
∂t ∂x ∂x
In finite-difference form:

+U =D
∆t 2h h2
Stability
54
Substitute
f jn = f j,exact
n
+ ε nj
into the finite difference equation
(f n +1
j ,exact ) (
+ ε nj +1 − f jn,exact + ε nj )+
∆t
U
( f n
j +1,exact ) (
+ ε nj+1 − f jn−1,exact + ε nj−1 )=
2h
D
( ) ( ) (
f jn+1,exact + ε nj+1 − 2 f jn,exact + ε nj + f jn−1,exact + ε nj−1 )
h2
Stability
55
n
f
Since j ,exact satisfies the equation, we get
ε nj +1 − ε nj ε nj+1 − ε nj−1 ε nj+1 − 2ε nj + ε nj−1

+U =D
∆t 2h h2
Write the error as a wave:
∞
ε = ε (x j ) =
n
j
n
∑ε
k = −∞
n ikx j
ke
Dropping the subscript
ε =ε e
n
j
n ikx j
Stability
56
The error at node j is:

n ikx j
ε nj =ε e
The error at j+1 and j -1 can be written as
n ikx j +1 n ik (x j + h) n ikx j ikh

ε jn+1 =ε e =ε e =ε e e
n ik (x j −h) −ikh
ε n
j −1 =ε e
n ikx j −1
=ε e =ε e
n ikx j
e
ikx j
Substituting and canceling e yields:
ε n+1 − ε n εn − ikh εn −ikh

+U −e )=D −2 + e
ikh ikh
(e (e )
∆t 2h h 2
Stability
57
Substituting
ε =ε e
n
j
n ikx j
ε n
j +1 =ε e n ikx j
e ikh
ε n
j −1 =ε e
n ikx j
e
−ikh
into
ε nj +1 − ε nj ε nj+1 − ε nj−1 ε nj+1 − 2ε nj + ε nj−1
+U =D
∆t 2h h2
yields
ε n +1e − ε ne εn
ikx j ikx j
+U − e −ikh e )=
ikx j ikx j
(e ikh e
∆t 2h
εn
− 2e + e −ikh e
ikx j ikx j ikx j
D 2
(eikh e )
h
Stability
58
Dividing by the error amplitude at n:

amplification factor
ε n +1
U∆t ikh −ikh D∆t ikh −ikh
= 1 − ( e − e ) + ( e − 2 + e )
ε n
2h h 2
U∆t D∆t
=1− 2i sin kh + 2 2(cos kh − 1)
2h h
or
D∆t 2 h U∆t
= 1 − 4 2 sin k − i sin kh
h 2 2h
Stability
59
The ratio of the error amplitude at n+1 and n is:

ε n+1 D∆t 2 h U∆t
n = 1− 4 2 sin k −i sin kh
ε h 2 2h
Stability requires that
ε n+1
n ≤1
ε
Since the amplification factor is a complex number, and k,
the wave number of the error, can be anything, the
determination of the stability limit is slightly involved.
We will look at two special cases: (a) U = 0 and (b) D = 0

Stability
60
(a) Consider first the case when U = 0, so the problem

reduces to a pure diffusion
ε n+1 D∆t 2 h
n = 1− 4 2 sin k
ε h 2
Since sin () ≤ 1 the amplification factor is always
2
less than 1, and we find that it is bigger than -1 if

D∆t
−1 ≤ 1 − 4 2 ≤ 1
h
D∆t 1
2
≤
h 2
Stability
61
(b) Consider now the other limit where D = 0 and

we have a pure advection problem.
ε n+1 U∆t
n = 1− i sin kh
ε 2h
Since the amplification ε n+1

factor has the form 1+i() ε n
the absolute value of this

complex number is always U∆t
larger than unity and the i sin kh
2h
method is unconditionally
unstable for this case.
1
Stability
62
(c) For the general case (Hirsch v.1, pp. 403-408)

Recall amplification factor
G = 1 − iσ sin kh + 2 β (cos kh − 1)
∆t ∆t Im(G)
σ =U , β =D 2
h h
Stability Condition
G σ Re(G)
σ ≤ 2β ≤ 1
2
0 1
2β
Stability
63
In summary, the stability condition for a general 1-D

convection-diffusion equation becomes:
D∆t 1 U 2
∆t
2
≤ and ≤2
h 2 D
or
 2D h2 
∆t ≤ Min  2 , 
 U 2D 
Notice that high velocity and low viscosity lead to

instability according to the second restriction.
Stability
64
For a two-dimensional problem, assume an error of the form

n i(kxi +ly j )
ε i, j
n
=ε e
A stability analysis gives:
D∆t 1 (| U | + | V |) 2
∆t
2
≤ and ≤4
h 4 D
For a three-dimensional problem we get:
D∆t 1 (| U | + | V | + | W |) 2 ∆t
2
≤ and ≤6
h 6 D
Stability
65
Stability – Now you know!

