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Numerical Continuum Mechanics-De Gruyter (2012)

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You are on page 1of 442

Editors

Michael Efroimsky, Bethesda, USA

Leonard Gamberg, Reading, USA

Dmitry Gitman, São Paulo, Brasil

Alexander Lazarian, Madison, USA

Boris Smirnov, Moscow, Russia

Vladimir N. Kukudzhanov

Numerical Continuum

Mechanics

De Gruyter

Physics and Astronomy Classification 2010: 46.15.-x, 02.70.Bf, 02.60.Lj, 46.05.+b, 46.50.+a,

46.35.+z, 46.70.De, 46.70.Hg, 83.60.Df, 62.20.-x, 61.72.Lk, 81.40.Cd

ISBN 978-3-11-027322-9

e-ISBN 978-3-11-027338-0

A CIP catalog record for this book has been applied for at the Library of Congress.

The Deutsche Nationalbibliothek lists this publication in the Deutsche Nationalbibliografie;

detailed bibliographic data are available in the Internet at http://dnb.dnb.de.

Printing and binding: Hubert & Co. GmbH & Co. KG, Göttingen

Printed on acid-free paper

Printed in Germany

www.degruyter.com

Preface

based on the lecture course the author delivered for 15 years to students of the Moscow

Institute of Physics and Technology and the Tsiolkovskii Russian State Technological

University.

The book has a dual purpose: educational, to introduce the reader to advanced

foundations of computational mechanics, and scientific, to acquaint the reader, by

more complex examples, with the state-of-the-art directions of research and lead them

to an independent research work in this area of continuum mechanics.

The presentation of the material is intended for engineering physicists rather than

computational mathematicians. The book does not aim to give rigorous substantia-

tion of methods. Proofs of theorems are often avoided. Presentation of ideas and

qualitative considerations, illustrated by specific examples related to important appli-

cations, is preferred to rigorous exposition of theorems with detailed statements of

all conditions imposed on the functions involved. At the same time, the conditions

and limitations that are essential for practical applications of methods are discussed

quite thoroughly. Insufficient attention to such conditions can result in serious errors.

This style of presentation is justified by the fact that the book is primarily intended

for engineers and physicists, who are more interested in the essence of the problem in

question rather than a formally rigorous approach to its solution. Along with the solu-

tion of typical examples, illustrating the application of methods, conditions that may

lead to inefficiency of the methods are discussed and possible ways of overcoming

drawbacks are suggested.

The book is organized into parts, chapters and sections, which are numbered se-

quentially. The formulas and figures have double numbering, with the first number

indicating the section and the second showing the number within the section. The

facultative information – such as proofs of theorems, subtleties of the application of

methods, and so on – is given in smaller type and may be skipped at first reading.

Part I, consisting of Chapter 1, covers issues and statements of problems that differ

from traditional approaches in the modern nonlinear continuum mechanics and are

rarely included in the educational literature or differ in the formulation of equations

specially adapted for efficient numerical analysis. Discussed in Chapter 1 are integral

and divergence forms of conservation laws, variational principles and generalized so-

lutions of continuum mechanics, the thermodynamic theory of continuous media with

internal variables allowing the description of material structure, constitutive equations

of composite media with complex rheology, elastoviscoplastic media with damage,

vi Preface

and the theory of large elastoplastic deformations. Also discussed are nonclassical

methods of describing the motion of continua, including mixed Lagrangian–Eulerian

methods and description in arbitrary adaptable moving coordinates. The presentation

is performed in such a way that the reader does not have to use additional literature to

learn the material. The chapter can be useful to more advanced readers as well.

Part II, comprising Chapters 2 to 4, outlines the basics of numerical methods for the

solution of finite difference equations. This part is close to the content of traditional

courses on numerical methods with focus on efficient methods for nonlinear prob-

lems of continuum mechanics. Solution methods for stiff and singularly perturbed

boundary-value problems and nonlinear wave unsteady problems are discussed. Sta-

bility analysis methods using differential approximations are outlined.

Part III (Chapters 5 to 8) gives the description and development of special numer-

ical methods of continuum mechanics and also discusses their application to solving

certain classes of one-dimensional and multidimensional unsteady dynamic problems

and generalization to two- or three-dimensional problems for elastic and elastovis-

coplastic media. Finite difference schemes for unsteady problems with discontinuous

solutions are analyzed by the method of differential approximations. The methods

of splitting in directions and physical processes for media with complex rheological

relations are developed; these methods allow one to reduce complex problems to suc-

cessive solution of problems for simpler media. Efficient numerical-analytical meth-

ods for elastoplastic and elastoviscoplastic problems in two or more dimensions are

suggested. Special methods are considered that allow one to solve problems involv-

ing large or very large deformations of elastoplastic solids under extreme thermome-

chanical loads. These methods are based on nonclassical mixed Lagrangian–Eulerian

approaches to the description of the motion of continuous media, adaptable moving

grid techniques, and the particle-in-cell technique and its modifications. Solutions of

several problems are given: penetration of a rigid indenter into an elastoplastic ma-

terial with fracture, formation of a cumulative jet under the action of a detonation

wave, indentation of a sine-shaped rigid stamp into an elastoplastic material, fracture

of an elastic layer (glass) when impacted by a steel cylinder, impact of a deformable

cylindrical projectile on a deformable slab at a supersonic speed and their fracture,

and some others.

Chapter 8 deals with damage and continuum fracture of elastoplastic and elasto-

viscoplastic media with defects, under quasistatic and dynamic thermomechanical ac-

tions.

Also included in Chapters 5 to 8 are new results, which only appear in journal pub-

lications and are not included in the educational literature. The new methods can be

useful to the advanced readers who specialize in numerical simulation of continuum

mechanical problems as well as to postgraduate and PhD students.

At the end of Chapters 2 to 7, there are numerous exercises designed to supplement

the text and consolidate the concepts discussed. They serve to stimulate the reader to

further study and to reinforce and develop practical skills.

Preface vii

The book has an extended table of contents to help the reader quickly locate the

desired information. The brief list of notations includes symbols and terms most

frequently used in computational mathematics and mechanics. The bibliography in-

cludes references cited in the text to indicate the authors who contributed to the results

and refer the interested reader to more detailed information and other educational lit-

erature.

The book is intended for graduate and postgraduate students in the area of applied

mathematics, mechanics, and engineering sciences, who are acquainted with the ba-

sics of mechanics of continuous media and main concepts of computational mathe-

matics. The first two parts of the book aim at extending the reader’s knowledge in

these disciplines. The book may also be helpful for a wide range of engineers, sci-

entists, university teachers, and PhD students engaged in the fields of computational

mathematics and mechanics of continuous media.

I am very grateful to my colleagues and pupils Nikolai Burago, Alexander Lev-

itin, and Sergei Lychev for their valuable comments and fruitful discussions, which

helped improve the book. I would also like to thank Alexei Zhurov for translating the

manuscript into English thoroughly and conscientiously.

Contents

Preface v

I Basic equations of continuum mechanics

1 Basic equations of continuous media 3

1.1 Methods of describing motion of continuous media . . . . . . . . . . . . . . . 3

1.1.1 Coordinate systems and methods of describing motion of

continuous media . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

1.1.2 Eulerian description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4

1.1.3 Lagrangian description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

1.1.4 Differentiation of bases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

1.1.5 Description of deformations and rates of deformation of a

continuous medium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

1.2 Conservation laws. Integral and differential forms . . . . . . . . . . . . . . . . 9

1.2.1 Integral form of conservation laws . . . . . . . . . . . . . . . . . . . . . . 9

1.2.2 Differential form of conservation laws . . . . . . . . . . . . . . . . . . . 11

1.2.3 Conservation laws at solution discontinuities . . . . . . . . . . . . . . 13

1.2.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

1.3 Thermodynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

1.3.1 First law of thermodynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

1.3.2 Second law of thermodynamics . . . . . . . . . . . . . . . . . . . . . . . . 16

1.3.3 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

1.4 Constitutive equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

1.4.1 General form of constitutive equations. Internal variables . . . . 18

1.4.2 Equations of viscous compressible heat-conducting gases . . . . 21

1.4.3 Thermoelastic isotropic media . . . . . . . . . . . . . . . . . . . . . . . . . 21

1.4.4 Combined media . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

1.4.5 Rigid-plastic media with translationally isotropic hardening . . 24

1.4.6 Elastoplastic model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25

1.5 Theory of plastic flow. Theory of internal variables . . . . . . . . . . . . . . . 26

1.5.1 Statement of the problem. Equations of an

elastoplastic medium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

1.5.2 Equations of an elastoviscoplastic medium . . . . . . . . . . . . . . . . 30

x Contents

dynamic loading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

1.6.1 Experimental results and experimentally obtained

constitutive equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

1.6.2 Substantiation of elastoviscoplastic equations on the basis of

dislocation theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36

1.7 Principle of virtual displacements. Weak solutions to

equations of motion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40

1.7.1 Principles of virtual displacements and velocities . . . . . . . . . . 40

1.7.2 Weak formulation of the problem of continuum mechanics . . . 42

1.8 Variational principles of continuum mechanics . . . . . . . . . . . . . . . . . . . 43

1.8.1 Lagrange’s variational principle . . . . . . . . . . . . . . . . . . . . . . . . 43

1.8.2 Hamilton’s variational principle . . . . . . . . . . . . . . . . . . . . . . . . 44

1.8.3 Castigliano’s variational principle . . . . . . . . . . . . . . . . . . . . . . . 45

1.8.4 General variational principle for solving

continuum mechanics problems . . . . . . . . . . . . . . . . . . . . . . . . 46

1.8.5 Estimation of solution error . . . . . . . . . . . . . . . . . . . . . . . . . . . 49

1.9 Kinematics of continuous media. Finite deformations . . . . . . . . . . . . . 49

1.9.1 Description of the motion of solids at large deformations . . . . 49

1.9.2 Motion: deformation and rotation . . . . . . . . . . . . . . . . . . . . . . . 50

1.9.3 Strain measures. Green–Lagrange and

Euler–Almansi strain tensors . . . . . . . . . . . . . . . . . . . . . . . . . . 52

1.9.4 Deformation of area and volume elements . . . . . . . . . . . . . . . . 53

1.9.5 Transformations: initial, reference, and

intermediate configurations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54

1.9.6 Differentiation of tensors. Rate of deformation measures . . . . 55

1.10 Stress measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

1.10.1 Current configuration. Cauchy stress tensor . . . . . . . . . . . . . . . 57

1.10.2 Current and initial configurations. The first and second

Piola–Kirchhoff stress tensors . . . . . . . . . . . . . . . . . . . . . . . . . . 57

1.10.3 Measures of the rate of change of stress tensors . . . . . . . . . . . . 59

1.11 Variational principles for finite deformations . . . . . . . . . . . . . . . . . . . . 60

1.11.1 Principle of virtual work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60

1.11.2 Statement of the principle in increments . . . . . . . . . . . . . . . . . . 60

1.12 Constitutive equations of plasticity under finite deformations . . . . . . . 61

1.12.1 Multiplicative decomposition. Deformation gradients . . . . . . . 61

1.12.2 Material description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

1.12.3 Spatial description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

1.12.4 Elastic isotropic body . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

Contents xi

1.12.6 The von Mises yield criterion . . . . . . . . . . . . . . . . . . . . . . . . . . 66

2 The basics of the theory of finite-difference schemes 71

2.1 Finite-difference approximations for differential operators . . . . . . . . . . 71

2.1.1 Finite-difference approximation . . . . . . . . . . . . . . . . . . . . . . . . 71

2.1.2 Estimation of approximation error . . . . . . . . . . . . . . . . . . . . . . 73

2.1.3 Richardson’s extrapolation formula . . . . . . . . . . . . . . . . . . . . . 77

2.2 Stability and convergence of finite difference equations . . . . . . . . . . . . 78

2.2.1 Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78

2.2.2 Lax convergence theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78

2.2.3 Example of an unstable finite difference scheme . . . . . . . . . . . 79

2.3 Numerical integration of the Cauchy problem for systems of equations 81

2.3.1 Euler schemes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82

2.3.2 Adams–Bashforth scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83

2.3.3 Construction of higher-order schemes by series expansion . . . 85

2.3.4 Runge–Kutta schemes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85

2.4 Cauchy problem for stiff systems of ordinary differential equations . . 88

2.4.1 Stiff systems of ordinary differential equations . . . . . . . . . . . . 88

2.4.2 Numerical solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89

2.4.3 Stability analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90

2.4.4 Singularly perturbed systems . . . . . . . . . . . . . . . . . . . . . . . . . . 91

2.4.5 Extension of a rod made of a nonlinear viscoplastic material . . 92

2.5 Finite difference schemes for one-dimensional

partial differential equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95

2.5.1 Solution of the wave equation in displacements.

The cross scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95

2.5.2 Solution of the wave equation as a system of

first-order equations (acoustics equations) . . . . . . . . . . . . . . . . 96

2.5.3 The leapfrog scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97

2.5.4 The Lax–Friedrichs scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . 97

2.5.5 The Lax–Wendroff Scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98

2.5.6 Scheme viscosity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99

2.5.7 Solution of the wave equation. Implicit scheme . . . . . . . . . . . . 100

2.5.8 Solution of the wave equation. Comparison of explicit and

implicit schemes. Boundary points . . . . . . . . . . . . . . . . . . . . . . 100

2.5.9 Heat equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101

2.5.10 Unsteady thermal conduction. Explicit scheme

(forward Euler scheme) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103

xii Contents

(backward Euler scheme) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103

2.5.12 Unsteady thermal conduction. Crank–Nicolson scheme . . . . . 103

2.5.13 Unsteady thermal conduction. Allen–Cheng explicit scheme . 103

2.5.14 Unsteady thermal conduction. Du Fort–Frankel

explicit scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104

2.5.15 Initial-boundary value problem of unsteady thermal

conduction. Approximation of boundary conditions

involving derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104

2.6 Stability analysis for finite difference schemes . . . . . . . . . . . . . . . . . . . 106

2.6.1 Stability of a two-layer finite difference scheme . . . . . . . . . . . . 107

2.6.2 The von Neumann stability condition . . . . . . . . . . . . . . . . . . . . 107

2.6.3 Stability of the wave equation . . . . . . . . . . . . . . . . . . . . . . . . . . 108

2.6.4 Stability of the wave equation as a system of first-order

equations. The Courant stability condition . . . . . . . . . . . . . . . . 109

2.6.5 Stability of schemes for the heat equation . . . . . . . . . . . . . . . . 112

2.6.6 The principle of frozen coefficients . . . . . . . . . . . . . . . . . . . . . . 113

2.6.7 Stability in solving boundary value problems . . . . . . . . . . . . . . 115

2.6.8 Step size selection in an implicit scheme in solving

the heat equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116

2.6.9 Step size selection in solving the wave equation . . . . . . . . . . . . 117

2.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117

3 Methods for solving systems of algebraic equations 122

3.1 Matrix norm and condition number of matrix . . . . . . . . . . . . . . . . . . . . 122

3.1.1 Relative error of solution for perturbed right-hand sides.

The condition number of a matrix . . . . . . . . . . . . . . . . . . . . . . . 122

3.1.2 Relative error of solution for perturbed coefficient matrix . . . . 123

3.1.3 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124

3.1.4 Regularization of an ill-conditioned system of equations . . . . . 125

3.2 Direct methods for linear system of equations . . . . . . . . . . . . . . . . . . . 126

3.2.1 Gaussian elimination method. Matrix factorization . . . . . . . . . 126

3.2.2 Gaussian elimination with partial pivoting . . . . . . . . . . . . . . . . 127

3.2.3 Cholesky decomposition. The square root method . . . . . . . . . . 128

3.3 Iterative methods for linear system of equations . . . . . . . . . . . . . . . . . . 130

3.3.1 Single-step iterative processes . . . . . . . . . . . . . . . . . . . . . . . . . . 130

3.3.2 Seidel and Jacobi iterative processes . . . . . . . . . . . . . . . . . . . . . 131

3.3.3 The stabilization method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133

3.3.4 Optimization of the rate of convergence of a

steady-state process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135

3.3.5 Optimization of unsteady processes . . . . . . . . . . . . . . . . . . . . . 137

Contents xiii

3.4.1 Nonlinear equations and iterative methods . . . . . . . . . . . . . . . . 140

3.4.2 Contractive mappings. The fixed point theorem . . . . . . . . . . . . 141

3.4.3 Method of simple iterations. Sufficient convergence condition 143

3.5 Nonlinear equations: Newton’s method and its modifications . . . . . . . 145

3.5.1 Newton’s method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145

3.5.2 Modified Newton–Raphson method . . . . . . . . . . . . . . . . . . . . . 147

3.5.3 The secant method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147

3.5.4 Two-stage iterative methods . . . . . . . . . . . . . . . . . . . . . . . . . . . 148

3.5.5 Nonstationary Newton method. Optimal step selection . . . . . . 149

3.6 Methods of minimization of functions (descent methods) . . . . . . . . . . 152

3.6.1 The coordinate descent method . . . . . . . . . . . . . . . . . . . . . . . . . 152

3.6.2 The steepest descent method . . . . . . . . . . . . . . . . . . . . . . . . . . . 154

3.6.3 The conjugate gradient method . . . . . . . . . . . . . . . . . . . . . . . . . 155

3.6.4 An iterative method using spectral-equivalent operators or

reconditioning . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156

3.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157

4 Methods for solving boundary value problems for systems of equations 160

4.1 Numerical solution of two-point boundary value problems . . . . . . . . . 160

4.1.1 Stiff two-point boundary value problem . . . . . . . . . . . . . . . . . . 160

4.1.2 Method of initial parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . 161

4.2 General boundary value problem for systems of linear equations . . . . . 163

4.3 General boundary value problem for systems of nonlinear equations . . 164

4.3.1 Shooting method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165

4.3.2 Quasi-linearization method . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165

4.4 Solution of boundary value problems by the sweep method . . . . . . . . . 166

4.4.1 Differential sweep . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166

4.4.2 Solution of finite difference equation by the sweep method . . . 170

4.4.3 Sweep method for the heat equation . . . . . . . . . . . . . . . . . . . . . 171

4.5 Solution of boundary value problems for elliptic equations . . . . . . . . . 172

4.5.1 Poisson’s equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172

4.5.2 Maximum principle for second-order

finite difference equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175

4.5.3 Stability of a finite difference scheme for Poisson’s equation . 176

4.5.4 Diagonal domination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 176

4.5.5 Solution of Poisson’s equation by the matrix sweep method . . 178

4.5.6 Fourier’s method of separation of variables . . . . . . . . . . . . . . . 181

xiv Contents

4.6.1 Stiff systems of differential equations . . . . . . . . . . . . . . . . . . . . 183

4.6.2 Generalized method of initial parameters . . . . . . . . . . . . . . . . . 185

4.6.3 Orthogonal sweep . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186

4.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189

equations of continuum mechanics

5 Wave propagation problems 197

5.1 Linear vibrations of elastic beams . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197

5.1.1 Longitudinal vibrations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197

5.1.2 Explicit scheme. Sufficient stability conditions . . . . . . . . . . . . 197

5.1.3 Longitudinal vibrations. Implicit scheme . . . . . . . . . . . . . . . . . 199

5.1.4 Transverse vibrations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200

5.1.5 Transverse vibrations. Explicit scheme . . . . . . . . . . . . . . . . . . . 202

5.1.6 Transverse vibrations. Implicit scheme . . . . . . . . . . . . . . . . . . . 203

5.1.7 Coupled longitudinal and transverse vibrations . . . . . . . . . . . . 204

5.1.8 Transverse bending of a plate with shear and rotational inertia 206

5.1.9 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209

5.2 Solution of nonlinear wave propagation problems . . . . . . . . . . . . . . . . 209

5.2.1 Hyperbolic system of equations and characteristics . . . . . . . . . 209

5.2.2 Finite difference approximation along characteristics.

The direct and semi-inverse methods . . . . . . . . . . . . . . . . . . . . 211

5.2.3 Inverse method. The Courant–Isaacson–Rees

grid-characteristic scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211

5.2.4 Wave propagation in a nonlinear elastic beam . . . . . . . . . . . . . 212

5.2.5 Wave propagation in an elastoviscoplastic beam . . . . . . . . . . . 215

5.2.6 Discontinuous solutions. Constant coefficient equation . . . . . . 219

5.2.7 Discontinuous solutions of a nonlinear equation . . . . . . . . . . . 220

5.2.8 Stability of difference characteristic equations . . . . . . . . . . . . . 222

5.2.9 Characteristic and grid-characteristic schemes for solving

stiff problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222

5.2.10 Stability of characteristic and grid-characteristic schemes for

stiff problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224

5.2.11 Characteristic schemes of higher orders of accuracy . . . . . . . . 225

5.3 Two- and three-dimensional characteristic schemes and their

application . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227

5.3.1 Spatial characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227

5.3.2 Basic equations of elastoviscoplastic media . . . . . . . . . . . . . . . 229

Contents xv

system . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231

5.3.4 Characteristic equations. Spatial problem . . . . . . . . . . . . . . . . . 235

5.3.5 Axisymmetric problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 236

5.3.6 Difference equations. Axisymmetric problem . . . . . . . . . . . . . 238

5.3.7 A brief overview of the results. Further development and

generalization of the method of spatial characteristics and its

application to the solution of dynamic problems . . . . . . . . . . . 244

5.4 Coupled thermomechanics problems . . . . . . . . . . . . . . . . . . . . . . . . . . . 245

5.5 Differential approximation for difference equations . . . . . . . . . . . . . . . 248

5.5.1 Hyperbolic and parabolic forms of differential approximation . 248

5.5.2 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249

5.5.3 Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250

5.5.4 Analysis of dissipative and dispersive properties . . . . . . . . . . . 251

5.5.5 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253

5.5.6 Analysis of properties of finite difference schemes for

discontinuous solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 254

5.5.7 Smoothing of non-physical perturbations in a calculation on a

real grid . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259

5.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 260

6 Finite-difference splitting method for solving dynamic problems 263

6.1 General scheme of the splitting method . . . . . . . . . . . . . . . . . . . . . . . . 263

6.1.1 Explicit splitting scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263

6.1.2 Implicit splitting scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264

6.1.3 Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265

6.2 Splitting of 2D/3D equations into 1D equations

(splitting along directions) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265

6.2.1 Splitting along directions of initial-boundary value problems

for the heat equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265

6.2.2 Splitting schemes for the wave equation . . . . . . . . . . . . . . . . . . 268

6.3 Splitting of constitutive equations for complex rheological models into

simple ones. A splitting scheme for a viscous fluid . . . . . . . . . . . . . . . 270

6.3.1 Divergence form of equations . . . . . . . . . . . . . . . . . . . . . . . . . . 270

6.3.2 Non-divergence form of equations . . . . . . . . . . . . . . . . . . . . . . 272

6.3.3 One-dimensional equations. Ideal gas . . . . . . . . . . . . . . . . . . . 273

6.3.4 Implementation of the scheme . . . . . . . . . . . . . . . . . . . . . . . . . 275

6.4 Splitting scheme for elastoviscoplastic dynamic problems . . . . . . . . . . 276

6.4.1 Constitutive equations of elastoplastic media . . . . . . . . . . . . . . 276

6.4.2 Some approaches to solving elastoplastic equations . . . . . . . . . 277

6.4.3 Splitting of the constitutive equations . . . . . . . . . . . . . . . . . . . . 279

xvi Contents

6.4.4 The theory of von Mises type flows. Isotropic hardening . . . . . 281

6.4.5 Drucker–Prager plasticity theory . . . . . . . . . . . . . . . . . . . . . . . 283

6.4.6 Elastoviscoplastic media . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285

6.5 Splitting schemes for points on the axis of revolution . . . . . . . . . . . . . . 286

6.5.1 Calculation of boundary points . . . . . . . . . . . . . . . . . . . . . . . . . 286

6.5.2 Calculation of axial points . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288

6.6 Integration of elastoviscoplastic flow equations by variation inequality 290

6.6.1 Variation inequality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 290

6.6.2 Dissipative schemes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292

6.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 295

7 Solution of elastoplastic dynamic and quasistatic problems with finite

deformations 298

7.1 Conservative approximations on curvilinear Lagrangian meshes . . . . . 298

7.1.1 Formulas for natural approximation of spatial derivatives . . . . 298

7.1.2 Approximation of a Lagrangian mesh . . . . . . . . . . . . . . . . . . . . 299

7.1.3 Conservative finite difference schemes . . . . . . . . . . . . . . . . . . . 301

7.2 Finite elastoplastic deformations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303

7.2.1 Conservative schemes in one-dimensional case . . . . . . . . . . . . 303

7.2.2 A conservative two-dimensional scheme for an elastoplastic

medium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 305

7.2.3 Splitting of the equations of a hypoelastic material . . . . . . . . . 306

7.3 Propagation of coupled thermomechanical perturbations in gases . . . . 307

7.3.1 Basic equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307

7.3.2 Conservative finite difference scheme . . . . . . . . . . . . . . . . . . . . 307

7.3.3 Non-divergence form of the energy equation. A completely

conservative scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 309

7.4 The PIC method and its modifications for solid mechanics problems . 311

7.4.1 Disadvantages of Lagrangian and Eulerian meshes . . . . . . . . . 311

7.4.2 The particle-in-cell (PIC) method . . . . . . . . . . . . . . . . . . . . . . . 311

7.4.3 The method of coarse particles . . . . . . . . . . . . . . . . . . . . . . . . . 314

7.4.4 Limitations of the PIC method and its modifications . . . . . . . . 315

7.4.5 The combined flux and particle-in-cell (FPIC) method . . . . . . 316

7.4.6 The method of markers and fluxes . . . . . . . . . . . . . . . . . . . . . . 317

7.5 Application of PIC-type methods to solving elastoviscoplastic

problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317

7.5.1 Hypoelastic medium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 318

7.5.2 Hypoelastoplastic medium . . . . . . . . . . . . . . . . . . . . . . . . . . . . 319

7.5.3 Splitting for a hyperelastoplastic medium . . . . . . . . . . . . . . . . . 321

Contents xvii

7.6.1 Optimal mesh for a given function . . . . . . . . . . . . . . . . . . . . . . 325

7.6.2 Optimal mesh for solving an initial-boundary value problem . . 326

7.6.3 Mesh optimization in several parameters . . . . . . . . . . . . . . . . . 327

7.6.4 Heat propagation from a combustion source . . . . . . . . . . . . . . . 328

7.7 Adaptive 2D/3D meshes for finite deformation problems . . . . . . . . . . . 330

7.7.1 Methods for reorganization of a Lagrangian mesh . . . . . . . . . . 330

7.7.2 Description of motion in an arbitrary moving

coordinate system . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 331

7.7.3 Adaptive meshes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 333

7.8 Unsteady elastoviscoplastic problems on moving adaptive meshes . . . 335

7.8.1 Algorithms for constructing moving meshes . . . . . . . . . . . . . . 335

7.8.2 Selection of a finite difference scheme . . . . . . . . . . . . . . . . . . . 337

7.8.3 A hybrid scheme of variable order of approximation at

internal nodes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 339

7.8.4 A grid-characteristic scheme at boundary nodes . . . . . . . . . . . . 341

7.8.5 Calculation of contact boundaries . . . . . . . . . . . . . . . . . . . . . . . 344

7.8.6 Calculation of damage kinetics . . . . . . . . . . . . . . . . . . . . . . . . . 346

7.8.7 Numerical results for some applied problems with finite

elastoviscoplastic strains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347

7.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 352

8 Modeling of damage and fracture of inelastic materials and structures 354

8.1 Concept of damage and the construction of models of damaged media 354

8.1.1 Concept of continuum fracture and damage . . . . . . . . . . . . . . . 354

8.1.2 Construction of damage models . . . . . . . . . . . . . . . . . . . . . . . . 355

8.1.3 Constitutive equations of the GTN model . . . . . . . . . . . . . . . . . 361

8.2 Generalized micromechanical multiscale damage model . . . . . . . . . . . 363

8.2.1 Micromechanical model. The stage of plastic flow

and hardening . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 364

8.2.2 Stage of void nucleation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 365

8.2.3 Stage of the appearance of voids and damage . . . . . . . . . . . . . . 366

8.2.4 Relationship between micro and macro parameters . . . . . . . . . 367

8.2.5 Macromodel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 368

8.2.6 Tension of a thin rod with a constant strain rate . . . . . . . . . . . . 373

8.2.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 375

8.3 Numerical modeling of damaged elastoplastic materials . . . . . . . . . . . 375

8.3.1 Regularization of equations for elastoplastic materials

at softening . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 375

8.3.2 Solution of damage problems . . . . . . . . . . . . . . . . . . . . . . . . . . 376

8.3.3 Inverse Euler method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377

xviii Contents

of the Jacobian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 379

8.3.5 Splitting method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 379

8.3.6 Integration of the constitutive relations of the GTN model . . . . 382

8.3.7 Uniaxial tension. Computational results . . . . . . . . . . . . . . . . . . 386

8.3.8 Bending of a plate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 387

8.3.9 Comparison with experiment . . . . . . . . . . . . . . . . . . . . . . . . . . 389

8.3.10 Modeling quasi-brittle fracture with damage . . . . . . . . . . . . . . 390

8.4 Extension of damage theory to the case of an arbitrary

stress-strain state . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 393

8.4.1 Well-posedness of the problem . . . . . . . . . . . . . . . . . . . . . . . . . 394

8.4.2 Limitations of the GTN model . . . . . . . . . . . . . . . . . . . . . . . . . 395

8.4.3 Associated viscoplastic law . . . . . . . . . . . . . . . . . . . . . . . . . . . . 396

8.4.4 Constitutive relations in the absence of porosity

(k < 0:4, f D 0, r D 0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 396

8.4.5 Fracture model. Fracture criteria . . . . . . . . . . . . . . . . . . . . . . . . 397

8.5 Numerical modeling of cutting of elastoviscoplastic materials . . . . . . . 398

8.5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 398

8.5.2 Statement of the problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 399

8.6 Conclusions. General remarks on elastoplastic equations . . . . . . . . . . . 406

8.6.1 Formulations of systems of equations for elastoplastic media . 406

8.6.2 A hardening elastoplastic medium . . . . . . . . . . . . . . . . . . . . . . 406

8.6.3 Ideal elastoplastic media: a degenerate case . . . . . . . . . . . . . . . 407

8.6.4 Difficulties in solving mixed elliptic-hyperbolic problems . . . . 408

8.6.5 Regularization of an elastoplastic model . . . . . . . . . . . . . . . . . 408

8.6.6 Elastoplastic shock waves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 409

Bibliography 411

Index 421

Chapter 1

Chapter 1 presents the main equations of continuum mechanics as well as some mod-

els of continuous media that will be required in subsequent sections of the book.

These equations and models will not be discussed in detail, since the author presumes

that the reader is already familiar with them from a main university course of con-

tinuum mechanics taught to engineering students; for example, see [38, 49, 59]. The

current chapter should therefore be treated as a summary of facts required for numer-

ical modeling of problems arising in continuum mechanics rather than a guide to the

systematic study of continuum mechanics.

Modern computational continuum mechanics studies and solves complete systems

of equations for not only the classical models of continua, such as elastic or elastoplas-

tic media or viscous thermally conductive fluids, but also recent nonclassical models

with complex rheologies and damage as well as fracture models of elastoviscoplastic

materials and more. Chapter 1 gives a brief description of the methods for construct-

ing such models. Also outlined are benefits of representing the basic equations of

continuum mechanics in different forms, as integral or differential relations or vari-

ational principles; these are important for the discrete approach and will be used in

subsequent sections.

Let us begin with the common ways of describing motion of continuous media and

different forms of representation of conservation laws.

1.1.1 Coordinate systems and methods of describing motion of

continuous media

The conventional approach to describing the motion of a continuous medium is to

introduce a frame of reference, conditionally accepted to be fixed, and consider the

motion relative to this frame. The simplest kind of a reference frame is a rectangular,

Cartesian coordinate system with orthonormal basis vectors ei such that

ei ej D ıij ;

where ıij is the Kronecker delta (ıij D 1 if i D j and ıij D 0 if i ¤ j ). The dot

between vectors denotes the scalar product.

Other general reference frames include curvilinear and skew coordinate systems.

In this case, apart from the main, covariant basis ei , it is convenient to use the con-

4 Chapter 1 Basic equations of continuous media

ei ej D ıij ; ei ej ¤ ıij ;

v D v˛ e˛ D v ˇ eˇ ; v˛ D v e ˛ ; v ˇ D v eˇ ; (1.1)

where the v˛ are covariant coordinates of v and vˇ are its contravariant coordinates.

An arbitrary tensor can be represented in terms of its covariant, contravariant,

and mixed components as

ds 2 D d r d r D e˛ eˇ dx ˛ dx ˇ D g˛ˇ dx ˛ dx ˇ ; (1.3)

where the g˛ˇ are covariant components of the metric tensor g D g˛ˇ e˛ eˇ or

g D g˛ˇ e˛ ˝ eˇ . In what follows, the dyadic (tensor) product of vectors a and b

will conventionally be denoted ab or a ˝ b.

Formulas for various transformations of covariant and contravariant basis vectors,

including differentiation, as well as those for tensor transformations are the subject

matter of vector and tensor analysis, which is widely used in continuum mechanics.

Given a Cartesian coordinate system (reference frame) xi , all changes of physical

quantities (fields) that occur as the medium moves can be characterized in the coordi-

nate space xi and time t . All physical fields are functions of xi and t :

a D f .x; t /:

With such a description, known as Eulerian, all quantities are assumed to be func-

tions of a fixed point in space (cell) through which various points of the medium

(particles) pass. In order to track changes in the quantities associated with a moving

particle, the position vector of the particle, r D r.x; t /, must be introduced, whose

components ri D xi .t / determine the path along which the particle moves in the

reference frame xi . This path is determined by the velocity field as

dx ˇ

D v.x; t /; xˇ tD0 D x0 :

dt

Section 1.1 Methods of describing motion of continuous media 5

An alternative approach to describing the motion of a medium is to characterize the

motion of each individual particle. With this description, known as Lagrangian, par-

ticle’s characteristics – for example, its coordinates x0 at t D 0 and time t – are

taken to be the independent variables. Let i denote Lagrangian coordinates and let

all quantities associated with the motion of the medium be functions of i and t :

ˇ

a D a.; t / with D xˇ tD0 :

Any quantity a (whether it is a scalar, vector, or tensor field) that depends of the Eu-

lerian variables, a D a.x; t /, can be treated as a composite function of the Lagrangian

variables, a.x; t / D a.x.; t /; t /. Conversely, any function defined in terms of the

Lagrangian variables can be treated as a composite function of the Eulerian variables,

a.; t / D a..x; t /; t /. Accordingly, the partial derivatives with respect to time are

taken at i D const in the Lagrangian description and xi D const in the Eulerian de-

scription. A partial derivative at i D const, called a material derivative, is a quantity

that has a physical meaning; it determines the rate of change of the quantity a asso-

ciated with a particle. The relationship between the partial derivatives at xi D const

and i D const follows from the chain rule:

ˇ ˇ ˇ

@a.x.; t /; t / ˇˇ @a ˇˇ @a @xi @a ˇˇ @a

ˇ D ˇ C D ˇ C vi : (1.4)

@t @t x @xi @t @t x @xi

The material derivative is also known as the Lagrangian, substantial, or full deriva-

tive. The first term on the right-hand side in (1.4) is the partial derivative with respect

to t , while the second term represents the convective derivative [47, 157].

Apart from the above two approaches to describing the motion of a continuous me-

dium, it is possible to introduce infinitely many descriptions in an arbitrary moving

reference frame i whose law of motion is prescribed relative to a fixed reference

frame, i D i .x; t /. Such arbitrary coordinate systems will be discussed later on, in

connection with the construction of optimal (in a sense) coordinate systems and asso-

ciated computational grids. These kinds of characterization are intermediate between

the Eulerian description in a fixed reference frame and the Lagrangian description in

a frame moving together with the particle.

The vectors and tensors used to characterize the motion of a medium with both kinds

of description can be referred to the basis of a fixed frame or any other basis unrelated

to the motion. If one chooses the moving basis vectors of a Lagrangian coordinate

system, then one says that a “frozen” (or convective) frame and a “frozen” basis are

used. In a frozen basis, the coordinates of a moving particle remain constant, while

the basis vectors change.

6 Chapter 1 Basic equations of continuous media

@r

ei . j ; t / D ;

@ i

The differentiation of the basis vectors is performed as follows:

ˇ ˇ

@ ˇˇ @ ˇˇ @r.; t / @v @

ˇ ei D ˇ i

D i D i .v ˛ e˛ / D e˛ ri v ˛ e˛ v;i˛ ; (1.5)

@t @t @ @ @

tor v; also

ˇ

@ ˇˇ j

e D ri v j ei D e˛ r˛ v j :

@t ˇ

Using the above formulas for differentiating a vector field a D a˛ e˛ with respect

to time, one obtains

ˇ ˛ ˇ ˇ

@ ˇˇ @a .; t / ˇˇ ˇ ˛ @a˛ .; t / ˇˇ ˇ

a D C a r v e D a r v e˛ : (1.6)

@t ˇ ˇ ˇ

ˇ ˛ ˇ ˛

@t @t

Likewise, one can obtain the formulas for the material derivatives of a tensor written

in a frozen basis [157].

The differentiation formulas for Eulerian curvilinear basis vectors eQ i with respect

to t are as follows:

ˇ ˇ

@ ˇˇ ˇ ˛ @ ˇˇ j j

eQ i D vQ ˇ i eQ ˛ ; eQ D Qei iˇ vQ ˇ (1.7)

@t ˇ @t ˇ

where the ˇ˛i are the triple-index Christoffel symbols of the second kind.

A vector a is differentiated in an Eulerian basis using the formula

ˇ ˇ

@ ˇˇ @aQ i .x; t / ˇˇ j

a D a

Q v

Q

j k ki e Qi : (1.8)

@t ˇ @t ˇ

change of vectors and tensors.

In a similar way, the vectors and tensors used to characterize the motion of a me-

dium can be referred to the basis vectors of any other coordinate system i D i .x; t /.

If the vector and tensor fields are referred to the basis of the same coordinate system

where the motion is described, then the equations acquire their simplest form. See

Section 7.7 in Chapter 7.

Section 1.1 Methods of describing motion of continuous media 7

continuous medium

The description of the kinematics of a medium as well as the selection of deformation

measures and deformation rate measures depends on the approach used to characterize

the motion, reference frames, and the basis to which the tensor quantities are referred.

Here and henceforth, we use orthogonal Cartesian coordinates in calculations for

simplicity and write out final results in invariant, indexless form. Invariant form is

valid for any required coordinates and not only in continuous but also discrete rep-

resentation, allowing one to use known discrete relations (see Section 7.1). This ap-

proach is perhaps the simplest and most convenient for numerical solution.

The deformation of a medium is determined by the change in the distance between

two infinitely near points along a selected direction by formula (1.3). Let us write out

the change of the squared distance in terms of the Lagrangian variables:

@x˛ @x˛

ds 2 ds02 D dxi dxi d i d i D d i d j d i d i D 2Eij d i d j ;

@i @j

(1.9)

where the Eij are components of the Green–Lagrange finite strain tensor in the La-

grangian coordinates with

1 @x˛ @x˛ 1

Eij D ıij D Fi˛ F˛j ıij : (1.10)

2 @i @j 2

The Green–Lagrange strain tensor E can be expressed in terms of the deformation

gradient tensor F, referred to the basis ei of the coordinate system xi :

1 T @xi

ED F FI ; FD ei ej ; (1.11)

2 @j

The components of the Green–Lagrange strain tensor Eij are easy to express in

terms of the displacement vector of a particle, u D x , as

1 @ui @uj @u˛ @u˛

Eij D C C :

2 @j @i @i @j

Omitting the quadratic terms, one obtains the components of the small strain ten-

sor "ij :

1 @ui @uj

" D "ij ei ej ; "ij D C ;

2 @xj @xi

since

@ui @ui @u˛ @ui

D ı˛j :

@xj @x˛ @xj @j

8 Chapter 1 Basic equations of continuous media

If the change of the squared length in (1.9) is rewritten in the Eulerian coordinates

and referred to a finite length, then

@˛ @˛

ds 2 ds02 D dxi dxj dxi dxj D 2Aij dxi dxj :

@xi @xj

The Euler–Almansi finite strain tensor A describes deformation near a particle in the

Eulerian variables:

1 @˛ @˛ 1 @ui @uj @u˛ @u˛

Aij D ıij D C : (1.12)

2 @xi @xj 2 @xj @xi @xi @xi

1

AD I FT F1 D FT E F1 :

2

In a similar way, one introduces tensors that characterize the rate of change of the

length of a particle’s small directed element expressed via the velocity gradients as

@vi

vi .x C d x/ vi .x/ D dxj D Lij dxj :

@xj

The velocity gradient tensor Lij can be additively decomposed into the symmetric,

eij , and antisymmetric, !ij , parts:

1 @vi @vj

eij D C ; eij D ej i ;

2 @xj @xi

1 @vi @vj

!ij D ; !ij D !j i :

2 @xj @xi

It is not difficult to find the relationship between the time derivatives of the above

strain tensors F and " and the velocity tensors L and e. In the index form, we have

@vi @ dxi .; t / d @xi @˛ d @xi @˛

Lij D D D D ;

@xj @xj dt dt @˛ @xj dt @˛ @xj

since d ˛ =dt D 0. In the indexless tensor notation, the velocity gradient tensor L is

expressed in terms of the material time derivative of the deformation gradient tensor F

as

d F 1

LD F : (1.13)

dt

In this section, we have summarized the most common concepts and information

from kinematics of continuous media. For more details, see texts on continuum me-

chanics (e.g., [38, 49, 59]).

The differentiation formulas for vectors and tensors in curvilinear coordinates, fixed

(Eulerian) bases, and frozen (Lagrangian) bases, the expressions of the time deriva-

tives of tensors in different bases, the concepts of objective derivatives and other con-

cepts from tensor analysis, and some additional information on kinematics of contin-

uous media, required subsequently, will be given below in Sections 1.9–1.12 and later

on as they are required for studying equations for specific media.

Section 1.2 Conservation laws. Integral and differential forms 9

Divergence and non-divergence forms

This section focuses on different representations of conservation laws common to

any continuous medium. The possibility of representing one and the same law in

different forms is crucial when using discrete forms of the law. While the different

representations of a conservation law are all equivalent in continuum form, there is

no equivalence any more when the law is discretized and, depending on the purposes

of the study, one should prefer one or another discrete form. The considerations that

should taken into account in doing so depend on which properties of the original

equation are required to be preserved in the discrete representation in the first place.

This will become clearer subsequently, in applying these representations to specific

problems.

The laws of conservation of mass, linear momentum, angular momentum, and energy

must hold for any continuous medium. For a moving medium, suppose V is an ar-

bitrary volume consisting of the same particles during motion; we will call it a fluid

volume. Then the above laws can be written as follows:

conservation of mass: Z

d

d V D 0I (1.14)

dt V

conservation of linear momentum:

Z Z Z

d

vi d V D ij nj dS C Fi d V I (1.15)

dt V S V

conservation of energy:

Z Z Z Z

d v2

UC d V D .ij vj /ni dS qi ni dS C .Fi vi C r/ d V:

dt V 2 S S V

(1.16)

Here is the mass density, vi the particle velocity, Fi the body force per unit volume,

r the energy source intensity, ij the stress, U the potential (internal) energy per unit

volume, and qi the heat flux, with d=dt denoting the total (material) derivative.

The law of conservation of angular momentum holds identically, provided that the

stress tensor ij is symmetric.

Each of the above equations (1.14)–(1.16) has the form

Z Z Z

d

pi d V D Aij nj dS C gi d V (1.17)

dt V S V

10 Chapter 1 Basic equations of continuous media

This is a general form of conservation laws, which is valid for any finite fluid volume

V .xi ; t / with surface S . Here p.xi ; t / and g.xi ; t / are k-dimensional vector fields,

A.xi ; t / is an m k matrix field, n is a unit normal vector to S , and m is the dimen-

sion of the physical space. Equation (1.17) means that the change of the quantity p

within the volume V , consisting of the same particles, is balanced by the flux of the

quantity A through the surface S and by the action of sources g in the volume V .

Equations (1.14)–(1.16) are written in the Eulerian (spatial) variables xi and t .

These equations can also be rewritten in a different form if the total derivative of

the integral on the right-hand side is transformed as follows:

Z Z Z

d 1

p.xi ; t / d V D lim p.xi ; t C t / d V p.xi ; t / d V

dtV t!0 t

ZV CV

h i

V

1

D lim p.xi ; t C t / p.xi ; t / d V

t!0 t V

Z

p.xi ; t C t / d V

V

Z ˇ Z

@p ˇˇ

D ˇ dV C p vn dS: (1.18)

V @t x S

velocity component to the surface S at the time instant t .

V + ∆V

χi

Figure 1.1. Change of a fluid volume (shaded) as the medium moves; the fluid volume consists

of the same particles.

Then the general conservation law (1.17) in an Eulerian reference frame becomes

Z ˇ Z Z

@p ˇˇ

ˇ d V D .A p ˝ v/ n dS C g d V

V @t xi S V (1.19)

p vn D p.v n/ D .p ˝ v/ n;

Section 1.2 Conservation laws. Integral and differential forms 11

Z ˇ Z Z

@pi ˇˇ

ˇ dV D Aij pi vj nj dS C gi d V:

V @t xi S V

Let B D A p ˝ v be a continuous tensor-valued function in the domain V and let

its first partial derivatives be also continuous in V . Then, by converting the surface

integral in (1.19) to a volume integral with the Gauss–Ostrogradsky theorem, one can

rewrite the general conservation law as

Z

@pi

rj Aij pi vj gi d V D 0: (1.20)

V @t

Taking into account that (1.20) holds for any volume V , one arrives at the following

differential form of the conservation law in the Eulerian coordinate system:

@pi

D rj Aij C pi vj C gi (1.21)

@t

A relation of the form (1.21) is called a divergence equation, since the right-hand

side represents the divergence of a quantity in the three-dimensional space xi . In the

four-dimensional space of xi and t , the four-vector Ci D .pi ; Aij pi vj / with a

fixed i and j D 1; 2; 3 can be used. By applying Ostrogradsky’s formula for the

four-dimensional space of xi and t to the divergence of the vector Ci , one obtains a

different integral form of conservation laws than (1.21) [45].

By introducing the material derivative of p, characterizing the change of p in a

particle , with the formula

ˇ ˇ

@p ˇˇ dp @p ˇˇ

D D C vi ri p:

@t ˇi dt @t ˇxi

where the i are Lagrangian (material) coordinates associated with the particle, one

can convert relations (1.21) to the non-divergence form of conservation laws

ˇ

@pi ˇˇ

D rj Aij pi rj vj C gi : (1.22)

@t ˇi

In discrete representation, one should distinguish between the divergence form

(1.21) of a conservation law and its non-divergence form like (1.22).

Let us rewrite the law of conservation of linear momentum in the form (1.22):

ˇ

@vi ˇˇ

D rj ij vi rj vj C Fi :

@t ˇi

12 Chapter 1 Basic equations of continuous media

Further, we have

ˇ ˇ

@vi ˇˇ @ ˇˇ

C v D rj ij vi rj vj C Fi

@t ˇi @t ˇi

i

and see that the underlined terms cancel out by virtue of the mass conservation law

written in the form (1.22). So we obtain the equation

ˇ

@vi ˇˇ

D rj ij C Fi : (1.23)

@t ˇi

This is also true for any conservation law written for the mass density fi of the

quantity pi D fi . Therefore, it follows from the conservation law (1.22) that

ˇ

@fi ˇˇ

D rj Aij C gi (1.24)

@t ˇi

For example, the law (1.24) for the energy density becomes

ˇ

@ v2 ˇˇ

UC D rj .ij vi / rj qj C .r C Fi vi /: (1.25)

@t 2 ˇi

With (1.23), the conservation equation (1.25) can be converted to another form, known

as an equation of heat influx. We have

@vi @U

vi C D vi rj ij C ij rj vi rj qj C .r C Fi vi /:

@t @t

The underlined terms cancel out due to the equation of motion (1.23) and so

ˇ

@U ˇˇ

D ij rj vi rj qj C r D ij "Pij rj qj C r

@t ˇi

(1.26)

dU 1 dq e dq

D ij "Pij C C ;

dt dt dt

where q e and q are specific heat fluxes per unit mass; q e is the external heat, while

and q is the heat influx due to internal sources.

Equations (1.24) are easy to obtain directly from the integral law (1.17) by con-

verting the volume integrals to integrals over mass,

R which doesR not change during the

motion. Since mass M is time invariant and V gi d V D M gi d m, the following

conversion formulas hold true:

Z Z Z ˇ

d d dfi ˇˇ

fi d V D fi d m D ˇ d m;

dt V dt M M dt i

Z Z Z

1

Aij nj dS D rj Aij d V D rj Aij d m;

S V M

Z ˇ Z Z

@fi ˇˇ 1

ˇ d m r A

j ij d m gi d m D 0:

M @t i M M

Section 1.2 Conservation laws. Integral and differential forms 13

It follows that

dfi

D rj Aij C gi (1.27)

dt

This is the main non-divergence form of conservation laws for the mass density fi of

the quantity pi .

Let Bij be a piecewise continuous function that suffers a discontinuity at a moving

surface †. This is possible in continuum mechanics, since the quantities , vi , ij ,

and qi appearing in (1.14)–(1.16) can undergo discontinuities (it is only the displace-

ments of the medium that must be continuous). Then the Gauss–Ostrogradsky theo-

rem is applicable to the domains of continuity of Bij , outside †.

Compatibility conditions must hold at the surface †, which relate the value BijC just

upstream and value Bij just downstream of the surface of discontinuity †.

Suppose † moves in the space xi with a velocity Dn, where n is the outward

normal to †. Let †C and † denote two parallel surfaces to †, each spaced by a

distance h=2 from it (see Figure 1.2), and let Vh denote the volume of the medium

between the two surfaces. The motion will be considered in a reference frame moving

with the velocity Dn. Let us take the fixed volume Vh to be the fluid volume V at a

given instant of time t . By writing the conservation law (1.19) for Vh and letting h

tend to zero, we obtain

Z Z Z

@pi

lim dV Aij pi .vj Dnj / nj dS gi d V

h!0 Vh @t S Vh

Z °

C ±

D Aij piC .vjC Dnj / nj A ij pi

.vj Dn j nj d † D 0;

/

†

where vj Dnj denote the components of the velocity vector in the moving reference

frame.

It follows that, by virtue of the fact that the surfaces †˙ can extend arbitrarily far,

the integrand must be zero:

C

Aij piC .vjC Dnj / nj D A

ij pi .vj Dnj / nj : (1.28)

In (1.28), replacing Aij and pi with the respective quantities from the conservation

laws (1.14)–(1.16), we arrive at the following relations at the front of the discontinuity

surface †:

conservation of mass:

14 Chapter 1 Basic equations of continuous media

Vh

h/2

Figure 1.2. A volume moving with a velocity Dn together with a discontinuity surface †.

conservation of momentum:

ijC nj C viC .vjC Dnj /nj D ij nj vi .vj Dnj /nj I (1.30)

conservation of energy:

.v C /2

ijC viC nj

qjC njC C C

U C .vjC nj D/

2

.v /2

D ij vi nj qj nj U C .vj nj D/; (1.31)

2

To summarize, for piecewise continuous Bij , the integral form of the conservation

law (1.19) is equivalent to the differential form (1.21) in domains of continuity of

solutions and the jump relations (1.29)–(1.31) at discontinuity surfaces.

The conservation laws (1.14)–(1.16) and (1.21) are dynamic conservation laws and

hold true for any continuous medium. One can easily see that these laws do not form

a closed system of equations. To close the system of equations of continuum mechan-

ics, constitutive equations of the medium are required that would link the dynamic

quantities, the stress and heat flux, which appear in (1.14)–(1.16), to the kinematic

and thermodynamic characteristics of the medium that determine its deformation and

entropy.

1.2.4 Conclusions

To summarize, the following conclusions can be drawn:

1. Conservation laws are initially formulated in the integral form (1.17) for a fi-

nite volume of the medium having a fixed composition of particles; the differential

form (1.21) is a corollary of the integral form.

Section 1.3 Thermodynamics 15

2. The differential equations can be rewritten in the divergence form (1.21) or slightly

simpler, non-divergence form (1.24), in the Lagrangian variables; they can also be

written in the non-divergence form (1.27) in the Eulerian variables, or in the invariant

form

@f

D rA C g:

@t

The equations have the simplest form when rewritten in terms of the mass density fi

of the quantity pi (Eq. (1.27)).

3. The integral representation of the conservation laws (1.19) is equivalent, in the

Eulerian variables, to the differential equations (1.21) in domains of continuity of the

motion, which have a divergence form, and relations (1.29)–(1.31) at discontinuity

surfaces.

In order to derive constitutive equations, closing the system of equations for a spe-

cific continuum, in a correct manner, one should consider thermodynamic laws.

1.3 Thermodynamics

Apart from conservation laws, the first and second laws of thermodynamics should be

considered in order to describe non-isothermal, reversible and irreversible, processes

in continuous media.

The first law of thermodynamics, or the law of conservation of energy, has already

been presented in integral form, equations (1.14)–(1.16). It can be converted to a

different form. To this end, let us integrate the equation of heat influx (1.26) with

respect to mass, d m D d V , and apply the Gauss–Ostrogradsky formula to obtain

the following integral form of the equation of heat influx:

Z Z Z Z

d

U d V D ij "Pij d V C qj nj dS C r d V: (1.32)

dt V V S V

The internal energyRincrement d U is equal to the work done by the power of internal

stresses, dAi D V ij "Pij d V , plus the amount of heat supplied, dQ. The latter

equals the external heat influx due to heat exchange, dQe , which is determined by the

second term on the right-hand side in (1.32), and the internal heat influx, dQ, due to

other sources and mechanisms R (e.g., electrical). In (1.32), the internal heat influx is

described by the source term V r d V , where r is the source intensity.

16 Chapter 1 Basic equations of continuous media

The second law of thermodynamics postulates the existence of a function of state S ,

called entropy, that satisfies the inequality

dQe

dS : (1.34)

T

Alternatively, this law can be stated in the form of an equation [157, 118, 70],

dQe dQ0

dS D C ; (1.35)

T T

for any process that happens in a homogeneous field of quantities; the quantity dQ0 >0

represents uncompensated heat.

Equation (1.35) can be viewed as the definition of dQ0 . In general, dQ0 does not

coincide with the heat term dQ D dq in the equation of heat influx (1.26). It

should be emphasized that dQ0 and dQe are not total differentials, while dS is the

total differential of S with respect to state variables and d U is the total differential

of U .

Equations (1.34) and (1.35) can be generalized to the case of an arbitrary fluid

volume in which the filed of quantities is inhomogeneous by assuming that entropy is

additive with respect to mass.

Introducing specific entropy per unit mass, s, we can rewrite equation (1.35) in the

form

ds 1 dqe dq 0

D C : (1.36)

dt T dt dt

Integrating with respect to mass yields

Z Z Z

ds 1 dqe 1 dq 0

dm D dm C d m; (1.37)

M dt M T dt M T dt

with

²

q q grad T ³

dqe 1 div q

D D div C ;

dt T T T T2

and so

Z Z Z 2 Z

ds qi n i grad T dq 0 1

dm D d! C dV C d V:

M dt @V T V T V dt T

It has been taken into account that q D grad T (heat equation), where is the

thermal conductivity. The symbol @V stands for the surface bounding the volume V

and d! denotes the area element of @V . Also

ds D dse C dsi ;

Section 1.3 Thermodynamics 17

where dse in the external entropy influx, corresponding to the surface integral, and

dsi is the entropy increment due to internal processes.

If dq 0 D 0, for a thermally insulated body, the first term on the right-hand side of

the equation is zero, but nevertheless

Z

dsi grad T 2

D d V 0; (1.38)

dt V T

which means that the heat conduction process is irreversible; the reversibility criterion

for a body with inhomogeneous distribution of parameters is the condition dsi > 0

rather than dq 0 > 0.

Consequently, the second law of thermodynamics (1.37) for a body with inhomo-

geneous temperature distribution can be represented as the inequality

Z Z Z Z

ds d qi n i r

dm D s d V d! C d V: (1.39)

M dt dt V T V T

This inequality has the structure of a conservation law, and hence all transfor-

mations valid for the conservation laws dealt with above are applicably to inequal-

ity (1.39) as well. In particular, inequality (1.39) implies a non-divergence differential

inequality similar to equation (1.24),

ˇ

q r

ds ˇˇ i

ˇ ri C ; (1.40)

dt T T

gence form, one finds that

@

q r

i

.s/ ri C svi C (1.41)

@t T T

in the domain of smooth variation. Also one obtains an entropy inequality at a surface

of discontinuity: hq n i

i i

s.vi D/ni 0; (1.42)

T

where Œa D aC a stands for the jump of the quantity a at the surface.

Inequality (1.40) can be converted to a different form with the help of the equation

of heat influx in the form (1.26). Eliminating the sources r, one obtains

1 q grad T

T sP UP C ij "Pij 0:

T

Introducing free energy A D U sT instead of internal energy U , one arrives at the

entropy inequality in the form

1 q grad T

AP TP s C ij "Pij 0: (1.43)

T

18 Chapter 1 Basic equations of continuous media

1.3.3 Conclusions

Any thermodynamic process occurring in a body must satisfy condition (1.43) in do-

mains of continuity of the motion and condition (1.42) at surfaces of discontinuity. In

some problems of nonlinear mechanics, this requirement allows one to select a unique

solution amongst all possible discontinuous solutions.

1.4.1 General form of constitutive equations. Internal variables

The motion of a continuous medium must satisfy the conservation laws (1.14)–(1.16)

and the second law of thermodynamics in the form (1.39) or (1.42)–(1.43). Although

thermodynamic laws do not allow one to obtain a closed system of equations, these

impose certain restriction on the constitutive equations of the medium.

In order to close the system of equations of continuum mechanics, one requires

equations that would determine thermomechanical properties of the medium and link

the quantities U , s, q, and , appearing in the conservation laws, to kinematic and

thermal characteristics determining the deformation " and temperature T of the me-

dium as well as g D grad T . Let us take the last three quantities to be independent

parameters of the medium. Apart from dynamic and kinematic variables, rheologi-

cally complex media are characterized, as a rule, by additional variables,

k , that de-

scribe internal processes of structural changes caused by thermomechanical actions.

These additional variables do not enter the conservation laws and are called internal

variables. For a general continuous medium, the quantities constituting the first group

(U , s, q, and ) can be treated as functions or functionals of the independent param-

eters and internal variables:

U D U."ij ; T; gi ;

k /; s D s."ij ; T; gi ;

k /;

(1.44)

qi D qi ."ij ; T; gi ;

k /; ij D ij ."ij ; T; gi ;

k /:

Apart from these equations, it is necessary to specify equations that determine the

evolution of the internal variables

k . In general, such equations are represented as

functionals; in simples cases, these are written as differential equations:

d

k

D ˆ."ij ; T; gi ;

k /: (1.45)

dt

Broadly speaking, relations (1.44) and (1.45) must satisfy the general laws of con-

tinuum mechanics; specifically, they must be invariant to orthogonal transformations

of coordinates in the current configuration (cf. Section 1.9) and compatible with the

second law of thermodynamics. Otherwise, the forms of the functions in (1.44)

and (1.45) are determined by experimental data or the mechanisms of the physical

processes occurring at the structural level in the material. This is the general scheme

Section 1.4 Constitutive equations 19

illustrated with specific examples later on.

Let us derive the restrictions on the form of the constitutive relations (1.44)–(1.45)

that follow from the second law of thermodynamics written in the form of the

Clausius–Duhem inequality (1.43):

@U 1 q grad T

C T sP C ij "Pij C 0:

@t T

Introducing free energy A D U T s, one obtains

@A 1 q grad T

TP s C ij "Pij C 0:

@t T

k ; gi ; TP ; "Pij ;

P k / to be independent and taking

into account that free energy A is a function of these quantities, one finds that

@A ij @A qi g i

sC TP C "Pij C

@T @"ij T

@A @A @A @A R @A

P k

R k "Rij T gP i 0: (1.46)

@

k @

P k @"Pij @TP @gi

Since

R k , TR , "Rij , and gP are not variables of state, it follows from (1.44) that the

dependent variables s, ij , A, and qi are independent of them. Hence, it is always

possible to choose a process of changing the state of the medium so that there is only

one nonzero quantity out of

R k , TR , "Rij , and g,

P for example, TR , and all other first and

second derivatives in (1.46) are zero. Then inequality (1.46) becomes

@A R

T 0:

@TP

Since the derivative @A=@TP D ATP is independent of TR and TR can change sign in the

process concerned, the condition ATP D 0 must hold. With similar reasoning, it can

be found that AP k D A"Pij D Agi D 0, and hence free energy A can only depend on

the parameters T , ", and

k :

A D A.T; ";

k /:

forces” Fi by “generalized fluxes” Xi , is called a dissipative inequality; it can be

rewritten as X

DD Fi Xi 0; (1.47)

i

20 Chapter 1 Basic equations of continuous media

The force vector F has four components,

@A 1 @A @A q

FD sC ; ; ; ;

@T @" @ T

P k ; gi /. Let us assume that entropy s and stress

are representable as the sum of two terms, dissipative and conservative: s D s d C s c ,

D d C c . The conservative components can be determined by considering re-

versible processes occurring in the medium, in which case the dissipative components

are zero. With reasoning similar to that above, one can establish the relationship be-

tween the conservative components and free energy: s c D @A=@T and c D @A=@".

In modern continuum mechanics, an additional thermodynamic principle, the prin-

ciple of maximum rate of dissipation, is adopted. The principle reads: the rate of

dissipation D acquires its maximum value at actual “fluxes” Xi amongst all possible

fluxes that correspond to arbitrary processes [187, 61, 75, 157, 59].

It follows from inequality (1.47) that F D F.X/. If, in addition, the force Fi .Xi / is

assumed to be independent of the Xk with k ¤ i , then inequality (1.47) will hold for

each individual dissipative process:

Di D F.i/ X.i/ 0; i D 1; : : : ; 4;

It follows from the principle of maximum rate of dissipation that the dissipation

function D is related to the generalized forces by

@D.i/

Fi D .i/ : (1.48)

@X.i/

@D.i/

Di D .i/ X.i/ 0: (1.49)

@X.i/

From this relation it is easy to determine .i/ as a function of Xi , given the dissipa-

tion function Di .Xi /. In the case that .i/ is independent of Xi and so is constant, it

follows from (1.49) that Di is a homogeneous function of degree 1 Euler’s homo-

geneous function theorem.

Thus, based on the aforesaid, the following theorem can be stated [75, 18].

k / and dissipation function

Theorem

D D 4iD1 Di .Xi /, completely determine the general form of constitutive equations

satisfying the general and additional principles of thermodynamics:

Section 1.4 Constitutive equations 21

1 ij D C .1/ D 1 .ijc C ijd /I (1.50)

@"ij @"Pij

sD C .2/ D sc C sdI (1.51)

@T @TP

structural parameters equation:

@A @D3

k D .3/ ; k D 1; : : : ; nI (1.52)

@

k @

P k

D .4/ ; i D 1; 2; 3: (1.53)

T @gP i

In the case where A and D are quadratic functions of their arguments, equations

(1.50)–(1.53) are linear. By specifying A and D, one can obtain various models

of continuous media. Let us consider some special cases of the constitutive equa-

tions (1.50)–(1.53).

Assuming that, in equations (1.50)–(1.53), free energy is a function of density and

temperature T and dissipation is a quadratic form of strain rates with a thermal term,

qi gi

A D A.; T /; D1 D .P"i i /2 C "Pij "Pij C ; i; j D 1; 2; 3;

2 2T

one finds that

@A @A

ijc D pıij ; 3p D 2 ; s D sc D ;

@ @T (1.54)

ijd D "Pkk ıij C 2 "Pij ; q D g D grad T;

where and
are viscosity coefficients, is the thermal conductivity, and p is the

hydrostatic pressure.

For a three-dimensional problem (i; j D 1; 2; 3), by setting

1 1 2 .grad T /2 gi gi

AD "i i C "ij "ij .3 C 2 /˛T "i i ; D D D ;

2 2T 2T

22 Chapter 1 Basic equations of continuous media

with "ij being the strain tensor components, one obtains from (1.48)–(1.53) the fol-

lowing constitutive stress, entropy, and heat equations:

@A (1.55)

s D sc D ; q D g D grad T:

@T

Let us prove the following important property of thermodynamically well-posed mod-

els. By combining together simple models that satisfy the thermodynamic principles,

one can obtain new, more complicated models that will also satisfy the thermody-

namic principles. Suppose that the Clausius–Duhem inequality holds for two materi-

als, ˛ and ˇ, individually:

1 gi gi

APi C si TPi C i "P i C 0; i D ˛; ˇ (model index) (1.56)

T

By adding together inequalities (1.56) for model ˛ and model ˇ, one obtains

1 g˛ g˛ gˇ gˇ

P P P P

.A˛ C Aˇ / C .s˛ T˛ C sˇ Tˇ / C . ˛ "P ˛ C ˇ "P ˇ / C C

T˛ Tˇ

1 g g

D AP C s TP C . "P / C 0: (1.57)

T

It follows that inequality (1.56) is also valid for a combined model with D ˛ D

ˇ D , provided that the following conditions hold:

A˛ C A ˇ D A I (1.58)

g˛ g ˛ gˇ gˇ g g

C D : (1.61)

T˛ Tˇ T

Section 1.4 Constitutive equations 23

For condition (1.59) to be satisfied, it suffices that one of the following two sets of

conditions holds:

A1 / ˛ D ˇ D ; "P ˛ C "P ˇ D "P I

A2 / "˛ D "ˇ D "P ; ˛ C ˇ D :

corresponds to their parallel connection; see Figure 1.3.

σ σ

A1 A2

Figure 1.3. Series (A1 ) and parallel (A2 ) connections of mechanical models.

For the additivity condition of internal heat sources (1.60) to be satisfied, it suffices

that one of the following sets of conditions holds:

B1 / s˛ D sˇ D s ; T˛ C Tˇ D T I

B2 / T˛ D Tˇ D T ; s˛ C sˇ D s :

isothermal processes.

For condition (1.61) to be satisfied, it suffices that the conditions

hold.

The above allows us to conclude that for condition (1.56) to hold for model , it is

sufficient that condition (1.58) is satisfied as well as any combination of three rows of

conditions Ai (i D 1; 2), Bj (j D 1; 2), and C, in which case, we have

D D D˛ C Dˇ 0:

24 Chapter 1 Basic equations of continuous media

It is needless to say that the above elements can again be combined together and

with the original one to obtain more and more complex models for which inequal-

ity (1.56) surely holds.

