Partititioned Methods For Multifield Prob-Lems: Scientifi

Partititioned Methods for Multield Prob-
lems
Joachim Rang, 15.5.2013
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15.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 1 C C
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Dynamic iteration methods
Let us start with the coupled system of ODEs given by
u = f(t , u, v), u(0) = u

0
v = g(t , u, v), v(0) = v

0
.
As in the case of stationary problems a splitting can be introduced.
In the case of dynamic problem this approach is called waveform
relaxation (WR).
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Jacobi WR method
u
(k+1)
= f(t , u
(k+1)
, v
(k)
)
v
(k+1)
= g(t , u
(k)
, v
(k+1)
).
As in the case of stationary problems both ODEs can be solved in
parallel independently from each other. The communication of the two
solvers is needed only at the end of each timestep.
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SOR WR method
method is given by
u
(k+1)
= f(t ,

u
(k+1)
, v
(k)
),

u
(k+1)
(0) = u
0
v
(k+1)
= g(t ,

u
(k+1)
,
v
(k+1)
),

v
(k+1)
(0) = v
0
u
(k+1)
=
u
(k+1)
+ (1 )u
(k)
v
(k+1)
=
v
(k+1)
+ (1 )v
(k)
.
For = 1 we get GauSeidel WR method.
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Convergence in the linear case
u + Au = f(t ), u(0) = u
0
(1)
Splitting A = M N:
u
(k+1)
+ Mu
(k+1)
= Nu
(k)
+f(t ), u
(k)
(0) = u
0
(2)
Let K : v u be a linear integral operator given by
Ku(t ) =
_
t
0
e
(st )M
Nu(s)ds.
Then the solution of (1) can be written as
u
(k+1)
= Ku
(k)
+
with
(t ) = e
tM
u
0
+
_
t
0
e
(st )M
f(s)ds. (3)
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Let X be a Banach space and assume that K is a bounded operator in
X. For the convergence we need that spectral radius of K
(K) := lim
k
K
k
1/k
satises (K) < 1, since f X implies X. In the following we are
interested in the uniform convergency on a long but bounded time
interval.
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First we want to show that (K) = 0 in the space of uniform
convergence in [0, T]. We have
|K(t )| C
_
t
0
|(s)|ds Ct
with C = exp(TM)N, where denotes a norm in C

n
. It follows
|K
j
(t )| C
j
t
j
j !
and
_
_
_
_
_
_
1
1
K
_
1
_
_
_
_
_
=
_
_
_
_
_
_
j =0
_
1
K
_
j
_
_
_
_
_
_
j =0
_
CT
_
j
1
j !
= exp
_
CT
_
for all = 0.
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If (K) = 0 then no effect of the splitting on the actual rate of
convergence can be observed.
Therefore use the weighted norm
u := sup
t [0,T]
exp(t )u(t )
in which K becomes a contraction.
A similar estimate as above holds for the weighted space.
Find estimates, which are independent of the length of the interval.
Consider Banach spaces on [0, ). Let X denote any usual
L
p
-space of C
n
-valued functions dened on [0, ).
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Theorem
Let X = L
p
(R
+
, C
n
) with 1 p .
1. Then X is implied by f X, if and only if all eigenvalues of M
have positive real part.
2. If all eigenvalues of A have positive real parts then K is a bounded
operator in X if and only if the eigenvalues of M have positive real
parts.
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Proof
We want to show, that
__

