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Computational

Heat
Transfer
Volume 1
MaShematScal Modslling

A.A. SAMARSKll
P.N. VABISHCHEVICH
Computational Heat
Transfer
Volume 1 Mathematical Modelling

A. A. Samarskii
P. N. Vabishchevich
Russian Academy of Sciences, Moscow

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Contents

Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ix

Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Mathematical Modelling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Use of Computers for Mathematical Modelling . . . . . . . . . . . . . . . 3
Computational Experiment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Numerical Modelling of Heat Transfer Processes . . . . . . . . . . . . . . 12

M a t h e m a t i c a l M o d e l s of Physics of H e a t . . . . . . . . . . . . . . . 15
Heat Conduction in Solids . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Closing Relations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
PhaseTransitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
Convective Heat Transfer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Thermal Radiation of Solids . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
Thermoelasticity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
Bibliography and Comments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

Analytical M e t h o d s of H e a t Transfer . . . . . . . . . . . . . . . . . . 57
Dimensionless Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
Analytical Solution of Linear Problems. . . . . . . . . . . . . . . . . . . . . . 62
Exact Solutions of Nonlinear Problems . . . . . . . . . . . . . . . . . . . . . . 69
Asymptotic Methods of Heat Transfer . . . . . . . . . . . . . . . . . . . . . . 75
Bibliography and Comments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84

S t a t i o n a r y P r o b l e m s of H e a t Transfer . . . . . . . . . . . . . . . . . .
Boundary Value Problems for Second-order Elliptic
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Construction of Difference Schemes . . . . . . . . . . . . . . . . . . . . . . . . .
Uniform Convergence of Difference Schemes . . . . . . . . . . . . . . . . . .
Convergence of Difference Schemes in an Energetic Space . . . . .
Direct Methods for Solving Grid Equations . . . . . . . . . . . . . . . . . .
Iterative Methods of Linear Algebra . . . . . . . . . . . . . . . . . . . . . . . .
Iterative Methods for Solving Grid Equations . . . . . . . . . . . . . . . .
CONTENTS

Numerical Solution of Problems in Irregular Domains . . . . . . . . . 188


Nonlinear Problems of Stationary Heat Transfer . . . . . . . . . . . . . . 207
Bibliography and Comments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218

N o n s t a t i o n a r y P r o b l e m s of H e a t Trasfer . . . . . . . . . . . . . . .
Boundary Value Problems for Second-Order Parabolic
Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Difference Schemes for Nonstationary Problems . . . . . . . . . . . . . .
Uniform Convergence of Difference Schemes for the Heat
Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Theory of Stability of Difference Schemes . . . . . . . . . . . . . . . . . . .
Stability and Convergence of Difference Schemes for the Heat
Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Asymptotical Stability of Difference Schemes for the Heat
Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Hyperbolic Heat Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Regularization of Difference Schemes . . . . . . . . . . . . . . . . . . . . . . .
Nonlinear Nonstationary Problems . . . . . . . . . . . . . . . . . . . . . . . . .
Bibliography and Comments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Economical Difference Schemes for Nonstationary


Heat Conduction Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . 299
Implementation of Implicit Schemes on a Computer . . . . . . . . . . 300
The Method of Alternating Directions . . . . . . . . . . . . . . . . . . . . . . 309
Factorized Difference Schemes for the Heat Equation . . . . . . . . . 316
Additive Difference Schemes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 324
Locally One-dimensional Difference Schemes . . . . . . . . . . . . . . . . . 334
Bibliography and Comments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 344

H e a t C o n d u c t i o n P r o b l e m s w i t h P h a s e Transi-
tions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347
Variable Domain Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348
Fixed Domain Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 361
Transformation of Dependent Variables . . . . . . . . . . . . . . . . . . . . . 370
Quasi-Stationary Stefan Problem . . . . . . . . . . . . . . . . . . . . . . . . . . 377
Modelling of Phase Transitions in Binary Alloys . . . . . . . . . . . . . . 388
Bibliography and Comments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 394

Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397
Dedicated to the memory of
Nikolai Nikolaevich Govorun
Preface

This book, published in two volumes, is devoted to mathematical modelling


of heat transfer problems. Recently considerable progress in scientific re-
search has been made due to powerful computational means involving
both computers and numerical methods. Conventional analytical methods
of applied mathematics are currently considered only to be auxiliary tools.
Computational experiment employed in modern research involves three stages,
namely the model, algorithm and computer code. The authors give a
comprehensive review of methods employed in modern applied mathematics
and describe the technology of computational experiment applied to the
physics of heat, a thoroughly developed branch of science.
The book is intended for both experts in mathematical modelling and those
studying the field. The book might be of interest to specialists in mathematical
modelling applied to other branches of science than heat transfer. The latter
problems, on the one hand, are of keen interest, and the corresponding
problems are studied thoroughly. On the other hand, mathematical models
employed in heat transfer problems are very diverse and, hence, can he
considered as typical of a wide range of investigations.
The book can be used as a textbook for graduate students whose major
is applied mathematical modelling. Depending on the audience, the emphasis
in the course can be put on either theoretical or applied topics related t o
numerical methods. Some classes of applied problems can be comprehensively
studied in optional or special courses.
We hope that researchers dealing with numerical simulation will also find
the subject matter useful. The reason is that a considerable portion of the
material has not yet been published in monographs or textbooks.
The presentation is based on conventional mathematics familiar to students
specializing in applied mathematics. Elements of the operator theory in
finite-dimensional Hilbert spaces comprise the core of the mathematical tools
employed. We use only a minimal amount of mathematics that is necessary for
a thorough and comprehensive consideration of numerical methods applied in
mathematical physics.
The authors think that the book can be useful for training engineering
students. This is why we emphasized the algorithmic aspect of numerical
methods, which affected the choice of topics covered and the style of
x PREFACE

presentation. We describe the solution of some particular problems, report


the results and include the codes in the text to make the book useful to a
large audience of readers.
A great number of books for engineers are devoted to numerical simulation
of various heat transfer problems. The authors of many of them consider only
foundations of numerical mathematics to make their texts understandable
for engineers. In addition, a lot of references to original works are given
without any attempt to analyse them. We tried to match the state-of-the-
art in the theory and applications of numerical methods rather than to cover
these topics superficially. From our viewpoint, training of specialists in applied
fields should be based on this, somewhat more advanced, mathematical level.
Nowadays numerical simulation is intensively used for solving twwdimen-
sional nonstationary nonlinear problems in mathematical physics. Therefore
we selected as the examples tw+dimensional problems that are well studied
and securely treated in practice , although in simple computational domains.
Computational algorithms considered are used as a base for original investi-
gations of more complex problems.
Control problems and inverse heat exchange problems are important applied
problems. This book is probably the only one available at the moment where
all three basic problems of mathematical physics, namely the direct, control
and inverse problems for partial differential equations, are considered in great
detail.
The theory of numerical methods of mathematical physics develops in
several directions. First, we should mention finite difference and finite element
methods. The former are considered throughout the book. The two approaches
differ in the way problems are discretized, i.e. constructing systems of algebraic
equations. For regular grids in regular domains studied in the book, the
difference between the two, if any, is minor. Another reason in favour of
difference methods is a wide experience in solving numerically nonstationary
nonlinear problems for partial differential equations, in particular heatjmass
transfer problems.
This book is concerned with several aspects of applied mathematical
research. This first volume is divided into seven chapters. In the Introduction
(Chapter 1) we describe in general applied mathematical modelling and use of
computational tools. In Chapter 2, we briefly describe mathematical models
of physics of heat and classify the principal problems. We mainly selected
the material associated with heatjmass exchange involving solids. Therefore,
important applied problems of heatjmass exchange via radiation, for example,
are only considered in an approximation of surface radiation.
A study of an applied problem starts with conventional (analytical) methods
of applied mathematics. Much attention is paid to the solution of simplified
problems. Some illustrative examples of implementation of analytical methods
in typical heat transfer problems are given in Chapter 3.
PREFACE xi

Chapters 4-6 comprise the core of the book. They deal with the solution of
classical heat transfer problems by finite difference methods.
In Chapter 4 we describe the numerical solution of stationary problems.
We first recall some fundamental results of the theory of partial differential
equations. In particular, we formulate the classical maximum principle for
stationary equations, which has a clear thermophysical interpretation. We
construct difference equations so that they preserve the main properties of
a differential problem. We discuss the construction of difference schemes for
stationary problems and describe both direct and iterative methods for finding
an approximate solution.
The same topics are covered in Chapters 5 for nonstationary problems. We
pay particular attention to general stability theory for difference schemes.
In order to examine particular schemes, we verify whether necessary and
sufficient conditions, formulated as simple operator inequalities, are satisfied.
Economical difference schemes (schemes of alternating directions, locally one-
dimensional schemes, etc.) are considered in Chapter 6.
Chapters 7-10 deal with numerical simulation of specific problems of heat
exchange. The presentation is based on the difference methods studied for
solving stationary and nonstationary problems in heat transfer. In Chapter 7
we study heat transfer problems with phase transitions involving a solid
phase. We consider the classical Stefan problem and discuss modelling of
melting/solidification of binary alloys.
In the second volun~eof this book, starting with Chapter 8, solution
techniques for complicated heat transfer problems are presented. In Chapter 8
we investigate special features of heat radiation from the surface of a solid.
For example, when modelling heat exchange in a concave body, it is necessary
to take into account radiation from separate parts of the boundary.
Convective heat transfer problems (Chapter 9) comprise an important class
of heat exchange problems. For these problems we introduce general families
of monotonic difference schemes, for which the maximum principle holds.
The heat/mass transfer is considered in the Boussinesq approximation. We
discuss the solution of these problems both in the natural variables 'velocity-
pressure' and in the variables 'vortex-stream function'. We also suggest the
boundary layer approximation. In Chapter 10 numerical methods are used
to solve problems in thermoelasticity. For example, the thermoelastic state
of a solid with a rectangular cross-section and that of a thin plate are
simulated.
Thermal process control problems are covered in Chapter 11. We briefly
discuss gradient methods, which are the base for numerical solution of the
control problems. We distinguish control problems for steady- and unsteady-
state sources of heat and for various quality criteria (functionals). Problems
of controlling the boundary regime constitute another important class of
applications.
xii PREFACE

The main classes of inverse problems are presented in Chapter 12. The
heat conduction problems are solved approximately for the cases in which
initial values, boundary regimes or coefficients in equations are recovered.
Stability of the solution is studied by perturbation of either original differential
(quasi-inversion methods) or difference (regularization of difference schemes)
equations.
Chapter 13 deals with practice of numerical modelling by the methods
presented. We take actual two-dimensional problems of heat transfer as
examples. First, we pose a problem and separate the dimensionless parameters
of that problem. Then we construct in detail numerical algorithms and give
FORTRAN codes. Finally, we describe computational results and present
program source listings.
Throughout the book, except for the sections Bibliography and Comments,
there are no references to other works. We used more space than usual to make
the presentation complete. As a result, the book became more convenient for
study.
No systematic analysis of existing literature on the subject is attempted.
We only referred to the work that we used in the book and that can be used
by the reader as well to study certain topics more carefully. There are several
reasons for not presenting references to original work. In any case, the choice
of reference literature from the vast variety of publications would reflect the
authors' preferences, demand some research of priority, etc. In particular, the
extended list of references would inevitably include more work by Russian
authors.
We worked on this book in the stimulating and creative atmosphere of
the Chair of Computational Methods at the Department of Computational
Mathematics and Cybernetics at the M. V. Lomonosov Moscow State
University and the Institute of Mathematical Modelling of the Russian
Academy of Sciences. We are grateful to our colleagues and disciples for
their assistance at different stages of the work. The authors are particularly
indebted to M. M. Makarov for his help in preparing the FORTRAN codes
listed in the book.
In view of the complexity of the work undertaken and inevitable omissions,
the authors will appreciate all criticism and suggestions concerning the book.

Aleksander 4 . Samarskii
Petr N. Vabishchevich
Introduction

We start by discussing the general problems of implementation of mathe-


matical methods in research. Numerical modelling and computers are cur-
rently widely used and contribute substantially to theoretical investigation.
Since actual experiments become available, we need to relate experiment with
theoretical investigations.
Therefore, we can speak of new methods of research that combine theoreti-
cal and experimental approaches and are based on up-twdate mathematical
modelling. The tools of research considered here involve computational
experiment that is supposed to he the most advanced stage of mathematical
modelling because of the availability of computers and numerical methods for
analysing mathematical models.
We shall briefly describe various types of mathematical modelling, empha-
sizing specific features of using the conventional tools of applied mathematics
in modern research and the role of computational algorithms and associated
software.

1.1 Mathematical Modelling

Modelling has been widely employed when solving applied problems in


different branches of technology and is based on studying the properties
and characteristics of various objects using natural or artificial analogues
(models). Thus, modelling, in this wide context, implies constructing some
models and analysing these models after they have been constructed. Any
model involves simplification of an object being modelled. A model cannot
embrace all properties of an object and is only intended to render those that
are of interest. In other words, a model is simpler than the original object and,
what is most important, the model is more convenient and easier to handle
than the object.
2 COMPUTATIONAL HEAT TRANSFER

In order to investigate an object in detail, several models are employed, each


of them simulating some of its characteristics, and even the same property can
be studied by different models. Models vary in the extent of qualitative and
quantitative adequacy as to the object studied, and modelling turns out to be
successful if an adequate model or a set of models has been chosen. Logically,
this choice is subjective and is based on all available experimental and
theoretical knowledge of the object as well as on all the previous experience
in modelling.
Various models can be classified into physical and mathematical models.
Mathematical models are most typical ideal (theoretical) models for investiga-
tion in natural sciences. Physical models are material (objective) models that
simulate some number of properties of the object studied and are of the same
nature as this object.
A model of an object rather than the object itself is studied experimentally
in physical modelling. Physical models have an important advantage over
mathematical ones, namely, they can possess those properties of an object
that, for some reason, cannot be incorporated into mathematical models. For
example, this is the case if there is no mathematical model or available models
are so complicated that they cannot be analysed with the required degree of
completeness. Thus, physical modelling is sometimes the only way we can
obtain reliable information about an object.
Physical modelling is based on the theory of similarity. In addition to
geometrical similarity (similarity of shape), physical similarity between the
model and the object is required. This implies that the values of physical
quantities for the object should be proportional to those for the model at the
corresponding points of space and at the corresponding moments in time. The
main idea of this type of modelling is that the values of some dimensionless
similarity criteria should be the same for the model and the object.
In mathematical modelling, the analysis of mathematical models of an
object replaces the investigation of properties and characteristics of the object
proper. Mathematical models are studied by means of applied mathematics.
Currently, computers are widely used for mathematical modelling as well as
methods of numerical analysis.
Nowadays mathematical concepts are often used in natural sciences,
humanities, and technology. Some people even use the extent to which
mathematics is used in a branch of science to judge the level of development of
this branch. The familiar aphorism says: 'The more mathematics is involved,
the more scientific is the knowledge.'
At the first stage we neglect the specific nature of a phenomenon, generalize
it, and isolate its mathematical form (i.e. construct a mathematical model).
At the second stage we investigate mathematical models as purely m a t h e
matical abstract objects and use the general purpose mathematical tools as
well as those specially constructed for the purpose. Computers and numerical
INTRODUCTION 3

methods now make it possible to study mathematical models.


At the third stage we interpret a model, i.e. render a specific meaning t o
mathematical abstractions. An expert in applied mathematical modelling in
collaboration with experts in an applied area always recognizes their practical
application.
Mathematical modelling is somewhat heuristic because a mathematical
rather than an actual experiment is carried out. Instead of studying an effect
on the object, we study the mathematical model parametrically, i.e. how
the solution depends on parameters. This experiment supplements an actual
experiment, which allows us to better understand a phenomenon or a process.

1.2 Use of Computers for Mathematical Modelling

The advent of computers and rapid development of numerical analysis have


substantially enlarged the possibilities of mathematical modelling. With the
aid of computers and numerical methods we can solve a lot of problems
that could not be solved before with sufficient accuracy, and in a reasonable
time period realize large projects in science and technology. As an example
note that computers are used for launching and monitoring space vehicles,
processing the data from seismic prospecting of minerals, numerical modelling
of aerodynamical properties of an aircraft, contour computer tomography
in medicine, and so on. Computers have even found application in pure
mathematics; we only mention compelling computations on a computer,
solution of the famous four-colour problem, etc.
New branches of knowledge based on using computational tools are
rapidly developing for theoretical investigation of applied problems. In
this connection, we should mention computational physics, computational
geometry, and computational algebra which logically include computational
heat transfer.
Investigation of mathematical models essentially involves qualitative ana-
lysis and derivation of an exact or an approximate solution. Computers can
be used not only to find an approximate solution numerically but also to
investigate a mathematical model qualitatively.
Qualitative investigation starts with dimensional analysis. The problem is
reduced t o a dimensionless form in order to decrease the number of parameters
that define the problem. Some dimensionless parameters turn out t o he
small or large, and the problem can then he substantially simplified and its
specific features taken into account when developing numerical methods for
its solution.
The mathematical model itself can he complicated and nonlinear and
often cannot be studied by conventional methods of applied mathematics.
Therefore, in most cases simpler (but still relevant t o the original problem)
4 COMPUTATIONAL HEAT TRANSFER

models are used for qualitative analysis. In this case, we speak of model (or
simplified) problems for the main mathematical problem (models for a model).
When qualitatively investigating a mathematical problem, much attention
is paid to how well it is posed. First of all, the existence of a solution is studied.
The corresponding strict results (existence theorems) ensure that the model
is correct. Besides, constructive proofs of the existence theorem for a problem
can often be used as a basis for approximate methods for solving the problem
itself.
Stability of solution with respect to small perturbations in initial data
is important in applied mathematical modelling. Inverse problems are of-
ten unstable, and this should be taken into account when constructing
approximate solutions.
Nonlinear mathematical models can have multiple solutions. Qualitative
analysis of mathematical models includes the study of branching points,
bifurcations of solutions, problems of how to single out the desired solu-
tion, etc.
Methods of qualitative analysis for different types of mathematical models
have been developed to different extents. For example, qualitative methods led
to the most impressive results for ordinary differential equations. Qualitative
methods are also employed in the theory of partial differential equations,
although to a smaller extent. An important example we should mention is the
maximum principle for second-order parabolic and elliptic equations, which is
related to mathematical models of heat transfer. This principle can be used
to qualitatively investigate mathematical models based on partial differential
equations.
An exact or approximate solution is found by analytical or numerical
methods. Classical examples of analytical methods include the method of
separation of variables and the method of integral relations for linear problems
in mathematical physics.
Methods of linearization and different versions of perturbation methods
are significant for nonlinear mathematical models. This approach is based
on asymptotic expansions with respect to a certain small parameter. Much
consideration is given to these methods when studying singularly perturbed
problems.
Qualitative behaviour of a nonlinear problem can be well represented by
some of its specific solutions. Specific solutions are sought using automodel
variables and the results of group analysis applied to equations that underlie
the mathematical model.
Complex nonlinear multiparameter models can be investigated on a com-
puter by numerical methods. Unlike an analytical solution, which provides
explicit dependence on some initial data of the problem, numerical methods
require repetitive solution of the problem for every value of a parameter.
However, an analytical solution can rarely be found for nonlinear problems,
INTRODUCTION 5

while a numerical solution of nonlinear problems has become an everyday


experience.
Let us pass on t o specifying the main stages of using computers for
mathematical modelling. We focus on using mathematical means for the
numerical solution of a problem. We should mention that computers can
also be used for the qualitative investigation of a mathematical model or
for seeking analytical solutions to test problems. For example, computers
can be used to find self-similar solutions. If an automodel variable has been
specified, the original problem for a partial differential equation is reduced, e.g.
to an ordinary differential equation, whose general solution can he found using
software for analytical computations (methods of computational algebra), e.g.
the REDUCE code.
We can single out at least two stages, or levels, of using computers for
mathematical modelling. The first is to investigate simple mathematical
models. At this stage, computers are used together with other (analytical,
i.e. purely mathematical) methods of applied mathematics.
This stage is characterized by a conventional chain 'client (theorist)-
executor(app1ied mathematician)'. The client formulates a problem and
analyses the results, while the executor solves the problem by a computer.
In this case we speak of a specific (rather narrow) problem with a definite set
of initial data.
The second stage (level) of using computers involves the study of compli-
cated mathematical models, where computational means become decisive and
dominating. Conventional tools of applied mathematical modelling play an
auxiliary, servicing role here (qualitative investigation of heavily simplified
problems (model problems), testing of computational algorithms, etc.).
It is this possibility of investigating complex mathematical models by
numerical methods on computers that allows us to consider the methodology
of scientific research from a new viewpoint. Powerful computers, highly effi-
cient numerical algorithms, and modern software are used together t o organize
scientific research within the limits of the unique technology of computational
experiment that includes both theoretical and experimental studies.
Firstly, we indicate the role of mathematics in theoretical and experimental
investigations and then move on to characterizing a new integrated technology
of scientific research. The use of mathematical methods is typical of a
theoretical level of investigating nature. As our theoretical outlook develops,
the mathematical apparatus is applied more widely, with the use of new
mathematical concepts and ideas. Mathematical models can he properly
classified into fundamental and applied models. For each type of model,
mathematical apparatus, and especially such powerful tools as computers and
numerical methods, plays a different role.
The theory of each branch of science starts with basic laws and statements.
The science is then developed by deriving and analysing corollaries of these
6 COMPUTATIONAL HEAT TRANSFER

fundamental postulates and comparing these corollaries with experimental


data. Fundamental models cannot be derived from an experiment; however,
they can be suggested by one. Corollaries of fundamental models, which we
call applied models, should be compared with experiment. This comparison
is a criterion for the suitability of the fundamental model itself. Creation
of a new fundamental model leads to revision of general laws and the very
theoretical ground of the science.
Mathematical methods are logically used for investigating corollaries of
fundamental models. This is why we usually discuss applied mathematical
modelling, which implies that we deal, to a certain extent, with applied
mathematical models.
The modern stage of development of mechanics, physics, and technology is
characterized by complex fundamental models that lead to more and more
complex and more advanced mathematical models. However, possibilities of
mathematical methods increase as well.
Let us make some remarks on using mathematical methods in experiments.
An experimenter, in the most general scheme of his or her investigation, affects
the object studied, collects information about the results of this influence, and
processes it.
Results of each experiment are processed statistically. Empiric relationships
that interpolate the experimental data to some accuracy are constructed to
assess qualitatively the influence of distinct factors (parameters). In this case,
we speak of using approximating mathematical models in which there are no
significant mathematical models. Deriving criterion dependencies in physics
of heat gives an example of approximating models.
Nowadays, more and more advanced devices are used in experiment. These
devices necessarily perturb a phenomenon or a process studied. In order to get
rid of these perturbations, a mathematical model of a device is constructed.
Experimental investigations are often carried out by integrated measuring and
computing systems that can obtain, store, and process experimental data.
When processing experimental data, we often deal with inverse problems.
Methods for numerical solution of these problems are now rapidly developing.
Thus, computational means are used more and more widely on the stage of
processing and interpreting experimental data.

