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Review

Exponential Growth
Von-Neumann Stability Analysis
Summary

V ON -N EUMANN S TABILITY A NALYSIS

Dr. Johnson

School of Mathematics

Semester 1 2008

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Dr. Johnson MATH65241


Review
Exponential Growth
Von-Neumann Stability Analysis
Summary

O UTLINE

1 R EVIEW

2 E XPONENTIAL G ROWTH
Stability under exponential growth

3 V ON -N EUMANN S TABILITY A NALYSIS


Fourier Series
Growth of Errors
The Fully Implicit Scheme
Richardson’s Scheme

4 S UMMARY
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Dr. Johnson MATH65241


Review
Exponential Growth
Von-Neumann Stability Analysis
Summary

Errors will propogate through the solution;

ek = Ak e0 .
We can bound the errors by the equivalent conditions

||A|| ≤ 1, or max |λs | ≤ 1


s

Using the norm condition, we find the explicit scheme requires

1
β≤
2
and from eigenvalue analysis the Crank-Nicolson scheme has
no restrictions.
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Dr. Johnson MATH65241


Review
Exponential Growth
Stability under exponential growth
Von-Neumann Stability Analysis
Summary

The condition ||A|| ≤ 1 does not make allowance for solutions


of the pde which may be growing exponentially in time.
A necessary and sufficient condition for stability when the
solution of the pde is increasing exponentially in time is:

||A|| ≤ 1 + M∆t = 1 + O (∆t )

where M is a constant independent of ∆x and ∆t.

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Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

W HY V ON -N EUMANN ?

A very versatile tool for analysing stability is the Fourier


method developed by von Neumann.
Here initial values at mesh points are expressed in terms of a
finite Fourier series, and we consider the growth of individual
Fourier components.
We do not need to find eigenvalues, or matrix norms.

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Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

F OURIER S ERIES

A finite sine or cosine series expansion in the interval


a ≤ x ≤ b takes the form
³ sπx ´ ³ sπx ´
∑ as sin L
, or ∑ bs cos L
s s

where L = b − a.
Now consider an individual component written in complex
exponential form at a mesh point x = xj = a + j ∆x

isx π isaπ isj ∆x π


As e L = As e L e L = Ās e iαs j ∆x
where αs = sπ/L.
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Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

E XPRESS THE INITIAL CONDITION AS A F OURIER


SERIES

Given initial data we can express the initial values as


n
wj0 = ∑ Ās e iα j ∆x
s
j = 0, 1, . . . , n,
s =0

We use the n + 1 equations above to determine the n + 1


unknowns Ā.

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Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

E RRORS G ROWING WITH T IME

We want to find out how each Fourier mode develops in time.


Assume a simple separable solution of the form

n n
wjk = ∑ Ās e iαs j ∆x e Ωtk = ∑ Ās e iα j ∆x e Ωk∆t
s

s =0 s =0
n
= ∑ Ās e iα j ∆x ξ k ,
s

s =0

where ξ = e Ω∆t .
Here ξ is called the amplification factor.
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Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

E RRORS G ROWING WITH T IME

For stability we thus require:

|ξ | ≤ 1.

If the exact solution of the pde grows exponentially, then the


difference scheme will allow such solutions if

|ξ | ≤ 1 + M∆t

where M does not depend on ∆x or ∆t.

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Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

F ULLY I MPLICIT S CHEME


Consider the fully implicit scheme

wjk +1 − wjk
" k +1
wj +1 − 2wjk +1 + wjk−+11
#

∆t ∆x 2

Let us look at just one of the components of the Fourier series


¯
wjk ¯ = ξ k e iαs j ∆x
¯
s

Then substituting into the above gives

1 k κξ k +1 −iαs ∆x
ξ (ξ − 1)e iαs j ∆x = (e − 2 + e iαs ∆x )e iαs j ∆x .
∆t ∆x 2 university-logo

Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

Thus with β = ∆tκ/∆x 2

αs ∆x
µ ¶
2
ξ − 1 = βξ (2 cos(αs ∆x ) − 2) = −4βξ sin .
2

This gives

1
ξ= ³ ´,
αs ∆x
1 + 4β sin2 2

and clearly 0 < ξ ≤ 1 for all β > 0 and for all αs .


Thus the fully implicit scheme is unconditionally stable.

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Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

V ON -N EUMANN A NALYSIS

The Richardson scheme is given by

wjk +1 − wjk −1
" #
wjk+1 − 2wjk + wjk−1

∆t ∆x 2

Use von-Neumann analysis and write

wjk = ξ k e iαs j ∆x ,

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Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

V ON -N EUMANN A NALYSIS

After substitution we have

ξ k −1 (ξ 2 − 1)e iαs j ∆x = βξ k (e −iαs ∆x − 2 + e iαs ∆x )e iαs j ∆x .

Which gives

αs ∆x
µ ¶
2 2
ξ − 1 = −4βξ sin .
2

where β = ∆tκ/∆x 2 .

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Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

V ON -N EUMANN A NALYSIS

Thus

αs ∆x
µ ¶
2 2
ξ + 4βξ sin − 1 = 0.
2

This quadratic has two roots ξ 1 , ξ 2 . The sum and product of


the roots is given by

αs ∆x
µ ¶
ξ 1 + ξ 2 = −4β sin2 , ξ 1 ξ 2 = −1.
2

university-logo

Dr. Johnson MATH65241


Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme

V ON -N EUMANN A NALYSIS

For stability we require |ξ 1 | ≤ 1 and |ξ 2 | ≤ 1


The product of the roots show that if |ξ 1 | < 1 then |ξ 2 | > 1,
and vice-versa.
Also if ξ 1 = 1 and ξ 2 = −1 then we must have β = 0.
Thus the Richardson scheme is unconditionally unstable.

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Dr. Johnson MATH65241


Review
Exponential Growth
Von-Neumann Stability Analysis
Summary

Von-Neumann is one of the simplest ways to evaluate stability.


We look at the growth rate of the Fourier components.
The stability conditions on the amplification factor ξ are:

|ξ | ≤ 1

and if the exact solution of the pde grows exponentially:

|ξ | ≤ 1 + M∆t

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Dr. Johnson MATH65241