0
|(s)|
p
ds
_
1/p
<
hoilds. From equation (3) we have
__

0
|e
sM
u
0
+
_
s
0
e
(s)M
f()d|
p
ds
_
1/p
<
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Theorem
Let X = L
p
(R
+
, C
n
) with 1 p , and assume that all eigenvalues
of M have positive real part. Then
(K) = max
R
((i I + M)
1
N).
Note, that in the left-hand side is the spectral radius of the operator
whereas in the right-hand side is the spectral radius of the matrix.
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Jacobi overrelaxation (JOR) WR method
Splitting:
A = M N =
1
D
_
1
D + L + U
_
.
For = 1 we have the usual Jacobi WR method.
Let J(0) = D
1
(L + U) be the Jacobi matrix.
Theorem: For any H-matrix A with D > 0 and M(A) a nonsingular
M-matrix the dynamic JOR WR method converges whenever
0 < <
2
1 + (|J(0)|)
.
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GauSeidel WR method
Splitting:
A = M N =
_
1
D L
_
_
1
D + U
_
.
Theorem: For any H-matrix A with D > 0 and M(A) a nonsingular
M-matrix the GauSeidel WR method converges whenever
0 < <
2
1 + (|J(0)|)
.
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Symmetric SOR (SSOR) WR method
Consider methods that involve two different phases. Therefore let
u
(k+1/2)
+ M
1
u
(k+1/2)
= N
1
u
(k)
+g
1
u
(k+1)
+ M
2
u
(k+1)
= N
2
u
(k+1/2)
+g
2
u
(k+1)
(0) = u
(k+1/2)
(0) = u
0
.
For the symmetric SOR (SSOR) WR method we have
M
1
=
1
D L, N
1
=
1
D + U,
M
2
=
1
D U, N
2
=
1
D + L.
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Symmetric SOR (SSOR) WR method
For any H-matrix A with D > 0 and M(A) a nonsingular M-matrix the
symmetric SOR WR method converges whenever
0 < <
2
1 + (|J(0)|)
.
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Example
Let
A =
_
1
1
_
, (0, 1).
Let us now check we assumptions from the Theorems.
We have D = I > 0.
A is an H-matrix, i.e. M(A) is a M-matrix, since
M(A) =
_
1
1
_
.
It follows
[M(A)]
1
=
1
1
2
_
1
1
_
.
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Example
Moreover we have
J(0) = D
1
(L + U) = L + U =
_
0
0
_
(|J(0)|) = < 1.
The condition
0 < <
2
1 +
is satised for all (0, 1).
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Example
Let
A = (n + 1)
2
_
_
_
_
_
_
_
2 1
1 2 1
.
.
.
.
.
.
.
.
.
1 2 1
1 2
_
_
_
_
_
_
_
R
n,n
.
Then A is a H-matrix with D > 0.
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A model problem
Let us consider the ODE
u + Qu = 0, u(0) = u
0
with
Q =
_
1
1
_
.
First we solve this ODE with explicit Euler method. In this case we get
u
m+1
= u
m
Qu
m
= (I Q)u
m
.
Our numerical solution is stable, if the spectral radius (I Q) < 1.
The eigenvalues of I Q are given by
1,2
= 1 i
and this implies < 2/(1 +
2
), i. e. we get a stepsize restriction.
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A model problem
Apply implicit Euler method:
u
m+1
= (I + Q)
1
u
m
.
The numerical solution is stable, if the absolute values of the
eigenvalues of the matrix (I + Q)
1
are bounded by one. The
eigenvalues are given by
1 + i
(1 + )
2
+ ()
2
.
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A model problem
Apply the GauSeidel WR method:
u
(k+1)
+ Mu
(k+1)
= Nu
(k)
,
where
M = D L =
_
1
0 1
_
, N = U =
_
0 0
0
_
.
If we use the explicit Euler method, we obtain
u
(k+1)
m+1
= u
(k+1)
m
+
_
Nu
(k)
m
Mu
(k+1)
m
_
.
There are several possibilities to apply the GauSeidel WR method
and explicit Euler method.
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A model problem
In each timestep we iterate w. r. t. k until convergence. Then
u
(k+1)
m
= u
(k)
m
= u
m
.
Then it follows
u
(k+1)
m+1
= u
m
+ [Nu
m
Mu
m
] = (I Q)u
m
,
which is the same approximation as in the monolythical approach.
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A model problem
Apply the GauSeidel WR method and the implicit Euler method:
u
(k+1)
m+1
= u
m
+
_
Nu
(k)
m+1
Mu
(k+1)
m+1
_
.
It follows
u
(k+1)
m+1
= (I + M)
1
u
m
+ (I + M)
1
Nu
(k)
m+1
.
For the matrix (I + M)
1
N we have
(I + M)
1
N =
_
_
_
()
2
(1 )
2
0
1
0
_
_
_
,
which has the eigenvalues 0 and
()
2
(1 )
2
. The GauSeidel WR
method converges, if < 1/(1 + ).
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A model problem
Apply a RungeKutta method on our model problem:
k
(k+1)
i
= N
_
_
u
(k)
m
+
s
j =1
a
ij
k
(k)
j
_
_
M
_
_
u
(k)
m
+
s
j =1
a
ij
k
(k+1)
j
_
_
.
With Q = M N it follows
_
_
_
I + Ma
11
. . . Ma
1s
.
.
.
.
.
.
.
.
.
Ma
s1
. . . I + Ma
ss
_
_
_
_
_
_
k
(k+1)
1
.
.
.
k
(k+1)
s
_
_
_
=
_
_
_
Qu
m
.
.
.
Qu
m
_
_
_
+ N
_
_
_
_
s
j =1
a
1j
k
(k)
j
.
.
.
s
j =1
a
sj
k
(k)
j
_
_
_
_
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A model problem
Next we introduce the setting k := (k
1
, . . . , k
s
)
and A = (a
ij
)
s
i ,j =1
and
get with the Kronecker product
(I + (M A)) k
(k+1)
i
= (Q e)u
m
+ (N A)k
(k)
j
.
Next we need the eigenvalues of the matrix
(I + (M A))
1
(N A),
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Implementation
We start our considerations with the PDE
u u
= e
t
(x
2
+ 2), in (0,
t ] (0, 1). (4)