1.3 Computational Experiment

Theoretical and experimental studies are to a great extent autonomous.


If fundamental models are common and approved, we can pose the problem
of a closer relationship between theoretical and experimental investigations.
We mean thereby a new integrating technology of scientific research called
computational ezpen'rnent.
INTRODUCTION

rH-@
TI
computations
experiment
mathematical
model
I

under study
investigation
of the model

Fig. 1.1.

Let us first give a general scheme of computational experiment and then


briefly describe its main stages. A more detailed description of computational
experiment is presented in the following chapters. We think a computational
experiment to be, in a narrow sense, the creation and investigation of
mathematical models for an object studied by computational means. In
this sense a computational experiment basically includes the triad 'model-
algorithm-code'. In a wide (methodological) sense, we consider computational
experiment to be a new technology of scientific research. The main stages of
computational experiment are shown in Fig. 1.1.
We only deal with deterministic objects, inherent to heat transfer. For
probabilistic objects, different mathematical means are used. Firstly, a
mathematical model is constructed for the object studied. The model is
based on conventional fundamental models. Numerical experiment actually
assumes an investigation of a group of close models. Firstly, a simple model
is constructed that, however, is significant and complete from the viewpoint
of description of processes studied and closeness t o experimental data. This
model is then refined in the computational experiment, new parameters are
involved, etc. Hence, we can (moreover, must) speak of a set, more exactly an
ordered set (hierarchy), of mathematical models, each describing reality with
a certain accuracy. We should attain agreement with experiment within the
framework of the simplest model.
As soon the mathematical model is constructed, it is preliminarily in-
vestigated by the standard means of applied mathematics. The essence
of computational experiment is to investigate mathematical models on
computers by numerical methods. However, we now discuss only the p r e
liminary investigation of the mathematical model. At this stage, the well-
posedness of the problem is studied as completely as possible t o the level of
accuracy accepted in mathematics.
The essence of the preliminary investigation is to single out test (simplified)
problems and study them thoroughly, because the complete mathematical
8 COMPUTATIONAL HEAT TRANSFER

model is very complicated. Test mathematical problems are constructed in


computational experiment for two purposes: firstly, to qualitatively investigate
the complete problem (and, hence, the object under study) and, secondly, to
test numerical algorithms for approximate solution of the complete problem.
When qualitatively investigating test (simplified) problems, multiplicity
of solutions, their stability, etc. are studied. Specific solutions of essentially
nonlinear problems, asymptotic solutions, etc. are important as well. Thus,
conventional mathematical tools are used at this stage.
The next stage of computational experiment includes construction of a
discrete problem and a numerical method for its solution. The mathematical
model usually involves partial differential equations (the kernel of the
mathematical model) or systems of differential and algebraic equations.
Numerical algorithms are constructed and studied by means of numerical
analysis. There are two trends in scientific research here.
According to traditions (paradigm) of pure mathematics, some investigators
study discrete models and numerical methods for their analysis without any
reference to applied modelling, realization on a computer, or solving an
applied problem. They rigorously prove the existence of solutions for discrete
problems, derive theoretical estimates of the discrepancy of an approximate
solution, and study the convergence of the iterative process.
Scientists that belong to the applied direction in numerical analysis use a
somewhat different ('physical') level of accuracy, which operates with such
nonstrict concepts as 'practical convergence', 'real grids', etc. Requirements
for complete severity in applied mathematical modelling do not lead to good
results.
Numerical experiment has two characteristics, which should be taken
into account when creating adequate software. The first one is multivariant
computation within the framework of a fixed mathematical model, while the
second is availability of several models. It is impossible to get by with one
computer code because it is necessary that this code be easily transformed to
solve similar problems (for a set of models).
Software for computational experiment includes applications software and
applications packages. Applications software is designed for solving similar
problems (with respect to their mathematical nature) from the same branch. It
includes libraries of program modules, more or less independent, that comprise
applications programs. In applications software, programs are constructed
from modules by hand.
In applications packages, system software is used to construct programs,
thus this process is essentially automatic. Software packages can be trea-
ted as a technology for solving problems within the framework of com-
putational experiment. They can be effectively used to accumulate and
make the best use of available software and increase the productivity
INTRODUCTION

Then, in the cycle of a computational experiment, a series of test com-


putations is performed on a computer for different values of parameters
of the problem. Applied specialists then analyse and interpret the data
obtained. The results are processed taking account of theoretical views
and experimental data. This is done, to a large extent, using traditions
of classical actual experiment. The experimental data are represented
as tables, graphs, photographs of display, films, etc. It should he kept
in mind that the amount of information to process and detail the
results obtained in computational experiment is incomparably larger
than in the actual experiment. Problems associated with storing and
processing information in computational experiment become more and more
important.
When analysing the results, one resolves whether the mathematical mo-
del and its numerical realization have been chosen successfully. If neces-
sary, models and numerical methods are refined, and the whole cycle of
computational experiment repeated.
To characterize computational experiment as a whole, it is very important
to note that it is universal. Therefore this technology can easily be extended to
include investigation of other objects. This is a characteristic of mathematical
modelling, which is due to the fact that many phenomena and processes
have the same mathematical models. Since computational experiment is
general-purpose, it allows researchers to use the accumulated experience of
mathematical modelling and banks of numerical algorithms and software to
solve new problems quickly and effectively.
The second characteristic of computational experiment as a technology of
scientific research is its interdisciplinary character. We constantly emphasize
this when saying that an applied mathematician has actually combined a
theorist and an experimenter to reach the common goal faster. Numerical
experiment can be considered as a convenient form of cooperation in
mental activity t o increase its productivity. Theorist, experimenter, applied
mathematician, and programmer work together in the united cycle of
computational experiment.
We can mention the following advantages of computational experiment
a s compared with actual experiment. Firstly, computational experiment is
carried out even when actual experiment is impossible. As an example, we
can investigate heat processes with thermonuclear parameters (explosion of a
nuclear bomb is now the only way to attain these ~ararneters).
Secondly, computational experiment sharply decreases the costs of research
and saves time. This is due to the fact that computations are multivariant
and mathematical models for simulating real conditions are easy t o modify.
Development of new products and technologies is associated with hard,
expensive, and long procedure. It is this stage where computational means
substantially economize on time and money.
10 COMPUTATIONAL HEAT TRANSFER

Data of experimental investigations are used for calibration of mathematical


models and accuracy control of approximate solutions to the problem.
Following a common practice of numerical investigation, we affect the
mathematical model and process the results (this is why we speak of
experiment, although computational). It is rare that we control the accuracy of
our 'device' by comparing it with a standard. Following a trend of theoretical
investigation, in computational experiment we deal with a mathematical
model rather than with the object itself. These common features are
considered as additional arguments in favour of treating computational
experiment in a wide (methodological) sense as an integrating technology
of scientific research.
Computational experiment should be considered as a new technology of
scientific research in future, as a trend, as a logic in the development
of research organization. Currently it is generally realized in a narrow
sense, along the chain 'customer-applied mathematician'. A closer
relationship between theoretical and experimental investigations in a unique
technology of scientific research is now a clearly defined trend. It is
remarkable that computational experiment is the major link in this
methodology.
Let us now briefly describe the main branches of science and technology
in which computational experiment is employed. We pay much attention
to classification of types of experiment with respect to applications and
types of mathematical models involved. This self-consistent classification
helps a researcher to use adequate mathematical means for investigating
mathematical models.
Mathematical modelling has been traditionally developed within the
context of fundamental sciences, namely in mechanics and physics. These
sciences are characterized by the highest level of theoretical investigations (in
other words, by the highest level of using mathematics). Modern mathematical
methods, including numerical methods, have been successfully introduced
in these sciences. For example, there are conventional mathematical models
employed in heat physics as well as the collection of basic problems. Therefore,
primary attention is paid there to construction of computational algorithms
and creation of versatile software.
The mathematical arsenal of an engineer or technologist is substantially
poorer. Up to now, scientific knowledge in technology is introduced indirectly.
New ideas first appear in fundamental sciences, then they are transformed in
an applied branch, and only after that are they employed in specific technology
projects and developments. This refers first of all to implementation of modern
mathematical methods of theoretical investigation, mathematical modelling,
and computational experiment. This approach to transforming ideas into a
specific scientific and technology solution or a new technology is unwarrantedly
long and wasteful.
In modern conditions, mathematical methods should be universally intro-
duced in science and technology. Mathematical modelling of technological
processes is expected to he of great benefit and actually leads t o a new
qualitative level of technology. Technology and industry are the fertile ground
for mathematical modelling.
We specify three main types of computational experiment, namely sear-
ching, optimizing, and diagnostic experiments. This classification is made, on
the one hand, with respect to application fields and, on the other, with respect
to the nature of mathematical models employed. In order to explain this, let
us consider each type in more detail.
The usual approach to studying a new process or phenomenon is to
construct a mathematical model and to perform computations while varying
parameters of the problem. This type of computational experiment is
called a searching experiment. If the mathematical model is based on
partial differential equations, a direct problem of mathematical physics
is investigated and solved within the cycle of computational experiment.
As a result, we describe observable phenomena, predict the behaviour of
the object studied under different, probably unreal, conditions. This type
of computational experiment is typical of investigations in fundamental
sciences.
On the other hand, an optimizing computational experiment can be taken
as the main one when mathematically simulating technological processes.
It includes solving an optimization problem to reduce expenses, lighten
construction, etc. The corresponding optimal control or optimization problem
is posed for the mathematical problem formulated.
A typical example is provided by optimal control problems for equations
of mathematical physics, e.g. for boundary control, where boundary
conditions are chosen so as to minimize the appropriate functional (the
quality functional). In this case, multivariant computations are carried out
t o adjust control parameters, which results in an optimal, in a sense,
solution.
When processing data of actual experiments, a diagnostic computational
experiment is employed. Additional indirect measurements are used t o draw
a conclusion about internal links of a phenomenon or process. If the structure
of a mathematical model for the process studied is specified, an identification
problem is posed, e.g. coefficients of the model are determined. Diagnostic
computational experiment usually corresponds to an inverse problem of
mathematical physics.
We often encounter a situation in which there is no mathematical model for
the process or phenomenon studied, and it is impossible to construct such a
model. This situation is typical, in particular, for processing data of an actual
experiment. Then processing is made in a 'black-box' regime and we deal with
approximating models.
12 COMPUTATIONAL HEAT TRANSFER

Thus, direct problems are correspondent with computational experiment,


optimization problems with optimizing experiment, and inverse problems with
diagnostic experiment.

1.4 Numerical Modelling of Heat Transfer Processes

Let us use the simplest model of heat transfer, namely the onedimensional
heat equation, to specify types of computational experiment and describe
main classes of problems of applied modelling.
Let us consider a thin cylindrical rod with thermally insulated lattice
surface. We assume that one end is thermally insulated, while a specific
thermal regime is specified at the other. The temperature T(x, t) is determined
by the heat equation

In equation (1) c is specific heat capacity, p is density, and k is thermal


conductivity. Additionally, we pose the boundary conditions

and the initial conditions


T(x, 0) = To(x). (4)
We study the influence of nonlinear thermal coefficients c = c(T), p = p (t),
and k = k(T) on the process of heat propagation along the rod, i.e. we
consider a direct initial boundary value problem (1)-(4). Even in this simple
problem one can observe striking phenomena because the mathematical model
is nonlinear. In particular, a heat wave propagates at a finite speed. This
investigation can he related to a searching computational experiment.
Let us consider an optimization problem within the framework of the same
equations governing the process. We assume that it is necessary to maintain
the temperature at the point x = 1 close to a given function g(t) controlling
the temperature at the other end (a boundary control problem). In terms of
mathematics, this problem is formulated as follows. Find a control v(t) such
that the quality functional
INTRODUCTION 13

where t,, is the time of observation, is minimal. Here T ( x ,t ) is specified as


a solution of equation (1) equipped with conditions (2)-(4).
Such a minimization problem is typical of an optimization computational
experiment. Of course, this is the simplest formulation of the prohlem.
The actual situation can be aggravated by more complex equations, quality
functionals, which can be nonunique, etc. In such complicated situations
one often has to limit oneself to the simplest search methods for solving
optimization prohlems.
Finally, let us consider one example to illustrate a diagnostic experiment.
We pose a problem to find a boundary (thermal) regime a t the left end of the
rod (with x = 0) which is inaccessible for direct measurements. In addition, the
temperature (i.e. the function g(t)) at the other end (with x = 1 ) is measured
with an error. In terms of mathematics, the problem is formulated in the same
fashion as the above optimal control problem. We should find a function u(t)
for which the functional in (5) is minimal, given additional restrictions (1)-(4).
In this case, we have a typical inverse prohlem in an extremal formulation.
In the theory of inverse problems this prohlem is considered as an inverse
boundary value problem of heat conduction.
It is absolutely necessary to demonstrate specific features of optimization
(synthesis) problems as opposed to inverse problems. We have seen that
both these problems have the same mathematical form (i.e. they are posed
identically). However, there are principal differences between them. First of
all, note that in both cases we are dealing with ill-posed problems.
A problem is said to be well-posed (in the classical sense) if a solution of
the problem exists, is unique, and continuously depends on initial data. If
any of these conditions is not satisfied, the problem is ill-posed. We do not
discuss here the existence of a solution. Instead, let us study the consequences
resulting from the breakdown of the other conditions of well-posedness in
optimization and inverse problems.
Assume a solution t o be nonunique. In optimization problems this is
favourable, because we get several (and, probably, many) solutions to the
problem. We thus have a good choice and can, in addition, optimize our
solution with respect to some other parameters or characteristics. In the case
of inverse problems, the situation is completely different. Nonuniqueness of
solution to the inverse problem implies that we cannot solve the problem in
the formulation chosen. We should refine (complete the formulation), and in
the case of processing data of an actual experiment additional data are needed.
A similar situation occurs if the solution is unstable with respect to small
perturbations of initial data (small perturbations of the function g(t) in our
illustrative example). Large perturbations of v(t) lead t o small perturbations
for the optimization and inverse problems. This is favourable for optimization
problems, in which we should find a control u(t), because we can substantially
vary the control and only slightly affect the quality functional. However, in
14 COMPUTATIONAL HEAT TRANSFER

the inverse problems this implies that we can only restore the boundary
regime with a large error. Thus, in this aspect, optimization and inverse
problems are essentially different. These differences should he emphasized
because identical mathematical formulations of these problems can lead to
wrong methodological views.
1 Mathematical Models of Physics
of Heat

We study temperature field and heat transfer from some parts of a rigid body
to its other parts. The temperature field at a time moment t is specified by
the temperature distribution in the body, i.e. by a function T = T(x, y,z, t),
where (x, y, z ) are Cartesian coordinates. In the simplest case heat flow is
directed from the higher-temperature region to a region in which temperature
is lower.
There are three main types of heat transfer, namely
(a) heat conduction, that is heat transfer due to interaction between micro-
particles of bodies that are in contact;
(b) convection, that is heat transfer, caused by movement of the substance.
This type of heat transfer is observed in moving media (fluids or gases);
(c) mdantaon, that is a process in which energy is transmitted as electromag-
netic waves.
In numerous applied problems heat is transferred by two or three of
these mechanisms concurrently (complex heat transfer). When describing
convection it is necessary to take into account heat conduction between
different parts of a continuous medium (heat and mass transfer). Radiation
can be accompanied by heat conduction, convection, etc. Such complicated
processes occur, for instance, in phase transitions or chemical reactions. In
the case of heat conduction in solids, the thermal effects can be significant.
In this chapter we present reference material and give basic mathematical
models of heat transfer. The main heat equation is written in several
orthogonal coordinate systems. Much attention is paid to boundary conditions
and conditions at the contact between different media (junction conditions).
16 COMPUTATIONAL HEAT TRANSFER

The classical Stefan problem is considered to be basic for modelling melting


and solidification. In more general situations more complex models are needed.
As an example, we shall describe some special features of modelling binary
alloys.
Considerable difficulties arise when modelling radiative heat transfer.
Because of the large dimension of the problem, it is very difficult to use
complete models. Therefore, simpler models become important, e.g. diffusion
approximation and radiative heat transfer approximation. In this book, we
consider the simplest models of radiation from the surface of a rigid body as
basic ones.
Describing convection is associated with modelling the motion of a medium.
The Navier-Stokes equation in the Boussinesq approximation for this purpose
is most frequently used in the theory of heat and mass transfer. Further
simplification involves the use of parabolized equations, boundary layer
approximation, etc.
Deformation of rigid bodies subjected to heat is described by equations
of therm~elasticit~. The mathematical model is based on the heat condition
equation supplemented by thermoelasticity equations. We should specifically
mention simpler models used, for example, for describing the stressed state of
thin plates, shells, etc.

2.1 Heat Conduction in Solids

2 . THE HEAT EQUATION


The basic assumption of the heat conduction theory, known as the Fourier
law, is that heat flow is proportional to temperature gradient in a homogeneous
immobile medium, i.e. q = -kgradT, where k is thennal conductivity. To
derive the heat transfer equation, let us rewrite the energy conservation law

where f represents the capacity of internal heat sources, c is specific heat


capacity, and p is the density of the medium.
If we substitute the expression for the heat flow into ( I ) , we can write the
basic differential heat equation
aT
cp- = div(k grad T )
at
+f. (2)

The coefficients and the right-hand side in this equation can vary in space
(inhomogeneous medium). In this case we have c = c ( x ,y, z ) , p = p(x, y, 2 ) .
MATHEMATICAL MODELS OF PHYSICS OF HEAT 17

k = k(x,y, z ) , and f = f ( x , y , z ) , and the heat equation becomes a secoud-


order linear parabolic equation.
The thermal properties of a medium usually depend on temperature, i.e.
c = c(T), p = p(T), k = k(T), and f = f(T). Thus, we come to a quasi-linear
heat equation.
If the thermal properties of the medium do not depend on space variables
(homogeneous medium), the heat equation (2) can be written as

Here a = k/(cp) is the t h e m a l daflusivity and A = divgrad is the Laplace


operator.
Another special case of the heat equation (2) corresponds to steady-state
temperature fields. The stationary heat equation looks like (aT/at = 0 in (2))

and is a secoud-order elliptic equation.