This method of connecting mechanical models is widely used in continuum me-

chanics; in particular, it is applicable to constructing an elastoplastic model that satis-

fies the thermodynamical requirements [41, 61].

First, let us consider a rigid-plastic model for which the total strain equals the plastic

strain, " D "p . Then the stress equation (1.50) becomes

ij @A @D

D p C p : (1.62)

@"ij @"Pij

p

The body remain rigid ("Pij D 0) if the condition .ij ijc /.ij ijc / k 2 .Wp /

p

is satisfied. In the case of equality, the condition of neutral loading, ij "Pij D 0, must

Rt p

additionally be satisfied. Here Wp D 0 ij "Pij dt is the work done by plastic strain.

p

The body is deformed plastically, in which case "Pij ¤ 0, if

p

and the condition of active loading ij "Pij > 0 holds.

Equation (1.63) is a condition of plasticity with translationally isotropic harden-

ing. In the stress space ij , the yield surface is displaced as a rigid body relative to

the origin of coordinates. This displacement characterizes translational hardening of

the material and is determined by the coordinates ijc . In addition, the surface ra-

dius increases with Wp , resulting in isotropic hardening of the plastic material. The

transformation of the yield surface is illustrated in Figure 1.4.

By prescribing, in accordance with the theorem on page 20, free energy and dissi-

pation function,

a p p 1 p p

AD " " ; DD b.P" "P /1=2 ;

2 ij ij ij ij

one finds that

@A p

ijc D p D a"ij :

@"ij

p

p

"Pij p p

ij a"ij Db ; where Ip D ."Pij "Pij /1=2 : (1.64)

Ip

Section 1.4 Constitutive equations 25

σij

σij

K(Wp)

b0

aε pij = σ cij

b0

Figure 1.4. Transformation of the yield surface in translationally isotropic hardening in the

space of ij .

Taking the square of the left- and right-hand sides of equation (1.64), one obtains

p Ip p

"Pij D .ij a"ij /:

k.Wp /

Let us derive an elastoplastic model by connecting in series the elastic and rigid-

plastic models.

For an elastic solid, one obtains, from (1.55), the following equations for the elastic

component, labeled with superscript e:

p

ije D ij D ij ; "eij C "pij D "ij :

p

It follows that for a plastically incompressible solid ("kk D 0),

p

P ij D "Pkk ıij C 2 .P"ij "Pij / .3 C 2 /˛ TP ıij :

26 Chapter 1 Basic equations of continuous media

p c /

p IPp p

"P˛ˇ .˛ˇ ˛ˇ

"Pij D .ij ijc / or "Pij D .ij ijc /:

k.Wp / k 2 .Wp /

If the material does not possess hardening, which means that a D 0, k.Wp / D k0 ,

p

and "P i i D 0, one finds that sij sij D k02 , and also the following relations must hold for

p

the deviatoric components Pij :

!

p .Pkl 12 sPkl = /skl "Pkl skl sPkl skl 1

Pij D sij D sij ;

ij D "ij "kk ıij :

k02 k02 2 k02 3

(1.65)

In the case of von Mises ideal plasticity, the second term in (1.65) is zero, since after

differentiating sij sij D k02 , one finds that sij sPij D 0. Then the final equations are the

equations of the theory of Prandtl–Reuss elastoplastic flow [72]:

!

skl Pkl 1

sPij D 2 Pij 2

sij ; sij D ij i i ıij ; i i D .3 C 2 /."i i C 3˛T /:

k0 3

(1.66)

The conditions of active, passive (unloading), and neutral loading remain the same as

in the case of rigid-plastic material.

There is another, more common approach to deriving constitutive equations com-

patible with the thermodynamic laws. With this approach, the equations are obtained

from theoretical hypotheses and experimental results followed by their coordination

with the thermodynamic principles. The coordination involves substituting the equa-

tions, involving arbitrary functions, into the Clausius–Duhem inequality and select-

ing arbitrary functions and parameters so as to satisfy the inequality. For example,

the same equations of plastic flow are obtained from the general postulate of plas-

ticity [187, 72, 59] and other hypotheses generalizing experimental data; one should

then verify that the particular model does not contradict thermodynamics. It is this

approach, based on general postulates of plasticity (associated flow rule), that will be

used below for constructing a theory of flow for finite elastoplastic strains.

1.5.1 Statement of the problem. Equations of an elastoplastic medium

Let us consider the plasticity theory based on the associated flow rule, where the

p

plastic strain increment tensor d "ij is collinear with the normal to the loading surface

F .ij ; / D 0 in the stress tensor space:

p @F

d "ij D d : (1.67)

@ij

Section 1.5 Theory of plastic flow. Theory of internal variables 27

R "p p

The quantity D 0 ij ij d "ij D W p is the hardening parameter of the material,

which is taken to be equal to the work done by plastic strains; d 0 is a scalar pa-

rameter determined from the condition F .ij ; / D 0. Differentiating F .ij ; / D 0

gives

@F @F p p

dij C ij d "ij D 0; d D ij d "ij : (1.68)

@ij @

p

Substituting d "ij from (1.67) into (1.68), one arrives at the following expression

for d :

@F 1 @F @F

d D dij H; D kl I

@ij H @ @kl

@F

d D 0 if ij D 0 and F D 0: (1.69)

@ij

Condition (1.69) corresponds to neutral loading, where the stress vector is orthogo-

nal to the normal to the yield surface.

@F

If @

ij

dij < 0, one has d < 0 and this corresponds to unloading.

The total strain is the sum of the elastic and plastic components:

p 1 1

d "ij D d "eij C d "ij D Dij kl C HFij Fkl dkl D Aij kl dkl ; (1.70)

where

1 1 2
@F

Dij kl D ıik ıj l 1 ıij ıkl ; Fij D ;

2
3k @ij

with Dij1 denoting the elastic compliance tensor and A1 the elastoplastic compli-

kl ij kl

ance tensor.

Equations (1.70) can be represented in the matrix-vector form accepted in the finite

element analysis. To this end, instead of the stress and strain tensors, appropriate

vectors should be used; vectors and matrices are conventionally denoted by curly

braces ¹ º and square brackets Œ , respectively (see [188]). We have

¹d "º D ŒD e 1 C H ¹F º¹F ºT ¹dº D ŒD e 1 C H ¹F º ˝ ¹F º ¹dº (1.71)

with

ŒD e 1 C H ¹F º ˝ ¹F º D ŒD ep 1 ;

where ˝ stands for tensor (or dyadic) multiplication of vectors, ŒD e 1 is the elastic

compliance matrix, and ŒD ep 1 is the elastoplastic compliance matrix, whose entries

depend on the stress-strain state level of the body.

Equations of the form (1.70) are hypoelastic; such equations are independent of

changes in the scale of time and describe irreversible deformation, unlike equations

in hyperelastic form, which describe reversible deformation.

28 Chapter 1 Basic equations of continuous media

The deformation process is locally invertible, which means that it is invertible for

an infinitesimal loading cycle; however, it depends on the loading path for a finite

cycle. Hypoelastic relations differ from hyperelastic ones in that the former are non-

integrable [137, 75].

If the yield condition is taken in the form of von Mises, which means that it only

depends on the second deviatoric stress invariant S and hardening parameter so that

then

@F @S @F sij @F sij dsij

Fij D D ; d D H;

@S @ij @S S @S S

1 @F @F

D F SFS ; F D ; FS D ; skl dskl D skl dkl ;

H @ @S

1 skl dkl 1 sij skl

d "ij D Dij kl dkl sjj D D ij kl dkl :

F S 2 F S 2

¹sº ˝ ¹sº

¹d "º D ŒD e 1 ¹dº D ŒD ep 1 ¹dº: (1.73)

F S 2

Equation (1.70) can be inverted by solving it for the stress increments. To this end,

let us perform the contraction of the equation with Fij :

1 2
1

Fij d "ij D Fij dij 1 di i Fkl C HFmn Fmn Fkl dkl :

2
3k 2

p

In view that "i i D Fi i D 0, we have

1

1

Fkl dkl D C HFmn Fmn Fkl d "kl ;

2

1

1 1

d "ij D Dij kl dkl C HF ij C HF F

mn mn Fkl d "kl ;

2

1

1

dij D Dij kl d "kl H C HFmn Fmn Fkl d "kl Dij kl Fkl :

2

Finally, we arrive at the following equation of the theory of plastic flow:

h 1 i

dij D Dij kl .2 /2 Fij H 1 C 2 Fmn Fmn Fkl d "kl D Aij kl d "kl :

(1.74)

Section 1.5 Theory of plastic flow. Theory of internal variables 29

.2
/2 ¹F º ˝ ¹F º

¹dº D ŒD e ¹d "º ¹d "º (1.75)

F ./¹F º C 2
¹F º¹F º

with

.2
/2 ¹F º ˝ ¹F º

ŒD ep D ŒD e ;

F ./¹F º C 2
¹F º¹F º

solid, and ŒD e is that of an elastic solid.

In case the yield criterion is adopted in the form (1.72), equations (1.74) and (1.75)

become

e 2 3 1 sij skl

dij D Dij kl .2 / FS .F S C 2 FS / d "kl (1.76)

S2

and

e .2 /2 FS3 1

¹dº D ŒD .F S C 2 FS / ¹sº ˝ ¹sº ¹d "º:

S2

Thus, in the flow theory, the constitutive equations (1.72) connect the stress incre-

ments to the strain increments, and the matrix D ep is independent of the stress and

plastic strain tensors.

The properties of a medium are independent of the scale of time t but depend on

the loading history [19].

The equations considerably simplify if the yield criterion is rewritten in the form

solved for the stress intensity S :

S k0 ./ D 0:

" #

e .2 /2 sij skl

dij D Dij kl 0 d "kl

k0 ./S C 2 S 2

2 3

2 sij skl 5

D 4Dij e

kl

k00 ./

2

d "kl : (1.77)

1C S S

2

For an ideal plastic medium, k00 ./ D 0, S 2 D k02 , and equation (1.77) coincides

with (1.66).

30 Chapter 1 Basic equations of continuous media

Most materials exhibit, in one way or another, a viscosity, or sensitivity to the rate

of loading. For metals, this effect is negligible at low loading rates and moderate

temperatures. However, at fast loading ("P 10 s1 ) and increased temperatures

(T 100ı C), the effect already becomes noticeable and then becomes more and

more significant as "P increases further. In such materials as polymers and composites

with organic components, the effect of viscosity is already significant at low loading

rates and room temperatures.

It is assumed that the principle of additivity of elastic and viscoplastic strains holds

true. This means that the total strain rate "P can be represented as the sum of the elastic

strain rate "Pe and viscoplastic strain rate "Pvp :

vp

"Pij D "Peij C "Pij : (1.78)

The elastic deformation is determined by the total stress according to Hooke’s law

Just as in the case of elastoplastic medium, the viscoplastic strain rate is deter-

mined from the gradientality principle. According to this principle, the viscoplastic

strain rate vector is collinear with the gradient vector to the instantaneous viscoplastic

loading surface, which can be defined in the form

vp

F .ij ; ; T; "Pij / D k0 ; (1.80)

where F is some function determined from experiment, k0 is the initial yield stress in

uniaxial stress state, and is the hardening parameter.

The loading surface (1.80) differs from that for an elastoplastic medium (1.72) in

that the function F has an additional argument, the viscoplastic strain rate "Pvp . As

"Pvp ! 0, the expression of F becomes a function that holds true in the theory of

elastoplastic flow:

vp

lim F .ij ; ; T; "Pij / D F ep .ij ; ; T / D S0 .; T /:

"Pvp !0

Based on the gradientality principle, the equation for the viscoplastic strain rate

tensor can be written as

vp @F

"Pij D : (1.81)

@ij

Equation (1.80) can be conveniently rewritten as [94, 87]

vp vp

where S D . 12 sij sij /1=2 is the shear stress intensity and JPvp D . 12 "Pij "Pij /1=2 is the

viscoplastic strain intensity. The function S0 .; T / is a quasi-equilibrium dependence

Section 1.5 Theory of plastic flow. Theory of internal variables 31

of the shear stress intensity on the hardening parameter and temperature T ; in the

elastoplastic flow theory, it is adopted as the yield condition S D S0 .; T /. The

function Ô .z/ is nonzero outside the surface S D S0 .; T / and must be identically

vp

zero inside, S < S0 .; T /, where the viscoplastic strain does not change and "Pij D 0:

´

Ô .z/ D ˆ.z/ if z 0;

ˆ.0/ D 0I

0 if z < 0;

the hypoelasticity condition "Pij D "Peij must hold inside the surface (at small strains).

Then equation (1.81) becomes

vp @F @ Ô @S @ Ô sij

"Pij D D D : (1.83)

@ij @S @ij @S S

Taking the square of equation (1.83), performing the contraction, and extracting the

square root, one finds that

Ô 1

@

D JP vp :

@S

With this formula and in view of (1.82), one obtains the constitutive equation (1.83)

in the form

vp

Ô .S S0 .; T //

"Pij D sij ; (1.84)

S

where is the (constant) relaxation time of the viscoplastic material.

The right-hand side of equation (1.83) only depends on the stress tensor ij , param-

eter , and temperature T ; it does not involve time derivatives of unknown quantities.

The form of the dimensionless function Ô .z/ can be determined from experimental

data obtained in uniaxial tension/compression tests at constant stress rates if (1.82) is

rewritten in the form solved for S :

S D S0 .; T / C Ô 1 . JP vp /:

equilibrium curve D 0 .; T /.

Ways of approximating the curves and related issues are addressed in [85, 87].

Power-law and exponential representations of ˆ.z/ are most common.

32 Chapter 1 Basic equations of continuous media

under dynamic loading

The first attempts to determine laws of deformation of metals at large rates of loading

date back to the beginning of the 20th century. It already became clear at that time

that the rate of deformation affects the mechanical characteristics beyond the elas-

tic limits of materials. In the plastic state, many materials behave differently under

dynamic loading than in static conditions; for example, the yield stress, the residual

deformations at fracture, and other characteristics can change by a factor of several

times.

However, the difficulties associated, on the one hand, with the measurement of fast

processes, lasting for several microseconds, and, on the other hand, with theoretical

solution of the problem did not allow researchers for a long time to advance in obtain-

ing constitutive equations of solids at large rates of loading. By now, some progress

on this issue has been made due to increased capabilities of both theoretical and ex-

perimental methods. Nevertheless, we are still far from a complete solution in both

theoretical and experimental aspects.

The current status of the issue is outlined below. Experimental results are discussed

first.

equations

The simplest kind of test where deviations from static response are already observed

as the rate of deformation increases is a quasistatic test of cylindrical specimens sub-

jected to tension or compression. Ludwik [110] was the first address this issue. In this

kind of test, the rate of deformation does not exceed "P 1–10 s1 . The inertial forces

emerging in the specimen can be neglected, and hence no complications arise due to

the wave character of the stress and strain fields. For example, Figure 1.5 displays

curves obtained by Campbell [21] in quasistatic compression tests for steel specimens

and Figure 1.6 depicts experimental curves obtained in tension tests for low-carbon

steel specimens [23].

The experiments show that materials with a pronounced yield point, such as carbon

iron and steel, are most sensitive to the rate of deformation, while aluminium alloys

and some other metals and alloys that do not have pronounced proportionality limit

are significantly less sensitive.

To obtain experimental results in the range of large strain rates, 102 s1 . "P .

104 s1 , Kolsky [73] suggested a method for dynamic tests of thin disk-shaped spec-

imens placed between two colliding bars of the same diameter as the specimens. The

bars are made of a tempered material whose yield point is significantly higher than

that of the specimen, so that only longitudinal waves can propagate through the bars

after the collision. It is assumed that since the specimen is short, the nonuniformity

Section 1.6 Experimental determination of constitutive relations under dynamic loading 33

σ · 102 kg/cm2

56

20

49 5

1

0.2

42 0.00017 s–1

35

28

21

14

0 1 2 3 4 5 6 7 8 9 10 ε, %

Figure 1.5. The -" diagram in compression for steel specimens at different strain rates.

the elastic bars with electrical strain gauges, one can use the one-dimensional theory

of elastic waves in bars to calculate the time dependences of the stress, strain, strain

rate in the specimen and construct the -" curves at constant strain rates. The results

obtained in [108] and depicted in Figure 1.7.

It is noteworthy that, although the method became widely used, the results should

be interpreted with some caution, since the elementary theory of bars does not pro-

vide satisfactory predictions when sharp pulses are used to obtain large strain rates.

As shown in [76], the reflection of plastic waves from the lateral surface must be taken

into account if the specimen length is of the order of one centimeter. Other experimen-

tal schemes are also possible, including twisting impact tests, impact pressure tests in

a cylindrical tube, and magnetopulse extension tests for annular specimens [76, 176].

Tests for studying stress waves in long thin rods and tests with colliding plates have

become quite widespread. In these tests, very large strain rates can be attained, up

to "P D 106 –107 s1 [176, 167, 69]. However, a priori constitutive equations must

be adopted in this case; as a result, by measuring one or another quantity, one has to

compare it with the value predicted by the theoretical model based on the adopted

equations of state. Consequently, these experiments can only confirm or refute a

certain hypothesis that is to be tested.

34 Chapter 1 Basic equations of continuous media

σ kg/mm2

60

×

×

C × ×

40 ×

C ×

× B

A ×

×

×

×

B ×

×

20

–1 –2 • •

–10 2

log (εp)average (εp, s– 1)

Figure 1.6. Dependence of on the logarithmic plastic strain rate in tension for low-carbon

steel specimens with different carbon content.

Equations that take into account the effect of strain rates can be written as [164,

114, 32, 82]:

p (1.86)

D s ."/ C G. "P /'."/; s ."/;

where the plastic strain rate is expressed as "Pp D "P P =E, E is the elastic (instan-

taneous deformation) modulus, D s ."/ is the stress-strain dependence obtained

in static tests, '."/ is a decreasing function that characterizes the decrease of the ef-

fect of the strain rate on the amount of stress as " increases, and G.P"p / is a function

that characterizes the effect of the strain rate or viscosity on the stress-strain diagram

D s ."/.

Equation (1.86) can be rewritten in a more convenient form for further analysis:

P 1 s ."/

"P D C H s ."/ ˆ ; (1.87)

E '."/

where H.z/ is the Heaviside function and ˆ.z/ is the inverse of G.P"p /, which is

determined from experimental data. The advantages of this approach as well as the

comparison of theoretical predictions with experimental findings [115, 167, 2, 53, 10]

are discussed in the papers [131, 82] and others. A number of interesting experiments

Section 1.6 Experimental determination of constitutive relations under dynamic loading 35

12

pure aluminium

10

ε = 0.08

8

0.06

σ, klb/inch2

6 0.04

0.03

4 0.02

0

10–3 10–2 10–1 1 10 102 103 104

ε, s–1

P at constant strain, " D const, obtained by the Hopkinson–

Kolsky pressure shear bar.

were carried out that employed complex programs of dynamic loading; see [107] and

others. These experiments showed that the -" dependence is influenced by the entire

loading history of the specimen. To describe this influence on the current stress-strain

state, one has to use functionals. For arbitrary loading history, such dependences were

suggested in [142].

A large number of experimental studies, mostly in the quasistatic range of loading

rates, deal with the analysis of the phenomenon of delayed yield, observed in low

carbon steels. A survey of these studies can be found in [169]. To describe this phe-

nomenon, relations were suggested similar to those used in the ageing theory [105].

Based on experimental data and the ideas of the theory of dislocations, Rabotnov [140]

suggested a model of an elastoplastic medium with delayed yield where the transition

from an elastic state to a plastic state occurs when the Cottrell condition is satis-

fied. Within the framework of this model, Burago and Kukudzhanov [15] studied the

effect of the strain rate on the lower yield point. More detailed surveys of experimen-

tal and theoretical studies dealing with dynamic constitutive equations can be found

in [176, 22, 69, 113, 128, 82, 119].

Let us now consider the modern theoretical basic concepts of solid state physics

that enable one to substantiate, to a certain degree, the equations of elastoviscoplastic

deformation of materials.

36 Chapter 1 Basic equations of continuous media

dislocation theory

The preceding section outlined the phenomenological description of the laws of defor-

mation of solids observed in experiments, without looking into how the microstructure

of the material changes in the course of deformation. Meanwhile, it is well known that

crystalline materials undergo structural changes under plastic deformation.

The modern theory of plastic flow, which takes into account the strain rate effects,

has sufficiently sound physical foundations laid in the second half of the 20th century

owing to the rapid development of the theory studying the origination and propagation

of defects in crystals, especially dislocations. Taylor and Gillman [171, 44] developed

the dislocation theory of deformation of crystals at the stage of hardening.

According to this theory, a crystal deforms plastically due to the motion of disloca-

tions under the action of thermomechanical loads, while the macroscopic state of the

material is determined by some averaged quantities that characterize the densities and

velocities of moving dislocations as well as their interaction.

Later on, for elastoplastic materials, a theory of nucleation and growth of defects in

the form of elliptic pores was suggested [52, 26]. This theory generalizes the Taylor–

Gillman approach to the stage of softening when the material is damaged as disloca-

tions develop until mesolevel defects (micropores and microcracks) are formed. As

a result, the von Mises yield criterion is replaced with the Gurson yield criterion for

a porous medium; the Gurson condition depends on the strain rate, temperature, and

triaxiality factor (the first-to-second invariant ratio, which characterizes the type of the

stress-strain state). By using the correlation between the micro and macro parameters,

macroscopic equations for the damaged medium were further derived [95] (see also

Chapter 8).

On the basis of these ideas, the plastic shear strain rate P p can be expressed in the

one-dimensional case as

P p D aNm bV; (1.88)

where Nm is the density of moving dislocations in a sliding plane, b is the Burgers vec-

tor, a is an orientation coefficient, and V is the average speed of dislocations. There

are quite reliable direct methods for measuring the dislocation density and dislocation

speed. For more details, see [126].

For example, it was found for iron [44] that

Nt

Nm D Nt exp ; Nt D N0 C ˛ p ;

N

where Nt is the total dislocation density and N , N0 , and ˛ are material constants.

The most significant experimental problem is to determine the dislocation speed de-

pending on the applied stress (in the case of a complex stress-strain state, should

be replaced with the tangential stress intensity S ) and temperature T . It was found

out that the dislocation speed is a very sensitive function of the effective shear stress

Section 1.6 Experimental determination of constitutive relations under dynamic loading 37

the motion of dislocations. Figure 1.8 displays the dependences V D V . / for single

crystals of lithium fluoride from [64]. Curves of this form are characteristic of many

substances.

106

105

104

103

102

boundary

Dislocation speed V, cm/s

components

10

helical

components

1.0

10–1

10–2

10–3

10–4

10–5

10–6

yield stress

10–7

0.1 0.5 1.0 5 10 50 100

shear stress τ, kgf/mm2

Figure 1.8. Dependence of the dislocation speed V on the tangential stress for single crystals

of lithium fluoride [64].

For small , the dislocation speed is negligibly small; as increases, the dislocation

speed increases almost proportionally in logarithmic coordinates and then, starting

from a certain , drastically slows down. The first segment is fairly well approximated

by a power law:

m

V D V0 ; (1.89)

0

where V0 and m are constant and 0 is dependent on the temperature T and plastic

shear strain p .

38 Chapter 1 Basic equations of continuous media

For large V , close to the speed of elastic shear waves c0 , Jonhson and Gillman [64]

suggested the dependence

0

V D c0 ; (1.90)

where 0 is, as before, dependent on T and p . Relations (1.88) and (1.90) were used

in [171, 127] for determining the decay of plastic waves in studying the collision of

plates.

The dependences (1.89) and (1.90) are purely empirical and do not suggest any

interpretation in the language of the dislocation motion mechanism. However, there

have been attempts to obtain a theoretical dependence V D V . / based on analyz-

ing a certain mechanism of motion of dislocations between obstacles and overcoming

the obstacles. The simplest variant of such a mechanism of overcoming energy bar-

riers due to thermal activation and applied stress [186] is described by the following

expression of the plastic shear strain rate:

p U0 . A /

P D bNA!0 exp ; (1.91)

kT

overcomes the barrier when the thermal activation energy is U D 0, U0 is the en-

ergy of a local barrier, A is the area swept by a dislocation on the sliding plane after

overcoming the barrier.

Clifton [27] suggested the dependence V D V .; T / that results from treating the

motion of dislocations as a thermally activated process of overcoming energy barriers

and a process of viscous drag when dislocations move between barriers. In this case,

V is expressed as

8

< c0 h. / exp.U=kT /

/; 0 < < p;

V D exp.U=kT /CŒ1exp.U=kT /

h.

(1.92)

: c h. /; > p;

0

p

where D v0 l=c0 , h. / D 1 2 , D c2b

0 B0

, and B0 is the viscosity coefficient

as V ! c0 . The energy U is assumed to have the form [132]

´ 2=3 μ3=2

U D U0 1 ;

p

where p is the stress required for overcoming the barrier; if > p , the barriers do

not affect much on the motion of dislocations. The dependence (1.92) behaves in the

same way as the experimental dependence shown in Figure 1.9.

However, using (1.92) for solving specific macrodynamic problems with the pur-

pose of obtaining quantitative coincidence with experimental data does not give good

results [63], since these dependences were obtained by significantly simplifying the

Section 1.6 Experimental determination of constitutive relations under dynamic loading 39

V/c0

1.0

thermally active processes

viscous resistance

long-range and

0.8 stress field viscous resistance relativistic effects

0.6

0.4

h(τ)

0.2

Bcs

b

0

0 τA τA + τP τ

Figure 1.9. Dependence of the dimensionless dislocation speed V =c0 on the shear stress for

different resistance mechanisms to dislocation propagation; b is the magnitude of the Burgers

vector, B the viscosity coefficient, and cs the shear wave speed.

actual mechanism of the phenomenon. For this reason, it is advisable to use empir-

ical dependences for specific analyses. The comparison of the dependences (1.88)–

(1.92) for "Pp with the phenomenological equation (1.87) shows that these have qualita-

tively similar forms with the only difference in the specific expression of the function

Ô .; "/. Consequently, dislocation theory provides a physical substantiation for the

equations of viscoplastic flow taking into account the effect of strain rate.

The most common kinds of test are schemes relying on the propagation of one-

dimensional waves arising at the impact of long bars (uniaxial stress state) and plane

collision of plates (one-dimensional strain state). These are two simplest test schemes

and, at the same time, simplest problems for theoretical treatment; there are a large

number of studies devoted to the numerical solution of these problems (e.g., see [131,

164, 114, 32, 82, 101, 81]); see also Chapter 5 of the present book.

The obtained constitutive equations can be generalized to the case of complex

stress state by following the procedure outlined Sections 1.4 and 1.5. Hypotheses that

reduce obtaining multi-dimensional constitutive equations for complex loading pro-

grams to constitutive equations for the stress-strain state of simple shear and hydro-

static uniform tension-compression verified experimentally. For small deformations

of elastoviscoplastic materials at fast loading without specially holding specimens

for some time, it was shown by Lindholm [107] that the loading history does not

affect noticeably the constitutive relations of the medium and so, in these cases, it suf-

fices to use differential relations of the form (1.84)–(1.85) or, in the one-dimensional

case, (1.86)–(1.87).

40 Chapter 1 Basic equations of continuous media

the form (1.87) and their generalizations to the case of complex stress state, and the

function ˆ.z/ will be assumed to be known from experimental data.

equations of motion

Consider another, energy form of the equation of motion of a continuous medium,

alternative to the differential form discussed in the preceding sections. The energy

formulation of the continuum mechanics problem relies on the principle of virtual

displacements or principle of virtual velocities and is closely associated with the no-

tion of a weak form of a solution to the problem.

Suppose a domain V of some continuous medium is bounded by a surface S . On

part of the surface, Su , either conditions of relative displacement or velocities are

prescribed, while on the remaining part of the surface, S D S n Su , a stress vector

(traction vector) t is specified (Figure 1.10):

(a) x 2 Su W u n D un ; u ˛ D u˛ ; ˛ D 1; 2I

(1.93)

(b) x 2 S n Su D S W n D t :

velocities) are called principal or kinematic, while those imposed of the stresses,

(1.93b), are called natural or static.

p

×

× Su

× ×

××

× ××

×

×

× ×× Sσ

Figure 1.10. The spatial domain V occupied by a solid under a load p applied at the surface S

with a displacement u at the surface Su .

Section 1.7 Principle of virtual displacements. Weak solutions to equations of motion 41

Any continuous medium satisfies the principle of virtual displacements: the work

done by all external forces over the virtual displacements ıui equals the work done

by the internal stresses over the field of virtual strains ı"ij linked to the field of virtual

displacements by the Cauchy relations:

Z Z Z Z

ij ı"ij d V D fi ıui d V C ti ıui dS uR i ıui d V (1.94)

V V S V

that satisfies the kinematic boundary conditions (1.93a).

The integral relation (1.94) involves the following quantities: fi is the mass force

distributed over the volume of the body V and ti D ij nj is the surface force acting

on the surface S . The last term on the right-hand side of equation (1.94) is the work

done by the inertia force on the virtual displacements.

The principle of virtual velocities for the field ıvi can be written likewise, with

condition (1.93a) specified with respect to velocities and condition (1.93b) remaining

the same:

Z Z Z Z

ij ı "Pij d V D fi ıvi d V C ti ıvi dS vP i ıvi d V (1.95)

V V S V

Relations (1.94) and (1.95) are equivalent to the differential equations of motion

(1.23) and can be obtained by multiplying by ıvi or ıui , summing up over i , integrat-

ing over the volume of the body Vi .

For example, let us derive the equation (1.95) of the virtual velocity principle. It

follows from equation (1.23) that

Z Z

vP i ıvi d V D ij;j C fi ıvi d V: (1.96)

V V

Let us transform the first integral on the right-hand side by using the Gauss–Ostro-

gradsky theorem, taking into account the boundary conditions (1.93), which imply

ıvi D 0 if x 2 Sv ;

and employing the Cauchy relations between the virtual velocity field and the virtual

strain rate ı "Pij ,

1

ı "Pij D .ıvi;j C ıvj;i /; (1.97)

2

to obtain Z Z Z

ij;j ıvi d V D ij ı "Pij d V C ti ıvi dS: (1.98)

V V S

Substituting (1.98) into (1.96) results in relation (1.95), which holds for any continu-

ous medium.

42 Chapter 1 Basic equations of continuous media

If equation (1.95) is supplemented with constitutive equations, relating the stresses

to the kinematic quantities, strains and strain rates, and the stresses in (1.95) are ex-

pressed in terms of the velocities vi , one arrives at the weak formulation of the original

problem of continuum mechanics in terms of the kinematic variables:

Z Z Z Z

ij "ij ; "Pij ı "Pij d V C vP i ıvi d V D fi ıvi d V C ti ıvi dS: (1.99)

V V V S

The weak formulation of the equations of motion differs from the differential for-

mulation quite significantly. The former does not involve spatial derivatives of the

actual velocity and stress fields; in view of (1.97), equation (1.99) contains only

derivatives of the virtual velocity field, ıvi;j , which can always be chosen to be suf-

ficiently smooth. This, therefore, reduces the requirements for the smoothness of the

desired solution; it only suffices that the integrals appearing in (1.94) and (1.95) exist.

This makes it possible to take into consideration discontinuous functions as well, thus

avoiding the treatment of the discontinuities – the relevant equilibrium conditions at

the discontinuities (see (1.29)–(1.31)) will be satisfied automatically.

Another advantage of the weak formulation is that there is no need to satisfy sep-

arately the so-called natural boundary conditions (1.93b) for the stresses; these con-

ditions enter relation (1.95) and will be satisfied whenever (1.95) is satisfied. The

unknown functions must only satisfy the principal boundary conditions (1.93a) for

the kinematic quantities.

The above advantages of the weak formulation of problems significantly simplify

the solution and make this formulation primary when applying approximate methods.

For example, these advantages are effectively used in variational difference methods

or the finite element method, where the stress field is, as a rule, discontinuous by

construction between elements; this approach facilitates the solution and, in addition,

there is confidence that the approximate solution converges (in a certain sense) to the

true solution of the problem as the mesh is refined.

The virtual displacement and velocity principles are not the only ones that provide

a weak formulation for continuum mechanics problems. There are various modifica-

tions and generalizations [36], which, however, are not as simple and common.

Mixed variational principles can also be formulated where the displacement, strain,

and stress fields are varied simultaneously rather than the fields of the kinematic

quantities or the stress field individually. These include the Hu–Washizu principle,

Hellinger–Reissner principle, and others [180, 181]. See Section 1.8 for the general

variational principle.

Section 1.8 Variational principles of continuum mechanics 43

For certain classes of continuous media, the principles of virtual displacements and

velocities outlined in Section 1.6.2 can be used to obtain complete variational princi-

ples and so reduce the problem to minimizing special functionals.

Let us focus on continuous media whose constitutive equations can be written in a

potential form, which means that the stresses can be expressed in terms of derivatives

of a potential function that depends on the kinematic variables:

ij D or ij D : (1.100a)

@"Pij @"ij

Such media are called nondissipative or conservative; in this case, the work done as

the body is deformed does not depend on the deformation path.

All external forces are assumed to be conservative and, hence, potential:

1 @‰f @‰ t 1@ f @ t

fi D ; ti D or fi D ; ti D (1.100b)

@vi @vi @ui @ui

It follows from (1.95) that if there are no inertial forces, the following relation

holds:

Z Z

ı ˆ1 ."Pij / ‰f .vi / d V ‰ t .vi / dS D 0:

V S

Denoting the expression that is varied by L.vi /, one arrives at Lagrange’s variational

principle: the true solution of the problem corresponds to an extremum point of the

Lagrangian function L.vi /:

Z Z

ıLv D 0 ; where Lv D ˆ1 ."Pij / ‰f .vi / d V ‰ t .vi / dS: (1.101a)

V S

A similar principle holds true for an elastic medium that has a potential ˆ2 ."ij / with

respect to the strains:

Z Z

ıLu D 0 ; where Lu D ˆ2 ."ij / f .ui / d V t .ui / dS; (1.101b)

V S

where Lu is the potential energy of all forces, both internal and external, that act on

the body or system of bodies.

Lagrange’s variational principles (1.101a)–(1.101b) hold true for quasistatic prob-

lems, where the inertial terms are zero.

44 Chapter 1 Basic equations of continuous media

Let us derive a dynamic variational principle for an elastic medium with a strain po-

tential ˆ2 ."ij /.

Using the virtual displacement principle (1.94) and taking into account the inertial

term followed by integrating with respect to time over a finite interval Œt1 ; t2 and

converting the volume integral to a mass integral for the inertial term, one obtains

Z t2Z Z t2 Z Z Z

uR i ıui d m dt D ij ı"ij d V C fi ıui d V C ti ıui dS dt

t1 M t1 V V S

(1.102)

for a body of volume V and mass M . Integrating the left-hand side of equation (1.102)

by parts and taking into account that ıui .t1 / D ıui .t2 / D 0, one finds that

Z Z t2 Z t2Z

uR i ıui d m dt D uP i ıui d m dt

M t1 t1 M

Z t2Z Z t2

.uP i /2

D ı d V dt D ı K dt;

t1 V 2 t1

R P 2

where K D V .u/ 2 d V is the kinetic energy of the body.

Substituting the resulting expression into (1.102) and taking into account (1.101b),

one arrives at Hamilton’s variational principle

Z t2

ı .Lu C K/ dt D ı D 0; (1.103)

t1

Rt

where D t12 .Lu C K/ is the Hamilton action on a finite time interval t 2 Œt1 ; t2 .

According to Hamilton’s variational principle, amongst any kinematically admis-

sible fields on a finite time interval with fixed endpoints, the true field corresponds a

stationary point of the Hamilton action.

When a problem is discretized, a continuous medium is replaced with a system with

finitely many degrees of freedom characterized by nodal displacements qi . In this

case, the condition that the functional (1.103) is stationary is reduced to the system of

Lagrange equations of the second kind

d @L @L

D Fi ; i D 1; : : : ; n;

dt @qP i @qi

of the system, Fi are generalized forces, and L D K U is the Lagrangian function

(for an elastic medium, U D ˆ2 ."ij /).

Section 1.8 Variational principles of continuum mechanics 45

The above variational principles are kinematic, since the quantities that are varied are

kinematic and correspond to continuum mechanics problems formulated in terms of

kinematic variables, displacements and velocities. Variational principles formulated

in terms of stresses are also possible; these can be constructed for the same potential

media with the exception that the equations of the form (1.100) that characterize such

media are solved for the strains.

To this end, one should make use of the Legendre transformation, according to which a

function '.x1 ; : : : ; xn / such that

@'

D Xi .x1 ; : : : ; xn / with d' D Xi dxi (1.104a)

@xi

is associated with a function ˆ.X1 ; : : : ; Xn / such that

@ˆ

D xi .X1 ; : : : ; Xn / with dˆ D xi dXi : (1.104b)

@Xi

The functions '.xi / and ˆ.Xi / are related by

Equations (1.104b) are a solution of the system of equations (1.104a) for the unknowns xi ,

which are expressed as derivatives of the same function ˆ.Xi / connected to '.xi / by rela-

tion (1.104c), which is easy to verify by differentiating (1.104c) with respect to Xi .

By applying the Legendre transformation to equations (1.100), one obtains

@'

"ij D : (1.105)

@ij

If, for an elastic medium, there exists a stress potential ˆ2 ."ij /, then there also

exists a strain potential '.ij /. In this case, for stationary problems of elasticity, one

can formulate a principle of statically admissible stress fields.

A statically admissible stress field is a field ıij that satisfies the static equations

of elasticity in the absence of mass forces with static (natural) boundary conditions:

ıij;j D 0; xi 2 V I

(1.106)

ıij nj D 0; xi 2 S :

Then it follows from the first equation in (1.106), after multiplying it by ui and inte-

grating over the volume V , that

Z Z Z Z

ıij;j ui d V D ıij nj ui dS C ıij nj ui dS ıij "ij d V D 0;

V S Su V

(1.107)

where ui are prescribed displacements on the part Su of the body surface.

46 Chapter 1 Basic equations of continuous media

The first integral on the right-hand side vanishes by virtue of the second condi-

tion in (1.106); the last two integrals can be written, in view of (1.105), as the total

variation of a functional K, called the Castigliano functional:

Z Z

ıK D 0 ; where K D ' dV ij nj ui dS: (1.108)

V Su

lates as: the true stress field delivers a stationary value to the Castigliano functional.

Equation (1.107) can be rewritten as

Z Z

ıPi ui dS D ıij "ij d V; where ıPi D ıij nj ; (1.109)

Su V

and treated as the principle of statically admissible stress fields: the work done by

all external surface statically-admissible forces equals the work done by the internal

statically-admissible stresses over the true displacements.

The statement (1.109) can be treated as a weak form of the strain continuity equa-

tions. Just as (1.99), this form does not involve derivatives of the true stresses and

strains and, in addition, for a solution to exist it suffices that the integrals in (1.109)

exist.

For a hyperelastic material, for which relations (1.100) hold, the variational prin-

ciple (1.108) follows from relation (1.109). However, Castigliano’s principle (1.108)

has a narrower area of application than Lagrange’s principle (1.101). For a steady-

state flow of a viscous fluid, governed by equations (1.100), Castigliano’s principle is

not valid because of the convective transport terms in the equations of motion.

The weak form of a solution in the sense of Castigliano corresponds to the differ-

ential formulation of elasticity problems in terms of the stresses.

problems

In the above variational principles, which replace the differential formulation of a

problem in terms of the displacements with Lagrange’s principle and that in terms

of the stresses with Castigliano’s principle, the quantities that are varied are the dis-

placements and stresses, respectively. A general differential formulation of continuum

mechanics problems is possible where the displacements, strains, and stresses are all

unknowns. A general variational formulation can be associated with it, in which a

functional dependent of the above unknowns is used and these unknowns are all var-

ied simultaneously. Such a variational principle was suggested by Washizu [181]. Let

Section 1.8 Variational principles of continuum mechanics 47

Z ² ³

1

…W D ij "ij .ui;j C uj;i / C U."ij / Fi ui d V (1.110)

V 2

Z Z

ti ui dS ij nj ui ui dS;

S Su

where "ij is the total strain, U."ij / is the specific elastic strain energy, Fi D fi is the

body force, ti is the surface force, and ui are displacements prescribed on the part Su

of the surface, with U."ij / ˆ2 ."ij / for an elastic medium.

Equating the variation of …W with zero, one arrives at the variational equation

Z ²

1

ı…W D ıij "ij .ui;j C uj;i /

V 2

³

1 @U

ij ı"ij .ıui;j C ıuj;i / C ı"ij Fi ıui d V (1.111)

2 @"ij

Z Z

ti ıui dS ıij nj .ui ui / ij nj ıui dS D 0:

S Su

Bearing in mind that the variations ıui , ı"ij , and ıij are independent, one can obtain

the equations and boundary conditions for the medium in question.

The condition that the coefficient of ıij in the volume integral is zero implies the

kinematic relations

1

"ij D ui;j C uj;i ; x 2 V: (1.112)

2

The same condition in the surface integral leads to the boundary conditions for the

displacements

ui D ui ; x 2 Su : (1.113)

The condition that the coefficient of ı"ij is zero yields the constitutive equations of

an elastic material

@U

ij D : (1.114)

@"ij

Performing appropriate transformations (similar to those performed when deriving

Lagrange’s and Castigliano’s principles) and equating the coefficient of ıui with zero,

one arrives at the equilibrium equations and boundary conditions for the stresses

ij;j C Fi D 0; (1.115a)

ij nj D ti ; x 2 S : (1.115b)

Thus, the condition that the functional …W must be stationary leads to the complete

system of equations and boundary conditions (1.112)–(1.115) for the continuous me-

dium in question.

48 Chapter 1 Basic equations of continuous media

The general variational principle can be used to obtain more particular forms of

functionals and associated variational principles if some of the above differential

equations are assumed to be satisfied in advance for a particular medium and so not

to be subjected to varying.

For example, if the constitutive equations (1.114) are assumed to hold a priori and

so "ij must not be varied, one arrives at the functional suggested by Reissner [144]:

Z h i

1

…R D ij .ui;j C uj;i / ˆ0 .ij / Fi ui d V

V 2

Z Z (1.116)

ti ui dS ij nj .ui ui / C ij nj ıui dS:

S Su

where ˆ0 .ij / D ij "ij U0 ."ij / is the specific additional strain energy, which is

plotted in Figure 1.11 for the case of uniaxial stress state (shaded area).

F

Φ0

U0

By varying ij and ui , one obtains the kinematic equations (1.112), boundary con-

ditions (1.113), equilibrium equations (1.115a), and boundary conditions (1.115b).

If, apart from the constitutive relations (1.114), one assumes that the equations

(1.112) and boundary conditions (1.113) are also satisfied a priori, and so the only

quantities that are subject to varying are the kinematically admissible displace-

ments ui , one arrives at the Lagrange functional

Z Z

…L D U0 ."ij / Fi ui d V ti ui dS: (1.117)

V S

Castigliano’s principle can be obtained by assuming that, apart from the constitutive

equations (1.114), the equations (1.115) are also satisfied in advance, and hence by

varying the statically admissible stresses ij :

Z Z

…K D ˆ0 .ij / d V ij nj ui dS: (1.118)

V Su

Section 1.9 Kinematics of continuous media. Finite deformations 49

Formally, the functional (1.110) can be used to obtain a number of other variational

functionals by assuming some combinations of the equations (1.112)–(1.115) to hold

a priori [141].

In using one or another variational principle, one can assess the solution accuracy.

As will be shown below, Lagrange’s principle provides a lower estimate for the strain

energy, since the system stiffness is higher here than in the exact solution (certain

constraints are imposed on the displacements and so there are fewer degrees of free-

dom in the exact solution), while Castigliano’s principles provides an upper estimate.

Hence, with these principles, one can determine bounds within which the exact solu-

tion resides.

The application of mixed variational principles is usually due to the fact that La-

grange’s principle, or the principle of least (stationary) total potential energy of a

system, although allowing one to obtain the displacement fields in a relatively easy

manner, requires the differentiation of the solution in order to obtain the stresses,

which reduces the accuracy of their determination. Especially large errors arise in

areas of stress concentration – near inclusions, in the vicinity of inhomogeneities, and

at the interfaces between inhomogeneous layers. With mixed principles, where the

displacements and stresses are varied simultaneously, these quantities are determined

with the same accuracy when certain approximation schemes are used [42].

In previous sections, when constructing constitutive equations of elastoviscoplastic

media, we confined ourselves to the case of small deformations. However, in many

important applications, the strains can reach tens and hundreds of percent and so can-

not be treated as small; for example, this is the case in metal forming, deformation un-

der the action of powerful impact and explosive loads, stress-strain analysis of struc-

tures at near-critical states, etc.

The theory of large (nonlinear) deformations is much more complex than that of

small (linear) deformations and requires special consideration.

Consider a continuum body B consisting of a composition of particles. Suppose

that in the process of deformation, the body occupies a sequence of regions in the

three-dimensional Euclidean space. These regions will be called configurations of

the body B at times t . The position of a particle of the body in the initial configura-

tion, C0 , at t D 0 is determined by a vector D ˛ e˛ (˛ D 1; 2; 3) in a Cartesian

reference frame xi , where e˛ is an orthogonal vector basis in this reference frame.

50 Chapter 1 Basic equations of continuous media

at a time t , with xi j tD0 D i . All configurations of the body are considered in the

same reference frame. In order to distinguish between the initial and current config-

urations, let us use the Greek indices ˛, ˇ, and for the initial configuration and the

Latin indices i , j , and k for the current one.

Let us assume that there is a one-to-one correspondence between the points xi

and ˛ and so the function in (1.119) can be inverted:

The function Ľ.x; t / determines the coordinates of the particle in the initial configura-

tion C0 , at t D 0, that has the position x in the current configuration C t , at the time t .

The coordinates ˛ are Lagrangian (or material) and the coordinates xi are Eulerian

(or spatial).

In the Lagrangian (material) description, motion is characterized relative to the

initial (reference) configuration. It is clear that the coordinate lines ˛ D const refer

to specific particles; in the course of the motion (1.119), these lines change and form

a curvilinear grid in the space of xi at time t . The coordinates ˛ are also called

convective. Since these coordinates are non-orthogonal, one should consider covariant

and contravariant quantities, which are conventionally denoted using subscripts and

superscripts (e.g., ˛ and ˛ ).

In the Eulerian (spatial) description, motion is characterized in the coordinates xi .

The motion (1.120) is described for a fixed point in space, through which different

particles ˛ pass with time. For example, the Eulerian approach is natural in describ-

ing fluid flows. It is especially suitable for describing steady-state flow, since time

does not enter (1.120) in this case. The Eulerian description is widely used in charac-

terizing the motion of bodies subject to large deformations, although the Lagrangian

description is more natural in characterizing unsteady motions [49].

As the body moves, the vector d also moves to d x. In the course of the motion, it

deforms – changes its length and rotates – in accordance with equation (1.119):

@Fi

d x D dxi ei D .; t / d ˛ ei D F d ; (1.121)

@˛

@Fi

d D d ˛ e˛ ; F D Fi˛ ei e˛ ; Fi˛ D :

@˛

Section 1.9 Kinematics of continuous media. Finite deformations 51

@Fi @Fi

d ˛ ei D ı˛ d ei D Fi˛ e˛ e ı˛ d ei D F d

@˛ @˛

where F is a two-point tensor, which is indicated by the Latin subscript of the current

configuration C t and the Greek subscript of the initial configuration C0 . The tensor F

maps a small neighborhood of the particle d in the initial configuration C0 into a

neighborhood of d x in the current configuration C t . The inverse map is performed by

the tensor F1 :

@‰˛

d D .x; t / dxi ei D F1 d x; (1.122)

@xi

1 @‰˛

F˛i D ; F1 D F˛i 1

e˛ ei :

@xi

Let D d =d denote the unit vector in the direction of d , where d is the

length of d , and let n D d x=dx denote the unit vector in the direction of d x. Then

it follows from (1.121) that

dx

n D F; (1.123)

d

where D dx=d is the stretch ratio or simply the stretch of the vector d .

Formula (1.123) shows that the tensor F rotates into n and stretches d by a

factor of . In other words, the tensor F can be represented as the product of two

tensors:

F D RU or F D VR;

where R is a proper orthogonal tensor (RT D R1 , det R D 1), which performs a

rigid-body rotation of a line element d into a line element d x, while U and V are

positive definite symmetric tensors, called the right (or material) stretch tensor and

the left (or spatial) stretch tensor, respectively, which characterize pure stretch of an

element. Mathematically, this representation is expressed by the theorem of unique

polar decomposition of the tensor F into products of two tensors:

F D RU D VR: (1.124)

The pure rotation tensor R and the pure stretch tensors U and V can be expressed

via F as

1=2

FT F D U2 ; R D FU1 D F FT F ; V2 D FFT : (1.125)

It follows from formulas (1.123) and (1.124) that if the principal axes and eigenvalues

of U are denoted by p and p , and those of V, by np and p , respectively, then

Up D p p ; np D Rp ; p D 1; 2; 3:

The relations for V and p are the same up to the notation. From the similarity of

the tensors U and V, U D RT VR, it follows that p D p , which implies that the

transformation R performs a pure rigid-body rotation [49].

52 Chapter 1 Basic equations of continuous media

tensors

One can see from formula (1.125) that it is more convenient to use U2 and V2 rather

than U and V.

In solid mechanics, the Green–Lagrange strain tensor is taken to be a measure of

deformation in the Lagrangian description of motion. It is expressed as

1 1 T

ED .C I/ D F FI ; (1.126)

2 2

where C D U2 D FT F is the right Cauchy–Green tensor and I is the identity tensor.

The Green–Lagrange strain tensor determines the difference of the squared line el-

ements in the current and initial configurations relative to the initial configuration C0 :

d x2 d 2 D 2 d E d D 2E˛ˇ d ˛ d ˇ : (1.127)

which means that the diagonal components of E are related to the stretches.

The off-diagonal components of E can be expressed via the cosines of the angles

between coordinate lines ˛ and ˇ in the deformed configuration:

2E˛ˇ

cos .m n/ D 1=2 ; (1.129)

.1 C 2E˛˛ / 1 C 2Eˇˇ

where m D Fe˛ =˛ and n D Feˇ =ˇ are unit vectors. It follows that the off-diagonal

components of E are related to the shear deformation of an initially rectangular area

element.

The components of the Green–Lagrange strain tensor E are expressed as

1

E˛ˇ D Fk˛ Fkˇ ı˛ˇ

2

(1.130)

1 @uk

D u˛;ˇ C uˇ;˛ C uk;˛ uk;ˇ ; uk;˛ D ;

2 @a˛

where the displacement vector u is found from (1.119) as

u.; t / D x D Fi .i ; t / ıiˇ ˇ ei D ui ei :

taking the current configuration C t to be the reference one:

1 1

AD I B1 D I FT F1 ; (1.131)

2 2

Section 1.9 Kinematics of continuous media. Finite deformations 53

tensor also determines the difference of the squared line elements in the current and

initial configurations, but unlike the Green–Lagrange tensor, the difference is ex-

pressed relative to the current configuration C t :

d x2 d 2 D 2 d x A d x: (1.132)

The components of A can be expressed from (1.131) as

1 1

Aij D ıij F1 1

˛i F˛j D .ui;j C uj;i u˛;i u˛;j /; (1.134)

2 2

@u˛

u D x D Œı˛i xi ‰˛ .x; t / e˛ D u˛ e˛ ; u˛;i D :

@xi

It is clear that the Euler–Almansi strain tensor corresponds to the Eulerian description

of motion.

From (1.133)–(1.134) one can see that the components of the Green–Lagrange ten-

sor in the basis e˛ the components of the Euler–Almansi tensor in the contravariant

basis g˛ of the convective frame are numerically equal. This becomes apparent from

the definition of the covariant basis g˛ :

@‰i ˛

g˛ D Fe˛ D . ; t / ei : (1.135)

@ ˛

The contravariant basis is defined as

˛ˇ

g˛ D FT e˛ D "˛ˇ gˇ gˇ ; with "˛ˇ D ;

.g1 g2 / g3

where ˛ˇ are the components of the Levi–Civita tensor, also known as the third-rank

permutation tensor (e.g., see [137, 157]).

As the body moves, an area element in the material coordinate system, d S0 D dS0 ,

is deformed into an area element of the current configuration, d S D dS n, where

and n are unit normals.

Volume elements are expressed using dot and cross products:

d V D d x .ıx ˝ x/ D ij k Fi˛ d ˛ Fjˇ ıˇ Fk D J d V0 ; (1.136)

54 Chapter 1 Basic equations of continuous media

n

ν

dS0 dS

where d , ı, and are differentials along the basis lines in the Lagrangian coordi-

nates, d x, ıx, and x are differentials along the Eulerian coordinates, and

J D ij k Fi˛ Fjˇ Fk D det F is the Jacobian of the transformation F.

On the other hand, the volume transformation formula (1.136) can be written in

terms of the area element d S as

d V D d x d S D J d V0 D d J d S0 :

It follows that

dx

d S D J d S0 ; F d S D J d S0 : (1.137)

d

configurations

The current configuration C t , rather than the initial one C0 , is often taken to be the

reference configuration, to which all other configurations are referred.

The deformation gradient in a configuration C at a time > t referred to the cur-

rent configuration C t will be denoted F t . / and called a relative deformation gradient

to distinguish it from the deformation gradient F. / in the configuration C referred

to the initial configuration C0 (see Fig 1.13). We have

@xi . / @xi . /

F t . / D ei ej ; F. / D ei e˛ : (1.138)

@xj .t / @˛ .t /

F(τ)

F(t)

Ft(τ)

C0 Ct Cτ

ate).

Section 1.9 Kinematics of continuous media. Finite deformations 55

(Figure 1.13), and consider the tensor decomposition

the Green–Lagrange strain tensor can be represented as

1 T

E t . / D F t . /F t . / I

2

1 T

D F .t /FT . /F. /F1 .t / I

2

1

D FT .t /E. /F1 .t / C FT .t /F1 .t / I

2

D FT

t . /E. /F 1

t . / A.t /: (1.140)

Let us differentiate the relative deformation gradient F t . / with respect to at t D :

@ ˇ @ ˇ

ˇ ˇ

F t . /ˇ D F. /ˇ F1 .t / D F.t

P /F1 .t / D L.t /; (1.141)

@ Dt @ Dt

where

@xP i .t / @xP i @˛

L.t / D Lij .t /ei ˝ ej ; Lij .t / D D D FPi˛ .F1 /˛j :

@xj .t / @˛ @xj

Differentiating the polar decomposition of F t . / at D t gives

@ ˇ @ ˇˇ

ˇ

F t . /ˇ D R t . /U t . / ˇ :

@ Dt @ Dt

one finds that

P t .t / C R

L.t / D U P t .t / D D.t / C .t /; (1.142)

where sym L.t / D D.t / is the rate of deformation tensor and asym L.t / D .t / is the

rate of rotation tensor, also known as the spin tensor or vorticity tensor. The tensor D

characterizes the rates of pure deformation of a line element along the principal axes,

while characterizes the rotation of the line element.

One can easily find that the relative rate of deformation of a volume element equals

.d V /P @xP i

D D tr L D tr D:

dV @xi

56 Chapter 1 Basic equations of continuous media

.d S/P D .tr L/ n dS LT n dS; (1.143)

.dS /P D .tr L/ dS .n LT n/ dS:

1 P D 1 .FT FT FP T F C FT FP T F1 F/

EP D .FP T F C FT F/

2 2 (1.144)

1

D FT .LT C L/F D FT DF:

2

One can see that E P is related to D is the same way as E is related to the Euler–Almansi

T

tensor, E D F AF.

It follows that the rate of deformation tensor D relates to the Euler–Almansi ten-

sor A in the current configuration C t in the same way as EP relates to E in the material

configuration C0 . The material derivative EP characterizes the rate of change of the

tensor E, which is a measure pure deformation of a particle without its rotation as a

rigid body. Hence, D characterizes the rate of change of A without rotation of a par-

ticle as a rigid body as well. This means that the rate of deformation tensor D is an

objective measure of the rate of change of the Euler–Almansi tensor A in the current

configuration. Using (1.144), one can write

D D FT EF

P 1 D FT .FTAF/PF1 D A

P C LTA C AL D L.A/: (1.145)

Formula (1.145) suggests a more general rule for determining the objective deriva-

tive of a tensor Q in a configuration C related to the material configuration C0 by a

transformation P: C D PC0 . The tensor Q is transformed into a tensor Q0 by the

formula Q0 D PT QP, then the material derivative is computed in the material config-

uration C0 and the inverse transformation P1 is performed. The resulting expression

represents the objective derivative L.Q/ of the tensor Q in the configuration C :

P C .PP P 1 /: (1.146)

time in an arbitrary configuration. In tensor calculus, L.Q/ is called the Lie time

derivative. It relates the objective time derivative, L.Q/, of the tensor Q, defined

P provided that the

in a certain configuration C , with its material time derivative Q,

transformation P is known [155].

Section 1.10 Stress measures 57

1.10.1 Current configuration. Cauchy stress tensor

Let us now consider the stress state.

The total force acting on a body (of arbitrary volume) in the current configura-

tion C t equals Z Z

F D tn dS C f d V; (1.147)

@V V

where tn is the surface stress vector (traction vector), f is the force vector per unit

mass, V is the volume of the body, and @V is the surface bounding the volume V .

The law of conservation of momentum implies

Z Z Z

d

tn dS C f d V D xR d V: (1.148)

@V V dt V

Considering the equilibrium of a tetrahedral element with one face being on the

surface @V of the volume V , one finds that the surface stress vector and the Cauchy

stress tensor T are related by

tn D Tn;

where n is the outward unit normal to the surface @V of V in the current configu-

ration. Substituting tn into (1.148) and transforming the integral using the Gauss–

Ostrogradsky theorem

Z Z

Tn dS D div T d V;

@V V

@Tij

div T C f D xR or C fi D xR i : (1.149)

@xj

It follows from the torque equation that Tij D Tj i , or T D TT , which means that the

Cauchy stress tensor is symmetric.

Piola–Kirchhoff stress tensors

The Cauchy equations of motion (1.149) are referred to the current configuration C t ;

it is unknown for a moving deformable body and has to be determined. In addition,

constitutive equations are usually formulated for the initial configuration C0 , which

is known. Therefore, it is important to be able to write the main conservation laws

58 Chapter 1 Basic equations of continuous media

in different configurations and change from some stress measures to others, referred

either of the two configurations, C t or C0 .

In order to transform the surface force, let us make use of formula (1.137) for an

area element:

tn dS D Tn dS D J TFT dS0 D P dS0 D t0n dS0 : (1.150)

So t0n is the contact traction vector related to the initial area of the element. The stress

tensor referred to the initial configuration, P, is called the first Piola–Kirchhoff stress

tensor. It is related to the Cauchy tensor T by

P D J TFT 1

with Pi˛ D J Tij F˛j I (1.151)

so P, just as the deformation gradient F, is a two-point tensor referred to both the

deformed configuration C t and the initial configuration C0 simultaneously [106].

Physically, the components Pi˛ can be interpreted as the components of the traction

vector acting on the area element d S˛ , which initially was d S0˛ , in the spatial basis ei

related to the unit area of the initial element dS0 .

The equations of motion (1.149) can be rewritten in terms of the Lagrangian vari-

ables as

@Pi˛

Div P C 0 f D 0 xR or C 0 fi D 0 xR i ;

@˛ (1.152)

PFT D FPT or Pi˛ Fj˛ D Fiˇ Pjˇ :

It follows that the tensor P is nonsymmetric, just as F. The operator Div means that

the divergence is taken in the Lagrangian variables.

Another stress measure, completely referred to the initial configuration, is the sec-

ond Piola–Kirchhoff stress tensor defined as

S D J F1 TFT D F1 P: (1.153)

In view of (1.150), the surface traction is expressed in terms of S as

tn dS D t0n dS0 D FS dS0 :

It follows that S is a symmetric tensor. Then the equations of motion (1.152) become

@ Fi˛ S˛ˇ

Div .FS/ C 0 f D 0 xR or C 0 fi D 0 xR i .S D ST /: (1.154)

@ˇ

The Kirchhoff stress tensor K is defined as

K D FSFT D J T: (1.155)

Equation (1.155) shows that the contravariant components K ˛ˇ of the tensor K D

K ˛ˇ g˛ gˇ are equal to the components S˛ˇ of the tensor S D S˛ˇ e˛ eˇ , where g˛

are the covariant basis vectors of the material reference frame in the deformed

configuration.

Section 1.10 Stress measures 59

The generalization of differential constitutive equations to the case of finite deforma-

tions will require measures of the rate of change of stress tensors. These rheological

equations involve the time derivatives of stress tensors.

Let us find out how the second Piola–Kirchhoff tensor S t . / changes as the config-

uration C t is transformed into a configuration C by the deformation gradient F t . /.

It is clear that

as ! t; F t . / ! I; J t . / ! 1; S t . / D T.t /:

1 T

S t . / D J t . / F t . / T. / F t . / : (1.156)

The derivative of (1.156) with respect to time taken at D t is the Truesdell deriva-

tive of the Cauchy stress tensor [173]:

ˇ

ı @S t . / ˇˇ P LT TLT C T tr L:

TD DT (1.157)

@ ˇDt

The Zaremba–Jaumann derivative of the Cauchy stress tensor [137] is obtained when

a particle is rotated as a rigid body, so that F t . / D R t . / and U t . / D I with

J t . / D 1; hence,

S t . / D RT

t . /T. /R t . /;

ˇ

@S t . / ˇˇ P T TT ; P 1 :

TD DT D RR

@ ˇDt

ı

P / D J.t /F1 .t /T.t /FT .t /:

S.t (1.159)

The convective derivative of the Kirchhoff tensor K referred to the current configura-

tion is calculated as

P C D F.F1 KFT /PFT D K

K P LK KLT D T DK KD; (1.160)

P C D KP ˛ˇ g˛ ˝ gˇ .

where T is the rate of change of T in the sense of Jaumann and K

P is obtained as the Lie derivative (1.146) with P D F .

So K C T

60 Chapter 1 Basic equations of continuous media

1.11.1 Principle of virtual work

Let us generalize the variational principles of virtual displacements and virtual veloc-

ities to the case of finite deformations [129].

The work done by all external forces over virtual displacements equals the work

done by the internal forces. In the current configuration C t , the equation of virtual

displacements becomes

Z Z Z

T W ıD d V D ıv tn dS C ıv .f x/

R d V: (1.161)

V @V V

Inertial forces can also be included into this equation by making use of d’Alembert’s

principle. The components ıvi are virtual velocities and ıui D ıvi dt are virtual

displacements. The scalar product T W D is calculated as tr.TDT / D Tij Dj i , where

@vi @vj

Dij D C :

@xj @xi

Equations (1.161) can be rewritten in the initial configuration in terms of the Piola–

Kirchhoff stress tensor components and the corresponding strain rate tensor compo-

P and FP using

nents. The stress power can be expressed in terms of the tensors P, S, E,

formulas (1.153) and (1.155):

T W D D J 1 P W FP D J 1 S W E:

P

The stress tensor and the rate of deformation tensor, whose contraction equals the

work power, are mutually conjugate tensors.

In the initial configuration C0 , the virtual power is expressed as

Z Z Z

P W ıF d V0 D ıv t0n dS0 C ıv 0 .f x/

R d V0 ;

V0 @V0 V0

Z Z Z (1.162)

S W ıE d V0 D ıv t0n dS0 C ıv 0 .f x/

R d V0 ;

V0 @V0 V0

where the vector t0n is calculated from formulas (1.150) and (1.153).

In nonlinear problems, solutions are usually obtained by an incremental step-by-step

method. To this end, the principle of virtual work (1.162) should be represented in

terms of increments and virtual rates. It is required to find a solution in a configura-

tion C for a given solution at the previous step at t D in the configuration C t .

Section 1.12 Constitutive equations of plasticity under finite deformations 61

It should be noted that the virtual rates of the Green–Lagrange strain tensor in the

configurations C t and C are related by

1

P / C 1 FT ı FP C ı FT PF ; (1.163)

ıE. / P D FT . /ı FP C FT P F. / D ı E.t

2 2

where

@ui

Fi˛ D ; F D Fi˛ ei ˝ e˛ ; ui D xi . / xi .t /:

@˛

Then equation (1.161) becomes

Z Z Z

P 0

P W ı F.t / d V0 D ıv tn . / dS0 C ıv 0 Œf. / xR . / d V0

V0 @V0 V0

Z (1.164)

P

P.t / W ı F.t / d V0 ;

V0

or

Z Z

P / C .F S.t // W ı F

ŒS W ı E.t P d V0 D ıv t0n. / dS0

V0 @V0

Z

C ıv 0 Œf. / xR . / d V0 (1.165)

Z V0

P / d V0 ;

S.t / W ı E.t

V0

where

P / D ıD.t /; @ui

P.t / D S.t / D T.t /; ı E.t ı FP D ıL; Fij D .t /

@xj

in formulas (1.164) and (1.165) and integrate of the current volume V and current

surface @V .

deformations

1.12.1 Multiplicative decomposition. Deformation gradients

Numerous formulations of constitutive equations of plasticity at finite deformations

have been suggested over the last three or four decades and field continues to develop

62 Chapter 1 Basic equations of continuous media

at the present time. There are different points of view on the kinematics of materials

and statement of plastic flow rules. An important approach to studying such phenom-

ena is suggested by the multiplicative theory of elastoplastic flows [103], which is

based on the multiplicative decomposition of the deformation gradient tensor

F D Fe Fp ; (1.166)

where Fe is the elastic deformation gradient associated with the unloaded configu-

ration, also called an intermediate configuration, of all infinitesimal neighborhoods

of points of the elastoplastic body. In order to implement an intermediate configu-

ration in the real Euclidean space, it is generally required to violate the continuity

of the material. For polycrystalline solids, such as metals, this can have a physical

interpretation, based on mechanisms for the formation of dislocations, which lead to

incompatibility of the plastic strain field with the strain rate field. Figure 1.14 gives

a schematic representation of the kinematics of elastoplastic deformation based on

considering three configurations of the body: initial C0 , current C t , and unloaded Cp .

dx

Ct

F

Fe

Fp

dξ dx*

C0 Cp

The multiplicative theory is not the only way of decomposing the elastoplastic de-

formation into an elastic and plastic component. The additive decomposition of the

Green–Lagrange tensor

E D Ee C Ep (1.167)

can also be used to construct a theory based on thermodynamic considerations [50].