The Dirichlet boundary and the initial conditions are taken from the
exact solution, which is given by
u(t , x) = 1 + e
t
x
2
.
The space discretisation is done with central differences, i. e. we have
u
(t , x)
1
h
2
[u(t , x + h) + u(t , x h) 2u(t , x)] .
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Implementation
Finally we get the MOL-ODE
u + Au = f (5)
with
A =
1
h
2
_
_
_
_
_
_
_
2 1
1 2 1
.
.
.
.
.
.
.
.
.
1 2 1
1 2
_
_
_
_
_
_
_
,
f(t ) = e
t
_
_
_
_
_
_
_
x
2
1
+ 2
x
2
2
+ 2
.
.
.
x
2
n1
+ 2
x
2
n
+ 2
_
_
_
_
_
_
_
+
1
h
2
_
_
_
_
_
_
_
1
0
.
.
.
0
1 + e
t
_
_
_
_
_
_
_
.
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Splitting
Next we apply the splitting A = M N and get
u
(k+1)
+ Mu
(k+1)
= Nu
(k)
+f. (6)
For the time discretisation of the MOL-ODE (5) we use diagonally
implicit RungeKutta methods. We choose the L-stable implicit Euler
method, the trapezoidual rule (order 2, implict, A-stable) and the
method DIRK2 given by the Butcher table
0
1 1
1
, = 1
_
1/2 0, 29.
The method is implicit, of second order and L-stable.
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Discrete WR method
The discrete WR method is given by
k
(k+1)
i
= f(t
m
+ c
i
) (M N)u
m
j =1
a
ij
_
Mk
(k+1)
j
Nk
(k)
j
_
, k = 1, 2, . . . ,
u
(k+1)
m+1
= u
m
+
s
i =1
b
i
k
(k+1)
i
.
The symmetric SOR WR method is then given by
u
(k+1/2)
+ M
1
u
(k+1/2)
= N
1
u
(k)
+g
1
u
(k+1)
+ M
2
u
(k+1)
= N
2
u
(k+1/2)
+g
2
.
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Application
Applying the RK method on the symmetric SOR WR method gives us
k
(k+1/2)
i
= g
1
(t
m
+ c
i
) (M
1
N
1
)u
m
j =1
a
ij
_
M
1
k
(k+1/2)
j
N
1
k
(k)
j
_
,
k
(k+1)
i
= g
2
(t
m
+ c
i
) (M
2
N
2
)u
m
j =1
a
ij
_
M
2
k
(k+1)
j
N
2
k
(k+1/2)
j
_
,
u
(k+1)
m+1
= u
m
+
s
i =1
b
i
k
(k+1)
i
.
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Results
First we apply the SOR WR method with = 1. The central
differences are applied with h = 1/10. Then we get the following
numerical results:
impl. Euler trap. rule DIRK2
= 0.100 6.99e-04 ( 70) 1.62e-05 ( 50) 8.59e-05 ( 42)
= 0.050 3.89e-04 ( 47) 3.72e-06 ( 32) 2.11e-05 ( 26)
= 0.025 2.07e-04 ( 30) 9.13e-07 ( 20) 5.63e-06 ( 17)
= 0.013 1.13e-04 ( 19) 2.31e-07 ( 13) 1.49e-06 ( 12)
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Results
For h = 1/100 the following results are obtained