The heat equation (2) is appropriately modified for modelling heat transfer
in a moving medium (in a moving coordinate system). Namely, the partial
derivative with respect to time a / a t is replaced by the complete derivative
with respect to time (substantive derivative)

d
-=
a + v grad,
-
dt at
where v is the local velocity of the medium. Therefore, the heat equation for
a moving medium is written as

= div(k grad 2') +f. (5)

Here the term with v g r a d T defines temperature change due to convection.


The heat equation in a usual (Cartesian) coordinate system (x,y,z) is
derived from the above invariant form (equations (2)-(5)) provided that

g
a a a
-
ax' - -1,
a y ' az
aa,
diva=-+-+-
ax
aa,
ay
aa,
az
Hence, (2) can be rewritten as
18 COMPUTATIONAL HEAT TRANSFER

Other equations are rewritten similarly. For example, to rewrite the Laplace
equation (3) we should take into account that the Laplacim operator A in
the Cartesian coordinates looks like

2.1.2 CURVILINEAR COORDINATE SYSTEMS


Now let us write the heat equation in the curvilinear orthogonal coordinate
systems widely used in computational practice.
Let functions x1 = xl(x, y,z), 5 2 = XZ(X, y,z), m d x3 = xs(x, y, t)
determine the coordinates of a point (x,y,z) in a curvilinear orthogonal
coordinate system (xl, x2, x3) and let this transformation be nondegenerate.
The elementary length and volume in a curvilinear coordinate system are given
by the formulae ds = (gfdxt +gzdxi + gidxi)1'2 and dv = g1gzg3dxldxzdx3,
where g l , g2, and g3 are metric coefficients.
Let il, iz, and i3 be the unit vectors of the local basis. Then for an arbitrary
scalar ip we get
1 aip. 1 a9. 1 aip.
gradip = - -11 +- -12 +- -13
g1 8x1 g2 ax2 g3 ax3
The basic operations of vector analysis are performed over a vector a =
(al, az,a3) in the curvilinear coordinate system as follows:

Among repeated operations, let us mention the Laplacian operator


MATHEMATICAL MODELS OF PHYSICS OF HEAT 19

In the above (see (6)) we wrote the heat equation in the Cartesian
coordinates, for which X I = x, xz = y , x3 = 2, gl = 1, g* = 1, and g3 = 1.
For a cylindrical coordinate system we obtain X I = T , xz = (o, x3 = t , g~ = 1,
gz = T , and g3 = 1. According to (8) and (9), the heat equation (2) becomes

Similarly, for a spherical coordinate system we get X I = T , xz = 0, x3 = p,


g, = 1, gz = T, and g3 = r sin0. Therefore the heat equation is written a s
a
cp-=---
aT
at a (a ~ g )a~ + (t& mf g)
TZ a T
k 2
1

+--6--)+f.alp
T
1
sin o sip
1
sm 0 (13)

Formulae (10) and (11) can also be used to obtain the corresponding
expressions for the curl and Laplacian operators in cylindrical and spherical
coordinates.

2.1.3 ANISOTROPIC MEDIA


We presented the heat equation for the case in which the medium is
isotropic. Thermal characteristics of many solids (e.g. crystals or composite
materials) are anisotropic, i.e. their properties are different in different
directions. In this case the heat conduction is a second-order tensor rather
than a scalar. For the heat conductivity tensor k we have

and this tensor is symmetrical (k,, = kyr, k,, = k,,, etc.).


The heat equation preserves its form (2) when (14) is taken into account.
In coordinate-wise form we obtain

cp-aT =-a (kzc


at ax g+ aT
kzy -
a~ + kzz -
at "1
(k , , -E "1at
aT
+ -aay +k
yy
-+ky,-
By

+-
a ( k,,
a~ E+
-
aT
k,, - k,,
ay
+ ") +f (15)
instead of (6)
b-,,hkq COMPUTATIONAL HEAT TRANSFER

In the case of an anisotropic medium and constant thermal characteristics,


anisotropic heat equation (14) is simplified by taking into account the
symmetry of heat conductivity tensor k and becomes

This equation contains mixed derivatives; we can get rid of them by passing t o
a new Cartesian coordinate system (x',y', z') in which (16) has the simplest
form, namely

The coordinate axes (z',y',zi) are said to be the principal axes of heat
conduction, while the coefficients k,, , k,,, and k,, are said to be the principal
heat conductivities.

2.1.4 HYPERBOLIC HEAT EQUATION


The Fourier law is based on the assumption that heat propagates in a
medium at infinite speed (the gradient and density of heat flow correspond
to each other at each moment in time). For high-intensity unsteady heat
processes it is necessary to take into account that heat propagates with a
finite speed (the inertia) and to add by the Fourier law an extra term

where 7, = const is the relaxation time of heat stresses. In order to derive the
heat equation, we substitute (18) into (1) to obtain

Equation (19) is hyperbolic and is said to be the hyperbolic heat equation.

2.1.5 PROBLEMS
1. Write the heat equation in an orthogonal coordinate system
for a moving homogeneous medium.
MATHEMATICAL MODELS OF PHYSICS O F HEAT 21

Solution. Consider the heat equation

in an arbitrary orthogonal curvilinear coordinate system. Taking into


account (8) and ( l l ) , we obtain

2. Transform the heat equation for a moving homogeneous


medium to a self-adjoint form, given that curlv = 0 (irrotational
potential motions).
Solution. We again consider (20). It is not self-adjoint because of the
convective term vgradT. In order to eliminate this term, let us try to
represent the solution as

and choose an appropriate function R(x, y, 2 , t).


If curl v = 0, any velocity field can be represented as v = grad O, where O is
the velocity potential. We take account of (21) and rewrite the heat equation
as

Let us select the function R so that Rgrad O = 2agradR, e.g. R =


exp(Of(2a)). Then we obtain the desired equation for determining the
unknown u

This equation no longer contains terms with first derivatives with respect to
space variables.
22 COMPUTATIONAL HEAT TRANSFER

2.2 Closing Relations

2.2.1 INITIAL AND BOUNDARY CONDITIONS


The temperature distribution in a medium at different moments in time
is determined by a partial differential equation (the heat equation). In
order to specify the temperature field T(x, y, z, t ) uniquely, it is necessary
to formulate additional (closing) relations because a solution of a partial
differential equation is defined to within an arbitrary function. To eliminate
this arbitrariness, we formulate some additional relations, i.e. we specify the
solution itself, some of its directional derivatives, etc. at some points.
The temperature field is always calculated in a certain space domain. For
simplicity, we only consider the case in which the computational domain R,
where we search for a solution of the heat equation, remains unchanged.
For definiteness, we assume that the process of heat transfer is studied
starting from the time t = 0 till a time t = t,, > 0. We thus search
for a solution of heat equation (2) of Section 2.1 in the cylinder Q =
{(x,y,z,t)l ( x , Y , ~E) 0, 0 < t < t,,,), i.e.

aT
cp - = div(kgradT)
at
+f, (x, y, z, t ) E Q. (1)

This equation involves partial derivatives with respect to both space and
time variables. Therefore, additional conditions have to be specified on some
sets of the spatial domain fl and the time interval (0, t,,,), i.e. on some sets
of the points from cylinder Q.
Boundary value problems are usually posed for the heat equation. In this
case, additional conditions are specified on the boundary of Q. Conditions
on the lateral surface of the cylinder Q correspond to those with respect to
space variables (on the boundary of the spatial domain), hence they are called
boundary conditions. Conditions on the bottom base of Q are said to be initial
conditions.
More complicated conditions can be specified as well. For instance, instead
of initial conditions for t = 0, we can specify additional conditions on another
section of the cylinder Q, i.e. for some t = t * . In other words, the set of points
on which additional conditions are given can also lie inside Q. Some of these
possibilities are discussed in the following, where we specify the main types
of problems for the heat equation.
It is generally assumed that the temperature field is specified at the initial
moment in time, i.e.
MATHEMATICAL MODELS O F PHYSICS O F HEAT 23

When considering high-intensity processes described by hyperbolic heat


equation (19) of Section 2.1, it is necessary to specify two conditions with
respect to time. For example, the temperature and the rate a t which it changes
with time are given a t the initial moment. This allows us to specify the
condition

along with (2).


Specifying conditions like (2) in applied modelling requires direct measure-
ments a t a fixed moment in time. Such measurements are not always possible.
Hence, other approaches can be used. For example, conditions at the final
moment in time may be appropriate for (I), that is we specify the condition
T(x,y,z,t,.,) = Trn(x,y,z), ( x , Y , ~E) 0 , (4)
instead of (2). In this case, the temperature field must be restored a t a previous
moment in time t < t,,,, given condition (4). We have thus formulated a
retrospective problem for the heat equation.
General boundary conditions for the heat equation are divided into three
kinds. The simplest situation occurs when the temperature field is given on
the boundary an (first-kind boundary conditions), i.e.
) g ( ~ , ~ , x , t ) , ( x , Y , z , ~E
T ( x , Y , z , ~= ) r, (5)
where I' is the lateral surface of 0, r = {(x, y, z , t)I (x, y, z ) E 8 0 , 0 < t <},.
First-kind conditions (5) are also called the Dirichlet conditions.
Second-kind boundary conditions (the Neumann conditions) correspond to
specifying the heat flow on the boundary. This condition for the heat equation
(1)in an isotropic medium is written as

where a l a n denotes the external, with respect to the domain 0,normal to


the boundary 8 0 .
A more complicated situation occurs when we pose second-kind boundary
conditions for the heat equation in an anisotropic medium (see equation (15)
of Section 2.1). Let cos(n,x), cos(n, y), and cos(n,z) be the direction cosines
of the external normal. The flow is specified by the equation
24 COMPUTATIONAL HEAT TRANSFER

which corresponds to differentiation along the normal. The second-kind


boundary condition is written as

and generalizes condition (6) (specifying a / a v = k a l a n ) for the case of


anisotropic media.
A third-kind boundary condition simulates convective heat transfer between
the surface of a rigid body and the environment which has the temperature
T,.It is usually assumed that the heat flow is proportional to the temperature
difference between the surface and environment, consequently, for an isotropic
medium we get

where a is the heat transfer coeficient. The appropriate condition in the case
of anisotropic media [see (a)] is formulated similarly.
The third-kind boundary conditions can be treated as the most general of
the above conditions. These conditions can be written as

Then (10) yields second-kind condition (6) as a -+ 0 and, conversely, first-kind


condition (5) as a + co.

2.2.2 JUNCTION CONDITIONS


Conditions on the interface between two media with different thermal
properties, i.e. junction conditions, are worth considering separately. We first
focus on the question as to what junction conditions are natural for the
heat equation, i.e. follow from this equation itself, and hence should not be
formulated explicitly. In this case, contact conditions are determined only by
discontinuities of thermal characteristics observed when passing the interface
between the media.
Suppose that the plane z = 0 is the interface berween two homogeneous
media. We mark thermal characteristics of the medium that fills the half-space
z > 0 by plus and those for the second medium (with z < 0) by minus. Let
us consider the heat equation in the form
MATHEMATICAL MODELS OF PHYSICS O F HEAT 25

in which the coefficients are discontinuous at x = 0, namely

Taking into account the discontinuity of the coefficients of ( l l ) , it is logical


to expect that the solution of the equation itself (temperature T ) is continuous,
while the first derivatives of the solution are discontinuous. We thus write the
continuity condition for temperature at the interface between two media

where the brackets denote the jump at the interface. In our case [TI =
+
T(x 0, y, z ) - T(x - 0, y, 2). Now we only have to formulate the junction
conditions for the first derivatives of temperature.
In order to derive realistic (natural) junction conditions for the heat
equation (11) with discontinuous coefficients (12) we can separate a bounded
region 6s on the interface and integrate the original heat equation (11) over
the domainof width ZE, namely 0, = {(x, y,z)1 - E < x < E , (y,z) E 65). We
take account of the continuity of temperature (condition (13)) and finiteness
of discontinuities as E -+ 0 and obtain

Since the element 6S is arbitrary, we find the junction condition in the form

The junction condition (14) reflects the continuity of heat flow.


Natural junction conditions are written in the same fashion (see (13)
and (14)) on an arbitrary interface S between two media, which is an internal
boundary of the domain a. They reflect the continuity of temperature and
heat flow and are written as

The junction conditions (15) and (16) are the conditions of ideal contact. We
emphasize once again that (15) and (16) are natural conditions for (11) with
discontinuous coefficients (12). This implies that they are embedded into the
26 COMPUTATIONAL HEAT TRANSFER

equation itself so that there is no need to formulate them separately every


time.
In the case of an anisotropic medium, the condition of continuity of heat
flow in the form
(x,y,z) E S, (17)

where the notation of (7) is used, is employed instead of (16).


If the ideal contact conditions (continuity of temperature and heat flow)
are not satisfied on the interface between two media, then some junction
conditions needed for closure of the heat equation in each medium should
be formulated specifically. These junction conditions reflect special features
of thermal processes on the contact boundary and peculiarities of behaviour
of the solution to the problem when passing the interface and may not be
included in the heat equation. Let us consider several options.
Suppose there exists a surface heat source with capacity qs on the inter-
face S . Then the temperature continuity assumption holds, i.e. (15) is satis-
fied, while the heat flow has a discontinuity. Instead of homogeneous junction
condition (16) we should write a nonhomogeneous condition

The conjunction conditions (15) can be included in the heat equation


written in the whole computational domain without separating the contact
boundary S. The surface heat source is taken into account by introducing an
additional term in ( l l ) , namely

In equation (19) ds is a surface delta-function specified such that

J
n
asP(x, y, z) dxdy dz =
J
s
P(x, y, t)ds

Other types of junction conditions are also used in computational heat


physics, e.g. the condition of concentrated heat capacity, in which temperature
is continuous, while the discontinuity of the heat flow is determined by the

where cs is the lumped heat capacity of the contact. The junction conditions
(15) and (20), in which the surface delta-function is used, are included in the
heat equation similar to (19).
MATHEMATICAL MODELS O F PHYSICS OF HEAT 27

Conditions of nonideal contact deserve much attention in applied research.


They are realized, for example, if two rough rigid bodies are in contact with
each other but not tightly enough together. The heat flow is continuous for
a nonideal contact, which results from the law of conservation of energy. We
thus have one junction condition, namely condition (16). Temperature has
a discontinuity when passing through the boundary of the nonideal contact,
with the height of the step being proportional t o the heat flow, i.e.

where the coefficient of contact heat transfer a is associated with the contact
conditions.

2.2.3 DIRECT AND INVERSE PROBLEMS


FOR THE HEAT EQUATION
Let us specify basic classes of problems for the heat equation. Firstly, we
consider boundary value problems, in which the corresponding boundary and
initial conditions are given. For instance, we can pose a first-kind boundary
value problem when the equation is supplemented with initial condition (2)
and first-kind boundary condition (5). Similarly, we can pose a second-kind
problem, in which (6) is used instead of (5), or a third-order problem, in which
condition (9) is employed.
We can specially separate the case in which boundary couditions of one kind
are given on a part of the boundary aO1 and boundary conditions of another
kind on the remaining part a02 (80, = a0 \ aOl). For example, boundary
couditions for (1) can be

where r, = {(x, y, z , t) I(x, y, z) E a%, 0 < t < t,,,), a = 1,2. We thus


have mixed boundary conditions and a mixed boundary value problem.
The class of boundary value problems that we have just described is
characterized by additional conditions that are set on the boundary a R (the
lateral surface of r) and for t = 0 (initial conditions). This is an important
class of problems for the heat equation, which is thoroughly studied in the
theory of partial differential equations.
These boundary value problems belong to the class of Hadamard well-posed
problems. Recall that a problem for a partial differential equation is said to
he a well-posed problem if the following three conditions are satisfied:
(1) the problem has a solution;
28 COMPUTATIONAL HEAT TRANSFER

(2) this solution is unique;


(3) the solution continuously depends on coefficients of the equation and
additional (boundary and initial) conditions.
If at least one of these conditions is not satisfied, the problem is ill-posed.
Condition (3), which says that the solution should be stable with respect t o
small perturbations in the initial parameters, is most frequently violated.
Considering boundary value problems from the viewpoint of cause-and-
effect relations allows us to classify boundary value problems a s direct problems
for the heat equation. Breakdown of cause-and-effect relations in inverse
problems often manifests itself in the ill-posedness of an inverse problem.
Inverse problems for the heat equation involve incomplete boundary or
initial conditions and/or an incomplete equation (e.g. the coefficients, the
right-hand side, or the computational domain are not determined). Instead,
some additional information is given about the solution, the equation, the
domain, etc. It should be kept in mind that there are many quite different
ways to give this additional information. Below we discuss some possibilities.
In the simplest inverse problem of heat transfer conditions (4) for the time
t,,, are specified instead of initial conditions (2) for t = 0 (a retrospective
problem or a problem with inverse time). Boundary value problems for the
heat equation in which boundary conditions are incomplete are important for
practice. For instance, suppose that two conditions are given on a part 8%
of the boundary and no conditions are given on the remaining part 802, i.e.

This situation occurs when the part an,


is for some reason inaccessible for
direct measurements of temperature and heat flow.
I
2.2.4 OPTIMIZATION PROBLEMS
Additional information in inverse heat transfer problems can he merely
information about temperature and/or heat flow at internal points of the
computational domain R and/or on its boundary, like in direct heat transfer
problems. We separate a class of problems in which unknowns are determined
by searching for a minimum of one or several functionals. These problems are
actually problems of conditional minimization, in which the restrictions are
such that the minimum is searched for among the solutions of a boundary value
problem for the heat equation. We thus deal with optimization problems for
the heat equation. For example, the inverse problem in which it is necessary to
restore the boundary regime in (I), (2), (22), and (23) can also be formulated
as an optimization problem. We denote
MATHEMATICAL MODELS OF PHYSICS OF HEAT 29

where u is the sought-for function. We denote the solution of heat equation


(I), supplied with initial condition (2) and boundary conditions (22) and (24),
by T = T(u;x, y, 2, t). We find the boundary regime on rz (the function w)
from the condition (see (23))

J(w) = min J(u), (25)


"
where

Optimal control problems for the heat equation are formulated in the same
way. Minimization problem (25), (26) on the set of restrictions (I), (2), (22),
(24) is interpreted in this case as follows. Find a boundary thermal regime
(24) (optimal regime) that would provide necessary quality (functional (26)).
We thus separated three main classes of problems for the heat equation.
The first includes standard boundary value problems, i.e. direct problems of
heat transfer. The second class of applied problems includes inverse problems
of heat transfer. The third class includes optimization and optimal control
problems.

2.2.5 PROBLEMS
1. S u p p o s e we have a n isotropic medium, in which t h e r e is
a homogeneous inclusion with t h e b o u n d a r y S. Let t h e h e a t
conductivity of t h e inclusion b e m u c h greater t h a n t h a t of t h e
medium. T h e inclusion supplies t h e m e d i u m w i t h a n a m o u n t of h e a t
Qs(t). Consider t h e heat transfer in t h e m e d i u m a n d pose necessary
b o u n d a r y conditions o n t h e b o u n d a r y of t h e inclusion.
Solution. Since the heat conductivity of the inclusion is much greater than
that of the medium, we may assume that the temperature on the boundary
S is constant, i.e.

This temperature is defined by an additional integral relation. By the law of


conservation of energy, we have

Conditions (27) and (28) are desired nonlocal conditions on the boundary S
of the inclusion.
30 COMPUTATIONAL HEAT TRANSFER

We can take into account the heat capacity of the inclusion to refine
condition (28)

where M is the mass of the inclusion and c is its specific heat.


2. Formulate t h e conditions of ideal contact for t h e h e a t equation
i n moving media.
Solution. We consider heat equation (5) of Section 2.1, which, for conve-
nience, can be rewritten for each distinct medium as

Reasoning as in the above, we arrive at the following junction conditions:

where u, is the normal velocity component.