In plasticity theories used in computational research, preference is given, as a rule,

to the additive decomposition of the spatial (Eulerian) rate of deformation

D D D e C Dp ; (1.168)

Section 1.12 Constitutive equations of plasticity under finite deformations 63

(1.166). However, it was shown previously [58, 161] that the additive decomposi-

tion of the rate of deformation (1.168) can be obtain from purely geometric consid-

erations, within the framework of multiplicative kinematics, in both the material and

spatial descriptions.

For simplicity, let us restrict our consideration to isothermal deformation. The con-

stitutive equations of elastoplastic flow can be most easily generalized to the case of

finite deformations within the material (Lagrangian) description.

It is assumed that the total strain is characterized by the Green–Lagrange tensor E and

the plastic strain is characterized by the tensor Ep :

1 T 1

ED .F F I/; Ep D .FT G Fp I/; (1.169)

2 2 p

where G is the metric tensor of the unloaded configuration. In an orthogonal reference

frame, G D I.

The elastic strain tensor is formally determined as the difference of the total strain

tensor and the plastic strain tensor:

T

Ee D E Ep D FT p Fe Fe G Fp (1.170)

It follows that the elastic strain tensor depends not only on Fe but also on Fp :

T T 2 2

Ee D UT T T

p Rp Ue Ue G Rp Up D Up Rp Ue Rp Up Up

The relation between the stress and elastic strain is assumed to be the same as in

the case of small strains and generalized by replacing the Cauchy stress tensor T with

the second Piola–Kirchhoff tensor S and the small strain tensor "e with Ee :

@‰.Ee ; Ep /

S D 0 ; (1.171)

@Ee

where the free energy function ‰ is taken to be the potential.

A plastic flow law can be derived from the associated flow rule or a general nonas-

sociated rule in the form

P

EP p D H.S; /; (1.172)

where the material derivative of the plastic strain tensor EP p is taken to be the measure

of the plastic strain rate, P is an unknown scalar parameter, and is a hardening tensor.

In the special case of the associated flow rule, the tensor H is linked to the yield

criterion

ˆ.S; ; C/ D 0 (1.173)

64 Chapter 1 Basic equations of continuous media

@ˆ

HD : (1.174)

@S

Finally, an evolution equation should be specified in order to determine the harden-

ing tensor in the general case; this equation is taken in the form

P

P D Q.S; C; /; (1.175)

If there are restrictions imposed on the structure of the material (e.g., one considers

a plastic flow for an isotropic incompressible material, whose response is independent

of the first invariant of the stress tensor), these are taken into account using the same

methods as in the theory of small deformations.

When an elastoplastic material is characterized using the spatial (Eulerian) approach,

the following Euler–Almansi strain tensors are used as the measures of the total, plas-

tic, and elastic strain [106]:

1

AD I FT F1 ;

2

1 T 1

Ap D Fe GFe FT F1 ; (1.176)

2

1

Ae D A Ap D I FT 1

e GFe :

2

These tensors are obtained from the material Green–Lagrange tensors E, Ep , and Ee

defined by equations (1.169) and (1.170) using the inverse transformation FT EF D

A and so on.

The objective rates of change of the tensors (1.176) are obtained by applying the

push-forward/pull-back Lie transformation, denoted L.A/; see Section 1.9 [161]. In

order to obtain the objective rate of change of the tensor A referred to a configu-

ration C , one should carry out the pull-back transformation to the material config-

uration C0 , calculate the material derivative, and perform the push-forward trans-

formation to the configuration C . The pull-back transformation of the tensor A

is F ! FTAF D E and the inverse, push-forward transformation is expressed as

F1 ! FT EF1 D A:

L.A/ D FT .FTAF/PF1 P C AL

D LTA C A D D;

Lp .Ap / D FT T P 1 T P

p .Fp Ap Fp / Fp D Lp Ap C Ap C Ap Lp D Dp ; (1.177)

1 1

DD L C LT ; Dp D Lp C LT

p ; Lp D FP p F1

p :

2 2

Section 1.12 Constitutive equations of plasticity under finite deformations 65

Let us write out the equations for an elastic isotropic body in the spatial formula-

tion [163]. In this case, the potential ‰ is a function of the Euler–Almansi tensor

invariants k and material constants ci :

‰ D ‰.1 ; 2 ; 3 ; ci /

The equation for the Cauchy stress tensor T in the index notation is written as

@‰

T ij D

@Aij

or, in terms of the stress tensor components with mixed indices,

@‰

Tji D ıki 2Aik ; (1.178)

@Aji

Tji D g˛j T i˛ ; Aij D gi˛ Aj˛ :

Let us expand the function ‰ in a power series in i up to the third-order terms in Aji .

Taking the initial stresses and strains to be zero, we obtain

0 ‰ D c1 12 C c2 2 C c3 13 C c4 1 2 C c5 3 C O .Aji /4 :

Hence, the stress-strain relation (1.178) becomes

Tji D 2c1 1 C .3c3 2c1 /12 C c4 2 ıji C Œc2 C .c4 c2 /1 ıjˇ

i˛ ˇ

A˛ 4c1 1 Aji

1 iˇ ˇ˛

C c5 ıj˛ı A˛ˇ Aı 2c2 ıj A˛ Aiˇ : (1.179)

2

The equation involves five elastic constants and so this representation is called the

five-constant theory of elasticity.

In the transformation, the mass conservation law was used:

p

D 0 1 C 21 C 42 83 :

If the stress-strain relation is rewritten in terms of the Lamé constants and ,

formula (1.179) becomes

Tji D 1 C .3l C m /12 C m2 ıji C Œ2 .m C 2 C 2 /1 Aji

1 iˇ ˛ ı (1.180)

4 Ai˛ Aj˛ C nıj˛ı Aˇ A ;

2

where the relations

1

c1 D . C 2 /; c2 D 2 ; c3 D l; c4 D m; c5 D n

2

have been taken into account. Neglecting the quadratic terms with respect to the

strains in (1.180) results in the standard expression of Hooke’s law:

Tji D 1 ıji C 2 Aji :

66 Chapter 1 Basic equations of continuous media

The equations for a hyperelastoplastic medium in the spatial formulation are obtained

from equations (1.171)–(1.177). The results are summarized below [123].

1. Additive decomposition of the Euler–Almansi tensor:

Ae D A Ap : (1.181)

2. Stress-strain relation:

@‰.Ae ; Ap ; /

T D 0 : (1.182)

@Ae

3. Plastic flow law [125]:

P

Lp .Ap / D Dp D H.T; g; /:

4. Hardening law:

P

Lp ./ D Q.T; g; /: (1.183)

5. Yield criterion:

ˆ.T; g; / D 0: (1.184)

To illustrate the transition from the indexless notation to the covariant formulation of

the plasticity equations, let us consider the von Mises yield criterion.

In the spatial description, the von Mises yield criterion has the form

1 1

ˆ.T; g; k/ D W Ig W k 2 D ij kl gik gj l k 2 ;

2 2

where g is the metric tensor in the current configuration, Ig is the unit tensor of rank 4

with components

1 1 ik 1 j l

I ij kl D .g / .g / C .g1 /il .g1 /j k ;

2

and is the deviator of the stress tensor T:

1

ij D T ij .T kl gkl /.g1 /ij :

3

In the material description, the von Mises yield criterion is expressed as

1 ij kl

ˆ.S; c; k/ D S S cik cj l k 2 ;

2

1

s ij D S ij .S kl ckl /.c1 /ij ;

3

Section 1.12 Constitutive equations of plasticity under finite deformations 67

stress tensor S.

The covariant representation of the other relations, (1.181)–(1.183), can be obtained

likewise.

Chapter 2

schemes

operators

In solving problems of solid mechanics by computational methods, one has to par-

tition the body into a number of elements so as to reduce the problem to solving a

system of algebraic equations. Historically, from its very birth, mechanics relied on

the continuum method for solving problems. Bodies were treated as continuous sets

of particles and problems were stated in terms of continuous functions. Differential

and integral calculus was the main tool for studying these problems. Over the last few

centuries, a most powerful mathematical machinery has been created for the analysis

of problems arising in physics and mechanics, relying on the solution methods for

differential equations. However, discrete analysis did not practically develop before

the advent of computers. It was not until the 1940s, when computers came on the

scene, that the situation changed and at the present time discrete methods and their

applications are booming.

There are two main lines of the development of discrete analysis: (i) direct physical

modeling and (ii) mathematical modeling. Within the former approach, continuum

bodies are treated as discrete ensembles of material particles, to which physical laws

are applied directly and discrete equations are derived bypassing the mathematical

formulation in terms of functions of continuous arguments. However, modern com-

putational mechanics relies mainly on the latter approach. In this case, a continuous

mathematical problem is first formulated and then its discretization is performed. This

allows one to take advantage of the achievements in mathematical analysis obtained

through the centuries. It is this approach that our further presentation will rely on.

In order to approximate a problem stated in the form on an operator equation for a

function u of a continuous argument,

L.u/ D f;

72 Chapter 2 The basics of the theory of finite-difference schemes

Γh

Ω Γ

Figure 2.1. Grid approximation of a domain and its boundary ; h is a broken line

approximating .

1. Replace the domain ! of continuous variation of the argument with a discrete set

of points !h . For example, if the operator L is defined in the domain ! shown

in Figure 2.1, then ! can be replaced with a set of nodes !h of a square grid

covering !. The boundary of ! is approximated by a broken line h .

2. Introduce functions uh of a discrete argument, called grid functions, defined on the

set !h .

3. Replace the differential operator L.u/ with a discrete analogue Lh .uh / defined on

the discrete set !h :

L.u/ ! Lh .uh /:

The continuous problems is thus reduced to an algebraic system of equations for the

values of the functions uh at the points of the discrete set !h .

This general scheme must have a rigorous mathematical formalization. To this end,

one introduces the concepts of a grid and a grid function. A grid is a set !h D ¹xi 2

!º (i D 1; : : : ; N ). A grid function associated with a continuous function u.x/ using

an operator Ph is a discrete set of values uh D Ph .u/.

Functions of a continuous argument u.x/ are elements of a functional space H . A

set of grid functions forms a vector space Hh whose dimension coincides with the

number of nodes N of the grid and the components of a vector are the values of the

grid functions at the nodes xi : uh .xi /.

One introduces a norm of grid functions kuh kHh in the space Hh ; it is analogous

to the norm kukH in the space H , so that the compatibility condition

lim kuh kHh D kukH

h!0

is satisfied. For example, (i) to the norm kukC in the space of continuous functions C

there corresponds a norm kuh kCh in the space of grid functions Ch :

kukC D max ju.x/j ! kuh kCh D max ju.xi /jI

x2! xi 2!h

Section 2.1 Finite-difference approximations for differential operators 73

(ii) to the norm kukL2 in the space of square-integrable functions L2 there corre-

sponds a norm kuh kL2 in the space L2h :

h

Z 1=2 NX

1 1=2

kukL D u2 dx ! kuh kLh D u2i hi I

! iD1

(iii) to the norm kukW 2 in the Sobolev space W 2 there corresponds a norm kuh kW 2

h

in the space Wh2 :

Z Z x 1=2 NX

1 k

X 1=2

2

kukW2 D dx u dx ! kuh kW2h D hk u2i hi ;

! 0 iD1 iD1

and so on. These norms are generated by the scalar products of functions in the spaces

L2 and W 2 and the scalar products of vectors in the vector spaces L2h and Wh2 .

The main task of the theory of finite difference schemes is to estimate the closeness of

the solution of a finite difference problem to that of the associated differential prob-

lem. However, these solutions are defined in different spaces, H and Hh , and have

different norms, and hence one can only estimate the difference between the solutions

in terms of a common norm. This difficulty can be overcome in two ways. First, the

solution defined on a given set !h as a grid function uh can be extended to a function

of a continuous argument u.x/ defined on the whole set ! by using an interpolation

operator RŒuh ! u.x/.

Q

The objective is to recover a continuous function u.x/

Q from a given set of values of

the grid function uh .xi /. The function u.x/

Q will certainly be different from u.x/, and

so one should evaluate the norm ku.x/ u.x/kQ H for x 2 !. Such an extension is

nonunique, which is related to the nonuniqueness of the interpolation operator R.uh /.

The interpolation theory is a well-developed classical mathematical theory, which

continues to evolve due to, in particular, new problems that are solved by the finite

element method.

A grid function can be extended in a number of different ways by using, for ex-

ample, a polynomial interpolation, such as linear, quadratic and so on. In this case,

suitable approximation errors can be estimated in the space H . It is exactly this ap-

proach that is used in the finite element method (FEM), where uh is defined in the

entire domain ! as a piecewise continuous function. This enables one to use the

power of continuous function techniques to prove convergence, stability, etc.

Secondly, one can use an operator Ph .u/ D uh that projects the function u.x/

onto the grid to obtain a grid function uh .xi /. It should be noted that no inverse,

extension operator R.uh / D u can be recovered from the projection operator Ph .u/,

74 Chapter 2 The basics of the theory of finite-difference schemes

since these are defined in different spaces. The operator PH .u/ acts from H into Hh ,

while R.uh / acts from Hh into H [153].

In numerical analysis, both approaches are employed. The former is used in the

finite element method, where one deals with functions defined in H , the nodal values

of uh are extended to u.x/ and so one constructs an operator that associates the vector

space Hh with the continuous space H . Approximation errors are estimated and

convergence is proved in the space H . To each operator Rh .u/ there corresponds

a set of shape functions i .x/ for a selected set of nodes defining a finite element,

which means that the functions defined on this finite element are recovered from the

nodal values. The shape functions form a basis in H and are treated using continuous

operators of integration, differentiation, etc. These questions have been discussed in

detail in books on applying the finite element method to solving continuum mechanics

problems.

In the theory of finite difference equations, the opposite is done: instead of extend-

ing uh to u.x/, one projects u.x/ onto !h with an operator Ph .u/ ! uh and treats all

functions in the space Hh . In the simplest case where the set of points xi of the grid

satisfies !h 2 !, the projection operator is Ph .u/ D u.xi /.

The operator Ph .u/ can be more complicated; for example, it can be an operator

of weighted averaging over the neighboring nodes as shown in Figure 2.2, where x

is the central point of the regular hexagonal mesh inside the domain of definition

of u.x/:

P6

iD1 .ui C uiC1 / Si

u.x / D ;

2S

where Si is the area of the equilateral triangle with vertices at the points i , i C 1,

and x .

Now the question can be raised on how to define the projection operation for a

differential operator Ph .L/ D Lh .uh /, or how to replace it with a finite difference

operator. This can be done in infinitely many ways. For example, even in the simplest

i+2 i+1

Si

x

i+3 * i

Figure 2.2. To the definition of an operator Ph .u/ of weighted averaging over neighboring

nodes.

Section 2.1 Finite-difference approximations for differential operators 75

case of approximating the first derivative on a three-point stencil, one can obtain a

family of finite difference operators dependent on a parameter:

dv

L.v/ D ;

dx

viC1 vi

Ph .L/ D Lh .vh / D D vx (forward difference);

h

N h .vh / D vi vi1 D vxN (backward difference);

PNh .L/ D L

h

.˛/

Lh D ˛vx C .1 ˛/vxN ;

where L.˛/

h

denotes a family of finite difference operators dependent on the parame-

ter ˛ (0 ˛ 1) and h is the step size of the grid.

For example, second-order derivatives can be approximated as

d 2v

L2 .v/ D ;

dx 2

viC1 2vi C vi1

Ph .L2 / D L2h .vh / D :

h

Approximation formulas for higher-order derivatives (see exercises at the end of

Chapter 2) and, hence, any differential operator Lh can also be obtained quite easily.

The question arises as to what is the approximation error of these formulas.

For a given differential operator L, the norm k h kHh of the grid function

h D Lh .uh / Ph .L.u//h (2.1)

will be called the approximation error of replacing L with a finite difference opera-

tor Lh ; here uh D Ph .u/ with u.x/ being a function of a continuous argument and

uh .xi / being a function of a discrete argument. This norm characterizes the approxi-

mation error across the entire domain of definition of the grid operator Lh .uh /.

If k kHh D O.hk /, then Lh will be said to approximate L with order k. To sum

up, global approximation is associated with the concept of norm and, hence, with

the domain and its partitioning; therefore, it differs from local approximation in a

neighborhood of a point.

The local error of approximation .xi / at a point xi can be easily evaluated by ex-

panding vi˙1 D v.xi ˙ h/ in a Taylor series. For example, for the forward difference,

one obtains

1 h2

vx D v.xi / C v 0 .xi / h C v 00 .xi / C O.h3 / v.xi / D v 0 .xi / C O.h/;

h 2

0

h .xi / D vx v .xi / D Lh .uh / Ph .L.u// D O.h/:

The local approximation error for any difference operator can be evaluated in a

similar manner. It is important to emphasize the difference between the local approxi-

mation error in a neighborhood of a selected point and the global approximation error

for the entire grid domain.

76 Chapter 2 The basics of the theory of finite-difference schemes

Let us show that the selection of the norm k kHh is rather significant and that the

approximation errors evaluated in different spaces can happen to have different orders

of magnitude. This is especially important when dealing with irregular grids.

Consider an example. Suppose L D @2=@x 2 . Let us approximate L on an irregular

grid with a varying step size hi as follows:

1 viC1 vi vi vi1 hiC1 C hi

Lh D ; hN D :

hN hiC1 hi 2

It can easily be shown that the local approximation h .xi / of Lh has the first order

of smallness:

hiC1 hi 000

h .xi / D v .xi / C O.hN 2 /:

3

The global approximation errors in Ch and L2h are also of the first order:

NX

1 1=2

2

(2.2)

k .xi /kL2h D hi i D O.h/:

iD1

However, in terms of the norm in the Sobolev space Wh , the approximation has the

second order:

"N 1 N 1 2 #1=2

X X

k .xi /kWh D hN i hk k D O.hN2i /:

iD1 kD1

N 1 N 1

X X h2kC1 h2k 000 1

hk k D hN k v .xk / D h2i vi000 C h2iC1 viC1

000

:

kD1 kD1

6hN k 6

The intermediate terms are canceled out to give the estimate [153]

"N 1 NX

1 2 #1=2 "NX

1

#1=2

X 1 2 2 2

k .xi /kWh D hN i hk k D hN i h v 000 h2i vi000

36 iC1 iC1

iD1 kD1 iD1

NX

1 1=2

4

D N

hi O.h / D O.h2 /;

iD1

The approximation order depends on the chosen stencil, the set of nodes involved in

the approximation of the differential operator with finite differences. The approxima-

tion order can be increased by using stencils with more nodes, which enables one to

Section 2.1 Finite-difference approximations for differential operators 77

reduce the number of grid points while preserving the computational accuracy. How-

ever, this is not always favorable, since increasing the number of nodes in the stencil

results in more complicated approximation formulas and an increased computation

time per grid point. There is another possibility for increasing the order of approx-

imation; this possibility was suggested by Lewis Fry Richardson in the early 20th

century1 .

To increase the approximation order, one can perform computations on embedded

grids instead of using stencils with more nodes. According to this approach, one

should perform computations on grids with decreasing step size: h, h=2, h=3, and so

on. With the successively obtained solutions uh , uh=2 , uh=3 , . . . , one can construct an

extrapolation formula that provides a higher order of approximation than those of the

calculated solutions involved [117]. For example, with two solutions, uh and uh=2 ,

calculated by the same symmetric second-order scheme

2

h

uh=2 .x/ D u.x/ C v.x/ C O.h4 /;

2

one can compose a linear combination,

1 4

Uh D uh C uh=2 D u.x/ C O.h4 /;

3 3

to obtain a solution accurate to the fourth order of smallness. By using three first-

order schemes with decreasing step sizes h, h=2, and h=3, one can obtain a solution

accurate up to O.h3 /:

where the weighting coefficients a, b, and c are determined from the system of equa-

tions

a C b C c D 1;

1 1

a C b C c D 0;

2 3

2 2

1 1

aC bC c D 0:

2 3

1 Richardson, L. F. (1911). The approximate arithmetical solution by finite differences of physical prob-

lems including differential equations, with an application to the stresses in a masonry dam. Philosoph-

ical Transactions of the Royal Society of London, Series A 210 (459-470): 307–357.

78 Chapter 2 The basics of the theory of finite-difference schemes

It follows that

1 9

aD ; b D 4; cD :

2 2

In many cases, this technique allows one to improve the accuracy at almost no cost,

since computations on two or three embedded grids are usually performed anyway to

check the convergence of the method employed. It should be noted, however, that as

the number n of terms in formula (2.3) increases, the weighting coefficients, which

have alternate signs, increase rapidly with decreasing grid step size h=n, which can

result in the effect of rounding errors on the final result. To avoid this, one usually

refines the grid in the ratio of h=2n , in which case the coefficients increase more

slowly but each set of computations requires more time [117].

2.2.1 Stability

The question arises: Does it follow from the approximation condition k h k D O.hk /

(see (2.1)) that the solution of the finite difference equation will always differ from

the exact solution by O.hk /? No, it does not.

The above approximation condition for a differential operator is necessary but not

sufficient for the solution of the finite difference equation Lh .uh / D 0 to converge to

the solution of the corresponding differential equation L.u/ D 0 as h ! 0. One more

condition is required for the convergence; specifically, small errors introduced by the

approximation into the finite difference equation must not result in large deviations in

the solution.

This important property of a finite difference scheme ensures the stability of the

finite difference equation

Lh .uh / D fh :

This property is closely linked to the continuous dependence of the solution on the

right-hand side of the equation; a small perturbation ıfh on the right-hand side of the

equation results in a small perturbation ıuh in the solution of the equation.

Definition of stability: a finite difference scheme is called stable if the condition

The following theorem holds true (which is due to Peter Lax):

Section 2.2 Stability and convergence of finite difference equations 79

L.u/ D f and the resulting finite difference scheme is stable, then the solution uh

converges to u.

So we have:

1) Lh Ph .u/ Ph L.u/ D O.hk /; k > 0: (2.5)

H h

differential operator L onto the grid space Hh , and Lh is a difference operator.

is stable with respect to the right-hand side.

It is required to prove that kuh Ph .u/k D O.hk / as h ! 0, where u is the solution

of L.u/ D f .

Lh Ph .u/ Ph L.u/ D kLh .uh / Ph .f /k

(2.6)

D kfh Ph .f /k D kıfh k D O.hk /:

Let ıuh denote the error of the solution uh of the finite difference equation:

ıuh D Ph .u/ uh :

kuh Ph .u/k D O.hk /;

In other words, the error brought by the approximation into the right-hand side of

the finite difference equation has the order of smallness O.hk /; then, by virtue of the

stability condition (2.4), the error of the solution to the finite difference equation will

have the same order of smallness.

Let us consider a simple example to study the stability of a finite difference scheme

for the first-order ordinary equation

80 Chapter 2 The basics of the theory of finite-difference schemes

Let us approximate equation (2.7), using a uniform three-point stencil with step

size h, by the following family of difference operators dependent on a parameter

(0 1), represented by a linear combination of a forward and a backward finite

difference:

dy ynC1 yn yn yn1

y0 D D C .1 / :

dx h h

So equation (2.7) becomes

2 1 ˛h 1

ynC1 yn C yn1 D 0: (2.8)

Let us search for the solution of this constant-coefficient finite difference equation in

the form yn D C1 n . This leads to the following quadratic equation for :

1 2 C ˛h 1

2 C D 0: (2.9)

Its solution is

q

1 2 2

1;2 D .1 2 C ˛h/ ˙ 1 C 2˛h.1 2/ C ˛ :

2

The general solution of equation (2.8) is written in terms of two arbitrary con-

stants, C1 and C2 :

yn D C1 n1 C C2 n2 : (2.10)

Let us analyze the behavior of the solution as h ! 0. We have

1

1 D 1 ˛h C O.˛ 2 h2 /; 2 D .1 C ˛h/ C O.˛ 2 h2 /:

1 xn=h

yn D C1 e˛xn C O.˛ 2 h2 / C C2 e ˛xn C O.˛ 2 h2 / : (2.11)

There is only one condition, the initial condition of (2.7), for determining C1

and C2 . Hence, one of the constants remains arbitrary and so C2 is nonzero. This

means that the particular solution corresponding to 2 is an artefact of the form of the

approximation adopted; it is a parasitic solution.

The appearance of the parasitic solution is due to the fact that the finite differ-

ence equation (2.8) is formally of the second order, which determines the number of

arbitrary constants in the general solution (2.10). However, the original differential

equation (2.7) is of the first order and its general solution depends on a single arbi-

trary constant, which is determined from the initial condition in (2.7). To determine

Section 2.3 Numerical integration of the Cauchy problem for systems of equations 81

the constants in (2.10), a second condition is required for the finite difference equation

in order to determine the second arbitrary constant in solution (2.10).

There are several ways for determining this constant. For example, this can be

done by using different orders of approximation. First of all, it is clear that the second

condition must refer to the point x D h rather than x D 0; one should set y.h/ D y1

with y1 being very close to y0 . If one sets y1 D y0 , this will result in an O.h/ error.

If one uses the two-point scheme (2.8) with D 1, then

y1 D y0 .1 ˛h/ C O.h2 /:

It is clear that the error in determining y1 must agree with the approximation order of

the finite difference scheme employed in order not to lose the accuracy of the solution.

This situation is typical of the schemes whose formal order is higher than that of the

differential equations they are used to approximate. Such schemes are quite common

when it is desired to increase the order of approximation of the solution; however, one

should make sure that appropriate orders of approximation are used in the additional

initial conditions.

Thus, the second condition for determining C1 and C2 should be obtained using

the two-point scheme (2.8) with D 1. Finally, we have y D y0 at x D 0 and

y1 D .1 ˛h/ y0 at x D h.

Substituting these conditions into (2.10) yields

C1 D y0 C O.˛ 2 h2 /; C2 D O.˛ 2 h2 /:

differs from the exact solution of equation (2.7) by O.˛ 2 h2 /, which means that the

scheme (2.8) is stable and provides the second order of approximation for the solution

of (2.7). However, if 0 < < 12 , the second particular solution increases catastrophi-

cally as h ! 0 for fixed xn , which testifies that the scheme (2.8) is unstable.

Indeed, it is apparent from (2.11) that a small error due to the approximation leads

to a small deviation of C2 from zero if 1 > 12 , and hence the error in the solution

tens to zero as h ! 0, whereas it catastrophically increases as < 12 .

To sum up, even though the approximation condition (2.7) is satisfied for < 12 , the

stability condition is violated resulting in a solution of equation (2.8) not converging

to the solution of (2.7).

systems of first-order ordinary differential equations

Consider a system of k first-order ordinary differential equations and represent it in

the form of a single vector equation:

du

D f.u; t / with u D .u1 ; : : : ; uk /; f D .f1 ; : : : ; fk /: (2.12)

dt

82 Chapter 2 The basics of the theory of finite-difference schemes

It is required to determine a function u.t / that solves the system for 0 t T and

satisfies prescribed initial conditions at t D 0:

u.0/ D u0 ; (2.13)

where u0 is a given constant k-vector and T is the length of the interval where the

solution is required.

A wide class of problems arising in mechanics of rigid bodies is reducible to prob-

lem (2.12)–(2.13). Examples include problems arising in studying the motion of heav-

enly bodies, artificial satellites, and rockets as well as some problems of the dynamics

of mechanical systems consisting material points, resulting from studying continuum

mechanics problems, and many others.

Considered below are some of the methods for solving problem (2.12)–(2.13) be-

ginning with the simplest ones; the problems are solved on a uniform grid with a

constant step size D T =n, where T is the final time to which the computations are

performed and n is the number of steps in time.

Let us approximate the differential operator using one of the schemes discussed in

Section 2.1. For example, let us replace the derivative with a unilateral forward differ-

ence and take the right-had side of (2.12) at the lower i th point to obtain the explicit

Euler scheme

uiC1 ui

D f.ui ; ti /: (2.14)

Here and henceforth the subscript denotes the number of the time step; ui is the vector

of already computed (known) values corresponding to time ti and uiC1 is the vector

of unknown values at tiC1 .

If the right-hand side of (2.12) is taken at the .i C 1/st point, one arrives at the

implicit Euler scheme

uiC1 ui

D f.uiC1 ; tiC1 /: (2.15)

If the derivative is approximated with a central difference, one obtains the explicit and

implicit Euler schemes with central difference:

uiC1 ui1 uiC1 ui1

D f .ui ; ti /I D f.uiC1 ; tiC1 /: (2.16)

2 2

A countless number of other schemes are possible but, for the time being, let us restrict

ourselves to those listed above.

The easiest way to determine the values uiC1 is to use the explicit Euler scheme;

one finds that

uiC1 D ui C f.ui ; ti /; i D 0; 1; : : : ; n; (2.17)

where all values on the right-hand side have already been calculated at the previous

steps.

Section 2.3 Numerical integration of the Cauchy problem for systems of equations 83

uiC1 D ui C f .uiC1 ; tiC1 /; i D 0; 1; : : : ; n: (2.18)

In this case, equation (2.18) is a nonlinear equation for uiC1 ; it can be solved by using

one of the iterative methods such as the simple iterative method or Newton’s method

(see Section 3.5). An important feature that facilitates the solution of equation (2.18)

.0/

is that there is always a good initial approximation, uiC1 D ui , which is just slightly

different from the exact solution uiC1 [39].

In the schemes (2.16), the formal order of the finite difference equation is again,

just as in the preceding section, higher than the order of the original differential equa-

tion (2.12), and hence an additional boundary condition is required.

Let us evaluate the computational efficiency of the above schemes leaving aside

other characteristic properties of these schemes. The most amount of computations

is due to evaluating the vector function f on the right-hand side of the equation, and

hence the most efficient scheme is the one that evaluates the function the least number

of times to obtain uiC1 . In the explicit scheme, the function is evaluated only once

per step, while in the implicit scheme, it is evaluated as many times as it is required to

calculate the solution iteratively with the desired accuracy. In this respect, the explicit

scheme is more economical. However, the solution accuracy also depends on the order

of approximation. Higher-order schemes can become more efficient than lower-order

schemes, although requiring a minimum amount of computations for the function f

on the right-hand side of the equation.

For simplicity, the subsequent presentation will deal with only one equation (2.12).

The generalization to the case of a system of equations is straightforward.

Consider an economical numerical scheme of a high order of approximation. A

scheme is said to be economical if it requires only one additional evaluation of the

right-hand side of equation (2.12) when the order of approximation increases by one.

The calculation of the unknown uiC1 requires k C 1 values ui ; : : : ; uik , already

known from the previous k steps, rather than only one value ui . Let us use these k C 1

values to construct a polynomial of degree k:

k

X

Lk .ui ; : : : ; uik / D lkp .t /uip ; (2.19)

pD0

p

where lk .t /

are basic interpolating polynomials.

For example, the Lagrange interpolating polynomials for the time interval ti t

tik are calculated as

.t ti / : : : .t tp1 /.t tpC1 / : : : .t C tik /

lkp .t / D : (2.20)

.tp ti / : : : .tp tp1 /.tp tpC1 / : : : .tp tik /

84 Chapter 2 The basics of the theory of finite-difference schemes

Formula (2.19) can be used to extrapolate the function ui on the interval Œti ; tiC1 :

Z ti C Z ti C

du

u.ti C / D ui C dt D ui C f .u; / d : (2.21)

ti dt ti

Replacing the integrand f .u; / with its interpolating polynomial by formula (2.19),

one obtains

Xk Z ti C

p

u.ti C / D ui C fip lk ./ d D ui C .a0 fi C ak fik /; (2.22)

pD0 ti

p

step length and determined by integrating the basic interpolating polynomials lk .t /

p

satisfying the conditions lk .tm / D ımp (m; p D i k; : : : ; i ); ımp is the Kronecker

delta.

With this approximation of the right-hand side, the error will be

kf .u.t // Lk .t /k D O. k /;

and hence

u.ti1 C / u.ti1 /

D a1 fi1 C C ak fik C O. k /I (2.23)

consequently the approximation order equals the number of points used in the inter-

polation.

This scheme requires storing the k previous values of the right-hand side. There is

a complication that these values are unavailable at the beginning of the computation.

For the scheme to start working, one should find the first k values of f in a nonstan-

dard way with another scheme of the same order or a scheme whose order increases

consecutively from 1 to k in the first k steps or by the Runge–Kutta method, which is

outlined below.

The above family of finite difference schemes is called the Adams–Bashforth

schemes. These are also known as linear multistep schemes and have an arbitrary

order of approximation (the number of points used to construct the interpolating poly-

nomial can be arbitrary); these are formally described by difference equations whose

order matches the order of approximation and, hence, contains parasitic solutions,

discussed above in Section 2.2.

Let us discuss this issue using the second-order Adams–Bashforth scheme as an

example:

uiC1 ui 3 1

D f .ui / f .ui1 /; u.0/ D u0 ; 0 t T: (2.24)

2 2

By setting f .ui / D aui , one obtains a second-order finite difference scheme, which

requires, just as the scheme (2.8), an additional boundary condition at t D for

consistency with the order of approximation O. 2 / of equation (2.24) in the same

way as with equation (2.8).

Section 2.3 Numerical integration of the Cauchy problem for systems of equations 85

Finite difference schemes of higher order of accuracy O. k / for equation (2.12) can

be obtained by expanding uiC1 D u.ti C / in a Taylor series at ti ,

2 .k1/

k1

uiC1 D ui C u0i C u00i C C ui C O. k /; (2.25)

2Š .k 1/Š

.k1/

and calculating the derivatives u0i , u00i , . . . , ui at ti by successively differentiating

equation (2.12):

du

D f .u; t /;

dt

d 2u

D fu u0 C f t D fu f C f t ; (2.26)

dt 2

d 3u

D fuu .u0 /2 C fu u00 C f t t D fuu f 2 C fu .fu f C f t / C f t t :

dt 3

Substituting (2.26) into (2.25) and retaining only the first three terms in the expansion,

one arrives at a third-order finite difference scheme for equation (2.12):

uiC1 ui ˇ

Df .ui ; ti / .fu f C f t /ˇ tDt

i 2Š

ˇ (2.27)

2

C .fuu f 2 C fu .fu f C f t / C f t t /ˇ tDt C O. 3 /:

i 3Š

It is apparent that the number of terms in the series coefficients in formula (2.27)

increases rapidly, since increasing the order by one requires the repeated calculation

of the right-hand side and its derivatives. This can be avoided through calculating the

derivatives at additional points of the interval Œti ; tiC1 [39].

The scheme 2.27 belongs to finite difference schemes of the form

uiC1 ui

D P .ti ; ui /; (2.28)

where the right-hand side P .ti ; ui / D P1 Œf .ui /; ti is constructed so as to be de-

pendent, in a certain way, on the right-hand side f .ui / of the original differential

equation (2.12) and approximate the equation up to O. k /.

For example, the Euler predictor-corrector method also belongs to this class

of finite difference schemes. The solution is calculated by the following two-step

algorithm:

86 Chapter 2 The basics of the theory of finite-difference schemes

1. Predictor. Calculate uiC1=2 at half the step length of the explicit scheme; the

right-hand side in (2.17) is taken in the form 12 f .ui ; ti /:

1

uiC1=2 D ui C f .ui ; ti /:

2

2. Corrector. Calculate uiC1 at the central point i C 1=2 with the right-hand side

f .uiC1=2 ; tiC1=2 /, where uiC1=2 D ui C 12 f .ui ; ti /. Finally, the right-hand side

of equation (2.28) becomes

uiC1 ui

D P .ui ; ti / D f ui C f .ui ; ti /; ti C :

2 2

It is not difficult to verify that the scheme has the second order of approximation. Let

us expand the function P .ui ; ti / in a Taylor series as a function of two variables ui

and ti :

P .ui ; ti / D f ui C f .ui ; ti /; ti C

h 2 2 i

D f .ui ; ti / C fu .ui ; ti /f .ui ; ti / C f t .ui ; ti / C O. 2 / :

2 2

On the other hand,

2

uiC1 D ui C uP t .ti / C uR t t .ti / C C O. k / D ui C P .ui ; ti /: (2.29)

2

The derivatives with respect to t at t D ti are easy to determine from the original

differential equation (2.12):

uP t .ti / D f .ui ; ti /;

uR t .ti / D fu .ui ; ti /uP i C f t .ui ; ti / D fu .ui ; ti /f .ui ; ti / C f t .ui ; ti /:

Substituting the obtained solutions into (2.29), one obtains an estimate for the residual

term determining the order of approximation of the Euler predictor-corrector method:

1

riC1 D .uiC1 ui / P .ui ; ti / D O. 2 /:

This method is the simplest amongst the schemes belonging to the family of the

Runge–Kutta schemes of the second order of accuracy. The idea of the method is

to replace the repeated differentiation of the right-hand side with its calculation at

k intermediate points of the interval Œui ; uiC1 . The combination of these values can

be chosen so at to be equivalent, up to a residual term of the order of O. k /, to the

truncated Taylor series for uiC1 in (2.29). This method requires the evaluation of

f .u; t / at only k additional points and provides the kth order of approximation. First,

Section 2.3 Numerical integration of the Cauchy problem for systems of equations 87

1 1

u2 D k2 D f .ui C k1 ; ti C /;

2 2

1 1

u3 D k3 D f .ui C k2 ; ti C /;

2 2

1

u4 D k4 D f .ui C k3 ; ti C /:

2

Then, the final value of uiC1 is calculated with the fourth order of accuracy by the

formula

1

uiC1 D ui C .k1 C 2k2 C 2k3 C k4 /: (2.30)

6

The coefficients of ki are selected so that the right-hand side of (2.30) coincides with

the truncated Taylor series up to O. 5 / to ensure that the finite difference scheme

equation (2.12) has the fourth order of approximation. Obviously, in order to be able

to calculate P .u/, it is required that the right-hand side function f .u; t / is thrice

differentiable in its arguments.

Thus, the Runge–Kutta schemes are as economical as the Adams–Bashforth

schemes. Each step in the Runge–Kutta schemes increases the order of approximation

by one and requires only one evaluation of the right-hand side of equation (2.12) at an

intermediate point of the interval ti t ti C .

The stability of the Runge–Kutta schemes is stated by the following theorem.

Theorem 2.1. The system of difference equations (2.28) is stable if (i) the func-

tion P .u/ satisfies the Lipschitz condition

kP .x/ P .y/k C kx yk

and (ii) the integration step length is sufficiently small and satisfies the condition

C 1.

For the proof of this theorem, see textbooks on computational mathematics, for

example, [4, 39].

88 Chapter 2 The basics of the theory of finite-difference schemes

differential equations

2.4.1 Stiff systems of ordinary differential equations

Amongst the systems of original differential equations, the class of the so-called stiff

systems requires special treatment, since these systems are difficult to integrate be-

cause the rates of change of the solution in the equations are very diverse. The di-

rection field of integral curves of such systems changes its direction almost instanta-

neously as certain trajectories are approached. The solutions to Cauchy or boundary

value problems include domains of very rapid change on small intervals followed by

domains of very slow evolution. In mechanics, regions where the solution changes

very rapidly are called boundary layers or internal layers, while regions of slow vari-

ation are called quasistationary mode regions.

Consider the system of equations

du

D f.u; t /: (2.31)

dt

ˇ of a ˇsolution u D u0 if the

System (2.31) will be called stiff in a neighborhood

@f ˇ

condition number N of the Jacobian matrix G D @u u

D fu ˇu is equal to

0 0

max ji .t /j

N.t / D

1; 1 i n; (2.32)

min ji .t /j

This means that individual components of the solution have very different scales of

variation in t . The spectrum of eigenvalues of the matrix G can conditionally be split

into a stiff part, for which

ji .u/j < l L:

It is clear that i .u/ is solution dependent and so the nonlinear system (2.31) can have

different stiffnesses in different regions of the phase space.

The number n D L= l is called the stiffness ratio of the system. In real applied

problems, the stiffness ratio n can amount to 107 and even up to 1015 . Then, the

integration with ordinary accuracy by a standard method on a time interval Œ0; T will

require a step size at which the condition kfu k 1 holds. Taking into account that

kfu k max ji j L, we have 1=L and so the required number of steps will

be m D T =

T L 1015 . This is absolutely unacceptable if we are interested in a

Section 2.4 Cauchy problem for stiff systems of ordinary differential equations 89

quasistationary mode, for which T O.1/, rather than the structure of boundary lay-

ers. For quasistationary modes, it suffices to have m 103 . So our primary objective

will be constructing an algorithm that would allow us to perform computations with

such a large step length D T =m. ˇ

The system stiffness is determined by the matrix fu ˇu0 , or, given u D u0 , by the

linear part of fu . Therefore, in the first approximation, it suffices to investigate the

linearized problem and, instead of (2.31), consider the system

du

D fu .u0 ; t / u: (2.33)

dt

For illustration, let us perform the stability analysis for the model equation

du

D u; (2.34)

dt

where u is a scalar and is a complex number, since the Jacobian matrix can have

complex eigenvalues. One looks for all points of the complex plane of
D for

which the finite difference scheme for equation (2.31) is stable. For example, the

explicit Euler method is stable only within the circle of unit radius centered at the

point .1; 0/ and, therefore, is unsuitable for integration with a large step size. If

a method is stable on the entire half-plane Re
< 0, it is said to be A-stable or

absolutely stable. Since the solution of equation (2.34) is stable for Re < 0, the A-

stability of its finite difference scheme means that the method is stable for any > 0,

since the stability of a finite difference scheme is determined by the product D
.

Im μ

Re μ

0

Stiff problems must be solved using A-stable or A.˛/-stable algorithms. A finite

difference scheme is called A.˛/-stable if the domain of stability of this scheme in the

complex plane is restricted to within an angle ˛ (Figure 2.3): j arg. /j < ˛.

90 Chapter 2 The basics of the theory of finite-difference schemes

High-order multistep Gear implicit schemes are constructed in a similar manner as

the Adams–Bashforth schemes, by using an interpolating polynomial for the right-

hand side function f .u; t / of equation (2.31) with the only difference that the set

of nodes used to perform the interpolation also includes node n C 1, at which the

solution is sought. The interpolating polynomial of degree m C 1 is determined by the

nodal values f .unC1 ; t nC1 /, f .un ; t n /, . . . , f .unC1m ; t nC1m /. Then, unlike the

explicit Adams–Bashforth schemes discussed in Section 2.3, one arrives at the family

of implicit .m C 1/st-order schemes

X m

unC1 un

D ai f .unC1i ; t nC1i /: (2.35)

iD0

For example, with m D 3, one obtains an implicit scheme of the fourth order of

accuracy:

unC1 un 1 nC1

D 9f C 19f n 5f n1 C f n2 : (2.36)

24

The explicit scheme employs the following nodal values: f .un ; t n /, f .un1 ; t n1 /,

. . . , f .unm ; t nm /. The sum in (2.35) starts with i D 1. If m D 3, one obtains the

third-order scheme

unC1 un 1

D 23f n 16f n1 C 5f n2 : (2.37)

12

To solve the system of implicit equations (2.36), one can use a predictor-corrector

scheme. The predictor is calculated by the explicit scheme (2.37):

uQ nC1 un 1

D 23f n 16f n1 C 5f n2 :

12

Then the solution is refined using the implicit scheme (2.36)

D 9f .uQ ;x / C 19f n 5f n1 C f n2 :

24

Let us carry out the stability analysis for the second-order implicit Gear scheme

4 1 2

unC2 unC1 C un D f .unC2 ; t nC2 /: (2.38)

3 3 3

Suppose that the right-hand side of the linearized equation is f .u/ D u, where is

a complex number.

Section 2.4 Cauchy problem for stiff systems of ordinary differential equations 91

un D C1 .r1 /n C C2 .r2 /n ;

2 4 1

r 2 1 r C D 0; (2.39)

3 3 3

p

2 ˙ 1 C 2

r1;2 D ; D :

3 2

As mentioned above, the solution of equation (2.38) is of interest for stiff systems

with j j 1 for determining the structure of boundary layers. The solution of the

difference equation (2.38) approximates the exact solution u D e t of equation (2.34).

The domain j j 1 of the complex variable is called the “accuracy domain.” One

can see that, for small magnitudes of , the first root of equation (2.39) approximates

the exact solution:

r1 . / D e 1 C O. / ;

u1 D C1 .r1 /n D C1 e n 1 C O. 2 / ; t D n:

1

r2 D C O. 2 /; u2 D C2 .r2 /n ! 0:

3

It follows that the scheme is stable for small j j. The wider the accuracy domain

j j < 0 , where the solution is approximated with the required accuracy, the better

the scheme.

The other domain is the domain of large magnitudes of : j j

1. It is called the

domain of stability (quasistationary mode). One can see from equation (2.39) that if

j j

1, the roots are small, r1 r2 .2j j/1=2 1, and hence the scheme is

stable.

However, some schemes may not be stable for all values of from the half-plane

Re < 0. For example, they may only be stable in an angular domain jarg. /j < ˛

or a domain Re < a2 . Such schemes are also suitable for obtaining slowly varying

solutions (quasistationary mode). The stability zone must contain a sufficiently wide

neighborhood of the ray Im D 0, Re < 0. For more details on the solution

methods for stiff systems, see, for example, [143].

In many physical problems that belong to the class of stiff problems, there is a small

parameter " that appears explicitly in the system of equations. This facilitates the

92 Chapter 2 The basics of the theory of finite-difference schemes

integration of such systems. For example, consider the system of two equations

(2.40)

vP D '.u; v/;

which contains a small parameter " as the coefficient of the derivative uP in the first

equation; equivalently, the right-hand side can be treated as containing the large pa-

rameter L D "1

1. Both functions f .u; v/ and '.u; v/ as well as their derivatives

are quantities of the order of O.1/. The spectrum of the Jacobian matrix of the sys-

tem (2.40) is determined by the equation

Lfu Lfv

det D 0: (2.41)

'u 'v

The stiff component corresponds to the function Lfu , while the component corre-

sponding to ' is small. The quasistationary mode is determined by the equation

f .u; v/ D 0; it splits the uv-plane into two domains. The domain f .u; v/ > 0 is

stiff for 1 < 0. The theory of such systems has been well developed [143, 39].

The case of a singularly perturbed system with an explicitly occurring large pa-

rameter is similar to the general case of system (2.31) considered above. Here, the

large parameter L plays the same role as j Re max j, and the qualitative behavior of

the solution in this case is quite clear. Let us carry out the analysis of the system for a

specific example.

Consider the problem of uniform tension of a rod made of a nonlinear viscoplastic

material with a static stress-strain diagram of the general form D s ."/ [93] shown

in Figure 2.4. The problem generates a singularly perturbed system.

Suppose that one end of the rod is subjected to a given varying tensile stress D

0 .t /, while the other end is fixed.

When written in terms of dimensionless variables, the problem can be reduced to a

system of two equations with a large parameter ı

1:

D D ı sign N Ô jj

N s .N"/ ;

@tN @tN N

@t

ˇ (2.42)

@

D P 0 .t /; t > 0; ˇ tD0 D 0 :

@t

The first equation of system (2.42) corresponds to the equation (1.85) solved for

viscoplastic strain rate "P p and rewritten in terms of the dimensionless variables

" t t0

N D ; "N D ; tN D ; 0 D E"0 ; ıD

1;

0 "0 t0

Section 2.4 Cauchy problem for stiff systems of ordinary differential equations 93

σ F1

A1(σ 0, σ 0/E) D

σ0

C(σ0, εc) F

B

σ 0s A

α

0

εs ε

Figure 2.4. Static s ."/ (OABCDF ) and quasistatic (OA1 CDF1 ) stress-strain diagrams of a

material; E D tan.˛/ is Young’s modulus.

time of the viscoplastic material, and E is Young’s modulus in tension/compression.

The first equation in (2.42) relates the stress with the strain " in the elastovis-

coplastic material. The second equation determines the rate of change of the applied

stress. The functions of the right-hand sides, Ô .; "/ and P 0 .t /, as well as their deriva-

tives are quantities of the order of O.1/. The spectrum of the Jacobian matrix (2.41)

of the system is determined by the equation

ıˆ" ıˆ

det D .ıˆ" / D 0:

0

The parameter ı D t0 = appearing on the right-hand side of the first equation in (2.42),

equal to the ratio of the characteristic time t0 to the relaxation time , is a large quan-

tity for many materials, ı

1, and so the system of equations (2.42) is a singular

system of the form (2.40).

The function Ô is defined as

´

Ô .z/ D ˆ.z/; z > 0;

0; z 0:

This means that the plastic strain rate is zero, "Pp D 0, for jj < s ."/, and hence the

stress is related to the strain by Hooke’s law N D "N in dimensionless variables.

Taking into account that

dz @s

ˆ " D ˆz D ˆz ;

d" @"

one can see that the system is stiff if ds =d " > 0 and non-stiff if ds =d " 0 with

ˆz > 0.

94 Chapter 2 The basics of the theory of finite-difference schemes

The field of integral curves in the phase plane -" is easy to analyze. The curve

D s ."/ divides the plane into two parts, with s ."/ > 0 to the left of it and

"Pp D 0 to the right.

Beyond the small neighborhood O.ı1 / of the curve D s ."/, the direction field

of integral curves is almost horizontal and the rate of change of " is very large (of the

order of O.ı 1 /) and increases with ", so that the plastic strain increases rapidly. In

a short time O.ı 1 /, the rod passes, along an almost horizontal line, from the state

A1 .0 ; 0 =E/ to a state C.0 ; "C / in a neighborhood of the curve D s ."/. In

this neighborhood, P D O.1/ and "P D O.1/, since ˆ.z/ D O.ı 1 /, and so the

stress-strain state changes along the raising branch CD of the curve D s ."/ to

the point D, where ds =d " D 0. The subsequent motion along the falling branch of

the curve becomes unstable, the system loses stiffness, and the motion occurs rapidly

along the horizontal line to the point F1 , as shown in Figure 2.4.

In order to characterize the variation of " on the interval of rapid change from

A1 .0 ; 0 =E/ to C.0 ; "C /, it suffices to set D 0 in the first equation of (2.42)

and integrate the resulting system to obtain

Z "

d" d"

D ı ˆ 0 s ."/ ; tN D ;

dt "0 ı ˆ 0 s ."/

where it has been taken into account that "0 D 0 =E at the initial time, since, as

follows from (2.42), the instantaneous deformation occurs by Hooke’s law.

At the point ." D "C ; 0 D s ."C //, depending on the asymptotic behavior of the

function ˆ.z/ D az ˛ as z ! 0, the integral is convergent for ˛ < 1 and divergent for

˛ 1. Accordingly, the time in which " ! "C is either finite or infinite on the scale

O.ı 1 /. However, with ˛ 1 too, " tends to "C in an exponentially fast manner, with

the “effective time” of the passage being always a finite quantity on the scale O.ı1 /.

If the passage occurs from a point of instability, this indicates the existence of an

internal boundary layer. The point at which it begins is determined by D C and

" D "C at t D t C and the transition time to the stable branch is calculated from

Z "

d"

t tC D

C ."/

:

"C ı ˆ s

Thus, if the rod is subjected to a slow tensile stress, the quasistationary dependence

D ."/ will be represented by the curve OA1 CDF1 in Figure 2.4. This dependence

is characterized by an increase in the yield stress, as compared with the stationary

dependence D s ."/, and the appearance of a plato of ideal sliding.

Section 2.5 Finite difference schemes for 1D partial differential equations 95

differential equations

Let us consider the simplest finite difference schemes for evolution partial differential

equations in one space coordinate and time – the wave equation (hyperbolic type) and

unsteady heat equation (parabolic type).

The one-dimensional wave equation in terms of the displacement has the form

@2 u 2

2@ u

a D b: (2.43)

@t 2 @x 2

The initial conditions are specified using two functions:

ˇ

@u ˇˇ

u.x; 0/ D u0 .x/; D v0 .x/:

@t ˇ tD0

Let us make use of the simplest explicit three-layer second-order cross scheme,

whose stencil consists of five nodes as shown in Figure 2.5:

uinC1 2uni C un1

i

un 2uni C uni1

2 iC1

D a : (2.44)

t 2 x 2

Definition 2.1. The stencil of a finite difference scheme is the arrangement of grid

points involved in a difference equation serving to obtain the solution at the point of

interest on the .n C 1/st layer.

The order of approximation of the difference equation (2.44) is O.t 2 C x 2 /:

ˇ ˇ 2 ˇn ˇ

@2 u ˇˇn 1 @4 u ˇˇn t 2 4 2 @ uˇ 1

ˇ @4 u ˇˇn x 2 4

C 4ˇ C O.t / D a C 4ˇ C O.x /

@t 2 ˇi 2Š @t i 4Š @x 2 ˇi 2Š @x i 4Š

To start the computation based a three-layer scheme, one should known the nodal

values at the first two layers, whereas the initial conditions of the Cauchy problem are

specified by two functions, u D u0 .x/ and v D v0 .x/, a layer n D 0. The second

condition can be used to obtain the value of u1 at layer n D 1.

In order to start the computation of the first time step, one should determine u1i

from the condition for the initial speed u0i u1 0

i =t D vi , whence follows ui

1

accurate to the first order, O.t /. Accordingly, the solution of the Cauchy prob-

lem (2.43)–(2.44) will have the first order of approximation.

For a second-order approximation, condition (2.44) must be approximated by a

second-order expression. Let us make use of the expansion term

ˇ ˇ

u0i u1

i 0

ˇ

00 ˇ t 0 2

ˇ

00 ˇ t

D vi C u t t ˇ D vi C a uxx ˇ Cb C O.t 2 C x 2 /;

t tD0 2 tD0 2

96 Chapter 2 The basics of the theory of finite-difference schemes

n+1 n+1

n n

n–1 n–1

i–1 i i+1 i–1 i i+1

(a) (b)

Figure 2.5. Cross (a) and leapfrog (b) schemes. The solid line indicates the spatial derivative

and the dashed line corresponds to the time derivative. The solid circles indicate known data

and the shaded circles correspond to unknown data.

ˇ been by obtained by substituting the derivative of the

second initial condition, u00xx ˇ tD0 , into the original equation (2.44). Then the solution

of the original problem will have the order O.t 2 C x 2 /.

first-order equations (acoustics equations)

The complete system of equations describing the propagation of longitudinal waves

in an elastic bar consists of the equation of motion, the compatibility equation be-

tween the strains and strain rates, and Hooke’s law. In the case of uniaxial ten-

sion/compression, the system has the form

@v @ @" @v

D C b; D ; D E" (2.45)

@t @x @t @x

where is density, b is the mass force, and E is Young’s modulus.

Having eliminated the stress , one can rewrite the system as two simultaneous

wave equations for the strain rate v and strain ":

@v @" @" @v

D a2 Cb .a2 D E=/; D : (2.46)

@t @x @t @x

Equations (2.46) can be approximated on a rectangular grid in the xt -plane. Let x

denote the step size in the x-direction and t denote that in time t . The subscript i will

refer to grid points along the x-coordinate and n will refer to points in t (Figure 2.6).

Section 2.5 Finite difference schemes for 1D partial differential equations 97

The leapfrog scheme has the form

2 iC1

Da C bin

2t 2x

"inC1 "n1 v n vi1

n

i

D iC1

2t 2x

Unlike the cross scheme, the stencil of the leapfrog scheme does not involve the cen-

tral point .xi ; t n /.

The order of approximation is O.t 2 C x 2 /. For example, the first equation of

the system can be represented as

ˇ ˇ ˇn ˇ

@v ˇˇn @3 v ˇˇn t 2 4 2 @" ˇ

ˇ @3 " ˇˇn t 2 4

C C O.t / D a C C O.t / C b:

@t ˇi @t 3 ˇi 3Š @x ˇi @x 3 ˇi 3Š

The scheme has three layers and so the initial step should be calculated with any

two-layer scheme; for example, the Lax scheme can be used.

n+1 n+1

1

n+–

2

n n

1 1

i–1 i i+1 i–1 i––

2 i i+–

2 i+1

(a) (b)

Figure 2.6. Stencils of the Lax–Friedrichs (a) and Lax–Wendroff (b) scheme. The solid

line indicates the spatial derivative and the dashed line shows the time derivative. The solid

circles, shaded circles, and diamonds indicate known data, unknown data, and auxiliary nodes,

respectively.

A stencil can involve two or more layers in time t . Let us approximate system (2.46)

using a two-node stencil in x (Figure 2.6a) with nodes i C 1 and i 1 used at the nth

layer:

vinC1 viC1=2

n

"niC1 "ni1 "inC1 "niC1=2 n

viC1 n

vi1

D a2 ; D ; (2.47)

t 2x t 2x

98 Chapter 2 The basics of the theory of finite-difference schemes

where

1 1

viC1=2 D .viC1 C vi1 /; "iC1=2 D ."iC1 C "i1 /:

2 2

The scheme (2.47) is known as the Lax–Friedrichs scheme.

Let us determine the order of approximation of this finite difference scheme in x

n , vn

and t . Expanding viC1 , etc. in Taylor series at point .i; n/ gives

iC1=2

ˇ ˇ ˇ

@v ˇˇn @2 v ˇˇn t @2 v ˇˇn x 2 2 x 4

C C C O t C

@t ˇi @t 2 ˇi 2 @x 2 ˇi 2t t

ˇn ˇ

2 @" ˇ

ˇ @3 " ˇˇn x 2 4

Da C 3ˇ C O.x /:

@x ˇi @x i 3Š

It follows that the local approximation has the order o.t C x 2=t /. The term

o.x 2=t / tends to zero only if the order of x 2 is less or equal to the order of t

as x ! 0 and t ! 0. This kind of approximation is called conditional.

Let us use a three-point stencil in x with points i 1, i , and i C 1 to obtain another

finite difference scheme:

vinC1 vin "nC1 "ni1 "inC1 "ni v nC1 vi1

n

D a2 iC1 ; D iC1 : (2.48)

t 2x t 2x

Determine the approximation order of this scheme:

ˇ ˇ ˇn ˇ

@v ˇˇn @2 v ˇˇn t 2 2 @" ˇ

ˇ @3 " ˇˇn x 2 4

C C O.t / D a C C O.x / ;

@t ˇi @t 2 ˇi 2 @x ˇi @x 3 ˇi 3Š

ˇ ˇ ˇ ˇ

@" ˇˇn @2 " ˇˇn t 2 @v ˇˇn @3 v ˇˇn x 2

C 2ˇ C O.t / D C 3ˇ C O.x 4 /:

@t ˇi @t i 2 @x ˇi @x i 3Š

It is clear that the expansion at point .i; n/ gives the approximation order O.t C

x 2 /.

In order to obtain a second-order approximation in both t and x, let us ex-

@2 t @2

press the residual terms t2 @t 2 " and 2 @t 2 v on the right-hand sides of the equations

in (2.48) in terms of the second derivatives with respect to x using the original system

of equations (2.46) and approximate the resulting expressions of the second deriva-

tives by finite differences up to o.x 2 / to obtain

t @2 " t a2 @2 " t a2

D D ."iC1 2"i C "i1 / C O.x 2 /;

2 @t 2 2 @x 2 2 x 2

t @2 v t a2 @2 v t a2

2

D 2

D .viC1 2vi C vi1 / C O.x 2 /:

2 @t 2 @x 2 x 2

Section 2.5 Finite difference schemes for 1D partial differential equations 99

vinC1 vin t a2 n n n

"nC1 "ni1

2 iC1

.v 2v C v / D a

t 2 x 2 iC1 i i1

2x (2.49)

nC1 n 2 nC1 n

"i "i t a n n n

v iC1 vi1

." 2" C " / D

t 2 x 2 iC1 i i1

2x

It readily follows from (2.48) that the order of approximation on solutions to sys-

tem (2.46) is now o.t 2 C x 2 /.

Here the concept of approximation has been narrowed down to the class of exact

solutions to the differential equations (2.46). In this case, the notion “consistency

condition” is used instead of the notion “approximation condition” (see [148]). Just

as the approximation condition, the consistency condition indicates how well the exact

solution satisfies the finite difference equations.

The finite difference scheme (2.49) is known as the Lax–Wendroff scheme. The

same scheme can be obtained in a different way, by introducing an intermediate layer

numbered n C 12 and using a two-step predictor-corrector scheme (Figure 2.6b). In

the first half-step (predictor), one finds the solutions at points i C 1=2 and i 1=2 by

the Lax–Friedrichs scheme (2.47) and then computes the final solution at layer n C 1

by the leapfrog scheme (corrector):

nC1=2 nC1=2 nC1=2 nC1=2

vinC1 vin "iC1=2 "i1=2 "inC1 "ni viC1=2 vi1=2

D a2 I D

t 2x t 2x

By eliminating the quantities at the points with half-integer indices, one gets

n n n

vinC1 vin " "ni1 t a2 viC1 2vin C vi1

D a2 iC1 C

t 2x 2 x 2

(2.50)

"inC1 "ni n

viC1 n

vi1 t a2 "niC1 2"ni C "ni1

D C

t 2x 2 x 2

The resulting two-step scheme (2.50) coincides with second-order Lax–Wendroff

scheme (2.49).

The Lax–Friedrichs (2.47) and Lax–Wendroff (2.49), (2.50) difference equation con-

tain additional terms, which correspond viscosity. This means that a finite differ-

ence schemes brings a small numerical viscosity into the differential equation; this

viscosity significantly affects discontinuous solutions. If a scheme is of the first or-

der, the scheme viscosity of the first order results in monotone smoothing of solution

discontinuities. The second-order viscosity of second-order schemes results in non-

monotone discontinuity profiles. For details on the effect of the scheme viscosity, see

Section 5.5, “Differential approximation for difference equations.”

100 Chapter 2 The basics of the theory of finite-difference schemes

A second-order scheme with accuracy O.t 2 C x 2 / can be constructed using the

four-point stencil shown in Figure 2.7a, where two nodes are used on layers n and

n C 1 each and the derivative with respect to x in (2.46) is approximated as

D iC1 C .1 / iC1 ; 01

@x x x

nC1 n nC1

!

viC1=2 viC1=2 "iC1 "inC1 "niC1 "ni

D a2 C .1 /

t x x

(2.51)

nC1

"iC1=2 "niC1=2 nC1

viC1 vinC1 n

viC1 vin

D C .1 /

t x x

1

viC1=2 D .viC1 C vi /

2

If D 1=2, the approximation has the second order of accuracy, which is easy to

prove by expanding all quantities in Taylor series at point .i C 1=2; n C 1=2/.

n+1 n+1

n n

1

i i +–

2

i+1 i–1 i i+1

(a) (b)

Figure 2.7. Stencils of implicit schemes for the first (a) and second (b) derivatives.

implicit schemes. Boundary points

The scheme (2.51) is considerably different from the previous schemes (2.47)–(2.50):

at the upper layer n C 1, either equation involves two variables rather than one and

the complete system of equations for the .n C 1/st time layer does not split into a

system of recurrence equations. Such schemes as called implicit in contract with

explicit schemes where the solution is determined at each point of the .n C 1/st layer

Section 2.5 Finite difference schemes for 1D partial differential equations 101

independently of the other points of this layer, which implies that the matrix of the

system of equations for the quantities with index n C 1 has a diagonal form.

Explicit schemes enable one to calculate the solution at the .n C 1/st time layer

one the solution at all points of the previous nth layer is known; in other words, such

schemes allow one to solve difference Cauchy problems or problems with periodic

boundary conditions specified at the endpoints of a segment of the x-axis.

Solving an initial-boundary value problem, where boundary conditions are spec-

ified at the endpoints x D 0 and x D 1 in addition to initial conditions, requires

constructing special schemes for these points. A scheme that serves to determine the

solution at internal points of the segment is unsuitable for the endpoints, since one or

more points of the stencil turn out to be beyond the segment.

Implicit schemes involve two or more points at the .n C 1/st layer, which results

in a system of algebraic equations for determining the values of quantities at these

points; to close this system, boundary conditions are required. The solution can only

be obtained for all points of the .n C 1/st time layer simultaneously once the system

of algebraic equations has been solved. This property of implicit schemes contradicts

the property of the wave equation that the solution at a point .x; t / of the bar is in-

dependent of the solution at other points at the same time instant t , since the speed

of propagation of perturbations through an elastic body is finite. In what follows, this

issue will be investigated in more detail; for the time being, this contradiction will be

ignored.

Implicit schemes involve two or more points at the .n C 1/st layer, which results

in a system of algebraic equations for determining the values of quantities at these

points; to close this system, boundary conditions are required. The solution can only

be obtained for all points of the .n C 1/st time layer simultaneously once the system

of algebraic equations has been solved. This property of implicit schemes contradicts

the property of the wave equation that the solution at a point .x; t / of the bar is in-

dependent of the solution at other points at the same time instant t , since the speed

of propagation of perturbations through an elastic body is finite. In what follows, this

issue will be investigated in more detail; for the time being, this contradiction will be

ignored.

Boundary points of hyperbolic equations should be treated with the aid of relations

along characteristics (see Section 5.2).

Consider a family of finite difference schemes for the heat equation

@T @ @T

c D K C !:

@t @x @x

102 Chapter 2 The basics of the theory of finite-difference schemes

@T @2 T !

DA 2 C (2.52)

@t @x c

where c is the linear specific heat, is the linear density, K > 0 is the thermal

conductivity, ! is the power of heat sorces/sinks, and A D K=.c/.

Initial conditions:

T .t0 ; x/ D T0 .x/I

ˇ

@T ˇˇ

˛L T .xL / C ˇL D L ;

@x ˇxDxL

ˇ (2.53)

@T ˇˇ

˛R T .xR / C ˇR D R :

@x ˇxDxR

The second derivative will be approximated using a six-node stencil (Figure 2.7b)

that uses nodes i 1, i , and i C 1 at layers n and .n C 1/ in time (we restrict ourselves

to the homogeneous equation):

nC1 n 2T n C T n

TiC1

D A iC1 C .1 /A i i1

:

t x 2 x 2

(2.54)

For 0 < 1, the scheme is implicit and has the order O.x 2 C t /. At D

0, the scheme becomes explicit. At D 12 , the scheme has the second order of

approximation O.x 2 C t 2 /.

n+1 n+1

n+1

n n n

i–1 i i+1 i–1 i i+1 i–1 i i+1

(a) (b) (c)

Figure 2.8. Six-node stencil for the heat equation; (a) explicit scheme, (b) implicit scheme,

(c) Crank–Nicolson scheme. Solid circles correspond known data and shaded circles indicate

unknown data.

Section 2.5 Finite difference schemes for 1D partial differential equations 103

scheme)

An explicit scheme follows from (2.54) with D 0:

TinC1 Tin T n 2Tin C TiC1

n

D A i1 ; (2.55)

t x 2

t

TinC1 D Tin C C.Ti1

n

2Tin C TiC1

n

/; where C D A :

x 2

The approximation order is O.x 2 C t /.

scheme)

An implicit scheme follows from (2.54) with D 1:

nC1

D A i1 ; (2.56)

t x 2

nC1 t

C Ti1 C .1 C 2C /TinC1 C TiC1

nC1

D Tin ; where C D A :

x 2

The approximation order is O.x 2 C t /.

