INTRODUCTIONTOFINITEDIFFERENCEMODELLING

V.B.Maji
Department of Civil Engineering
IIT Madras, Chennai - 36
Mail ID: vbmaji@gmail.com

INTRODUCTION TO MODELLING
Geotechnical practices comprised of three parts, establishing the ground profile, defining
ground behavior and modeling. All three of these should be supported by experience
consisting of empiricism and precedent (Burland, 1987). As per Burland (1987),
geotechnical practice needs a clear understanding of the ground profile established from a site
investigation, the definition of soil behavior provided from field and laboratory
measurements and the application of this understanding through the use of modelling. All
steps are interlinked and they are all tied together by experience.

Figure 1: Expanded Burland Triangle

There are basically three types of modeling exists, physical Model (laboratory or field/full
scale), analytical or mathematical and numerical model. According to National Research
Council (NRC) definition, a mathematical model is a replica of some real-world object or
system. It is an attempt to take our understanding of the process (conceptual model) and
translate it into mathematical terms. The role of the numerical model is simply to assist us in
developing the appropriate mathematical abstraction. Modelling of geological processes is
based on a variety of numerical methods (finite difference, finite element, finite volume,
spectral etc.) Finite difference method (FDM) and finite element method (FEM) are the most
popular. Many believe that FEM is superior compared to other methods since it can
accurately follow material interfaces. This is widely used in engineering when deformation of
complex isolated objects is modelled.

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Figure 2: Simple definition of modelling

FDM & FEM
The finite difference method is one of the oldest numerical techniques used for the solution of
sets of differential equations, given initial values and/or boundary values. In FDM, every
derivative in the set of governing equations is replaced directly by an algebraic expression
written in terms of the field variables (e.g., stress or displacement) at discrete points in space;
these variables are undefined within elements.
In geosciences in general and in geodynamics in particular advantages of using FEM are less
obvious. This is mainly related to the necessity of capturing large deformations of complex
visco-elasto-plastic materials with strong lateral variations of physical properties (e.g.
viscosity) and to the absence of constant pre-defined material interfaces. Plate boundaries and
fault structures can form spontaneously using FDM in compositionally homogeneous rocks
due to the strain localization processes. FEM is relatively complex to study and requires
stronger mathematical background and familiarity with numerical theory. Whereas FDM is
both simple and powerful. They both offer possibility to model a wide range of complex
natural processes with numerical approaches that are easy to understand and implement in
computer programs. If one want to start from scratch and seek for both making rapid progress
and obtaining strong numerical geodynamic modelling background - FDM may be a better
choice. In general, in geosciences finite elements and finite differences have comparable
accuracy and the choice mainly depends on personal preferences, experience and
background.
Numerical models should follow the following steps,
Developing an understanding of the physical system (Conceptual Model),
Translate physics into a mathematical system (Mathematical Model)
Developing a solution of the mathematical model using numerical, analytical,
graphical, analogue or other techniques (Numerical Model).
FEM and FDM, both methods produce a set of algebraic equations to solve. Even though
these equations are derived in quite different ways, but the resulting equations are identical.
FEM programs often combine the element matrices into a large global stiffness matrix.
Whereas this is not normally done with FDM, as it is relatively efficient to regenerate the
finite difference equations at each step. Its always advisable to have the initial model simple.
One can use explicit time marching method to solve the algebraic equations, but implicit,
matrix-oriented solution schemes are more common in finite elements. No need to update
coordinates at each time step in large-strain mode. The incremental displacements are added
to the coordinates so that the grid moves and deforms with the material it represents. This is
termed a Lagrangian formulation. An Eulerian formulation is common, in which the
material moves and deforms relative to a fixed grid. The constitutive formulation at each step
is a small-strain one, but is equivalent to a large-strain formulation over many steps.
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FDM EQUATIONS
In Finite difference method (FDM) the derivatives in the governing partial differential
equations are written in terms of difference equations. Basically the FDM analytically
analyzes simplified geometrical changes in discrete lengths. The discretization procedure
involves replacing continuous derivatives in equations governing the physical problem by the
ratio of changes in variable over a small but finite increment. The basic idea of FDM is to
write differential equations in temrs of discrete quantities of dependent and independent
variables resulting in simultaneous algebraic equations with all unknowns prescribed at
discrete mesh points for the entire domain.

ui 1 ui

u i u i 1

u i 1 u i 1

2x

x
i1

x
i

i+1

Figure 3: Finite difference approximation to first derivative

Consider a function u(x) and its derivative at point x
u x lim u x x u x

x
x
x 0

(1)

If u x x is expanded using Taylor series about u x

u x x u x x

x x 2 u x x 3 u x

x
2
3!
x 2
x 3
2

(2)

substituting equation 1 into equation 2, yields

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u x lim u x x 2 u x

2
x
2 x
x 0 x

(3)

From equation 2,
u x x u x x x 2 u x x 3u x

x
x
2 x 2
3!
x 3
2

The derivative

u x
O x
x

(4)

u x
in equation 4 is of first order in x indicating that the truncation error
x

Ox goes to zero like the first power in x . The finite difference form given by equation
2, 4, and 5 is said to be first order accuracy.
Writing Taylor series at i 1 and i 1

u x
u i 1 u i x
2
x i

u x
u i 1 u i x
2
x i

2u
2
x i

(5)