2.3 Phase Transitions

2.3.1 THE CLASSICAL STEFAN PROBLEM


We consider solid-liquid phase transitions, the examples of these being
solidification and melting in metallurgy. The mathematical models of these
processes contain moving surfaces of phase transition that are unknown
beforehand. That is, we deal with problems with free (unknown) boundaries.
The main assumption that underlies the modelling of solid-liquid phase
transitions is that the phase transition occurs at a given, fixed temperature
of the phase transition T*. Let us denote the interface between two phases by
S(t). This interface divides the computational domain R into two subdomains:
the domain W ( t ) = {(x, y, z) E R, T ( x , y,z,t ) > T ' }filled with the liquid, in
which the temperature is greater than the phase transition temperature, and
the domain W ( t ) = {(x,y,z)l (x, y,z) E 0, T(x, y , z , t ) < T'} filled with the
solid phase (see Fig. 2.1). We use similar notation for thermal characteristics
of each phase.
MATHEMATICAL MODELS O F PHYSICS O F HEAT 31

Let us write the corresponding heat equation. In the solid phase we have

where Q- = { ( x ,y, z, t)l ( x ,y, z ) E R-, 0 < t < t,.,). In the liquid phase we
additionally take into account convective heat transfer to get

. .
We are interested in boundary conditions on the interface S of the phase
transition. Firstly, the continuity of temperature is assumed on this boundary
of contact between two media, i.e.
(X,Y,~)ES. (3)
The phase transition is accompanied by a release/absorption of a certain
amount of heat. Therefore the heat flow is discontinuous on the phase
transition boundary and is defined by the equation

Here L is the phase transition enthalpy and V. is the normal velocity of the
phase transition boundary.
As mentioned above, we assume that the phase transition occurs at a
constant temperature T'.Hence the interface is determined a t each moment
in time as follows: S = S ( t ) = { ( x ,y , t) E 0,T ( x ,y, z , t ) = T ' ) or, in other
words, the first-kind conditions

hold on the interface

Fig. 2.1.
32 COMPUTATIONAL HEAT TRANSFER

Conditions (1)-(3) are called the Stefan conditions and the corresponding
problem for equations (1) and (2) is referred to as the Stefan problem. In this
problem, processes in both phases are studied; and the problem is also called
the two-phase Stefan problem. The extreme case of this problem is when the
temperature field in one of the phases is known (the temperature equals the
phase transition temperature). We thus should find the temperature field only
for one phase, i.e. we deal with the monophase Stefan problem. In this case,
the unknown phase transition boundary S is external rather than internal.
For example, assume that the domain 0- is filled with the solid phase at
temperature T*. Then in order to find the temperature in the liquid phase,
we use equation (2) in a variable domain R+(t) supplied with the following
conditions on S:

Conditions like (6) and (7) are typical for the monophase Stefan problem.
In some cases the Stefan approximation is inappropriate. Various improve-
ments of mathematical models for phase transitions are actively discus-
sed in the literature. Without going into details, we mention the main
point. The Stefan condition in (5) is based on the assumption that the
temperature instantly levels to the phase transition temperature, which
actually corresponds to the assumption that the velocity of the phase
transition is unbounded. This assumption is not valid in some cases, e.g. in
the problem of describing high-intensity thermal processes (the hyperbolic
heat equation). To avoid this, we can use a more general third-kind condition
instead of the first-kind condition in (5). To derive this condition we should
describe the kinetics of the phase transition. For example, the condition
I
I aTt
k+ -+ a* (T" - T*)= 0, S(t),
(2,y, z ) E (8)
an
which bounds heat flows toward the phase transition boundary, can be used
instead of (6) in the monophase problem. Condition (8) is used along with
( 7 ) , which expresses the law of conservation of energy for any motion of the
interface.

2.9.8 GENERALIZED FORMULATION OF THE STEFAN PROBLEM


The formulation of the Stefan problem can be generalized so that conditions
(3)-(5) are included in the heat equation itself. This is very important from the
viewpoint of constructing efficient computational algorithms. We have already
discussed how to include nonhomogeneous junction conditions on a given
MATHEMATICAL MODELS O F PHYSICS O F HEAT 33

interface in the equation itself (see (19) in Section 2.2). The Stefan problem
is complicated because the unknown phase interface S itself is unknown.
Let us explain how we can pass from equations (1) and (2) equipped with
conditions (3)-(5) to a single heat equation. According to (18) and (19) in
Section 2.2, we can rewrite (1) and (2) as the single equation

cp (g+ v grad T
1 = div(k grad T ) - 6sLV. + f, ( x y z t) E Q. (9)

Near the boundary of the phase transition we introduce local orthogonal


coordinates (x', y', 2') with unit metric coefficients. The surface delta-function
hs in these coordinates becomes 6s = 6(x1 - xb), where the equation
z' = xb defines the boundary S . Similarly, the velocity of the free surface
is V, = dx'ldt. The Stefan conditions in (5) correspond to T = T(x', t) and
T(xb, t) = T* in the new coordinates. Taking this into account, we obtain
dx' dT
6sVn = 6 (x' - xb) - = 6 ( T - T') -
dt dt
Substitution of (10) into (9) yields the desired equation

(cp + L6(T - T*)) = div(kgradT) + f ,


( x , ~ , z , t E) Q. (11)
Equation (10) is remarkable because it does not include the unknown
boundary of the phase transition explicitly. Taking into account the heat
of phase transition amounts to specifying the effective heat capacity
ceR = c + p-'L6(T - T*). Effective numerical procedures for approximate
solution of the Stefan problem are based on quasi-linear heat equation (11).

3.3.3 THE QUASI-STATIONARY STEFAN PROBLEM


We single out the problem with phase transitions. Consider a stationary
temperature field in a moving medium. Let the medium move a t a constant
velocity vo along the vector s. Then v = vo = uos in equation (11). The
stationary temperature field T = T(x, y, z) with the phase transition taken
into account is defined by the equation
aT
+
vo(cp L6(T - T*)) - = div(k gradT)
as + f, (x, y, z) E 0. (12)

Thus, it is typical of the quasi-stationary Stefan problem that the temperature


field in each subdomain (in R+ and W ) is described by the second-order
elliptic equation (12) and that the interface is immovable but unknown.
34 COMPUTATIONAL HEAT TRANSFER

2.3.4 PHASE TRANSITIONS I N MULTICOMPONENT SYSTEMS


The Stefan problem above refers to the case in which a pure substance
undergoes a phase transition. However, the solidification/melting of impure
substances and multicomponent systems is very important in practice. Let us
dwell on the case of an alloy of two substances.
If we consider hardening, one of the substances changes state at one
temperature and the other at another, different temperature (i.e. we have two
phase transition temperatures). Therefore there exists a temperature interval
in which one part of the substance is in liquid state while the other is in solid
state (two-phase zone).
Let the subscript 0 denote the first substance and the subscript 1 the
second and let C be the concentration of the second substance. The processes
that occur in this situation are schematically shown in the diagram of phase
state in Fig. 2.2. For C = 0 and C = 1 (only one substance is present) the
phase transition occurs at a given phase transition temperature (To* and Ti,
respectively). For an intermediate concentration C', solidification starts at a
certain temperature Zi,(Ct) (liquidus temperature) and is completely finished
at a temperature TSoI(C1)(solidus temperature). Thus, the simplest model
for a binary alloy can be based on specifying this characteristic temperature
interval.
The computational domain now consists of three subdomains (Fig. 2.3),
namely Q+(t), filled with the liquid phase, R- filled with the solid phase,
and Ri(t), where solidification occurs and two phases coexist, i.e. R*(t) =
{(x, y,z)l (x, y,z) E R, T,,I < T < Zi,}. Let *(T) denote the part of the
solid phase at temperature T. Then the heat equation becomes

0 C' I C

Fig. 2.2. Fig. 2.3.


MATHEMATICAL MODELS O F PHYSICS OF HEAT 35

Evidently, equation (13) yields equation (11) for a pure substance, where
we have

and T' = Tli, = T.,,. Equation (13) is the basis for the simplest quasi-
equilibrium model the two-phase zone.
In special cases, the width of the two-phase zone may turn out to be much
smaller than a typical linear dimension in the problem. Then we can restrict
our analysis to the simplest assumption of a given temperature of the phase
transition for every concentration (T* = Tli, = T.,I):

When modelling alloys, it is often necessary to consider disproportionation


of an impurity due to phase transitions (especially in the liquid phase).
Without going into details we will consider a representative problem of a
narrow two-phase zone. The temperature field is described by equations (1)
and (2) closed by conditions (3) and (4) on the phase transition boundary S,
which is determined by (14).
The problem of determining the concentration is formulated similarly. In
particular, the diffusion equations are in this case

a'- - - div (D-grad C - ) ,


-
at (x, y, z, t) E Q-, (15)
act + div (vC')
- = div (D' grad C') , (x, y, z, t) E Q', (16)
at

where D t and D- are diffusivities in liquid and solid phases, respectively.


Let us formulate the simplest conditions on the phase transition boundary
for concentration. The concentration of impurity is discontinuous on the phase
transition boundary, and it is usually assumed that approximately we have

C- = k c f , (x, y, z) E S, (17)

where k is a coefficient that describes the distribution of impurity. For


definiteness we assume that condition (14), which defines the phase transition
boundary, is written for C + .
The law of conservation of mass can be used to write the junction condition
for flows ( v = 0 on S in equation (16))
36 COMPUTATIONAL HEAT TRANSFER

We take into account (17) and rewrite this condition as follows:

The junction conditions (17) and (18) complete diffusion equations (15) and
(16). Of course, we can set different conditions on the boundary of the
computational domain, but these will not he discussed here.

2.3.5 PROBLEMS
1. Formulate conditions for t h e velocity in t h e liquid phase o n t h e
phase transition b o u n d a r y taking into account t h e density j u m p .
Solution. If the density is continuous on the phase transition boundary, we
obtain a natural condition v = 0, (x, y,z) E S , for the velocity in the liquid
phase.
Changes in density (the density typically decreases) when passing from the
solid into the liquid phase lead to a nonzero velocity along the normal to the
phase transition boundary (expansion of substance). At the same time, the
tangent component remains zero, i.e.

The law of conservation of mass gives the following relationship between u,


and the velocity V. of the phase transition boundary:

This implies
u,, = v n = (I - 5)vn, (x,g,z) E S. (20)

Conditions (19) and (20) completely define the velocity of the liquid phase on
the phase transition boundary.
2. I n t h e quasi-stationary Stefan problem for a homogeneous
medium, transform t h e heat equation s o as t o g e t rid of convective
t e r m s ( t e r m s including directional derivatives along 1).
Solution. The stationary heat equation

holds in separate subdomains 0+ and 0-. Let us consider the expression


a
- div(R grad T) = aAT
R
+ a (grad R, grad T)
MATHEMATICAL MODELS OF PHYSICS OF HEAT 37

We compare it with (21) and choose a function R(x, y,z) so that


a
- gradR = vo. (22)
R
Equation (22) holds for any constant vector vo if

where r = xi + yj + zk. Substitution of (22) and (23) into (21) yields the
desired equation
div(RgradT) +R -f = 0, (x, y, z) E RC U 0-.
acp
Thus, we have obtained a self-adjoint equation in each separate subdomain.

2.4 C o n v e c t i v e Heat T r a n s f e r

2.4.1 THE NAVIER-STOKES EQUATIONS


Convective heat transfer is due to motions of the medium itself. It is very
important when considering heat transfer in a fluid (melt). Mathematical
models of heat transfer in this case should be supplemented by models of
motion of the medium itself and by equations of continuum mechanics. Let
us present typical models of motion at a heat-conducting medium which are
widely employed in practical research.
We consider heat transfer in a fluid (a gas). The law of conservation of mass
yields the continuity equation

""
In many cases (if medium motions are slow as compared with the speed of
sound) the density of the fluid can be assumed to be constant for the whole
medium a t any moment in time (the model of an incompressible fluid). In this
case equation (1) becomes
divv = 0. (2)
We use the notation v = (u,v, w) for the velocity components. Equations
of motion for a viscous medium (the Nauier-Stokes equations) are written as
38 COMPUTATIONAL HEAT TRANSFER

In (3), f = (f,, fy, f z ) is the vector of mass forces and a, are components of
the symmetric tensor of viscous tensions.
For an incompressible Newtonian fluid we get

where q is the viscosity. Substitution of (4) into (3) yields the desired equations
of motion for an incompressible viscous fluid.
The Navier-Stokes equations for a homogeneous medium, in which all
characteristics are constant, reduce to

If we take into account compressibility of the medium, we obtain an extra


term in equation ( 5 ) , namely

where ( is the second viscosity. It is usually simply assumed that E = 0.


The continuity equation and the Navier-Stokes equations describe motion
of the medium. We only have to write the heat equation in the fluid. This
equation has the simplest form for an incompressible medium

cPp (g+ v grad T = div(k grad T) + n@. (7)

Here c, is the specific heat at constant pressure and q@ is the term that
describes the dissipation of energy to beat due to viscosity or viscous friction.
The quantity @ can be expressed as

The allowance for the compressibility of the medium refines the dissipative
function @ and brings about an additional term to heat equation (7).
The system of equations (2), (5), and (7) is basic for modelling convective
motions of viscous homogeneous media. The unknowns are temperature T,
MATHEMATICAL MODELS O F PHYSICS O F HEAT 39

velocity v , and pressure p. The density is assumed to be given. This system is


closed by the appropriate boundary and initial conditions. For example, the
homogeneous conditions

can be posed on the boundary of the computational domain, i.e. the uwpenet-
ration ( v n = 0) and no-slip ( v x n = 0) conditions of rigid wall are satisfied.
The system of (2), (5), and (7) is peculiar in the sense that there is no equation
for pressure while there are, actually, two equations (vector equation (5) and
scalar equation (2)) for the velocity. The same partially refers to boundary
and initial conditions (see e.g. (9)).
We can eliminate pressure from the equation of motion (5). For this purpose
we use the relation
1
vgradv = gradvZ - v x curlv. (10)
We substitute (10) into (5) assuming that p and 7 are constant and apply the
curl operation to both sides to obtain
a
-- curl(v x curlv) = vA curlv + curlf,
at (11)

where u = q l p is the kinematic viscosity. We thus arrive at the system of


equations (2) and (11) to determine the velocity.

8.4.2 TWO-DIMENSIONAL FLOWS


Let us consider in more detail the case in which thermal and hydrodynamic
characteristics of a moving fluid do not depend on one of the coordinates,
e.g. on z . We thus come to a two-dimensional (in space) problem of heat and
mass transfer. Such planar flows are usually simulated using 'vorticity' and
'stream function' coordinates rather than physical (natural) coordinates, that
is velocity and pressure.
The continuity equation for an incompressible fluid (2) becomes

Equation (12) implies that the velocity components u and u can be expressed
in terms of the stream function li, (the lines li, = const are said to be
streamlines), namely

It is essential that continuity equation (12) holds in this representation


automatically.
40 COMPUTATIONAL HEAT TRANSFER

The vorticity for two-dimensional flows is introduced as follows:

We take into account (13) to get

We take equations of motion in the form (13) and rewrite the convective term
in (15) in somewhat different form:

We take into account (13) and rewrite the convective term in (15) in a
somewhat different form:

in terms of the Jacobian of the mapping (w,$) --, (x, y).


The system of equations (14) and (15) is the desired system that governs
motions of a viscous incompressible fluid in the vortex and stream function
variables.
We substitute (14) into (15) to eliminate the vorticity and obtain a single
quasi-parabolic fourth-order equation for the stream function (the $-equation)

The heat equation is transformed similarly

where the dissipative function Q is

Passing to the vortex-stream function variables simplifies the original


equations. In particular, instead of three equations (the continuity equation
and two equations for the velocity components) we get two standard equations
of mathematical physics, namely elliptic equation (14) for the stream function
MATHEMATICAL MODELS O F PHYSICS O F HEAT 41

and parabolic equation (15) for the vorticity. However, it is difficult to pose
boundary conditions in these new variables.
For example, the uonleakage and attachment conditions (see (9)) yield two
conditions for the stream function

Ij, = const,
aIj,-- o,
- an.
an
( 5 , ~E ) (17)

We thus have two conditions for equation (16) but no condition for the
vorticity. Besides, the constant in (17) is mast likely to be unknown (e.g. for
flows in multiply connected domains) and to be determined from additional
conditions (see Problem 2).

2.4.3 FREE CONVECTION


Much attention in theoretical and applied investigations of heat and mass
transfer is paid to free convection, i.e. the motion of a fluid in the gravity field,
accounted for by an inhomogeneity of the temperature field.
The fluid is usually assumed to be incompressible and changes in density are
only taken into account when specifying the gravity forces. The temperature
and density are reckoned from steady-state equilibrium values To = const and
+
po = const. Therefore T = To T' and p = po + p ' , where T' and p' are small.
The behaviour of density versus temperature is described by the following
equation for p': p' = -poPT', where P is the coeficient of thermal expansion.
Navier-Stokes equations (5) are linearized provided that f = pg, where g is
the vector of free fall acceleration. In a linear approximation (the Boussinesq
approximation) we get

The equation for temperature is taken as

The system of equations (2), (IS), and (19) is a base for describing free-
convection ruotions of a fluid when equipped with appropriate boundary and
initial conditions.

2.4.4 OTHER MODELS


Steady flow of a homogeneous fluid in a tube of arbitrary cross-section is an
important applied model of heat and mass transfer. We assume that a con-
stant temperature regime is maintained on the boundary. Let the axis of the
42 COMPUTATIONAL HEAT TRANSFER

tube be directed along the z-axis. The velocity of the fluid is directed along
the z-axis and is a function of the coordinates x and y. Similarly, T = T(z, y).
Under these assumptions the continuity equation (2) is an identity, while (5)
yields

Equations (20) and (21) imply that pressure is constant on a section of the
tube, and since u = u(x, y), it follows from (20) that d p l d z = const = 6 p / l ,
where 6 p is the known pressure drop across the tube and 1 is the length of
the tube. The Poisson's equation (20) for longitudinal velocity is considered
on a section of the tube 0 and is augmented by the attachment boundary
condition
= 0, (z, Y) E an. (23)

Similarly, using (7) and (8) we derive the equation for the temperature in
a homogeneous fluid

The boundary condition is

T = To = const, (x,y) E an. (25)

Equation (24) together with boundary condition (25) specifies the tempera-
ture field, provided that the velocity field is already calculated from equation
(20) equipped with condition (23). In both cases we deal with the classical
Dirichlet problem for the Poisson equation.
Many simplified models are based on the assumption that changes in
velocity and temperature in the longitudinal direction are small, e.g. a thin
layer model and a model of film flows. The most widespread model of this
kind is the boundary layer model.
Consider, a s an example, a flow of a viscous heat-conducting incompressible
fluid over a thin plate (Fig. 2.4). We direct the x-axis along the plate and the
y-axis across the plate. There exists a thin layer near the boundary in which
the flow undergoes substantial changes (the fluid slows down). This thin region
MATHEMATICAL MODELS O F PHYSICS O F HEAT

Fig. 2.4.

Fig. 2.5.

adjacent to the boundary of the body is called a boundary layer. Similar


changes are observed in the flow at the entrance of a thin slot (Fig. 2.5).
We assume the flow to be steady and planar (two-dimensional) and write
the boundary layer equations for the flow over the plate as follows:

Equations (26) and (27) are supplemented by the corresponding boundary


conditions.
It follows (see equation (26)) that the boundary layer approximation is
essentially based on neglecting second derivatives in the longitudinal direction.
A heat boundary layer is considered similarly. We assume that the incoming
flow has a certain constant temperature. Then the stationary heat equation
in this moving homogeneous medium becomes

where a is the thermal diffusivity.


Reduced Navier-Stokes equations, similar to boundary layer equations
(26)-(28), underlie many applied investigations. In particular, many classes of
free-convection flows can be studied within the boundary layer approximation.
44 COMPUTATIONAL HEAT T R A N S F E R

1 . Derive t h e equation for pressure for modelling planar flows


of a n incompressible fluid in t h e s t r e a m function a n d vorticity
variables.
Solution. We apply the operator div to the equation of motion (5), take into
account the incompressibility constraint (2) to obtain the Poisson equation for
pressure. In the planar case, equations of motion are

We differentiate (29) with respect to x and (30) with respect to y and take
into account (12) to derive

Substitution of (13) into (31) yields

2. Formulate conditions o n a rigid boundary t o uniquely specify


t h e s t r e a m function w h e n modelling planar flows in a multiply
connected domain.
Solution. Suppose that a doubly connected domain Cl has an internal
boundary y and an external boundary r. The stream function is constant on
both parts of the boundary (see (17)). The velocity components are specified
by the first derivatives of the stream function in (13). We thus can determine
the stream function, neglecting a constant. We put

11, = 0, (x, Y) E r, (33)


$ = const, (x, y) E y. (34)

To find an unknown constant in (34),


. let us use the following relation on
~

the boundary y
-=
ap aw
as T%' E 7,
where atas is the longitudinal derivative. Equation (35) follows from equa-
tions of motion (29) and (30) and the attachment and nonleakage conditions
on the boundary y.
MATHEMATICAL MODELS OF PHYSICS O F HEAT 45

Pressure should be uniquely defined on y, therefore (35) implies the


condition

which completes boundary conditions (33) and (34). An additional condition


like (36) can also be formulated on the external boundary r.
Note that condition (35) as well as the similar condition

can be considered as boundary conditions for determining pressure (see


equation (32)) provided that the velocity field and, hence, the vorticity w ,
is given.