The Crank–Nicolson scheme follows from (2.54) with D 1=2

" nC1 #

TinC1 Tin 1 Ti1 2TinC1 C TiC1nC1 n 2T n C T n

Ti1 i iC1

D A C (2.57)

t 2 x 2 x 2

C nC1 C nC1 C nC1 C nC1

Ti1 C .1 C C /TinC1 TiC1 D Ti1 C .1 C /TinC1 C TiC1 ;

2 2 2 2

where C D A t =x 2 . The approximation order is O.x 2 C t 2 /.

There are other explicit scheme for the heat equation. These are listed below.

n

D A i1 ; (2.58)

t x 2

t

.1 C 2C /TinC1 D Tin C C.Ti1

n n

C TiC1 /; where C D A :

x 2

O.x 2 C t C t =x 2 /, which means that the scheme approximates the original

equation conditionally at t x 2 .

104 Chapter 2 The basics of the theory of finite-difference schemes

n

D A i1 (2.59)

2 t x 2

1 C n1 C t

TinC1 D Ti C n

.Ti1 n

C TiC1 /; where C D 2A :

1CC 1CC x 2

The approximation order is O.x 2 Ct 2 Ct 2 =x 2 /, which means that the scheme

approximates the original equation conditionally at t x.

To initiate the computation (to obtain layer n D 1), one has to use a two-layer

scheme.

n+1

n+1 n

n n–1

i–1 i i+1 i–1 i i+1

(a) (b)

Figure 2.9. Stencils of explicit schemes for the heat equation; (a) Allen–Cheng scheme,

(b) Du Fort–Frankel scheme. The solid line indicates the space derivative and the dashed line

shows the time derivative. Solid circles correspond known data and shaded circles indicate

unknown data.

Approximation of boundary conditions involving derivatives

One can easily see that if problem (2.52) is solved on the interval x 2 Œ0; 1 on a

grind with nodes i D 1; : : : ; N , then one can only write out N 2 difference equa-

tions (2.54) with 0 < 1 for nodes i D 2; : : : ; N 1. For the system to be closed,

two more equations must be added, which follows from the boundary conditions at

the specified endpoints x D 0 and x D 1; then the number of equations will equal the

number of unknowns.

The simplest approximation of the boundary has the first order of approximation in

space, O.x/:

T1nC1 T0nC1

at x D xL : ˛0nC1T0nC1 C ˇ0nC1 D 0nC1 I

x

nC1

nC1 nC1 nC1 TN TNnC1

1 nC1

at x D xR : ˛N T N C ˇN D N :

x

Section 2.5 Finite difference schemes for 1D partial differential equations 105

The approximation order of a boundary value problem is determined by the least ap-

proximation order of the equations and boundary conditions. Accordingly, if a bound-

ary condition contains a derivative, the entire problem becomes first-order accurate in

the space coordinate.

Let us derive a second-order approximation of the right boundary condition. By

expanding TNnC1

1 (adjacent to the right boundary node) into a Taylor series in x around

the endpoint x D xR along the exact solution up to the second derivative inclusive,

we obtain

ˇ ˇ

nC1 nC1 nC1 @T ˇˇnC1 @2 T ˇˇnC1 x 2

TN 1 D T .t ; xR x/ D TN x C 2 ˇ C O.x 3 /

@x ˇN @x N 2

ˇ ˇ

@T ˇˇnC1 TNnC1 TNnC1 @2 T ˇˇnC1 x 2

) D 1

C 2ˇ C O.x 2 /:

@x ˇ N x @x N 2

@2 T .t; x/ 1 @T .t; x/ !

D

@x 2 A @t c

ˇ ˇ nC1

@2 T ˇˇnC1 1 @T .t; x/ ˇˇn!nC1 !N 1 TNnC1 TNn nC1

!N

) D D ;

@x 2 ˇN A @t ˇN c A t c

ˇnC1 ˇ

nC1 @T ˇnC1

and substituting @T ˇ into the boundary condition ˛NnC1 nC1

TN C ˇN D

@x N @x N

nC1

N , we arrive at the difference equation

! !

nC1

nC1 nC1 nC1 TN TNnC1

1 1 TNnC1 TNn !NnC1

x nC1

˛N TN C ˇN C D N ;

x A t c 2

!

nC1 nC1

nC1 ˇ ˇ x

˛N C N C N TNnC1 ˇNnC1 nC1

TN 1

x A 2 t

!

nC1

nC1 nC1 x 1 !

D N C ˇN Tn C N :

2 A t N c

For the heat equation, the use of implicit finite difference schemes is physically

relevant, since thermal perturbations propagate with an infinite speed and all points

of the bar at time t influence one another. It is the explicit scheme, with D 0,

that is physically irrelevant for the heat equation in contrast with the wave equation.

However, this property is only essential for rapidly changing or high-frequency solu-

tions. For smooth low-frequency solutions, there is no significant difference between

explicit and implicit schemes in such problems.

It is noteworthy that by increasing the number of points in the stencil, one can in-

crease the order of approximation but this will significantly complicate the system

106 Chapter 2 The basics of the theory of finite-difference schemes

of difference equations and its analysis. For this reason, increasing the order of ap-

proximation is not always beneficial (see Richardson’s extrapolation formula in Sec-

tion 2.1). In what follows, the evolution equations will as a rule be approximated

using two-layer schemes of the first or second order of accuracy.

A two-layer system of difference equations can be written in the general form

B1 unC1 B0 un D 0

N

X N1

X

ˇ ˇ

B1 T ˇ .unC1 / B0 T ˇ .un / D 0; (2.60)

ˇ D0 ˇ D0

ˇ ˇ

where T ˇ .u/ D u.x C ˇh/ is a translation operator along the x-axis, B0 and B1 are

square matrices having the same dimension as the vector of unknowns u, with entries

being constant but, possibly, dependent on the step sizes and h, and ˇ is an integer.

For an explicit scheme, the number of points N D 1 and the matrix B1 is diagonal,

implicit schemes have involve several points adjacent to xi .

By applying the Fourier transform in x to equation (2.60),

Z 1

1

O

u.k/ D u.x/ e ikx dx;

2 1

where the hat over a symbol denotes a Fourier transform in the plane of the complex

variable k, and taking into account the translation operator is transformed as

Z 1

ˇ 1

O

T .u/ D u.x C ˇh/ e ikx dx D eikˇ h u.k/;

O

2 1

one obtains

H1 uO nC1 .k/ H0 uO n .k/ D 0; (2.61)

where

N

X N

X

ˇ ˇ

H1 D Bi exp.iˇhk/; H0 D B0 exp.iˇhk/;

ˇ D0 ˇ D0

Solving (2.61) for uO nC1 gives the following system of recurrence equations for the

transforms uO nC1 :

uO nC1 .k/ D G.; h; k/Oun .k/; (2.62)

Section 2.6 Stability analysis for finite difference schemes 107

space of Fourier transforms. By applying n times the operator G to uO 0 .k/, one obtains

the solution at the .n C 1/st layer in the product form

uO nC1 .k/ D Gn .; h; k/Ou0 .k/: (2.63)

In this subsection, we use the notion of stability essentially equivalent to that given

above in Section 2.2 but in a different formulation, more convenient for further treat-

ment [147].

A finite difference scheme (2.60) will be called stable if there are some 1 > 0 and

T > 0 such that the infinite set of the transformation operators

Gn .; k/ with 0 < < 1 and 0 n T

is uniformly bounded, kGn .; k/k < C , where the constant C is independent of

and k. This condition is necessary and sufficient for the stability.

Equation (2.61) is the analogue of (2.60) in the space of Fourier transforms and

G.; k/ is a matrix dependent on the transform parameter k. The stability condition

requires that the matrix operators Gn .; k/ for all n are uniformly bounded on a finite

interval of t for any k.

For a matrix A.k/, its norm kA.k/k is defined as

jA.k/ vj

kA.k/k D max (2.64)

V ¤0 jvj

The spectral radius of a matrix A is the number R D max ji j, where i are

eigenvalues of A. It is clear that R kAk. The spectral radius Rn of the matrix An

equals Rn D Rn . Furthermore,

jA.Av/j jA.Av/j jAvj jAvj jAvj

kA2 k D max D max max D kAk2 ;

v¤0 jvj v¤0 jAvj jvj v¤0 jvj jvj

Hence, kGn .; k/k kGkn and Rn kGn k kGkn .

A necessary stability condition is the condition of existence of a constant C that

bounds the spectral radius of the matrix Gn .; k/:

R n .; k/ C;

T

R.; k/ C 1=n ; 0n :

108 Chapter 2 The basics of the theory of finite-difference schemes

R C =T

must hold. On a finite interval 0 < < 1 , the exponential function of on the

right-hand side of the inequality must be bounded by a linear function:

R C =T 1 C C1 :

It follows that the necessary stability condition for the finite difference scheme holds

if all eigenvalues of the transformation matrix G satisfy the condition

i

which was obtained by von Neumann and is known as the von Neumann stability

condition.

If the complex matrix G is normal, i.e., it commutes with its conjugate transpose,

GG D G G, then the spectral radius is equal to the norm of G and the von Neumann

condition is not only necessary but also sufficient.

Note that if one searches for a solution to the original difference equation (2.60) in

the form

and substitutes this expression into the original system of difference equations to

obtain

ŒE G.k/ u0m D 0;

where E is the identity matrix, one immediately arrives at the characteristic equation

of the matrix G.; k/,

detŒE G.k/ D 0;

which serves to determine the eigenvalues of G. This technique is practically useful

in analyzing the stability of finite difference schemes.

Below we analyze the stability of the schemes presented in Section 2.4.5 for the

acoustics and heat equations, whose approximation was studied there.

Let us apply the von Neumann spectral stability analysis to the wave equation in

displacements (2.44). The solution is sought in the form

nC1

umC1 D q n uO 0 e ik.xm Ch/ :

Section 2.6 Stability analysis for finite difference schemes 109

1 nC1 E

uO 0 2

.q 2q n C q n1 / D 2 uO 0 q n eikh 2 C eikh :

h

Since

1

e ikh 2 C eikh D 2 cos.kh/ 2 D 4 sin2 . kh/;

2

we get

2 E 2

2 1

q 2q 1 2 sin kh C 1 D 0:

h2 2

By Vieta’s formula, the product of the roots of this quadratic equation is q1 q2 D 1.

It follows that the stability condition jqj 1 can be satisfied in the only case jq1 j D

jq2 j D 1. If the equation coefficients are real, this means that the roots must form a

complex conjugate pair; in this case, the discriminant must be negative:

ˇ ˇ

ˇ ˇ

ˇ1 2 E sin2 kh ˇ < 0:

ˇ h 2 ˇ

For this inequalitypto hold for any k, it is necessary and sufficient that the Courant

condition = h =E D 1=a is satisfied, which implies that the scheme is condi-

tionally stable.

The Courant stability condition

Consider the Lax scheme. Substituting

nC1

umCˇ D nC1 u0m exp.i khˇ/

i

"0 . cos kh/ v0

sin kh D 0;

h (2.66)

i

v0 . cos kh/ "0 a2 sin kh D 0:

h

From the condition that the determinant of system (2.66) must vanish, one obtains

a2 2

. cos kh/2 C sin2 kh D 0;

h2

a

D cos kh ˙ i sin kh; (2.67)

h

a

jj 1 if 1;

h

which means that the scheme is stable.

110 Chapter 2 The basics of the theory of finite-difference schemes

The condition a= h 1, called the Courant condition [29], is a necessary con-

dition of stability. The Courant condition is also known as the Courant–Friedrichs–

Lewy (CFL) condition. It relates the space step size to the time step and holds for

any hyperbolic equation. The condition has he meaning that the time step must be

chosen so as not to reduce the domain of dependence of the solution at the point x on

layer n C 1 of the difference equation as compared with the domain of dependence

of the differential equation, which is determined by the slope of the characteristics

issuing from the point x until they meet the nth layer (Figure 2.10).

This condition admits a simple physical interpretation. If the condition is vio-

lated and the characteristics of equations (2.46) pass as shown by dashed lines in

Figure 2.10, the deviation of the solution to the difference equation from that to the

differential equation can be made arbitrarily large. To this end, one should apply

sufficiently large perturbations at the segments Ai and .i C 1/A1 (shaded areas in

Figure 2.10), which are beyond the domain of definition of the difference equation

and, hence, have no effect on the solution at the point O. This means that the solution

is unstable.

O 1

i +–

2, n + 1

α

n

1 A1

A i h i+–

2 i+1

istic lines) and a difference equation (dashed lines).

Let us prove that for the wave equation (2.66), the matrix G is normal, and hence the

Courant condition in (2.67) is not only necessary but also sufficient for convergence.

Indeed, it is easy to verify that the matrix

!

cos kh hi sin kh

GD 2

a h i sin kh cos kh

can be symmetrized with the change of variables v0 D v1 a and "0 D "1 to obtain

!

cos kh ah i sin kh

G1 D :

ah i sin kh cos kh

Section 2.6 Stability analysis for finite difference schemes 111

Now let us investigate the stability of the difference equation (2.48), which differs

from (2.47) in only that the difference derivative with respect to t is calculated using

the value at the middle point i on the nth layer rather than the half-sum at point i C 1

and i 1, as in (2.47). We have

i

"0 . 1/ v0 sin kh D 0;

h

i

v0 . 1/ "0 a2 sin kh D 0;

h (2.68)

2 2

2 a 2

det G D . 1/ C 2 sin kh D 0;

h

a

D1˙i sin kh:

h

It is apparent that the von Neumann condition (2.65) is violated, jj > 1, and the

scheme is unstable.

Lax–Wendroff scheme. Let us analyze the stability of the scheme (2.49). The equa-

tions involve a finite difference representation of the second derivative. Since this

representation is frequently used in what follows, let us introduce a special designa-

tion for it:

umC1 2um C um1

ƒum D :

h2

Its Fourier transform is

i kh

2 C e i kh 2.1 cos kh/ 4

O m D uO m e

ƒu D uO m D 2 uO m sin2

kh

: (2.69)

h2 h2 h 2

Then, for (2.49) one finds that

2 2 kh

. 1/ sin v0 . i sin kh/"0 D 0;

2 2 2 2 a2

D : (2.70)

2 2 kh h2

. i sin kh/v0 C . 1/ sin "0 D 0;

2 2

Equating the determinant with zero gives

1;2 D 1 2 .1 cos ˛/ ˙ i sin ˛; ˛ D kh;

˛ ˛ ˛ 1=2

1;2 D 1 2 2 sin2 ˙ 2i sin 1 sin2 ; (2.71)

2 2 2

˛

jj2 D 1 4 2 .1 2 / sin4 1;

2

where is the Courant number. As ˛ varies in the range 0 ˛ 2, the quantity jj

describes, in the complex plane, an ellipse that lies within the unit circle jj D 1 if

< 1. For D 1, the ellipse becomes the unit circle, which indicates that the scheme

in nondissipative and so the amplitude of each Fourier component is preserved exactly.

Here also GG D G G and the Courant condition is sufficient for stability.

112 Chapter 2 The basics of the theory of finite-difference schemes

Now let us investigate the stability of the finite difference scheme (2.54) for the heat

equation (2.52) in dimensionless variables

TmnC1 Tmn

D ƒTmn C .1 /ƒTmnC1 : (2.72)

Searching for a solution in the form

nC1

TmCˇ D Tm0 nC1 exp.i khˇ/

4 h i

2 ˛ 2 ˛

1D sin C .1 / sin ;

h2 2 2

4 ˛

Œ1 C .1 /p 2 D 1 p2 ; where p2 D 2 sin2 ; (2.73)

h 2

1 p 2 C p 2 p 2 p2

D D 1 :

1 C .1 /p 2 1 C .1 /p 2

From (2.73) it follows that the von Neumann condition is satisfied if

p2

0 2: (2.74)

1 C .1 /p 2

Inequalities (2.74) must hold for any p in order to avoid any restrictions on the time

step . The left inequality holds for any 0 < < 1, while the right inequality provides

a constraint on 1 :

2p2 .1 / C 2 p 2 : (2.75)

It follows that the condition 12 must hold.

To summarize, the scheme is unconditionally, or absolutely stable if 12 and

is only conditionally stable if > 12 . For example, an explicit scheme with D 1

implies

4 ˛

D1 sin2 :

h2 2

Consequently, for the von Neumann condition to be satisfied it is necessary that, in

2

dimensional variables, h2 . This is a very strict constraint on the time step, which

results in a too small step size in time, so that the finite difference scheme for the heat

equation becomes inefficient. On the other hand, although the implicit scheme (2.72)

with 1=2 does not lead to any restrictions on the time step, it makes it necessary

to solve a system of algebraic equations at each step.

Section 2.6 Stability analysis for finite difference schemes 113

The above spectral method was developed for studying linear constant-coefficient

equations. However, it turns out to be helpful also for stability analysis of a much

wider class of problems for linear and nonlinear equations. In nonlinear equations

and linear variable-coefficient equations, the stability analysis should be performed

using the following rule: all coefficients dependent on the variables x and t and the

unknown u are assumed to be constant, or, as is often said, “frozen.” Then the equa-

tion becomes a linear constant-coefficient equation, which is further analyzed using

the spectral method. In this case, the stability condition will depend on the frozen

coefficients and, hence, on x, t and u. The time step must be chosen so as to satisfy

the stability condition for all values of the coefficients involved in the computation.

For example, let us consider the following nonlinear heat equation with thermal

conductivity dependent on the coordinates and temperature, D .t; x; T /:

@T @ @T

D .t; x; T / C q.t; x; u/:

@t @x @x

n ; x n ; T n / in the same way as in

The analysis is carried out with .t; x; T / D .tm m m

the previous example by assuming that is constant and dependent on t , x, and T as

parameters.

Let us investigate the stability of the explicit scheme. The function q.t; x; u/ on

the right-hand side of the equation does not affect the stability and, hence, can be

neglected. Consequently, for fixed we have

TmnC1 Tmn n n n

D 2 Tm1 2Tm C Tm1 :

h

The stability condition is satisfied if

h2 h2

: (2.76)

2.t; x; T / 2 max.x;T / .t n ; x; T /

This rule is known as the principle of frozen coefficients.

It follows that the time step at each layer t n can vary and is determined by

max.x;T / .tn ; x; T /. This can significantly restrict if .x; T / assumes a large value

in a small region while being small in the rest of the bar, where the computation can

be performed with a larger step than prescribed by condition (2.76). For this reason,

it is desirable to obtain an explicit but unconditional scheme, which would be much

more efficient. Is it possible to construct such a finite difference scheme?

To answer this question, let us approximate the heat equation (2.52) with the

Dufort–Frankel three-layer scheme (2.59)

n

D mC1 : (2.77)

2 h2

114 Chapter 2 The basics of the theory of finite-difference schemes

This scheme uses a five-point cross stencil; its specific feature is that the second

derivative on the right-hand side is approximated in an unusual way. In the usual

representation of the second derivative,

n

TmC1 2Tmn C Tm1

n

;

h2

the second term, 2Tmn , is replaced with .TmnC1 C Tmn1 /.

nC1

Let us investigate the stability of the scheme (2.77). Substituting TmC1 D

0 nC1 exp.i khm/ yields (˛ D kh)

Tm

1 2 1

D 2 e i˛ C ei˛ ;

h

2

2 .1 C q/ 2q cos ˛ C .1 q/ D 0; q D 2;

p h

2 2

q cos ˛ ˙ 1 q sin ˛

1;2 D :

1Cq

Analyzing the resulting expression, we obtain

ˇ ˇ

ˇ q cos ˛ ˙ i q sin ˛ ˇ

if q 2 sin2 ˛ > 1; jj < ˇˇ ˇ D q < 1I

1Cq ˇ 1Cq

ˇ ˇ

ˇ ˇ

q cos ˛ ˙ 1 ˇ q

if q 2 sin2 ˛ < 1; jj < ˇˇ D 1:

1Cq ˇ 1Cq

It follows that the explicit scheme (2.77) is unconditionally stable. However, it turns

out that, although the time step is not constrained by the stability, there are restrictions

that arise from the approximation conditions. Indeed, let us check the approximation

of the right-hand side of (2.77):

1 2

T .t; x C h/ T .t C ; x/ T .t ; x/ C T .t; x h/ D Txx T t t 2 CO.h2 /:

h h

It is apparent that the approximation must satisfy o.h/; otherwise, if h, the

scheme (2.77) will approximate, instead of the heat equation, a telegraph equation of

hyperbolic type that contains the second derivative with respect to time:

2

Tt C Tt t Txx D O. 2 C h2 /:

h2

So, although absolutely stable, the finite difference scheme (2.77) approximates

equation (2.52) conditionally. Therefore, just as the explicit conditionally stable

scheme, it inefficient, since it requires a very small time step . For the heat equa-

tion, no efficient explicit scheme can be constructed and so implicit schemes should

be used. The most common implicit scheme is the scheme (2.72) with D 0, it has

Section 2.6 Stability analysis for finite difference schemes 115

the first order of approximation in time and second order in space. For D 1=2, the

scheme uses a six-point stencil and, as one can easily see, has the second order of

approximation in both variables.

The spectral stability condition of a scheme does not generally guarantee stability

in a real computation but is its necessary condition, which favors stability. Some

difficulties may be caused by a nonlinearity in the frozen coefficient and, especially,

by the approximation of the boundary conditions, which are not considered by the

spectral method.

The spectral method was designed for the stability analysis of solutions to Cauchy

problems for partial differential equations. However, most problems arising in contin-

uum mechanics are initial-boundary value problems. Therefore, the question of how

the approximation of the boundary conditions affects of the solution stability is impor-

tant. This question is very difficult to investigate in the general case. In what follows,

we restrict our presentation to a simple practical method of assessing stability.

This approach suggests that, apart from the standard analysis of spectral stability in

interior of the domain in question, one applies the same method to the boundary of

the domain.

For example, let us investigate the explicit scheme for the heat equation with the

boundary condition

@T

ˇT D 0 at x D 0;

@x

which is approximated as

T1n T0n

ˇT0n D 0; .1 C hˇ/T0n T1n D 0: (2.78)

h

1

e i˛ D 1 C ˇh; ˛D ln.1 C ˇh/ D iˇh C O.h2 /:

i

For this ˛, let us calculate the spectral point .˛/. For the explicit scheme (2.73) with

D 1, we get

4 2 ˛ 4 ˇ 2 h2

1 D 2 sin D 2 C O.h / D ˇ 2 C O.h/ ;

2

h 2 h 4

2 2

D 1 C ˇ C O.h /; jj 1 C O. /;

which means that the scheme is stable at the left edge (x D 0).

116 Chapter 2 The basics of the theory of finite-difference schemes

checked for the left ray (x 1) by setting k D 0; 1; 2; : : : I one finds that

For details on the informal stability theory of boundary-value problems, which is quite

sophisticated, see [147].

Solving a boundary value problem of the system of equation (2.72) is reduced, for

fixed n, to solving a system of algebraic equations with a tridiagonal matrix, which is

efficiently solved by the tridiagonal matrix algorithm (sweep method). This method

is a simplified form of Gaussian elimination; it is heavily used and is crucial in com-

putational mathematics. Many boundary value problems solved by finite difference

methods are reduced to algebraic systems with matrices close to diagonal, which are

solved by the sweep method. The main idea of the method admits various general-

izations. Scalar, vector, and matrix sweeps are known. The method will be discussed

in detail below (see Sections 4.4–4.5), once the general methods for the solution of

difference equations have been presented.

equation

For stable computations based on explicit schemes, the Courant condition gives the

following constraint on the time step: 0:5h2 . At the same time, explicit schemes

do not impose any restrictions on . The question arises: How to choose the time step

in a real computation based on an implicit scheme? Here the restriction is imposed

by the accuracy requirement rather than the stability condition. In order to answer

the question, one should analyze the exact solution to a differential equation and the

solution to the corresponding difference equation by representing them in terms of

Fourier series.

The exact solution of the differential problem (2.52) is given by

X

T D Ck0 e k t sin kx; k D k 2 2 : (2.79)

k

X

Tmn D Ckn sin.k mh/:

k

D 2 sin2 C :

h 2 k

Section 2.7 Exercises 117

Its solution is

kh n

Ckn D Ck0 1 C 4 2 sin2 : (2.80)

h 2

It is apparent that Ckn is dependent on and h and, hence, on t and x, whereas Ckn in

the exact solution (2.79) is only dependent t and independent of x:

2 2t

Ckn D Ck0 e k :

It follows from formula (2.80) that the expression of Cnk is independent of h and,

hence, of x only if jkhj 1 and then solution (2.80) can be rewritten as

kh 2 2

1C4 sin2 D 1 C k 2 2 e k t :

h2 2

For k 2 2 1, the solution is close to the exact one.

Consequently, for real approximation, h should be chosen so as to satisfy the con-

dition jkhj 1, or h k=. On the other hand, it follows from the solution to the

difference equation that the time step should be chosen so as to satisfy the condition

k 2 2 1 for the solution to be close to the exact one. In this case, O.h2 /.

For example, if k D 100, we get h 102 and 104 , which means that the

relation between h and must be the same as in the explicit scheme. This condition

is natural for thermal conduction problems. This does not apply to slow-varying so-

lutions, where k 1; in this case, one can take h and it is reasonable to use an

implicit scheme.

In order to work out the time step for an implicit absolutely stable scheme for solv-

ing wave equations, there is no need to compare the exact solutions to the differential

equation and the corresponding difference equation. It suffices to recall that the do-

main of dependence of the exact solution to the differential equation is determined by

the characteristics and D h=c (Figure 2.10). Therefore, the Courant stability condi-

tion for the explicit scheme is a constraint on the time step and, simultaneously, on

the approximation accuracy, provided that the accuracy is assessed in the Ch -metric.

If integral characteristics of motion are only of interest, then the solution accuracy

should be assessed in the L2h -metric; in this case, a larger time step can be taken,

> h=c.

2.7 Exercises

1. Obtain a finite difference representation of a third derivative on a four-point stencil

of a uniform grid with nodal points i 2, i 1, i , and i C 1. Determine the order

118 Chapter 2 The basics of the theory of finite-difference schemes

of approximation using

d 3u d d 2u

uxxx D D

dx 3 dx dx 2

and the finite difference formula for the second derivative.

2. Obtain a finite difference representation of a fourth derivative on a five-point stencil

(i 2, i 1, i , i C 1, i C 2) using the representation of the third derivative obtained

in Exercise 1.

3. Obtain a finite difference representation of a fourth derivative using the formula

IV d 2 d 2u

ux D

dx 2 dx 2

and a difference formula for the second derivative on a five-point stencil (i 2,

i 1, i , i C 1, i C 2) and a seven-point stencil (i 2, i 2, i 1, i , i C 1, i C 2,

i C 3). Compare the orders of approximation.

4. Write out a difference operator approximating the Poisson equation

@2 u @2 u

L.u/ D C D f .x; y/

@x 2 @y 2

on a rectangular grid with step sizes h in x and H in y. Determine the order of

approximation of the resulting scheme.

1 1

uiC1;j 2ui;j C ui1;j C 2 ui;j C1 2ui;j C ui;j 1 D fi;j

h2 H

Prove that

Lh .u/ D L.u/ C O.h2 / C O.H 2 / D f .x; y/:

5. How to combine the computations on embedded grids with step sizes h and h=2

based on a first-order scheme so as to increase the order of approximation to O.h2 /

(Richardson’s formulas)?

6. For the equation

y 0 C ˛y D 0; y.0/ D y0 ;

analyze the stability of the two finite difference schemes

i h˛

yiC1 D y C yi C yiC1 ;

2

yiC1 yi1

C ˛yi D 0;

2h

by looking for exacts solutions to the difference equations in the form yi D i

(see Section 2.2).

Section 2.7 Exercises 119

7. Obtain the third-order Adams–Bashforth formula. Use the basis Lagrange interpo-

lating polynomials

p .t /.t 2 / : : : .t k /

lk .t / D ;

.t p / !.p /

lpk .i / D ıip with i D 1; : : : ; k, p < k, and ıip being the Kronecker delta.

8. Obtain the difference equations of the Adams–Bashforth method of the third or-

der of accuracy and formulas for evaluating the first three values ui (i D 0; 1; 2)

required to begin the computation according to a third-order scheme. Apply the

scheme to solve the equation

du

D u2 C t 2 :

dt

corrector. Apply the scheme to solve the equation

du

D t 2 C ux C u2 :

dt

@2 u @2 u

2 C ku D 0

@t 2 @x

to a system of three first-order equations and analyze the stability of the Lax

scheme for this system.

11. Write out an explicit scheme for the parabolic constant-coefficient equation

@T @2 T @T

D 2 2 C a C bT

@t @x @x

and perform its stability analysis.

12. Reduce the nonlinear wave equation

2

@u 2 @u @ u

Da

@t 2 @x @x 2

to a system of two equations, write out the Lax–Wendroff scheme, and analyze its

stability by the frozen coefficient method.

120 Chapter 2 The basics of the theory of finite-difference schemes

13. Perform the stability analysis of the five-point cross finite-difference scheme for

the telegraph equation

@2 u @2 u

2 C ku D 0:

@t 2 @x

14. Perform the stability analysis of the explicit finite difference scheme for the equa-

tion

y 0 C .ky 2 /y D bx

15. For the system of wave equations

@v @" @" @v

D a2 ; D ;

@t @x @t @x

determine the order of approximation and analyze the stability of the scheme

D a2 k ; D kC1 :

h h

16. Represent the equation describing the dynamic behavior of an elastoviscous bar

@ @" 1

DE

@t @t

as a system of two first-order equations; here, E is Young’s modulus and is the

relaxation time. Write out a second-order scheme using the Lax–Wendroff method.

17. For the system of equations for an elastoviscous bar (see Exercise 16), obtain an

explicit finite difference scheme on a three-point L-shaped stencil. Determine the

order of approximation. Analyze the stability.

18. For a one-dimensional flow of a viscous fluid through a plane channel without

friction, governed by the constitutive equation

@ 1

D ;

@t

where is the relaxation time, obtain an implicit scheme for the six-point stencil

shown in Figure 2.7b. Analyze the stability.

19. Determine the order of approximation and analyze the stability of the Allen–Chen

scheme (2.58) for the heat equation,

TknC1 Tkn n

TkC1 2TknC1 C Tk1

n

D C f .Tkn /:

.h/2

Section 2.7 Exercises 121

20. Perform the stability analysis of the Krankel–Nicolson scheme (2.57) for the heat

equation subject to the initial and boundary conditions

T D ‚.x/ at t D 0;

@T

a1 C b1 T D '1 .t / at x D 0;

@t

@T

a2 C b2 T D '2 .t / at x D 1:

@t

Chapter 3

Prior to considering specific methods for solving systems of algebraic equations, let

us look at some common issues associated with the solution of such systems.

In solving a linear system Ax D b, where A is an n n matrix of coefficients, x is

the vector on unknowns, and b is a constant vector, one faces the question of stability

of its solution with respect to small perturbations of the coefficient matrix, A C ıA,

and/or the right-hand sides, b C ıb.

The matrix A will be assumed to be positive definite, .Ax; x/ > 0, and symmetric,

AAT D ATA.

condition number of a matrix

Let us examine the error arising in the solution, ıx, when the right-hand side is dis-

turbed by ıb. We have

kıxk D kA1 ıbk kA1 k kıbk:

If the norm kA1 k is large, then kıxk will also be large. The maximum increase

in the vector length will be in the direction of the eigenvector x1 corresponding to

the maximum eigenvalue max , A1 x1 D max x1 , or when ıb is directed along the

eigenvector x1 . In this case,

ıb

ıb D ˛x1 ; ıx D ˛A1 x1 D ;

ƒ1

where 0 < ƒ1 ƒn are the eigenvalues of the n n matrix A, while the

i D 1=ƒi are eigenvalues of the inverse matrix A1 .

If a ƒ1 is close to zero, the matrix A is close to a singular matrix and then kıxk is

very large. Relative errors are more important than absolute errors. So it is essential

to evaluate the relative error kıxk

kxk

as compared with kıbkkbk

. The worst case scenario is

when the error kıxk is maximum while the norm kxk is minimum. The latter is true

Section 3.1 Matrix norm and condition number of matrix 123

b

x D A1 b; b D ˛xn ; x D ˛A1 xn D ˛n xn D :

ƒmax

It follows that

kıxk ƒmax kıbk

; (3.1)

kxk ƒmin kbk

which implies that the larger the number C D ƒmax =ƒmin , called the condition

number of the matrix A, the larger the error.

If the matrix A is not symmetric, then the norm is defined as the maximum increase

of the vector length relative to its original length kxk and denoted kAk:

kAxk

kAk D max : (3.2)

x kxk

For a non-symmetric matrix, this maximum may not necessarily be attained at the

maximum eigenvector xn and so ƒmax ¤ kAk. Therefore, in the formula for the con-

dition number, ƒmax and ƒmin must be replaced with kAk and kA1 k, respectively:

AT Ax D AT b D b1 , and so the condition number can be expressed in terms of

eigenvalues. It should be noted, however, that the symmetrization stretches out the

eigenvalue spectrum and increases the condition number.

It follows from (3.1) that the more extended the eigenvalue spectrum, or the larger

the ratio ƒmax =ƒmin D C , the less stable the solution is to roundoff errors and other

perturbations.

Suppose the coefficient matrix is perturbed to become A C ıA. Let us determine the

relative error kıxk

kxk

as compared with kıAk

kAk

:

1

ıx D A ıA.x C ıx/;

(3.4)

kıxk kA1 k kıAk kx C ıxk kA1 k kıAk kAk kıAk

DC :

kxk kxk kAk kAk

So, in this case, the relative error in the solution is proportional to the condition num-

ber of the matrix A.

124 Chapter 3 Methods for solving systems of algebraic equations

I 1 1 II 0:0001 1

A D ; A D :

1 1:0001 1 1

Let us show that the matrix AI is ill-conditioned and the matrix AII is well-

conditioned.

The eigenvalues of AI are determined from the equation

2 2:0001 C 104 D 0;

q

1;2 D 1:00005 ˙ .1:00005/2 104 :

By solving the system with the coefficient matrix AI , let us verify that the system is

unstable. We have

I 2 1

Ax D ; xD :

2:0001 1

By perturbing the right-hand side with ıb D .0; 104 /T , we find that the solution

changes by a quantity of the order of O.1/. Indeed,

I 2 0

Ax D ; xD :

2:0002 2

2 1:0001 0:9999 D 0;

p p

1 5 II j1 C 5 j

1;2 ˙ ; C p :

2 2 j1 5 j

The same perturbation of the right-hand side, ıb D .0; 104 /T , results in the solution

perturbation ıx D C II .0; 104 /T , which has the same order of magnitude.

3.1.3 Example

Let us evaluate the condition number of the tridiagonal matrix arising in solving a

simple two-point boundary value problem for a second-order equation of the form

Section 3.1 Matrix norm and condition number of matrix 125

By partitioning the segment Œ0; 1 into n subsegments, one arrives at the following

tridiagonal n n matrix A of the difference system:

0 1

2 1 0 0 0 0 0

B1 2 1 0 0 0 C 0

B C

B :: :: :: :: :: :: :: C ::

B : : : : : : : C :

B C

B :: :

: : : : : : : ::: :: C ::

B : : : C

ADB : : : C: :

B :: :: :: :: :: :: ::C ::

B : : : : : : :C :

B C

B0

B 0 0 1 2 1 0 C

C

@0 0 0 0 1 2 1A

0 0 0 0 0 1 2

The right-hand side is of the order of unity, f .x/ O.1/, and so kbk O.1/.

It can be shown that the maximum and minimum eigenvalues of the matrix A

are max D 4 and min D 2=n2 . Then the roundoff error of the right-hand side

ıb D 109 at n D 12 will cause, by virtue of (3.1), a relative error in the solution

kıxk=kxk 105 ; however, at n D 104 , we get kıxk=kxk 101 , which means

that excessively fine partitioning can severely affect the computation accuracy due to

roundoff errors. The matrix A of the equation uIV .x/ D f.x/ has min 1=n4 and,

in this case, roundoff errors will decrease accuracy at already n D 102 . This exam-

ples demonstrates that using a very fine partitioning in the hope to “guarantee” high

computational accuracy can result in an ill-conditioned matrix of the algebraic system

of equation and cause the opposite result – loss of accuracy.

When solving ill-conditioned systems of equations, it is reasonable to perform their

regularization, which implies that the coefficient matrix is slightly perturbed, A1 D

A C ˛E, where E is the identity matrix, A is a symmetric positive definite matrix, and

˛ > 0. The eigenvalues ƒi of the matrix A1 are equal to i C ˛, where i are the

eigenvalues of A.

The solution to the regularized system of equations can be represented as a decom-

position in eigenvectors ei of the matrix A1 :

n

X .b; ei / .b; ei /

xD ci ei with ci D D :

ƒi i C ˛

i

˛

min , which is feasible for

an ill-condition matrix A, the terms corresponding to small i will, unlike the original

matrix, no longer cause a significant perturbation in the solution when the right-hand

side is perturbed, b C ıb. At the same time, perturbations caused by adding ˛ to the

terms corresponding to large i will be insignificant and so the solution can happen to

126 Chapter 3 Methods for solving systems of algebraic equations

have an acceptable accuracy. The optimal choice of ˛ depends on the specific features

of the problem and should be performed by trial and comparison of the results for

different ˛.

3.2.1 Gaussian elimination method. Matrix factorization

Let us consider the simplest direct methods for solving systems of algebraic equations

of the form

Ax D b; (3.5)

where A is an n n square matrix with real entries, det A ¤ 0, and b is a real vector.

The Gaussian elimination method implies successive elimination of unknowns (for-

ward sweep): x1 is first eliminated from n 1 out of n original equations, then x2 is

eliminated from n 2 out of n 1 remaining equations, and so on. As a result, the

original system (3.5) is transformed to a system whose matrix is upper triangular:

0 10 1 0 1

U11 U12 U1n x1 b1

B 0 U22 U2n C Bx2 C Bb2 C

B CB C B C

Ux D b or B :: :: : : : C B : C D B : C: (3.6)

@ : : : :: A @ :: A @ :: A

0 0 Unn xn bn

Here the vector b1 has been obtained by the above transformation from the right-hand

side vector b of the original system (3.5).

Then the system is solved backwards (backward sweep): xn is found from the last

equation and substituted into the .n 1/st equation, then xn1 is found, and so on.

The inversion of the upper triangular matrix is straightforward.

The entire algorithm can be represented in terms matrix transformations. To show

this, let us consider the process inverse to the elimination of unknowns in the forward

sweep. This will enable us to determine the matrix A as the product of a matrix L

by the matrix U and obtain an algorithm for calculating the entries Uik and Lkj .

Multiply the .n 1/st equation by Ln;n1 and add to the nth equation, then multiply

the .n 2/nd equation by Ln;n2 and Ln1;n2 and add to the nth and .n 1/st,

respectively, multiply the .n3/rd equation by Ln;n3 , Ln1;n3 , and Ln2;n3 and

add to the nth, .n 1/st, and .n 2/nd, respectively, etc. This algorithm coincides

with the multiplication of the matrices L and U. As a result, we arrive at the matrix A:

LU D A (3.7)

Section 3.2 Direct methods for linear system of equations 127

or

0 10 1 0 1

1 0 0 0 U11 U12 U13 U1n a11 a12 a13 a1n

BL21 1 0 0C B 0 U22 U23 U2n C B 0 a22 a23 a2n C

B CB C B C

BL31 L32 1 0C B U3n C B a3n C

B CB 0 0 U33 C D B 0 0 a33 C:

B :: :: :: :: :: C B :: :: :: :: : C B : :: :: :: :: C

@ : : : : :A @ : : : : :: A @ :: : : : : A

Ln1 Ln2 Ln3 1 0 0 0 Unn 0 0 0 ann

It is an important result that the matrix L is lower triangular with unit diagonal.

The entries of L and U can be calculated using the recurrent formulas

U11 D a11 ;

aj1

U1j D a1j ; Lj1 D ; j D 2; : : : ; nI

U11

i1

X

Ui i D ai i Lik Uki ; i D 2; : : : ; nI

kD1

i1

X

Uij D aij Lik Ukj ; i D 2; : : : ; nI

kD1

i1

X

1

Lj i D aj i Lj k Uki ; j D i C 1; : : : ; n:

Ui i

kD1

So Ax D LUx D Lb1 D b.

Consequently, the Gauss procedure is essentially the decomposition (factorization)

of the matrix A into the product of a lower triangular matrix L by an upper triangular

matrix U. Both matrices are easy to invert: in the forward sweep, one inverts L to

obtain L1 b D b1 and in the backward sweep, one inverts U to get x D U1 b1 . The

original problem is thus reduced to two simpler ones: the inversion of the upper and

lower triangular matrices U and L.

It is noteworthy that, in solving specific problems of continuum mechanics, what

changes is just the right-hand side of the system, while the matrix A remains the same;

in other words, what changes is the external load, while the equation and the domain

where the solution is sought remain unchanged. Therefore, one inverts L and U only

once and stores in the computer memory, thus reducing the solution of an particular

problem to the multiplication of a matrix by a vector.

For the Gauss process to be feasible, it is necessary that all j th-order minors at the

top left corner of the matrix must not be zero, jAj j ¤ 0, j D 1; : : : ; n. For example,

128 Chapter 3 Methods for solving systems of algebraic equations

0 1

AD ;

1 0

since jA1 j D 0, although the system determined by this matrix has an obvious solu-

tion; it suffices to swap the rows to get jAj j ¤ 0 (j D 1; 2). Furthermore, if jAj j D ",

where " is small, then the elimination involves dividing by a small quantity; this may

result in the loss of true information about the coefficients aij , which is due to a bad

algorithm, even though the matrix A is well-conditioned. For example, if

" 1

AD ;

1 0

one should first swap the rows before performing the Gaussian elimination. Thus,

prior to eliminating a kth unknown, one should first locate the main element, largest

in absolute value, amongst all entries of the kth column and move the corresponding

row to the top. Then the corresponding Ujj > 0 will be maximum and the Gauss

algorithm will become as stable at it is allowed by the matrix A. This method is

known as the Gaussian elimination with partial pivoting.

If the matrix A is positive definite, as in solving elasticity problems by the finite

element method [188], then det A D det L det U D u11 u22 : : : ujj > 0, since all

ujj > 0. Then the Gauss elimination process is always feasible and, furthermore, it

does not require the permutation of rows if A is symmetric. Indeed, in this case, the

decomposition A D LU can be rewritten as A D LD.D1 U/, where D is a diagonal

matrix with entries u11 ; : : : ; ujj . Then

0 1

1 U12 U13 U1n

B0

B 1 U22 U2n C C

D1 U D B :::

B :: :: :: :: C :

B : : : : C C

@0 0 0 Un1;n A

0 0 0 1

Since A D AT , we have

Q DU

A D LDU Q T DLT Q D D1 U:

with U

By symmetry, it follows that U

sented as

A D LDLT D LD1=2 D1=2 LT D LLT : (3.8)

Section 3.2 Direct methods for linear system of equations 129

This representation is called the Cholesky decomposition [168]. If the condition num-

ber of A is C , then the condition numbers in the direct and backward sweeps are the

1=2

same and equal to C 1=2 , since L D A1=2 . Then the eigenvalues of L are li D ƒi .

Below is an example of the Cholesky decomposition:

" 1 1 0 " 0 1 "1

AD D 1 ;

1 0 " 1 0 "1 0 1

1=2 1=2

1=2 1 0 " 0 " 0

LD D 1 D 1=2 1=2 ;

" 1 0 "1=2 " "

det LD1=2 D det L D 1:

Although the matrix A requires choosing the main element, let us obtain the solution,

after the Cholesky decomposition, without this.

The entries of D and L are calculated as

a1j

d1 D sign a11 ; l11 D .a11 /1=2 ; l1j D ; j D 2; : : : ; nI

l11

i1

X i1

X 1=2

2 2

di D sign ai i .lki / dk ; l i i D ai i .lki / dk I

kD1 kD1

i1

X

1 i D 2; : : : ; n;

lij D aij lki lki dk ;

li i di j D i C 1; : : : ; n:

kD1

The computational cost of the Cholesky method is approximately half that of the

Gauss method where the symmetry of A is not taken into account.

The Gauss method is often applied to sparse matrices that have a quasidiagonal

or band-like structure, where nonzero entries are close to the main diagonal. Such

matrices require fewer operations to invert. Therefore, it is reasonable to convert

the system matrix to a form that has the minimum width of the diagonal band. For

matrices with a narrow band, where the number of nonzero entries, k, in a row is much

less than the dimension of the matrix, N , the gain in the efficiency can be substantial.

In addition, if the band has a varying width, it is reasonable to store the entire band

profile, i.e., the first and last nonzero entries in each row. Sometimes, when the matrix

is sparse but cannot be converted to a band-like form, one can store the position of

each nonzero entry and then perform the elimination using this arrangement [178,

168]. In many finite difference problems, the matrix A has a very simple, tri- or

five-diagonal or block-diagonal structure. These cases can be treated using the most

efficient algorithm, the sweep method.

The next section outlines iterative methods – another way of solving systems of

algebraic equations. The sweep method, which crucial for solving finite difference

problems, will be elaborated later on.

130 Chapter 3 Methods for solving systems of algebraic equations

In solving systems of algebraic equations resulting from the discretization of equa-

tions of solid mechanics, it is often reasonable to use iterative methods.

The initial approximation is a very important issue here. In many cases, whether

one succeeds in solving the problem or not depends on how good the initial approxi-

mation is. When studying evolution problems using implicit schemes, one has to solve

systems of equations at each time step. In such problems, the solution obtained at the

previous step provides an excellent initial approximation, which makes the applica-

tion of the iterative method very efficient. When solving stationary problems, there is

no such an easy way of determining the initial approximation. Physical intuition and

clear understanding of the essence of the problem can help in such cases. Sometimes,

it may be reasonable to introduce time in the problem artificially and then solve it

as an evolution problem until the solution reaches a steady-state mode (stabilization

method).

An important advantage of iterative methods over direct methods is that the former

do not require large computer memory – this problem is still essential today, although

it is not as sharp as it was due a massive progress in computer hardware over the last

few decades.

Iterative methods are most crucial for solving nonlinear problems, where they have

no alternative. However, studying iterative methods is reasonable to start with solving

linear problems.

Consider the system of linear algebraic equations

Ax D f; (3.9)

can be treated as a linear operator in the Euclidean space with the scalar product

.x; y/ D xi yi and associated norm kxk D .x; x/1=2 , where x is an n-dimensional

vector.

If each subsequent approximation xkC1 is calculated using only the previous ap-

proximation xk , then the iterative process will be called one-step or two-layer (just

as the corresponding finite difference scheme). If two preceding approximations,

xk and xk1 , are used, the process will be called two-step or three-layer.

Canonically, a two-layer iterative process can be represented as

xkC1 xk

B C Axk D f; k D 0; 1; : : : : (3.10)

kC1

The matrix B and scalars k are parameters of the iterative process, which are selected

so as to make the process most efficient. The form (3.10) corresponds to a finite

Section 3.3 Iterative methods for linear system of equations 131

difference scheme. Hence, there is a close relationship between iterative methods and

explicit finite difference schemes.

The convergence of an iterative process will be examined in an energy space, HC ,

generated by a positive definite matrix C with the scalar product .a; b/C D .Ca; b/

and associated norm kakC D .Ca; a/1=2 .

The process is convergent if kzk kC ! 0 as k ! 1, where zk D xk x with xk

being the kth approximation of x. Since the exact solution x to equation (3.9) is not

known, the accuracy is evaluated using, instead of kzk kC , the discrepancy norm

kAxk f k D k k k;

which is easy to calculate at each iteration. The relative error of the discrepancy, ",

will be taken as the measure of convergence and the accuracy will be estimated as

k k k "k 0 k:

This accuracy estimation condition corresponds to convergence in the energy space

with the matrix C D ATA. We have

1=2 k 1=2

k k k D Axk f ; Axk f D Ax Ax; Axk Ax

1=2 T k k 1=2

D Azk ; Azk D A Az ; z D kzk kC :

The iterative process determined by formula (3.10) can be optimized by selecting a

suitable matrix Bk and parameter k . If these parameters change between iterations,

the iterative process is called nonstationary or unsteady; if these parameters do not

change, the iterative process is stationary or steady-state.

Let us find out how the classical Seidel and Jacobi iterative processes are represented

in the form (3.10). In Jacobi iterative process, the kth approximation in solving equa-

tions (3.9) involves each component of the vector xikC1 from the i th equation by the

formula

i1

X n

X

aij xjk C ai i xikC1 C aij xjk D fi ; i D 1; : : : ; n; (3.11)

j D1 j DiC1

where all components except xikC1 are taken from the previous approximation (one

takes x k D 0 in the initial approximations if k < 0).

In the Seidel method, xjk in the first sum of (3.11) is replaced with the already

determined values xjkC1 (j D 1; : : : ; i 1).

Let us represent the matrix A as the sum of an upper triangular matrix L, a diagonal

matrix D, and a lower triangular matrix U:

A D L C D C U:

132 Chapter 3 Methods for solving systems of algebraic equations

The the Jacobi iterative process can be represented in the form (3.10) with parameters

B D D and D 1, while the Seidel process can be represented in the same form with

parameters B D L C D and D 1.

The Jacobi and Seidel process can be generalized to the nonstationary case with a

varying parameter k to obtain

xkC1 xk

D C Axk D f;

kC1

k D 0; 1; : : : ; n:

xkC1 xk

.L C D/ C Axk D f;

kC1

xkC1 xk

.LkC1 C D/ C Axk D f;

kC1

solving for xkC1 , one obtains

1

1 1

xkC1 D L C D f UC 1 D xk :

kC1 kC1

The only matrix here that needs to be inverted is the upper triangular matrix L.

In the stationary case, these processes are convergent if the transition matrix G from

layer k to layer k C 1 satisfies the von Neumann condition:

G D E D1 A:

G D E .L C D/1 A:

In both cases, the matrix G is permutable with its transpose and the von Neumann

condition is no only necessary but also sufficient for convergence, provided that A D

AT is a symmetric conjugate matrix.

The steady-state iterative process (3.10) correspond to the simple iteration method.

It is convergent if, by the von Neumann condition, all eigenvalues i of the matrix G

satisfy the condition ji j < 1.

Section 3.3 Iterative methods for linear system of equations 133

It is easiest to analyze the convergence of iterative processes with B D E. In this

case, equation (3.10) can be replaced, by passing to the limit as kC1 ! 0, with the

differential equation

d

CA Df (3.12)

dt

subjected to the boundary condition

t D 0; D 0: (3.12a)

Let us prove that problem (3.9) can be solved using the stabilization method by

solving equation (3.12) and then letting t ! 1.

tors un of the matrix A:

Aun D n un ;

N

X N

X

.t / D an .t /un ; fD fn un ;

nD1 nD1

where an .t / are the Fourier coefficients of the function .t /. Substituting these rep-

resentations into (3.12) and taking into account that an .t / D . un /, we obtain

N

X

dan .t /

C n an .t / fn un D 0:

dt

nD1

ordinary differential equations for an .t /:

dan

C n an D fn ; n D 1; : : : ; N:

dt

From the initial condition (3.12a) it follows that

an .0/ D 0:

fn fn

an D C e n t C ; where C D from an .0/ D 0

n n

N

X

fn fn

an D 1 e n t ; D 1 e n t un :

n n

nD1

134 Chapter 3 Methods for solving systems of algebraic equations

By letting t ! 1 and taking into account that the eigenvalues n of the positive

definite matrix A are all positive, we arrive at the following stationary solution to

equation (3.12):

N

X fn

lim D un :

t!1 n

nD1

On the other hand, the solution to (3.9) can also be represented as a superposition

of the eigenvectors un of the matrix A. By expanding x and f in terms of un and

substituting in (3.9), one obtains

N

X N

X

xD xn un ; fD fn u n ;

nD1 nD1

N

X N

X N

X fn

xn Aun D n xn un D fn un ; xn D :

n

nD1 nD1 nD1

Thus, the solution to system (3.12) in the limit as t ! 1 is reduced to the solution

of equation (3.9). This enables one to infer that the solution to the difference equation

that approximates the differential equation (3.12) will also converge to the solution to

system (3.9). Equation (3.12) can be represented in the finite difference form

nC1 n

n

CA D f n; n D 1; 2; : : : ; N: (3.13)

n

The right-hand side does not have a superscript because the vector f is independent of

t . The solution to (3.13) can be represented as the recurrence relation

nC1 n

D .E An / C n f; (3.14)

where E is the identity matrix, n is the iteration number of the number or the inte-

gration step in the parameter t . Formula (3.14) can be treated as an iterative repre-

sentation of the solution to equation (3.9). Relation (3.14) involves the undetermined

parameter n, which must be selected so at to ensure the convergence of the iterative

process. It is clear that n must depend on the properties of A.

Let us rewrite equation (3.14) in terms of the new variable n – the solution dis-

crepancy of equation (3.9) at the nth iteration:

n D A n

f:

n

D A1 . n C f /; nC1

n

D A1 . nC1 n /:

Section 3.3 Iterative methods for linear system of equations 135

nC1 D .E An / n :

the linearly independent vectors uk , one obtains

N

X

n D kn uk ; nC1 D .1 k n / n :

kD1

and sufficient that

max j1 k j 1; k D 1; : : : ; N:

k

If the spectral boundaries of the matrix A are 1 n .A/ N , then the parameter

must satisfy the inequality

2

: (3.15)

N

In other words, if is chosen this way, then the norm of the transition operator satisfies

kQn k D kE An k 1 and the operator itself is compressive (see Section 3.4).

However, can still be chosen from a wide range even though condition (3.15) is

satisfied. The question arises: How to choose so that the iterative process converges

at the maximum rate?

The rate of convergence of an iterative process is determined by the largest eigen-

value and the corresponding eigenvector uN . The parameter can be chosen so as to

suppress the component of the discrepancy vector nN that corresponds to the largest

eigenvalue:

1

1 N D 0; D : (3.16)

N

Then the other components of nk will decay in the iterative process as

n

k

qkn D 1 I

N

1 1

max qk D 1 D 1 ;

k N C

136 Chapter 3 Methods for solving systems of algebraic equations

where C is the condition number of the matrix A. It is clear that the larger C , the

slower is the convergence of the process of interest.

In the general case, the convergence rate of an iterative process is determined by

the norm of the transition matrix Q:

kQ n k k nC1 k

q D max qk D kQk D max n D max :

k n

k k n k n k

If Q does not change between iterations, then q is also independent of n. If the step

size n is dependent on n, then q is also dependent on n and, hence, one has to

calculate the average value of q.

N

The transformation matrix with a variable step size n is given by

qN D lim kP n .Qn /k1=n D lim k.E 1 A/ : : : .E n A/k1=n ;

n!1 n!1

which implies that one should evaluate the asymptotic rate of convergence. It is con-

venient to use the exponential rate of convergence as a characteristic of an iterative

process:

S D ln q:

N

qN 1 ˛, where ˛ is a small quantity and so S ˛. The smaller S the slower is the

convergence of the process.

In formula (3.16) above, was chosen in an optimal way; the choice of can be

improved by finding the optimal rate of convergence. Indeed, where does it follow

from that the component corresponding to N should be suppressed,

max j1 j? For a constant step n D , the rate of convergence is deter-

mined by qN D limn!1 kP n ./k1=n D max j1 j, where 1 N and

0 < 1=N . Consequently, with variable , the step size n should be selected so

as to minimize this maximum with respect to within the above range.

This is a problem of determining the minimax of P ./. It is required to find

min max P ./, where P ./ is a linear function on the interval 1 N

with P .0/ D 1. A geometric solution of the problem is obvious (Figure 3.1). The

straight line P ./ must pass through the midpoint of the interval. Then the maximum

value of jP ./j, attained at one of the endpoints of the interval, is maximum.

It is apparent from the figure that if the straight line meets the -axis to the left

of the midpoint (dashed line), the value of P ./ at the right endpoint of the segment

increases. If the straight line meets the axis to the right of the midpoint, the value at the

left endpoint increases. Since max P ./ is always attained at an endpoint, min max

corresponds to the midpoint. From this condition, one finds and, then, maxk qk .

Section 3.3 Iterative methods for linear system of equations 137

P(λ)

(λ1 + λN)/2 λN

0 λ1 λ

Figure 3.1. To the problem of geometrically determining the minimax of a linear func-

tion P ./.

Hence,

N C 1 2

1 D 0 H) D ;

2 N C 1

2k

qk D 1 ; q D max jqk j;

1 C N k

ˇ ˇ

ˇ 21 ˇˇ N 1 1 C1

q D min max jP ./j D ˇˇ1 D D

N C 1 ˇ N C 1 1C 1

C

1 1 1 2 1

D 1 1 CO D1 CO :

C C C2 C C2

2

For large C , the rate of convergence equals S D C C O.C 2 /, which is twice as

fast as with the first choice.

So far, the parameter has been fixed between iterations. The question arises: Can

we increase the rate of convergence by using a varying iteration step? An iterative

process with parameter n dependent on the iteration number is called unsteady (non-

stationary) as opposed to a steady-state (stationary) process for a fixed .

If n is varying, then

n

Y

n D .E i A/ 0 D P n .A/ 0 ;

iD1

where n and un eigenvalues and eigenvectors of A, by expanding n and 0 in the

138 Chapter 3 Methods for solving systems of algebraic equations

eigenvectors of A, one obtains the following formulas for the Fourier coefficients:

nm D P n .m / 0m ;

where

n

Y

n

P .m / D .1 i m / : (3.17)

iD1

Just as previously, one have to minimize the maxim of this polynomial to obtain the

optimal rate of convergence:

a polynomial P n of degree n with P n .0/ D 1 such that its maximum value on the

interval Œ1; 1 is minimum.

To reduce our problem to Tchebychev’s problem, it suffices to transform the inde-

pendent variable as follows:

n C 1 2

yD :

n 1

This transformation maps the interval Œ1 ; n into ŒC1; 1 . It remains to normalize

the solution so that P n .0/ D 1. Then

Tn
n
C
1 2

n
1

P n ./ D

; (3.18)

n C
1

Tn
n
1

1

Tn .y/ D cos.n arccos y/:

2n1

The roots of the polynomial Tn .y/ are given by

.2i 1/

yi D cos ; i D 1; : : : ; n:

2n

Then the roots of P n ./ are expressed as

1 .2i 1/

i D N C 1 .N 1 / cos :

2 2n

Section 3.3 Iterative methods for linear system of equations 139

Yn

n 1

P ./ D 1 and hence i D ;

i i

iD1

2

i D ; i D 1; : : : ; n:

N C 1 .N 1 / cos .2i1/

2n

This solves the problem of finding a formula for calculating the step sizes of the

optimal unsteady iterative process.

Let us evaluate the asymptotic rate of convergence of this unsteady iterative process.

The worst rate of convergence is at the value jmax
P n ./j D qN n , attained by

Tchebychev’s polynomials at the endpoints of the interval Œ1; C1 : Tn .˙1/ D

.˙1/n . Therefore, from formula (3.18) we can obtain the maximum value P n .1 / D

Tn .1/=Tn .r/. Then

1 2 2

qN n D D p p p ;

jTn .r/j .r C r 2 1 /n C .r r 2 1 /n .r C r 2 1 /n

where

n C 1

rD > 1:

n 1

Expressing r in terms of the condition number C , we find that

1 C C1 2 1

rD D1C CO :

1 C1 C C2

Then the exponential rate of convergence for an ill-conditioned matrix A will be given

by the asymptotic estimate

1 p

S D ln qN D ln 2 C ln r C r 2 C 1

n r

1 2 2 2

D ln 2 C ln 1 C C 1C 1

n C C

1 2 2 1

D ln 2 C ln 1 C C p Co

n C C C

with

2 2 1

lim S D ln 1 C p D p Co : (3.19)

n!1 C C C

By comparing (3.19) with the formula S D C2 C O.C 2 / for the steady-state process,

one can see that the convergence rate S of the unsteady iterative process is square root

faster.

140 Chapter 3 Methods for solving systems of algebraic equations

massive acceleration of the iterative process. In practice, however, the implementation

of a Tchebychev iterative process may not result in acceleration of convergence and,

sometimes, can even lead to divergence. This may be caused by poor computational

stability; this problem is resolved by a special selection of the parameters i . For more

details and the selection algorithm, see [135].

The above results on the convergence acceleration of iterative processes where the

discrepancy is calculated by the formula

nC1 D .E k A1 / k

are applicable to any simple iterative method, inclusive of the Jacobi method with

A1 D D1 A and Seidel method with A1 D .L C D/1 A.

In all above examples, the parameter i was independent of the previous approx-

imations and was only dependent on the properties of the matrix A. Such iterative

processes are linear. In nonlinear processes, i depends on previous approximations

and is adjusted at each iteration, depending on the solution obtained. Nonlinear it-

erative processes can exceed the optimal linear process in the rate of convergence

(e.g., see [39]).

In conclusion, let us discuss the accuracy to which the iterative process should be

carried out. Since it is assumed that the system of algebraic equations of interest

is obtained by approximating differential equations with an error " D O.hk /, the

iterations should be conducted with the same accuracy. In practice, this means that

the iterative process should run until the inequality

k nC1 n k "

Further iterations do not make sense, since the error of approximation will prevail

over the accuracy of the iterative process.

3.4.1 Nonlinear equations and iterative methods

Consider a system of nonlinear equations written in vector form

function. In the special case where f D Ax C b, the system of equations (3.20) is

linear.

Nonlinear equations are solved by iterative methods that can be treated as a gener-

alization of linear iterative methods discussed in the previous section. Formula (3.10)

Section 3.4 Methods for solving nonlinear equations 141

xkC1 xk

BkC1 C f .xk / D 0; k D 0; 1; : : : ; (3.21)

kC1

or, in the form solved for xkC1 ,

xkC1 D P.xk /;

where P.x/ D x B1 kC1

f.x/ is a nonlinear operator and B is an n n invertible

square matrix. For a steady-state process, B and are independent of k.

In general, the nonlinear equation (3.20) may not have a unique solution. Identi-

fying a domain where equation (3.20) has a unique root is a separate, often difficult

problem. We assume that this problems has been solved and so we aim at finding this

root by an iterative method.

We are also interested in determining the rate of convergence of the iterative pro-

cess. An iterative method will be said to have a linear rate of convergence if

xn x D O.x n

x / or a quadratic rate of convergence if x x D

n

n x /2 . Here x is the root of equation (3.20) of interest.

O .x

Let us determine the rate of convergence of the iterative process. The method will

be said to converge with a rate of order m if .xkC1 x / O..xk x /m /. The

method is linearly convergent if .xkC1 x / O..xk x // and quadratically

convergent if .xk x / D O .xk x /2 . Here x is a root of equation (3.20) and

.x k ; x / is the distance the kth iteration solution and exact solution.

So P.x/ is a nonlinear operator that maps a n-dimensional Euclidean space En into

itself. Any point x 2 En satisfying the condition

P.x/ D x (3.22)

is called a stationary point of the operator P. Solution (3.22) is a solution to the

problem of a stationary? point. A solution to any nonlinear equation f.x/ D 0 can be

represented as a solution to the problem of a stationary point

x D x C f.x/ D P.x/:

To find stationary points, let us apply the method of successive approximations. Let

x0 be a test solution and x1 D P.x0 /, where x1 can be taken as a refinement of x0 .

The refinement process can be continued to get

xkC1 D P.xk /; k D 1; 2; : : : : (3.23)

Introducing the powers of P, one can write

xkC1 D PkC1 .x0 /; Pk .x0 / D P : : : P.: : : P.x0 / : : :/ : : : :

„ ƒ‚ …

k

142 Chapter 3 Methods for solving systems of algebraic equations

Definition 3.1. An operator P that maps space En into itself is said to be compressive

in a closed ball

R.x0 ; r/ D .x; kx x0 k r/

< 1 and 2) let x0 satisfy the condition

Then the sequence ¹xr º converges to x 2 R, and x is the only stationary point in

R.x0 ; r/.

For the zeroth approximation, condition (3.22) guarantees that all approximations

stay within R.x0 ; r/:

D kPr C1.x0 / Pr .x0 / C Pr .x0 / C P.x0 / x0 k

kPr C1 .x0 / Pr .x0 /k C C kP.x0 / x0 k

r .1 /r0 C C .1 /r0 D .1 r C1/r0 < r0 ;

The proof of convergence is based on a convergence test for the Cauchy sequence

¹xn º. For any m and n > 0 we have

kxmC1 xm k C C kxmCn xmCn1 k

m .1 /r0 C C mCn1 .1 /r0 m .1 n /r0 m r0 :

For any " > 0 there exists an N."/ such that for any m > N."/ and n > 0 the

condition kxm xmCn k < " holds. Indeed, let us choose N so that N < "=r0 ;

then kx m x mCn k < ", whence follows the convergence of the sequence ¹xn º to its

limit x .

Section 3.4 Methods for solving nonlinear equations 143

Proof of uniqueness. Suppose the solution is no unique, so that there are two distinct

solutions, x and x :

x D P.x /; x D P.x /;

kx x k D kP.x / P.x /k kx x k; 0 < < 1:

It follows that kx x k D 0.

Suppose that x D limm!1 Pm .x0 /. Then the point x will be said to be attain-

able from x0 and the set of all points ¹x0 º from where x is attainable will be called

the domain of attainability.

It follows from the theorem that x is attainable from any point of the ball R.x0 ; r/.

Indeed, we have

kP.x/ P.x0 /k kx x0 k r0 ; kP.x/ x1 k r0 ;

which means that P maps R.x0 ; r0 / into R.1/ .x1 ; r0 /, P2 W R ! R.2/ !

R.2/ .x2 ; 2 r0 /, etc.; so the radius of the ball R .n/ decreases with the iteration number

and ¹xn º ! x .

Let us show that for the Lipschitz condition to be satisfied it suffices that the condition

kP0x .x/k =n < 1

holds, where n is the dimensionality of x; hence, the norm of the Jacobian matrix must

be less than =n ( < 1). Here the Jacobian matrix of the function P.x/ is denoted

by

0 1

@P1 @Pn

B @x1

B @x1 CC

@P :

0

Px D

i B

DB : : : : : ::: C

C

@xj @ @P1 @Pn A

@xn @xn

and the norm is understood as the maximum norm of a vector or matrix:

kxk D max jxi j; kAk D max jaij j:

i ij

The proof follows from expanding the functions appearing in the Lipschitz condition

in Taylor series at the point x0 :

X n

0 @Pi

Pi .xj / D Pi .xj / C .xj xj0 / C O.xj xj0 /2 ;

@xj x0

j D1

X n

@Pi

Pi .yj / D Pi .xj0 / C .yj xj0 / C O.yj xj0 /2 ;

@xj x0

j D1

144 Chapter 3 Methods for solving systems of algebraic equations

whence

ˇ

n ˇ

ˇ

X 0 ˇ

ˇ @Pi .xj / ˇ

jPi .xj / Pi .yj /j ˇ ˇ jxj yj j:

ˇ @xj ˇ

j D1

n

X @Pi

kPi .xj / Pi .yi /k max .xj yj /

@x

j

j D1

n

X ˇ ˇ

ˇ @Pi .i0 / ˇ

kx yk ˇ

maxˇ ˇ kx yk:

@xj ˇ

j D1

Then it is clear that for the Lipschitz condition to be satisfied it suffices that

ˇ ˇ

ˇ @P . 0 / ˇ

ˇ i i ˇ

max ˇ ˇ ; where i0 2 R.x0 ; r0 /; < 1:

i;j ˇ @xj ˇ n

At n D 1, the condition

ˇ ˇ

ˇ dP ˇ

ˇ ˇ

ˇ dx ˇ < 1

must hold.

