COMJIVNICdTIONS ON PURE A N D -4PPLIED MATIIEMATICS, VOL.

V, 243-255 (1952)

On the Solution of Nonlinear Hyperbolic

Differential Equations by Finite Differences
B y RICHARD COURANT, EUGENE ISAACSON, and MINA REES

Introduction
Existence, uniqueness and stability of the solution of the initial value problem
for the hyperbolic system of n quasi-linear first order partial differential equations
in two independent variables have been established in previous publications by
various authors [l,2, 4, 5, 6, 71. The present paper supplements these results
by proving that a rather flexible finite difference scheme provides an approximate
numerical solution accurate within an error of the same order of magnitude as
the mesh width of the net. Two such schemes, adaptable to computation by
intelligent human effort and by automatic machines, are considered in detail.
The first,* briefly described in [3], uses a curvilinear net while the second is
based on a rectangulttr net. We determine criteria for selecting the size of mesh
Kidths, the type of difference qnotients, and the proper number of decimal
places, to insure convergence of the numerical procedure. These conclusions
are obtained by a straightforward analysis of the step by step growth of the
"error," the difference between the true solution and the finite difference solution.
It, should be emphasized that our task is simplified by making use of the existence
theorem in the form proved in [5] by R. Courant and P. Lax.

1. Diflerences along a Curvilinear Net

The general quasi-linear system of first order partial differential equations
in two independent variables has the form
n

(1) C ~ ' ' u +; B'IU:

1-1
= c', j = 1, - .. ? n1

+
where A", B" and C' are functions of the n 2 variables (2,y, u'). If the system
is hyperbolic, n distinct linear combinations of the equations (1) may be formed
to produce an equivalent system of equations in the normal form'

*In present day computing practice, either characteristic or rectangular nets are used.
Our discussion of curvilinear n e b is supposedly a model for convergence proofs that may be
fashioned for the characteristic nets (see footnote 4). It was thought worthwhile to include an
analysis of a rectangular net scheme to clarify the role that the characteristic directions play
in determining such a difference scheme.
'Several illustrations of such reduction to normal form are to be found in [3].
243
244 R. COURANT, E. ISAACSON, AND M. REES

(2) 2 aii(ut +
t=l
ci~f) = bi, j = 1, .. . , n,
where a", c i and bf are functions of (s, y, u') (assuming that the direction y =
constant is not characteristic).
We observe that in each equation of the normal form ( 2 ) the variables
u' are differentiated in a common direction, that is

along a curve z =: z(y) for which

ax
-= c' (the j t hcharacteristic direction).
ClY
It is the direct replacement of the derivative along characteristics that forms
the basis of the first finite difference method.
We consider the initial value problem for the equations (2) under the hypoth-
esis that there exists a vector function
9 = W(Z, Y)I
such that along the continuously differentiable initial curve, I, , given by
Y = Y&>, a I 2 I 6,
UO = b"s, YO(4) I = I g"z, Ya(4) I = go *

Furthermore, in some neighborhood R, of the initial curve we suppose that the

first derivatives of g satisfy a uniform Lipschitz condition
(e.g., I gXz2 ,YJ - sXzl II M(l yl) 22 - s1 I + I Y 2 - Y1 I>>.
In addition we assume that, for (z, y) in Rl ,

-ggI(<K

(with Pome positive constant K ) , that 1 c' I < M , that det I u i iI # 0, that the
first derivatives of a*', ci and b' satisfy a Lipschitz condition with respect to the
n +
2 variables z,y, u1and that we have a one-parameter family' of sectionally
smooth curves I, : y = yJx) which cover R, smoothly and which are not char-
acteristic a t any point (Le. the curves I, are "spacelike"). In [5] it is proved
that in a, perhaps smaller, neighborhood R there exists a unique solution u
which satisfies the initial conditions and such that its first derivatives actually
satisfy a uniform Lipschitz condition. We are now led to the following procedure
for computing tho solution of the initial value problem for ( 2 ) .
We select a mesh width h and pick net points on I, which are very nearly
h units apart (see Figure 1). Then we pick net points on I , , Y = 1, 2, , ---
*Forexample, such a family may be obtained by the translation of l o in a fixed direction.
 FINITE DIFFERENCES 245

which on each curve are very nearly h units apart but which between neighboring
curves I , , I+,are merely of the order of magnitude of h units apart. The order
of the distance between I . and I,,, is chosen sufficiently small so that if P is a
net point on I+, and Q its nearest neighboring net point en I , then the line
segments drawn backwards through P with the slopes dxldy = c intersect I.
at points which lie between Q and its nearest neighboring net points Q and Q
on I , .
.