2.5 Thermal Radiation of Solids

2.5.1 MAIN POINTS OF THE THEORY OF RADIATIVE HEAT


EXCHANGE
Heated bodies radiate energy into the environment in the form of elec-
tromagnetic waves. The quanta of energy propagate at the speed c and are
characterized by the wavelength X or frequency v, where c = Xu. The energy
carried by a quantum is hv, where h is the Planck constant. Let E denote
the integral density for the flux of energy of surface radiation passing through
a unit surface area. This quantity for a unit frequency interval is called the
spectral (monochromatic) density and denoted by E,,

Radiation incident on a body is partially reflected, partially absorbed, and


partially passes through the body. When radiation is absorbed completely, we
deal with an absolutely black body.
Mathematical models of radiative heat transfer are complicated and difficult
for numerical modelling mainly because multidimensional transport equations
need t o be used. In some cases we can restrict ourselves to simpler models,
e.g. a multigroup diffusion approximation and approximations of radiative
heat transfer and an optically thin layer.
We mainly deal with heat processes in solids, which are opaque for heat rays
unless very thin. Therefore we can assume that only the surfaces of solids are
46 COMPUTATIONAL HEAT TRANSFER

involved in heat exchange processes. This substantially simplifies models of


radiative heat transfer.
The spectrum of black-body radiation with temperature T is determined
by the Planck law
hv3 1
E,, = 2 ~ -
c2 exp(mv/T) - 1'
where m is a constant.
According to (1) and (2) the integral density of the energy flux is

E=
7
O
E, dv = uT4.
(3)

Equation (3) expresses Stefan-Boltzmann law and u is a constant known as


the Stefan-Boltzmann constant.
Of course, bodies never absorb radiation completely, and a coefficient of
'blackness' E (E < 1) is introduced in the Planck and Stefan-Boltzmann laws
to describe the fraction of radiation that is absorbed by a hody. For example,
the equation
E =E U T ~ (4)
is used for the flux density instead of (3). The coefficient of blackness is usually
taken to be a constant, although in a more general case, it may vary with
temperature, i.e. E = E(T).

2.5.2 BOUNDARY VALUE PROBLEMS O F HEAT EXCHANGE


TAKING ACCOUNT O F RADIATION
The simplest description of radiative heat exchange, based on the Stefan-
Boltzmann law in the form (3) (or (4)), can be used to pose conjugate problems
in which heat is transferred due to heat conduction and radiation concurrently.
We use the standard heat equation inside the rigid hody and refine the
boundary conditions so as to take into account radiation and absorption.
Let us first consider an isolated single rigid convex body R with the
boundary Xl.Inside the body heat is transferred is due to thermal conduction;
therefore (see (2.1))
aT
cp-
at
= div(kgradT) f , + (x,y , z ) E R. (5)

We take into account only the radiation of the rigid hody itself and convective
heat exchange with the environment and formulate the third-kind boundary
conditions on the boundary a R
aT
k-
an
+ a ( T - T,) + E U T ~= 0, (x,y,Z) E dR. (6)
MATHEMATICAL MODELS O F PHYSICS OF HEAT 47

Boundary condition (6) has to be refined if radiation of the environment,


external radiation, etc. are present. A refinement is also needed for a
nonconvex boundary a n , when it is necessary to take into account absorption
from some parts of the boundary (self-irradiation).
We see that mathematical models of heat transfer in rigid bodies with
allowance for radiation are not much more complicated than those in which
heat is transferred due to thermal conduction solely. We should only mention
that boundary condition (6) is essentially nonlinear.
With the Stefan-Boltzmann law taken into account, the boundary condition
in the approximation of an absolutely black body and an environment is
written as follows:

This condition can be rewritten as an ordinary condition of convective heat


transfer
aT
k-+a,(T-T,)=O, (x,y,z)EaO (7)
an
but thermal conductivity is then nonlinear, namely

+
a , = a + O(T- T,) (T2 T:) . (8)

The boundary value problem for (5) with conditions (7) and (8) is closest
to standard heat transfer problems discussed in Section 2.2.

2.5.3 HEAT EXCHANGE BETWEEN BODIES


We have already discussed how to describe heat transfer for an isolated
body taking into account its own radiation. In the theory of radiative heat
transfer, much attention is paid to the case in which we have many bodies
separated by a medium which is transparent for radiation. When formulating
boundary conditions in this case, it is essential to take into account not only
internal radiation but also radiation from the other bodies. This situation is
similar to the case of a nonconvex rigid body 0, for which the self-absorption
of internal radiation has to be taken into account.
For example, assume that the bodies are absolutely black and the radiation
is isotropic, i.e. its intensity does not depend on the direction. The Stefan-
Boltzmann law (3) gives an expression for the density of flux of radiation from
the surface of a rigid body along all the directions in a half-space. The flux
of radiation from a body in some direction is proportional t o the flux in the
normal direction and to the cosine of the angle between the normal to the
surface and this direction (the Lambert law).
48 COMPUTATIONAL HEAT TRANSFER

Fig. 2.6.

Let n(M) denote the normal to the surface aR at a point M and r(M, P )
denote the distance between the points M and P on the surface (Fig. 2.6).
The resulting radiation flux is comprised of the flux of the proper radiation
and the absorbed flux. Therefore, by the law of conservation of energy, we
write

where cos(n(M),r) is the cosine of the angle between the normal and the
line segment that joins the points M and P . The integration in (9) is over
aW = aW(M), i.e. over a part of the boundary 0 that can be seen from the
point M.
We have thus obtained equation (9) to determine the density of flux of
radiation. The temperature field inside the bodies is defined by heat eqna-
tion (5). The boundary condition becomes

The model of ( 5 ) , (9), and (10) is simplified if we consider rigid bodies with
isothermal surfaces. In this case, the radiation flux on the surface of each
distinct body is constant. Consequently, (9) yields algebraic relations that
determine the fluxes.

2.5.4 PROBLEMS
1. Consider two limiting cases for t h e Planck law, namely w h e n
mu << 1 a n d mu >> 1.
Solution. In the first case, in which mu << 1, we use the expansion

The Rayleigh-Jeans law says


MATHEMATICAL MODELS O F PHYSICS O F HEAT 49

In the case of mu >> 1 we neglect the unity in the denominator of the Planck
formula to obtain

This formula is known as the Wien displacement law.


2. Formulate junction conditions for a nonideal thermal contact
taking into account radiation into a gap.
Solution. We consider the gap to be a transparent medium. The law of
conservation of energy implies the continuity of heat fluxes (see (6) in Section
2.2), expressed as

The contact heat exchange condition remains the same as usual (see (21) in
Section 2.2):

If the bodies in contact are not absolutely black, the conditions are written
similarly (see the Stefan-Boltzmann law (4)).

2.6 Thermoelasticity

2.6.1 BASIC EQUATIONS OF THERMOELASTICITY


Being subjected to heat, rigid bodies extend. This effect of linear expansion
of rigid bodies is described within the framework of linear elasticity theory.
We present the basic equations of thermoelasticity, which include an equation
for displacements in rigid body and equations for temperature distribution.
Let u = (u,v,w) denote the displacement of particles in a rigid body with
respect to the equilibrium position. Equations of motion for the rigid body
are
50 COMPUTATIONAL HEAT TRANSFER

The components of the tensor of elastic tensions are written as

where X and p are Lame' coefficients which describe elastic properties of


the medium. The terms involving temperature govern motions of the elastic
medium due to thermal effects. In addition, we have y = (3X + 2p)a. Here
cu is the coefficient of linear expansion, responsible for temperature effects. In
equation (I), as usual, p is the density of the medium and f is the vector of
volume forces, known beforehand.
We assume the medium to be homogeneous, substitute (2) into (I), and
obtain the Lam6 equations

The system of hyperbolic second-order equations (3) is supplemented by


the appropriate boundary and initial conditions. For instance, it is logical to
specify the initial displacement and the velocity:

To set the simplest boundary condition for the Lam6 system of equations
would be to specify displacements on the boundary of the computational
domain, e.g.
u(x,y,z,t)=o, (x,y,z)a~. (6)
Thus, given a temperature field in the medium, the stressed state is
determined by the boundary value problem like that in (3)-(6).
A heat equation for a rigid homogeneous body that takes into account
compressibility is somewhat different from usual and looks like (neglecting
internal sources of heat)
MATHEMATICAL MODELS OF PHYSICS O F HEAT 51

The second term in the left-hand side of (7) is small for rigid bodies and is
often neglected. The heat equation (7) with appropriate boundary conditions
can be used to determine the temperature field, given deformations.
Equations (3) and (7) comprise the system of equations of thermoelasticity.
It is logical t o distinguish stationary thermoelasticity problems as a separate
class. For the case of stationary problems the system of (3) and (7) is
significantly simpler:

In the elasticity theory (as well as in problems of thermoelasticity) it is often


important to reformulate the original problem for displacements in terms of
new variables. In the following, we suggest some possibilities of this kind.

8.s.e A SPECIAL REPRESENTATION OF THE LAME EQUATIONS


The representation in terms of solutions to ordinary second-order equations
describing oscillations is the most important among possible representations
of solutions to thermoelasticity problems.
We seek a solution to (3) with f = 0 in the form

u = grad ip + curl Q. (10)


We use the identity
A = grad div - curl curl,
to rewrite (3) with f = 0 as

aZu
p - = (A + 2p) grad div u - p curl curl u - y grad T .
at2
(11)

Substitution of (10) into (11) yields

This implies that ip can be found from the equation

We thus have a vector equation for Q, namely


52 COMPUTATIONAL HEAT TRANSFER

Thus, the dynamical problem of calculating thermoelastic state is reduced


to solving second-order hyperbolic equations (12) and (13) and parabolic
equation (7). Equation (12) describes the propagation of longitudinal waves
+
(expansion waves) at speed cl = ((A z ~ ) / ~ ) ' / ' .Similarly, equation (13)
describes distribution of transverse waves (displacement waves) a t speed
cz = ( w I P ) ' ~ ~ .

2.6.3 PLANAR PROBLEMS


Let us discuss planar deformations in more detail. In this case, we have
w = 0, and u and u depend only on x and y. We consider the state of
equilibrium in which there are no mass forces, i.e. f = 0 in (8). Then we
can introduce the Airy stress function 11, such that

We obtain a biharmonic equation for the stress function, namely

In (14) u denotes the Poisson coeficient, u = A/(2(A +


p)) 5 112. We
take into account the simplest stationary heat equation in (7) and derive
the homogeneous biharmonic equation for the stress function

This biharmonic equation is widely used in the elasticity theory; therefore, it


can be considered as a basic model (equation (14)). Note that in the planar
case we have
a4+
AA+ = -+ 2-
a4+ +-a4+
ax4 ax2ay2 ay4 '

It should be noted that a hyperbolic second-order equation (the equation of


oscillations in (12) and (13)) and systems of hyperbolic equations (the Lam6
equations in (3)) are other basic models of the elasticity theory.

2.6.4 THIN PLATES


In the elasticity theory, much attention is paid to the simulation of
deformation of thin plates and shells and membranes. Let us formulate the
equations that describe the thermoelastic state of a thin plate.
We consider an elastic cylinder of a small height h subjected to stress. We
choose the Cartesian coordinate system so that r = 0 is the medium plane
MATHEMATICAL MODELS OF PHYSICS OF HEAT 53

of the cylinder and consider small deflections of this cylindrical plate under
normal loads and the combined action of heat.
The constant deflections of a fixed-width plate are governed by the Sofi
Jermen equation
DAAw = q - A M T , (15)
where D is the cylindrical rigidity, q = q(x, y) is the load, and MT is the
bending moment due to thermal actions. The value MT can be represented as

The temperature field is determined by the corresponding heat equation


(stationary heat equation (9)). In the simplest case, in which the temperature
is constant over any section, we get MT = 0, i.e. such thermal actions do
not lead to displacements along the normal to the plate. The effect of inertial
forces reduces to the following refinement of (15):

Equation (17) is supplemented by nonstationary heat equation (7).

2.6.5 PROBLEMS
1. Derive an expression for the deformation of an infinite elastic
medium in which the temperature field is T = T(x, y,z) # To = const,
( x , Y , E~ a,and T ( x , Y , ~=) T O , ( X , Y , ~$)0 .
Solution. A steady thermoelastic state is described by the equation (see
(11))
(A + 2p) grad div u - p curl curl u = y grad T.

This equation has a particular solution

The velocity u specified by (18) and (19) can be represented as


54 COMPUTATIONAL HEAT TRANSFER

where r = ((x - x ' ) ~+ (y - y')Z+ ( Z - z ' ) ~ ) ~NOW


/ ~ .we take into account (19)
to obtain

because the temperature is constant outside the domain R.


2. Derive a s t a t i o n a r y equation for a stressed t h i n p l a t e i n t h e
case of a nonuniform t e m p e r a t u r e field i n t h e transverse direction,
neglecting h e a t transfer i n t h e longitudinal direction.
Solution. Under the posed ideal conditions, the heat equation (9) reduces
to

The integration of (20) and the substitution of the result into (16) yields

This expression is used in equation (15). Thus, temperature gradients in the


transverse direction lead to a deflection of the thin plate.

2.7 B i b l i o g r a p h y and Comments

2.7.1 GENERAL NOTES


2.1 Mathematical models of heat conduction are considered in classical
manuals [3, 5, 7, 11, 121.
2.2 Formulations of boundary value problems for heat equations are discussed
in textbooks on equations of mathematical physics (see e.g. 1161). Inverse
problems of heat transfer are most completely covered in [I, 21.
2.3 Problems in which phase changes occur are briefly discussed in textbooks
[3, 111. More detailed bibliography is presented in Chapter 7.
2.4 General models of heat and mass transfer are discussed in [6, 8, 10, 131
(see also Chapter 9).
2.5 Models of radiation, in much more general terms (not only radiation from
the surface of rigid bodies), are considered in [5, 14, 151.
2.6 Among all manuals on the elasticity theory we mention 14, 9, 171. Papers
specifically devoted to thermoelasticity problems are listed in Chapter 8.
MATHEMATICAL MODELS OF PHYSICS OF HEAT 55

2.7.2 LITERATURE
1. Alifanov 0 .M. (1988) Inverse Problems of Heat Transfer [in Russian]. Mashino-
stroenie, Moscow.
2. Beck J . V., Blackwell B. & St. Clair C., Jr. (1985) Inverse Heat Conduction,
Ill-Posed Problems. John Wiley & Sons, New York.
3. Carslow H. S. & Jaeger J. C. (1959) Conduction of Heot i n Solids, 2nd edn. Oxford
Univ. Press, London.
4. Green A. E. & Zerna W. (1968) Theoretical Elasticity. University Press, Oxford.
5. Isachenko V. P., Osipova V. A. & Sukomel A. S. (1981) Heot Transfer [in Russian].
~ n e r ~ o i z d aMoscow.
t,
6. Jaluria Y. (1980) Natural Convection. Heat and Moss Ransfer. Pergamon Press,
Oxford.
7. Kutateladze S. S. (1979) Basics of Heat 7 h n s f e r [in Russian]. Atomizdat, Moscow.
8. Landau L. D. & Lifshitz E. M. (1987) Fluid Mechanics, 2nd edn. Pergamon Press,
Oxford.
9. Landau L. D. & Lifshitz E. M. (1984) Theory of Elasticity. Pergamon Press,
Oxford.
10. Loitsyanskii L. G. (1973) Mechanics of Fluids and Solids [in Russian]. Nauka,
Moscow.
11. Luikov A. V. (1968) Analytical Heot Difusion Theory. Academic Press, New
York.
12. Luikov A. V. (1972) Heat and Moss linnsfer [in Russian]. Onergiya, Moscow.
13. Schlichting H. (1968) Boundary-layer Theory, 6th edn. Translated by J. Kestin.
McGraw-Hill, New York.
14. Siege1 R. & Howell J. (1981) Thermal Radiative Heat Tmnsfer. McGraw-Hill,
New York.
15. Sparow E. M. & Sess R. D. (1971) Radiative Heat Ronsfer [Russian translation].
~ n e r ~ iLeningrad.
~a,
16. Tikhonov A . N. & Samarskii A. A. (1977) Equations of Mathematical Physics
[in Russian]. Nauka, Moscow.
17. Timoshenko S. P. & Goodier J. P. (1970) Theory of Elasticity. McGraw-Hill,
New York.
Analytical Methods of Heat
Transfer

Heat transfer problems are studied, in simple cases, by classical analytical


methods of applied mathematics. Computers and numerical methods are
employed to solve more complex problems. Analytical methods are also used
in the course of numerical solution to preliminarily examine a mathematical
model and test computational algorithms.
To investigate an applied mathematical model, it is necessary, first, t o pass
to dimensionless variables. This would allow us to analyse the problem, i.e. t o
single out small or large parameters. In dimensionless variables the number
of parameters of the problem is less than in the original variables, which is
extremely important for multiparameter investigation of an applied model.
For example, if we deal with an optimization problem, we can significantly
reduce the dimension of the minimization problem. Similarity criteria can be
used t o compare results of different experiments and clear up similarity of
processes.
The most advanced analytical methods of heat transfer are developed for
solving linear problems. These methods with multiple parameters comprise
thus far most of the space in textbooks on theoretical heat transfer. For
example, the method of separation of variables and methods of integral
transforms are commonly used for solving boundary value problems.
Exact solutions of nonlinear problems are worthy of notice. These particular
solutions allow us to analyse special features of a problem due to its
nonlinearity. Some exact solutions of nonlinear problems in beat transfer can
be found when searching for self-similar solutions. The group analysis can be
involved in a more general situation. We should also mention some functional
transforms, which can be used to pass from certain nonlinear problems to
58 COMPUTATIONAL HEAT TRANSFER

linear ones. The problem is then reduced to finding general solutions of these
linear problems.
Among approximate methods of applied mathematics we should mention
perturbation methods. An approximate analytical solution can in certain cases
be constructed by separating a small parameter. The most important results
in this way are obtained by homogenization theory. This theory can be nsed
to compute effective characteristics of composite media with small inclusions.
Asymptotic methods are widely nsed in the theory of heat transfer.
As an example, we present the investigation of a regular thermal regime
corresponding to a developed stage of the process.

3.1 Dimensionless Analysis

3.1.1 GENERAL CONCEPTS AND A MODEL PROBLEM


It is logical that in practice we desire to use a unique system of units. Such
a system for mathematical modelling and computations is a dimensionless
system of units. This choice of a system of units is meaningful and is not
simply made for convenience of unification.
Rounding-off errors determined by the hardware always occur when solving
a problem on a computer. In order to reduce a contribution of rounding-off
errors into an approximate solution, the problem is scaled. The modulus
of the desired solution must not be too large. For this reason, desired
quantities are multiplied by the corresponding scaling factors, i.e. the problem
is transformed. By passing to dimensionless variables the problem is scaled so
that dimensionless quantities vary approximately from -1 to 1.
The second reason in favour of dimensionless variables is that they allow
us to separate small (large) parameters of the problem. It is in dimensionless
variables that we can compare terms with one another. The small (large)
parameters are used to construct simplified mathematical models and analyse
the problem asymptotically (i.e. find an approximate solution).
Finally, introducing dimensionless parameters, we reduce the total number
of parameters of the mathematical model, which is extremely important for
numerical modelling. Therefore we can investigate the influence of a group of
parameters on the solution by studying the influence of a smaller group of
parameters on this solution.
Consider the simplest model of heating a cylinder rod of the length 1 with a
thermally insulated lateral surface. For simplicity, we only consider the case in
which the thermal characteristics of the rod (as well as the other parameten
of the problem) are constant. Heat transfer is described by a one-dimensional
heat equation, namely
ANALYTICAL METHODS OF HEAT TRANSFER 59

where we use the standard notation (see Chapter 2). We assume that the base
of the cylinder is subjected to heat exchange with a medium at the tempera-
ture T,
aT
-k
ax + a ( T - T,) = 0,
- x = 0. (2)
Let the heat flow be specified on the other end of the rod, i.e

In addition, we assume that the initial temperature of the rod is other than
that of the environment, e.g.