Figures 3.2a and 3.2b illustrate the geometric interpretation (in the one-dimensional

case, with n D 1) of the method of simple iterations. It is apparent from the figures

that the process converges for jP 0 .x/j 1; furthermore, the convergence is sign

z z

x0 x2 x x3 x1 x x x3 x2 x1 x0 x x 0 x

* * *

(a) (b)

Section 3.5 Nonlinear equations: Newton’s method and its modifications 145

alternate and monotonic if P 0 .x/ < 0 (Figure 3.2a). The approximations satisfy the

inequalities

x0 x < 0; x1 x > 0; x2 x < 0; etc.

The quantity xn changes its sing after each iteration. If P 0 .x/ > 0 near the root x1

in Figure 3.2b, the convergence does not change sign: xn > 0. If kP 0 .x/k > 1 near

the larger root x2 , the process diverges (Figure 3.2b).

modifications

3.5.1 Newton’s method

Apart from the method of simple iterations, which is linearly convergent, a family

of more accurate iterative methods can be constructed, which have a faster, quadratic

rate of convergence.

In formula (3.21), let us set D 1 and take the matrix B to be the Jacobian matrix

@.f1 ; : : : ; fn /

BDJD

@.x1 ; : : : ; xn /

to arrive at Newton’s iterative method (also known as the Newton–Raphson method):

xkC1 D xk Œf 0 .xk / 1 f.xk /: (3.25)

In the one-dimensional case,

@f 1

J D D fx ; J 1 D :

@x fx

Then

f .x k / f .x k /

x kC1 D x k ; x kC1 D :

fx .x k / fx .x k /

Equation (3.25) can be treated as

x D P.x/ D x J1 .x/f.x/:

The operator P.x/ can be proven to be compressive. The following theorem holds.

1) the matrix .J0 /1 is nonsingular, det.J0 /1 ¤ 0, in the ball R.x0 ; r/,

k.J0 /1 k B with B > 0;

146 Chapter 3 Methods for solving systems of algebraic equations

2

2) @ f

C; C > 0; i; j D 1; : : : ; n;

@x @x

i j

Suppose x0 is an initial approximation and x is a solution to the system of nonlinear

equations f.x/ D 0. By expanding f .x/ in a Taylor series at x D x0 , one obtains

f .x/ D f .x0 / C J.x0 /.x x0 / C O .x x0 /2 D 0;

whence, for small x D x x0 , one finds, keeping only the linear term, that

x D x0 .J0 /1 .x0 / f.x0 /:

By applying this formula to the above xk , one arrives at the recurrence relation

xkC1 D xk J1 .xk / f.xk /: (3.26)

kC1

The process runs until the condition kx k " is satisfied.

Proof of the quadratic convergence of the Newton–Raphson method. Let us rewrite

(3.26) in the form

xkC1 D '.xk /; where '.x/ D x .fx /1 f.x/:

Using the formula for the differentiation of the inverse of a matrix, .A1 /x D

A1 Ax A1 , we obtain

'0 .x/ D .fx /1 fxx .fx /1 f.x/; '0 .x / D 0:

The notation fx or f 0 .x/ stands for the matrix obtained by differentiating the vector

function f with respect to the vector x, with

@f.x/

fxx D Hij D

@xi @xj

denoting the Hessian matrix of the function f.x/ [129]. In addition,

ˇ

'00 .x / D .fx /1 fxx ˇ :

xDx

Then

xkC1 D xkC1 x D '.xk / x

D '.x / C '0 .x /xk C '00 .x /.xk /2 x

D ' 00 .x /.xk /2 C O .xk /3 : (3.27)

It follows that the convergence rate of the Newton–Raphson method is quadratic, pro-

vided that the conditions of the above theorem are satisfied in a small neighborhood

of x .

Section 3.5 Nonlinear equations: Newton’s method and its modifications 147

A disadvantage of the Newton–Raphson method is that one has to calculate and invert

the Jacobian matrix at each step. Furthermore, the original system of equations (3.20),

which can be quite complicated, has to be differentiated to obtain the Jacobian ma-

trix. An improvement of the Newton–Raphson method would be a minimization of

the computations and an extension of the neighborhood of the root where an initial

approximation can be specified.

The simplest modification of the Newton–Raphson method is the case where A D

J1 .x0 / is independent of k. Here the interpolation method is stationary and the rate

of convergence is linear rather than quadratic, as with A D J1 .xk /.

Figures 3.3 and 3.4 provide a geometric interpretation of the convergence condi-

tions for the Newton–Raphson method. In Figure 3.3, the conditions of the theorem

are satisfied, while in Figure 3.4a, the first condition is violated, f 0 .x/ ¤ 0, and hence

the successive approximations are divergent. In Figure 3.4b, the first condition is

satisfied, f 0 .x/ ¤ 0, by the second condition is violated: in an neighborhood of the

root x , the second derivative fxx changes its sign and the iterative process diverges.

It is apparent from Figure 3.3 that in the modified method, with J1 .x0 / D Œf.x0 / 1

fixed, the process converges much more slowly (dashed line) than in the method with

varying tangent.

f(x)

x x2 x’2 x1 x0 x

*

the Newton–Raphson (solid line) and modified Newton–Raphson method (dashed line).

Another modification of the Newton–Raphson method, the secant method, is obtained

by replacing the inverse of the derivative in (3.25) with a finite difference:

xk xk1

xkC1 D xk f.xk /; k D 0; 1; : : : : (3.28)

f.xk / f.xk1 /

148 Chapter 3 Methods for solving systems of algebraic equations

f(x)

x3 x0 x2

x1 x x

*

x x1 x0 x2 x

*

(a) (b)

method (divergent process).

This is a two-step method. To obtain the approximation xkC1 , one must use two

previous approximation, xk and xk1 . In order to start the iterative process at the

first step, one should find x1 with a one-step iterative process using, for example, the

modified Newton–Raphson method.

Figure 3.5 illustrate the convergence of the secant iterative method. This method

converges more slowly than the Newton–Raphson method but faster than the modified

Newton–Raphson method.

x

*

x 3 x2 x1 x0 x

Figure 3.5. Geometric interpretation of finding a root of an equation by the secant method.

The Newton–Raphson method is based on the linearization of a nonlinear system of

equation. It reduces the solution of the nonlinear vector equation to a multiple solution

of linear equations, or to the inversion of the matrix of the linearized equations. The

linear problem can be solved, in turn, by iterative methods by using, for example,

the methods of accelerated convergence discussed above in Section 3.3. Then the

Section 3.5 Nonlinear equations: Newton’s method and its modifications 149

complete iterative solution cycle for the nonlinear equation consists of two stages

involving an external cycle (implies the application of the Newton–Raphson method to

the original system of equations, thus reducing the solution of the nonlinear problem

to the solution of a nonlinear one) and an internal cycle, where the linear problem is

solved using, for example, the nonstationary Seidel method with acceleration.

To solve nonlinear equations, one can directly apply a generalization of standard

linear iterative methods to the nonlinear case. For example, the nonlinear Seidel

method has the form

k k

; : : : ; xm / D 0; i D 1; : : : ; m:

Then

f1 .x1kC1 ; x2k ; : : : ; xm

k

/ D 0; f2 .x1kC1 ; x2kC1 ; x3k ; : : : ; xm

k

/ D 0; : : : ;

At each stage, one solve a nonlinear equation in one unknown (m D 1): for x1kC1

at the first state and x2kC1 at the second state. These m equations, each containing

a single unknown, are solved by the Newton–Raphson method, thus reducing the

problem to a linear one. In this case, one has to deal with a two-stage method as well,

where the external iterations are carried out with the nonlinear Seidel method and the

internal iterations are preformed using the Newton–Raphson method for a system of

functions dependent on a single variable.

It is clear that other two-stage methods are possible, involving different combina-

tions of external and internal iterative processes.

Suppose one has to solve the equation

f .x/ D 0: (3.29)

Let us consider a family of Newton’s equations with parameter and optimize the

process of successive approximations in this parameter.

Solving equation (3.29) by the Newton–Raphson iterative method with parameter

can be treated as solving the difference equation

xkC1 xk

xkC1 D fx1 .xk / f.xk /; D fx1 .xk / f.xk /: (3.30)

A continuous analogue of the Newton–Raphson method suggests that instead of (3.26),

one uses equation (3.30) with ! 0. This matrix differential equation is easy to in-

150 Chapter 3 Methods for solving systems of algebraic equations

tegrate

@x

D fx1 .x/ f.x/; ln f.x/ D t C C;

@t

0

x D x0 ; t D t 0; f.x/ D f.x0 / et=t ; (3.31)

@f @.f1 ; : : : ; fm /

fx D J D D :

@x @.x1 ; : : : ; xm /

One can readily see that solution (3.31) tens to solution (3.29) as t ! 1 for any x0 :

t!1 t!1

This solves the convergence of the process as ! 0 but not for a finite . Although

the solution to equation (3.29) is theoretically attained as t ! 1, the function f.x/

decreases exponentially and f .x/ 0 already for a finite t .

In practice, the discrete analogue of equation (3.30) is realized:

or

xkC1 D xk k a.xk /: (3.32)

This formula represents the nonstationary Newton method. With k D 1, one obtains

the classical stationary Newton method.

The process (3.32) was proved to converge to (3.31) as k ! 0 on a practically

finite interval if fx is invertible in the neighborhood kx x k kx0 x k, so that

jfx j ¤ 0.

For practical computations, it is necessary to complete (3.32) by an algorithm of

optimal selection of k at each iteration. From the principle of nondecreasing dis-

crepancy in an iterative process it follows that k must decrease proportionally to the

discrepancy, and hence k should be taken so as to satisfy the condition

ık

k D kC1 ; (3.33)

ı k1

It follows from (3.33) that the step size k decreases with decreasing discrepancy.

In order to avoid the step size to become too small, there must be a condition restrict-

ing the step size from below: 0 < ‚ k 1. There is no rigorous proof that

the algorithm (3.32)–(3.33) converges; however, numerical computations indicate the

convergence is faster that of the stationary Newton method. As k decreases, the

domain of convergence expands, while the rate of convergence falls.

An approximate formula can be suggested for refining k . It is natural to consider

the step k to be optimal for which the corresponding discrepancy is minimum along

Section 3.5 Nonlinear equations: Newton’s method and its modifications 151

a selected direction. The direction of the increment vector xk at the kth step is

determined by the vector a calculated by formula (3.32); the square of the discrepancy

along this direction is equal to

ı kC1 . / D f.xkC1 /; f .xkC1 / D f .xk k a.xk //; f.xk k a.xk // : (3.34)

ever, this problem can be solved approximately by replacing the actual function ık . /

with a parabola by expanding the function in a Taylor series at D 0 and assuming

that ı k .0/ is the discrepancy obtained at the previous iteration. This is achieved by

using formula (3.34):

ˇ ˇ

k k d ık ˇˇ 2 kˇ

2d ı ˇ

ı . / D ı .0/ C C ; ı k .0/ D Œf.xk / 2 ; (3.35)

d ˇD0 d 2 ˇD0

where

d ık

D 2f.xk ak / fx .xk ak /ak D 2f.xk ak / f.xk /;

d

and hence ˇ

d ı k ˇˇ

k k

D 2 f.x /; f .x / D 2ı k .0/: (3.36)

d ˇD0

The coefficient of 2 can be determined from the value of the discrepancy at D 1

by formula (3.35):

ık .1/ D ık .0/ 2ık .0/ C .ı 0 /00 :

Expressing .ı 0 /00 and substituting into (3.35),

ık . / D ık .0/ 2ı k .0/ C Œık .1/ C ı k .0/ 2 ;

ı 0k . / D 2ık .0/ C 2 Œı k .1/ C ık .0/ D 0;

and hence

ık .0/

kC1 D : (3.37)

ı k .0/ C ı k .1/

In this case, the condition 0 k 1 always holds. Thus, ık should be evaluated at

each step using formula (3.34) for D 0 and k D 1. This formula has the flaw that

situations are possible where k is too small far away from the root.

If k is small, the convergence rate is low far away from the root, and hence the

step size should be limited from below by a quantity ‚:

" #

ı k .0/

kC1 D max ‚; k :

ı .0/ C ı k .1/

152 Chapter 3 Methods for solving systems of algebraic equations

size kC1 according to formula (3.37) results in a quadratic convergence, just as in

the Newton–Raphson method.

Expanding (3.37) in powers of ı k .1/=ı k .0/ yields

k 2 !

kC1 ık .1/ ı .1/

D 1 k CO D 1 O.xk x /2 ;

ı .0/ ı k .0/

since ı k .1/ is the square of the discrepancy at the next iteration with respect to ı k .0/

of the stationary Newton–Raphson method, where it was shown that ık .1/ Œı k .0/ 2 .

Then the rate of convergence of the unsteady Newton process (3.37) is quadratic, just

as in the steady process:

N O.xk x / fx1 .xk / fx .xk /;

where xkC1

N is the value obtained at the .k C 1/st iteration by the classical Newton

method.

methods)

3.6.1 The coordinate descent method

The previous section considered iterative processes for solving nonlinear equations.

Now let us discuss iterative methods where approximations are constructed in a some-

what arbitrary manner. These include a family of methods for minimizing functions

of the form F .x/ D f T .x/ f.x/, which arise from solving many problems where one

has to minimize functionals. These methods are collectively called descent methods

if, at each subsequent iteration, the condition

F .xkC1 / F .xk /

The direction of the descent is defined by a vector Dk and the magnitude of the

correction xk is determined by a scalar k :

xkC1 D xk C k Dk : (3.38)

The simplest way to perform the minimization is to choose the vector Dk arbitrarily;

for example, it can be directed along one of the coordinates xj ,

Dk D ejk D ¹ 0 : : : 0 1 0 : : : 0 º; j D 1; : : : ; n; (3.39)

1 ::: j ::: n

Section 3.6 Methods of minimization of functions (descent methods) 153

from an approximate condition of fastest descent at the point xk . This method is

known as the coordinate descent method.

The function F .x/ is replaced with a quadratic function in accordance with the

expansion in powers of k :

k k k k k @F k 1 n 2 k T @2 F

F .x C D / D F .x / C k

D C . / ŒD k k

Dk : (3.40)

@x 2 @xi @xj

which means that

F .x / D F .˛X C .1 ˛/Y/ ˛F .X/ C .1 ˛/F .Y/;

0 ˛ 1; X x Y;

then the maximum step size will be determined from the condition

ˇ

@F .xk C k Dk / @F k T @F

ˇ

D k k

D C ŒD ˇ Dk D 0: (3.41)

@ k @x k @xi @xj ˇxk

@F k

gjk D D ;

@xk j

ˇ

ˇ

k T @F

ŒD ˇ Dk D @F D F k :

@xi @xj ˇx k @xj @xj jj

Hence,

gjk

k D :

Fjjk

increase the rate of descent k . To this end, one should take a j such that gjk is

maximum amongst the n quantities, 1 j n, where n is the dimensionality of x or

the space En :

ˇ ˇ

@F ˇ @F ˇ

ˇ ˇ:

@xj D max

j ˇ @xj ˇ

This is the simplest way of taking advantage of the above arbitrariness in the coordi-

nate descent method, also known as the coordinate relaxation method. Other modifi-

cations of the method are possible.

154 Chapter 3 Methods for solving systems of algebraic equations

The descent can be accelerated by choosing the decent direction along the gradient

@F=@xk rather than a coordinate,

@F

Dk D D Gk ; (3.42)

@xk

ˇ

k Gk Gk @F ˇˇ

D k T ; where H D is the Hessian matrix: (3.43)

ŒG HGk @xi @xj ˇxk

xT Hx > 0 for any x) then minimizing F .x/ is reduced to solving a linear system of

equations with the matrix H. Then it can be rigorously proven that there exist a unique

solution, and hence that the iterative process is convergent.

The iterative process (3.38), (3.42), (3.43) is called the steepest descent method

for solving the system of linear equations Hx D b arising from taking F .x/ to be

a quadratic function. Figure 3.6 illustrates successive approximations of the steepest

descent method and depicts level lines of F .x/.

If F .x/ is not quadratic, the process can converge under the condition that there is

an initial point x0 , very close to x , such that the quadratic terms in the expansion

of F significantly dominate the higher-order terms and the Hessian matrix is positive

definite in the vicinity of x .

x1 x0

x2

x

*

Section 3.6 Methods of minimization of functions (descent methods) 155

The conjugate gradient method is intended for solving systems of linear algebraic

equations with a symmetric positive definite matrix. This methods enables one to

minimize a quadratic function F .x/ in n unknowns in k iterations, k n. Let us

represent the quadratic function in terms of xx , where x is the point at which F .x/

attains its minimum:

1

F .x/ D F0 C .x x /T H.x x /: (3.44)

2

The gradient of F .x/ is expressed as

and form a basis. Denote am D m Dm . Then the mth iteration can be expressed via

the previous one as

k1

X

xk D xmC1 C aq ; k m C 2:

qDmC1

In addition,

k1

X

k k mC1 q

G D H.x x / D Hx CH a Hx :

qDmC1

Since Hx D 0 and HxmC1 D GmC1 , then the kth iteration for Gk can be written as

a decomposition in the basis vectors Dq :

k1

X

Gk D GmC1 C q HDq ; m D 1; 0; : : : ; k 2;

qDmC1

(3.46)

k1

X

G k D G0 C q HDq :

qD0

k1

X

k T k mC1 T mC1

ŒG G D ŒG G C q ŒDq T HDq : (3.47)

qDmC1

156 Chapter 3 Methods for solving systems of algebraic equations

Since the Dq are linearly independent vectors, they can be chosen so that they are

H-conjugate or H-orthogonal. Then

ŒGk T Dm D 0: (3.49)

Since D0 ; : : : ; Dn form a basis, then relation (3.49) implies that

Gk 0:

Furthermore, by virtue of (3.45) and the fact that H is positive definite, we find that

xk D x ; so the iterative process converges to the minimum point of F .x/ in k itera-

tions.

An H-conjugate basis that satisfies conditions (3.48) is easy to obtain from the

original basis D0 ; : : : ; Dk in the following manner:

(3.50)

DmC1 D Gm C ˇm Dm :

The constants ˇm are chosen so as to satisfy the condition (3.48) that the basis is

H-conjugate. Using (3.50), we get

and hence

ŒGm T HDm

ˇm D :

ŒDm T HDm

In order to calculate xm , the step size m should be evaluated from (3.43).

If F .x/ is not a quadratic function but the initial approximation is sufficiently good,

the convergence is also achieved, which may require more than n iterations.

reconditioning

As pointed out in Section 3.3, one often introduces an additional matrix parameter B

into an iterative process and chooses it so at to accelerate the convergence. Let us

illustrate this with an example based on the simple iteration method:

The matrix B must be easy to invert. Then, by multiplying (3.51) by B1 , one obtains

Section 3.7 Exercises 157

where E is the identity matrix. The iterative process (3.51) represents the simple

iteration algorithm with the matrix E B1 A instead of A.

Suppose the eigenvalues i of the positive definite matrix A are in the range

i M with the condition number M=

1. Then the iterative method (3.52) is

known to converge slowly for B D E. Can we find a positive definite matrix B such

that the process (3.52) converges faster?

Denote

.Ax; x/ .Ax; x/

M1 D sup ;
1 D inf :

x .Bx; x/ x .Bx; x/

If B D E, we have M1 D M and
1 D
. It can be shown [4] that if B is chosen so

that

M1 M

; (3.53)

1

then the iterative process with the reconditioning matrix B converges significantly

faster. The iteration convergence factor q2 is expressed as

M1
1 1
1 =M1

q2 D D : (3.54)

M1 C
1 1 C
1 =M1

the iterative process with B D E. Consequently, the introduction of the reconditioning

matrix B accelerates the simple iteration method.

Reconditioning can also be used in the other iterative processes considered above

in a similar manner.

It is noteworthy that, in some cases, the matrix B turns out to be fairly easy to

choose. For example, one can take B to be the matrix consisting of the diagonal

elements of A. This often suffices for the improvement of the convergence of the

iterative process.

3.7 Exercises

1. Construct examples of ill-conditioned and well-conditioned systems of linear alge-

braic equations in two and three unknowns. Analyze their conditionality and carry

out regularization for the ill-conditioned systems.

2. Prove that the condition det A D " 1 is insufficient for the matrix A to be

ill-conditioned and, conversely, the condition det A 1 is insufficient for A to be

well-conditioned. Give counterexamples.

3. Prove that the condition number of a positive definite matrix A D BT B equals the

square of that of the matrix B. Use the definition of the norm of A.

158 Chapter 3 Methods for solving systems of algebraic equations

is also semi-positive definite.

5. Analyze the convergence of the Seidel method with the matrix A having a diagonal

prevalence in columns:

n

X

qjaij j > aij ; i D 1; : : : ; n; q < 1:

i¤j D1

0 1 0 1

1 0:5 0 2

A D @0:5 1 0:4A ; b D @1A

0 0:4 2 1

7. A bar made of a nonlinear elastic material with the stress-strain diagram D

E." C "0 /1=2 is subjected to the tensile stress D 10 E"0 . Can the tensile strain

be determined using: 1) the simple iteration method; 2) the Newton–Raphson

method?

8. By the secant method, determine the tensile strain of a bar subjected to the tensile

stress D 18 if the material stress-strain diagram in dimensionless variables is

given by

´

"; " 1I

D

2 1="; " > 1:

x1 C x2 D 1;

x1 C .1 C "/x2 D 1; " 1:

Show that the system is ill-conditioned and determine the parameter at which the

convergence rate of the iterative process is optimal. Verify this with a numerical

analysis for the initial approximation x1.0/ D 0:8, x2.0/ D 0 with " D 0:1. Compare

with the exact solution.

Section 3.7 Exercises 159

x1 C x2 D 5;

x1 C x2 C 0:01.x2 /2 D 5

by the simple iteration method. Determine the value of the parameter at which

the iterative process is convergent. Find the number of iterations required to obtain

.0/ .0/

a solution accurate to 104 with the initial approximation x1 D 0:9 and x2 D 0.

11. Solve the nonlinear system of equations

.x1 /2 C .x2 /2 D 1;

x1 C x2 D 0:1

by the secant method and the modified Newton method in the half-plane x1 > 0.

Compute the first five successive approximations with the initial approximation

p

x1.0/ D x2.0/ D 2=2. Evaluate the accuracy of the resulting solution. Compare

the solutions obtained by the two methods with the exact solution.

12. Consider a nonlinear elastoviscous bar with the following constitutive equation

in dimensionless variables:

@ @"

D ˛. /n :

@t @t

Solve the problem of stress relaxation by the implicit Euler method on the time

interval t 2 Œ0; 3 with the initial condition j tD0 D 1.

Solve the arising system of algebraic equations using the Newton–Raphson method

by partitioning the time interval into l D 3; 5; 7 subintervals with ˛ D 10, n D 5,

and tmax D 3.

Chapter 4

systems of differential equations

problems. Stable and unstable algorithms

Chapter 2 discussed the solution of initial value (Cauchy) problems for ordinary dif-

ferential and partial differential equations. However, continuum mechanics mostly

deals with boundary and initial-boundary value problems.

This section discusses the solution of boundary value problems. First, consider the

simplest problem for a second-order ordinary differential equation.

Numerical solution of a two-point boundary value problem for a second-order or-

dinary differential equation is associated with certain difficulties, although analyti-

cal solution may be fairly straightforward. Even though the original boundary value

problem is well-conditioned, not every solution algorithm has the property of being

well-conditioned and stable with respect to small perturbations. This may lead to a

rapid accumulation of rounding errors and inadequate solution of the problem.

First, consider the solution of a boundary value problem for a constant coefficient

differential equation with a large parameter a2

1. Suppose it is required to solve

the following problem on the interval x 2 Œ0; 1 :

y D C1 cosh ax C C2 sinh ax

with

By satisfying the boundary conditions of (4.1), one obtains a system of two equations

for determining the arbitrary constants C1 and C2 , thus arriving at the solution to

problem (4.1) in the form

Y1 Y0 cosh a

y.x/ D Y0 cosh ax C sinh ax:

sinh a

Section 4.1 Numerical solution of two-point boundary value problems 161

sinhŒa.1 x/ sinh ax

y.x/ D Y0 C Y1 D A.x/Y0 C B.x/Y1 : (4.2)

sinh a sinh a

Let us analyze its behavior at large values of the parameter a

1. Find A.x/ and

B.x/ as a ! 1:

sinhŒa.1 x/

A.x/ D lim D 0; x 2 .0; 1 ; A.0/ D 1I

a!1 sinh a

sinh ax

B.x/ D lim D 0; x 2 Œ0; 1/; B.1/ D 1:

a!1 sinh a

It is apparent that A.x/ and B.x/ are discontinuous at the endpoints x D 0 and x D 1

as a ! 1. Figure 4.1a illustrates the solution to the boundary value problem (4.1)

for a

1. The coefficients A.x/ and B.x/ of Y0 and Y1 in (4.2) are bounded as

a ! 1 for any x 2 Œ0; 1 , and hence the solution to problem (4.1) is stable. A small

perturbation in Y0 or Y1 leads to a small deviation in the solution y.x/; the error does

not increase even though the solution changes rapidly near the endpoints and forms

boundary layers or edge effects (Figure 4.1a). This phenomenon also arises in more

complicated systems of equations with small parameters as coefficients of the highest

derivatives.

y y

Y1 Y2

Y0

Y1

0 1 x 0 1 x

(a) (b)

1. (b) Two linearly independent

solutions to a Cauchy problem that lead to an ill-conditioned system of equations.

To solve the boundary value problem (4.1) numerically, one can take advantage of

the method of initial parameters. The method involves searching for two linearly

162 Chapter 4 Methods for solving boundary value problems for systems of equations

independent particular solutions each satisfying two conditions at the left endpoint:

1 (4.3)

2/ y2 .0/ D 0; y20 .0/ D 1 H) y2 D sinh ax:

a

Then, by using a linear combination of the two solutions, one satisfies the boundary

conditions (4.1) at both the left and right endpoints:

2

X y.0/ D C1 y1 .0/ C C2 y2 .0/ D Y0 ;

yD Ci y i ; (4.4)

iD1

y.1/ D C1 y1 .1/ C C2 y2 .1/ D Y1 :

and C2 :

Y0 y2 .1/ Y1 y2 .0/ 1

C1 D ; lim C1 D D Y0 I

y1 .0/y2 .1/ y1 .1/y2 .0/ a!1 1

Y0 y1 .1/ Y1 y1 .0/ 1

C2 D ; lim C2 D D Y1 :

y1 .0/y2 .1/ y1 .1/y2 .0/ a!1 1

Since y1 .1/ ! 1 and y2 .1/ ! 1 as a ! 1 (Figure 4.1b), none but absolutely

precise calculations can satisfy the boundary conditions as a!1: lima!1 C1 D Y0

and lima!1 C2 D Y1 . With any approximate calculations, an arbitrarily small devi-

ation ıy1 .0/ or ıy2 .0/ can result in an arbitrarily large error, since one has to obtain

finite values C1 O.1/ and C2 O.1/ using linear combinations of infinitely large

numbers.

A solution to system (4.4) is constructed in terms differences of the solutions y1 and

y2 at x D 1. However, y1 and y2 are both large numbers as a

1. Consequently,

C1 and C2 will be determined by the “tails” of y1 and y2 , which are affected by

rounding errors and other small perturbations. The leading parts of the large numbers

are canceled out when subtracted, and hence the solution will be highly dependent on

rounding errors rather than the real physical conditions of the problem.

It is clear that such an approach to calculating C1 and C2 is unsatisfactory. The

algorithm of the initial parameter method relies on obtaining two linearly independent

solutions to Cauchy problems, which results in an ill-conditioned problem for a

1.

Indeed, the matrix A of system (4.4) is

y .0/ y2 .0/

AD 1 :

y1 .1/ y2 .1/

Its eigenvalues are expressed as

y1 .0/ C y2 .0/ y1 .0/ C y2 .0/ 2 1=2

1;2 D ˙ y1 .0/y2 .1/ y2 .0/y1 .1/ :

2 2

Section 4.2 General boundary value problem for systems of linear equations 163

Since it follows from (4.3) that y1 .0/ y0 .0/ O.1/ and y1 .1/ y0 .1/ O.e a /,

we have

1 1=2

1;2 D O.e a / ˙ ŒO.e 2a / C O.ea / 1=2 D O.ea / ˙ 1 C O.e a / :

2

Hence, 1 D O.ea / and 2 D O.1/ and so the condition number of problem (4.4) is

C D O.e a /.

Consequently, since the Cauchy problems for the second-order equation with a

1 lead to a rapidly increasing solution of the order of O.ea /, it should not be included

in the numerical algorithm for the boundary value problem, because this results in

an unsatisfactory numerical solution for large a. Of course, if a O.1/, the initial

parameter method provides a reasonably accurate solution to the boundary value prob-

lem, since the matrix of system (4.4) will have a good condition number, C D O.1/,

in this case.

Thus, neither the initial parameter method nor any other method based on numer-

ically solving Cauchy problems can provide a good numerical solution for second-

order differential equations of the form (4.1) with large a. This, for example, also

holds true for the shooting method (see Section 4.3), where the second condition at

x D 0 in (4.3) is varied until the other condition at the right endpoint x D 1 is met.

The original boundary value problem (4.1) with large a2

1 belongs to the class

of the so-called stiff problems, whose numerical solution is associated with certain

difficulties; overcoming these difficulties calls for adequate special methods to be

used.

equations

A similar situation can also arise in the general case when solving a boundary value

problem for a linear system of nonhomogeneous differential equations with variable

coefficients:

du

D A.x/ u C a.x/; 0 x 1; (4.5)

dx

where u.x/ and a.x/ are n-dimensional vector functions A.x/ is an n n matrix.

In general, boundary conditions can be written as

The general solution to (4.5), as follows from the theory of linear ordinary differ-

ential equations, is expressed as

n

X

u.x/ D u0 .x/ C Ci ui .x/; (4.7)

iD1

164 Chapter 4 Methods for solving boundary value problems for systems of equations

where u0 .x/ a particular solution to the nonhomogeneous system and ui .x/ are n

linearly independent solutions to the homogeneous system (4.5) with a.x/ D 0 and

any homogeneous linearly independent boundary conditions of the form (4.6) with

f D 0.

Problem (4.5)–(4.6) is nondegenerate and has a unique solution, provided that the

determinant of the system matrix obtained from (4.6) by substituting the solution

of (4.7) for the unknowns Ci is nonzero.

A solution to this general problem can be obtained numerically by the method of

initial parameters, in a similar manner to the case of a second-order equation consid-

ered above, by reducing it to solving n C 1 Cauchy problems.

First, one uses a numerical method for Cauchy problems, e.g., the Euler method, to

find a particular solution u0 .x/ satisfying the zero initial conditions u.0/ D 0. Then,

one finds n particular solutions ui to Cauchy problems for the homogeneous system

of equations (4.5) with a.x/ 0 that satisfy the conditions

ui .0/ D li ; i D 1; : : : ; n;

tuting the resulting solutions into (4.7) and then (4.6), one solves system (4.6) for

the constants Ci . The condition number of the resulting matrix will be large and the

problem ill-conditioned if, amongst the solutions ui .x/, there are rapidly increasing

solutions. This is the case when some of the eigenvalues of the matrix A.x/ satisfy

the condition Re i C , with C

1, just as in solving the second-order equation.

If there are no such i , the problem is well-conditioned and this approach is adequate.

nonlinear equations

A two-point boundary value problem for an nth-order system of nonlinear equations

is stated in the same manner as for linear equations with the only exceptions that the

linear functions in equation (4.5) are replaced with nonlinear ones.

Suppose it is required to solve a system of equations of the form

du

D f.u; x/; x0 x x1 ; (4.8)

dt

with the general nonlinear boundary conditions

Section 4.3 General boundary value problem for systems of nonlinear equations 165

The shooting method is based on reducing the problem to a multiple solution of a

Cauchy problem.

To obtain a solution u.x/ to the Cauchy problem for an nth-order system, one spec-

ifies an initial condition: u.x0 / D ˛. Let u.x; ˛/ denote the corresponding solution.

To determine the parameters ˛, one uses the boundary conditions of the original

problem (4.9) to obtain the following system of n nonlinear equations for ˛:

F .˛/ D Ĺ u.x0 ; ˛/; u.x1 ; ˛/ D Ĺ ˛; u.x1 ; ˛/ D 0: (4.10)

Equation (4.10) is solved iteratively with the rough initial approximation ¸.0/ . The

successive approximations ¸.k/ are determined by, for example, Newton’s method

from .k/ .k/

˛.kC1/ D ˛.k/ F 1 ¸ ˛ F ˛ : (4.11)

The iterations are performed until the condition k˛.kC1/ ˛.k/ k " is satisfied to

obtain ˛./ . For this value, one calculates u.x; ˛./ /, the solution to the boundary

value problem (4.8)–(4.9).

Needless to say, the above approach has at least the same drawbacks as those

pointed out in solving stiff linear equations, which arise due to the reduction of the

original boundary value problem to Cauchy problems, apart from additional difficul-

ties associated with the nonlinearity.

Another solution method is based on reducing the original boundary value problem

for a system of nonlinear equations to a boundary value problem for a system of linear

equations. Suppose it is required to solve the system of equations

dy

D f.y; x/ (4.12)

dx

defined on an interval 0 x L and subject to the general nonlinear condition

F y.0/; y.L/ D 0; (4.13)

where y.x/, f.y; x/, and F.y.0/; y.1// are n-dimensional vector functions, y.0/ D ˛

is a p-vector (p < n), and y.L/ is an .n p/-vector.

The initial approximation y0 .x/ will be chosen so that it is as close to the actual

solution of the problem (4.12)–(4.13) as possible.

Let us linearize equation (4.12) about y0 .x/:

(4.14)

y00 .x/ C ıy0 D f.y0 .x/; x/ C fy .y0 ; x/ıy:

166 Chapter 4 Methods for solving boundary value problems for systems of equations

zero right-hand side for ıy, where fy is the Jacobian matrix of the function f.y/.

The boundary conditions are also linearized:

F y0 .0/ C ıy.0/; y0 .L/ C ıy.L/ D 0;

F y0 .0/; y0 .L/ C Fy0 .0/ y0 .0/; y0 .L/ ıy.0/ C Fy0 .L/ y0 .0/; y0 .L/ ıy.L/ D 0:

(4.15)

for ıy0 .0/ and ıy0 .L/ similar to (4.6). Problem (4.14)–(4.15) is solved in the same

way as problem (4.5)–(4.6).

Once ıy.x/, and hence y1 .x/, has been determined, the procedure is repeated: one

looks for

ary value problems (4.14)–(4.15). In the literature, this method is known as the quasi-

linearization method. The convergence of the method depends on how well the ini-

tial approximation y0 .x/ is chosen. To this end, the parameter continuation method

together with the immersed boundary method initial approximation and used in the

numerical solution of nonlinear solid mechanics problems by the parameter loading

method [51].

differential equations by the sweep method

As follows from the preceding discussion, in order to obtain an adequate numerical

solution to a stiff boundary value problem, one needs an algorithm that would not

involve the integration of Cauchy problems in the direction of rapid increase of the

function. This can be achieved by using the sweep method.

To illustrate the application of the sweep method, consider the general second-order

equation

ˇ

y 0 D ˛0 y C ˇ0 ˇxD0 ;

ˇ (4.17)

y 0 D ˛N y C ˇN ˇxD1 ;

Section 4.4 Solution of boundary value problems by the sweep method 167

The first condition, at x D 0, continued to every point x of the interval Œ0; 1 deter-

mines a family of integral curves of equation (4.16). This family satisfies a linear

first-order equation that can be written as

where ˛.x/ and ˇ.x/ are unknown functions to be determined from equation (4.16).

Relation (4.18) can be treated as the transfer of the boundary condition at x D 0 to

any point of the interval 0 x 1, including the right endpoint x D 1. Substitut-

ing (4.18) into (4.16) yields equations for ˛.x/ and ˇ.x/:

p.x/ F .x/

y 00 D ˛ 0 y C y 0 ˛ C ˇ 0 D ˛ 0 y C ˛ 2 y C ˇ˛ C ˇ 0 D yC :

" "

Equating the coefficients of y and the free terms with zero, one obtains two differential

equations for ˛.x/ and ˇ.x/:

p.x/

˛0 C ˛2 D ; ˛.0/ D ˛0 I (4.19)

"

".ˇ 0 C ˛ˇ/ D F .x/; ˇ.0/ D ˇ0 : (4.20)

The initial conditions in (4.19)–(4.20) follow from condition (4.17) at x D 0. The so-

lution algorithm for the boundary value problem (4.16)–(4.17) involves the following

stages.

1. Solving the Riccati equation (4.19) gives the function ˛.x/.

3. With ˛.x/ and ˇ.x/ known, one obtains y.x/ from (4.18) to arrive at the additional

boundary condition at the right endpoint x D 1

system of two equations for y.1/ and y 0 .1/.

The forward sweep suggests the integration of the equations for ˛.x/ and ˇ.x/ from

left to right.

4. With y.1/ known, one integrates equation (4.18) from right to left. This is the

so-called backward sweep.

Thus, the boundary value problem (4.16)–(4.17) is reduced to three Cauchy problems

for three first-order equations (4.19), (4.20), and (4.18).

Note that the solution of the Cauchy problem for the second-order equation (4.16)

with two obtained conditions at right endpoint x D 1 in the backward direction is

168 Chapter 4 Methods for solving boundary value problems for systems of equations

inadequate, since the problem contains a rapidly increasing solution in the integration

direction.

Let us justify the well-posedness of the solution for all three Cauchy problems; the

idea is to perform the integration in the direction of decreasing solution, so that the

error can only decay with x.

2

˛ 0 .x/ C ˛ 2 .x/ D ; ˛.0/ D ˛0 ; 2 D p.x/ > 0: (4.22)

"

For a constant p.x/ D 2 , equation (4.22) admits the exact solution

j˛0 j > 1=2 ; ˛.x/ D 1=2 coth 1=2 x C C1 ;

" " "

j˛0 j < 1=2 ; ˛.x/ D 1=2 tanh 1=2 x C C2 ; (4.23)

" " "

1 C ˛0 "1=2 1 C ˛0 "1=2

C1 D ln > 0; C2 D ln < 0:

2 C ˛0 "1=2 2 ˛0 "1=2

coth z

tanh z

α0 0 x0 1 x

α0

x0 0 1 x κε– 1/2

(a) (b)

the behavior of ˛.x/ changes: in the first case, ˛.x/ increases, while in the second

case, it decreases staying nonnegative, ˛.x/ 0, for all x (Figure 4.2a). Let us

prove that the error ı˛.x/ decays. Indeed, ı˛.x/,which is the error of the solution

Section 4.4 Solution of boundary value problems by the sweep method 169

b) The solution to the second problem, (4.20), decays with x for ˛.x/ 0; hence,

the error also decays.

c) The third equation, (4.18), is integrated in the direction of decreasing x; for

˛.x/ 0, the quantities y.x/ and ıy.x/ both decrease.

II. Now suppose that ˛0 0. Then, since j˛0 j ="1=2 , the second expression

in (4.23) is valid; this situation is shown in Figure 4.2b. We have

˛.x/ D 1=2 tanh 1=2 C C2 ; where 1=2 < ˛0 0:

" " "

The point of intersection x0 of the curve ˛.x/ with the x-axis is to the right of zero,

and hence ˛.x/ is negative on the interval 0 x x0 ; the error ı˛.x/ will be

increasing here. Let us estimate this increase:

Rx

ı˛ 0 .x/ C 2˛.x/ ı˛.x/ D 0; ı˛ D ı.0/e 2 0 ˛.x/ dx

:

Let us evaluate the integral in the argument of the exponential:

Z x0 Z x0 p ˇ

1 C ˛0 " ˇˇx0

˛.x/ dx D p coth p x C C2 ln coth p x ln p ˇ

0 0 " " " 2 ˛0 " 0

D ln q

2 ˛02 "

with

ı˛.x0 / 2 1

D D exp 2 ln q D 2 2

D ˛0 2 1; " 1:

ı˛.0/ 2 ˛2 " "˛0 1 "

0

It follows that ı˛.x/ is little different from ı˛.0/. Problems are possible only if

˛0 1=2 ; this, however, contradicts the original assumption that all parameters of

"

the problem but " are O.1/. On the remaining portion of the interval, x0 x 1, we

have ˛.x/ > 0, and hence the error ı˛.x/ decays, as was shown above. It is clear that

the same holds true for the errors ıˇ.x/ and ıy.x/ as well. This completes the proof

of the well-posedness of the sweep method for solving the two-point boundary value

problem (4.16)–(4.17).

170 Chapter 4 Methods for solving boundary value problems for systems of equations

Now let us consider the finite difference approximation of a boundary value problem

for an arbitrary second-order equation and extend the sweep method to the solution of

difference equations.

A finite difference approximation for any second-order ordinary differential equa-

tion with smooth coefficients

the general form

an un1 C bn un C cn unC1 D fn ; (4.24)

which is only valid for internal points, n D 1; : : : ; N 1 of the interval x 2 Œ0; 1 ,

with the boundary conditions

x D 0; u0 D '; x D 1; uN D ; (4.25)

with a tridiagonal matrix; this system can be solved using the sweep method in the

form of recurrence relations.

A first integral of equation (4.24) (the analogue of equation (4.18)) can be written

as

un D LnC 1 unC1 C KnC 1 (4.26)

2 2

where LnC 1 and KnC 1 are coefficients to be determined from equation (4.24). The

2 2

initial values LnC 1 and KnC 1 are found from the boundary conditions (4.25):

2 2

n D 0; u0 D L1=2 u1 C K1=2 :

n D 1; a1 .L1=2 u1 C K1=2 / C b1 u1 C c1 u2 D f1 ;

c1 u2 f1 K1=2 a1

u1 D C ;

a1 L1=2 C b1 a1 L1=2 C b1

with

c1 f1 K1=2 a1

L3=2 D ; K3=2 D ;

a1 L1=2 C b1 a1 L1=2 C b1

:: :: (4.27)

: :

cn fn Kn1=2 an

LnC1=2 D ; KnC1=2 D :

an Ln1=2 C bn an Ln1=2 C bn

Section 4.4 Solution of boundary value problems by the sweep method 171

Formulas (4.27) for the coefficients are finite difference analogues of equations (4.19)

and (4.20). The forward sweep suggests that the coefficients LnC1=2 and KnC1=2

are calculated by formulas (4.27). The backward sweep suggests that all un are de-

termined from unC1 using formula (4.26). For n D N 1, it follows from (4.26)

that

One can see that the more general boundary conditions (4.17) result in a system of

two equations at x D 1 for the unknowns uN and uN 1 . Once the system has been

solved, the backward sweep can be started.

For countable stability, it follows from the maximum principle (see Section 4.5), in

the special case of a single variable, that the conditions

must hold. In this case, the rounding error will not increase.

Just as the Gauss method, the sweep method is based on factorization. The latter is

essentially an implementation of the Gauss method in the form of explicit recurrence

formulas resulting from a simpler, tridiagonal form of the matrix A of the system of

difference equations (4.24) [46].

It may seem that the sweep method is only suitable for solving boundary value

problems for second-order ordinary differential equations. However, this is not so;

solving this kind of problems is an integral part of the analysis of a wide class of

problems for partial differential equations. A few examples will be considered below

to illustrate this [168].

Consider the following initial-boundary value problem for the one-dimensional heat

equation:

x D 0W u.0; t / D .t /;

@u @2 u

D 2 2 ; x D 1W u.1; t / D .t /; (4.29)

@t @x

t D 0W u.x; 0/ D u0 .x/:

@u

Approximating the function u.x; t / with discrete values un .x/ in t and replacing @t

unC1 .x/un .x/

with , one arrives at the system of N second-order ordinary differential

equations in x

nC1

2 d 2 u.x/

unC1 .x/ D un .x/; n D 1; : : : ; N;

dx 2

172 Chapter 4 Methods for solving boundary value problems for systems of equations

t

n+1

τ

n

k–1 k k+1 h

0 1 x

Figure 4.3. Scheme of the sweep method for unsteady heat conduction equations.

By choosing the simplest implicit scheme for the equation of (4.27), one obtains

nC1

uknC1 unk 2

ukC1 2uknC1 C uk1

nC1

D ;

h2

2 nC1 2 nC1 2 nC1

u 1 C 2 uk C 2 uk1 D unk : (4.30)

h2 kC1 h2 h

For a fixed n, equation (4.30) and boundary conditions (4.29) have the form (4.24)–

(4.25) and can be solved successively for each time layer n C 1, with the solution for

layer n known (Figure 4.3), by the difference sweep method (4.26)–(4.27).

It is clear that the countable stability conditions (4.28) for the coefficients of equa-

tion (4.30) are satisfied.

equations

4.5.1 Poisson’s equation

We now proceed to difference equations for boundary value problems described by

elliptic equations. The simplest elliptic equation is Poisson’s equation

@2 u @2 u

C D f .x; y/; (4.31)

@x 2 @y 2

Section 4.5 Solution of boundary value problems for elliptic equations 173

conditions can have one of the following three forms (s 2 @/:

@u

von Neumann conditions: D '.s/I (4.33)

@n

@u

mixed conditions: a.s/ C b.s/u D '.s/: (4.34)

@n

@

Here @n indicates a derivative with respect to the outward normal to the contour @

of the domain ; a.s/, b.s/, and '.s/ are functions defined on @.

Furthermore, different types of boundary conditions can be set on different portions

of the surface @.

Perform a finite difference approximation of problem (4.31)–(4.34). For simplic-

ity, introduce a square grid with step size h and cover the domain with this grid.

Introduce a grid function u.xk ; ym / D uk;m defined at the grid nodes .k; m/ with

k D 0; 1; : : : ; K and m D 0; 1; : : : ; M .

(k, m + 1)

1 internal nodes

(k, m)

boundary nodes

(k – 1, m) (k + 1, m)

0 1 (k, m – 1)

(a) (b)

Figure 4.4. (a) A rectangular grid for the solution of the discrete Poisson equation (boundary

value problem, first-order approximation). (b) A five-point stencil.

With the simplest five-point stencil, the second derivatives in equation (4.31) can

be approximated by second-order central finite differences (Figure 4.4) to obtain

ukC1;m 2uk;m C uk1;m uk;mC1 2uk;m C uk;m1

uk;m D 2

C D fk;m :

h h2

(4.35)

Equation (4.35) is only defined at the nodes of the stencils that lie completely within

the domain .

To simplify the approximation of the boundary conditions, we assume the domain

to be rectangular. For example, let us approximate condition (4.34) by a left unilateral

174 Chapter 4 Methods for solving boundary value problems for systems of equations

m+1

b

h

h

k k+1

h x

–

2

a h

–

2

Figure 4.5. Arrangement of nodes on the boundary to provide a second-order accurate solu-

tion to a boundary value problem.

u0;m u1;m

a0;m C b0;m u0;m D '0;m ;

h

m D 0; 1; : : : ; M: (4.36)

uK;m uK1;m

aK;m C bK;m uK;m D 'K;m ;

h

The boundary conditions at y D 0 and y D l will be approximated likewise.

The order of approximation of the difference equation (4.31) is O.h2 / and that of

the boundary conditions is only O.h/. In order to obtain second-order approximation

for the boundary conditions as well, one should extend the grid by h=2 in both x

and y and introduce outer nodes along the contour @ as shown in Figure 4.5. The

approximation in, for example, x should be taken in the form

u1;m u0;m u1;m C u0;m

a1=2;m C b1=2;m D '1=2;m (4.37)

h 2

where the quantities labeled with k D 12 coincide exactly with the corresponding

values at the contour x D 0. The solution u.x; y/ is assumed to have four continuous

derivatives, which requires the function f .x; y/ to have two continuous derivatives

in and the function ' to be continuous on @.

It is noteworthy that general irregular finite-element meshes [168, 89] are used to

solve elliptic continuum mechanics equations for complex-shaped domains.

Section 4.5 Solution of boundary value problems for elliptic equations 175

The stability of the finite difference scheme (4.35)–(4.37) can be proved based on the

maximum principle valid for the elliptic differential equation (4.31). It follows from

the maximum principle that the value of a harmonic function at a point .x; y/ is equal

to its average taken along a circumference centered at .x; y/. The maximum principle

is also valid for the finite difference approximation (4.35).

Consider the second-order elliptic ordinary differential equation

2

X

@ @u

a.˛/.x/ C q.x/u D f .x/; x 2 : (4.38)

˛

@x˛ @x˛

The finite difference approximation (4.38) on a rectangular grid with step size h˛

along the coordinate x˛ (˛ D 1; 2) is given by

.1/ ukC1;l uk;l .1/ uk;l uk1;l

Qh .u/ D akC1;l ak;l

h1 h1

.2/ u k;lC1 u k;l .2/ u k;l uk;l1

C ak;lC1 ak;l C qk;l xk;l uk;l

h2 h2

D fk;l ; (4.39)

where

ak;lC1 D a.xk ; ylC1 0:5h2 /; f .xk ; yl / D fk;l :

N1

X

Qh .uk;l / D Auk;l C B.xk;l ; /u./; (4.40)

D1

where is the node number in the stencil N1 obtained from the full stencil N by

removing the central point .k; l/.

The coefficients A and B satisfy the conditions

N1

X

A.x/ > 0; B.x/ > 0; C.x/ D A B.x; / > 0; x 2 : (4.41)

D1

The maximum principle for the solution to the difference equation (4.40) reads: if

the grid function uh satisfies the homogeneous boundary conditions uh .xi / D 0,

xi 2 @, and f .xi / 0 or f .xi / 0), then u.xi / 0 (u.xi / 0) and maximum of

juh .xi /j or, respectively, minimum of juh .xi /j is attained at the boundary (xi 2 @).

The convergence of the finite difference schemes (4.39)–(4.40) can also be proved

using the maximum principle.

176 Chapter 4 Methods for solving boundary value problems for systems of equations

Let us prove that if .u/k;m > 0 at all internal nodes, then maxk;m uk;m is attained

at a boundary node.

1

uk;m < uk1;m C uk;m1 C uk1;mC1 C uk;mC1 : (4.42)

4

One can see that the value of the grid function at an internal point is indeed less than

the average value at the nodes of the circumscribed circle.

Likewise, from the condition .u/k;m < 0 one concludes that min uk;m is attained

at the boundary.

In the theory of partial differential equations, the solution to the Dirichlet prob-

lem for Poisson’s equation is found, based on the maximum principle, to satisfy the

estimate

1

kuk k'k C R2 kf k; (4.43)

4

where kuk D max.x;y/2 juj, R is the radius of the circle embracing the domain ,

and f and ' are the functions that appear on the right-hand sides of equation (4.31)

and boundary conditions (4.32)–(4.34).

A similar estimate, uniform in the grid step size h, can be obtained for the difference

equation (4.35):

1

kukh k'k C R2 kf k; (4.44)

4

where kukh D maxk;m juk;m j.

The estimate (4.44) means that the solution to the difference equation (4.35) is

continuously on the right-hand side, provided that condition (4.32) holds. It follows

that the solution is stable and convergent with the convergence order equal to the

approximation order:

where uk;m is the solution to the difference equation, Uk;m is the projection of the

exact solution onto the grid node .k; m/, C1 is an upper bound for the normal deriva-

tive of U.x; y/ at the boundary, and C2 is an upper bound for the fourth derivatives

of U.x; y/.

It follows from the difference equation (4.35) that a diagonal entry of the matrix of

system(4.35) is no less, in absolute value, than the sum of absolute values of all off-

diagonal entries. This property follows from the maximum principle and is called

Section 4.5 Solution of boundary value problems for elliptic equations 177

diagonal domination. This is a very important property and one usually tries to ensure

it when constructing finite difference schemes, including those for more complicated

equations, e.g., the equation with a mixed derivative

nine-point stencil

1

.uxy /k;m D u kC1;mC1 u kC1;m1 u k1;mC1 C uk1;m1

4h2

results in an equation whose entries are shown in Figure 4.6(a). It is apparent that di-

agonal domination is violated with this approximation. In Figure 4.6(b), the derivative

1 1

––

4

1 –

4

1 –4 1

1 1

– 1 ––

4

4

(a)

–1 1 1 1

+ =

1 –1 1 –4 1 1 –3

1 1

(b)

Figure 4.6. Stencils for approximating the mixed second derivative: (a) with violation of

diagonal domination and (b) without violation of diagonal domination.

is approximated with first-order accuracy using the four points connected by arrows.

There is diagonal domination and the stencil consists of only four nodes. The entries

are calculated as the sum of entries for Poisson’s equation with a five-point stencil

and, for the mixed derivative, with the stencil marked by arrows.

One should be warned that the absence of diagonal domination is not sufficient for

the scheme to be unstable.

178 Chapter 4 Methods for solving boundary value problems for systems of equations

The sweep method can be extended to the solution of elliptic problems. Let us demon-

strate this for Poisson’s equation. Consider the von Neumann problem for the rectan-

gular domain shown in Figure 4.4:

@u (4.47)

boundary condition: D S.x; y/ u C q.x; y/; .x; y/ 2 @:

@n

Let us introduce a rectangular grid with nodal coordinates .m; n/ and adopt the

notation

m D 1; 0; 1; : : : ; M; n D 1; 0; 1; : : : ; N:

system inFigure 4.5. The internal nodes with coordi-

nates xm D m C 12 h and yn D n C 12 k are shown as open circles. A nodal value

u.xm ; yn / is denoted umn . The outer nodes are h=2 and k=2 away from the rectangle

boundaries and are shown as solid circles; these correspond to nodes .1; M / and

.1; N / in the x- and y-directions, respectively.

Problem (4.47) is described by the difference equations at the internal nodes

umC1;n 2um;n C um1;n um;nC1 2um;n C um;n1

C D fm;n ;

h2 k2 (4.48)

m D 0; 1; : : : ; M 1; n D 0; 1; : : : ; N 1:

The number of these equations is MN . The ultimate equations involve the values at

fictitious outer nodes with m D 1; M and n D 1; N . Let us represent the bound-

ary conditions (4.47) using central differences at boundary nodes, with the derivative

taken along the outward normal to the boundary contour @.

The boundary conditions at the straight lines x D 0 and x D a are expressed as

8

ˆ u1;n u0;n u0;n C u1;n

< D S.0; yn / C q.0; yn /;

h 2 n D 0; 1; : : : ; N 1:

:̂ uM;n uM 1;n D S.a; yn / uM;n C uM 1;n C q.a; yn /;

h 2

(4.49)

The boundary conditions at y D 0 and y D b are

8

ˆ um;1 um;0 um;0 C um;1

< D S.xm ; 0/ C q.xm ; 0/;

h 2 m D 0; 1; : : : ; M 1:

:̂ um;N um;N 1 D S.xm ; b/ um;N C um;N 1 C q.xm ; b/;

h 2

(4.50)

The number of equations in (4.49) equals 2N and the number of equations in (4.50)

equals 2M , since no equations are required for corner points. The problem has

Section 4.5 Solution of boundary value problems for elliptic equations 179

2.M C N /, equals the number of unknowns, ˛ D ˇ.

Let us introduce the N -vectors

um .um;0 ; : : : ; um;N 1 /; m D 1; 0; 1; : : : ; M;

Q0 .q0 ; : : : ; qN 1 /; qn D q.0; yn /

QM .q0 ; : : : ; qN 1 /; Qn D q.a; yn /;

whose components are only the values of functions at internal nodes. The values of

functions at the nodes shown by solid circles in the y-direction are not involved into

these vectors. Then conditions (4.49) at x D 0 and x D a rewritten in vector form as

u1 u0 u1 C u0

DA C Q0 ;

h 2

uM uM 1 uM C uM 1

DB C QM ;

h 2

where A and B is diagonal matrices.

At the outer nodes, the unknowns in the y-direction for vectors u1 and uM . All in

all, there are M C 2 vectors. Equation (4.48) involves three components of the vec-

tor um and one component of umC1 and um1 each. Let us represent equation (4.48)

in matrix form. To this end, the quantities um;1 and um;N , which do not enter um ,

must be eliminated from (4.48) using the equations of (4.50) at y D 0 and y D b:

um;1 um;0 um;1 C um;0

D S.xm ; 0/ C q.xm ; 0/;

k 2

um;N um;N 1 um;N C um;N 1

D S.xm ; b/ C q.xm ; b/:

k 2

Then

1 C k2 S.xm ; 0/ 0k

qm

um;1 D um;0 C ;

1 k2 S.xm ; 0/ 1 k2 S.xm ; 0/

1 C k2 S.xm ; b/ Nk

qm

um;N D um;N 1 C :

1 k2 S.xm ; b/ 1 k2 S.xm ; b/

Substitute these expressions in the equations of (4.48) that contain y-direction nodes

to obtain

h2

m um;nC1 2.1 m m

n /um;n C n um;n1

C n D fm;n Fmn ; (4.51)

k2

180 Chapter 4 Methods for solving boundary value problems for systems of equations

where n D 0; : : : ; N 1. Furthermore,

´ ´

m 1; 0 n N 2; 0; n D 0;

n D nm D

0; n D N 1; 1; n > 0;

8 8

ˆ 1C k2 Sm0 0

ˆ 21 k S 0 ; n D 0;

ˆ ˆ

ˆ qm ; n D 0;

ˆ

ˆ ˆ

ˆ k 0

< 2 m < k 1 2 Sm

m

n D 0; 0 < n N 2; F D 0; 0 < n N 2;

ˆ

ˆ ˆ

ˆ

ˆ k N

ˆ 1C 2 Sm ˆ N

:̂ ; n D N 1: :̂ qmk N

; n D N 1:

k N k 1 2 Sm

2 1 2 Sm

The only equations that have an irregular form are those with n D 0 and n D N 1.

Let us rewrite equations (4.51) in matrix form. Equations (4.51) involve the vectors

um1 , um , and umC1 , one component of each of the first and third vector, and three

components (um;n1 , um , and um;nC1 ) of the second vector um . In matrix form,

equations (4.51) become

1

u mC1 2B m u m C u m1 C dm D 0;

h2

where 2Bm is a tridiagonal matrix of the form

0 h2 2 1

1C.1
m 0 / k2 kh2 0 0 0 0

B 2 h2 h2 C

B kh2 1C.1
m 1 / k2 k2 0 0 0 C

2Bm D B C

@ A

2 h2

0 0 0 0 hk2 1C.1
m /

N 1 k 2

Thus, we have arrived at the system of equations

u1 u0 u1 C u0

DA C Q0 ;

h 2

umC1 2Bm um C um1 C dm D 0; m D 0; : : : ; M 1; (4.52)

uM uM 1 uM C uM 1

DB C Q0 :

h 2

The system of M C 2 matrix equations (4.52) is solved by the sweep method. Fol-

lowing the scheme that was used in the case of a scalar equation, one transfers the

system of boundary conditions at x D 0 to the right end x D a by using the interme-

diate integral

u1 D K1=2 u0 C l1=2 :

If follows from the first equation in (4.52) that

E A E A

u1 D C u0 C Q 0 :

h 2 h 2

Section 4.5 Solution of boundary value problems for elliptic equations 181

Hence,

1 1

E A E A E A

K1=2 D C ; l1=2 D Q0 :

h 2 h 2 h 2

Then we have

umC1 2Bm um C Km1=2 um C lm1=2 C dm D 0;

um D KmC1=2 umC1 C lmC1=2 ;

with

mC1=2 .lm1=2 C dm /:

and uM C1 :

uM 1 D XM 1=2 uM C yM ;

E B 1 E B E B 1

uM C1 D C uM C C QN :

h 2 h 2 h 2

The well-posedness of the matrix sweep follows from the condition that kXm k 1;

for details, see [46].

The solution of problem (4.47) by matrix sweep requires M C1 inversions of N N

matrices instead of solving the system of a D N N C 2.M C N / equations by the

Gauss method. It is clear that, with matrix sweep, the gain in the number of operations

is no less than that with scalar sweep.

Let us now proceed to efficient solution methods for the system of grid equations

obtained.

The systems of linear algebraic equations resulting from finite difference approx-

imations of elliptic differential equations (4.39) have certain specific features. The

number of equations is usually very large, being equal to the number of grid nodes

involved. The system matrix is rather sparse, with a large number of zero entries, and

has a banded structure, with diagonal entries and relatively few off-diagonal entries.

Such systems should be solved using special rather than standard methods of lin-

ear algebra, designed to exploit the specific features of the systems. In particular,

Fourier’s method of separation of variables is rather efficient and very common in

solving simple second-order equations of mathematical physics of the form (4.38). A

similar method applies to finite difference approximations of these equations (4.39).

182 Chapter 4 Methods for solving boundary value problems for systems of equations

To illustrate the method, let us consider the example of the Dirichlet problem for Pois-

son’s difference equation (4.35) on a rectangular domain with zero boundary condi-

tions:

uD0 for .x; y/ 2 @;

0 x l1 ; 0 y l2 for .x; y/ 2 :

After separating the variables, one arrives at the following eigenvalue problem for

a second-order difference equation in x:

k k

N .x/ k v .x/ D 0;

vxx v0 D 0; vN D 0; (4.53)

where

v.x C h; y/ v.x; y/ v.x; y/ v.x h; y/

vx D ; vxN D ;

h h

vx vxN

vxx

N D ;

h

with vx being the right, vxN left, and vxx

N second difference derivative with respect

to x.

The solution to equation (4.53) is sought in the form v D v0 exp.i kx/. With this

expression, one arrives at the eigenvalues and eigenfunctions

s

4 2 kh1 .k/ 2 kx

k D 2 sin ; v .x/ D v0 sin ; (4.54)

h1 2l1 l1 l1

k D 1; : : : ; N 1;

where h1 is the grid step size in x and h2 is that in y.

The solution uh .x; y/ to equation (4.35) will be sought in the form of a decompo-

sition in the eigenfunctions v .k/ .x/:

N

X 1

uh .x; y/ D v .k/ .x/w .k/ .y/; (4.55)

kD1

where w .k/ .y/ is the solution to the nonhomogeneous equation in y with zero bound-

ary conditions, which can be determined from the system of difference equations

1 .k/ .k/ .k/

wmC1;n 2wm;n C wm1;n .k/ wm;n

.k/

D f .k/ .ym;n / (4.56)

h2

.k/ .k/

under the conditions w0;n D 0 and wN2 ;n D 0, with f .k/ .y/ being Fourier coeffi-

cients of the right-hand side of Poisson’s equation:

N

X 1

.k/

f .y/ D f .y; x/v .k/ .x/h1 : (4.57)

kD1

Section 4.6 Stiff boundary value problems 183

So the Fourier method involves finding the eigenvalues and eigenfunctions of the

difference problem in x (the coefficients are independent of x), calculating the Fourier

coefficients by formula (4.57), and determining the coefficients w .k/ in the decompo-

sition (4.55) by solving the boundary value problem (4.56) with the scalar sweep

method. The Fourier coefficients (4.57) are calculated using the efficient numerical

algorithm of fast Fourier transform, where the computational cost is proportional to

number of operations q D O.N1 N2 log N1 /. See [116, 39].

For problems with constant coefficients, one can use the Fourier transforms in both

x and y, performing a decomposition in the eigenfunctions of the two-dimensional

difference operator Lh .x; y/.

Numerical solution of elliptic equations represents a well developed section of

computational mathematics, which is used for the solution of continuum mechan-

ics problems by the finite element method. The finite element method has lately been

given preference over the finite difference method, especially in studying problems

for three-dimensional domains of complex geometry [56, 58].

4.6.1 Stiff systems of differential equations

Section 4.4 discussed the solution of a stiff boundary value problem for a second-

order linear differential equation. The difficulties of the problem were analyzed and

a method was outlined for overcoming the difficulties. Let us now generalize the

method to the case of stiff boundary value problem for systems of linear differential

equations.

Suppose there is a general system of linear equations

du

A.x/ u D a.x/: (4.58)

dx

The boundary conditions are prescribed in the form

li ; u.0/ D ˛i at x D 0 .i D 1; : : : ; k; k < n/;

(4.59)

li ; u.b/ D ˛i at x D b .i D k C 1; : : : ; n/;

where i is the boundary condition number; the parentheses denote the scalar product

of vectors. Suppose there are k boundary conditions at the left endpoint and n k

conditions at right endpoint of the interval Œ0; b . The vectors u, li , and ¸ belong to

the n-dimensional vector space Rn . For simplicity, the matrix A will be considered

constant, although all subsequent manipulations remain valid for A D A.x/ as well,

provided that the entries of A.x/ are slowly varying functions.

184 Chapter 4 Methods for solving boundary value problems for systems of equations

Definition 4.1. System (4.58) will be called stiff if the spectrum of the matrix A can

be subdivided into three characteristic parts, as shown in Figure 4.7, satisfying the

conditions

Re i L; i D 1; : : : ; k

.negative stiff/;

Re C

i L; i D 1; : : : ; k C .positive stiff/; (4.60)

ji j < l; i D 1; : : : ; m .soft/;

where k C C k C m D n.

λi– –l l λi+

0

–L L

This subdivision is quite conditional, because there may be no clear borders be-

tween the spectral parts. What is important is that there are subranges of positive

and negative eigenvalues where the condition bL

1 holds, with bl O.1/. The

quantity b is the length of the integration interval. Accordingly, the general solution

to equation (4.58) can also be decomposed into three parts:

k kC m

X X C X

u.x/ D ci !

i e

i x C ci !C

i e

i x

C ci !i e
i x ; (4.61)

iD1 iD1 iD1

where !C

i , !i , and !i are eigenvectors of the matrix A corresponding to the respec-

tive eigenvalues C

i , i , and i of the three different part of the spectrum.

We will consider the class of boundary value problems (4.58)–(4.59) that have a

bounded solution:

ku.x/k C ka.x/k C k¸k : (4.62)

The right-hand side contains the norms of the right-hand sides of equation (4.58) and

boundary condition (4.59).