FIGURE
1

The natural step now is to replace in (2) derivatives in the characteristic

directions by differences. To make these ideas clear we let w(Q) represent the
solution of the difference equation (3), which we assume has been computed at
-
the net points on I , , I , , . , I , . We then compute w*(P)by means of the
equation

(3)

where Ag is the change in y between &, and P and Q, is the point of intersection
of the straight line through P with slope dxldy = c(Q, w(Q)) and either the
straight line segment joining Q to Q or the one joining Q to Q. Let us assume
that Q, lies between Q and Q and that in vector form
(4) Q,= Q + L(Q - Q).
We define the functions w(Q,)by linear interpolation with the same constant
h, , in the form

f(QJ = f(&)+ hIf(Q)- f(Q>l.

We note that X, is a function of the solution wd(Q),the characteristic direction
c(Q, w(Q)) and the geometry of the curves I , .
The computation of w(P) can be effected if det 1 a(&, w(Q)) 1 # 0, which
is assured when Q is in the region R and 1 w - g I < K . The purpose of the present
paper is to show that in a region D, independent of h and perhaps smaller than R,
the functions w(Q) can be defined and mill differ from the solution u(Q)of the
In (3) and in subsequent formulas we shall omit the summation sign for the repeated
superscript i.
246 R. COURANT, E. ISAACSON, AND M. REES

original differential equation (2), by a quantity of order h. The generality of

this method has the advantage4 that a skilled computer has freedom in choosing
the net.

2. Proof of Convergence
We shall use the symbol O(h) to designate any quantity of order h, i.e.,
I O(h)/h I < N for h < 6. For example, in (3), Ay designates the change in
y from Q to P and may be replaced by O(h) in the region R. For the solution
u of (2)) we observe that

(5) a(&, - u(QT11 = (&*>b(Q, 4Q>>O(h2)

~(Q>>b(f) +
where QT = Q + Xj(u(Q))(Q- Q) and we have made use of the fact that the
first derivative of u satisfies a Lipschitz condition. Now since A,(&, u(Q))
satisfies a Lipschitz condition with respect to its last variables, u(&),
ui(Qi) - u(Q3) = O(I Qi - Qf I>

= O(hv)

holds, where
(7) v=w-u*.
We define the function u* by
u*(Q) = u(Q) (for Q a net point)

u*(QJ = (1 - XMQ> + X4Q)

when
Qk = (1 - X)Q + XQ for 0 5XI 1.
-
Since u is differentiable, we note that u*(Qi) u(Qi) = O(h2).
We shall now proceed to estimate the error function v. If in ( 5 ) we replace
u(Q7) by its value as given in (6) we obtain, since Ay* - Ay = O(hv),

(9) a(&, u(&)>bi(f)- ui*(Qi>l= (Ay)b(&, +

4Q>>o ( h ~ 1 + W2).
It is probably simpler to devise more rapidly convergent approximations to the differen-
tial equations when the curvilinear net is used. For a description of such a procedure in a
special gas dynamical application, see [3], page 202. Recently, some computations have been
made on the Eniac a t Aberdeen, for the purpose of comparing the accuracy of various difference
schemes (Clippinger, Dimsdale, et d.), based on a characteristic net. A proof of convergence for
such schemes along the above lines can probably be given.
 F I N I T E DIFFERENCES 247

+ O(v'(Q)) + O(vz(Qi>>.
By subtracting (9) from ( 3 ) and using (lo), we find
a"(&, ~(Q))b'(p) - u'(Qi)l
(11)
O(v(Q)@))
= + +
O(vz(Q)) O(vz(QJ) O(h4Q)) + + O(h2)-
We introduce another measure of the error, V = { Vi 1, by
(12) a"(&, ~*((&))v'(&> = V ( Q ) ,
for net points Q, and as in (8) we set
V'(Q,) = (1 - A)V'(Q) + AV'(Q').
Since aii and u* satisfy a Lipschitz condition, equation (11) may be modified5to
yield
V'P) - V'(QJ = O(hV(P)) + O(hV(QJ) + O(V*(Q))
(13)
+ O(V'(Qi)) + O(V(Q)V(P)).
Owing to the fact that Vi(Qk) is an average with positive weights of the values
of V' at the neighboring net points, we may introduce as norm on 1.