These are all the necessary boundary and initial conditions for (1)

3.1.2 MAKING A PROBLEM DIMENSIONLESS


The problem in (1)-(4) is characterized by the following set of parameters:
I, c, p, k , f, a,T, and q. The solution to even this simple problem depends
on eight parameters, namely T = T(x, t ;1,c, p, k,f,a, T., q). Thus, it is not
always possible to study the influence of each of the parameters. Usually most
of the parameters are fixed and only some of them can vary in a small range.
Therefore, it is often sufficient to study the influence of one parameter while
the others are fixed.
We should first choose characteristic quantities (values) for scaling in order
to pass to a dimensionless problem. This choice is not always obvious and
depends on the specific problem. It is reasonable to use common techniques
of scaling for a certain branch of investigation.
In the problem considered we can take the length of the rod 1 for scaling the
spatial variable x. We use the same letters for dimensionless quantities but
supply them with primes. Then x = lx', where x' is a dimensionless variable. If
the rod is not heated strongly, we can take the temperature of the medium T,
for scaling temperature, i.e. T = T,T', where T' is dimensionless temperature.
Similarly, let t = tot', where a typical time interval to is not yet defined.
We substitute these formulm into heat equation (1) and obtain the equation

cp12 aT' a2T'


--=-
kto atf
+ Os, 0 < 2' < 1, t' > 0, (5)
60 COMPUTATIONAL HEAT TRANSFER

in the dimensionless variables. Equation (5) contains a dimensionless fraction


(dimensionless parameter) 0 s = 12f/(kT,), that is called the Ostrogradskii
number.
Let us now define the time scale to = cp12/k. Then the heat equation is
additionally simplified

aT' - a2T'
at1
Os,
(a~')~
+ 0 < sf < 1, t' > 0.

to include only one parameter (the Ostrogradskii number).


Let us now derive dimensionless boundary and initial conditions. According
to (2)

where Bi = a l l k is the Biot number. Similarly, condition (3) becomes

where Kr = ql/(kT,) is the Kirpichev number. The initial condition is written

The problem in the dimensionless variables (5)-(9) is characterized by


three dimensionless parameters, namely Os, Bi and K r . Note that we
have only three rather than eight parameters for the problem, i.e. T' =
T'(xf, t'; 0 s ,Bi , Kr ). Logically, the problem in the dimensionless variables
is much simpler for investigation.
In order to transfer to dimensional quantities we should actually multiply
dimensionless solutions by dimensional factors. It is dimensionless variables
that reveal similarity of different problems. Indeed, let us have two problems
with different linear sizes and thermal parameters. Assume that they are
written identically in dimensionless variables. Then the problems are similar,
i.e. they differ only in scale factors. Therefore it is easy to pass from one
problem to the other.

3.1.3 PARAMETRIC ANALYSIS O F A PROBLEM


Rewriting a problem in dimensionless variables, we can separate small
(large) parameters and, hence, simplify the problem. In the simplest case
of (1)-(4), for example, third-kind boundary conditions are realized for x = 0.
The question arises as to under what conditions of cooling can we pass from
these conditions to first- or second-kind boundary conditions. The boundary
regime in dimensionless variables is only specified by the Biot number. If
ANALYTICAL METHODS OF HEAT TRANSFER 61

Bi >> 1 in ( 7 ) , we can put T' = 1 for x' = 0 (a first-kind boundary condition).


Conversely, if Bi << 1, we get a second-kind boundary condition aT1/az' = 0
for x' = 0. A more precise answer to the question of the boundary regime can
be given according t o the experience of modelling. For instance, if Bi < 0.01,
the simplified boundary condition holds to within several per cent.
The second example of parametric analysis of (1)-(4) is associated with
the question as to when we can pass from nonstationary equation (1) to a
stationary equation. Assume that a thermal process is considered in the time
interval from 0 to t,,,. Then it is sufficient t o compare the typical time of
heat transfer to = cp12/k with t,,,. If t,, >> to, we can use the stationary
equation instead of (1). In this case we can take t,,, for scaling time. As a
result we get the equation

with the small parameter E = tO/tmax instead of ( 6 ) . Evidently, the non-


stationary character of (10) manifests itself for small time intervals, namely
the small parameter at the time derivative makes the equation singularly
perturbed.
We can similarly investigate the influence of the source in (1). If 0 s << 1, it
can be neglected. In the opposite case of 0 s >> 1 we come across a singularly
perturbed problem, and if we are not interested in boundary effects, we can
neglect heat conduction in the original equation (1).
We can thus simplify the original mathematical problem and investigate
the qualitative behaviour of its solution by parametric investigation of the
problem in dimensionless variables. We should emphasize that we only use
minimal mathematical tools for the analysis.

3.1.4 PROBLEMS
1. S e p a r a t e a dimensionless p a r a m e t e r responsible for convective
h e a t transfer.
Solution. The model equation is

where u is the velocity of the medium. The corresponding dimensionless


equation (see (6)) is
62 COMPUTATIONAL HEAT TRANSFER

The Pe'clet number Pe = ulcp/k is the desired dimensionless parameter.


The typical time can be taken as to = 1/11. Then the equation in
dimensionless variables appears in a somewhat different way, namely

2. Find the conditions under which the heat of phase change can
be neglected while modelling heat transfer.
Solution. Let us reduce the appropriate one-dimensional monophase Stefan
problem to a dimensionless form. The latent heat L is taken into account by
the condition (see Section 2.3)

where x = q(t) is the interface.


We reduce (11) to a dimensionless form and separate a dimensionless
number Ste = L/(cp), which is called the Stefan number. If Ste << 1, the
heat release due to a phase transition can be neglected.

3.2 Analytical Solution of Linear Problems

3.2.1 THE METHOD O F SEPARATION O F VARIABLES


Henceforth the linear heat equation written in the form
au
c(x) - = div (k(x) gradu)
at
+ f(x, t ) , x E 0, t >0 (1)

is the basic mathematical model. We consider general 3-D problems as well


as problems of smaller dimensions; therefore x = ( X I ,22,. . . ,x,), m = 1,2,3.
Equation (1) describes (see Section 2.1) heat transfer via conduction in a
nonhomogeneous isotropic medium.
Equation (1) is supplemented by the initial condition

and a homogeneous boundary condition, e.g. by the first-kind condition

It is important for the method of separation of variables that the boundary


condition is homogeneous. Therefore, if we deal with a problem with generic
ANALYTICAL METHODS O F HEAT TRANSFER 63

boundary conditions, we should first pass to the problem with homogeneous


conditions.
The essence of the method of separation of variables (the Fourier method)
is the construction of particular solutions of (1) that can be represented as a
product
u(x, t) = B(t)u(x), (4)
where each factor depends on its own variable. Let us first consider the case
of a homogeneous equation (i.e. f (2, t) = 0 in (1)). We substitute (4) into (1)
and derive the equations for B(t) and v(x)

div (k(xgradv)) + Xc(x)u = 0, x E 0, (5)

According to (3), equation (5) is supplemented by the boundary condition

U(X)= 0, E an. (7)

The problem of (5) and (7) has nontrivial solutions only for some X
and is referred to as a spectral problem (the Sturm-Lioville problem). The
corresponding values of X are said t o be eigenvalues and the corresponding
solutions u(x) are called eigenfunctions.
Let us number the eigenvalues of the problem of (5) and (7) in ascending
order so that

X 1 < X 2 < . . . A,< ..., lim X , + m


n-cx

All the eigenvalues are positive, i.e. X1 > 0. We denote the corresponding
eigenfunctions by u,(x), n = 1 , 2 , .. . .
Notice the main properties of the eigenfunctions vn(x). Let us consider a
Hilbert space 71 = Lz(12) equipped with the scalar product

and the norm llyll = (y,y)'/2. Similarly, for positive c(x) we define a weight
Hilbert space 71, such that
64 COMPUTATIONAL HEAT TRANSFER

The eigenfunctions of the problem of (5) and (7) are orthonormalized in


71,. i.e. (v,,~.), =6,,, where

is Cronecker's delta.
Given a solution of the spectral problem of (5) and (7), we can determine
the general solution of (6) as

Let us now represent the solution of (1)-(3) with f ( x , t ) = 0 as a


superposition of constructed particular solutions

The coefficients c, are determined by the initial condition (2), namely c, =


(uo,u,), are the coefficients in the expansion of the function uo(x) in the
eigenfunctions v,(x), (the Fourier coefficients).
Thus, we derived the solution of problem (1)-(3) with f ( x , t ) = 0 in the
form w

u(x,t) = ~ ( ~ ~ , ~ ~ ) , e x p ( - ~ , t ) ~ , ( x ) . (9)
n=1

In the case of nonhomogeneous equation ( I ) , representation (9) in the


method of separation of variables includes an additional term, namely

We thus obtained the general solution (10) of the heat transfer problem
(1)-(3). The cases of the first- or second-kind boundary conditions, mixed
boundary conditions, etc. are proceeded with similarly. Since the solution is
represented as an infinite series, it is often necessary to simplify the original
problem to get a simpler solution.
The general solution is constructed given the solution of the spectral
problem in (5) and (7). Note that the solution of this problem is known only
ANALYTICAL METHODS OF HEAT TRANSFER 65

in a few cases, and most textbooks on heat transfer do not present these
solutions. The same is true for stationary problems of heat transfer.
For example, let us find the solution of the simplest one-dimensional
problem in which R = (0,l). We consider the heat equation

with initial and boundary conditions in (2) and (3), respectively.


The corresponding eigenvalue problem (see (5) and (7)) becomes

The eigenvalue problem in (12) and (13) has the solution

The solution of (11) is thus presented according to (lo), (14) and the
conditions in (2) and (3).

3.2.2 THE METHOD OF THE GREEN FUNCTIONS


The method of the Green functions is a widespread method for solving
boundary-value problems in mathematical physics. Consider the problem of
(1) and (2) with a nonhomogeneous first-kind boundary condition

U(Z,t) = g(z, t), E an. (15)

The Green function (a source function) for this problem is defined as the
solution of the equation
aG
C(Z)- = div (k(x) grad G)
at
+ 6(z - z', t - t'), (16)

with homogeneous initial and boundary conditions (3). Here 6(z, t) is the
delta function (see Section 2.3). Thus, the Green function G(z,zf;t , t') is the
temperature field due to the instantaneous (at time t') source of heat located
at the point 2'.
The solution of the general problem in (I), (2), and (5) is uniquely
represented in terms of the Green function. The problem is thus reduced
to searching for the Green function. This function can be constructed in some
specific problems of heat transfer (in particular, when stationary problems are
considered in this way).
66 COMPUTATIONAL HEAT TRANSFER

The solution u ( x ,t ) is written as

The first, second and third terms in the right-hand side of (17) are res-
ponsible for nonhomogeneous initial temperature, nonhomogeneous boundary
condition and nonhomogeneous equation ( I ) , respectively.
We separate an important case in which heat transfer is considered in
an unlimited isotropic medium. In this case, Cl is the whole space Rm and
the bounded solution is defined by equation (1) and initial condition (2) (an
initial value problem). Under these conditions G ( x ,x'; t , t') is the fundamental
solution and the corresponding integral representation of the solution is

u ( x ,t ) =
I
Rm
u o ( x l ) G ( x ,x'; t , 0 ) dx'.

For a nonhomogeneous medium we get

(
G ( x ,x'; t , 0 ) = ( 2 ( a a t )1,2 ) -3 exp --T ~ ? ; ~ X ' ) ) ,

where T ~ ( x , x '=) C z 1 ( x ,- x : ) ~ .
Note that the Green function can be constructed by the method of
separation of variables. For this purpose we set the right-hand side f ( x , t )
of ( 1 0 ) to be the delta function, which yields

m
G ( x ,x'; t , t ' ) = c(x')u,(x')u,(x) exp ( - X,(t - t'))
n=1

In particular, we can conclude from this equation that the Green function is
symmetrical with respect to the spatial variables for c ( x ) = const.
ANALYTICAL METHODS OF HEAT TRANSFER 67

3.2.3 INTEGRAL TRANSFORMS


An integral transform of a function (an original) is said to be the function

where K(p, t ) is called the kernel of the integral transform.


Considerable attention is aid to integral transforms in the analytical theory
of heat transfer. Transforms with both infinite and finite ( a and b) limits of
integration are studied. The most conventional transforms are the cos- and
sin-Fourier transforms, the Mellin transform, the Hankel transform, etc.
The most typical example of practical employment of integral transforms
for solving heat-transfer problems is provided by the Laplace transform. The
integral
m

F(P) = /exp(-pt)f(t) dl, <


p = +in
0

>
exists for ( &, given a continuous function f (t) of a real argument t such
that /f(t)l 5 c o n s t e ~ p ( < ~ tGiven
). the image F(p), we can define the inverse
Laplace transform

There is a lot of reference material about the Laplace transform and some
other integral transforms.
Without going into detail we mention that the Laplace transform can be
used to find exact solutions of heat transfer problems. Let us consider the
problem (1)-(3). We multiply (1) by the kernel exp(-pt) of the Laplace
transform and integrate the resultant with respect to t from 0 to m. Let

be the image of the solution. Direct calculation yields


c ( x ) ( p - uo) = div (k(x) gradv) +F(x,p), x E 0, (18)
where F ( x , p ) is the image of the source term in the right-hand side of (1).
Equation (18) is equipped with the boundary conditions
U(X,P)= 0, E an, (19)
which result from (3)
68 COMPUTATIONAL HEAT TRANSFER

We thus come to solving the Dirichlet problem in (18) and (19) for a se-
cond-order elliptic equation that includes a parameter p. If this problem can
be solved, the next step is to determine the inverse Laplace transform.
In this case we use the Laplace transform with respect to time. Of course,
in certain problems it is more convenient to apply the Laplace transform with
respect to some of the spatial variables. For example, this is the case for
stationary and nonstationary heat transfer in space. Obviously, there are a
lot of other examples.

3.2.4 PROBLEMS
1. A n isotropic b o d y with a fixed initial t e m p e r a t u r e exchanges
h e a t w i t h t h e environment whose t e m p e r a t u r e varies i n time.
R e d u c e t h e solution of t h i s problem t o t h e solution of a problem
with fixed boundary conditions.
Solution. We need to find the solution to the equation

au
c(x) - = div (k(x) gradu), x E 0, t > 0, (20)
at
that satisfies the conditions

u(x,o) = uo = const, x E 0, (21)


au
an
k ( ~ ) + a ( u - g(t)) = 0, x E an, (22)

where g(t) is the temperature of the environment.


We seek the solution (by Duhamel's method) in the form

We substitute (23) into (20)-(22) and obtain the following problem of


determining the function u(x, t)

au
c(x) - = div (k(x) gradu), x E R, t > 0,
at
U(X,O) = 0, E n,

I~(x)
au + a(u
an - 1) = 0, E an.

We thus come to the problem with fixed boundary conditions.


ANALYTICAL METHODS OF HEAT TRANSFER 69

2. F i n d t h e general solution of t h e hyperbolic h e a t e q u a t i o n b y


t h e m e t h o d of s e p a r a t i o n of variables neglecting i n t e r n a l sources of
heat.
Solution. Under these hypotheses, the heat equation becomes (see
Section 2.1)

c ) ( + ) = div ( ( x ) g r a d ) r s R, t >o

In addition to conditions (2) and (3), we pose an extra initial condition

We apply the method of separation of variables and derive the second-order


equation

instead of (6). Solving this equation with the initial conditions in (2) and (24)
taken into account results in the sought-after solution of the hyperbolic heat
equation written as

where y = (1 - 4Xnrr)/(2rr). It is undoubtedly interesting to compare this


solution with that of the conventional heat transfer problem (see (9)) as the
relaxation time rr vanishes.

3.3 Exact Solutions of Nonlinear Problems

3.3.1 FUNCTIONAL TRANSFORMS OF NONLINEAR PROBLEMS


Many mathematical models of heat transfer are nonlinear; for instance,
models that describe heat transfer in bodies whose thermal characteristics
are variable and depend on temperature. Processes with phase changes and
adjoint problems of heat and mass transfer are essentially nonlinear a s well.
We cannot construct general analytical solutions of nonlinear heat transfer
problems and can only give some particular exact solutions.
70 COMPUTATIONAL HEAT TRANSFER

Solutions of nonlinear problems allow us to discover new effects and prw


perties of mathematical models that are not inherent to linear ones. Therefore
exact solutions to nonlinear equations are important for theoretical research.
In numerical investigations particular solutions to nonlinear equations are
used to test the accuracy of numerical algorithms as well as the other
properties of the latter.
As a typical example, we consider a quasilinear heat equation that looks
like
au
c(u) - = div (k(u) grad u) .
at (1)
When constructing analytical solutions to this equation, it is meaningless t o
formulate either initial or boundary conditions and separate a computational
domain. Given a particular solution to a nonlinear equation, we can formulate
the necessary closure conditions based on the solution itself.
To find a solution to ( I ) , we can try to change dependent and/or
independent variables to reduce the problem to a linear one. The simplest
example is given by functional transforms of the form

Although transforms such as (2) rarely allow us to reduce the problem to a


linear one, the problem can often be partially linearized.
A well-known transform employed in theoretical heat transfer is the
Kirchhoff transform
"
v= 1 k(s) ds. (3)
0

Substitution of (3) into (1) yields

qv) ava t = Av,


where E(v) = c(u(v))/k(u(v)). Equation (4) corresponds to moving to a
problem with linear thermal conduction.
It is very convenient to use the Kirchhoff transform in stationary problems,
in which we obtain the linear equation Av = 0 for the new independent
variable v. Note that under this transform first-kind boundary conditions are
preserved as linear, while second-order conditions become linearized.
Heat equation (1) is also partially linearized by the Goodman tmnsform
ANALYTICAL METHODS OF HEAT TRANSFER 71

In this case ( 1 ) becomes


au
- = div ( a ( u )grad u ) ,
at (6)

where a ( u ) = IZ(u(u))/c(u(u)),
i.e. we come to a problem with constant specific
heat capacity.
Quasilinear parabolic equations (4) and ( 6 ) can be considered as model
equations of nonlinear heat transfer.
When describing convective heat transfer, dependent variables in a model
equation of continuum mechanics are changed in a more complicated way. An
important example of such an equation is the Burgers equation

which has quadratic nonlinearity and the coefficient v simulating viscosity.


We consider an initial value problem for (7), i.e. supplement it by the initial
conditions
u(2,O) = uo(x), -00 < x < 00. (8)
The Cole-Hopf transform

is used for finding the general solution of problem ( 7 ) , (8). Substitution of ( 9 )


into ( 7 ) yields the linear heat equation

The initial condition for ( l o ) ,with ( 8 ) and ( 9 ) taken into account, is written

where uo is an arbitrary constant and

The general solution for heat equation ( l o ) , (11) is well-known (see


Section 3.2) and can be represented as

u ( x ,t ) = vo
i G ( x - c , t )exp
(-- dc.
72 COMPUTATIONAL HEAT TRANSFER

I where G ( z ,t ) = ( 4 ? i ~ t ) - ' e/ ~x p ( - x 2 / ( 4 v t ) ) . The solution of the problem for


the Burgers equation ( 7 ) , (8) is obtained from ( 1 2 ) according to ( 9 ) .

3.3.2 TRANSFORMS OF INDEPENDENT VARIABLES


An original nonlinear equation can be simplified by changing dependent
variables. Using self-similar variables, we can reduce the original partial
differential equation to an ordinary differential equation. Let us offer some
well-known examples.
Consider a one-dimensional heat equation written as (see ( 6 ) )

We seek solutions to ( 1 3 ) that only depend on one variable ( = ((x, t ) and


call the corresponding solutions u ( x , t ) = v ( ( ) the self-similar solutions.
We can take x
<=- (14)
2tw
as a self-similar variable for equation ( 1 3 ) .Taking ( 1 4 ) into account, we express
the first-order derivatives as
au
-=--- E dv au - I dv
at 2t d ~ ' ax z t l l z d<'
Equation ( 1 3 ) rewritten in terms of the self-similar variable becomes

Thus, in order to construct the exact solution of the nonlinear heat equation
( 1 3 ) , we need to solve the ordinary differential equation ( 1 5 ) . In many
important cases the latter can be solved analytically.
Let us construct a travelling-wave self-similar solution of equation ( 1 3 ) :

where D = const is the velocity at which the heat wave moves.


Substitution of ( 1 6 ) into ( 1 3 ) yields an ordinary differential equation for
4 0 , namely

This equation immediately yields


ANALYTICAL METHODS OF HEAT TRANSFER

We set the constant to be zero and obtain

This i m ~ l i e s

If the coefficient k ( u ) is given (see Problem 2), further computations can be


made using (17).
The travelling-wave self-similar solution for the heat equation with a
nonlinear source
au azu + f ( u ) ,
-= -
at axz
which is called the Kolmogorov-Petrovskii-Piskunov equation, is studied in
great detail.

