Multiscale Finite Elements

Basic methodology and theory for periodic coefficients for second-order

elliptic equations

Markus Kollmann

October 18th, 2011

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Outline

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Markus Kollmann

Multiscale Finite Elements

Generalization of MsFEM

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Outline

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Markus Kollmann

Multiscale Finite Elements

Generalization of MsFEM

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Motivation

Many scientific and engineering problems involve multiple scales,

particularly multiple spatial and (or) temporal scales (e.g. composite
materials, porous media,...)
Difficulty of direct numerical solution: size of the computation
From an application perspective: sufficient to predict the macroscopic
properties of the multiscale systems
Multiscale modeling: calculation of material properties or system
behaviour on the macroscopic level using information or models from
microscopic levels (capture the small scale effect on the large scale,
without resolving the small-scale features)

Markus Kollmann

Multiscale Finite Elements

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Outline

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Markus Kollmann

Multiscale Finite Elements

Generalization of MsFEM

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Introduction

Capture the multiscale structure of the solution via localized basis

functions
Basis functions contain information about the scales that are smaller than
the local numerical scale (multiscale information)
Basis functions are coupled through a global formulation to provide a
faithful approximation of the solution
Two main ingredients of MsFEM:
Global formulation of the method
Construction of basis functions

Markus Kollmann

Multiscale Finite Elements

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Problem Formulation

Consider the linear elliptic equation

Lu = f

in

u=0

on

where
Lu := div (k(x)u) .
... domain in Rd (d = 2, 3)
k(x) ... heterogeneous field varying over multiple scales
Additionally assume:
k(x) = (kij (x)) is symmetric
||2 kij i j ||2

Markus Kollmann

Rd (0 < < )

Multiscale Finite Elements

(1)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Problem Formulation, contd.

Variational formulation of (1):

Find u H01 () such that
a(u, v ) = hf , v i,

v H01 (),

where
Z

Markus Kollmann

Z
ku vdx

a(u, v ) =

and

hf , v i =

fvdx.

Multiscale Finite Elements

Generalization of MsFEM

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Basis Functions

Let Th be a partition of into finite elements K (coarse grid which can be

resolved by a fine grid).
Let xi be the interior nodes of Th and 0i be the nodal basis of the standard
finite element space Wh = span{0i }.
Definition of multiscale basis functions i :
Li = 0

in

K,

i = 0i

on

K ,

K Th ,

K Si ,

where Si = supp(0i ).
Denote by Vh the finite element space spanned by i
Vh = span(i ).
((2) is solved on the fine grid)

Markus Kollmann

Multiscale Finite Elements

(2)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Basis Functions, contd.

Computational regions smaller than K are used if one can use smaller regions
(Kloc ) to characterize the local heterogeneities within the coarse-grid block
(e.g. periodic heterogeneities). Such regions are called Representative Volume
Elements (RVE).
Definition of multiscale basis functions i :
Li = 0

Markus Kollmann

in

Kloc ,

i = 0i

on

Kloc ,

Kloc Th ,

Multiscale Finite Elements

Kloc Si ;

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Source: [Y. Efendiev and T.Y. Hou, Multiscale Finite Element Methods:
Theory and Applications, Springer, New York, 2009]
Markus Kollmann

Multiscale Finite Elements

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Global Formulation

The representation of the fine-scale solution via multiscale basis functions

allows reducing the
Pdimension of the computation. When the approximation of
the solution uh = i ui i is substituted into the fine-scale equation, the
resulting system is projected onto the coarse-dimensional space to find ui .
The MsFEM reads:
Find uh Vh such that:
XZ
K

Markus Kollmann

Z
kuh vh dx =

fvh dx

vh Vh

Multiscale Finite Elements

(3)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Global Formulation, contd.

E.g. (3) is equivalent to

Aunodal = b,

(4)

where A = (aij ) with

aij =

XZ
K

ki j dx,
K

unodal = (u1 , ..., ui , ...) are the nodal values of the coarse-scale solution and
b = (bi ) with
Z
bi =
f i .