It should be emphasized that this class of boundary value problems has the specific

feature that the general solution (4.61) contains rapidly growing components with

exp.Lb/

1 but the solution to the boundary value problem does not have such

components: u.x/ O.1/. The solutions to some of the boundary value problems

may not satisfy the boundedness condition (4.62) if the spectrum of the matrix A

meets the conditions (4.60). Accordingly, some problems (4.58)–(4.59) may not be

adequately solvable by numerical methods.

Whether a problem is adequately solvable or not depends on the number of bound-

ary conditions (4.59) at the left and right endpoints of the interval as well as on the

Section 4.6 Stiff boundary value problems 185

relation between this number and the number of stiff points lying in the left and right

parts of the spectrum.

The inequalities

1/ k k ; 2/ n k k C (4.63)

are necessary conditions for adequate solvability of problem (4.58)–(4.59).

The number of boundary conditions at the left endpoint, k, must be no less than the

number of rapidly decaying solutions with increasing x, and the number of boundary

conditions at the left endpoint, n k, must not be less than the number of decaying

solutions with decreasing x. Indeed, if at least one of these conditions is not met, then

there is a nonzero solution satisfying k homogeneous conditions at the left endpoint

and decaying with increasing x while satisfying the nonhomogeneous boundary con-

ditions. Then the integration of this solution will be from right to left, in the direction

of rapid increase, which will result in a rapid growth of a small perturbation [39].

Recall that a similar situation occurred in the integration of a second-order equation

by the method of initial parameters (Section 4.4) and led to an ill-conditioned system

of algebraic equations at the other endpoint; the solution of this system resulted in

a loss of accuracy due to the reduction in the number of significant digits when two

large numbers, close in value, were subtracted from each other. However, the original

boundary value problem (4.1) or (4.16)–(4.17) was adequately solvable and satisfied

condition (4.63).

Let R .x/ denote the family of solutions (4.58) satisfying the k left boundary condi-

tions (4.59) alone. This manifold represents, for fixed x, a linear .n k/-dimensional

subspace of the n-dimensional space Rn .x/ of all solutions (4.58). Likewise, let

RC .x/ denote the family of solutions satisfying the n k right boundary conditions

alone, representing a k-dimensional subspace of Rn .x/.

An explicit expression of R .x/, for example, can be obtained as follows:

(i) Find a particular solution of the nonhomogeneous equation (4.58) that satisfies

the nonhomogeneous boundary conditions (4.59). To this end, one finds a vector

u0 .0/ 2 Rn solving k left linear equations in (4.59). With the initial values u0 .0/,

one solves the Cauchy problem for equation (4.58) and finds u0 .x/.

(ii) Find n k linearly independent solutions ui .x/, i D 1; : : : ; n k, to the homoge-

neous equation (4.58) that satisfy the homogeneous left boundary conditions (4.59).

Solve n k Cauchy problems subject to the initial conditions at the left end and

satisfying the system of k equations

li ; ui .0/ D 0; i D 1; : : : ; k;

186 Chapter 4 Methods for solving boundary value problems for systems of equations

with the mth vector um .0/, m D 1; : : : ; n k, extended so that all its components

um

kC1

.0/; : : : ; um

n .0/ are zero except for ukCm .0/ D 1:

m

‚ …„ ƒ

m

u .0/ D u1 .0/; : : : ; uk .0/; 0; : : : ; 0; 1; 0; : : : ; 0 ; m D 1; : : : ; n k:

„ ƒ‚ …

nk

The vector manifold R .x/ will be explicitly represented by the following sum:

nk

X

R .x/ D u0left.x/ C Cm u m

left .x/: (4.64)

mD1

n

X

C

R .x/ D u0right .x/ C Ci uiright .x/; (4.65)

iDnkC1

where um i

left .x/ satisfies the conditions at the left endpoint and uright .x/, at the right

endpoint, with Ci being arbitrary constants.

The intersection of the two manifolds gives the solution to the original problem

(4.58)–(4.59):

Problem (4.58)–(4.59) can be solved this way as long as the spectrum of the ma-

trix A is not stiff. This approach represents a generalization of the method of initial

parameters discussed above in Section 4.1 as applied to solving a single second-order

equation.

Obviously, this algorithm can be implemented numerically. By equating the ex-

pressions of the manifolds R .x / and RC .x / at some point x D x , one obtains a

system of n equations for n arbitrary constants Ci (i D 1; : : : ; n). However, it cannot

be directly used to solve stiff problems, since the cause of an ill-condition system of

equations – the integration of the Cauchy problems for rapidly increasing functions in

the direction of growth – has not been eliminated. Outlined below is an approach that

allows one to overcome this difficulty.

Manifolds of the form (4.64)–(4.65) consist of solutions to individual Cauchy prob-

lems involving components that grow rapidly to both left and right, eLx and e Lx .

As noted above, such components make the algorithm of initial parameters ill condi-

tioned. At the same time, the manifolds R˙ .x/ themselves are stable, provided that

the adequate solvability conditions (4.63) are satisfied. For example, if the right-hand

Section 4.6 Stiff boundary value problems 187

sides ˛i of the equations in (4.59) are perturbed by small quantities ı˛i , the manifold

R .x/ will also change by a small quantity ıR .x/:

1.

Therefore, an adequate numerical method should be designed so as to deal with the

stable manifolds R .x/ and RC .x/ rather than individual Cauchy problems. How

can this be done in practice?

In order to construct the manifold R .x/, which represents an r-dimensional hy-

perplane (r D n k) in the space Rn .x/, one should choose a point u0 and a basis

of r linearly independent vectors e1 , . . . , er in this hyperplane. Then R .x/ is a set

points u 2 Rn given by

r

X

u.x/ D u0 .x/ C Ci ei .x/; (4.66)

iD1

where Ci are arbitrary constants. The method for the determination of u0 and ei .x/

was described above. But the whole point is that the basis ei .x/, which is initially,

at x D 0, chosen to be orthogonal and so determines the manifold R .0/ very well,

gets deteriorated (squashed) as the integration with respect to x is performed – the

angles between vectors rapidly decrease and the basis degenerates and so the manifold

is determined in an unstable way, with small perturbations in the initial conditions

rapidly growing and leading to large errors ıu. The basis degeneration can be dealt

with by performing regular reorthogonalization.

As we have seen above, the appearance of unstable components in the manifold

R .x/ is due to not only large values of i but also products i b (b is the length of the

integration interval). The basis becomes deteriorated as soon as e
i x become large,

where x is the length of the integration interval measured from the point at which

the previous reorthogonalization was performed. Therefore, by choosing a sufficiently

small x, one can keep the basis close to an orthogonal one. By reorthogonalizing the

basis after each such x, one can have a fairly good basis on all integration interval

Œ0; b .

This is the idea behind the orthogonal sweep method in the sense of S. K. Go-

dunov [46]. It should be emphasized that with this approach, one deals with the

manifold R .x/, its basis ei .x/, and solution u0 .x/ rather than individual uncon-

nected Cauchy problems on a large integration interval, as was the case in the method

of initial parameters.

Below we describe the whole algorithm of orthogonal sweep step by step. Rewrite

the boundary equations (4.59) in terms of the new variables. Let us introduce a

complete system of orthonormal vectors l i .0/, i D 1; : : : ; n, by supplementing the

orthogonal system of k-vectors li .0/ appearing in the left conditions of (4.59) to a

complete orthogonalized system as specified above. Rewriting the k left conditions

188 Chapter 4 Methods for solving boundary value problems for systems of equations

of (4.59) in terms of l

i .0/, we get

li .0/; u0 .0/ D ˛i ; i D 1; : : : ; k: (4.67)

unk .x/, with u0 .x/ denoting the solution to the nonhomogeneous equation (4.58).

Let

k

X

u0 .0/ D ˛ i l

i .0/

iD1

define the initial conditions. Then conditions (4.67) are met. The other n k vec-

tors uj .x/ are determined by the following Cauchy data for the homogeneous system:

uj .0/ D l

nCj .0/; j D 1; : : : ; n k:

Then, for arbitrary Ci , expression (4.64) gives all solutions to system (4.58) that sat-

isfy the left boundary conditions and represents R .x/ as

nk

X .1/

R.1/ .x/ D u0 .x1 / C Cj uj .x1 /

j D1

kAk D L 0:1 to 1:

Let us replace R .x/ with a new representation by orthonormalizing the system of

vectors u1 .x1 /, . . . , unk .x1 / to obtain l.1/ .1/

1 .x1 /, . . . , lnk .x1 /. The new representa-

tion of the same hyperplane at x D x1 is

nk

X .1/

R .x1 / D u0 .x1 / C Cj lj .x1 /:

j D1

After this, instead of the solution to the nonhomogeneous problem, u0i .x1 /, which

represents a point on the hyperplane R .x/, one can find another point, uO 0 .x1 /, that

would be closer to the desired solution than u0 .x1 /, so that the distance is reduced

to O.1/:

nk

X

0 0 .1/ .1/

uO .x1 / D u .x1 / u0 .x1 / lj lj : (4.68)

j

Since, during the integration over the interval 1 , the point u0 .x1 / has slightly de-

viated from the actual position of the hyperplane R .x/, each step of the algorithm

Section 4.7 Exercises 189

must begin with restoring the orthonormality of the basis and returning the point to a

new position on the hyperplane.

Once this has been done, the computational procedure is repeated for the new in-

terval 2 .

Simultaneously, the similar process of integration from right to left can be carried

out. This is done in order to reduce the interval for the integration from both left to

right and right to left. As a result, R .x/ and RC .x/ are transferred to the midpoint

x D l=2. Equating R .x / with RC .x /, one finds the only point of intersection

of the two manifolds. This results in n linear equations for determining n arbitrary

constants Cj :

nk

X nk

X

uO 0 .x / C Cj uj .x / D uO 0C .x / C CjC ujC .x /: (4.69)

j D1 j D1

Note that the position of x can be changed, thus obtaining different systems of equa-

tions (4.69), whose solutions must differ little from one another with adequate com-

putations. By comparing the different solutions, one can verify the accuracy of the

solution obtained.

Once the constants of integration has been calculated from (4.64)–(4.68), one finds

the desired solution on the whole integration interval. This solves the boundary value

problem (4.58)–(4.59) completely.

Stiff problems arise in studying mechanical processes dependent on several scales

very different from each other. For example, a problem can involve a macroscale L

and a microscale l, associated with the material structure, with l=L 1. Also,

in studying thin-walled structures, where the body thickness h is much less than its

length L, we have h=L 1. In time-dependent problems, the characteristic times

of simultaneously occurring processes can be very different, resulting in the appear-

ance of a small parameters =t 1. Stiff problems form an extremely broad class

of problems in mechanics; their adequate solution by numerical methods is utterly

important [1].

4.7 Exercises

1. Construct a fourth-order approximation scheme for the Dirichlet problem for Pois-

son’s equation using a 3 3 nine-point stencil. The approximation should be given

without expanding the stencil.

Hint: express the fourth mixed derivative with respect to x and y in the remainder

with the aid of Poisson’s equation.

Using central difference, we have (˛ D 1; 2, x1 D x, x2 D y)

uiC1 2ui C ui1 @2 u h2 @4 u

D C C O.h4˛ /: (4.70)

h2˛ @x˛2 12 @x˛4

190 Chapter 4 Methods for solving boundary value problems for systems of equations

Hence,

LD 2

C

h˛ h2˛

h2 @4 u @4 u

D u C C 4 C O.h4˛ /: (4.71)

12 @x 4 @y

Using the original equation u D f , we finds that

@4 u @4 u @2 f @4 u @4 u @2 f

D C ; D C :

@x 4 @x 2 @y 2 @x 2 @y 4 @x 2 @y 2 @y 2

Substituting these expressions into the right-had side of (4.71) yields

4

h2 @ u h2 @2 f @2 f

L D u C C ;

12 @x 2 @y 2 12 @x 2 @y 2

.xx/ .xx/ .xx/

.xxyy/

ƒi;j C1 2ƒi;j C ƒi;j 1

ƒi;j D ;

h2

where ƒ.xx/ denotes the second central difference with respect to x.

By writing out the mixed derivative using a 3 3 stencil, one obtains a fourth-order

scheme.

2. Construct a finite difference scheme with diagonal domination for the equation

1

ƒxy D 2

ukC1;mC1 uk;mC1 ukC1;m C uk;m

2h

1

D 2 uk;m uk;m1 uk1;m C uk1;m1 :

2h

3. Construct a finite difference scheme for the biharmonic equation u D f using

the 13-point stencil shown in Figure 4.9.

4. Solve the two-point boundary value problem

y 00 D 10y 3 C 3y C x 2 ; 0 x 1;

y.0/ D 0; y.1/ D 1;

of the initial value y 0 .0/. Write a code for solving the Cauchy problem. Find a

y 0 .0/ at which the condition at the right endpoint is satisfied to within 1%.

Section 4.7 Exercises 191

1 1 1 1

1 ––

2

–

2

–

2

–

2

+ =

1 1 1 1

1 –4 1 ––

2 1 ––

2

–

2 –3 –

2

1 1 1 1

1 –

2 ––

2

–

2

–

2

Figure 4.8. Sum of stencils of the main scheme and second mixed derivative.

(k, m + 2)

(k, m)

(k – 2, m) (k + 2, m)

(k, m – 2)

5. Solve the boundary value problem from Exercise 4 by the finite difference method.

Solve the resulting nonlinear system of algebraic equations by an iterative method.

Take a linear function between the boundary values to be the initial approximation.

Obtain the sequence of solutions for n D 3; 7; 15, where n is the partition number

of the interval Œ0; 1 . Plot the graphs of successive approximations.

y 00 D .1 C e y /; 0 t 1;

y.0/ D 0; y.1/ D 1;

by the finite difference method. Solve the resulting nonlinear system of algebraic

equations by an iterative method. Obtain the sequence of solutions for n D 7; 15,

where n is the partition number of the interval Œ0; 1 . Plot the graphs of successive

approximations.

192 Chapter 4 Methods for solving boundary value problems for systems of equations

7. The curve of a horizontally stretched rope is described by the system of four non-

linear ordinary differential equation

y10 D cos.y3 /;

y20 D sin.y3 /;

cos.y3 / sin.y3 / jsin.y3 /j

y30 D ;

y4

y40 D sin.y3 / cos.y3 / jcos.y3 /j;

is the angle between the tangent to the rope and the horizontal line, y4 .t / is the

stress in the rope, and t (0 t 1) is the arc length of the curve.

With the finite difference method, find the curve of the rope under the boundary

conditions

0 1 0 1

0 0:75

B0C B 0 C

y.0/ D B C

@0A ; y.1/ D B@ 0 A:

C

1 1

8. With the shooting method, determine the curve of the rope (see Exercise 7) under

the boundary conditions

0 1 0 1

0 0:85

B0C B0:50C

y.0/ D B C

@0A ; y.1/ D B@ 0 A:

C

1 1

9. The deflection of a horizontal beam, simply supported at both ends and loaded by a

longitudinal and a transverse force is described by the second-order equation with

variable coefficients

y 00 D .t 2 1/ y; 1 t 1;

y.1/ D 0; y.1/ D 0:

The eigenvalues and eigenfunctions of the problem determine the frequencies and

vibration modes of the beam. Using a finite difference discretization, obtain an

algebraic problem for determining eigenvalues and eigenvectors.

Section 4.7 Exercises 193

10. Compose the equations of extension of an elastic bar with varying cross section

S D S0 ex= l . Solve the resulting equations by the sweep method with the bound-

ary conditions u.0/ D u0 and u.l/ D u1 . Young’s modulus of the bar is E D

2 105 MPa, its length is l D 20 cm, S0 D 1 cm2 , and u0 D u1 D 2 102 cm.

11. Solve the problem from Exercise 10 where the bar is acted upon by tensile forces

P D 1 MPa applied at the ends. Show that the solution is nonunique and de-

termined up to the displacement of the bar as a rigid body. Specify additional

boundary conditions in order to uniquely determine the displacement.

12. With the shooting method, determine the displacement field in an elastic bar of

length 2l. The cross-sectional area of the bar on 0 x l is variable, S D

S0 e x= l . Young’s modulus is constant: E D E0 . On l < x 2l, the cross-

sectional area is constant, S D S0 e 1 , while Young’s modulus varies according

to the law E D E0 ex= l . The bar is extended with a constant speed v D v0 with

v0 D 1 cm/hour and the other parameters being the same as in Exercise 10. The

other end of the bar is fixed.

13. The Lamé equilibrium equation for an axisymmetric tube subjected to an internal

pressure is

d 2 ur 1 dur ur

2

C 2 D 0:

dr r dr r

The stress boundary conditions are given by

ˇ ˇ

r r ˇr Db D p; r r ˇr Da D 0;

where b is the inner radius and a is the outer radius of the tube. The tube material

is elastic, E D 2 105 MPa, D 0:3, p D 20 MPa, a D 5 cm, and b D 2 cm.

Approximate the equations by a second-order finite difference scheme using a five-

cell uniform grid. Rewrite the boundary solutions via the displacements and ap-

proximate the derivatives with unilateral differences. Solve the resulting system of

difference equations by the sweep method.

14. Show that the sweep method is equivalent to the factorization1 of the tridiagonal

matrix of the equation Au D f into upper and lower triangular matrices B and C:

A D BC; Bv D f; Cu D v;

where B and C are bidiagonal matrices; the solutions of the above systems of

equations correspond to forward and backward sweep.

Chapter 5

5.1.1 Longitudinal vibrations

Consider the problems of longitudinal vibration of linear media reducible to a single

wave equation dependent on a single space coordinate:

@2 y 2

2@ y

D c : (5.1)

@t 2 @x 2

For example, this equation describes longitudinal vibration of an elastic bar or an elas-

tic layer of finite thickness, acoustic vibration of gases, elasto-magnetic waves, and

many other phenomena, which have different physical nature but are mathematically

equivalent.

Suppose the initial conditions y.0; x/ D f1 .x/ and y 0 .0; x/ D f2 .x/ are pre-

scribed, where f1 .x/ and f2 .x/ are some functions. There are no boundary condi-

tions; instead, the periodicity condition y.0; x/ D y.0; x l/ must hold.

Introduce the new variables

@y @y

D v; c Dw

@t @x

to arrive at the equivalent system of equations

@y @w @w @v

Dc ; Dc : (5.2)

@t @x @t @x

The wave equation (5.1) can be approximated by the difference equation

D c2 ; (5.3)

t 2 x 2

where .ı 2 y/jn is the second central difference at the point .t n ; xj /, t is the step size

in t , and x is the step size in x.

198 Chapter 5 Wave propagation problems

vjnC1 vjn wjnC1=2 wjn1=2

Dc

t x (5.4)

wjnC1

1=2

w n

j 1=2 vjnC1 vjnC1

1

Dc

t x

By setting

vjn D .yjn yjn1 /=t; wjn1=2 D .yjn yjn1 /=x

one obtains (5.3).

Although the derivative with respect to x in the second equation is taken at the

upper layer, the finite difference scheme remains explicit, since v nC1 is calculated by

an explicit formula from the first equation. The spectral radius of the transformation

matrix for system (5.4) is determined from

t jx

. 1/v 2cw i sin D 0; p

x 2 i D 1: (5.5)

t jx

. 1/w 2cv i sin D 0;

x 2

The determinant of the system matrix must vanish for system (5.5) to have a non-

zero solution:

t jx

. 1/2 C ˛ 2 D 0; where ˛ D 2c sin :

x 2

If ˛ 2 4, both roots are equal in magnitude: j1;2 j D 1. It follows that the Courant

condition ct =x 1 is a necessary stability condition for the scheme (5.5). In

order to determine whether the von Neumann condition is sufficient, it is required to

calculate the transformation matrix G. In this case, the equation relating uO nC1 to uO n

(see Section 2.6) is

H1 uO n D H0 uO n ; uO nC1 D H1 O n D G uO n

1 H0 u

It follows from (5.5) that the matrices H0 and H1 are expressed as

1 i˛ 1 0

H0 D ; H1 D

0 1 i ˛ 1

The transformation matrix G is then

1 i˛

GD (5.6)

i˛ 1 ˛2

The matrix G is not normal and so the von Neumann criterion does not give a suf-

ficient stability condition (see Section 2.6). The theory of stability of finite differ-

ence schemes has a theorem that provides another sufficient condition for conver-

gence [147].

Section 5.1 Linear vibrations of elastic beams 199

and the absolute value of the their Gram determinant, , is bounded by a positive

constant, > c > 0, then the von Neumann condition is sufficient for stability.

Let us apply this theorem to the matrix (5.6). The eigenvectors of the transformation

matrix are determined from the equation

u

GUi D i Ui i D 1; 2; Ui D

v

with

2 2

ˇ ˇ ct jx ct

D D ˇdet.U1 ; U2 /ˇ D 1 sin2 1

x 2 x

it follows that the von Neumann condition is not only necessary but also sufficient for

the stability of the scheme (5.4), provided that c t =x < 1. If c t =x D 1, the

scheme is unstable.

System (5.2) can be approximated with the implicit scheme

c t nC1

vjn1 vjn D wj C1=2 wjnC1

1=2

C wjnC1=2 wjn1=2

2 x (5.7)

c t nC1

wjn1 n

1=2 wj 1=2 D vj vjnC1 n n

1 C vj vj 1 ;

2 x

which is equivalent to the following second-order finite difference scheme for a single

wave equation:

D c2 :

.t /2 4.x/2

The Fourier transform of the equations in (5.7) gives the system

t jx

. 1/v ci sin . C 1/w D 0;

x 2

(5.8)

t jx

. 1/w ci sin . C 1/v D 0:

x 2

The eigenvalues of the transformation matrix G can be found by equating the de-

terminant with zero:

2 ˛2 ˛ 2 1

2 1 1C C 1 D 0:

4 4

200 Chapter 5 Wave propagation problems

j1;2 j D 1; (5.9)

!1 ! 0 1

1˛ 2 =4 i˛

1 ˛i 1 ˛i

1C˛ 2 =4 1C˛ 2 =4 A

G D H1

1 H0 D

2 2

D @ :

˛i

˛i

2 1 2 1 1i˛ ˛ 2 =4

1C˛ 2 =4 2

1C˛ =4

It is clear that G is a unitary matrix and, hence, is normal; consequently, the scheme

(5.7) is unconditionally stable in the sense of von Neumann.

The resulting system of equations (5.7) is reduced to a system with a tridiagonal

matrix, whose solution can be efficiently obtained with the sweep method, the same

way as in Section 4.4 for the heat equation.

The equation of flexural vibration of thin elastic beams at small deflections y, based

on the assumptions that the cross-sections remain plane and cross-section rotational

inertia can be neglected, is reduced to the fourth-order equation [172]

@2 y @2 @2 y

2 D 2 EI 2 ; (5.10)

@t @x @x

where is the density per unit length, E is Young’s modulus, and I is the cross-

sectional area moment or inertia with respect to the neutral axis of the beam.

Assuming , E, and I to be independent of x, one can rewrite equation (5.10) in

the form

@2 y 4

2@ y EI

2

D a 4

a2 D : (5.11)

@t @x

The bending moment M and shear force Q are given by

@2 y @ @2 y

M D EI 2 ; QD EI 2 : (5.12)

@x @x @x

The boundary conditions can have different forms, depending on the type of fixation

of the beam ends. For example, for a simply supported beam of length l, the deflection

and bending moment are zero at both ends:

x D 0W y D 0; @2 y=@x 2 D 0I

(5.13)

x D lW y D 0; @2 y=@x 2 D 0:

tion, one represents equation (5.11) as a system of two second-order equations for

Section 5.1 Linear vibrations of elastic beams 201

@v @2 w @w @2 v

D a 2 ; D a 2: (5.14)

@t @x @t @x

The boundary conditions (5.13) can be equivalently replaced by the conditions of

skew symmetry and 2l periodicity:

Then the solution can be assumed to be defined on the entire x-axis and to satisfy an

initial value problem (see Figure 5.1).

y

–2l –l l 2l x

Proof. Let us prove that the boundary conditions (5.13) follow from (5.15). Differentiat-

ing (5.15) with respect to x, we find that the second derivatives and, hence, w also satisfy the

conditions

w.x; t / D w.x; t /; w.x C 2l; t/ D w.x; t /: (5.16)

From the first conditions in (5.15) and (5.16) it follows that

y D w D 0 at x D 0:

Now let us substitute x C l D in the second conditions of (5.15) and (5.16) and set D 0 to

obtain, taking into account that the functions y and w are odd,

It follows that

yDwD0 at x D l:

This proves the desired statement. In other words, the problem with the boundary condi-

tions (5.13) and that with conditions (5.15)–(5.16) have the same solutions. Consequently,

proving that a finite difference scheme for the initial boundary value problem with condi-

tions (5.13) is stable is reduced to proving the stability of the corresponding scheme for the

Cauchy problem with the periodicity conditions (5.15). The proof can be performed using the

standard spectral method.

202 Chapter 5 Wave propagation problems

Let us evaluate the right-hand side of the first equation in (5.14) at the nth layer and

that of the second equation, at the upper, .n C 1/st time layer to obtain

vjnC1 vjn .ı2 w/jn wjnC1 wjn .ı2 v/jnC1

D a ; Da ; (5.17)

t x 2 t x 2

where ı 2 wj D wj C1 2wj C wj 1 is the second central difference at the j th node.

Although the second derivative with respect to x in the second equation is evaluated

at the upper time layer, the scheme remain explicit, since v nC1 is first calculated by

the explicit scheme from the first equation and then, by the time when wjnC1 is to be

evaluated, .ı 2 v/jnC1 will already have been found.

The transformation matrix for the system of difference equations (5.17) is

1 ! t jx

GD ; where ! D 4a sin : (5.18)

! 1 ! 2 x 2 2

The spectral radius of G for j!j < 2 equals max jj D 1 and the von Neumann

stability condition is written as the inequality

t 1

a :

.x/2 2

The matrix G is not normal and so GG ¤ G G. Hence, further stability analysis

of the von Neumann condition is required.

Before proving the sufficient stability condition of the finite difference scheme (5.17),

we note that the scheme is equivalent to the difference equation

yinC1 2yjn C yjn1 2

.ı4 y/jn

D a ; (5.19)

t 2 x 4

which is analogous to the simpler, difference wave equation (5.3), which involves the

second finite difference with respect to x instead of the fourth one.

The sufficiency of the von Neumann condition for the transformation matrix (5.18)

of the finite difference scheme (5.17) is proved in very much the same way as for

system of wave equations (5.4) based on the same theorem (see page 199). The Gram

determinant for the matrix is

2

ˇ ˇ

ˇdet.U1 ; U2 /ˇ2 D 1 ! D 1 4 a t sin4 j x :

4 x 2 2

By virtue of the mentioned theorem, the von Neumann condition is sufficient provided

that

a t 1

< ;

x 2 2

which coincides with the necessary stability condition for the scheme (5.17).

Section 5.1 Linear vibrations of elastic beams 203

Proceed to analyze an implicit scheme for the transverse vibration equation for an

elastic beam. The scheme will be constructed in a similar manner to the difference

equations (5.7) by replacing the finite differences on the right-hand sides with appro-

priate second central differences:

D a ;

t 2x 2 (5.20)

nC1 nC1

wj wjn .ı2 v/j C .ı 2 v/jn

Da :

t 2x 2

The transformation matrix is obtained from similar equations to (5.8):

D 2

sin2 :

. 1/v . C 1/w D 0; x 2

The matrix G is

0 1

1 2=4

1C 2=4 1C 2=4 A

GD@ :

1 2=4

1C 2=4 2

1C =4

It is unitary; both eigenvalues are equal to 1 in absolute value for any . In addi-

tion, G is normal, with GGT D GT G, and so the von Neumann condition for the

scheme (5.20) is sufficient for stability. Hence, the implicit scheme is absolutely sta-

ble for any and has the second order of approximation in both t and x. This is

obvious from the equivalence of (5.17) and (5.19).

It is apparent from the analysis that the implicit scheme (5.20) has a significant ad-

vantage over the explicit scheme (5.17); the latter requires for its stability that t must

decrease as x 2 , which makes one increase the number of time steps considerably as

compared that following the solution accuracy requirements.

A disadvantage of the implicit scheme is that the system of equations (5.20) has to

be solved. The system can be rewritten as a matrix equation for the 2-vector Uj with

components vjnC1 and wjnC1 evaluated at three points, j C 1, j , and j 1:

Aj Uj C1 C Bj Uj C Cj Uj 1 D dj ; j D 1; 2; : : : ; J; (5.21)

where dj is a given vector, dependent on values of the functions at the nth time layer.

This equation can be solved with the inverse matrix sweep. The matrices Aj , Bj , and

Cj are expressed as

! !

0 at

12 x 2 1 at

x 2 :

Aj D Cj D 1 at ; Bj D at

2 x 2 0 x 2 1

204 Chapter 5 Wave propagation problems

The matrix sweep follows an algorithm similar to that outlined in Section 4.5,

where solution of elliptic equations is discussed, with n n matrices involved in

relations (5.21).

In the case discussed, the matrix coefficients are related by

B .A C C/ D E;

whence follow the boundedness of the matrix coefficients Lj and fj in the direct

sweep,

Uj D Lj Uj C1 C fj ;

and solvability of the system of equations at the right endpoint and, hence, well-

posedness of the matrix sweep algorithm.

If the equation of transverse vibrations of a beam is supplemented with a term associ-

ated with a compressive force T , it becomes

@2 y @2 @2 y @2 y

2 D 2 EJ 2 C T 2 (5.22)

@t @x @x @x

where the longitudinal force T is assumed constant along the beam length. By intro-

ducing new variable v and w in a similar way to (5.14),

1=2 1=2

@y @2 y @y EJ T

vD ; wDa 2

Cb with a D ; bD ;

@t @x @x

one arrives at the system of equations

@v @2 w @w @w @2 v @v

D a 2 C b ; Da 2 Cb : (5.23)

@t @x @x @t @x @x

It has been shown above that the implicit scheme is more efficient in solving trans-

verse vibration problems than the explicit one. For the case in question, the implicit

scheme is generalized as follows:

vjnC1 vjn D at C bt ;

2x 2 4x (5.24)

2 v/nC1 C .ı 2 v/n nC1

C .ıv/jn

.ı j j .ıv/j

wjnC1 wjn D at C bt ;

2x 2 4x

where ıv and ı 2 v are the first and second spatial finite differences, respectively. This

scheme differs from (5.20) in only that it contains first-order differences; therefore,

Section 5.1 Linear vibrations of elastic beams 205

this scheme is absolutely stable, just as (5.20). The system of algebraic equations

it generates has the same three-term structure and is solved by the matrix sweep

method. However, due to the longitudinal force term, certain difficulties can arise

in the sweep when b

1. This is because the problem essentially becomes hy-

perbolic when b

1 while being described by the wave equation, for which the

explicit scheme (5.17) is more suitable. For this reason, let us use an explicit scheme

analogous to the scheme (5.17) for transverse vibrations of a beam. In the problem

concerned, this scheme is

at 2 n bt

vjnC1 vjn D 2

.ı w/j C .ıw/jn ;

x 2x (5.25)

at 2 nC1 bt

wjnC1 wjn D .ı v/j C .ıv/jnC1 :

x 2 2x

The right-hand side of the second equation is evaluated at the upper, .nC1/st layer, as

before. In hyperbolic-hyperbolic problems with dissimilar elastic moduli, E1

E2 ,

and speeds, c1

c2 , the stability condition that holds for c1 will surely hold for c2

as well. This is not the case in parabolic-hyperbolic problems, and problem (5.22) is

one of them, if the scheme is implicit. In the parabolic-hyperbolic case, the stability

condition a t =x 2 < 1=2 at b D 0 changes to b t =x < 1 at a D 0.

For small a, large b, and finite x and t , the fact that the former condition holds

may not suffice for the latter to hold. This reveals the flaw of the theoretical concept

of asymptotic stability; one has to deal with practical stability, since one is interested

in the stability of a real grid rather than that with t ! 0 and x ! 0.

For practical stability, it is reasonable to require that the rate of increase in the

amplitude of any Fourier component should not exceed the maximum rate of increase

in the Fourier amplitudes of the exact solution. If the system is conservative, the

Fourier amplitudes of the exact solution remain constant. Let us require this to hold

for the difference equation as well. As a result, the von Neumann condition must

not contain an increasing i .t /, which is valid if 1 rather than 1 C O.t /

(see (2.65)).

For the coupled longitudinal and transverse bending system (5.25), the transforma-

tion matrix is obtained from that for transverse bending (5.18) by substituting ˇ for !,

with

4at jx t

ˇD 2

sin2 C ib sin jx;

x 2 x

so that

1 ˇ

GD : (5.26)

ˇ 1 jˇ2 j

The characteristic equation becomes

2 jˇ 2 j

2 1 C 1 D 0:

2

206 Chapter 5 Wave propagation problems

2

4at kx bt 2 2

sin4 C sin kx 4: (5.27)

x 2 2 x

By majorizing sin2 kx with 1, one arrives at the fairly simple practical stability

condition

2at 2 bt 2

C 1; or
2 C 2 1; (5.28)

x 2 2x

where
D 2at =x 2 and D bt =.2x/. In the coordinates .
; /, the practical

condition represents the equation of a circle. A more accurate analysis results in a less

restrictive condition: 2

C 2 1I (5.29)

2

see Figure 5.2.

ν Best practical

condition (5.29)

Condition μ ≤ 1

1.0

Best condition,

(μ/2) + ν ≤ 1,

obtained by the

energy method

0.5

Condition (5.28)

Condition μ + ν ≤ 1

0 0.5 1.0 μ

Figure 5.2. Stability conditions, obtained by different methods [147], for coupled longitudinal

and transverse vibrations for the finite difference scheme (5.24).

Consider the one-dimensional bending equation for a beam or plate suggested in [172].

The equation takes into account the effects of transverse shear and rotational inertia,

which are neglected in Kirchhoff’s theory. As a result, the system of equations of

motion becomes hyperbolic and can be written as

@2 y @ 1 @2 y

a 2 C D 2 2;

@x @x c @t

(5.30)

@2 12a @y 1 @2

2

2 C D 2 2;

@x h @x c @t

Section 5.1 Linear vibrations of elastic beams 207

where y is the transverse deflection of the plate or beam, is the angle of rotation of

the cross-section, and h is the plate/beam thickness. Furthermore,

E k 2 .1 /

c2 D ; aD ;

.1 / 2

coefficient dependent on the adopted distribution of shear stresses across thickness:

2=3 k 2 1 [172].

Let us introduce dimensionless variables: yN D y= l, D h= l, xN D x= l, and

tN D t c= l, where l is a characteristic length.

Eliminating from system (5.30) yields a fourth-order equation for the deflec-

tion y:

@4 yN 12a @2 yN 1 @y 4 1 @2 yN

C 1 C C D 0: (5.31)

@xN 4 2 @tN2 a @xN 2 @tN2 a @tN4

The nondimensionalized system (5.30) can be approximated by the following ex-

plicit finite difference scheme on the cross stencil:

a.D11 yN C D01 / D t t yN D 0;

12a (5.32)

D11 2 .D01 C / D t t yN D 0

where D00 , D01 , D11 , and D t t are finite difference operators defined as

1

D00 f D .fi1 C 2fi C fiC1 /;

4

1

D01 f D D10 f D .fiC1 fi1 /;

2 xN

1

D11 f D .fiC1 2fi C fi1 /;

N 2

.x/

1

Dt t f D .f nC1 2f n C f n1 /:

.tN/2

By eliminating from (5.32) and taking into account that

N 2

.x/

D01 D10 D11 D D11 D11 ;

4

one obtains

xN 2 12a 1 1

1 C 3a D11 D11 yN C 2 D t t yN 1 C D11 D t t C D t t D t t yN D 0:

a a

(5.33)

It becomes clear that the approximation of the original differential equation (5.31)

with the finite difference scheme (5.33) is conditional; furthermore, for small x,

208 Chapter 5 Wave propagation problems

the scheme (5.33) approximates a different equation than (5.31). Therefore, if using

the scheme (5.33) or (5.32), one has to constrain the step size so that x h, where

103 . Consequently, the above scheme cannot be efficient.

N 2 arises due to the standard approximation of the nondifferential

The term .x=/

term containing the rotation angle in the second equation in (5.32). If one replaces

the standard approximation with the averaged three-point expression D00 , then one

arrives at an unconditional approximation with respect to .x=/N 2 with the scheme

a.D11 yN C D01 / D t t yN D 0;

12a (5.34)

D11 2 .D01 yN C D00 / D t t yN D 0:

Eliminating N 2:

yields an equation that does not contain terms of the order of .x=/

12 1 1

D11 D11 yN C 2 D00 D t t yN 1 C D11 D t t C D t t D t t yN D 0: (5.35)

a a

An error analysis for the lowest natural frequency, most significant in studying

bending vibrations, leads to the results displayed in Figure 5.3.

δ,%

∆x/h = 2

∆x = 1

100

∆x/h = 1

50

4 5 6

2 3

∆x/h = 1

–50

0 5 10 15 L/h

Figure 5.3. Errors of the schemes (5.33) and (5.35) versus =, shown by dot-and-dash and

dashed lines, respectively.

It is apparent that the scheme (5.33), which does not contain averaging, has an

undecaying error for x= D const, while the error of the scheme (5.35) decays

rapidly with increasing = as x ! 0 ( is the wavelength).

It is noteworthy that, as h ! 0, Kirchhoff’s theory gives the same result Timo-

shenko’s theory. Thus, the scheme (5.35) reflects the properties of the original system

more adequately and allows using a far larger step size than the scheme without av-

eraging. Schemes with averaging can be obtained using a variational difference ap-

Section 5.2 Solution of nonlinear wave propagation problems 209

proach for the general case of transverse bending equations for plates and shells by

following Timoshenko’s theory [5].

5.1.9 Conclusion

For the numerical analysis of longitudinal waves in bars, it is most efficient to use

explicit schemes for which the Courant condition is necessary and sufficient for sta-

bility.

In transverse wave problems based on the plane cross-section hypothesis, explicit

schemes impose as stringent a condition on the temporal step size as in the case of

the diffusion equation and, therefore, are inefficient. The transverse wave problems

should be solved using implicit schemes, which are absolutely stable and enable one

to integrate difference equations efficiently, with a large temporal step size.

Coupled longitudinal and transverse waves are described by parabolic-hyperbolic

(P-H) equations. Depending on the relation between the bending and longitudinal

forces, such equations are most efficient to integrate using either explicit schemes

(if the longitudinal force magnitude is relatively small) or explicit schemes (if the

longitudinal force magnitude is close to a critical value corresponding to buckling).

The practical stability condition (5.29) should be used for explicit schemes.

the method of characteristics. One-dimensional

problems

5.2.1 Hyperbolic system of equations and characteristics

Consider the following general hyperbolic system of N equations in one space coor-

dinate x, solved for the time derivative vector:

@U.t; x/ @U.t; x/

C A.t; x; U/ D F.t; x; U/; (5.36)

@t @x

where U is an N -vector of unknowns, A is an N N matrix, F is the right-hand

side vector, which, just as A, can depend on the solution U. By the definition of a

hyperbolic system, all eigenvalues i of the matrix A must be real; to each i there

corresponds a left row vector !i .t; x; U/ D !i.1/ ; : : : ; !i.N / such that

!i A D i !i H) AT i E !i D 0; i D 1; : : : ; N: (5.37)

If the N eigenvectors are all linearly independent and form a basis, then the matrix A

can be diagonalized with the transformation

A1 D ƒ;

210 Chapter 5 Wave propagation problems

where ƒ is the diagonal matrix whose entries are the eigenvalues i of A and is

the matrix whose rows are the eigenvectors !i . If A is symmetric, the left and right

eigenvectors coincide, and hence D T .

Calculating the scalar products of (5.36) by the left eigenvectors !i and taking into

account (5.37), one can reduce the equations to the canonical form

@U @U @U @U

!i C i !i D !i F H) !i C i D !i F: (5.38)

@t @x @t @x

The expression in parentheses represents a derivative along the curve

dx

D i ; i D 1; : : : ; N:

dt

This curve is called a characteristic line or, simply, a characteristic. Let

d @ @

D C i

dt i @t @x

denote the operator of differentiation along the i th characteristic. Then the differential

relation

!i di U D !i F dt (5.39)

holds along the i th characteristic, where di U is the total differential of U along the

i th characteristic [30].

If A is constant, the vectors !i are also constant, and then (5.39) can be represented

in terms of Riemann invariants ri (no summation over repeated indices):

dri

D !i F; where ri D !i U: (5.40)

dt i

If the right-hand sides F in (5.36) are all zero, then ri D const along the i th char-

acteristic. In this case, the solution is easily determined at any point .x; t / from the

values specified at t D 0.

So, to a hyperbolic system there correspond N equations (5.39) or (5.40), which

reflect the directional character of propagation of the quantities ri D !i U along the

respective characteristic lines.

It is noteworthy that a hyperbolic system of equations can be converted to

the form (5.40) with respect to Riemann invariants. This also applies to some spe-

cial cases of nonlinear equations (5.36), in particular, to the case of two equations

(see [148]).

Section 5.2 Solution of nonlinear wave propagation problems 211

and semi-inverse methods

In order to retain this property of hyperbolic equations (the directional character of

propagation of invariants along characteristics), the approximation should be per-

formed on a grid formed by the characteristics; then the invariants will be transferred

along the grid lines. In general, such a grid is curvilinear and nonuniform. This

approach is easily implementable for systems of two equations with two family of

characteristics; it will be called the direct method of characteristics.

If there are more than two families characteristics, these will not intersect pairwise

at the same nodes. The grid should be constructed based on two main families of

characteristics; the remaining characteristics should be issued from nodes of the grid

backward in time until they intersect with main grid lines and then main grid nodes

should be used to interpolate the values of quantities at the points of intersection.

These points are marked by crosses in Figure 5.4. This technique is known as the

semi-inverse method of characteristics.

t

scheme

Equations (5.38) or (5.39) can also be integrated on regular non-characteristic grids

formed by straight lines x D const and t D const. In this case, the inverse method of

characteristics is used. One issues all characteristics backward from node .n C 1; k/

and searches for the solution at this node. In doing so, the derivative @U=@x, appearing

in the characteristic relation (5.38), should be approximated by the forward unilateral

difference UnkC1 Unk (if i > 0) or backward unilateral difference Unk Unk1 (if

i < 0), depending on the direction of the characteristic (Figure 5.5). This is done in

order to preserve, at least partly, the directional character of invariant combinations of

the desired quantities along the characteristic. So, one uses the scheme

!i ji j!i D !i Fn ; (5.41)

t x

212 Chapter 5 Wave propagation problems

– node not belonging

λi > 0 λi < 0 to regular grid

λi = 0 – characteristic

x – (curved arrow) direction

(n, k – 1) n, k (n, k + 1) of x-derivatives

to i > 0 (characteristic with positive slope) and the plus sign (forward difference)

corresponds to i < 0 (negative slope).

Consequently, a three-point stencil should at least be used at internal nodes of the

temporal layer. The right-hand side F is known and can be evaluated at any suitable

point. The scheme (5.41) is the simplest inverse characteristic scheme. It was first

suggested by Courant, Isaacson, and Rees [31] and is known as the CIR method.

The scheme can be rewritten in a more convenient form by introducing the fol-

lowing notations: jƒj D diag¹ji jº, a diagonal matrix consisting of the modules of

eigenvalues, ƒC D 12 .ƒ C jƒj/, a diagonal matrix with strictly positive eigenvalues,

and ƒ D 12 .ƒ jƒj/, a diagonal matrix with strictly negative eigenvalues. Then the

scheme (5.41) becomes

t

UknC1 D Unk A.UnkC1=2 Unk1=2 /

x (5.42)

1 t 1

C t Fn C jƒj.Unk1 2Unk C UnkC1 /;

2 x

where

1

Uk˙1=2 D .Uk˙1 Uk /:

2

The matrix is composed of the left eigenvectors of A. The last term in (5.42) plays

the role of viscosity; it delivers stability to the scheme, provided that the Courant

condition is satisfied [112]. The scheme (5.41) is clearly explicit and of the first-order

of accuracy.

As an example, consider a system of two equations describing the propagation of

waves through a nonlinear elastic beam with an arbitrary stress-strain diagram D

."/ such that 0 ."/ > 0. The system can be represented as two equations for the

Section 5.2 Solution of nonlinear wave propagation problems 213

@v @" 1 @

a2 ."/ D 0; a2 ."/ D ;

@t @x @"

(5.43)

@" @v

D 0:

@t @x

The vector of unknowns and the system matrix are

v 0 a2 ."/

UD ; AD :

" 1 0

Let us study the system using the direct method of characteristics.

It follows from the condition det.A E/ D 0 that 1;2 D ˙a."/.

The characteristics of system (5.43) are determined from

dx

D ˙a."/; dx a."/dt D 0: (5.44)

dt

The left eigenvectors of A are found as follows:

a."/ a2 ."/

1 2

!i .A i E/ D 0 H) !1;2 !1;2

D 0 0

1;2 D˙a."/ 1 a."/

H) !1 D 1 a."/ ; !2 D 1 Ca."/ :

The differential relations (5.39) along the characteristics (5.44), written in terms of

total differentials, become

Z "

r1;2 D v ."/; ."/ D a."/ d ": (5.46)

"0

Thus, the nonlinear system (5.43) has the following invariants along the characteris-

tics:

r2 , along the second family, with negative slope.

Let us solve the Cauchy problem for system(5.43) subject to the initial conditions

214 Chapter 5 Wave propagation problems

j+

2

=

i j

co

ns

t

t

j+

ns

1

co

=

=

co

1

ns

i+

t

st

con

(i + 1, i=

j + 1)

∆x ∆x ∆x

(i + 2, j – 1) (i + 1, j) (i, j + 1) (i – 1, j + 2) x

Figure 5.6. Characteristic grid (solid lines) and space-like layers (dashed lines).

characteristic grid, which is constructed simultaneously with finding the solution. Let

us partition the axis t D 0 into equal segments of length h (Figure 5.6).

Given "0 .x/, we find the values a."0 / at the nodes corresponding to t D 0 and

emit the characteristics with positive and negative slope from the neighboring points

.x; t /iC1;j and .x; t /i;j C1 to obtain

(5.48)

xiC1;j C1 xi;j C1 D a."i;j C1 /.tiC1;j C1 ti;j C1 /:

The nodes are numbered so that the subscripts j and i change along the positive and

negative characteristic lines, respectively; see Figure 5.6.

From equations (5.48) we find two unknowns: the coordinates of the intersection

.1/ .1/

point .x; t /iC1;j C1 . Then we transfer the invariants to this point, riC1;j D riC1;j C1

.2/ .2/

and ri;j C1 D riC1;j C1 , and use formulas (5.46) to obtain

viC1;j C1 D r .1/ C r .2/ iC1;j C1 ;

"iC1;j C1 D ‰ 1 r .2/ r .1/ iC1;j C1 :

The solution at all other points of the space-like layer (shown in Figure 5.6 by a

dashed lines) is found in a similar manner. After this, one can proceed to the calcula-

tions at the next layer and so on, thus determining the solution inside the characteristic

triangle shown in Figure 5.6. By doing so, one obtains an approximate solution having

the first order of accuracy.

To obtain a second-order solution, one has to refine the solution. In this case, the

solution obtained at the point .x; t /iC1;j C1 is treated as a first approximation. With

Section 5.2 Solution of nonlinear wave propagation problems 215

this solution, one refines the slopes of the characteristics, calculating them as the mean

values

1

aiC1;j C1=2 D .aiC1;j C1 C aiC1;j /;

2

1

aiC1=2;j C1 D .aiC1;j C1 C ai;j C1 /;

2

and substitutes them into (5.48) to determine the refined coordinates of the new node,

.1/ .2/

where the invariants riC1;j and ri;j C1 are transferred.

Let us study another example where the method of characteristics is efficient. Con-

sider a system describing waves propagating through an elastoviscoplastic beam,

where the system matrix A is constant and there a solution dependent right-hand

side F.U/:

@v 1 @

D0 (equation of motion);

@t @x

@" @v (5.49)

D0 (compatibility equation);

@t @x

@ @v E Ô

E D .; "/ (constitutive equation);

@t @x

with

´

Ô .; "/ D 0; < s ."/;

ˆ.0/ D 0:

ˆ. s ."//; s ."/;

The last equation in (5.49) determines the stress-strain response of the elastoviscoplas-

tic material of the beam; for < s ."/, it becomes Hooke’s law represented in dif-

ferential form. If tc , where tc is a characteristic time of the problem, which

corresponds to small viscosity, with s ."/, the system of equations reduces to

the above system (5.43) for a nonlinear elastic material if s ."/ or a system for

an elastic material if < s ."/.

If one studies an initial-boundary value problem for a beam of finite length l, the

boundary condition at the beam ends can have the general form

@v

A1 C A2 v C A3 D '1 .t / at x D 0;

@t (5.49a)

@v

B1 C B2 v C B3 D '2 .t / at x D l;

@t

where the Ak and Bk are some constants (k D 1; 2; 3).

216 Chapter 5 Wave propagation problems

U D U0 .x/ at t D 0: (5.49b)

x t a " v v

xN D ; tN D Dt ; N D D ; "N D ; vN D D :

l t0 l c E"c "c vc a"c

The characteristic quantities are chosen as follows: l is the beam length, p c is the

yield stress, "c D c =E is the elastic strain at the yield point, a D E= is the

speed of sound in the unstressed beam, t0 D l=a is the time at which the elastic wave

travels the distance l, vc D a"c is the velocity of particles in the elastic material at the

stress c .

Then system (5.49) acquires a more concise form

@v @

D 0;

@t @x

@" @v

D 0; (5.50)

@t @x

@ @v

D ı Ô .; "/;

@t @x

where ı D tc = is a dimensionless parameter, which can be large, ı

1, for many

real materials. Here and henceforth, we only use the dimensionless variables and so

the bars over symbols are omitted for brevity.

Represent system (5.50) in matrix form

@U @U

CA D F; (5.50a)

@t @x

where 0 1 0 1 0 1

v 0 0 1 0

U D @"A ; A D @1 0 0 A ; F D @ 0 A:

1 0 0 ı Ô .; "/

The characteristic numbers i are determined from the equation

det.A i E/ D 0 H) i .2i 1/ D 0:

It follows that two characteristics have constant slopes, ˙a, and so coincide with

elastic characteristics, while the third one is parallel to the t -axis (Figure 5.7).

The left eigenvectors of A are determined from

!i .A i E/ D 0:

Section 5.2 Solution of nonlinear wave propagation problems 217

j+

1

i+

1

t

ns

t

co

(i + 1,

(i + 1, j + 1)

i=

1 n+1

j +– )

j

2 1

λi = 0 (i + –

2 , j + 1)

1

(i +–

2, n

(i + 1, j)

∆t = ∆x

j 1

+– ) (i, j + 1)

λi > 0 2

n–1

(i, j)

λi < 0

∆x

0 2 ∆x x

1

k –1 k k+1

Figure 5.7. Node numbering: .i; j / on a characteristic grid and .n; k/ on a regular layered

tx-grid.

We have

1;2 D ˙1; !1;2 D 1; 0; 1 ;

3 D 0; !3 D 0; 1; 1 :

Multiplying (5.50a) from the left by !i , one arrives at the following relations along

the characteristics (5.39):

1;2 D ˙1 dx=dt D ˙1 dv d D ˙ı Ô .; "/ dt (5.51)

3 D 0 dx D 0 d " d D ı Ô .; "/ dt

characteristic line x ˙ t D C1;2 with the same node numbering as in the preceding

example. Replacing the differentials in (5.51) with finite differences, we construct a

second-order scheme for node .i C 1; j C 1/:

1 D 1; i C 1 D const .v /jiC1

C1 D .v /jiC1 C ı Ô jiC1

C1=2

x

(5.52)

2 D 1; j C 1 D const .v C /jiC1 i Ô iC1=2

C1 D .v C /j C1 ı j C1 x

iC1=2

3 D 0 ." /jiC1 i

C1 D ." /j C ı Ô j C1=2 2x

The second order of accuracy, for ı D O.1/, is ensured through the calculation of

the right-hand sides at intermediate points with half-integer indices (Figure 5.7),

iC1=2 1 iC1

ˆj D .ˆ C ˆji /;

2 j

218 Chapter 5 Wave propagation problems

C1 has been calculated by the first-order scheme, at the

predictor stage, with the right-hand sides evaluated at integer indices. For ı

1, the

stiff system (5.52) is ill-conditioned (see 5.2.9).

In this example, a D const D ˙1 and so the characteristics have constant slopes

of ˙45ı . Consequently, the nodes of the characteristic grid .i; j / are easy to match

with nodes of the regular grid .k; n/; see Figure 5.7. For a one-to-one correspondence

between nodes of the regular grid and those of the characteristic grid, the step sizes in

time must be taken equal to that in space: t D x (Figure 5.7). Let us rewrite the

difference relations along the characteristics (5.52) in terms of nodes of the regular

grid:

nC1=2

1 D 1; i C 1 D const .v /knC1 D .v /nk1 C ı Ô k1=2 x

nC1=2

(5.52a)

2 D 1; j C 1 D const .v C /knC1 D .v C /nkC1 ı Ô kC1=2 x

k

C ı Ô nk 2x

regular grids, respectively, become

vji1 i

C1 vj iC1=2 iC1=2 iC1=2

A1 C A2 viC1=2 C A3 iC1=2 D 'iC1=2 ;

2x (5.53)

v nC1 vkn1

A1 k C A2 vkn C A3 kn D 'kn :

2x

The boundary conditions at the right end x D l are written likewise, with k D n.

At the internal points, the solution is calculated by formulas (5.52). For the left

boundary point, one should use equation (5.53) in conjunction with the second and

third equations in (5.52); for the right boundary point, one should use the first and

third equations in (5.52). When using the characteristic relations, one should follow

the obvious rule for selecting three out of four possible equations (5.52) and (5.53):

discard the equation that corresponds, at the boundary point, the characteristic lying

outside the body.

The direct use of equations (5.50) without regard for the characteristics causes dif-

ficulties in choosing an adequate finite difference approximation, since the problem

of finding the solution at a boundary point is overdetermined. An inadequate choice

of difference equations for the boundary points can result in unstable solutions. This

is even more important in constructing an adequate finite difference scheme for prob-

lems that have discontinuous solutions. Such problems cannot be treated properly

without using the characteristic numerical methods.

The above remarks apply to any hyperbolic equations of the form (5.36).

Section 5.2 Solution of nonlinear wave propagation problems 219

To illustrate the analysis of discontinuous solutions, let us consider system (5.50) as

an example. For simplicity, we assume that the mass velocities of material particles, v,

are much less than the velocity of elastic waves, a. In this case, the linear momentum

is conserved and a compatibility condition holds at a discontinuity (see Section 1.2):

The square brackets denote the jump of a quantity at the line of discontinuity; for

example, Œ D C , where C and are the values of just ahead and just

behind the discontinuity. The quantity D is the speed of propagation of the discon-

tinuity. For system (5.50) with a constant matrix, a discontinuity propagates with a

known speed, D D a D E=. For a contact discontinuity, D D 0. Therefore, calcu-

lating U behind a discontinuity is very easy, provided that the solution UC ahead of

the discontinuity is known.

one obtains the following conditions from (5.54):

The strain undergoes a discontinuity, while the stress and velocity are continuous.

To find the solution at a point .n C 1; k/, one has to supplement these conditions

with the second and third relations along the characteristics (5.52) for the region ahead

(to the right) of the discontinuity,

nC1=2

.v C C C /knC1 D .v C C C /knC1 C ı Ô kC1=2 x;

(5.56)

."C C /knC1 D ."C C /nk C ı Ô knC1=2 2x;

and the first and third relations in (5.52) for the region behind (to the left) of the

discontinuity (see Figure 5.8a),

nC1=2

.v C C C /knC1 D .v C C C /n1

k C ı Ô k1=2 x;

(5.57)

." C /knC1 D ." C /nk C ı Ô knC1=2 2x:

Relations (5.55) have already been used here. As a result, we have a system of four

equations (5.56)–(5.57), with nonzero determinant, for determining four unknowns

C , v C , "C and "

constant speed D D 1 (in dimensionless variables), one should take the two equations

at the discontinuity (5.54) and all three relations along the characteristics (5.52) on

220 Chapter 5 Wave propagation problems

(+)

(n + 1, k) (n + 1, k)

x x

(a) (b)

Figure 5.8. Solution scheme for (a) contact and (b) moving discontinuities (shown by dashed

lines); the characteristics are straight lines.

the right and only the first one on the left (Figure 5.8b). From the relations on the

right, one finds the solution ahead of the wave front, v C , "C , and C , and then, from

the other three equations with nonzero determinant, one finds the solution behind

the wave front, v , " , and . The solution to these equations is easy to obtain,

just as the solution to (5.56)–(5.57), in explicit form whenever the right-hand sides

are known. These are known when the difference equations (5.52)–(5.57) are solved

iteratively or with recalculation. Given the right-hand side, the first approximation is

calculated as

nC1=2

ˆk D ˆnk :

And it is not until the second stage, corrector, when the solution at node .i C 1; j C 1/

has been found in the first approximation, that the averaging formula

1

ˆknC1=2 D .ˆnk C ˆknC1 /

2

is used. Thus, the calculations at the first stage, predictor, are carried out using a

first-order scheme and, at the second stage, a second-order scheme is used, with the

right-hand sides known at both stages.

We now turn to the example of the nonlinear system (5.43), where the matrix A D

A.U/ depends on the solution U. In this case, the analysis of a moving discontinuity

will slightly differ from the case of a constant matrix A; in the former case, the shock

wave speed is unknown and determined from relations (5.54) simultaneously with the

solution behind the shock front. It follows from the stability condition for a shock

wave that the inequality [148]

a C D a

Section 5.2 Solution of nonlinear wave propagation problems 221

(–) (+)

n+1

O1

n

k+2

C

k+1

k–1 A k O B

Figure 5.9. Solution scheme at a discontinuity; the characteristic slopes are changing.

must hold; the quantities aC and a are the disturbance propagation speeds (slope

angles of the characteristics) ahead and behind the shock front.

Then the configuration of characteristics ahead and behind the shock will be like

that shown in Figure 5.9.

The analysis begins with the determination of the coordinates of the point O at the

shock wave meets with the new .n C 1/st space-like layer. The point O is obtained

as the point of intersection of the characteristic AO1 with the shock OO1 and its

coordinates are calculated using D n and .a /n at the nth layer. Then, we find the

coordinates of the points B and C . To this end, we draw the positive characteristics

BO1 and CO1 with the slopes taken at the nth layer, aB D 12 .ak C akC1 / and

aC D 12 .akC1 C akC2 /. The subscript k indicates nodes of the characteristic grid

along one space-like layer. By interpolating along layer n (nodes with subscripts k),

we find "B , vB , "C , and vC . Then, by using the relations along the characteristics

BO1 and CO1 (5.46) ahead of the shock, we find "C C

O and vO . Further, applying the

shock relations (5.54), we obtain

."C / ." / D D 2 ."C " /; v D v C C D."C " /: (5.58)

Three unknowns are to be determined: the shock speed D and two quantities behind

the shock, " and v . A third equation is obtained from the relation along the positive

characteristic AO1 , to the left of the shock, intersecting the nth space-like layer at A,

we find

v ." / D vA ."A / D const : (5.59)

Eliminating D from (5.58) D and substituting v into (5.59), we find an equation

for " :

2

Œ ."C / ." / ."C " / D ." / ."A / C vA vC : (5.60)

The nonlinear equation (5.60) can be solved for " by Newton’s method. After that,

we find D nC1 and v from (5.58). Further, the solution obtained can again be refined

using the same algorithm by averaging all quantities at the .n C 1/st-layer point found

and the nth-layer points at which the solution is already known (Figure 5.9).

222 Chapter 5 Wave propagation problems

The analysis of a contact layer in the nonlinear case is performed using the same

equations and an algorithm little different from that for constant A.

For linear and linearized equations, the stability is easier to prove than for non-

characteristic schemes, since the relationship between the spatial and temporal step

sizes is rigidly fixed by the characteristic grid itself and the resulting systems of equa-

tions have diagonal transformation matrices.

Let us illustrate this using the finite difference scheme (5.52). Since, as mentioned

in Section 2.6, the right-hand sides of the equations do not affect the stability, these

can be discarded. By applying the Fourier transform with respect to x and Laplace

transform with respect to t , we obtain

1 (5.61)

." /0 D 0:

It is clear that ji j D 1, and hence the von Neumann stability condition is satisfied;

it is both necessary and sufficient, since the transformation matrix is diagonal. Fur-

thermore, from the fact that the ji j are all equal to 1 it follows that if the system of

equations is homogeneous, with Ô .; "/ D 0 (elastic case), the scheme will have nei-

ther approximation viscosity nor dispersion (see Section 5.5). It has an infinite order

of approximation, and hence provides an exact solution.

problems

For many real materials, the parameter ı is equation (5.50) is large, ı

1, and even

ı ! 1 for elastoplastic

materials. This follows from the last equation in (5.50) for

ˆ.; "/ D ˆ s ."/ and ı ! 1, implying that ! s ."/. Then the system

of equations for an elastoviscoplastic material (5.50) reduces to system (5.43). The

elastoviscoplastic model can be treated as a regularizing model with respect to the

elastoplastic one.

So, system (5.50) is a singularly perturbed system of hyperbolic equations, and

hence the initial-boundary value problems for it are stiff. In Section 2.4, we discussed

the solution of singularly perturbed systems of ordinary differential equations. The

integration of such systems should be performed with a sufficiently large step size ıt

using implicit or explicit-implicit schemes, provided that it is required to obtain a

quasi-steady solution corresponding to the elastoplastic model but not a transitional

structure or boundary layer. This requires A-stable schemes, absolutely stable for

any ıt .

Section 5.2 Solution of nonlinear wave propagation problems 223

(5.36) to the integration of ordinary differential equations, the application of methods

similar to those developed in Section 2.4 is possible for the integration of stiff ordinary

differential equation problems.

Because equations involving a large parameter should be integrated with an implicit

scheme, we use the following implicit second-order schemes for the characteristic

equations (5.52a):

ı nC1

.v /knC1 D .v /nk1 C ˆk C ˆnk1 t;

2

ı (5.62)

.v C /knC1 D .v C /nkC1 ˆknC1 C ˆnkC1 t;

2

." /knC1 D ." /n1

k1 C ı ˆknC1 C ˆn1

k t:

The nodes are numbered in accordance with a regular grid (Figure 5.7); n is the num-

ber of a layer t D const and k in the node number along a layer x D const.

The nonlinear terms in system (5.62) are of the same order as the linear terms;

therefore, an iterative solution based on the predictor-corrector scheme (where an

explicit scheme is used as the first approximation) is efficient only if ı t is small.

For ı t

1, one should linearize the nonlinear right-hand side, by expanding ˆknC1

up to second-order terms .knC1 /2 ; otherwise, the scheme will be unstable.

With ı t

1, the use of an explicit scheme for solving equations (5.62) leads,

even in the first approximation, to instability.

The stress knC1 is determined by subtracting the first two equations in (5.62):

ı t n

2knC1 D .v C /nkC1 .v /nk1 C ˆkC1 ˆnk1 :

2

For the increment kn D knC1 kn , we have

1 1 ı t n

kn D kn C .v C /nkC1 .v /nk1 C ˆkC1 ˆnk1 :

2 2 4

The nonlinear terms at node .n C 1; k/ are canceled out and kn is found in explicit

form.

Expanding ˆknC1 in the third equation in (5.62),

ˇn

ˆknC1 D ˆnk C ˆ0 ˇk knC1 s nk "knC1 ;

we obtain

ı t 0 ˇˇn nC1

"nk D kn C ˆ k k s nk "knC1

2

n ı t ˇ

0ˇ n n n ı t 0 ˇˇn

"k 1 C ˆ k s ."k / D k 1 C ˆ k

2 2

224 Chapter 5 Wave propagation problems

Hence, we find "nk . Substituting the resulting knC1 and "knC1 into the second equa-

tion of (5.62), we determine vknC1 in explicit form as

ı t nC1

vknC1 D .v C /nkC1 knC1 C ˆk C ˆnkC1 :

2

The scheme suggested is a locally explicit-implicit scheme. The first two equations

are explicit, while the third equation is implicit, which serves to determine "knC1 .

This technique turns out to be sufficient for the computation to become stable. This

statement is proved below.

stiff problems

The assumption that the right-hand sides of (5.36) do not affect the stability is true

only if ı O.1/. For ı O.x 1 /, or x ı O.1/, the right-hand sides will

affect the stability. Since, as was mentioned above in Section 1.5, this case is of

practical importance, we will pay special attention to it.

The stability of the explicit-implicit scheme (5.62) will be carried out for a model

problem. For simplicity, the function ˆ.z/ will be assumed to be linear and s ."/ D

0 , which corresponds to the model of an ideal viscoplastic material. Then the third

equation in (5.52) can be discarded, since " no longer appears in the system. By

applying the Fourier and Laplace transforms to (5.52), we obtain

ı x

p1 . eik x / D . C eik x /.p2 p1 /;

4

ı x (5.63)

p2 . eik x / D . C eik x /.p2 p1 /;

4

p1 D v . 0 /; p2 D v C . 0 /:

zero:

!

e ik x C A. C eik x / A. C e ik x /

det D 0:

A. C eik x / eik x C A. C eik x /

It follows that

2 1 2A ı x

2 C cos.k x/ C D 0; where 2A D ;

1 C 2A 1 C 2A 2

and hence q

1

1;2 D cos.k x/ ˙ 4A2 sin2 .k x/ : (5.64)

1 C 2A

Section 5.2 Solution of nonlinear wave propagation problems 225

1) If ıx=2 1, the radicand 4A2 sin2 .k x/ is positive, and hence 1;2 are real

numbers. If cos.k x/ > 0, then

ˇ q ˇˇ

ˇ 1

1 C 2A

ˇ ˇ

ˇ 1 ˇ

<ˇˇ cos.k x/ C 2A ˇˇ 1:

1 C 2A

If cos.k x/ < 0, we have

ˇ ˇ

ˇ 1 ˇ

ˇ

j1 j D ˇ ˇ < 1:

1 C 2A ˇ

2) If ıx=2 < 1, we have maxŒ4A2 sin2 .k x/ < 0, and so 1;2 are complex

conjugate numbers, with

q q

Im 4A2 sin2 .k x/ < Im sin2 .k x/ D i sin.k x/;

jj < j cos.k x/ ˙ i sin.k x/j D 1:

It follows that the scheme is stable if ıx D const, in the language accepted for stiff

systems of equations, is A-stable. It is significant that the explicit scheme is stable

only if ıx=2 1 and, hence, is not A-stable, which makes it unsuitable for ı

1.