3.3.3 GENERAL TRANSFORMS


In order to obtain exact solutions to nonlinear equations, both dependent
and independent variables can be transformed. Nowadays group analysis of
the equations is employed to search for these transforms. It is necessary t o
find transforms under which the original equation remains unchanged, i.e.
invariant. Knowledge of a group of these transforms is helpful for determining
particular solutions.
Thus, we search for transforms of both dependent and independent variables
of model equation (13) in the form

where a l ,az, . . . , a , are parameters of the group of transforms.


For example, group analysis can be used to find the transform like (18)
linearizing equation (13) with k(u) = u - ~ The . corresponding transform is

The equation
74 COMPUTATIONAL HEAT TRANSFER

immediately follows from (13) and (19). Hence, under transform (19) every
solution of the linear equation

goes into a solution of the quasilinear equation (13)

3.3.4 PROBLEMS
1. F i n d t h e solution of t h e two-phase Stefan p r o b l e m i n a
homogeneous m e d i u m filling a half-space, given first-kind b o u n d a r y
conditions.
Solution. We search for the solution of the equation

in separate phases that satisfies the boundary condition

u ( 0 ,t ) = U = const. (20)
The initial condition of constant temperature V is written as

u ( x , 0 ) = v. (21)

The phase change occurs at the point x = q ( t ) > 0 , say, at the zero
temperature. Then the junction conditions

are satisfied.
We seek the solution that depends on the self-similar variable < (see (14)).
We determine u(E) from equation (15) with k(u) = 1, namely

where the parameter cu = q / ( ~ t ' /defines


~) the location of the interface and

is the error function


ANALYTICAL METHODS O F HEAT TRANSFER

The constants

..
az = - V erf ( a )
bz =
v
1 - erf ( a )' 1 - erf ( a )

are determined by substituting ( 2 4 ) into (20)-(22). We thus obtain from ( 2 3 )


the eauation

to determine the interface a .


The solution t o the monophase problem with V = 0 can be considered on
the basis of the solution constructed.
2. Consider the propagation of a travelling heat wave in a medium
at zero temperature, provided that the relation between the thermal
conductivity and temperature is power-like.
Solution. Let us consider the self-similar solution (16) to equation (13) with

Equation (17) thus yields

We set the constant of integration to be zero and find v > 0 for < < 0.
Equation ( 2 6 ) yields

This solution is characterized by a finite propagation velocity (the parame-


ter D ) of heat disturbances.

3.4 Asymptotic Methods of Heat Transfer

3.4.1 THE REGULAR REGIME OF HEAT TRANSFER


There are three stages of describing heat transfer in a solid. The first stage
involves the regular regime that is realized over a long time. Let us consider
76 COMPUTATIONAL HEAT TRANSFER

in more detail the asymptotic behaviour of the solution to the heat equation
over time.
Let the temperature be defined by the equation
au
c(z) - = div ( k ( ~ ) ~ r a d u ) , z E $2, t > 0,
at (1)
equipped with the initial condition

u(x, 0) = uo(x), 5 E fl, (2)

and the stationary third-kind boundary conditions

The solution of problem (1)-(3) tends to a stationary solution denoted by


um(x) as t + oo. This solution is determined by the equation

div (k(x) gradu,) = 0, x E fl, (4)


and the boundary conditions

Let us represent the solution to (1)-(3) as u(x, t ) = u,(x) + w(x, t). We


derive the system of equations for the difference between the solution to
(1)-(3) and the stationary solution
aw
c(x) - = div (k(x) grad w), x E fl, t > 0,
at (6)
w(x,O) = uo(x), x E a, (7)
aw
+
k(x) - aw(x, t ) = 0,
an
x E afl.
(8)
We use the method of separation of variables (see Section 3.2) to find the
asymptotic solution to (6)-(8). This solution can be expanded as

where A, and ui(x), i = 1 , 2 , . . ., are, respectively, the eigenvalues and


eigenfunctions of the problem

div (k(x)gradv) + Ac(x)v = 0, x E 0, (10)

k(x) -
av + au(x) = 0, x E 80.
an (11)
ANALYTICAL METHODS O F HEAT TRANSFER 77

To study the behaviour of the temperature over short times we should take
into account all harmonics in expansion (9),and the solution substantially
depends on the initial distribution. The regular regime of heat transfer occurs
at the developed stage of the process for sufficiently large times. In this
case, since the eigenvalues A, grow fast with the number of harmonic i, the
contribution of higher harmonics is negligible; therefore it is typical of this
stage that
w(x, t ) = ~ ( xt), = ( u ~ , u ~ ) , e x p ( - A ~ t ) ~ ~ ( x ) , (12)
i.e. the behaviour of the solution is defined only by the first harmonic. At
this stage the influence of the initial conditions and the distribution of the
initial temperature are of secondary importance. Finally, the third stage of
the process corresponds to the stationary regime with w(x, t) = 0.
For the regular regime

-1 -au z -A1 = const


at
Hence, the relative velocity of temperature variation is constant for the regular
regime (i.e. independent of either coordinates or time).
In the theory of regular heat transfer much attention is paid to the
dependence of the cooling rate A 1 on boundary regimes and to thermal
properties of the medium.

3.4.2 PERTURBATION METHODS


In the analytical theory of heat transfer considerable attention is paid to
perturbation methods. The latter involve separation of a small parameter
(parameters) in equations and boundary conditions and investigation of the
solution as a function of these parameters. Although small changes in a small
parameter lead to small changes in the solution to a regularly perturbed
problem, this is not the case for singularly perturbed problems. In a portion
of the computational domain (like boundary or internal layers) small changes
in a small parameter may result in significant changes in the solution.
For brevity, we only consider simple model stationary problems of heat
transfer. Let uE(x) be the solution to the perturbed problem and let uo(x) be
that for the unperturbed problem (for which E = 0). We use the homogeneous
norm
) :E%lu(~)l
I l 4 ~ ) l l c ( n=

to estimate the difference between the perturbed and unperturbed solutions.


For regularly perturbed problems we get
78 COMPUTATIONAL HEAT TRANSFER

Condition (13) is not satisfied for singularly perturbed problems, and typically

IIue(x) - uO(x)llC ( D ) 3 0 , if E 3 0 while D c R,


i.e. the perturbed and unperturbed solutions are only close in a portion D of
the domain R rather than in the whole R.
The essence of asymptotic analysis is to construct a function U ( X , E such
)
that
IIu,(x) - U ( x , ~ ) l l3~ 0~, ~ , if E 0. +

The asymptotic approximation U ( X , E is


) usually constructed as a series in
powers of the small parameter, namely

u(X,E ) = Ekuk(x,E ) . (I4)


k=l

Let us give simple examples to illustrate typical characteristics of singularly


perturbed problems. Consider the following boundary value problem for a
second-order ordinary differential equation
d2u, + E - =du,
- O, O<X<l,
dx2 dx

The boundary value problem (15), (16) describes the temperature field
taking into account convective heat transfer. Our aim is to understand special
features of problems with dominating convection.
Evidently, the exact solution of (15), (16) has the form

For the degenerate problem (E = 0 ) we obtain


uo(x)= a.
Equations (17) and (18) immediately yield llu,(x) - U ~ ( X ) ~ ~=~O( ( ~E )J ,i.e.
)
the problem in (15),(16) with dominating conduction ( E is a small parameter)
is regularly perturbed.
The corresponding asymptotic expansion is easily written. We substitute
(14) into the original equation (15) and equate the terms with equal powers
of E . We arrive at the problem

to find u t
ANALYTICAL METHODS OF HEAT TRANSFER 79

The problem

is an example of a singularly perturbed problem. It differs from (15), (16)


only in that the small parameter multiplies the second (leading) derivative
(the small parameter E is replaced by the large parameter I / ) . In problems
of heat and mass transfer this corresponds to domination of convection over
heat conduction.
The exact solution of the singularly perturbed problem (19), (20) is

Equation (19) implies that uo(x) is a constant.


The constant uo(x) is defined by the boundary conditions, however it is
not clear a priori which of the conditions (20) should be chosen. The term
proportional to E governs the heat diffusion due to heat conduction, and the
second is responsible for convective transfer due to motion of the medium
itself. For the convective term it is natural to pose boundary conditions where
the medium moves inside the computational domain. Consequently, we obtain

for the solution to problem (19), (20). Obviously, this representation also
results from (21).
Even for small values of the perturbation parameter the solution of the
perturbed problem is not identical to that of the degenerate problem in a
certain region (namely, in a vicinity of the point x = 0). This is because of
the additional boundary conditions posed for the perturbed problem. This
phenomenon is typical of problems with small parameters at the leading
derivatives.
If a boundary layer is present, asymptotic approximations should be
constructed in a different way. These approximations, along with regular
terms, contain singular terms (boundary functions) that take into account
the behaviour of the solution inside the boundary layers.
This situation is also typical of more general heat transfer problems, namely
for nonstationary, multidimensional and nonlinear problems. The methods of
a small parameter are used to construct approximate solutions of nonlinear
heat transfer problems. In this case, each term of the asymptotic series is a
solution of a linear problem, which is simpler than the original problem.
80 COMPUTATIONAL HEAT TRANSFER

3.4.3 PROPAGATION OF HEAT IN THIN BODIES


Asymptotic models are widely employed for constructing approximate
models, i.e. those in which only first terms of asymptotic expansions are
taken. A well-known model of this kind describes propagation of heat in thin
cylindrical bodies.
Let us consider heat propagation in a thin homogeneous cylinder of constant
cross-section D. Let 1 be the length of the cylinder, d its diameter, and let the
axis of the cylinder be identical to the x3-axis. The stationary process inside
the rod is described by the equation

We assume that the cylinder exchanges heat with the environment according
to the law
au
k - + a u ( x ) = 0, (XI,x2) E aD. (24)
an
In addition, let some boundary conditions be given on the faces, e.g

When we construct the asymptotic solution with respect to the small


parameter E = d l l , we obtain boundary layers near the faces due to conditions
(25) and (26). We do not pay attention to this here.
The parameter E appears when we pass to a dimensionless equation. We
choose the typical length to be the length of the rod, do not change the
notation, and rewrite (23) in a dimensionless form as follows:

The boundary condition (24) yields

We assume the Biot number to be small, so that Bi = G E ~Seemingly,


. in
order to derive an approximate solution it is sufficient to put E = 0 in (27)
and (28) and get an ordinary differential equation along the cylinder axis.
However, the truncated equation is more complicated.
We search for the asymptotic solution in the form
ANALYTICAL METHODS OF HEAT TRANSFER 81

We obtain the following problem for the first term in the asymptotic expan-
sion (29):

Similarly, we find for the second term

An arbitrary function of the longitudinal coordinate uo = uo(x3) is the


solution of (30),(31).The problem in (32),(33)is a Neumann problem, which
is solvable if the condition

is satisfied. This identity with (32) and (33) taken into account yields the
desired equation for the temperature distribution in the thin rod

where x = S, ds /SD dxldxz is the ratio of the perimeter to the cross-section.


Nonstationary problems, those for slightly curved rods or rods with variable
cross-section, etc. are considered similarly.

3.4.4 HEAT CONDUCTION IN COMPOSITE MATERIALS


Asymptotic methods are widely used for describing heat conduction in
composite materials. We consider nonhomogeneous media with periodical
structure with small inclusions. Various averaging procedures are used to
describe heat transfer in these media. The asymptotic expansion with respect
to a small parameter that characterizes the size of the inclusion is used to pose
a problem for averaged characteristics of the process. We present a typical
example of homogenization.
We consider a composite material that occupies a domain R. It has a
periodic structure with size 6, i.e. it consists of the cubes D". Although
82 COMPUTATIONAL HEAT TRANSFER

properties of the material are nonhomogeneous over a cube, they are identical
for each cell of the composite medium. In the simplest case, the composite
medium is a periodic structure with inclusions of another material.
We consider the heat equation

in the domain 0. It is equipped with the following boundary and initial


conditions:

The heat capacity and thermal conductivity of the material are periodic
fnnctions cC(x/&)and kE(x/&)with the period E in each direction.
The asymptotic solution of problem (34)-(36) is constructed, provided that
the size of inclusions is small as compared with that of the domain R. Let us
denote y = Z/E. We construct a two-scale expansion for the solution ue(x)

where the functions uk(x,y) are periodic with respect to y.


The zeroth term in expansion (37) is of the most practical importance. It can
be interpreted as an ordinary medium with effective thermal characteristics.
The corresponding heat equation becomes

where

is the heat capacity averaged over an elementary cell. The heat conductivities
are determined by averaging the solutions of special problems in the cells. Let
wyY) be the periodic solution of the problem
akE
div (kE(y)gradwi) = --a y i
-
satisfying w1(y) = 0. Then we get
ANALYTICAL METHODS OF HEAT TRANSFER 83

Thus, we should first solve problems for a single cell in order to find effective
characteristics of the composite material.
We now consider heat exchange through a fine-grained boundary. Let QE
have a fine-grained (wavy) boundary aRL with a typical wave size &. Let the
body exchange heat with the environment through this boundary according
to the law
auE
an
+
k - u ~ u ~ (=x 0, ) Eav. (39)
When averaging the boundary, we consider an effective third-kind condition
with a different heat exchange coefficient

Asymptotic analysis yields u = aE,y for the effective heat exchange coefficient,
where ,y stands for the local ratio of the length of the boundary of 80' to the
length of the averaged boundary 8 0 .

3.4.5 PROBLEMS
1. Find an expression for the rate of cooling XI as a measure of
nonuniformity of the temperature over the surface of a body and
over its volume.
Solution. According to (12) we should find an expression for the first
eigenvalue of problem (lo), (11). Equation (10) yields

div (k(x) grad ul)


XI = -
c(.)a(x)
=- 1
R
div (k grad ul) dx
R

Using ( l l ) , we can rewrite the first integral as

div (k grad ul) dx = -a


R an
Therefore (40) and (41) yield

The latter relation is referred to as Kondrat'ev's theorem


84 COMPUTATIONAL HEAT TRANSFER

2. Using a n averaging procedure derive a heat equation for t h i n


homogeneous media.
Solution. For a thin homogeneous body with a cross-section D we write the
heat equation

( x ~ , x zE) D , 0 < x3 < 1, t > 0. (42)


Let
au +CY(U(X)
k- = 0,
- uc(x3,t)) (x1,x2)E aD.
an (43)
We integrate (42) over the cross-section D.Let

be the temperature averaged over the cross-section. We thus have

We take into account the boundary condition (43)and rewrite the last term

Since the body is thin, we can assume that the temperature is constant over
a cross-section. Consequently, substitution of (45)into (44)yields the desired
heat equation

This equation for the stationary case was discussed from the viewpoint of the
asymptotic analysis.

3.5 B i b l i o g r a p h y and Comments

3.5.1 GENERAL NOTES


3.1.Passage to dimensionless problems of heat transfer is discussed in [2].
Basics of the similarity theory for heat transfer problems are given in
more detail in [5].
ANALYTICAL METHODS OF HEAT TRANSFER 85

3.2. Classical methods for solving boundary value problems in mathematical


physics a r e described in [lo]. Application of these t o heat transfer
problems are discussed in [2, 71.
3.3. General methods to search for exact solutions t o nonlinear equations a r e
suggested in [6, 81.
3.4. T h e regular regime of heat transfer is investigated in [3]. Methods of a
small parameter a s applied t o various problems in applied mathematics
a r e presented in [4, 111. T h e homogenization theory is most completely
described in [I, 91.

3.5.2. LITERATURE
1. Bakhvalov N. S. & Panasenko G. P. (1984) Averaging of Processes i n Periodic
Media [in Russian]. Nauka, Moscow.
2. Belyaev N. M. & Ryadno A. A . (1982) Methods of the Heat Transfer Theory [in
Russian], in two vols. Vysshaya Shkola, Moscow.
3. Cherdakov P. V. (1975) The Theory of Regular Regime [in Russian]. Energiya,
Moscow.
.. Mathematics. Blaisdell Publishinr-
4. Colle J. 119681 Perturbation Methods i n Applied
cornpan;, w i t h a m (USA).
5. Gukhman A . A . (1973) Introduction to the Similarity Theory [in Russian].
Vysshaya Shkola, Moscow.
6. Ibragimov N. Kh. (1983) Groups of Transforms i n Mathematical Physics [in
Russian]. Nauka, Moscow.
7. Kartashov E. M. (1979) Annlyticol Methods i n the Heat Transfer i n Solids [in
Russian]. Vysshaya Shkola, Moscow.
8. Ovsyannikov L. V. (1978) Group Analysis of Ordinary Differential Equations [in
Russian]. Nauka, Moscow.
9. Sanchez-Palencia E. (1980) Non-homogeneous Media and Vibmtion Theory.
Springer, Heidelberg.
10. Tikhonov A. N. & Samarskii A . A . (1972) Equations of Mathematical Physics
[in Russian]. Nauka, Moscow.
11. Vasil'eva A. B. & Butuzov V. F. (1990) Asymptotic Methods i n the Theory of
Singular Perturbations [in Russian]. Vysshaya Shkola, Moscow.
Stationary Problems of Heat
Transfer

We start the presentation of numerical methods employed in the physics of


heat with the simplest problem of calculating the stationary temperature field.
Heat is transferred due to heat conduction, and the temperature is described
by a second-order elliptic equation equipped with appropriate boundary
conditions. We discuss the main topics of the theory of difference schemes,
namely how to pass to a discrete problem and then investigate and solve it.
First we present the basic facts of the theory of boundary value problems
for elliptic equations. A grid problem should necessarily inherit properties of
the original differential problem. For example, the maximum principle is such
a property. To study boundary value problems, a priori estimates are derived.
A similar technique is involved to prove that the difference solution converges
to the exact one. We consider differential problems from the viewpoint of the
operator theory in Hilbert spaces.
The first question arises as to how the difference problem should be
constructed for solving an applied problem. We consider various methods of
constructing grid problems, taking as an example a simple one-dimensional
problem. In particular, we use the integro-interpolation method, which has a
clear physical interpretation. The finite element method can also be applied
to construct difference schemes.
The main theoretical question is to estimate the accuracy of an approximate
solution. We formulate the maximum principle for difference problems and
use it to prove convergence (in the homogeneous norm) of the approximate
solution to the exact solution for simplest stationary problems of heat transfer
written in dimensionless form. We use grid a priori estimates to prove
convergence of difference solution in Sobolev spaces.
88 COMPUTATIONAL HEAT TRANSFER

We consider basic methods for solving difference elliptic problems. In simple


cases in which variables can be separated, faster direct methods can be
involved. In a more general situation, iterative methods are used. We present
the general theory of iterative methods in Hilbert spaces. Triangular variation
iterative methods lead to the most considerable advances.
It is somewhat difficult to solve elliptic problems in irregular domains.
We briefly consider the main approaches to the solution of these problems.
Methods involving irregular computational grids are conventionally used, e.g.
the method of fictitious domains. Recently, much attention has been paid to
methods of decomposing of complex domains into simple subdomains.
We briefly discuss the approximate solution of nonlinear stationary prob-
lems of heat transfer. We pay specific attention to the Newton-Kantorovich
method.

4.1 Boundary Value Problems for Second-order Elliptic


Problems

4 . 1 . 1 LINEAR STATIONARY HEAT EQUATION


The heat equation for a generic anisotropic medium occupying a bounded
domain R becomes (see Section 2.2)

Here kmp = kOa, a, = 1,2,. . . , m , because the heat conductivity tensor is


symmetrical. It is logical to assume that the condition of uniform ellipticity
is satisfied, i.e.

for any em,a = 1,2,. . . ,m,.


We take into account the motion of the medium by introducing additional
terms with first derivatives in equation (I), namely

where b,(x) stand for the corresponding velocity components.


STATIONARY PROBLEMS O F HEAT TRANSFER 89

Simpler models involve the heat equation in the form

-
" a ( k
au ) f x E ~ .
a=1

which governs heat transfer in an isotropic medium. For a homogeneous


medium (k(x) = const) we come to the Poisson equation

(we replaced f (x) by f (x)/k).


Equations (1) and (3)-(5) can be considered as basic equations for modelling
stationary heat transfer. They are supplied by appropriate boundary con-
ditions.
We mainly use the Dirichlet condition

when a given temperature is maintained on the boundary.