2u
2
x i

(6)

Re-arranging equation 5 to arrive at forward difference

u u i 1 u i
Ox

x
x i

(7)

similarly for backward difference

u u i u i 1
Ox

x
x i

(9)

a central difference is obtained by

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 u u i 1 u i 1
O x 2

x
2
x

(10)

It is seen that the trancation error for the forward and backward differences are first order
where as the central difference yields a second order trancation error. To reduce these
truncation errors the grid spacing can be reduced, using smaller Dx or the order of accuracy
can be increased by using larger n.
Finally, adding equations 5 and 6.

u i 1 2u i u i 1 2 u x 2
2
12
x 2
x i

4 u
4
x i

(11)

This leads to the finite difference formula for the 2nd derivative with 2nd order accuracy.

2 u u i 1 2u i u i 1
2
O x 2
2

x
x

(12)

EXPLICIT vs IMPLICIT METHOD

The explicit calculation cycle solves two sets of equations- motion and constitutive law. In
both sets, variables can be regarded as fixed for the duration of a calculation step.
Consequently, each element in this type of model appears to be physically isolated from its
neighbors during one calculation step (figure 3). Thus, nonlinear constitutive relations are
implemented without difficulty, because only local conditions are relevant during the
calculation step. No iterations are necessary to follow nonlinear laws, and no matrices are
formed.

Figure 4: Components of the explicit, dynamic solution scheme: explicit finite difference
method
The explicit-solution procedure is stable only when the speed of the calculation front is
greater than the maximum speed at which information propagates. A timestep must be chosen
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that is smaller than some critical timestep. In explicit scheme time step is smaller than a
critical value for stability. Timestep can be arbitrarily large, with unconditionally stable
schemes.
There are lots of advantages of explicit calculation scheme over implicit. Explicit method
timestep must be smaller than a critical value for stability. The scheme requires small amount
of computational effort per timestep compare to implicit scheme. No significant numerical
damping introduced for dynamic solution where as for implicit scheme numerical damping
dependent on timestep present with unconditionally stable schemes. No iterations necessary
to follow nonlinear constitutive law in case of former and if the timestep criterion is satisfied,
nonlinear laws are always followed in a valid physical way. Iterative procedure necessary to
follow nonlinear constitutive law for the later.
Matrices are never formed in explicit scheme and so memory requirements are always at a
minimum and no bandwidth limitations. Stiffness matrices must be stored in implicit case so
Memory requirements tend to be large and ways must be found to overcome associated
problems such as bandwidth. Since matrices are never formed, large displacements and
strains are accommodated without additional computing effort in case of former. Additional
computing effort needed to follow large displacements and strains in case of later.
FINITE DIFFERENCE APPROXIMATION
FDM first requires establishing a nodal network of the domain and derives finite difference
approximations for the governing equation at both interior and exterior nodal points. Then a
system of simultaneous algebraic nodal equations is derided and solves using numerical
schemes. The basic idea is to subdivide the area of interest into sub units keep a small
distance between adjacent nodes. If the distance is small enough, the differential equation can
be approximated locally by a set of finite difference equations.

Example 1: Finite difference approximation of heat diffusion equation

Consider of an example the finite difference approximation of heat diffusion equation

Where, =

is the thermal diffusivity

Figure 5: Finite difference discretisation for heat diffusion problem

At steady state, = 0 and
First approximation first order differentiation at intermediate points (m+1/2, n) and (m-1/2, n)
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Next, approximation for the second order differentiation at (m, n)

Similarly, approximation can be applied to other dimension y,

The nodal equations derived previously are valid for all interior points satisfying the steady
state, no generation heat equation. For each node, there is one such equation, e.g. for nodal
point m=3 and n=4, the equation is,

One each equation may be derived for each nodal point for both interior and exterior points in
the system of interest. The result is a system of N algebraic equations for a total of N nodal
points.
The system of equation can be written as,

A total of N algebraic equations for the N nodal points and the system can be expressed as a
matrix formulation, [A][T] = [C]

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From this matrix form [A][T] = [C], the solution vector [T] can be evaluated using linear
algebra. The matrix inversion is a cumbersome process especially if the order very high and
requires good numerical efficiency. One can simplify using Gauss elimination process or can
use the more efficient iterative procedure like Jacobi and Gauss-Seidel iteration method to
solve the system of linear equation.
Example 2: Finite difference approximation of 1-D consolidation equation
1-D consolidation equation can be written as,
u
2 u
cv 2
t
z

in which u is the pore pressure, cv is the coefficient of consolidation, t is the time and z is the
space variable. The above is an initial value problem in which both boundary and initial
conditions are specified. For exact solution, we need two boundary conditions on the pore
pressures and also know the pore pressure values at time t=0. One can recall that the classical
Terzaghis solution for 1-D consolidation assumes the initial pore pressures to be constant
over the full depth, equal to the applied pressure. The boundary conditions may be the pore
pressure is zero at the ground surface (z=0) and permeable or impermeable boundary at the
bottom surface (z=h). Permeable boundary means that the pore pressure at that boundary is
zero. The impermeable boundary condition means that there is no flow across the boundary.
Darcys equation can be used for velocity and the flow quantity can be calculated as
q=vA=kiA, where i is the gradient of flow. For the flow to be zero, the gradient must be
zero, i.e. the variation of pore pressure with respect to z should be zero at z=h.
The governing differential equation for consolidation can be converted to finite difference
form using forward difference scheme in time and central difference scheme in space as
follows:

ut 2 utz u zz z
utz t utz
cv z z

t
z 2

(8)