and use (13) to get

(15) M,+, 5 u
iv + a(hJ'fr ~ M , + I MJ'fv+, + M? h'),
with (Y a positive constant.
If we show that for a fixed domain D contained in R, M, = O(h), the con-
-
SSince ai'(u(Q))Vi(Qj)= a"(~(&))[(l X)V'(Q) + XU'(Q')] = Vi(Qj) + O(hV(&))+
O(hV(Q)).
248 R. COURANT, E. ISAACSON, AND M. R:EES

vergence theorem will have been proved. Of course we must also show that,
in D, I w - g I < K , in order that our use of the properties of a,c and by in the
derivation of inequality (15) shall be justified.
The final argument in the convergence proof is the same for both the curvi-
linear and rectangular nets and therefore is given in Section 4, following our
description of the finite difference scheme for a rectangulax net.

3. The Rectangular Net

The finite difference scheme is based on a rectangular lattice of points,
{(x, , y l ) ) such that xk = k Ax, yz = 1 Ay, where Ax = l / m , m an integer and
Ay = r Ax, r a positive constant.
The mesh may be refined by letting rn increase, but r will be kept fixed.
(The range r I 1 / M will be permitted so that I rci I < 1, see equation (22).)
We shall use the notation UL,l to designate the vallues of the solution of
the difference equations at the net points (xk , yt), u ; , ~= ue(xk, y2), =
a(zk , yt , (u;.zt>,G , t = cl(zk, yZ , iU5.,))and B k l = bl(xL , y z , { U k l ] ) .
Equations (2) may then be replaced by

if CL,l I0,
or

i = 1, ,a,
UL,o = do for
lc = 0, - . . , m.
The equations (16) are linear equations for the unknowns U;,2+lin terms
of presumably known values on the line y = yz = I Ay. Under our hypothesis
about the coefficients (i.e. det 1 a I # 0) it is clear thiat we may solve (16)
in some restricted neighborhood of the initial line if the values U i , , are suffi-
ciently close to g, i.e. I U - g I < K . The decisive step in our reasoning will
be to demonstrate that in a suitable small neighborhood independent of h,
IU-gl <K.
We observe that as expected the characteristic direct:lons Ci, determine the
6For simplicity, we have here assumed that the initial curve is the segment y = 0,
O l z l l .
 FINITE DIFFERENCES 249

domain of dependence since the decision to use either a forward or a backward

difference* to replace the derivative with respect to x is based on whether C;,[
is negat.ive or positive.
We shall show that t,he error ~ f =, UL,~ - uf,, will approach zero uniformly
in some fixed region about the initial line, as m +a. To this end we consider the
growth of the error as governed by (16), for the case that CA,[ > 0. Again, with
omission of the summation sign for the repeated superscript i, we find
(17) Ai.fp:,I+I = (1 - d'L,JALti-l~L,i+ rC:,iA:fl.z-l~f-l,z
+ R f , l + 8l.i
where
(18) RL,, = (1 - ~ C ~ , J V L , ~ [ -
A LAL:i-1]
:~ + T C ~ , ~ U ~-- ~ , ~ [ A ~ ~ ~ Ai!l,l-l]

and
(19) Si,l + +
= - A : : ~ U : , { + ~ (1 - T C : , ~ ) L ~ E ; ~ ' U : , ZrCf,zA::L&1.1 + &B:,i .
The addition and subtraction of auxiliary terms is motivated by our desire
to use the norm

as a measure of the error.'