For nonhomogeneous systems with a constant matrix A, it is possible to construct not

only first- or second-order characteristic schemes but also higher-order schemes by

analogy with the Adams and Runge–Kutta schemes for ordinary differential equations

(see Section 2.3). Let us demonstrate this for system (5.50) or, more precisely, for its

characteristic equations (5.51) represented in terms of the invariants p1;2 D v

and p3 D " :

@p1 @p2

D ı Ô .p1 ; p2 ; p3 /; D ı Ô .p1 ; p2 ; p3 /;

@s @l (5.65)

@p3

D ı Ô .p1 ; p2 ; p3 /

@t

d d d

where ds D dt C dx is the operator of differentiation along the characteristic dx D dt

d d d

and d l D dt dx is that along dx D dt . Integrating (5.65) over the step size x

from sj to sj C x, we obtain

Z sj Cx

p1 .sj C x/ p1 .sj / D ı Ô ds:

sj

226 Chapter 5 Wave propagation problems

The node numbering is accepted along the first families of characteristics, shown in

Figure 5.7.

If the values of ˆj ; : : : ; ˆj Ck are known on the interval Œsj ; sj C x , these can

be used to construct, for the .k C 1/st node, an interpolating polynomial Rk .s/ of

degree k that approximates the function Ô .s/ on Œsj ; sj Cx to O.x kC1 /, provided

that the function is sufficiently smooth. Then we extrapolate the resulting expression

to the .k C 1/st node to obtain

Z sj Cx

p1 .sj C x/ D p1 .sj / C Rk .s/ ds C O.x kC2 /: (5.66)

sj

If the points sj ; : : : ; sj Ck are evenly spaced, then the integration in (5.66) leads to

formulas analogous to the Adams formulas, which are used for integrating ordinary

differential equations:

1

j C1 j j j j

for k D 1; piC1 D piC1 C ˆiC1 C rˆiC1 x D L1;iC1 I

2

5 j

j C1

for k D 2; piC1 D Lj1;iC1 C r 2ˆ x D Lj2;iC1 I

12 iC1

3 j (5.67)

j C1

for k D 3; piC1 D Lj2;iC1 C r 3 ˆ x D Lj3;iC1 I

8 iC1

::

:

and so on,

where

rˆj D ˆj ˆj 1 ;

r 2 ˆj D ˆj 2ˆj 1 C ˆj 2 ;

r 3 ˆj D ˆj 3ˆj 1 C 3ˆj 2 ˆj 3 :

Similar formulas can be obtained by integrating the other two equations in (5.65). It

is clear from relations (5.67) that a finite difference scheme of order O.x k / cannot

be constructed without using data from the k previous layers. To obtain the data, one

has to start the calculations from a first-order scheme and increase the order succes-

sively from j D 1 to j D k. Here, there is no need to store the solution obtained for

all k layers; it only suffices to store ˆj .

A characteristic scheme that would generalize the Runge–Kutta method can be con-

structed likewise.

Section 5.3 Two- and three-dimensional characteristic schemes and their application 227

their application to dynamic problems

5.3.1 Spatial characteristics

A system of quasilinear first-order equations can be represented in the form (summa-

tion over j )

@U.t; x/ @U.t; x/

B t .x; U/ C Bj .x; U/ D F.t; x; U/; j D 1; 2; 3; (5.68)

@t @xj

where B t and Bj are k k coefficient matrices and F is the right-hand side vector,

which can depend on the k-dimensional solution vector U, coordinates x, and time t .

If B t is nonsingular (it does not have zero eigenvalues, i D 0), then system (5.68)

can be solved for the time derivative and written as

@U.t; x/ @U.t; x/

C Aj .x; U/ D f.t; x; U/: (5.69)

@t @xj

Introduce the matrix Aj Nj D A.N/, where N is a normal to a surface '.t; x/ D 0.

System (5.69) is said to be hyperbolic at a point .t; x; U/ if the eigenvalues of the

matrix A, determined from the equation

det.Aj Nj C E/ D 0 (5.70)

are all real and there is an eigenvector matrix that diagonalizes A, so that

If the i .Nj / are all real and the eigenvectors are all linearly independent, the system

is said to be strictly hyperbolic. The i do not have to be all distinct, but the system

of corresponding eigenvectors must be linearly independent; for example, two si cor-

responding to the shear wave cone are the same, but the corresponding eigenvectors

are different.

So, hyperbolicity suggests that the matrix A has n linearly independent eigenvec-

tors, which form a basis in an n-dimensional space. It follows from (5.71) that

Hence, the left eigenvector matrix L and right eigenvector matrix R are mutually

inverse:

1

L D R :

L AR D ƒ; A D R ƒL :

228 Chapter 5 Wave propagation problems

which the Cauchy problem has a nonunique solution, then '.t; x/ must satisfy the

condition

det.' t C Ai 'xi / D 0: (5.73)

Here and henceforth the subscript of ' indicates the differentiation: ' t D @'=@t and

'xi D @'=@xi .

Indeed, in this case, the homogeneous system of equations (5.69) with @U=@xi

prescribed at surfaces '.t; x/ D 0 does not provide a unique solution for the outward

derivative @U=@N, where N is the outward normal to '.t; x/ D 0.

Equation (5.73) can be represented in terms of the components of the normal N as

det.EN t C Aj Nj / D 0; (5.74)

where

't 'xi

D Nt ; D Ni :

jgrad 'j jgrad 'j

Up to notation, equation (5.74) coincides with the equation for determining the eigen-

values of A.N/. Hence, the characteristic surfaces in the space of the components

of N are determined by the eigenvalues of A.N/.

So, there are k characteristic surfaces passing through each point of the space

.t; x/ and dependent on the direction of the vector n D .N1 ; N2 ; N3 /, which is the

projection of the 4-vector N D .N t ; N1 ; N2 ; N3 / onto the three-dimensional space

.x1 ; x2 ; x3 /. Given the direction of n, one can obtain characteristic relations in the

same manner as in the one-dimensional case, by multiplying system (5.69) from the

left by the respective left eigenvector -i .n/. However, unlike the one-dimensional

case, here we have a family of characteristic relations dependent on n as a vector pa-

rameter. For example, if n D n1 .1; 0; 0/ is directed along the x1 -axis, then, having

multiplied (5.69) by -i .n1 /, we get

@U @U @U @U

-i C i C -i A2 C -I A3 D -i f.U; x; t /; i D 1; : : : ; k:

@t @xi @x2 @x3

This relation contains derivatives along three directions: the first derivative is along

@

the bicharacteristic, @t C i @x@ i , and the other two, in the tangent subspace xi , along

directions perpendicular to the bicharacteristic. Having changed the direction of n,

one arrives at k more characteristic relations. The original system equations (5.69) can

be replaced with a set of any k independent characteristic relations, not necessarily

corresponding to one direction of n; it suffices that the vectors -i form a basis. So,

unlike the one-dimensional case, where the characteristic relations are chosen in a

unique way, in three dimensions, the selection of characteristic relations equivalent to

the original system is nonunique and much wider.

Section 5.3 Two- and three-dimensional characteristic schemes and their application 229

for the integration of hyperbolic systems of equations arising in studying non-one-

dimensional problems. Specifically, we consider the equations of the elastoviscoplas-

tic medium that was discussed when we studied one-dimensional waves in the pre-

ceding section.

This section discusses the application of the method of characteristics to non-one-

dimensional problems of continuum mechanics. Consider the propagation of waves

through an elastoviscoplastic solid, whose system of thermomechanical equations can

be represented in the form (see Section 1.5)

ij;j D uP i ;

2
Ô .SN kNs .WN ; TN //

P ij D uk;k ıij C
.ui;j C uj;i /.3 C 2
/˛ TP ıij sij ;

S

p

Ô .SN kNs .WN ; TN //

ePij D sij ;

S

p

.3 C 2
/ T0 ˛ uk;k C Ce T D kT;i i C ij ePij ; (5.75)

where the dimensionless quantities SN D S=ks0 and kNs D ks =ks0 are arguments of the

function ˆ.Nz/.

The first relation is the equation of motion, the second and third are constitutive

equations of the elastoviscoplastic material, and the last one represents an equation

of heat influx. The following notation is adopted: ui are the velocity components

p

of particles, ij is the stress tensor, ePij is the plastic strain rate tensor, Wp is the

work done to perform the plastic deformation, T is temperature, and
are elastic

constants, ˛ is the linear thermal expansion coefficient, Ce is the heat capacity at

constant strain, k is the thermal conductivity, is the relaxation time, and ks is the

material’s yield stress. The function Ô .Nz/ of a dimensional argument zN defined by

´

Ô .Nz/ D 0; zN < 0;

ˆ.Nz/ > 0; zN 0;

characterizes the effect of the plastic strain rate on the stress-strain relationship beyond

1=2

elastic limit, with S D 12 sij sij > ks , and is determined from experiments (see

Section 1.5.2 and [83]).

System (5.75) can be simplified in the case of waves propagating through massive

bodies whose characteristic dimension x0 satisfies the condition

C 2

x0

k.ce c/1 ; c2 D ;

230 Chapter 5 Wave propagation problems

specific heat capacity at constant strain, and is the stress relaxation time.

Then the thermal conductivity can be neglected and the adiabatic approximation

used [157]. Introduce the following dimensionless variables:

ij Wp ui c xi

N ij D ; WN p D ; uN i D ; tN D t ; xN i D

ks0 ks0 us0 x0 x0

2.1 / C 2
x0

ˇD ; ıD ; ks0 D cus0 ;

1 2 2
c

Poisson’s ratio, and and are the adiabatic values of the elastic constants. In what

follows, the bars over the dimensionless quantities will be omitted. In the adiabatic

approximation, system (5.75) can be rewritten as

ij;j uPj D 0;

Ô .S ks .Wp //

ui;j C uj;i ˇ P ij P kk ıij D 2ı sij ;

1C S (5.76)

p

Ô .S ks .Wp //

ePij D ı sij :

S

p

If there in no translational hardening, system (5.76) splits and the equation for ePij

can be discarded; the quantity Wp is then determined from

2ı

WP p D ks .Wp / Ô .S ks .Wp //

ˇ

For our purposes, there is no significant difference between the cases of isotropic

and translational hardening. However, the latter case requires much more cumber-

some calculations. Therefore, we restrict our consideration to the case of isotropic

hardening.

It should be emphasized that the use of the constitutive equations (5.76) for study-

ing dynamic process is more beneficial as compared with the Prandtl–Reuss system of

equations not only for mechanical reasons but also from the viewpoint of mathemat-

ical simplicity. The advantages of the elastoviscoplastic model were clearly demon-

strated in solving one-dimensional problems in Section 5.2. In studying two- and

three-dimensional processes, its advantages are even more pronounced.

The system of equation (5.75) is hyperbolic. In the case of small deformations,

its principal differential part is linear and does not cause difficulties in studying dis-

continuous solutions; therefore, its numerical analysis is relatively easy to performed

using the direct method of characteristic surfaces.

Section 5.3 Two- and three-dimensional characteristic schemes and their application 231

quasilinear nondivergence system of hyperbolic equations, for which there is no com-

plete mathematical theory that would guarantee the existence and uniqueness of a

solution. Furthermore, there are many specific problems where, under certain condi-

tions, there is no solution or the solution is not unique. In all these cases, the elasto-

viscoplastic model with ı

1 can be regarded as a regularization of the elastoplastic

model, thus considering the asymptotic solution to an elastoviscoplastic problem as

ı ! 1 to be the solution to the corresponding elastoplastic problem. All the more

so, the elastoviscoplastic model is physically more adequate to the actual dynamic

deformation process beyond the elastic limit for most materials (see Section 1.5.2

and [83]).

System (5.76) is a quasilinear hyperbolic system of first-order partial differential equa-

tions with a linear principal part. The right-hand sides are continuous functions of

their arguments. In studying strong discontinuity surfaces in solutions to this system,

one can take advantage of the theory developed for systems of equations in divergence

form [30]. Represent system (5.76) as

U that has piecewise continuous derivatives in a domain G and satisfies the equality

ZZZZ

t

.A t C Ai xi / U B.U/ dt dxi D 0 (5.78)

R

for arbitrary test functions and any R
G in the four-dimensional space .t; xi /.

The quantities At and Ai are 10 10 matrices and U is the 10-vector defined as

U D u1 ; u2 ; u3 ; 11 ; 22 ; 33 ; 12 ; 13 ; 23 ; Wp :

surfaces of solution discontinuity, defined by '.xi ; t / D 0, the condition

t

A ' t C Ai 'xi ŒU D 0 (5.79)

must hold. The vector ŒU D UC U represents the jump in the solution U as the

surface of discontinuity ' D 0 is crossed, with UC and U being the solution values

just ahead and just behind the surface. Since the matrices At and Ai are independent

of U, equations (5.79) represent a homogeneous linear system for the unknown jump

ŒU . Hence, for the surface in question to be a surface of strong discontinuity, which

means that ŒU ¤ 0, it is required that

det A D det At ' t C Ai 'xi D 0:

232 Chapter 5 Wave propagation problems

This equation coincides with equation (5.73), which describes characteristic surfaces

of system (5.77) for At D E.

So, for the media in question, determining surfaces of strong discontinuity is equiv-

alent to determining characteristic surfaces, with discontinues only possible along

characteristics.

Let us write out the matrix A D At ' t C Ai 'xi in component form:

0 1

' t 0 0 'x1 0 0 'x2 'x3 0 0

B 0 ' t 0 0 'x2 0 'x1 0 'x3 0 C

B C

B 0 0 ' t 0 0 'x3 0 ' x1 ' x2 0 C

B C

B 'x1 0 0 ˛' t ˛' t ˛' t 0 0 0 0 C

B C

B 0 'x2 0 ˛' t ˛' t ˛' t 0 0 0 0 C

ADB B 0

C;

B 0 'x3 ˛' t ˛' t ˛' t 0 0 0 0 C C

B ' x 'x 0 0 0 0 ˇ' t 0 0 0 C

B 2 1 C

B 'x 0 C

B 3 0 'x1 0 0 0 0 ˇ' t 0 C

@ 0 ' x 'x 0 0 0 0 0 ˇ' t 0 A

3 2

0 0 0 0 0 0 0 0 0 't

where

1

˛D :

.1 2/.1 C /

The condition det A D 0 leads to the following equation for determining the surfaces

'.xi ; t / D const:

2

1

.' t2 'xi 'xi / ' t2 'xi 'xi ' t4 D 0: (5.80)

ˇ

Equations (5.80) are simultaneously the equations of characteristics of system (5.77);

these will further be employed for constructing a numerical method for the integration

of this system.

Unlike the one-dimensional case, each factor in (5.80) determines a one-parameter

family of characteristics, with each family representing a characteristic cone deter-

mined by a normal vector N in the .t; xi / space. In the physical space xi , each of

the families represents a circle (two-dimensional case) or a spherical surface (three-

dimensional case) moving with a dimensionless velocity cNi D ci =cl , where cl D

p

. C 2
/= is the speed of longitudinal waves.

For the first cone, corresponding to the first factor in equation (5.80), we have

cNi D cNl D ˙1. For the second cone (second factor of multiplicity 2), corresponding

to transverse waves, cNi D cNs D ˙ˇ1=2 . The third cone is degenerate; it corresponds

to a stationary surface with cNi D 0.

Taking into account that the components of the normal vector N are given by (5.74),

we can rewrite equation (5.80) as

2

1

.N t2 Ni Ni / N t2 Ni Ni N t4 D 0: (5.81)

ˇ

Section 5.3 Two- and three-dimensional characteristic schemes and their application 233

Since, in the case considered, the matrix A is symmetric, its right and left null

vectors coincide. The the null vectors required for obtaining characteristic relations

can be determined from (5.79). Inasmuch as the vector of unknowns ŒU contains the

jumps of the stress tensor components Œij D !ij , velocity components Œui D i

and plastic work ŒWp D wp , we find that

!ij Nj N t i D 0; i; j D 1; 2; 3I

i Nj C j Ni ˇ !ij !kk ıij N t D 0; (5.82)

1C

N t wp D 0:

This representation, which takes into account the physical meaning of the unknowns,

allows one to simplify formula manipulations.

In what follows, we denote the solution vector of (5.82) by l:

Find the vector l for the cone of longitudinal waves with N tl D ˙1. The negative

value of N t corresponds to a cone whose axis coincides with the positive direction

of the t -axis. On the cone with N t D ˙1, the matrix A has a single null vector ll ,

whose components can be determined from the equations (5.82)

!ij Nj ˙ i D 0; wp D 0; i Nj C j Nj ˙ !ij !kk ıij D 0: (5.83)

1C

Multiplying the last equation by the unit tensor ıij and performing tensor contraction,

we obtain

1

!kk D ˙i Ni :

1C

Since the null vector lp has multiplicity 1, it is defined up to a constant factor; so we

can set !kk D 1C

1 to obtain i Ni D ˙1.

Solving the second equation in (5.83) for !ij and substituting in the first equation,

we arrive at the solution

2 Nj Nj 2

i D ˙Ni ; !ij D C 1 ıij ; wp D 0: (5.84)

ˇ ˇ

Now let us find solutions on the cone with N t D ˙ˇ 1=2 . In this case, the rank

of A is equal to eight, an so there are linearly independent vectors ls :

1

!ij Nj i D 0; i Nj C j Ni !ij !kk ıij D 0; wp D 0;

1C

(5.85)

234 Chapter 5 Wave propagation problems

where D ˙ˇ 1=2 . By contracting the second equation in (5.85) with ıij , we get

1C

!i i D i Ni :

1

On the other hand, substituting !ij from the second equation into the first and multi-

plying by, we find that

1C

!kk D i Ni :

It follows that

1

wp D 0; i Ni D 0; !ij D .i Nj j Ni /: (5.86)

This is a general solution to system (5.85), since it involves two linearly independent

vectors. Indeed, it follows from (5.86) that the only constraint on the vector i is

its orthogonality to Ni . Therefore, any two linearly independent vectors lying in the

tangent plane to the discontinuity surface can be taken as i .

Finally, consider the jumps at the stationary surface with N t D 0. We have the

system of equations

!ij Nj D 0; i Nj C j Ni D 0: (5.87)

From the first equation it follows that the stress components are all continuous. The

second equation suggests the velocity components are continuous, i D 0. What can

be discontinuous at the stationary surface is the plastic work.

Introduce a reference frame whose unit vector of the x1 -axis is directed along the

projection n of the vector N onto the space xi . Let nij denote the direction cosines of

this frame. Then the above solutions for the jumps at the cones can be expressed via

the nij . For the cone N tl D ˙1, from (5.84) we obtain

2ni i nij 2

i D ni i ; !ij D C 1 ıij ; wp D 0: (5.88)

ˇ ˇ

For the cone N ts D ˙ˇ 1=2 , we find the following two solutions l˛s from (5.86):

1

i D ni˛ ; !ij D .ni˛ nj1 C nj˛ ni1 /; wp D 0: (5.89)

For the stationary surface N t D 0, we find four linearly independent solutions

from (5.87):

.1/

i D 0; !ij.1/ D ni2 nj 2; wp.1/ D 0;

.2/ .2/

i D 0; !ij D ni3 nj 3; wp.2/ D 0;

.3/ .3/ (5.90)

i D 0; !ij D ni2 nj 3; wp.3/ D 0;

.4/ .4/

i D 0; !ij D 0; wp.4/ D 1:

Section 5.3 Two- and three-dimensional characteristic schemes and their application 235

multiply system (5.76) by the left null vector of A corresponding to this surface. Since,

in the case considered, the matrix is symmetric, the right and left null vector coincide

and are given by (5.84) and (5.90).

For the characteristic surface with normal Nl , we get

2 2 1

˙ .ij;j ni1 uP i ni1 / C 1 ui;i C .ui;j C uj;i /ni1 nj1 P ij ni1 nj1

ˇ ˇ 2

2ı Ô .S S.Wp //

D sij ni1 nj1 : (5.91)

ˇ S

The left-hand side of equation (5.91) represents an internal differential expression

with respect to a hypersurface with normal Nl ; hence, it can be converted explicitly to

a form containing derivatives with respect to only three independent variables. One of

the independent variables is a coordinate s1 measured along the bicharacteristic; the

derivative with respect to s1 is expressed as @s@1 D @t@ ˙ @x@k nk1 . The other two vari-

ables can be chosen in the plane perpendicular to the projection of the bicharacteristic

onto the xi space.

The characteristic equations for the surface with normal Ns are obtained likewise.

There are two such equations, in accordance with the number of vectors ls˛ . In the

original Cartesian reference frame, these equations are expressed as

1

ij;j ni˛ uP i ni˛ C .ui;j C uj;i /.ni˛ nj1 C nj˛ ni1 / P ij .ni˛ nj1 C nj˛ ni1 /

2 2

Ô

ı .S S.Wp //

D sij .ni˛ nj1 C nj˛ ni1 /; ˛ D 2; 3: (5.92)

S

The characteristic equations (5.91)–(5.92), written in the Cartesian reference frame,

can be converted to an invariant form with respect to transformations of the coordi-

nates. This form will be convenient for further analysis.

For the longitudinal wave cone with normal Np , we get

2 2

.n Div / .uP n/ C 1 Div u C .def u/nn P nn

ˇ ˇ

2ı Ô .S S.Wp //

D snn ; (5.93)

ˇ S

where n is the projection of N onto three dimensional subspace xi , nn and "nn D

.def u/nn are the stress and strain components on the plane with normal n in any

curvilinear coordinate system, and a central dot denotes the scalar product of vectors.

236 Chapter 5 Wave propagation problems

2

.m Div / .uP m/ C .def u/mn P mn

2ı Ô .S S.Wp //

D mn ımn ; (5.94)

ˇ S 3

where m is any unit vector perpendicular to n. For a fixed n, one can obtain two

linearly independent equations corresponding to two vectors m.

Finally, for the characteristic surface with N t D 0, the following relations hold:

ˇ

Ô .S S.Wp //

.def u/ml P ml P ımn D ı mn ımn ;

2 1C S 3

(5.95)

P 2ı Ô

Wp D S.Wp / .S S.Wp //;

ˇ

where m and l is two unit vectors, orthogonal to each other and to n. To a fixed n

there correspond four linearly independent relations.

Equations (5.93)–(5.95) allow one to obtain relations at the characteristic surfaces

in an arbitrary coordinate system for the cases of both two and three space dimensions.

The next subsection presents a system of characteristic relations for the case of an

axisymmetric problem in cylindrical coordinates.

Here we use the cylindrical coordinate system .r; ; z/. Since, due to axial symmetry,

the solution is independent of the angular coordinate , we have

The direction cosines of the vectors n, l, and m with respect to the coordinate axes

r; ; z can be expressed in terms of the cosines nr and nz between n and the axes r

and z:

n.nr ; 0; nz /; m.nz ; 0; nr /; l.0; 1; 0/: (5.97)

Using (5.96) and (5.97) and suitable transformation formulas to convert the quantities

appearing in (5.93)–(5.95) to the cylindrical coordinates, we arrive at the following

Section 5.3 Two- and three-dimensional characteristic schemes and their application 237

@r r @r z r @ur @r z @zz r z @uz

C C nr C C C nz

@r @z r @t @r @z r @t

2 @ur @uz ur

C 1 C C

ˇ @r @z r

2 @ur 2 @ur @uz @uz 2

C n C C nr nz C n

ˇ @r r @z @r @z z

2ı Ô .S S.Wp //

P nn D snn ;

ˇ S (5.98)

2 2

nn D r r nr C 2r z nr nz C zz nz :

There is only one linearly independent relation for the transverse waves:

@r r @r z r @ur @r z @zz r z @uz

C C n z C C C nr

@r @z r @t @r @z r @t

2 @ur 1 @ur @uz 2 2 @uz

C nr n z C C nr nz C nz n r

@r 2 @z @r @z

2ı Ô .S S.Wp //

P nm D snn ;

S (5.99)

2 2

nm D r r nr nz C r z nr C nz C zz nr nz :

@ur 2 @uz 2 @ur @uz ˇ

n C n C nr nz P mm P

@r r @z z @z @r 2 1C

Ô .S S.Wp //

(5.100)

Dı mm ;

S 3

mm D r r n2z 2r z nz nr C zz n2r ;

Ô .S S.Wp //

ur ˇ

P P D ı ; (5.101)

r 2 1C S 3

2ı Ô .S S.Wp //

WP p D S.Wp / : (5.102)

ˇ S

Our further task is to choose seven linearly independent relations (for seven un-

knowns) out of the set of equations (5.98)–(5.102). Unlike the case of two indepen-

dent variables .x1 ; t /, choosing such a system of characteristic relations in the case of

three or more variables depends on how the cosines of ll , ls , and li are selected as well

as on the direction of the normal n; there is nor unique way of doing so. However,

the requirements of simplicity and stability of the approximating difference equations

238 Chapter 5 Wave propagation problems

should be taken into account. First of all, we need to figure out how many linearly

independent relations can be chosen for each of the characteristic cones separately

for any n. This task is equivalent to determining the linear independence of the null

vectors of the characteristic matrix A of the original system for each cone. With the

above relations and in view of (5.97), we obtain the following null vectors:

T

ll D nr ; nz ; 1 ˇ2 nz ; 1 ˇ2 ; 1 ˇ2 nr ; ˇ2 nr nz ; 0 ;

2 2

T

ls D nz ; nr ; 2 nrnz ; 0; 2 nr nz ; nr n

z

; 0 ;

T

l1 D 0; 0; n2z ; 0; n2r ; nr nz ; 0 ;

T

l2 D 0; 0; 0; 1; 0; 0; 0 ;

T

l3 D 0; 0; 0; 0; 0; 0; 1 :

An analysis shows that one can choose five linearly independent vectors from ll

and ls and five among li .

To present a numerical method, we will be considering an axisymmetric problem.

This two-dimensional case allows us to make some clear geometric interpretations in

the space of three coordinates r, z, and t . We do not have such an opportunity in the

three-dimensional spatial case.

It is clear that characteristic finite difference schemes can be chosen in many dif-

ferent ways. It is, therefore, important to narrow down the choice to most simple and

stable schemes. Furthermore, it is desirable to have a scheme that would adequately

generalize an already available one-dimensional characteristic scheme. As a basis, we

choose the characteristic scheme discussed in Section 5.2.

It is apparent that equations (5.98)–(5.102) are simplest when the normal n coin-

cides with the normal to a coordinate plane, which corresponds to (i) nr D ˙1 and

nz D 0 or (ii) nr D 0 and nz D ˙1. Selecting n this way is especially reasonable

in case the body shape is limited by coordinate planes. This would significantly sim-

plify the computation algorithm at the boundaries. For the grid to be regular cubic

and to avoid unnecessary interpolations, one should take four tangent planes to one

cone. From the viewpoint of stability, the cone must correspond to the maximum

speed of propagation, which means that the longitudinal wave cone must be chosen.

Then the Courant–Friedrichs–Lewy stability condition will be satisfied. This condi-

tion requires that the domain of dependence of the difference equations must enclose

that of the differential equations they approximate.

The CFL condition is not only necessary but also sufficient for stability if the

scheme is simplicial, which suggests that the minimum number of nodes with known

data are used to obtain the solution at the new node [29]; in our case, the grid must be

triangular in the rz-plane.

Section 5.3 Two- and three-dimensional characteristic schemes and their application 239

The aforesaid with be taken into account below to construct a suitable scheme. Fur-

thermore, we will try to obtain a scheme that would generalize the one-dimensional

characteristic scheme (5.52) and reduce to it in the one-dimensional case.

moment t C t , provided that the solution at the preceding times is known, we use

four characteristic relations (5.98) on the tangent planes to the longitudinal wave cone

with nr D ˙1, nz D 0 and nr D 0, nz D ˙1. These planes form a square pyramid

circumscribed about the cone and touching it along bicharacteristics. The sides of the

base coincide with coordinate lines (Figure 5.10).

t

O

A1 z

B1

A K B

r

Two more equations (5.100) will be taken for the characteristic planespthat pass

through

p p pyramid andpdiagonals of its base, with (nr D 1= 2, nz D

the axis of the

1= 2 ) and (nr D 1= 2, nz D 1= 2 ). These equations will be supplemented with

the last relation in (5.102). The seven equations form a linearly independent system

equivalent to the original system; it can be written as

p @ @

2 .ur ˙ r / ˙ r z ˙ uz D Li ;

@ni @z 1

p @ @

2 .uz ˙ z / ˙ r z ˙ ur D Mi ;

@qi @r 1

(5.103)

@ ˇ @

2˛ .r r C zz 2r z / C .ur uz / D Pi ;

@t 2 @li

2ı Ô .S S.Wp //

WP p D S.Wp / :

ˇ S

240 Chapter 5 Wave propagation problems

with

2ı Ô .k/ r ur

Li D r ; i D 1; 2;

ˇ S 3 r 1 r

2ı Ô .k/ r z ur

Mi D r ; i D 1; 2;

ˇ S 3 r 1 r

Ô .k/ 2

Pi D ı r C z 2r z ; i D 1; 2;

S 3

p @ @ @ p @ @ @ @ @ @

2 D ; 2 D ; D

@ni @r @t @qi @z @t @li @z @r

where Ô .k/ D Ô .SN SN .WN p // and ni and qi are distances measured along the re-

spective characteristics. It is apparent from equations (5.103) that each characteristic

relation has derivatives in only independent variables. This important fact reduces the

number of independent variables by one and, as in the one-dimensional case, simpli-

fies the numerical integration of the equations.

Let us represent equations (5.103) as integral relations by integrating each of them

over the area of the respective face of the pyramid. Then, by applying Green’s for-

mula, we rearrange the left-hand sides to obtain relations that do not involve deriva-

tives. For example, the first relation in (5.103) becomes

Z p Z

2 .ur C r r / dz C r z C uz d n1 D L1 d †;

C 1 †

where † is the area of the triangle AOB and C is its contour (Figure 5.10). Calcu-

lating the integral using a suitable quadrature formula, we arrive a finite difference

representation of equations (5.103). With the trapezoidal rule, we obtain

1 1

.ur C r r /O C .ur C r r /K C r z C uz r z C uz

2 1 B 2 1 A

h

D .L1A C L1B C L1O /: (5.104)

6

In a similar manner, we find a difference equation for the opposite face A1 OB1 :

1 1

.ur r r /O .ur r r /K1 C r z uz r z uz

2 1 B1 2 1 A1

h

D .L1A1 C L1B1 C L1O /: (5.105)

6

Difference equations for the second and third pair of relations in (5.103) can be ob-

tained likewise. Equation (5.102) for Wp should be integrated along the axis of the

pyramid. Thus, we obtain a complete system of equations for determining the solution

at the point O.

Section 5.3 Two- and three-dimensional characteristic schemes and their application 241

Let us discretize the domain occupied by the body in the rz-plane at time t using

a square grid with step size x, so that the nodes have the coordinates (i x, j x).

For time t C t , the solution will be evaluated at the nodes of a grid translated with

respect to the grid at time t by half-step in both r and z, so that the nodal coordinates

are (.i C 1=2/x, .j C 1=2/x). On this grid, the equations can be written in the

usual

finite difference form.

For example,

if we take

the nodes

A .i C 1/x; j x ,

B .i C 1/x; .j C 1/x , A1 i x; .j C 1/x , B1 i x; j x , and O .i C

1=2/x; .j C 1=2/x , as shown in Figure 5.10, equations (5.104) and (5.105) will

become

1 1

ukC1

r D .a C b/kC1

iC1=2;j C1=2

; rkC1

r D .a b/kC1

iC1=2;j C1=2

; (5.106)

2 2

with

kC1 1 k k k k

aiC1=2;j D a C aiC1;j C1 C ciC1;j C1 ciC1;j

C1=2 2 iC1;j

x k k k

C L1i C1;j C1 C L1i C1;j C L1i C1=2;j C1=2 ;

3

kC1 1 k k k k

biC1=2;j D b C bi;j C di;j di;j

C1=2 2 i;j C1 C1

x k

C L2i;j C1 C Lk2i;j C Lk2i C1=2;j C1=2 ;

3

c D r z C uz ; d D r z uz :

1 1

These equations serve to determine rkC1 kC1

ri C1=2;j C1=2 and uri C1=2;j C1=2 . The above

scheme is implicit, since the right-hand sides involve the unknown quantity

LkC1

iC1=2;j C1=2 . The system is solved through an iterative process, with the first ap-

proximation taken in the form

1 k 1 k

LkC1

1i C1=2;j C1=2 D L1i C1;j C1 C Lk1i C1;j ; LkC1

2i C1=2;j C1=2 D L2i;j C1 C Lk2i;j :

2 2

The system of equations (5.106) and the analogous systems for the second and third

pairs of equations (5.106) reveal another advantage of the canonical characteristic

form of representation of the original equations. The system of difference equations

for determining the unknown quantities is diagonal with respect to akC1 , b kC1 , . . . ,

which reduces the amount of computations.

scribed at the body surface, which can be written as

a1 un C b1 n D f1 ;

(5.107)

a2 u C b2 D f2 :

242 Chapter 5 Wave propagation problems

The subscripts n and indicate a normal and a tangential component; f1 and f2 are

given functions.

In constructing difference equations for determining the solution at a boundary

point, one faces a difficulty associate with apparent overdeterminacy of the problem.

On the one hand, one should use all the equations available for an internal point and,

on the other hand, boundary conditions are added at the surface. The question arises

as to how one should choose the adequate set of equations for determining the so-

lution. The canonical form of characteristic equations with respect to the boundary

allows one to obtain, in a natural way, the only true scheme for the calculation of the

boundary point, just as in the one-dimensional case. The characteristic relations that

we used for a internal point do not provide a canonical form. To obtain a canonical

form, we have to write out all the characteristic equations for which the normal n with

the inward normal to the boundary. In this case, we obtain five relations, one for each

of the equations (5.98)–(5.102), with two boundary conditions, thus giving us seven

relations for seven unknowns. In is noteworthy that the seven equations have been

obtain using the whole original system of equations. The problem can be shown to

have a unique solution, provided that the boundary conditions (5.107) are well posed.

The points belonging to stationary surfaces of discontinuity are calculated using the

same scheme as the boundary points.

t

K1 C1

B1

O1 L

L1 r

K B

C

z

Consider the case where the boundary belongs to a coordinate line, for example,

r D const. By setting nr D ˙1 and nz D 0, we obtain the canonical form of equa-

tions (5.98)–(5.102). The upper sign in nr D ˙1 corresponds to an inner boundary

and the lower sign, to an outer boundary. Just as in the case of an internal point,

rewriting these equations as integral relations and integrating of the areas of the trian-

gles BOB1 , COC1 , and KOK1 (Figure 5.11), lying, respectively, in tangent planes

to the longitudinal and transverse wave cones and to the inner boundary, we arrive

at finite difference equations. For the triangle BOB1 , relations (5.104) and (5.105)

on the inner and outer boundaries will hold. For the triangles COC1 and KOK1 ,

Section 5.3 Two- and three-dimensional characteristic schemes and their application 243

we have

1 1 x

PO D .PC C PC1 / C .QC C QC1 / .MC C MC1 C MO /

2 2 3.1 C /

Ô .k/ r z

P D r z C uz ; Q D uz C zz ; M D 2ı r z (5.108)

S r

1 1 2

RO D .RK C RK1 C 4R0 / C .uz C uzK1 /

6 2.1 /2 K

x

.LK C LK1 C LO1 C LO /;

4 (5.109)

R D zz r r ;

1

Ô

1 2 .k/ 1C ur

LD ı zz C uz C zz ;

.1 /2 S 3 r

Ô

ı .k/ 1 ur (5.110)

˛ S 3 ˛ r

Equations (5.108)–(5.110) are easy to rewrite in the usual finite difference form for

the grid introduced above.

Corner points are calculated using the same relations as those for boundary points

for either of the planes forming a right angle; then one should take the mean of the

resulting values.

Special attention should paid to the calculation algorithm for the points lying on

the symmetry axis. In this case also, the characteristic relations allow us to chose the

computational scheme in a unique way. The following three conditions must hold on

the symmetry axis:

r D 0; ur D 0; r z D 0; r D :

Then, four more equations are required to determine all unknowns. These include two

relations (5.103) on characteristic planes, the projection of the normal to which coin-

cides with the z-axis, and two relations (5.101) and (5.102), containing only deriva-

tives with respect to t , for and Wp . Relations (5.103) allow us to determine uz

and z . After evaluating the indeterminate expressions on the right-hand sides, we

obtain

p @ @ 2ı Ô .k/

2 .uz ˙ z / ˙ 2 r z ˙ ur D z :

@qi @r 1 ˇ S 3

The finite difference scheme is constructed following the same ideas as before.

244 Chapter 5 Wave propagation problems

From the difference equations (5.106) for internal points and equations (5.108)–

(5.110) for boundary points it is apparent that the characteristic scheme suggested is

a direct generalization of the one-dimensional scheme (5.52).

For a stability analysis (necessary and sufficient conditions) and applications to

modeling dynamic axisymmetric and plane problems for elastoviscoplastic media,

see [83].

For a generalization of the CIR explicit grid-characteristic scheme (5.41) to the

spatial case and its application to modeling a wide class of hyperbolic problems in

continuum mechanics, see the monograph [112]. Some other finite difference methods

for solving hyperbolic problems can be found in the monographs [148, 102].

generalization of the method of spatial characteristics and its

application to the solution of dynamic problems

A direct characteristic scheme for solving solid mechanics problems was published

in [83]. This monograph gives a complete description of first-order approximation al-

gorithms for the calculation of internal, boundary, and corner points as well as points

on the axis of rotation for shock wave fronts of contact discontinuities. The author an-

alyzed the necessary and sufficient stability conditions for the characteristic scheme

proposed. Two different approaches were used: differential approximations and a

numerical-analytic analysis of the eigenvalues of the transformation matrix for the

general Cauchy problem, including the case of a rigid system with ı D =t0 1,

where ı is the ratio of the relaxation time to the characteristic time of the original elas-

toviscoplastic problem. It is noteworthy that as ı ! 0, the system of elastoviscoplas-

tic equations becomes the Prandtl–Reuss system of equations for an elastoplastic me-

dium. The authors also investigated problems with moving and contact discontinuities

and analytically determined the structure of shock waves (longitudinal and shear) in

elastoviscoplastic media with different laws of plasticity and viscoplastic hardening.

The proposed characteristic scheme was used to solve dynamic problems.

What is studied is the transient propagation of a shock wave through a cylindrical

bar. Initially,pright after the impact, the pulse propagates with the plane longitudinal

p

wave speed . C 2 /= but then, due to a discontinuity, the speed drops to E=.

The wave amplitude behind the shock front undergoes oscillations due to reflections of

waves from the lateral surface of the bar. Eventually, the solution tends asymptotically

to the one-dimensional solution for a pulse propagating through a thin rod everywhere

except for a frontal zone, where damped oscillations persist behind the wavefront.

This solution was obtained numerically and analytically by an asymptotic method [83,

85].

An elastoviscoplastic bending problem was studied for a thick plate subjected to

a pulsed transverse load at high-frequency and low-frequency loading spectra. Prob-

lems of an explosive load acting on a cylindrical hollow vessel were investigated as

Section 5.4 Coupled thermomechanics problems 245

well as problems of spall fracture for plates and cylindrical vessels, and other flat and

axisymmetric bodies. The solutions were compared with those obtained by numerical

grid methods to highlight the advantages of the method of spatial characteristics.

In [177], a second-order direct characteristic scheme was proposed for an elasto-

viscoplastic medium. As an example, Lamb’s elastic problem was solved, where a

concentrated force is instantaneously applied to an elastic half-space, to demonstrate

that the scheme allows the solution of the problem with good accuracy for discontin-

uous laws of loading in both the spatial and temporal coordinates.

In [75], a generalization of the direct characteristic scheme was given for the case of

an anisotropic elastoviscoplastic medium. The scheme was applied to the dynamics of

composite materials. Calculations were carried out for different types of composites

with elastic fibers embedded in an elastoviscoplastic matrix, in particular, for layered

and fibrous carbon and boron plastics [17]. A comparison with experimental results

of other authors showed that the numerical simulation performed on the basis of the

direct characteristic scheme gives quite reliable results for dynamic tests of nonlinear

composite materials.

In [75], fracture of fibrous composite specimens under pulsed tensile loads was

studies. The authors investigated the mechanism of destruction of elastic fibers em-

bedded in an elastoviscoplastic matrix due to breaking of cylindrical elastic fibers.

The problems were studied in the non-uniform spatial statement with a direct charac-

teristic scheme.

A little earlier, inverse finite difference grid-characteristic scheme were suggested,

mainly to solve dynamic problems in elastic and liquid media [112]. The CIR inverse

characteristic scheme was generalized to spatial problems of continuum mechanics.

In [133], this scheme was applied to various dynamic problems of thermomechan-

ics and biomechanics. Some other finite difference methods for solving hyperbolic

problems can be found in the monographs [148, 102].

Chapter 8 of the present monograph discusses hybrid first- and second-order fi-

nite difference schemes with the use of characteristic schemes for the calculation of

boundary and other singular points in a dynamic analysis. For the interior points of

the body, shock-capturing schemes are used. This can significantly reduce the total

time of the computation.

In the motion of a heat conducting compressible gas, its temperature changes and its

energy gets transferred, with the heat conduction affecting the propagation of vibra-

tions. In studying such phenomena, one has consider two coupled processes:(i) the

motion of the gas under the pressure applied, governed by hyperbolic equation, and

(ii) heat conduction, governed by parabolic equations. Taking into account heat con-

duction results the absorption of high-frequency components of the linear momentum.

246 Chapter 5 Wave propagation problems

specific internal energy E E0 , where the quantities labeled with the superscript 0

refer to the unperturbed state.

The equation of state of the gas will be taken in the form

can be written as

@u @

Dc v . 1/e ;

@t @x

@v @u

Dc ; (5.111)

@t @x

@e @2 e @u

D 2 c ;

@t @x @x

p

where u is the velocity of gas particles, is a material constant, c D p0 V0 is the

isothermal speed of sound, v D cV =V0 , e D E=c, and D a=cV is the ratio of the

thermal conductivity a to the specific heat capacity at constant volume cV .

We use the following explicit finite difference scheme for system (5.111):

Dc . 1/ ;

t x x

nC1

vj C1=2 vjnC1=2 uj C1 ujnC1

nC1

Dc ; (5.112)

t x

ejnC1

C1=2

ejnC1=2 ejnC3=2 ejnC1=2 C ejn1=2 ujnC1 ujnC1

D c :

t .x/2 x

The scheme (5.112) is explicit, since ujnC1 can first be found from the first equation

and then used in the second and third equations. The grid for the thermodynamic

quantities is taken to be shifted by half-step with respect to the grid for the kinematic

quantities. This provides a second-order approximation in the space coordinate.

If the fact that the two processes are coupled is neglected, system (5.112) splits

into two independent subsystems: the first two equations describe the propagation of

sound perturbations and the third equations describes the propagation of heat.

Stability conditions for the independent subsystems are

p t t 1

c < 1; 2

< : (5.113)

x .x/ 2

For t ! 0 and x ! 0, if the first condition holds, this guaranties that the second

condition also holds. However, on a real grid with finite x and t , both conditions

are required to be satisfied.

Section 5.4 Coupled thermomechanics problems 247

In order to make the computation based on the explicit scheme more efficient, one

should solve the third equation with a smaller step size t =k than the first two so

as to ensure that each step in the solution of the wave equations, t , is accompanied

by k steps in the solution of the heat equation. In this case, conditions (5.113) are

replaced with

p t t k

c < 1; 2

< : (5:1130 )

x .x/ 2

As noted previously, the second condition in (5.113) leads to an unduly small step

size t . Therefore, it is more efficient to use an implicit scheme for the parabolic

equation, thus evaluating the right-hand side of the last equation in (5.112) at the .n C

1/st layer, while leaving the first two equations unchanged. Then the third equation

becomes absolutely stable, and hence it suffices to use only the first stability condition

in (5.113). From physical considerations it is clear that instability usually develops

from high-frequency components of the wave, for which the temperature practically

p

does not change. Hence, for a finite O.1/, the adiabatic speed of sound c

in the first condition in (5.113) can be replaced with the isothermal speed of sound c,

thus loosening the requirement to t .

When 1, one cannot assume that x =c, and hence one has to use a

p

practical condition for a intermediate cint such that c < cint < c. The stability

condition must depend, in this case, on two parameters

t t

Dc ;
D : (5:11300 )

x .x/2

This practical stability condition can be obtained from the von Neumann stability

condition jmax j 1 C O.t /, where O.t / can be dropped out, since the amount

of growth of a Fourier component of the approximate solution must not exceed that

of the exact solution, which decays with t . By applying the spectral analysis (see

Section 2.6) to system (5.112), we find that eigenvalues of the transformation matrix

are determined from

0 1

1 2i sin ˛ 2i . 1/ sin ˛

det @2i sin ˛ 1 0 A D 0; (5.114)

2i sin ˛ 0 1 C 2
Œ1 cos.2˛/

1

where ˛ D 2 k x. It can be shown that condition (5.114) holds as long as the

inequality s

1 C 2

< (5.115)

C 2

p

holds. For
1, condition (5.115) gives the constraint < 1= on the step

size, which coincides with CFL condition with the adiabatic speed of propagation of

248 Chapter 5 Wave propagation problems

1, with that with the isothermal speed. For 1, the

p

intermediate speed lies in the interval c < cint < c.

A numerical analysis has shown that the solutions obtained by the scheme (5.112)

are stable even if inequality (5.115) is not strict [147].

5.5.1 Hyperbolic and parabolic forms of differential approximation

Consider the differential equation

@u

D Au (5.116)

@t

where A is a matrix differential operator with respect to the space coordinates xi .

Let us approximate (5.116) with a two-layer finite difference scheme

As noted before (see Section 2.1), this approximation suggests a transition from an

infinite-dimensional functional space to a finite-dimensional vector space. Although

the solutions to (5.116) and (5.117) are defined in different spaces, it can be assumed

that the difference equations are solved by functions of a continuous argument at each

point of the domain concerned. Then the difference operators can be expressed in

terms of differential operators by using a Taylor series expansion. It is quite easy to

find, by a series expansion in the parameter , that the operator of temporal translation

by , T0 .u/ D u.t C /, can be represented as

1

X n n

T0 D e D0 D D ;

nŠ 0

nD0 (5.118)

D0 @n

ln e D D0 ; where D0n D n:

@t

A similar formula holds for the operator of spatial translation by hi , Ti .u/ D u.xi C

hi /:

X1

hni n @n

Ti D ehi Di D D ; where Din D ; i D 1; 2; 3: (5.119)

nD0

nŠ i @xin

It is noteworthy that if relations (5.118) and (5.119) are subjected to the Fourier

transforms with respect to t and x, one can see that D0 can be treated as the Fourier

parameter for the transform with respect to t and Di as that with respect to xi .

Section 5.5 Differential approximation for difference equations 249

It follows from (5.118) and (5.119) that the finite difference scheme (5.117) is

equivalent an infinite-order differential equation with rapidly decaying coefficients

is and hi are small:

1 1

@u X n1 @n u X @n u

C D Au C ck1 k2 k3 ; (5.120)

@t nŠ @t n @x1k1 @x2k2 @x3k3

nD2 k1 Ck2 Ck3 Dn

with both series being convergent. The series coefficients on the right-hand side have

the orders: ck1 k2 k3 D O.hk1 k2 k3

1 ; h2 ; h3 /, where ki are integers, with k1 C k2 C k3 D

n 1. The first terms on the left- and right-hand sides in (5.120) follow from the

approximation conditions for equation (5.116).

Equation (5.120) represents a hyperbolic form (or -form) of the differential ap-

proximation of the difference equation (5.117).

Note that one takes the Fourier transforms of (5.119) and (5.121) with respect to t

and xi , respectively, one can see that the operator D0 can be treated as the s-parameter

of the transform with respect to t and Di as the k-parameter of the transform with

respect to xi :

Z 1 Z 1

f .x / exp.i kx/ dx D f ./ exp.i k/ d exp.i k /

1 1

D fN.k/ exp.i k /;

R1

where fN.k/ D 1 f ./ exp.i k/ d .

For the same difference equation, one can obtain a parabolic form (or …-form) by

expressing the n-order derivatives (n 2) with respect to t in (5.120) in terms of the

derivatives with respect to x using equation (5.116). In other words, if one applies

the differential approximation (5.120) to solutions to the differential equation (5.116),

one arrives at a …-form that does not involve higher derivatives with respect to t :

1

X

@u @n u

D Au C dk1 k2 k3 : (5.121)

@t

k1 Ck2 Ck3 Dn

@x1k1 @x2k2 @x3k3

5.5.2 Example

To illustrate the differential approximations, consider the simple advection equation

@u @u

a D 0; a D const : (5.122)

@t @x

Let us approximate the equation using a three-point finite difference scheme:

0 un .x/ D a 1 un .x/; D D const; (5.123)

h

250 Chapter 5 Wave propagation problems

where

difference equation (5.123):

1 n n

@u @u X hn1 @ u n1 @ u

Da C a n : (5.124)

@t @x nD2 nŠ @x @t n

1

@u @u X hn1 @n u

Da C a .1 n1 an1 / n : (5.125)

@t @x nŠ @x

nD2

The coefficient of the leading term in the expansion (5.125) equals ˛2 D ah.1

a/=2, with the other terms having higher orders, ˛n D O.hn1 /, n 3. Restrict-

ing ourselves to only the leading term in the expansion (5.125), we obtain the first

differential …-approximation

@u @u ah @2 u

Da C .1 a/ 2 C O.h2 /: (5.126)

@t @x 2 @x

5.5.3 Stability

Studying the properties of the first differential …-approximation allows us to draw

some important conclusions about the properties of the difference equation. In partic-

ular, its stability can be determined.

A simple finite difference scheme for the system of equations @u

@t

@u

D A @x is a scheme

of the form

X 2

unC1 .x/ D Bk un .x C hk /; (5.127)

kD1

which involves only two nodes on the nth layer. The coefficients Bk are matrices, h

is the step size of the grid, and and k are integers.

Theorem 5.2. The simple finite difference scheme (5.127) approximates the system of

equations (5.116) if the conditions

B1 C B2 D E; 1 B1 C 2 B2 D A

an incomplete parabolic system, this condition is necessary for the stability of the

scheme (5.127) or even necessary and sufficient, provided that the matrix A is sym-

metric.

Section 5.5 Differential approximation for difference equations 251

For the proof of this theorem, see the monograph [160], where differentials approx-

imations are used on a systematic basis.

A system of differential equations is incomplete parabolic if the coefficient ma-

trix C of the second-order derivatives is nonnegative, C 0.

For example, the scheme (5.123) is simple. Its first differential approximation (5.126)

has a nonnegative coefficient of the second derivative, ah 2 .1 a/ 0, provided that

a 1, and hence the scheme is stable whenever the CFL condition is satisfied. This

is in agreement with the conclusions drawn previously (Section 3.1) from the spectral

analysis.

Differential approximations can be used to analyze and prove the stability of much

more complicated difference equations, for example, the stability of the finite differ-

ence schemes of spatial characteristics presented in Section 5.3 [83].

The first differential approximation can be used to judge not only the stability of a

scheme but also its dissipative and dispersive properties [160].

Let us discuss these properties by considering some simple examples.

The solution of the system of hyperbolic equations with a constant matrix A

@u @u

CA D0

@t @x

can be reduced, as was shown in Section 5.2, to the integration of independent equa-

tions for invariant ri (no summation over i ):

@ri @ri

C ai D0 i D 1; : : : ; n; (5.128)

@t @x

where n is the order of A.

We can, therefore, confine ourselves to the analysis of computational schemes and

their dissipative properties for a single scalar equation of the form (5.128).

Consider the arbitrary two-layer scheme

L

X

r nC1 .x/ D bl r n .x C l h/; (5.129)

lDL

where 2L is the number of nodes on the nth layer of the stencil employed.

A parabolic form of the difference equation (5.129) is given by

1

X

@r @r @m r

Ca D cm m ; (5.130)

@t @x @x

mD2

252 Chapter 5 Wave propagation problems

in the Fourier series to obtain

X

r0 .x/ D an e2ix= n :

n

the (5.128):

expŒi.kx !t /

where is the wavelength and ! is the frequency. The velocity at which a fixed wave

intensity or harmonic phase propagates through the space is equal to

2 !

' D kx !t D x t ;

k

where ap D !=k is the phase velocity.

In the general case, individual harmonics of the pulse travel with different phase

velocities ap , which leads to a distortion of the original pulse shape. The dependence

ap ./ characterizes the dispersion of the pulse. If dap =d > 0, which means that

harmonics with longer wavelength travel faster than those with shorter wavelength,

the dispersion is called normal. The pulse shape gets smeared out across space. Now

if dap =d < 0, the dispersion is called anomalous and the pulse gets distorted in

space. The Fourier component exp.i kx/ in the solution to equation (5.128) changes

in time by D exp.i ! / D exp.i a/, where the quantities D =.ah/

and D kh have been introduced for the convenience of comparing solutions to the

equation (5.128) with those to the approximating finite difference scheme (5.129) If

jj D 1, there is no dissipation and the argument changes by

ˆ D arg D a:

The quantity can be treated the Fourier transform of the operator of translation of

the solution to equation (5.128) by .

By applying to equation (5.118) the Laplace transform with respect to time and

Fourier transform with respect to the space coordinate, we obtain the transform of the

step operator, T0 ! exp. s/ with D0 ! i k , where s is the complex parameter of

the Laplace transform with respect to t . For the scheme (5.129) we get

X

D exp. s/ D bm exp.i m/:

m

1

X

i a

sD C .i k/m cm :

mD2

Section 5.5 Differential approximation for difference equations 253

It is easy to find jj and ˆh D arg and compare with jj and ˆ D arg , charac-

terizing the exact solution to the original equation (5.128):

X 1

Im

ˆh D arg D arg tan D Im s D a C .1/m k 2mC1 c2mC1 ;

Re

mD1

1

X

ˆ D ˆh ˆ D .1/m k 2mC1 c2mC1 : (5.131)

mD1

The quantities jj and ˆh determine the dispersion of the finite difference scheme and

its phase error.

The dissipation of the finite difference scheme is determined by

D D jj jj:

Hence,

1

X

m 2m

D D 1 exp. Re s/ D 1 exp .1/ k c2m (5.132)

mD1

(5.129) is expressed as

2

n 1

exp e k t C i k.x ae t / D .1 D/ exp i k.x at / C ˆh t ; (5.133)

k

where

1

X

e D .1/m k 2m2 c2m .approximation viscosity coefficient/;

mD2

1

X

ae D a .1/m k 2m c2mC1 .effective wave propagation velocity/:

mD2

e < 0, then the scheme is inadequate and the computational process is unstable.

The quantity ae is the effective velocity of propagation of waves. If for some k, we

get ae < 0, then equation (5.130) is inadequate and the finite difference scheme is

unstable. It is apparent that the leading term of ae is determined by the coefficient c3 ,

which is unrelated to the dissipative properties.

5.5.5 Example

For the equation

@u @u

Ca D 0;

@t @x

254 Chapter 5 Wave propagation problems

0 n 1 C 1 n h2 1 1 n

u .x/ C a u .x/ D u .x/; (5.134)

2 h2

which corresponds to b0 D 1 and b1 D 12 . ˙ a/, where > 0 is the scheme

parameter.

For D 1, D 2 a2 , and D a, we get the Lax scheme, Lax–Wendroff second-

order scheme, Godunov scheme, respectively. The Lax and Godunov schemes are of

the first order. The stability condition for (5.134) is

2 a2 1:

´1

. 2 a2 / 2 C O. 4 / if > 2 a2 ;

DD 2

1 2 2 2 2 4 6

8 .1 a / a C O. / if D 2 a2 :

1

ˆh D .1 C 2 2 a2 3/a 3 C O. 5 /:

6

It is clear that

in first-order accurate schemes, the effect of dissipation prevails over the effect of

dispersion; the former is of the second order of smallness while the latter is of the

third order;

in second-order schemes, the picture is reversed; dissipation is of the fourth order

while dispersion is of the third order, and hence the latter effects dominates.

As a consequence,

in first-order schemes, the effects of dissipation are quite strong and so parasitic os-

cillations arising at discontinuities decay rapidly, resulting in smooth wave profiles;

in second-order schemes, parasitic oscillations decay very weakly and affect the

entire domain of motion. Such oscillations are characteristic of shock waves in

second-order schemes.

These issues can be worked out in more detail by applying, following [84], an asymp-

totic approach to the analysis of discontinuous solutions.

discontinuous solutions

Differential approximations allow us to determine properties of finite difference

schemes for not only smooth but also discontinuous solutions [86]. For example,

Section 5.5 Differential approximation for difference equations 255

n+1

τ

1

n+–

2

vτ

n

1 1

i–1 i– –

2

i i+ –

2

i +1

predictor nodes and integer indices refer to corrector nodes.

equation (5.122) admits discontinuous solutions. Then the question arises as to the

behavior of solutions to the deference equation (5.123)?

Let us investigate this question for a family of three-point predictor-corrector

schemes for equation (5.122). The predictor step is implemented as the Lax scheme

nC1=2 1

uiC1=2 D .uni C uniC1 / .uni C uniC1 /; 0 1;

2 (5.135)

nC1=2 1 a

ui1=2 D .uni uni1 / .uni uni1 /; D :

2 h

The notation is shown in Figure 5.12. The main nodes are shown as filled circles and

intermediate nodes with half-integer indices are shown as crossed open circles. The

corrector step is based on the cross scheme. The spatial derivative is calculated using

half-integer nodes, the solution at which was obtained at an intermediate step:

nC1=2 nC1=2

uinC1 D uni uiC1=2 ui1=2 : (5.136)

n 2 n

uinC1 D uni uiC1 uni1 C uiC1 2uni C uni1 : (5.137)

2 2

For D 1=2, the scheme (5.137) coincides with the Lax–Wendroff scheme. By

expanding all terms of equation (5.128) at node .n; i / in powers of and h, we obtain

the equivalent differential equation

1 2kC1 2kC1

@u @u X 2k @ u 2k @ u

Ca C 2kC1

C 2kC1

@t @x .2k C 1/Š @t @x

kD1

(5.138)

X1

2k1 @2k u 2k

2kC2 @ u

C C 2 D 0:

2kŠ @t 2k @x 2k

kD1

256 Chapter 5 Wave propagation problems

Since, for any explicit scheme, the parameters and are fixed finite quantities,

with 0 < 1, equation (5.138) contains one small parameter , which appears

in the coefficients of derivatives in the form of increasing powers as the order of the

derivatives increases. We look for a solution to (5.138) as a powers series expansion

in :

u D u0 C u.1/ C 2 u.2/ C :

Assuming that the solution changes gradually, so that u @u=@t @u=@x have the

same order of magnitude, we obtain the zeroth-approximation equation

.@u=@t /0 C a.@u=@x/0 D 0;

which coincides with the original equation (5.122). This equation admits discontin-

uous solutions, unlike the parabolic approximation (5.138), which does not have dis-

continuities and which is being solved. Therefore, the investigation of solutions near

discontinuities is of greatest interest; the solution u0 differs from u by O.1/ rather

than O. /, as in the domain of smooth solution. This is due to the fact that, near the

line of discontinuity x D at , the assumption about the same orders of magnitude of

u and @u=@t is wrong. In the ˇ-direction, perpendicular to x D at , the derivatives

are large, which must be taken into account in the expansion when matching terms of

the same order of smallness. To this end, we change to new variables ˇ and ˛ and

introduce an unknown small parameter , which characterizes the rate of increase of

the solution in the ˇ-direction, normal to the wave front:

x at

ˇD ; ˛ D t:

The second variable has been left the same. Then equation (5.138) becomes

X1 2mC1

@u 2m @ u 1 @2mC1 u 2m @2mC1 u

C C 2mC1 2mC1

@˛ .2m C 1/Š @˛ 2mC1 @ˇ2mC1 @ˇ

mD1

1 (5.139)

X 2m1 @2m u 1 @2m u 2mC2 @2m u

C C 2 D 0:

2mŠ @˛ 2m @ˇ2m 2m @ˇ2m

mD1

This equation involves two small parameters, and , which are related to each other.

The relation can be found by expanding u in powers of :

u D u0 C u1 C : (5.140)

Substituting (5.140) into (5.139), we find that, for 1=2, the leading term is the

first term in the second sum; the condition D 1=2 must hold for this term to have

the order O.1/. Near the discontinuity, the zeroth approximation equation is

@u0 @2 u0 2 1

D b02 2 ; b02 D : (5.141)

@˛ @ˇ 2

Section 5.5 Differential approximation for difference equations 257

At D 1=2, the finite difference scheme is second-order accurate, with the term on

the right-hand side of (5.141) vanishing and the leading term in (5.139) becoming the

first term in the first sum. Therefore, D 2=3. Then the equation for u0 becomes

@u0 @3 u0 2 1

D b13 3 ; b13 D : (5.142)

@˛ @ˇ 6

It is apparent from(5.141) and (5.142) that, near the discontinuity, the solution be-

havior is described by different equations resulting from the application of first- and

second-order accurate schemes. The solution to equation (5.141) must satisfy the

condition of matching with the slowly varying solution u0 (for ˇ D ˙1):

(5.143)

u0 D u0 for ˇ D 1;

where u0˙ are the values of u0 ahead of and behind the shock front.

This solution can be obtained analytically in terms of the error function:

Z ˇ 1=2

u0C u0 2 z 2 x at

u0 D u0 C 1 p e dz ; ˇD : (5.144)

2 0 2 tb

ε ε

ε+ ε+

ε– ε–

β β

(a) (b)

Figure 5.13. Wave profiles: (a) monotonic (first-order accurate schemes), (b) oscillating

(second-order accurate schemes).

The solution profile is displayed in Figure 5.13a in the scale of . Although the

theoretical width of the transient profile is infinite, the effective width x, calculated

from (5.145), is a finite quantity for fixed t that increases by the one-second power

law

juC u j

x D ˇ ˇ D b t 1=2 : (5.145)

maxˇ @u ˇ @x

258 Chapter 5 Wave propagation problems

The solution to (5.137) satisfying conditions (5.143) can be written in terms of the

Airy function Ai.t /:

Z

u0C u0

u0 D u0 C Ai.z/ dz ; D ˇ˛ 1=3 : (5.146)

2 3 0

b1 t 1=3

x D :

Ai.0/

The wave has an oscillating profile decaying at infinity (Figure 5.13b) and the effec-

tive width increases with time by the one-third power law. Thus, the solution behavior

obtained by a first-order scheme differs from that obtained by a second-order scheme;

the former predicts a smooth monotonic profile with the effective width growing by

the one-second power law and the latter predicts an oscillating profile with the effec-

tive width growing more slowly, by the one-third power law. It is significant that these

properties are common to all first-order and second-order accurate schemes, provided

that the system matrix A is constant. Individual schemes will only differ in the coef-

ficient b. By choosing a scheme with a minimum b and varying the parameter , one

can find a scheme with a minimum shock transition width.

Interestingly, for linear constant-coefficient equations, the scheme that provides the

minimum shock transition width is, simultaneously, a scheme with minimum viscosity

on monotonic solutions. This is easy to demonstrate by considering the above family

of schemes (5.137).

To this end, let us rewrite the first differential approximation (5.138) in the …-

form. By retaining only linear terms in , assuming that D h=a, and replacing the

derivatives in t with derivatives in x, and taking into account (5.122), we obtain

@u @u @2 u

for > 1=2; a D .2 1/ 2 ;

@t @x 2 @x

@u @u 2 2 @3 u

for D 1=2; a D . 1/ 3 :

@t @x 6 @x

It is apparent that the coefficients on the right-hand sides are the same as in equa-

tions (5.141) and (5.142), respectively. The family of schemes in question is stable

for 1=2 and unstable for < 1=2, and the scheme providing the minimum shock

transition zone width is, simultaneously, the scheme of minimum viscosity [160].

Strictly speaking, this property is only valid for linear equations. For nonlin-

ear waves, the situation is more difficult; for example, schemes that are stable on

smooth solutions can become unstable on discontinuous solutions. This has been il-

lustrated by individual examples. So far, no general results have been obtained on this

point [86].

Section 5.5 Differential approximation for difference equations 259

real grid

In conclusion, we will present some general considerations on practical application

of stability analysis results based on differential approximations for actual grids with

finite step sizes.

It is apparent from equation (5.120) that a difference equation with finite and h

is equivalent to an infinite-order differential equation with small coefficients of the

higher derivatives rather than the first-order equation (5.116), for which the approx-

imation is only valid as ! 0 and h ! 0. In reality, computations are performed

with finite step sizes and so the solution to a difference equation will deviate from

that to the original equation in the same way as the latter deviates from the solution

to a high-order differential equation or, in the first approximation, from its first differ-

ential approximation. The differences in the solutions to these differential equations

are studied by the theory of differential equations with small coefficients of higher

derivatives. The theory says that the solution to the zeroth-approximation of equa-

tion (5.116) will only reproduce a slowly varying component, while fast harmonics of

the solutions will be completely different from each other. Consequently, the results

predicted by the difference and differential equations will only be close to each other

for smooth solutions and can differ significantly for rapidly varying solutions. This

depends, on the one hand, on the smoothness of the solution to the original problem

and, on the other hand, on the consistency of the boundary conditions between the two

equations. The approximation of the boundary conditions should be performed so as

to avoid a pseudo-edge effect, which means that the boundary data for the higher dif-

ferential approximations should make the solutions vanish at the boundary as ! 0

and h ! 0 [97].

The analysis of stability, well-posedness, and convergence of boundary value prob-

lems for difference equations is the most difficult and poorly studied area in the theory

of computational methods. The astute reader has probably noticed by now that the the-

oretical issues in the stability analysis of differential approximations and so on relate

almost exclusively to initial value problems, while having little relevance to boundary

value problems.

As follows from the aforesaid, potential sources of all sorts of trouble are the bound-

aries of the body, interfaces between inhomogeneous parts of the body, and lines of

discontinuity of solutions. This is where undecaying and, for unstable schemes, even

increasing oscillations can arise, which will further extend to the entire solution do-

main.

It is now clear that rapidly varying components of the solutions to difference equa-

tions on finite grids bear no objective information about the real solution and are

parasitic, associated solely with the computations. Therefore, such components can

and should be excluded in the course of the computation. This will improve the qual-

ity of the solution if the grid is fine enough. When high-frequency oscillations of

260 Chapter 5 Wave propagation problems

clearly non-physical nature arise, one should arrange an artificial smoothing of the

solution after each series of several computation steps in time so as to filter out spu-

rious, non-smooth components of the difference solution, for example, by averaging

over three neighboring nodes (see (7.69)). Furthermore, this technique can be ap-

plied even in calculations based on unstable schemes. Smoothing will stabilize the

solution every time, eliminating the high-frequency oscillations that cause instabil-

ity. It is this kind of smoothing that absolutely stable schemes perform automatically.

Difficulties arise when high-frequency oscillations are of physical nature and so they

should be preserved and separated from the computational oscillations, which should

be suppressed. Such problems arise in the solution of multiscale problems and require

special solution techniques [95].