Markus Kollmann

Multiscale Finite Elements

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Outline

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Markus Kollmann

Multiscale Finite Elements

Generalization of MsFEM

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Repetition

Consider (periodic case)

L u = f

in

u=0

on

where
L u := div (k(x/)u) ,
with kij (y ), y = x/ smooth periodic in y in a unit square Y ( is a small
parameter), f L2 () and a convex polygonal domain.
Looking for expansion:
u = u0 (x, x/) + u1 (x, x/) + ...

Markus Kollmann

Multiscale Finite Elements

(5)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Repetition, contd.
u0 = u0 (x) satisfies the homogenized equation:
L0 u0 := div (k u0 ) = f

in

u0 = 0

on

(6)

where
kij =

1
|Y |

Z
Y



j
kil (y ) lj
dy ,
yl

and j is the periodic solution of




divy k(y )y j =
kij (y )
yi

Z
in

j (y )dy = 0.

Y,
Y

In addition we have
u1 (x, y ) = j (y )

Markus Kollmann

u0
(x).
xj

Multiscale Finite Elements

(7)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Repetition, contd.
Note that
u0 (x) + u1 (x, y ) 6= u

on

therefore we introduce a first order correction term  :

L   = 0

in

 = u1 (x, y )

on

(8)

then u0 (x) + (u1 (x, y )  ) satisfies the boundary condition of u.

Now we have the following homogenization result:
Lemma 1
Let u0 H 2 () be the solution of (6),  H 1 () be the solution of (8) and
u1 be given by (7). Then there exists a constant C independent of u0 ,  and
such that
ku u0 (u1  )k1, C ku0 k2, .

Markus Kollmann

Multiscale Finite Elements

(9)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Convergence for h < 

Multiscale method and standard linear finite element method are closely related.
First we have Cas lemma
Lemma 2
Let u and uh be the solutions of (1) and (3) respectively. Then
ku uh k1, C inf ku vh k1, ,
vh Vh

(10)

and the regularity estimate

|u|2,

C
kf k0,


(1/ is due to small-scale oscillations in u).

Markus Kollmann

Multiscale Finite Elements

(11)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Convergence for h < 

Lagrange interpolation operator:

Wh
h : C ()
h u(x) :=

J
X

u(xj )0j (x)

j=1

Interpolation operator defined through multiscale basis functions:

Vh
Ih : C ()
Ih u(x) :=

J
X

u(xj )j (x)

j=1

From (2) we have

L (Ih u) = 0

Markus Kollmann

in

K,

Ih u = h u

on

K ,

K Th

Multiscale Finite Elements

(12)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Convergence for h < 

Lemma 3
Let u H 2 () be the solution of (1). Then there exist constants C1 > 0 and
C2 > 0, independent of h and , such that
h2
kf k0, ,

h
C2 kf k0, .


ku Ih uk0, C1
ku Ih uk1,

(13)

Theorem 4
Let u H 2 () and uh be the solutions of (1) and (3) respectively. Then there
exists a constant C , independent of h and , such that
h
ku uh k1, C kf k0, .


Markus Kollmann

Multiscale Finite Elements

(14)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Convergence for h > 

Convergence result uniform in  as  tends to zero (main feature of the MsFEM

over the traditional FEM).
Main result:
Theorem 5
Let u H 2 () and uh be the solutions of (1) and (3) respectively. Then there
exist constants C1 , C2 , independent of h and , such that
  1/2
ku uh k1, C1 (h + )kf k0, + C2
.
(15)
h
Lemma 6
Let u H 2 () be the solution of (1) and uI = Ih u0 Vh . Then there exist
constants C1 , C2 , independent of h and , such that
  1/2
ku uI k1, C1 (h + )kf k0, + C2
,
(16)
h
where u0 H 2 () W 1, () is the solution of the homogenized equation (6).

Markus Kollmann

Multiscale Finite Elements

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Convergence for h > 

From (12)
L uI = 0

in

K,

uI = h u0

on

K ,

K Th .