From (17), me find, by taking absolute values, that
1 R::,vf,,+, 1 5 (1 - rCLJ I AEf,-,vf,, I
(21)
+ rG,i I AE!i,i-i~E-i,zI + I RL,i 1+I 8f.i 1.
Therestrictionr 5 l/M, togetherwiththefactthat0 ICL,z < M i f 1 Uk.2 - gk,lI
< K implies that the combination
(22) (I - & , I ) 1 A ; f l - d . i 1 + ~Cl.21 Ak-i,i-iv;-i,i
ii
I
is an average formed wit,h non-negative weights whose sum is one.
At this point our reason for choosing a backward" difference is explained.
?This idea of preserving a sufficiently large domain of dependence for the solution of the
difference equations has been known for some time, e.g. see [4j.
85. Keller and P. Lax have devised a symmetric scheme in which the %-derivative is
replaced by a central difference. Since they in addition use the 2-average of its neighbors,
+
(Uk+,,1 U&J,1)/2, instead of L'i, I in the forward difference formula to replace Ui and corre-
sponding averages for the coefficients that appear in the equation, their symmetric scheme can
be used on a lattice that is staggered (i.e. (zk , yi) where k and 1 have the same parity). Such a
met,hod may have some computational advantages over the one we describe in that it may be
used directly on (I), since (1) and (2) are linearly related. But the domain in which the func-
tion V can be determined by this method may be smaller than the one discussed in this paper.
9A similar norm for measuring the growth of the functions has been introduced in 171.
1OIf Cj, 1 were negative, we would use the forward difference and obtain the expression

(22)' (1 + d'i, 1) I A ' i i - ~ t ~I ;I, - G,1 I A'1+1, I - ~ + I ,1 I

250 R. COURANT, E. ISAACSON, AND M , R E E S

Therefore
(23) rnax I A:f,v:,,+,I
(j,kl
I max
(i,k)
I A:fl-,d,, I + max
(i,k)

That is, by using the definition (20)

(24)

In the appendix, we establish the following estimates, under the assumption

that I U k , z - gk,z I < K :
Lemma 1:
(25) I RL,z I r P&z[AY + E L+ Ei-11
and
Lemma 2:
(26) I
sl,z I I P 5 AY El P6(A?d2, +
where the Pk are non-negative constants.
Consequently, we find that if I U k , z- gk,zI < K , the growth of the error
is governed by
(27) 5 Ez
Ez+, + N , AY E l 4-N2E? + NsE,E,-, + iV4(Ay), for I 2 0,
and with E, = 0, E - , = 0.
The right hand side of inequality (27) differs from (15) in that a term a AgE,,,
+
is not present and a subscript 1 - 1 rather than 1 1 appears. We therefore
treat both simultaneously in the following section.
The method involving a rectangular net is probably the one that can be
adapted to automatic machine computation.

4. Completion of the Convergence Proof

We note that for a sufficiently large positive constaint, y, the measures of
error M , and E, both satisfy the inequality

Fi+, 5 Fz + (h + F2)(2h + Fi + Fz+J for 20

(28)
Fo < h, F-, = 0
(where h should be replaced by Ay when F is replaced by E.) If we set
h+Fz =GI,
It i a also possible to work with a rectangular net in a characteristic parameter plane,
e.g. see 131.
 F I N I T E DIFFERENCES 251

we find

Gl+l 5 G1 + $ G1(G+ G I + , ) for 1 210

(29)
Go < 2h, G-, = h.
It is clear that Gc I H,if we define H I by

2h
TI =
1 - 27lh
> T , . In addition, we note that
for 1 2 0 and observe that TI+,
1 1
T, = 2h2yh
-2 4 1 - 2y(l+ 1)h

Hence by (30)
Gz 5 HI < Ti .
Therefore, with the use of (31)

< 1 -2h2rZh < 4h

for
1
(33) I<-
4rh
or equivalently

lh < -.1
4r
The range of 1 thus varies with h, in such a way that in a fixed region D,about the
initial curve,
Fi C 3h.
Consequently
(34) Ml < 3h or E, < 3Ay
252 R. COURANT, E. ISAACSON, AND M. REES

in a fixed region" about the initial curve. We shall carry out the rest of the proof
for E , . It remains to be shown that for a fixed region D contained in D,and R,
the inequality (27) holds. I n other words, we must show that with Ay sufficiently
small I U k , , - gk,,1 < K for net point,s in D. We therefore seek a value Y,
independent of Ag, such that, for Ay sufficiently small, and for 0 5 I 5 Y/Ay,
I U k , l- 9k.L 1 < K . From (33) we must restrict Y so that 17 < 1/4y. By induc-
tion on 1 we shall find such a Y . Assume I Uk,, - g k , l1 < K for 0 5 1 5 p.
Then we may apply (34) to obtain
E p + i < 3AYj
from which it follows that
(35) 1 Uk,p+l - Uk.p+l I < P,.En+,< 3/33 AY
(pa is given in (41) of appendix). Now given a positive number e < K. t,he
existence theorem states that there is a region about the initial line, 0 5 g 5 Y,,
in which
(36) I7h.z - gk,z 1 <K - c.
We now pick Ay < c/3P3 and use (35) and (36) to obtain
1 uk,n+i - gk,p+i I <K - e + E = K.
Therefore we observe that Y = min (1/4y, Y,) defines a satisfactory fixed region.