5.6 Exercises

1. Reduce the system of equations describing one-dimensional unsteady motion of an

ideal barotropic gas to the characteristic form. Write the Courant–Isaacson–Rees

grid-characteristic scheme.

2. Obtain a direct characteristic scheme of integration of the equations of motion for

a nonlinear elastic preheated beam. The initial temperature distribution is given by

T D T0 sin.x= l/. The beam material is steel with E D 2105 MPa and D 0:3.

In addition, T0 D 200 ı C, T1 D 20 ı C, and the beam length is l D 0:5 m. The

stress-strain diagram is power-law:

" ˛T n

D ;

0 "0

where 0 D 2 102 MPa, "0 D 0 =E, n D 1=2, and ˛ D 13 106 1/K (linear

thermal expansion coefficient for steel).

3. Solve the plane problem for a rigid perfectly plastic half-plane with an elliptic

punch pressed into it without friction; the punch is half submerged and moves with

a constant speed v D v0 (Figure 5.14). For the equations of a rigid-plastic medium,

see, for example, [54, 67]. The punch shape is described by the equation

x2 y2

C D 1:

a2 b2

Take b D 0:1 a. In the dimensionless variables, the speed is v0 D 1 and the yield

stress equals s D 1.

4. Solve the impact problem for an elastic steel beam hit by a rigid body moving

with a constant speed v D v0 . Use a grid-characteristic implicit scheme of the first

order of accuracy. The elastic constants are E D 2 105 MPa and D 0:3; the

impact speed is v0 D 1 m=s.

Section 5.6 Exercises 261

b

a x

υ0

Figure 5.14. An elliptic punch submerged into a rigid plastic half-plane (plane deformation).

5. Using the …-form, investigate the stability of the second-order accurate cross

scheme for the one-dimensional wave equation.

6. Determine the …-form of the first differential approximation of the Lax scheme

for the two-dimensional wave equation. Analyze the scheme stability using the

…-form.

dimensional problem about a plane shear wave propagating through an infinite

layer of thickness h made of a nonlinear elastic material. A constant load 12 D

0 H.t / is applied to the side x D 0 at time t D 0, where H.t / is the Heaviside

step function. There is no load applied to the side x D h. The shear modulus is

G D 105 MPa. The stress-strain material diagram is given by

12 "12

DG ;

0 "0

8. Solve the problem from Exercise 7 for an elastoviscoplastic layer. Using the rela-

tions on characteristics, analytically determine the stress intensity at the front of a

discontinuity wave.

9. Solve the one-dimensional problem on waves propagating through an elastic beam

of length l using an implicit three-point scheme. The stress 11 D 0 H.t / is

prescribed at the left boundary x D 0, where H.t / is the Heaviside step function.

The right boundary is stress free: 11 .x D l/ D 0. Use the sweep method to

solve the resulting system. The beam material is steel with E D 2 105 MPa and

0 D 3 102 MPa.

10. Solve the problem of the propagation of one-dimensional elastic waves in a layer

of thickness h after an impact on the layer boundary with a constant velocity

v.x D 0/ D v0 H.t / applied at 30ı to the normal. The backside of the layer

stress free. Use a second-order implicit grid-characteristic scheme on a four-node

262 Chapter 5 Wave propagation problems

stencil. Represent the system of equations in terms of invariants. The elastic con-

stants are E D 2 105 MPa and D 0:3.

11. Study the dissipative and dispersive properties of the Lax scheme by the method

of the first differential approximation for problems of propagation of elastic shear

waves.

12. Study the dissipative and dispersive properties of the Lax scheme by the method

of the first differential approximation for problems of propagation of longitudinal

elastic waves.

13. By the finite difference method, solve the problem of unsteady expansion of a

spherical cavity of radius r0 D 1 cm immersed in an infinite viscoelastic medium.

The internal pressure r D p0 et=t0 is applied to the cavity surface. Initially,

the medium is unperturbed. Using the cross scheme, determine the stress-strain

state up until t D 2 t0 . Take p0 D 20 MPa, t0 D 3 , Young’s modulus E D

2 105 MPa, Poisson’s ratio D 0:3, and the relaxation time D 104 s.

Chapter 6

dynamic and quasistatic boundary value problems

Finite difference splitting schemes present one of the most efficient ways of solving

multidimensional evolution problems in continuum mechanics. They allow one to

reduce the solution of a complicated system of equations to the successive solution of

simpler problems and achieve through this a faster rate of solution [116].

Consider the Cauchy problem for evolution equations of the form

@u

D Au; (6.1)

@t

where A is some matrix differential operator with respect to the space coordinates

representable as the sum of two operators

A D A1 C A2 :

Then the solution of problem (6.1) reduces to the solution of the following two Cauchy

problems on the interval tn t tnC1 :

8

< @v D A v;

1

@t (6.2)

:

v.tn / D u.tn /I

8

< @w D A w;

2

@t (6.3)

:

w.tn / D v.tnC1 /:

As a result, the solution to problem (6.1) can be written in the form

u.tnC1 / D w.tnC1 / C O.t 2 /: (6.4)

Proof. Let us prove this for an explicit scheme, where the right-hand sides of the

equations in (6.2) and (6.3) are evaluated at the lower layer:

vnC1 vn wnC1 wn

D A1 vn ; D A2 w n ;

t t

vnC1 D .E C t A1 /vn ; wnC1 D .E C t A2 /wn :

264 Chapter 6 Finite-difference splitting method for solving dynamic problems

Taking into account that the initial data of the second problem are solutions to the first

problem, with wn D vnC1 and vn D un , we obtain

D ŒE C t .A1 C A2 / C t 2 A2 A1 un

D .E C t A/un C O.t 2 /:

The solution wnC1 coincides with the solution to the difference equation for (6.1)

to within O.t 2 /, which corresponds to a first-order approximation O.t / of the

differential equation (6.1):

unC1 un

unC1 D .E C t A/un ; D Aun C O.t /:

t

This is what was to be proved: unC1 D wnC1 C O.t 2 /.

This representation allows us to solve, at each time step t , two consecutive prob-

lems (6.2) and (6.3) instead of the original problem (6.1). This approach can be treated

as an approximate factorization of the original operator:

E C t A D .E C t A1 / .E C t A2 / C O.t 2 /:

C An , then it can be factorized, on the interval tn t tnC1 , into the prod-

uct of n multipliers:

E C t A D .E C t A1 / : : : .E C t An / C O.t 2 /:

n problems.

It is easy to show the validity of splitting for the implicit scheme as well. Equa-

tion (6.1) can be solved with the implicit scheme

unC1 un

D .A1 C A2 /unC1 ; or unC1 D ŒE t .A1 C A2 / 1 un : (6.5)

t

Performing the splitting similar to (6.2)–(6.3) and using the implicit scheme for either

equation,

vnC1 vn wnC1 wn

D A1 vnC1 ; D A2 wnC1 ;

t t

(6.6)

vnC1 D .E t A1 /1 vn ; wnC1 D .E t A2 /1 wn ;

v n D un ; wn D vnC1 ;

Section 6.2 Splitting of 2D/3D equations into 1D equations 265

D Œ.E t A2 /.E t A1 / 1 un D

D ŒE t .A1 C A2 / C O.t 2 / 1 un ;

6.1.3 Stability

It is easy to see that if, at each step, the splitting finite difference schemes satisfy the

stability condition, which means that the norms of the transformation matrices are

bounded, then the norm of the product will also be bounded. Suppose

kE C t A1 k C1 and kE C t A2 k C2 :

Then

k.E C t A1 /k k.E C t A2 /k C1 C2 ;

This proves the sufficient stability condition for the splitting finite difference

schemes.

(splitting along directions)

6.2.1 Splitting along directions of initial-boundary value problems for

the heat equation

In solving initial-boundary value problems, one has to specify the operators Ai in (6.1)

and approximate them with difference relations in the space coordinates to obtain a

final splitting scheme.

Consider an initial-boundary value problem for the two-dimensional heat equation

in the rectangle ¹0 x a; 0 y bº,

@u @2 u @2 u @2 u @2 u

D Au D 2 C 2 ; A1 D ; A2 D ; (6.7)

@t @x @y @x 2 @y 2

266 Chapter 6 Finite-difference splitting method for solving dynamic problems

ˇ

uˇ tD0 D u0 .x; y/

ˇ ˇ

(a) uˇxD0 D u1 .y; t /; uˇxDa D u2 .y; t /;

ˇ ˇ (6.8)

(b) uˇyD0 D u3 .x; t /; uˇyDb D u4 .x; t /:

We use the explicit splitting scheme and approximate the spatial derivatives at the

.n C 1/st layer by the central second-order differences for ƒxx and ƒyy :

nC1 nC1 nC1

nC1

vmC1;k 2vm;k C vm1;k

ƒxx vm;k D ;

x 2

nC1 nC1 nC1

nC1

wm;kC1 2wm;k C wm;k1

ƒyy wm;k D :

y 2

Then equation (6.6) becomes

8 nC1

ˆ n

< vm;k vm;k nC1

D ƒxx vm;k ;

(a) t

:̂ n

vm;k D unm;k ;

m D 1; : : : ; M;

8 nC1 (6.9)

n k D 1; : : : ; N:

ˆ

< wm;k wm;k nC1

D ƒyy wm;k ;

(b) t

:̂ n

wm;k nC1

D vm;k ; wm;knC1 nC1

D um;k ;

The first system in (6.9) is solved by the scalar sweep method with the boundary

conditions (6.8a) and the second, with (6.8b).

Physically, the splitting of a two-dimensional equation into two one-dimensional

equations can be treated as two consecutive processes: heat transfer in the x-direction

with thermally insulated walls parallel to the y-axis followed by heat transfer in the

y-direction with insulated walls x-walls. Consequently, calculating one layer requires

solving N C M one-dimensional problems. This kind of splitting is called directional

splitting. Note that each of the two finite difference schemes involved is stable, as

was shown in Section 2.6; hence, the scheme for the two-dimensional equation (6.7)

is also stable.

Section 6.2 Splitting of 2D/3D equations into 1D equations 267

It is clear that even in this simple example, splitting can be carried out in many

other ways. For example, this can be done as follows:

8 nC1

ˆ n

< vm;k vm;k 1 nC1 n

D ƒxx vm;k C ƒyy vm;k ;

t 2

:̂ v n D un

m;k m;k

for boundary conditions (6.8a),

8 nC1 (6.10)

n

ˆ

< wm;k wm;k 1 n nC1

D ƒxx wm;k C ƒyy wm;k ;

t 2

:̂ n

wm;k nC1

D vm;k ; wm;knC1 nC1

D um;k

for boundary conditions (6.8b).

This is a variable directional splitting scheme. Figure 6.1a shows the stencils used

for scheme(6.9) and Figure 6.1b corresponds to scheme (6.10). Although either split

problem in (6.10) remains two-dimensional, the implicit scheme is unidirectional on

each step and the corresponding algebraic system of equations is tridiagonal. This

scheme can be solved using the scalar rather than matrix sweep method [46]; one

would have to use the latter to solve the original problem without splitting (see Sec-

tion 4.4).

k+1

n+1

U m, k

m+1 n+1

U m, k k–1

m–1

m+1 Ũ

m–1

k+1

Ũ

k+1

k–1

n

U m, k

n

U m, k k–1

(a) (b)

Figure 6.1. Splitting along fixed directions (a) and varying directions (b).

One can easily verify that splitting schemes allow a significant reduction in the

number of arithmetic operations required for the solution of multidimensional

problems.

268 Chapter 6 Finite-difference splitting method for solving dynamic problems

erations required to obtain unC1 , once un is known, is proportional to the number of

unknowns. In the first place, this property holds true for explicit schemes; however,

as we could see in Section 2.6, explicit schemes are only conditionally stable, in the

solution of the heat equation, under a stringent condition on the temporal step size:

t x 2 =4. For this reason, one has to reject these schemes.

An implicit scheme for equation (6.7) without splitting leads at each step in t to a

Poisson equation. Even with the matrix sweep method, this problem requires, as was

shown in Section 4.4, approximately K1 MN 2 operations, where N is the number

of unknowns along the shorter side of the rectangle, N < M .

With the scalar sweep method along each direction, the number of operations re-

quired is proportional to the total number of unknowns in the layer; therefore, the

implicit splitting schemes (6.9) and (6.10) are cost-effective. The number of arith-

metic operations required to solve the problem is approximately K2 2 MN , which

is significantly less than K1 . One can easily verify that these schemes are absolutely

stable and so are much more beneficial than explicit and implicit schemes with no

splitting. This advantage becomes even more pronounced for problems with more

independent variables and finer discretization and, hence, more unknowns.

Splitting schemes for hyperbolic equations are also very easy to construct. For illus-

tration, consider the wave equation

2

@2 u 2 @ u @2 u

D a C : (6.11)

@t 2 @x 2 @y 2

In order to use the general solution scheme (6.1)–(6.3), this equation should be re-

duced to a system of first-order equations. Introduce the new independent variables

@u @u @u

D v; D "; D : (6.12)

@t @x @y

Then it follows from (6.11) that

@v 2 @" @

Da C :

@t @x @y

Differentiating the first equation in (6.12) with respect to x and y followed by differ-

entiating the second equation with respect to t , we obtain

@2 u @v @" @2 u @v @

D D ; D D :

@t @x @x @t @t @y @y @t

Section 6.2 Splitting of 2D/3D equations into 1D equations 269

This results in the following system of three first-order equations equivalent to (6.11):

8

ˆ @v 2 @" @

ˆ

ˆ Da C

ˆ

ˆ @t @x @y

ˆ

<

@" @v

D (6.13)

ˆ

ˆ @t @x

ˆ

ˆ

ˆ @ @v

:̂ D

@t @y

The solution vector U and differential matrix operators A1 and A2 are expressed as

0 1 0 1 0 1

v 0 a2 0 0 0 a2

@ @

U D @ " A ; A1 D @1 0 0A ; A2 D @0 0 0 A :

@x @y

0 0 0 0 0 1

The initial values for (6.12) are

@u

u D u0 .x; y/ and D v D v0 .x; y/ at t D 0: (6.14)

@t

Accordingly, the initial conditions for system (6.13) are

@u0

u D u0 .x; y/; v D v0 .x; y/; D 0 .x; y/ D at t D 0: (6.15)

@y

In addition, we choose, for example, the following boundary conditions at the sides

of the rectangle ¹0 x a, 0 y bº:

@u @u

D v D v0 .t; y/ at x D 0; D " D "0 .t; y/ at x D aI (6.16)

@t @x

@u @u

D v D v0 .t; x/ at y D 0; D D 0 .t; x/ at y D b: (6.17)

@t @y

Using an explicit splitting scheme, we obtain two problems:

8 8

ˆ @vQ @"Q nC1 n n n

ˆ

ˆ

ˆ D a2 ; ˆ vQ m vQ m D a2 "QmC1 "Qm1 ;

ˆ

ˆ n

vQ m n

D vm ;

ˆ

ˆ @t @x ˆ

ˆ t 2x

< <

@"Q @vQ nC1 "Qn n n

(1) D ; H) "Qm m 2 mC1 v

v

Q Q m1

ˆ

ˆ @t @x ˆ

ˆ D a ; "Qnm D "nm ;

ˆ

ˆ ˆ

ˆ t 2x

ˆ @Q :̂

:̂ D 0; QmnC1

D m n

; n

Qm n

D m I

@t

8 8

ˆ @vO @O ˆ vO knC1 vO kn O n QOnk1

ˆ

ˆ D a2 ; ˆ

ˆ D a 2 kC1

; vO kn D vQ knC1 ;

ˆ @t

ˆ @y ˆ

ˆ

ˆ

< ˆ

< t 2y

@"O

(2) D 0; H) "OknC1 D "QknC1 ; "Onk D "QknC1 ;

ˆ

ˆ @t ˆ

ˆ

ˆ

ˆ ˆ

ˆ nC1

vO n vO k1

n

ˆ @O @vO ˆ "Ok "Onk 2 kC1

:̂ D ; :̂ D a ; Okn D QknC1:

@t @y t 2y

270 Chapter 6 Finite-difference splitting method for solving dynamic problems

Here the one-dimensional Lax scheme (2.47) on a three-node stencil has been used

for each of the directions, with uk D 12 .ukC1 uk1 /.

On the layer n D 0, we use the boundary conditions

0

vm D v0 .x; ym /; "0m D "0 .x; ym /; m D 0; : : : ; M; My D b;

and, on each temporal layer, solve M one-dimensional problems for fixed ym with

the boundary conditions (6.16).

In the second problem, for n D 0, we use the conditions

and solve K one-dimensional problems for fixed xk with the boundary condit-

ions (6.17).

The above splitting scheme is conditionally stable provided that the CFL condi-

tion [29] holds in either direction x and y, based on the condition (see Section 5.5 and

Section 6.1.3).

To sum up, to obtain the solution for the .n C 1/st temporal layer, it is necessary to

solve K C M one-dimensional problems for each previous layer.

Quite similarly, problem (6.12)–(6.14) can be solved by using an implicit splitting

scheme and applying a scalar sweep to solve the resulting system of equations.

Splitting can be based on other than just geometric considerations. It can often be

useful for solving systems of equations that describe intricate physical processes in

complex rheological media. In this case, the complex process can be split into a se-

quence of simpler processes that have already been studied or are easier to analyze.

For example, the complex mechanical properties of a medium can be split into a set

of simple properties. This kind of splitting often relies on physical intuition of the

researcher and previous experience in solving simpler problems. Subsequent sections

will give examples of effective application of splitting techniques to solving the equa-

tions of a viscous fluid, elastoviscoplastic equations, and some others.

rheological models into simple ones. A splitting scheme

for a viscous fluid

Let us write out the Navier–Stokes equations for a thermally conductive viscous gas

of density and temperature T in the matrix form

@U @Wi

C D F; i D 1; 2; 3; (6.18)

@t @xi

Section 6.3 Splitting of constitutive equations for complex rheological models 271

0 1 0 1 0 1

vi 0

Bv1C B v1 vi C i1 C B g1 C

B C B C B C

B v C B v v C C; FDB C

U D B 2 C ; Wi D B 2 i i2 C B g2 C (6.19)

@v3A @ v3 vi C i3 A @ g3 A

@T

E v1 vi E C vj ij @xi vi gi

sides, respectively. The stresses in the fluid are given by

where p D p.; T / is the pressure, vi are the velocity components of the fluid, gi are

the components of the body force vector, E is the total energy, and
are the vis-

cosity coefficients, is the thermal conductivity, and ijD is the dissipative component

of the stress.

The hydrodynamic forces are determined by gradients of the flux vectors and can be

grouped as follows: (i) inertial, or convective forces, (ii) pressure gradient, or, in gen-

eral, conservative forces (e.g., see [77]),and (iii) viscous and thermal, or dissipative

forces.

It is convenient to begin the splitting starting from the differential representation of

the equations followed by writing out a discrete split form.

Accordingly, the 3 5 matrix W can be divided into three components: W D

W.1/ C W.2/ C W.3/ . The matrices W.k/ (k D 1; 2; 3) correspond to the processes

at which the following quantities vanish:

.1/

W D W.1/ W ik D 0; T .1/ D 0I

These matrices are called convective (W.1/ ), acoustic or conservative (W.2/ ), and

dissipative (W.3/ ).

If W in (6.18) is replaced with W.1/ , we get a model of free flow (if F D 0).

The change of W to W.2/ corresponds to hyperbolic acoustic equations, while the

change of W to W.3/ corresponds to a parabolic system of equations describing the

272 Chapter 6 Finite-difference splitting method for solving dynamic problems

8

8 ˆ @.2/

ˆ .1/ @ .1/ v .1/ ˆ

ˆ D 0;

ˆ

ˆ @ k ˆ

ˆ

ˆ

ˆ C D 0; ˆ

ˆ @t

ˆ

ˆ @t @x k

ˆ

ˆ

ˆ

ˆ ˆ

ˆ .2/

@p .2/

ˆ

< .1/ 1

ˆ

< .2/ @vi

.1/

@ vi

.1/ .1/

@ vi vk D 0;

1) C D 0; 2) @t @xi

ˆ

ˆ @t @x ˆ

ˆ

ˆ

ˆ k ˆ

ˆ .2/ .2/

@p.2/ vi

ˆ

ˆ ˆ

ˆ .2/ @E

ˆ

ˆ @.1/ E .1/ .1/

@.1/ vk E .1/ ˆ

ˆ C D 0;

ˆ ˆ

ˆ @t @xi

:̂ C D 0I ˆ

@t @xk :̂

p D p.; 0/I

8

ˆ @.3/

ˆ

ˆ D 0;

ˆ

ˆ @t

ˆ

ˆ

ˆ

< .3/ .3/

@v @2 vi .3/ .3/

3) k D . C /

ˆ C 4vk C ;i rv.3/ ıik C ;i .vk;i C vi;k /;

ˆ

ˆ @t @xk @xi

ˆ

ˆ

ˆ

ˆ @e .3/ @ @T .3/

:̂ D C D .3/ :

@t @xi @xi (6.21)

i;j 0 is a dissipative function, e D E v =2 is the

specific total energy, and v2 D j vj2 .

The Navier–Stokes equations (6.18) are in divergence form. However, these can be

rewritten in a non-divergence form if the vector of unknowns is taken as

0 1 0 1 0 1

f1 .U/ D @vi A or f2 .U/ D @vi A or f3 .U/ D @vi A :

T p e

3

@f X @

C i Ri f D 0; (6.22)

@t @xi

iD1

Section 6.3 Splitting of constitutive equations for complex rheological models 273

where i and Ri are matrix differential operators. For example, if f D f1 , we get (no

summation over i )

0 1

0

0 1 B @ D C

vi ı1i ı2i ı3i 0 B 1i C

B @x i C

B 2 C B C

Ba ı1i vi 0 0 b 2 ı1i C B @ C

B 2 C B D

2i C

B

i D Ba ı2i 0 vi 0 2 C

b ı2i C ; Ri D BB @xi C;

C

B 2 C B @ D C

@a ı3i 0 0 vi b 2 ı3i A B C

B @xi 3i C

0 c 2 ı1i c 2 ı2i c 2 ı3i vi B C

@ @ @T A

Cˆ

@xi @xi

where

2 1 @p 2 1 @p 2 p @e @e

a D ; b D ; c D

@ @T @ @T

and

@vk 2

ˆ D 2
C .rv/2

@xk

@v1 @v2 2 @v1 @v3 2 @v2 @v3 2

C
C C C C C :

@x2 @x1 @x3 @x1 @x3 @x2

Let us dwell on the one-dimensional equation of isothermal inviscid gas and write the

complete set of equations in non-divergence form

@f @f

CA D 0; (6.23)

@t @x

where

0 1 0 1

v 0

p

f D @v A ; A D @a 2 v b 2 A ; c12 D :

e 0 c12 v

ˇ

Introduce two operators, one with a diagonal matrix A1 D AˇpD0 and one with a

ˇ

non-symmetric matrix A2 D AˇvD0 , and replace system (6.23) with the split system

1 @f1 @f1

C A1 D 0; tn t tn C ;

2 @t @x 2

1 @f2 @f2

C A2 D 0; tn C t tn C :

2 @t @x 2

274 Chapter 6 Finite-difference splitting method for solving dynamic problems

On the first half-step, convective terms are included in equation (6.23), which cor-

responds to the transfer of the vector of state along a trajectory without change. On the

second half-step, one takes into account the state change in a cell due to the pressure

gradient in the equation of motion and velocity gradient in the continuity and energy

equations.

.k/

Introduce matrix differential operators Aih providing a kth-order approximation

@

(k D 1; 2) of the differential operators Ai @x at nodes n:

0 1

0 n ƒk 0

B N kC

A.k/

1h

D unlƒk E; A.k/

2h

D @.a2 /n ƒ

Nk 0 .b 2 /n ƒ A;

0 .c 2 /n ƒk 0

N k is the conjugate of ƒk (k D 1; 2). The equalities ƒ

derivative, and ƒ N k D ƒk

C

and ƒN D ƒ hold, where ƒ denotes the forward difference, ƒ is the backward

2 2 1 1

C

difference, ƒ2 is the symmetric difference operator, and ƒk is the non-symmetric

operator.

We adopt the following implicit splitting scheme:

f nC1=2 f n

C Ak1h Œ˛f nC1=2 C .1 ˛/f n D 0;

(6.24)

f nC1 f nC1=2

C Ak2h Œ˛f nC1 C .1 ˛/f nC1=2 D 0:

Rewrite equation (6.24) in the form

E C ˛Ak1h f nC1=2 D E .1 ˛/Ak1h f n ;

E C ˛Ak2h f nC1 D E .1 ˛/Ak2h f nC1=2 ;

E .1 ˛/Ak1h , respectively, and adding together, one obtains

2

f nC1 f n X k

C Aj h Œ˛f nC1 C.1˛/f n C Ak1h Ak2h ˛ 2 f nC1 Ak1h Ak2h .1˛ 2 /f n

j D1

D .1 ˛/˛ Ak1h Ak2h Ak2h Ak1h f nC1=2 :

.k/ .k/

It is clear that f nC1=2 can be eliminated only if ˛ D 0 or ˛ D 1 or if A1h and A2h

are commutative, which holds only if the equation coefficients are constant. In these

cases, the scheme (6.24) is second-order accurate in t if ˛ D 1=2. In the nonlinear

case, the finite difference scheme is first-order accurate in t and kth-order accurate in

the spatial coordinate.

Section 6.3 Splitting of constitutive equations for complex rheological models 275

On the first step, the difference equations (6.24) are solved independently, since the

.k/

operator A1h is diagonal. If ƒk D ƒ1 , so that the forward or backward first-order

difference is used, we get two-point equations, which can be solved with the following

implicit running scheme:

n ˇ nC1=2 ˇ

1 .1 ˛/vkn ƒ1 fm C ˇfm1 ˇ

nC1=2

fm D nj

; (6.25)

1 C jvm

where D = h. The calculation is performed from left to right (the minus sign

n 0 and from right to left (the plus sing in (6.25)) if v n 0. If

in (6.25)) if vm m

the velocity changes sign, it is more convenient to use three-point sweep for each

component of f having rewritten equation (6.25) in the form

nC1=2 nC1=2 nC1=2 n n

am fm1 C bm fm C cm fmC1 D qm fm ;

where

ˇ n ˇ n

am D ˇvm ˇ C vn ; bm D 1 C 2jvmn

j; cm D vm n

jvm j ;

m

n

n 1

qm D 1 .1 ˛/vm ƒ˙ :

Depending on the sign of v, we have either am or cm vanishing.

If ƒk D ƒ2 , one uses a three-point stencil and the running scheme or, if v changes

sign, five-point scalar sweep (e.g., see [77]).

On the second, fractional step, system (6.24) can be represented in the scalar form

nC1 D nC1=2 n ƒk v;

Q

e nC1 D e nC1=2 .c 2 /ƒk v;

Q

(6.26)

nC1 2 nNk 2 nNk

v C Œ.a / ƒ Q C .b / ƒ e Q D 0;

vQ D ˛v nC1 C .1 ˛/v n ; eQ D ˛e nC1 C .1 ˛/en ;

where the subscript m has been omitted for simplicity. Eliminating nC1 and e nC1

from the last equation, we arrive at the difference equation

® ¯

1 2 ˛ 2 Œ.a2 /n ƒ

N k n ƒk C .b 2 /n ƒ

N k .c 2 /n ƒk v nC1

® ¯

D 1 C 2 ˛.1 ˛/Œ.a2 /n ƒ N k n ƒk C .b 2 /n ƒ

N k .c 2 /n ƒk v nC1=2 :

Œ.a2 /n ƒ

N k nC1=2 C .b 2 /n ƒ

N k e nC1=2

This equation is solved on a .2k C 1/-point stencil by a three-point sweep for k D 1

or five-point sweep for k D 2, both being well-conditioned. The values of nC1

and e nC1 are found from the first two equations once vjnC1 has been found. This

completes the calculations.

For a systematic application of the splitting method to gas dynamic problems, see

the monograph [77].

276 Chapter 6 Finite-difference splitting method for solving dynamic problems

problems

The splitting of solid mechanics equations is different from that of fluid mechanics

equations. In a viscous fluid, the stress is directly expressed in terms of the strain

rate and can be eliminated from the equations. For solids, which possess viscoplastic

as well as elastic properties, the constitutive equations contain not only the stress

but also its time derivative [90]. Therefore, just as for viscous fluids, the stress can

not be eliminated from the complete system of equations, and must be included in

the main vector of unknowns u D .; vi ; E; ij /T , which has eleven components

in the spatial case. Equation (6.20) in system (6.18)–(6.20) must be replaced with

constitutive equations of the elastoplastic medium.

The original constitutive theory of elastoplastic media consists of the following basic

assumptions of the plastic flow theory [61, 87].

1. Additivity of the elastic and plastic strain rates:

p

dij D dije C dij ; (6.27)

p

where dij D 12 .vi;j C vj;i / is the total strain rate, dije is the elastic strain rate, and dij

is the plastic strain rate.

2. Yield criterion, a finite relation between the stress invariants Ji , strain rate invari-

ants Di , and internal parameters of the medium

k :

F .Ji ; Di ;

k / D 0 .i D 1; 2; 3I k D 1; : : : ; n/I (6.28)

k / < 0.

3. The elastic strain "eij is connected to the stress tensor kl via Hooke’s law

1

d "eij D Dij kl dkl ; (6.29)

where Dij kl

as

1 1 2

Dij kl D ıki ılj 1 ıij ıkl ;

2 3K

Section 6.4 Splitting scheme for elastoviscoplastic dynamic problems 277

When condition (6.28) holds, the material experiences plastic deformations, which

are described by an associated flow rule, according to which the strain rate increment

is parallel to the normal direction to the yield surface (6.28),

p @F

d "ij D d ; (6.30)

@ij

with the active loading conditions .@F=@ij / ıij > 0 and F D 0 satisfied. The

equality .@F=@ij / ıij D 0 corresponds to “neutral loading.” If .@F=@ij / ıij < 0,

p

the additional load ıij does not cause plastic deformations and so deij D 0; d is a

dimensionless scalar quantity determined during the solution.

4. Evolutions equations for determining the internal parameters

k characterizing the

material’s internal structure, which changes during the deformation:

P k D

k .Ji ;

k /: (6.31)

Examples of such parameters include the hardening parameter, residual stress, poros-

ity, damage, and others.

p

If the yield criterion (6.28) is independent of Dk or

P k , the varying with time, the

properties of the plastic medium are independent of the time scale. Such media will

be called elastoplastic or classical. Plastic media whose properties depend of the time

scale will be called elastoviscoplastic.

Equations (6.27)–(6.31) completely determine the constitutive model of the me-

dium and, in conjunction with the conservation laws (6.18) and (6.19), form a closed

system of equations.

The mathematical formulation of the equations of the plastic flow theory is character-

ized by the fact that the constitutive equations are formulated in the form of differen-

tial equations and a yield criterion, which is a constraint on the stress invariants. For

example, the von Mises yield criterion is a constraint on the second invariant of the

stress tensor.

This fact brings some specific features in the formulation of the closed system of

plasticity equations and allows one to use various representations of the system of

differential equations and, as a consequence, choose different solution methods.

1. The yield criterion can be satisfied identically through the introduction of new

variables and the system of equations can be reduced to a system of differential rela-

tions [54, 165, 67].

2. Another feature, which is used in most numerical simulation studies of elastoplas-

tic processes, suggests a representation of the equations as a system of differential

equations resulting from differentiating the yield criterion (6.28) and eliminating d

278 Chapter 6 Finite-difference splitting method for solving dynamic problems

from (6.30), with the original yield criterion (6.28) taken to be an additional initial

condition. As a result, the constitutive equations become

p 1 1

d "ij D d "eij C d "ij D Dij kl C HFij Fkl dkl D Aij kl dkl ;

@F @F (6.32)

Fij D ; H D kl Fkl :

@ij @

1

1

dij D Dij kl d "kl H C HFmn Fmn Fkl Fpq d "pq D Aij kl d "kl ;

2

(6.33)

where Dij kl is the tensor of elastic moduli and Aij kl is the tensor of elastoplastic

moduli.

By supplementing equations (6.18)–(6.19) with (6.33), one arrives at a hyperbolic

system of 11 equations in the hypoelastic form, which is normally used in solving

elastoplastic problems with the finite element method [188, 56, 89].

An undesirable aspect in this approach is the differentiation of the yield criterion (6.28),

which results in a decrease in the solution accuracy.

3. A third approach suggests the minimization of an elasticity functional under an

additional constraint, taken in the form of the plasticity inequality F 0, for the

whole solution domain (e.g., see [36]).

These differences in the formulation of the original equations require significantly

different numerical methods to solve the problem.

With the first approach, the number of unknowns and, hence, the order of the system

reduces by one. This approach would be most advantageous if the change of variables

did not complicate the equations, as is the case in the plane problem for a perfectly

rigid-plastic material. However, in more general cases, this complication is crucial,

especially in the three-dimensional case; therefore, it is not employed.

The second approach has the disadvantage that the artificial differentiation of the yield

criteria leads to an increase of the order of the system as well as its complication and

considerable difficulties in its integration.

With the third approach, the problem can be reduced to solving a variational inequality

by special methods having their own specific features and advantages; these methods

will be discussed in Section 6.6.

4. Finally there is one more possibility for solving the problem in the original, phys-

ical statement (6.27)–(6.31). This possibility suggests taking advantage of numerical

methods based on the splitting of equations in physical processes, without differenti-

ating the yield criterion (6.28) [90, 94].

Section 6.4 Splitting scheme for elastoviscoplastic dynamic problems 279

This approach, based on the original formulation of the equations turns out to be sim-

pler that and, therefore, preferable to those based on transforming or differentiating

the yield criterion.

The finite-deformation system of equations for a hypoelastoplastic medium involves

the laws of conservation of mass, linear momentum, and energy, which, in the Eule-

rian variable, can be represented as

@ @.vk /

C D 0;

@t @xk

@.vi / @.vi vk / @ik @sik @p

C D D C ; (6.34)

@t @xk @xk @xk @xi

@.E/ @.vk E/ @.vj kj / @ @T

C D C :

@t @xk @xk @xk @xk

These equations should be supplemented with the constitutive relations (6.27)–(6.31)

for the hypoelastoplastic medium written in terms of the Eulerian variables.

The additivity condition for the strain rates in conjunction with Hooke’s law for

hypoelastic materials [90] gives an equation for determining the stress tensor

Dij dij p

D C ik kj C ki j k D Dij kl .dkl dkl /; (6.35)

Dt dt

where Dij =Dt is the Jaumann derivative, which excludes the time change of the

tensor ij due to rigid rotation of a particle, Dij kl is the elastic modulus tensor of the

material, ij D 12 .vi;j vj;i / is the rate of rotation tensor (see Section 1.9).

An alternative formulation of the constitutive equation (6.35) is also possible, where

the Jaumann derivative is replaced with another objective derivative of the stress ten-

sor and a different stress state measure is used (see Section 1.11). The above formu-

lation (6.35) is the simplest and is widely used in finite deformation plasticity.

The system of equations (6.28)–(6.31) and (6.35) is represented in a form solved

for the time derivatives, just as required for splitting equations.

Our primary aim will be to integrate the constitutive equations of an elastoplastic

medium (6.28)–(6.31) and (6.35) with the splitting method. The conservation laws

can be split using schemes employed, for example, in fluid mechanics [116] with

insignificant changes and independently from the form, weak or differential, used to

formulate the conservation laws (see Section 1.8).

The general splitting scheme can be treated based on differential equations. What

is subjected to splitting is only equation (6.35).

p

1. The predictor is taken at dij D 0. Then the material is hypoelastic. Correspond-

ingly, together with the equations of motion at the time step, one has to system (6.34)

280 Chapter 6 Finite-difference splitting method for solving dynamic problems

@ @.vk /

C D0

@t @xk

@.vi / @.vi vk / @ik

C D (6.36)

@t @xk @xk

dij 1

C ik kj C ki j k D Dij kl .vi;j C vj;i /

dt 2

with the initial conditions obtained as the preceding step for the complete elastoplastic

problem. In the case of small isothermal deformations, one arrives at the simpler

system

@vi @ik dij 1

0 D ; D Dij kl .vi;j C vj;i /: (6.37)

@t @xk dt 2

Thus, the predictor represents a well-known problem for an elastic material; this prob-

lem can be solved with one of the stable finite difference schemes discussed above,

for example, the explicit characteristic scheme (Section 5.3).

2. The corrector is calculated at dij D 0 in (6.35). Then, from (6.35) and (6.30),

obtains the stress relaxation equation

dij d @F

D Dij kl : (6.38)

dt dt @kl

ˇ

Relaxation takes place until the stationary yield criterion F .Ji ; JPi ;

k /ˇJP D0 D 0

i

is satisfied if the medium elastoviscoplastic or until the elastic unloading condition

becomes valid if the medium is classical elastoplastic.

It is noteworthy that the problem of integrating the constitutive equations to determine

the stresses and internal parameters at fixed strains is a relaxation problem for the

stresses and internal parameters and is of independent interest.

In the case of a classical or equilibrium elastoplastic medium, whose properties are

time invariant, one can eliminate time t from the equations and analyze the process

with respect to :

dij @F

D Dij kl : (6.39)

d @kl

At the corrector stage, on solving equations (6.39) and (6.31) with the initial condi-

tions ij D ije and

k D

ek at D n , resulting from the solution of the elastic

problem,1 one arrives at a solution expressed in terms of the parameter as well as

ije ,

ek , and Di :

ij D ij .; ije ;

ek /;

ij D

ij .; ije ;

ek /; Di D Di .; ije /: (6.40)

1 Here and henceforth, the superscript ‘e’ refers to quantities obtained at the predictor stage, correspond-

ing to the solution of the elastic problem. As a rule, internal variables are not included into models of

elastic media and, hence, it can be assumed that

ek 0.

Section 6.4 Splitting scheme for elastoviscoplastic dynamic problems 281

Substituting the resulting expressions into the yield criterion (6.28), one obtains an

equation for determining

F .Ji ./;

k ./; Jie ;

ek / D 0: (6.41)

One substitutes the resulting into (6.40) to obtain the final solution of the complete

elastoplastic problem.

If a differential yield criterion is used and so the medium is assumed to be elasto-

viscoplastic, then relation (6.28) for determining reduces to differential equation of

the form

P D0

F1 .ije ;

ek ; ; / (6.42)

d

D ' F .Ji ./;

k .// D '.F /; (6.43)

dt

where '.0/ D 0 and is the relaxation time, a material parameters measured in

seconds, which appears in the time-dependent yield criterion.

The function F D F .Ji ./;

k .// on the right-hand side of (6.43) corresponds to

the equilibrium yield criterion (6.41). The function '.F / is determined by the depen-

dence of F1 on P in (6.42) or, in other words, by the viscosity type of the elastovis-

coplastic material. In many cases, equation (6.43) can be integrated in a closed form,

which allows one to analyze the properties of the resulting finite difference scheme

for different ', F , and .

It is clear that the splitting scheme suggested is stable if the predictor scheme of the

elastic problem is stable and there are solutions to equations (6.41) and (6.43), which

is easy to verify for a specific form of yield criterion.

Let us use this general procedure of the splitting method to solve specific types of

equations describing plastic flows.

Consider some classical elastoplastic media. We start with the (von Mises) flow theory

dependent on the second invariant J2 of the stress deviator with power-law strain

hardening:

1 1=2

J2 D sij sij D k0 C 2 1

ˇ ; (6.44)

2

where 1 is the hardening modulus and

is the hardening parameter.

The associated flow rule (6.30) becomes

P ij

s P

p

"Pij D P ij ;

D ƒs P D :

ƒ (6.45)

2J2 2J2

282 Chapter 6 Finite-difference splitting method for solving dynamic problems

is assumed to obey the power-law evolution equation

d

P 2 /˛ ; d

dt dƒ

If the plastic deformation work is taken to be the hardening parameter,

1 p

P ij

ƒs P

2ƒ

P D ij "Pij D sij D .J2 /2 ;

k0 k0 k0

then

2

˛ D 2; aD :

k0

If one chooses Odquist’s parameter,

1 p p 1=2 P

1 1=2

P 2;

P D "Pij "Pij Dƒ sij sij D ƒJ

2 2

then

˛ D 2; a D 1:

dsij P ij :

D 2
ƒs

dt

e at ƒ D ƒ , obtained at the predictor

Integrating with the initial condition sij D sij n

step, one obtains

nC1 e 2 .ƒƒn /

sij D sij e ; J2 D J2e e2 .ƒƒn / ; ƒn ƒ ƒnC1 :

yields

a.J2e /˛

D

e C .1 x ˛ /; x D e 2 .ƒƒn / :

2˛

Substituting

into the yield criterion (6.44), one arrives at a nonlinear power-law

equation for x,

ˇ

a.J2e /˛ ˛

J2e x e

k0 2
1

C .1 x / D 0; (6.47)

2˛

which can be solved using any suitable iterative method with a required accuracy. The

initial approximation for the correction factor x D xn is taken from the preceding

step.

Section 6.4 Splitting scheme for elastoviscoplastic dynamic problems 283

k0 C 1 J2e C 2 1

e

xD : (6.48)

1 C 1 J2e

In the case of ideal plasticity, with 1 D 0, we have

k0 nC1 e k0

xD ; sij D sij :

J2e J2e

This means that the solution to the elastoplastic problem is obtained from that to the

elastic problem by simple multiplication by the correction factor x, which is equiv-

e =J e , and bringing it to the yield

alent to the normalization of the stress tensor, sij 2

surface (6.44) in the stress space. This procedure represents the Wilkins correction

rule [182, 183], which is only satisfied exactly in the case of a perfectly plastic me-

dium (Figure 6.2).

σ3

Plane

s1 + s2 + s3 = 0

2 n n+1

– Y0

3

σ1 σ2

Yield Circle

Figure 6.2. Geometric representation of the Wilkins correction for the von Mises yield con-

dition in the stress space.

It is apparent from formula (6.48) that if this rule is formally extended to the case of

a hardening medium, by setting x D .k0 C 2
1

e /=J2e , one obtains an approximate

result.

The Drucker–Prager theory is another quite common theory of plasticity. It is used

to study compressible media such as soils and porous materials. The Drucker–Prager

yield criterion depends on two stress invariants:

F .J1 ; J2 ; k/ D J2 C aJ1 k D 0: (6.49)

284 Chapter 6 Finite-difference splitting method for solving dynamic problems

p @F sij

"Pij D P D P C aıij : (6.50)

@ij 2J2

Let us rewrite this equation separately for the spherical and deviatoric parts of the

tensors involved:

p p 1 sij

P

"Pi i D 3a; Pij D "Ppij "Ppkk ıij D P : (6.51)

3 2J2

Using Hooke’s law, we find the following relations for the total strain components:

dsij p sij

P C "Pi i /;

P i i D 3K.3a D 2
Pij Pij D 2
Pij P :

dt 2J2

Splitting results in the following relaxation equations for the correction step:

D 9Ka; D :

d d J2

In the second equation, changing to the new variable dƒ D d =J2 and integrating

yields

e .ƒƒn /
d J2e

sij D sij e ; dƒ D e

; 1 e .ƒƒn / D n ;

J2 e.ƒƒn /

9Ka e

i i iei D 9Ka. n / D J2 1 e.ƒƒn /

Substituting these expressions into the yield criterion, we find

e e 9Ka e

J2 x C a J1 J .1 x/ k0 D 0; (6.52)

2

2

k0 a J1e C 9Ka

J2

e

xD 2 .a < 1/; (6.53)

J2e 1 C 9Ka

e 9Ka e

sij D sij x; J1 D J1e J .1 x/: (6.54)

2

The correction factor is adjusted here due to the influence of the first invariant. It is ap-

parent from (6.53) that the Wilkins correction rule is inapplicable here (it is only valid

for the deviatoric components when the bulk modulus K D 0) and J1 is calculated by

the more complicated formula (6.54).

Section 6.4 Splitting scheme for elastoviscoplastic dynamic problems 285

A medium is said to be elastoviscoplastic if its yield criterion (6.28) depends on in-

variants of the plastic strain rate deviator. Consider the case where equation (6.28)

p

and, hence, (6.42) depend on only the second invariant D2 . We have [94]

p

D2 D ' F .Ji ;

k / k0 ; '.0/ D 0: (6.55)

If condition (6.41) is a von Mises type yield criterion, the associated flow rule gives,

0p P ij , which implies

in view of (6.45), the relation dij D ƒs

1=2 1=2

0p 1 0p 0p P 1 P 2;

D2 D d d Dƒ sij sij D ƒJ (6.56)

2 ij ij 2

Let us change from ƒ to the previously introduced correction factor x D

expŒ2 .ƒ ƒn / to rewrite the differential equation (6.55) as

dx 2

D e ' F .x/ ; (6.57)

dt J2

k / where the corrected invariants, calculated at the

predictor step, have been inserted.

e and x D 1 at t D t , we get

Integrating with the initial conditions sij D sij n

Z x

t tn Je dx

D 2 ; tn t tnC1 : (6.58)

2
1 '.F .x//

Consider the case of a power-law dependence on D20 p for the von Mises yield

criterion:

.D20 p/n D F .J2 ;

k / k0 : (6.59)

Then, using (6.57) and (6.58) and taking into account that the right-hand side

of (6.59) is the von Mises yield criterion with isotropic hardening, we take advantage

of (6.47) to obtain the differential equation for determining the correction factor x:

² ˇ ³1=n

dx 2
e e aJ2e ˛

D e .J2 x k0 C 2
1

C .1 x / : (6.60)

dt J2 2˛

It is easy to integrate.

p

The integrand in (6.58) is singular at x D x , which corresponds to the equilibrium

p p

value of the correction factor, F .x / D 0. Since x is a simple root, whether the inte-

gral converges or not depends on the exponent n. If n > 1, the integral is convergent

286 Chapter 6 Finite-difference splitting method for solving dynamic problems

the value of the right-hand side of (6.58); for n 1, this range is unbounded:

p

0 < t = A .n > 1/; x ! x as t = ! AI

p

0 < t = < 1 .n 1/; x ! x as t = ! 1:

The solution has the simplest, explicit form if F .X/ is a linear function and n D 1.

For example, for an ideal elastoviscoplastic medium, it follows from (6.60) with

1 D 0 that

Z

t J2e x dx

D ; (6.61)

2
1 .x k0 =J2e /

k0 k0 e

x e D 1 e e .t= /.2 =J2 / : (6.62)

J2 J2

In the limit ! 0, one arrives at the Wilkins correction factor:

p k0

x ! x D as ! 0:

J2e

It follows that if .t = /.2
=J2e /

1, the solution will tend to an equilibrium so-

lution, and hence the finite difference scheme of the corrector step is asymptotically

absolutely stable.

Thus, the solution of the elastoviscoplastic problem by the splitting method at the

corrector step is reduced to that of a single differential equation, which is integrable

in closed form. Here, the correction factor depends on the step size t , which is

determined at the predictor step.

If, for t

, the solution to the elastoviscoplastic problem tends to the elastovis-

coplastic solution, then the splitting scheme guarantees that its solution will also tend

to the elastoviscoplastic one regardless of the value of t .

It is noteworthy that the numerical-analytical splitting method is also applied for

more complicated equations of elastoviscoplasticity including damage and other in-

ternal variables of the material (see Chapter 8 and [95]).

6.5.1 Calculation of boundary points

Let us discuss how boundary points should be calculated a dynamic problem when

the constitutive equations are split. It is clear that the boundary conditions must be

used primarily at the predictor step of solving the elastic problem. Here, one sets the

same conditions as for the full elastoplastic problem. Therefore, boundary points are

calculated in the same manner as in the elastic problem, for example, by the method

of characteristics.

Section 6.5 Splitting schemes for points on the axis of revolution 287

As noted previously in Section 5.2, boundary points are calculated by reducing the

equations to the characteristic form and discarding the relations whose corresponding

bicharacteristics go outside the domain concerned. Since the constitutive equations

hold on the degenerate characteristic cone, which is always inside the body, the cor-

rection at the boundary points is no different from that at the internal points.

In grid methods that do not employ the reduction of the equations to the charac-

teristic form, the calculation algorithm for boundary conditions can be obtained from

physical considerations rather than the mathematical statement of the problem. For

example, a smooth rigid wall is modeled using additional, fictitious cells with the

displacement specified as the mirror reflection (with respect to the boundary) of the

displacement in the adjacent actual cell. In the local coordinates, the normal compo-

nents of the stress tensor are reflected symmetrically while the tangential components,

skew-symmetrically. Once this has been done, the boundary nodes can be calculated

by the formulas used for internal nodes. A free surface can be modeled with massless

fictitious cells. If time-dependent pressure is prescribed on the boundary, then this

pressure should be specified in the fictitious cell with all stress deviatoric components

set to zero. More complicated conditions can also be modeled on contact interfaces

with friction [183]; in these cases, the choice of suitable models relies on the physical

intuition of the researcher. A survey of such models can be found in [87, 16, 102].

At the corrector step, the type of the boundary conditions must be taken into account

in calculating the correction factor at boundary points. If stress boundary conditions

are given, then the prescribed stress tensor components are not corrected; what has to

be corrected are only the remaining stress deviator components.

If the boundary conditions are given in terms of displacements or velocities, then

all stress deviator components must be corrected, in the same manner as at the internal

points.

If mixed boundary conditions are prescribed, representing combinations of kine-

matic quantities and stresses, then all stress components must be corrected.

Consider, for example, how to determine the correction factor in the simple case

of a plane problem with a perfectly plastic yield criterion where the normal stress

0 and shear stress 0

11 D 11 12 D 12 are prescribed at the boundary. The stress

deviator components s22 is to be corrected here. The correction factor is determined

from the equation

0 e

2

0 1=2

s11 s22 x C 412 D 2k; (6.63)

where s110 D 0 1 J e , s 0 D 0 , and J e D are given quantities.

11 3 1 12 12 1 ii

It follows that

0 2 k 2 .J 0 /2 1=2

S11 12

x D e < 1: (6.64)

s22

In the extraction of the square root, the minus sign has been taken, since x < 1.

288 Chapter 6 Finite-difference splitting method for solving dynamic problems

equation Z

t J2e x dx

D : (6.65)

2 1 x x

Whence,

t 2

x x D .1 x / exp ; (6.66)

J2e

where x is defined by (6.64).

Formula (6.66) is analogous to (6.61).

In axisymmetric problems, adequate calculation of points at the axis of rotation r D 0

is very important. There is some ambiguity here: the axis of symmetry in such prob-

lems is mathematically often treated as a boundary of the domain concerned, whereas

physically, the axial points are internal points of the body. The key to constructing an

adequate algorithm is to treat the axial points as internal ones. The conditions at these

points must follow from the very system of equations as r ! 0 and symmetry con-

siderations, when r is replaced with r; no other additional “boundary” conditions

should be used, as some authors do (e.g., see [183]).

An axial point analysis will be detailed below to fill the gap in the literature and

remove ambiguities.

Let us use the splitting method to solve the elastoplastic axisymmetric problem. At

the predictor step, we set ƒ P D 0 and solve the elastic problem. The equations of

motion written in cylindrical coordinates are

@r r @r z r r

vP r D C C ;

@r @z r (6.67)

@zz @r z r z

vP z D C C :

@z @r r

Assuming that the stress-strain state remains bounded at the axis r D 0, we let r ! 0

in the first equation to obtain

lim .r r / D 0 ) r r D at r D 0:

r !0

find from the first equation that (6.67)

@r r @

2 C D 0 ) 2r r D r r D f .z; t / at r D 0:

@r @r

From the second equation it follows that

@zz @r z

vP z D C2 : (6.68)

@z @r

Section 6.5 Splitting schemes for points on the axis of revolution 289

It has not been assumed here that @r z =@r D 0 at r D 0, thus allowing discontinuities

in the derivatives.

Guided by the same considerations as above, now let us look at the constitutive

equations. Consider the more general case of an elastoviscoplastic medium; the

elastoplastic equations can be obtained, as pointed out in the preceding section, by

taking the limit as ! 0. Since we use splitting, it suffices to consider, at the predic-

tor step, the axisymmetric hypoelastic equations written in cylindrical coordinates in

the differential form

2 @vr 2 @vz

P D P r r D 2
C K
C K

3 @r 3 @z

1 @vr 2 @vz

D2 KC
C K
; (6.69)

3 @r 3 @z

4 @vz 2 @vr

P zz D K C
C2 K
;

3 @z 3 @r

where it has been taken into account that limr !0 "P r D limr !0 vr =r D @vr =@r.

Thus, all quantities near the axis r D 0 have been determined, except zz and vz .

There are equation (6.68) and the third equation in (6.69) for zz and vz . We have

@vz @zz @r z

D2 ;

@t @z @r (6.70)

@zz @vz @vr

. C 2
/ D 2 ;

@t @z @r

where it has been taken into account that K C 43
D C 2
and K 23
D .

The right-hand sides of the equations are known. These are determined by unilateral

differences:

nC1 nC1

@r z nC1 .r z /1k .r z /0k

D ;

@r 0k r

nC1 nC1

@vr nC1 .vr /1k .vr /0k

D :

@r 0k r

The subscripts refer to the spatial discretization in r and z. The subscript 0 refers

nC1 nC1

to the axial points, r D 0, with .r z /0k D .vr /0k D 0 by symmetry, while the

subscript 1 corresponds to internal points of the body, which are calculated using

formulas for internal points.

nC1

The stress .r r /0k is determined by integrating the first equation in (6.69) once

nC1

.vz /0k has been calculated from (6.70):

@r r @vr @vz

D 2. C
/ C ;

@t @r @z

nC1 nC1 nC1 nC1

.r r /0k .r r /n0k .vr /1k .vz /1;kC1 .vz /0k

D 2. C
/ C :

r r z

290 Chapter 6 Finite-difference splitting method for solving dynamic problems

Thus, the algorithm for determining the solution at the axial points r D 0 at the pre-

dictor step is completely closed within the system of equations itself, without bringing

in any “boundary” conditions or additional assumptions.

The corrector step is carried out in the same manner as at any internal point, with-

out any changes. The final expression of v nC1 is found from the finite difference

approximation of the first equation in (6.70).

variation inequality

6.6.1 Variation inequality

The equations of elastoplastic flow can be formulated, apart from the traditional dif-

ferential statement, in the form of a single variation inequality in both the elastic and

plastic domains. The complete system of relations of the Prandtl–Reuss flow theory

for small deformations consists of the differential equation of motion

Hooke’s law

"eij D aij kl kl ; (6.72)

and constitutive relations of elastoplastic deformation, which can be formulated as the

maximum principle for the strain rate dissipation:

p p p

.ij ij /"Pij 0; or ij "Pij ij "Pij ; (6.73)

where

p 1

"P eij C "Pij D .vi;j C vj;i /

2

and ij is the arbitrary value of the stress tensor satisfying the yield condition

F .ij / s ; (6.74)

where s being the yield stress of the material and F .ij / a (piecewise smooth) con-

vex surface in the stress space ij . For example, for the Tresca–Saint Venant yield

criterion, the surface F .ij / represents a hexagonal prism circumscribed about the

elliptic cylinder determining the von Mises yield criterion [54, 165, 61, 67].

Relation (6.73) is essentially a variation inequality for the arbitrary variation ıij D

ij ij satisfying condition (6.74):

p

ıij "Pij 0:

Section 6.6 Integration of elastoviscoplastic flow equations by variation inequality 291

If ıvi D vi vi is the arbitrary variation of the velocity, the entire system (6.71)–

(6.74) can be represented as the variation inequality

Inequality (6.75) can be conveniently rewritten in matrix form as

3

X

k

ıu Au;t B u;k 0; (6.76)

kD1

0 1 0 1 0 1 0 1

uv v1 11 23

u D @u A ; uv D @v2 A ; u D @22 A ; us D @13 A :

us v3 33 12

0 1 0 1

Av 0 0 0 Bk Bks

A D @ 0 A A s A ; B D @Bk 0

k

0 A;

0 A s A Bks 0 0

The 3 3 matrices Av D I, A , and A s are easy to express in terms of the elastic

constants aij kl , while

0k

1 0 k k

1

ı23 0 0 0 ı12 ı13

Bk D @ 0 ı13 k

0 A; Bks D @ı12

k k A;

0 ı23

k k

ı13 k

ı23 0

0 0 ı12

´

k 1 if k ¤ i and k ¤ j;

ıij D

0 if k D i or k D j:

q

The yield function is expressed as F .sij sij / D 12 sij sij with sij D ij 13 kk ıij .

Let us show that the problem statement in the form (6.75) or (6.76) is equivalent to

the statement that follows from the associated plastic flow rule.

Rewrite the variation inequality in the general form

ıu .L.u/ g/ 0; u 2 K; ıu 2 K; (6.77)

of K, and g is the right-hand side of inequality (6.79).

292 Chapter 6 Finite-difference splitting method for solving dynamic problems

u2

u

u* α

L(u) – g

0 K u1

of (6.77), the angle ˛ cannot be obtuse . If u is within the surface, then L.u/ g D 0;

if u lies on the surface (as shown in the Figure 6.3) , then the vector L.u/ must be

collinear with the normal n to the yield surface F .u/ D s , so that ˛ is not obtuse. If

F .u/ is continuously differentiable, then

@F .u/

L.u/ D ;

@n

where

0 if F .u/ D 1;

D 0 if F .u/ < 1:

For elastoplastic equations, this representation coincides with the associated flow

p 1=2

rule, since L.u/ D "Pij and F .u/ D 12 sij sij D s with

p H.S s /

"Pij D skl vk;l sij ;

s2

where is determined from the yield criterion (see Section 6.4 and, for more de-

tails, [152, Chapter 1 and Appendix], [37]).

In [152], a method for constructing dissipative finite difference schemes was sug-

gested. The method is based on a discrete representation of variation inequalities. Let

us replace inequality (6.77) with

Section 6.6 Integration of elastoviscoplastic flow equations by variation inequality 293

where Lh .uh / is an approximation of the differential operator for the grid function uh ,

Ih .uh / is an approximation of the identity operator used to describe the constraints

and, essentially, reveals the meaning of the inclusion of uh into the set K.

For simplicity, let us consider the Cauchy problem for the variation inequality with

a linear one-dimensional hyperbolic operator:

1 1

u L.u/ D u .Au;t Bu;x / .uAu/;t .uBu/;x ; (6.79)

2 2

which is to be integrated over the solution domain; integrating this inequality by parts

allows one to formulate the concept of a generalized solution (see Section 1.8), ad-

mitting strong discontinuities in the solution [152]. This allows one to integrate the

equations with a shock-capturing method without isolating discontinuities. The left-

hand side of (6.79) is approximated by

.uAu/k .uAu/k1 1

uh Lh .uh / D ƒ .9PuBu/n1=2 0; (6.80)

2t 2

where Č.uh / D .uj uj 1/=x.

Since the matrices A and B symmetric, the requirement for the above representation

to be conservative can be written as

k

uk C uk1 u C uk1 k

dh D uQ h A uQ ƒ0 .un1=2 / B ƒ.un1=2 / 0

2 t

with

1

ƒ0 .uh / D .uj C uj 1/;

2

where dh represents the approximation error for the expression in (6.79),

1

d D uL.u/ .uAu/;t C .uBu/;x D 0;

2

which is zero for any continuously differentiable function u D u.t; x/. Hence,

in elastoplastic problems, dh has the meaning of the dissipation rate of the energy

brought in due to the approximation of the variation inequality, while dh 0 is the

dissipation condition of the finite difference scheme (6.80).

Let us introduce an auxiliary grid vector function uN h satisfying the difference equa-

tion

uN k uk1

A D B ƒ.un1=2 /: (6.81)

t

294 Chapter 6 Finite-difference splitting method for solving dynamic problems

k

uk C uN k u uN k uN k uk1

dh D uQ k A C ƒ0 .un1=2 / Bƒ.un1=2 /:

2 t 2

(6.82)

This can be verified by transforming expression (6.82) taking into account the sym-

metry of the matrices A and B.

The condition dh 0 holds if and only if the function uN h and the unknown func-

tions uh and uQ h are related by

2Quk uk uN k A.uk uN k / 0

DD C 2t ; (6.83)

2ƒ0 .un1=2 / uN k uk1 t Bƒ.un1=2 / n1=2

D00 D01

where D D is a 2m 2m nonnegative definite matrix and h is an

D10 D11

arbitrary vector-valued function satisfying the condition

n1=2

j 1=2 B D 0:

Then

t A.uk uN k /=t

dh D Uh DUh 0; Uh D

2 Bƒ.un1=2 /

The system of equations (6.83), relating uN h and uQ h , makes up, together with (6.80),

a family of dissipative finite difference scheme with a scheme viscosity dependent on

the choice of the matrices Dij .i; j D 0; 1/.

In the simplest case, we have D10 D 0 and D00 D DT 00 . Then, eliminating uNh

from (6.83), we arrive at an equation determining the solution at the intermediate

layer (predictor):

n1=2 n1=2 n1=2 n1=2

uj C uj t 1 uj C uj n1=2

.A C D11 /B D ujk1

1=2 C t j 1=2 :

2 2 x

(6.84)

This system of equations can be treated as a system of first-order ordinary differential

equations in x if one sets

n1=2 n1=2 n1=2

uj uj 1 du

D :

x dx

In addition to (6.84), one must include an arbitrary dissipative boundary condition

sufficiently far away from the solution domain (a condition “at infinity”) [4].

The second equation in (6.83) gives

uk C uk1 uk uk1 t 1

uQ k D C D00 A C .A D00 C D01 /Bƒ.un1=2 /:

2 2 2

This relation provides a specific expression of the identity operator Ih .uh / [37].

Section 6.7 Exercises 295

Thus, the algorithm of the finite difference scheme consists of solving system

(6.83)–(6.84) (predictor) and calculating the solution for the new temporal layer (cor-

rector) by the formulas

t 1 n1=2

uN jk1=2 D ujk1

1=2 C A B uj ujn1=2

1 ;

x

1 (6.85)

uO jk1=2 D uNjk1=2 C D01 A uNjk1=2 uNjk1

1=2 ;

2

ujk1=2 D uNjk1=2 C 2.I C D00 A/1 uOjk

1=2 u Ojk1=2 ;

where uk D .uk / denotes the projection onto the yield surface. For more details,

see [152, 150, 151].

If one chooses D00 D A1 and D01 D 0, the last equation coincides the Wilkins

stress correction (see Section 6.2.2)

ujk1=2 D A .uN jk1=2 /:

The operator A calculates the projection in accordance with the norm of A: kukA D

p

AuA.

The above numerical algorithm of dissipative schemes is constructed in the same

manner as in the splitting scheme in Section 6.4. At the predictor step, one seeks a

solution satisfying, in the generalized sense, the linear differential equations and initial

conditions of the problem. After that, at the corrector step, the resulting solutions are

projected onto the yield surface. In practice, if the surface is piecewise smooth, one

should use the methods of convex analysis [152]. In multidimensional problems,

the above (one-dimensional) dissipative scheme can be applied after splitting along

directions.

6.7 Exercises

1. Perform splitting along the directions of the explicit finite difference scheme for

the two-dimensional wave equation whose stencil is displayed in Figure 6.4a with

the initial and boundary conditions

t D 0W u.0; x; y/ D u0 .x; y/; u;t .0; x; y/ D v0 .x; y/I

x D 0W u;x D "1 .t; y/I x D aW u;x D "2 .t; y/I

y D 0W u;t D v1 .t; x/I y D bW u;t D v2 .t; x/:

(6.86)

Preliminarily, reduce the scheme to a system of equations.

2. Perform splitting along the directions of the explicit finite difference scheme for

the two-dimensional wave equation whose stencil is displayed in Figure 6.4b with

the same initial and boundary conditions (6.86). Prove that the scheme is stable.

296 Chapter 6 Finite-difference splitting method for solving dynamic problems

t t

t

y

y

y

∆t (corrector) 2∆ 2∆y

∆t ∆t

y y

y

2∆ x x

∆t (predictor) ∆t

∆t

2∆ x x 2∆ x x 2∆ x x

3. Construct an explicit directional splitting scheme for the dynamic plane elastic

problem2 in a rectangle with the following stress boundary conditions prescribed

at two opposite sides and zero velocity conditions at the two sides:

x D aW yy D 2 .y/; xy D 0I

y D 0W u D 0I

y D bW u D 0I

is assumed to be given at t D 0.

4. Construct a finite difference scheme implementing splitting in physical processes

for the one-dimensional coupled thermoelastic dynamic problem

8 Z "

ˆ

ˆ @T 2 @2 T

ˆ

ˆ D .T / C Q.x; t /; Q.x; t / D ij ı"ij ;

ˆ

ˆ @t @x 2 "n

<

@v @" @T (6.87)

ˆ DE C˛ ;

ˆ

ˆ @t @x @x

ˆ

ˆ @"

:̂ @v

D ;

@t @x

Carry out a stability analysis of the scheme.

2 The system of equations consists of two equations of motion and three equations of Hooke’s law,

differentiated with respect to time, for the three stress components.

Section 6.7 Exercises 297

kinematic hardening. The yield condition has the form

1

.sij a"ij /.sij a"ij / D k 2 ;

2

where a > 0 and k > 0 are material constants. Determine the correction factor by

the numerical-analytical method outlined in Section 6.4.

6. Perform splitting of the one-dimensional nonstationary equations for elastovis-

coplastic bars (5.49) (see Section 5.2) into an elastic predictor and relaxation cor-

rector for the stress. Prove that the scheme is stable.

The scheme stencil is displayed in Figure 6.4c.

medium (the third equation of system (7.18)); the scheme consists of a predictor

(no convective terms) and corrector (convective transfer only). At the corrector

step, use the formulas of the flux method (7.45).

9. For the two-dimensional heat equation with a distributed source Q.x; y/, propose

a directional splitting scheme.

Chapter 7

problems with finite deformations

Lagrangian meshes

7.1.1 Formulas for natural approximation of spatial derivatives

Let us discuss the integration of conservation laws written in divergence form in Eule-

rian coordinates on a curvilinear Lagrangian mesh (grid). This suggests that the xk in

equations (6.34) are not independent variables but are functions of time and the initial

state: xi D xi .t; xi0 /.

Consider the general case where the mesh is formed by curvilinear polygonal cells.

It is required to approximate the conservation laws on such a mesh. To this end, it

necessary to choose an adequate approximation of the spatial derivatives of a func-

tion f .x; y/. For simplicity, we restrict ourselves to two spatial dimensions. Let us

prove the following theorem.

Theorem 7.1. Let R be a closed simply connected domain with a boundary and let

f , u, and v be given differentiable functions in R. Then there are points .xi ; yi / 2 R

at which H H

f dy f dx

f;x .xi ; yi / D H ; f;y .xi ; yi / D H I (7.1)

x