= 0.100 1.98e-03 ( 1500) 2.94e-04 ( 1500) 1.45e-04 ( 1500)
= 0.050 6.18e-04 ( 1500) 9.18e-06 ( 1500) 1.98e-05 ( 1450)
= 0.025 2.10e-04 ( 1500) 2.35e-06 ( 978) 4.87e-06 ( 778)
= 0.013 1.15e-04 ( 899) 3.13e-06 ( 518) 1.83e-06 ( 406)
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Results
Next we compute the optimal
opt
, which is given by
opt
= 4/(4
2
), where = (J(0)) = (D
1
(L + U)) 0.99951.
Then
opt
1.3329. Then we have for the JOR WR method
= 0.100 7.39e-04 ( 1500) 1.25e-05 ( 1500) 8.39e-05 ( 1380)
= 0.050 3.77e-04 ( 1500) 2.20e-06 ( 964) 2.04e-05 ( 780)
= 0.025 2.02e-04 ( 894) 8.10e-07 ( 534) 5.24e-06 ( 420)
= 0.013 1.12e-04 ( 495) 1.44e-06 ( 285) 1.34e-06 ( 222)
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Results
symmetric SOR method
= 0.100 6.74e-04 ( 1252) 1.49e-05 ( 870) 8.42e-05 ( 729)
= 0.050 3.76e-04 ( 810) 2.85e-06 ( 514) 2.06e-05 ( 412)
= 0.025 2.01e-04 ( 478) 2.79e-07 ( 283) 5.39e-06 ( 221)
= 0.013 1.10e-04 ( 264) 5.74e-07 ( 151) 1.28e-06 ( 116)
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Convergence analysis
For the monolythical RungeKutta method we have
k
i
= f(t
m
+ c
i
) (M N)u
m
j =1
a
ij
(M N)k
j
)
and for the discrete WR method we have
k
(k+1)
i
= f(t
m
+ c
i
) (M N)u
m
j =1
a
ij
_
Mk
(k+1)
j
Nk
(k)
j
_
.
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Local error
The local error of the internal stages can be computed via
(k+1)
i
:= k
(k+1)
i
k
i
=
s
j =1
a
ij
N
(k)
i

s
j =1
a
ij
Mk
(k+1)
j
.
With the help of the Kronecker product we obtain
(k+1)
= (A N)
(k)
(A M)k
(k+1)
.
It follows
(k+1)
= (I + (A M))
1
(A N)
(k)
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Convergence analysis
By C we denote we matrix C := (I + (A M))
1
(A N).
numerical method converges, if < 1/(C).
implicit Euler method: C := (I + M)
1
N
trapezoidual rule: C :=
1
2
(I + /2M)
1
N.
trapezoidual rule converges faster than the implicit Euler method.
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Literature
U. Miekkala and O. Nevanlinna. Convergence of dynamic iteration
methods for initial value problems. SIAM J. Sci. Stat. Comput.
8:459482, 1987.
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Partititioned Methods for Multield Prob-

u = f(t , u, v), u(0) = u

v = g(t , u, v), v(0) = v

with C = exp(TM)N, where denotes a norm in C

t ] (0, 1). (4)

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