5. Roud'-O# Numbers
I n practice, we compute numbers which are the solutions of the finite
difference equations, rounded off to a certain number of decimal places. If we
kept the number of decimal places fixed, but decreased the mesh width, we could
not expect to obtain convergence. It is clear that we should increase the number
of decimal places as we decrease the mesh width, in order to get an adequate
representation of the solution. We shall now explain why the round-off errorla
should be of the order O[(Ay)]'. Let us use the notation to denote the quantity r
r after round-off. Therefore,
__
r = r + O[(A~)'].
To determine we must first solve either (3) or (16) with approximate
coefficients and then round-off the answer. That is, for (16)
-
L4;'U;+1= T'(Al ) EL , C, E,)
)

(37) -
UZ,, = U;+, + O(Ag)'.
1ZIn [7], another method of estimating the solution of inequality (28) is given.
13We indicate the argument for the rectangular net. In the case of the curvilinear net, the
round-off error should be of the order O(h2).
 FINITE DIFFERENCES 253

Both operations may be combined into the single system

-
(38) A:'%+, = !l''(z,,Bt , 2,, Dt) + O[(Ay)'].
- From this point on the analysis of the error proceeds as before with u =
U - u. The variations in the estimates can all be put into the term N,(Ay>',
again subject to the restriction that I ek,
- g k , I < K . Consequently we have
established convergence subject to the requirement, that the round-off be of the
order O[(Ay)']]. Specifically, when the mesh width is decreased in the ratio
l / v , the number of decimal places should be increased by 2 log,,, v digits.

6. Summary
We have shown that the mesh width ratio,14r = Ay/Ax, should he chosen in
such a way that the domain of dependence of any point in the mesh as given by
the difference equations, is not less than the domain of dependence determined
by the differential equations. We have seen that the choice of difference quo-
tients (forward or backward) should be made with the idea of preserving the
domain of dependence.
Although we have only established the above criteria as sufficient conditions
for convergence, it is quite easy to see that all things being equal they are neces-
sary. Furthermore, we have shown that the round-off error should be of the
order O[ (AY)~]. This requirement is not a necessary condition for convergence--
but it is close enough for practical purposes, since it is clear that the round-off
error should be smaller than O(Ay). That is, the addition of 21i decimal digits
instead of at least k is not an enormously wasteful operation for k small. We
might remark that after a calculation of a
has been completed for a certain
mesh, it is possible to estimate the optimum number of decimal digits that should
have been kept, that is, the optimum number can be determined principally
from an estimate of N , (the Lipschitz constant etc.), which should be possible
after a single calculation of U.
We may point out that the proof of convergence15given here applies almost
without change to mixed initial and boundary value problems for the system
(2). Modifications are needed when free boundaries are to be determined in
the problem (e.g. shocks, contact discontinuities, etc.).

'IIn the case of the curvilinear net, the mesh width ratio is quite variable, but subject to
the same requirements regarding domains of dependence that we impose for the rectangular net.
16Amethod of practical utility in testing for local stability, attributed to J. von Neumann
is described in [8].
254 R. COURANT, E. ISAACSON, AND M. REES

Appendix
We shall establish the estimates stated in the inequalities (25) and (26).
From the definition (18) we obtain readily that

By making use of the Lipschitz condition satisfied by uiiand u', we obtain

(40)

with suitable positive constants pi . Now we observe that

since det I A ~ ~ l -I . #
l 0, for 1 U k , l - l- gk,z-l 1 < K. Therefore we have
est,ablished
Lemma 1:

+ AY bL,i .
Now if we observe that rC:,I is bounded for 1 Uk.I - gk.l 1 <K and that
(d)is a solution of (Z), which has first derivatives that satisfy a Lipschitz
condition, then by inequality (41) we obtain
Lemma 2:
IG I IB s W , + P6@Y)2.

Let us remark that in both (25) and (26) the constants Pk depend only upon
a neighborhood of the initial data that is fixed throughout our discussion,
I uk.Z - gk.1 1 < K-
 FINITE DIFFERENCES 255

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