Convergence – the solution to the finite-difference
equation approaches the true solution to the PDE having
the same initial and boundary conditions as the mesh is
refined.
Lax’s Equivalence Theorem

Given a properly posed initial value problem and a finite-
difference approximation to it that satisfies the consistency
condition, stability is the necessary and sufficient condition
for convergence.
66
Consistency
Does the error always
go to zero?
Consistency
67
Modified Equation (Finite Difference Equation):

Using the finite difference approximation, we are
effectively solving for equations that are slightly different
from the original partial differential equations.
Does the finite difference equation approach

the partial differential equation in the limit of
zero ∆t and h?
Consistency
68
Consider the 1-D advection-diffusion equation
∂f ∂f ∂2 f
+U =D 2
∂t ∂x ∂x
and its finite-difference approximation

+U =D
∆t 2h h2
The discrepancy between the two equations can be
found by deriving the modified equation.
Consistency
69
Substituting
f jn +1 − f jn ∂f (t ) ∂ 2 f (t ) ∆t
= − +⋯
∆t ∂t ∂t 2
2
f n
j +1 −f n
j −1 ∂f ( x) ∂ f ( x) h
3 2
= − +⋯
2h ∂x ∂x 3
6
f jn+1 − 2 f jn + f jn−1 ∂ 2 f ( x) ∂ 4 f ( x) h 2
= − +⋯
h 2
∂x 2
∂x 12
4
into the finite difference equation

+U =D
∆t 2h h2
70
∂f ∂f ∂2 f
+U −D 2 =
∂t ∂x ∂x
∂ 2 f (t ) ∆t ∂ 3 f ( x) h 2 ∂ 4 f ( x) h 2
+ + U − D + ⋯ = O ( ∆t , h 2
)
∂t 2
2 ∂x 3
6 ∂x 12
4
Therefore, the finite-difference scheme is effectively

solving the above modified equation.
In this case, the error goes to zero as h → 0 and ∆t → 0,
so the approximation is said to be consistent.
Although most finite difference approximations are
consistent, innocent-looking modifications can
sometimes lead to approximations that are not!

Lecture 2

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Lecture 2

Uploaded by

Copyright:

Available Formats

CFD Computational Fluid Dynamics

• The linear advection-diffusion equation

We will use the model equation:

For initial conditions of the form:

which is a decaying k = 1.0

Derive a numerical approximation to the governing

The time derivative is found using a forward EULER

Solving this equation for the time derivative gives:

f(x-h) f(x) f(x+h)

The spatial derivatives of the function are

Start by expressing the value of f(x+h) and f(x-h) in terms of f(x)

Subtracting the second equation from the first:

The result is:

Rearranging this equation to isolate the first derivative:

Spatial second-order derivative:

Repeat the same Taylor expansion as in the first-

f(x-h) f(x) f(x+h)

Start by expressing the value of f(x+h) and f(x-h) in terms of f(x)

Adding the second equation to the first:

The result is:

Rearranging this equation to isolate the second derivative:

⇒ Second order central differencing

Using the shorthand

Substituting these approximations into:

f jn +1 − f jn f jn+1 − f jn−1 f jn+1 − 2 f jn + f jn−1

Thus, given f at one time level, f at the next time

Compare the numerical results with the exact solution.

% one-dimensional advection-diffusion by the FTCS scheme

Although the numerical solution shows a

The derivation of the numerical approximations for

First we test for different ∆t.

Number of time steps= T/ ∆t

Evolution m = 10, time = 0.50

Very fine spatial

Quantifying the Error

If the error is of second order:

On a log-log plot, the E versus N (or 1/h) curve

Number of Steps, N = 1/h

Quantifying the Error

- How mesh refinement improves the accuracy

Modified Wave Number

- How the difference scheme maintains accuracy

Consider a pure harmonic of period L

The exact derivative is

where k can take on any of the following values

Discretize the x axis with a uniform mesh

Substituting f ( x) = e ikx = ei 2πnj / N ,

δf ei 2πn ( j +1) / N − ei 2πn ( j −1) / N

2nd Order Central Difference:

As long as accuracy is reasonable, integration at

Can we increase the time step indefinitely?

Let’s repeat the 1-D advection-diffusion equation

Instead of decaying as it should, the

Indeed, if we continued the calculations, we

Consider a differential equation

A Linearized Model Equation

y ' = λy, y (0) = y0

The numerical solution is stable (bounded) if

If λ is real and negative, Stable

Stability analysis of the full nonlinear system of equations

We study a model problem that in some way mimics the

The linear advection-diffusion equation is one such model

Consider the 1-D advection-diffusion equation:

f jn +1 − f jn f jn+1 − f jn−1 f jn+1 − 2 f jn + f jn−1