Thus (in K )
uI = uI 0 + uI 1 I  + ...
where
L 0 uI 0 = 0

in

K,

uI 0 = h u0

on

K ,

uI 0
uI 1 (x, y ) = j (y )
(x),
xj
L I  = 0

in

K,

I  = uI 1 (x, y )

on

K .

Note that
uI 0 = h u0

in

K,

because h u0 is linear on K .

Markus Kollmann

Multiscale Finite Elements

(17)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Convergence for h > 

Lemma 7
There exists a constant C , independent of h and , such that
kuI uI 0 uI 1 + I  k1, C kf k0, .

(18)

proof:
By standard approximation theory
kuI 0 k2,K kuI 0 u0 k2,K + ku0 k2,K C ku0 k2,K .
Using (9)
ku0 k2,K .
kuI uI 0 uI 1 + I  k1,K C kuI 0 k2,K C
Summing over K and using the regularity estimate
ku0 k2, C kf k0,
finishes the proof. 
Markus Kollmann

Multiscale Finite Elements

(19)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Convergence for h > 

Now we have
ku uI k1, ku (u0 + (u1  ))k1, + k(uI 0 + (uI 1 I  )) uI k1,
+ k(u0 + (u1  )) (uI 0 + (uI 1 I  ))k1, .
Using (9), the last Lemma, the regularity estimate (19) and the triangle
inequality we get:
ku uI k1, C kf k0, + ku0 uI 0 k1,
+ k(u1 uI 1 )k1, + k( I  )k1, .

Markus Kollmann

Multiscale Finite Elements

(20)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Convergence for h > 

Lemma 8
We have
ku0 uI 0 k1, Chkf k0, ,
k(u1 uI 1 )k1, C (h + )kf k0, .

(21)

Lemma 9
We have

k k1, C .

(22)

Lemma 10
We have
kI  k1, C

Markus Kollmann

  1/2
h

Multiscale Finite Elements

(23)

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Outline

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Markus Kollmann

Multiscale Finite Elements

Generalization of MsFEM

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Motivation

Boundary conditions for basis functions play a crucial role

If local boundary conditions do not reflect the nature of the underlying
heterogeneities, MsFEM can have large errors

h

h

term in the convergence rate is large when h  (resonance effect)

term comes from I 

Remember: I  term is due to the mismatch between the fine-scale

solution and MsFEM solution along the boundaries of the coarse-grid
block (MsFEM solution is linear there)
Mismatch propagates into the interior of the coarse-grid block
But boundary layer is thin (oscillations decay quickly as we move away
from the boundaries)

Markus Kollmann

Multiscale Finite Elements

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Oversampling

Sample in a domain with size larger than h and use only the interior
sampled information to construct the basis functions
Doing this, the influence of the boundary layer in the larger sample domain
on the basis functions is reduced
Let Ej satisfying
L Ej = 0

in

KE K ,

Ej = 0j

on

KE ,

then we form i by
i =

cij Ej

where cij are determined by i (xj ) = ij for nodal points xj .

= Nonconforming MsFEM

Markus Kollmann

Multiscale Finite Elements

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Source: [Y. Efendiev and T.Y. Hou, Multiscale Finite Element Methods:
Theory and Applications, Springer, New York, 2009]
Markus Kollmann

Multiscale Finite Elements

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Outline

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

Markus Kollmann

Multiscale Finite Elements

Generalization of MsFEM

Motivation

Introduction to MsFEM

Analysis in 2D

Reducing boundary effects

Generalization of MsFEM

General Framework of MsFEM

Lu = f

(24)

where L : X Y is an operator.
Multiscale basis functions are replaced by multiscale maps E MsFEM : Wh Vh .
For each vh Wh , vr ,h = E MsFEM vh is defined as:
Lmap vr ,h = 0

in

K.

Lmap captures the small scales.

Solving (24):
Find ur ,h Vh such that: hLglobal ur ,h , vr ,h i = hf , vr ,h i,

vr ,h Vh .

Correct choices of Lmap and Lglobal are the essential part of MsFEM (can be
different) and guarantee the convergence of the method.

Markus Kollmann

Multiscale Finite Elements