The above equation is called the explicit equation because there is only one unknown term at
time (t+t) which can be expressed in terms of all other known parameters.
t t

uz

utz (

cv t t
)
2 utz utz z
2 u z z
z

(9)

The above equation can be easily solved for pore pressures at the next time step (t+t)
knowing the pore pressures at the current time t. The above formulation is called explicit
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formulation because the unknown quantity on the left side of the equation is expressed in
terms of known quantities on the right hand side. The scheme is only conditionally stable for
selected values of t and z. These values are to be selected carefully such that the quantity
in the round brackets in Eq. 9 is less than or equal to 0.50.
The finite difference scheme can also be written in implicit form by writing the RHS of Eq. 7
in terms of pore pressures at time (t+t) as shown below:
t t

uz

utz (

cv t t t
)
2 utz t utztz
2 u z z
z

(10)
The above system cannot be solved as easily as earlier. A system of simultaneous equations
is obtained at each time step which needs to be solved by matrix methods. This matrix will
be a tri-diagonal with only three terms (maximum) on any row. The solution in this case is a
bit tedious but solution converges for any value of . Hence higher values of t can be
chosen to accelerate the solution process until the desired degree of consolidation is achieved.

Example 3: Finite difference approximation to dynamic equilibrium equation

The dynamic equilibrium equation that combines the inertia, damping and elastic forces can
be written as follows:
C U
KU R
MU

(10)

in which M, C and K are the mass, damping and stiffness matrices; R is the force vector and
and U
are the displacement, velocity and acceleration vectors respectively. The above
U, U
equation is nothing but a second order linear differential equation. Closed form analytical
solution to the above equation can be obtained for some simple problems. However, as the
number of degrees of freedom in the system increases, deriving analytical solution to the
above equation becomes difficult. In such cases, numerical solutions are preferred.
Using the central difference scheme, acceleration and velocity at time t can be written in
terms of known displacements at time (t+t), t and (t-t) as follows,
1 U - 2 U U
U
t
t - t
t
t t
t 2
1 U
U
t
t t - U t - t
2 t

(11)

Substituting the above two quantities in the governing differential equation (10) and
simplifying, we get
1
1
1
2
1
C)U t -t
C U t t R t - (K - 2 M)U t - ( 2 M 2 M
2 t
2 t
t
t
t

(12)
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The LHS of the equation is similar to [K]{u} and the RHS is the force vector that is a
function of displacements at older time steps, mass and damping of the system.
The solution of Ut+t is based on using the equilibrium equations at time t. The
examination of the above equation shows that the solution at time t requires the solution at
time -t, i.e. at a time even before the start of the system. The solution at that time can be
obtained conveniently from the Taylor series expansion as follows:
2
t U

(13)
U -t U o - t U
o
o
2
The time step t should be less than critical time step length tcr that is equal to Tn/ in which
Tn is smallest period of the assemblage. If the time step length is larger, the solution diverges
from the actual solution.

Once the displacements at the current step (t+t) are determined, the accelerations and
velocities may also be determined using the standard Taylor series expressions.
SUMMARY

Finite difference method (FDM) is relatively simple yet powerful technique specifically for
geotechnical applications where the large deformation may be an issue. It offers possibility to
model a wide range of complex natural processes with numerical approaches that are
relatively easy to understand and implement in computer programs. If one want to start from
scratch and seek for both making rapid progress and obtaining strong numerical geodynamic
modelling background - FDM may be a better choice. In general, in geosciences finite
elements and finite differences have comparable accuracy and the choice mainly depends on
personal preferences, experience and background.
REFERENCE

Desai, C. S., and J. T. Christian. (1977) Numerical Methods in Geomechanics. New York:
McGraw-Hill.
Cundall, P. A. (1976) Explicit Finite Difference Methods in Geomechanics, in Numerical
Methods in Engineering (Proceedings of the EF Conference on Numerical Methods in
Geomechanics, Blacksburg, Virginia, Vol. 1, pp. 132-150.
Itasca Manual (1999) Fast Lagrangian analysis of continua in 2D - User Manuals Itasca
Consulting Group Inc., Minneapolis, Minnesota, USA.
Burland, J.B. (1987) Nash Lecture: The teaching of Soil Mechanics-A personnel view
Proceeding, 9th ECSMFE, Dublin vol.3 pp. 1427-1447.
Rajagopal, K. (XXXX) Lecture notes on Finite difference method.

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