The Nenmann condition (the heat flux is given) for heat equations (1) and
(3) is written as
au
-
av = g(x), a: E a n , (7)
where

is the derivative along the conormal and cos(n,x,) are the direction cosines
of the external normal n. In the case of equations (4) and (5), condition (7)
is simplified because

The Neumann problem (I), (7) is soluble neglecting a constant, provided that

Convective heat exchange with the surrounding media is simulated by the


third-kind boundary condition
au
av + U ( X ) U = s(z),
- E an,
where u 2 0 is the coefficient of convective heat exchange.
90 COMPUTATIONAL HEAT TRANSFER

If it is not stated to the contrary, we everywhere assume that coefficients


in equations and boundary conditions, the boundary of the computational
domain and the solution u ( x ) of the problem are smooth. For example, we
assume the function u ( x ) to be twice continuously differentiable in the domain,
i.e. u ( x ) E C 2 ( R ) ,and so on.

4.1.2 THE MAXIMUM PRINCIPLE


We consider the heat equation in the most general form (3). A simple
conclusion that the highest temperature in a body is attained only at its
boundary, given no heat sources, leads to the maximum principle for second-
order elliptic equations.
T h e o r e m 1. Let L u 5 0 (Lu 2 0) in a bounded domain fl. Then
the function u ( x ) achieves its maximum (minimum) on the boundary of the
domain, i.e.

max u ( x ) = max u ( x ) ( 2 E u ( x ) = min u ( x ) (10)


Z E ~ =an =can

The maximum principle implies that the Dirichlet problem ( 3 ) , ( 6 ) is


uniquely soluble. The following comparison theorem is an important corollary
of the maximum principle.
T h e o r e m 2. Let the inequalaties

hold for the functions u ( x ) and u ( x ) . Then u ( x ) 5 u ( x ) in the whole domain R.


The maximum principle can be applied to deriving simple a priori bounds
for Dirichlet problem (3), ( 6 ) in the uniform norm.
T h e o r e m 3. The solution of the Dirichlet problem (3), (6) can be estimated
as
Ilu(x)llc(n)5 l l d ~ ) I l c ( a n+) M l l f ( ~ ) l l c c n ) , (12)
where the constant M depends on the diameter of the domain R and on the
coeficients of (3).
The a priori bound in (12) reflects that the solution of the Dirichlet problem
continuously depends on the right-hand side and boundary conditions.
The solution to the third-kind boundary value problem ( 3 ) , (9) can be
similarly estimated, given that o ( x ) is separated from zero.
STATIONARY PROBLEMS OF HEAT TRANSFER 91

Theorem 4. Given a(x) 2 rro > 0, the solution of problem (3), (9) can be
estimated as

where the constant M depends on R, L, and the constant a.


Instead of (3) we consider the equation

Lu + C(X)U= f (x), x E R. (14)

The maximum principle yields the following conclusion.


Theorem 5. Given c(x) > 0 , the solution of problem (Id), (6) can be
estimated as

Simple a priori bounds in (12), (13) and (15) can be extended in different
ways (see literature on partial differential equations).

4.1.3 PROBLEMS OF STATIONARY HEAT CONDUCTION


IN HILBERT SPACES

Let us formulate problems of stationary heat conduction in the space of


square-integrable functions on 0 , i.e. in the simplest Hilbert space 'K = Lz(0).
The scalar product in 'K is given by

and the corresponding norm is JlyJI= (y,y)1/2.


We consider heat conduction problems with homogeneous boundary con-
ditions, i.e. g(x) = 0 for x E 8 0 in (6), ( 7 ) and (9). The corresponding
differential operator is defined on this set.
For instance, let a differential operator A be defined by the formula

on the set of functions


U(X)= 0, Ea ~ . (17)
92 COMPUTATIONAL HEAT TRANSFER

' (A = A' and A 2 6E,


The operator A is self-adjoint and positive definite in R
where E is the identity operator), i.e.

( A U , ~=) (u,Au), (18)


(Au,u) 2 611~[1~, 6 > 0. (19)

We prove ( 1 8 ) using the formula of integration by parts for a function of


many variables

in (20) and derive

We consider the operator A (see (17)) on the set of functions vanishing on


the boundary. Therefore (21) immediately yields

Since k,p = kp,, we find condition ( l a ) ,which says that the operator A is
self-adjoint.
We also obtain (22) for the operator A defined on the set of functions
satisfying the condition

Similar computations for the third-kind conditions


STATIONARY PROBLEMS OF HEAT TRANSFER 93

result in

Thus, the operator of the third-kind boundary value problem is also self-
adjoint.
Now let us check that the operator A is positive definite on the set of
functions in (17), i.e. let us show that ( 1 9 ) is satisfied. According to ( 2 2 ) and
the ellipticity condition ( 2 ) , we find the inequality

Consider all functions u ( x ) defined in a bounded domain R. Then the


Fnedrichs inequality

holds, where the positive constants cl and c2 depend only on the domain. For
the functions u ( x ) that vanish on the boundary a R inequality ( 2 7 ) becomes

If R is a rectangle, namely R = {XI x = ( x l , x z ) , 0 < x , < l,, a = 1,2}, we


can obtain the expression cl = n-2/(1,2 + 1;') for c1 in ( 2 8 ) . We combine
( 2 6 ) and ( 2 8 ) and derive the desired condition of positive definiteness

The third-kind boundary conditions ( 2 4 ) with u ( x ) > a0 > 0 together


with (25) give rise to the inequality
94 COMPUTATIONAL HEAT TRANSFER

We take into account the Friedrichs inequality (27) and get the conditions
of positive definiteness of the operator A for the third-kind boundary value
problem
m 00
( A u , ~2) min (-, -)11~11~. (30)
c1 c2
Consideration of the operator of the Neumann problem (16), (23) is
essentially based on the Poincari inequality

where the constants c3 and c4 do not depend on u(x). The solution of the
second-kind boundary value problem is defined neglecting a constant. Let us
separate the unique solution u(z) such that

In this subspace we derive from (22) and (31) the inequality

for the operator A. Consequently the operator A is also positive definite on


the set of functions satisfying (23) and (32).
More complex problems of stationary heat conduction are considered
similarly. In particular, we can mention problems with mixed boundary
conditions in which conditions of different kinds are specified on different
portions of the boundary.
Let us consider the case in which the source term includes a term
proportional to the temperature, i.e. let us instead of (1) consider the equation

The corresponding operator A' is self-adjoint. Given c(x) 2 co, this operator
is of a fixed sign if the inequality

is satisfied. In the simplest case co 2 0 both operators A and A' are positive
definite.
STATIONARY PROBLEMS OF HEAT TRANSFER 95

4.1.4 A PRIORI ESTIMATION IN HILBERT SPACES

Let us find simple bounds of solutions to problems of stationary heat


conduction for equation ( 1 ) equipped with conditions ( 6 ) , ( 7 ) and ( 9 ) . The
norm in the Hilbert space W ; ( R ) is defined as

The solutions of boundary value problems ( I ) , ( 6 ) and ( I ) , ( 9 ) are estimated


as follows:

The bound in (34) also holds for the solution of the Neumann problem ( I ) ,
( 7 ) ,given the normalization condition (32).
We can derive a similar bound in the case in which the original equation
has a divergent term in the right-hand side. Instead of ( 1 ) we consider the
equation

The corresponding a priori bounds for equation (35) supplied by conditions


( 6 ) , ( 7 ) and ( 9 ) look like

Bounds in other norms can be derived using embedding theorems from the
bounds of the solution in W t ( n ) . For instance, bounds (36) and (35) yield
bounds in the homogeneous norm in the one-dimensional case (m = 1).

4.1.5 PROBLEMS

1. Show t h a t o n e c a n t a k e t h e constant M in t h e b o u n d in (12)


for t h e solution of t h e Dirichlet problem (3), (6) t o b e [ l ~ ( z ) l l ~ ~ ~ ~ ,
w h e r e t h e function v ( x ) satisfies t h e conditions

LW 2 I, x E n,
W(X) 2 0, E an.
96 COMPUTATIONAL HEAT TRANSFER

Solution. Let us consider the function

+
4 5 ) = u ( ~ ) l l f ( ~ ) l l c ( Inl)d ~ ) l l c ( a n ) 4%). (39)
We take (38) into account to derive w ( x ) > 0 on the boundary a R . Inside the
domain, (39) immediately yields

We take into account (37) and finding Lw 2 0. Because of the maximum


principle, w ( x ) 2 0 in the whole domain 0 .
Since w ( x ) is nonnegative, we derive from (39) the bound

i.e. M = IIu(x)llccn, in (12).


We thus reduced the problem to finding an a priori bound to the problem
of searching for a majorant function u ( x ) satisfying (37), (38). The latter is
simple in some special cases.
2. Prove that the operator

is positive definite on the set of functions satisfying the homoge-


neous first-kind boundary conditions if

i.e. for convective heat transfer in an incompressible medium.


Solution. Let us represent the operator A' in the form

where A is the operator defined by (16).The properties of the operator A are


studied below. In particular, we studied the condition of positive definiteness
(19) (see (29)).According to (41),we rewrite the second term in (42) as

au x
''a
( x )( )x = -
i
n
u 2 ( r )div b d x = 0

Therefore ( A 1 u , u )= ( A u , u ) 2 ( n l / c l ) l l u ~ l 2where
, nl and cl are constants
in (2) and (28).
STATIONARYPROBLEMS OFHEATTRANSFER

4.2 Construction of Difference Schemes

4.2.1 APPROXIMATE SOLUTION O F BOUNDARY VALUE PROBLEMS


We solve problems of the physics of heat in an approximate manner
by numerical methods. We first discuss the appearance of an approximate
solution itself. Suppose we search for the approximate solution of a stationary
problem of heat transfer. We denote the exact solution by u(x),x E $2.
For simplicity, for the moment we consider a one-dimensional problem, i.e.
n = (0,l).
We mention the two main classes of numerical methods, namely grid and
projective methods. In grid (difference) methods we replace functions of
a continuous variable by functions of a discrete variable. In our case, we
introduce nodes x, E (0, I), i = 0,1,. . . , N , xo = 0, X N = 1 in the closed
+
interval [0,1] that form the grid Gh = wh awh, where wh is the set of inter-
nal nodes (i = 1,2,. . . ,N - 1) and a w h is the set of boundary nodes (a = 0
and i = N). Let h be a parameter of this grid (e.g. the density of nodes or
the distance between the nodes).
We seek the approximate solution of the continuous problem a t the grid
nodes and denote it by yh, = yh(x,), i = 0,1,. . . ,N. In order to determine
this function we formulate a difference problem. Let the linear boundary value
problem be written as

Lu = f (x), x E R,
LU = g(x), E an
We relate to the continuous problem ( I ) , (2) the difference problem

where Lh and 11, are some difference operators that approximate the operators
L and I of the differential problem (I), (3).
In projective methods for solving problems of mathematical physics func-
tions of a. continuous argument are also approximated by functions of a
continuous argument, which is the principal difference of these methods as
compared with the grid methods. We pass to a finite-dimensional problem in
the following way.
Let the solution of the problem u(x) belong to a space X.In the latter
space we separate a subspace X M which is a linear span of the elements
98 COMPUTATIONAL HEAT TRANSFER

wk(x), k = 1 , 2 , . . . , M . We thus search for the approximate solution in the


form
M

Then we use some reasoning to pose the problem of determining the


coefficients ak, k = 1,2,. . . ,M , in expansion (5). Hence, a projective method
is characterized by the choice of a basis (the functions wk, k = 1,2,. . . ,M ) and
by the way of determining the coefficients in the expansion. Let us mention
some approaches to determining ak, k = 1 , 2 , . . . , M .
For simplicity, we consider the boundary value problem (I), (2) with the
homogeneous boundary conditions (g(x) = 0). We assume that the functions
wk(x), k = 1 , 2 , . . . , M , satisfy this condition, i.e. lwk = 0, x E 80. The
problem is thus reduced to determining the coefficients ah, k = 1 , 2 , . . . , M so
that equation (1)is satisfied approximately. We introduce the discrepancy

that appears when we substitute approximate solution (5) into equation (8).
Coefficients of expansion are specified in different ways to provide minimal
discrepancy (6).
Let us consider the problem in a common Hilbert space 71 = Lz(R). We
specify some weight functions yk, k = 1,2,. . . , M by the M conditions

Let us give some methods of choosing the weight functions yk(x), k =


1 , 2 , .. . ,M. In the least-square method we find the minimum of the norm of
the discrepancy, i.e. (RM,R M ) + inf. This yields

In the collocation method the original equation is satisfied exactly only


at M selected points (collocatiou points xk, k = 1,2,. . . ,M ) . In a more
general formulation the collocation method corresponds to the choice yk(x) =
6(x - xk), k = 1.2,. . . , M , where 6(x) is the 6-function.
The class of Galerkin projective methods is associated with the choice

The Ritz method is close to the latter (for self-adjoint methods they are simply
identical). Let the solution of problem ( I ) ,(2) with the homogeneous boundary
conditions be equivalent to the solution of the minimization problem for the
STATIONARYPROBLEMS O F H E A T T R A N S F E R 99

functional J ( u ) = (Lu, u) - 2(f,u). Then it is logical to find the approximate


solution UM(Z)of the form (5) as the minimum of this functional.
Using conditions (7) we can write the corresponding system of linear
algebraic equations for determining ah, k = 1 , 2 , . . . ,M. For example, for
the Galerkin method (8) we have
M
~(~w,,w,)a,=(f,uri), i = 1 , 2 ,..., M . (9)
j=1
Note that in the main projective methods (except for the collocation
method) we integrate systems of linear eqnations to determine unknown
coefficients in the expansion (see e.g. (9)).
Projective-ged methods (finite element method) are now widely used
for practical computations. In these methods special elements wk, k =
1,2,. . . , 11.1, (finite elements) are chosen. These functions have local supports,
i.e. they vanish everywhere except for a small neighbourhood. In several
cases the coefficients a k , k = 1 , 2 , .. . ,M, of (5) can be associated with the
approximate solution at some points of the domain 0.Therefore projective
methods can be considered as methods for constructing difference problems.
The above approaches can also he used to determine the coefficients in the
finite element method.

4.2.2 BASIC CONCEPTS IN THE THEORY OF DIFFERENCE


SCHEMES
In the course of the numerical solution of applied problems by difference
methods we encounter the following problems related with one another.
The problem is to obtain the approximate solution with a given accuracy
for appropriate computational expense. For this reason we pass from the
differential t o a discrete problem. When we construct discrete problems
(approximate equations and boundary conditions), it is desirable that the
difference solution contains the most important qualitative characteristics
of the sought-for solution. As an example, we mention conservativity, i.e.
conservation laws must be satisfied for the difference solution as well.
The difference solution should converge to the exact solution as the
grid becomes finer. It is desirable to estimate the discrepancy between
the difference and exact solutions versus the parameter h. The theory of
convergence of difference schemes studies the discrepancy and stability of a
difference solution with respect to small perturbations of the right-hand side
of the equation and boundary conditions.
In order to derive the approximate solution, we should solve the corres-
ponding system of linear eqnations. For this purpose we develop various
methods for solving grid problems which most take into account the specific
problem.
100 COMPUTATIONAL HEAT TRANSFER

Let us introduce some basic concepts of the theory of difference schemes.


We again solve problem (I), (2) (not necessarily onedimensional) reducing it
to a difference problem (3), (4). Choosing different grids CJh we obtain a set
of difference solutions {yh) depending on the parameter h. We thus consider
the family of difference problems (3), (4), which is referred to as a difference
scheme.
We choose the grid C7h ( h ( ~ )is a parameter) according to the desired
accuracy of the approximate solution E . Let Hh be the space of grid functions
and uh(x) be the values of the exact solution u(x) at the grid nodes of 31,. We
use the notation zh = yh - uh, x E Zh for the discrepancy of the difference
solution.
The main problem of theoretical research is to estimate the discrepancy
of the solution a priori. Let us formulate the problem for zh. We substitute
yh = zh + uh into (3) and (4) and obtain

Here Qh = p h - Lhuh is the residual in the equation for the discrepancy, which
is called the error of approximation of equation (1) by difference equation (3).
Respectively, uh = x h - lhuh is the residual in the boundary condition for
the discrepancy, which is called the e n o r of approximation of the boundary
condition (2) by the difference boundary conditions (4). We stress that these
errors of approximation are considered on the solutions of the original problem
( I ) >(2).
The solution of difference problem (3), (4) converges to the solution of
problem (I), (2) if llzhll~h= llYh - uhlllh -+ 0 as h -+ 0 in some grid norm
I/ . llIh. The difference scheme converges at the rate O(hk)),k > 0, (i.e. it has
the kth order of accuracy) if for any h 5 ho, however small, l l ~ h l l l h5 M h k ,
where the positive constant M is independent of h.
Difference scheme (3), (4) approximates problem ( I ) , (2) if ll$h1(2h -+ 0 as
h -+ 0 and IIVh113h -+ 0 as h -* 0, where 11. l l ~ hand II.113h are some grid norms.
Stability of the solution with respect to small perturbations of the right-
hand side and boundary conditions is an important characteristic of a
difference problem. The stability of the difference scheme for linear problem
(3), (4) follows from the relation

This relation yields a similar relation for the discrepancy

Consequently, if the scheme is stable and approximates the original problem,


it converges.
STATIONARY PROBLEMS OF HEAT TRANSFER 101

Investigation of convergence for linear difference schemes is thus reduced to


studying the errors in approximating the original equation and the boundary
conditions and deriving a priori bounds for the discrepancy of the difference
solution.

4.2.3 SIMPLE DIFFERENCE OPERATORS


Let us consider approximation for the simplest operators of the first and
second derivatives. We denote the uniform grid J (the subscript h is omitted)
on the interval = [0,1] with the step h (w is the set of internal nodes),
namely G = {XI x = x, = ih, i = 0,1,. . . , N , N h = I).
Let us examine different approximations of the differential operator of the
first derivative Lu = duldx on the grid introduced. We consider smooth
functions u(x) E d k ) ( 0 ) ,k 2 2.
We relate to difference operator Lh the differential operator L. We call a
stencilthe set of points involved in the construction of the operator Lh. Let us
define the error of approximation of the operator L by the difference operator
Lh at the ith node by the formula $i = Lhui - (Lu),.
The Taylor series in a neighbourhood of the internal node x = x, is written

Therefore the left-hand difference derivative is (we omit the subscript i )

Thus the operator Lh approximates the operator L with the first order
($ = O(h) at each internal node) for u(x) E C(')(0).
Similarly, the right-hand side difference derivative looks like

If we use a three-point stencil (involving the nodes xi and x,+l), we can


use the central difference derivative

which approximates the derivative with the second order if u(x) E C(3)(0).
Similar algebra for the second derivative Lu = d2u/dx2 yields
102 COMPUTATIONAL HEAT TRANSFER

The latter operator approximates the second derivative with the second order
if u(x) E C(4)(R).
The approximation error is separately estimated at each node. In order to
evaluate the approximation error on the grid w, we should use grid norms.
For example, we can use the norms in C(w) and L z ( w ) ,namely

In the above examples (14)-(17) the approximation error had the same order
in both norms. Of course, this is not always the case. The approximation
order can be different in different norms. As an example, let us consider an
approximation of the operator of the second derivative on a nonuniform grid
yj = {XIx = xi, i = 1 , 2 , . . . , N , xo = 0, X N = 1) with the steps hi = xi-xi-1.
We introduce the difference operator

on the three-point stencil, where hi = 0.5(hi+l +hi).


Direct computations yield the approximation error

Therefore IIvllc = O(ho) and II$II = O(ho), where ho = maxh,, i.e. we only
rEu
get the first-order approximation.
Investigation of the structure of the approximation error shows that
operator (18) still has second-order approximation in an appropriate norm.
For instance, let

We take into account

and find
STATlONARYPROBLEMS O F H E A T T R A N S F E R 103

for the principal term of the error. According to (19) we represent the
+
approximation error in the form $, = $: $f, where

We thus obtain

We take into account (20) to find II$PII-l = O(hi). Therefore II$II-l 5


1$:-1 + 11$:ll-1 5 Mh;, i.e. operator (18) approximates the second
derivative with the second order on each nonuniform grid. This is because
of a special (divergent) form of the error and is associated with the choice of
the norm.
The above difference operators are obtained by the Taylor formula (ope-
rators of the first derivative) and by repetitive differentiation (difference
operators (17) and (18) for the second derivative). Alternatively, difference
operators can be found from the definition of a derivative as a solution to a
corresponding integral equation applying some quadrature formulae.
Let d k u / d x k = f ( x ) , then

We thus can define the kth derivative as a solution of integral equation (21),
given u(x).
For example, let us construct difference operators that approximate the first
derivative (k = 1 in (21)). On a uniform grid w we have

/
T.+1

u -1 = j ( t ) dt. (22)
Ti-,

We apply the rectangle quadrature formula to estimate the integral in (22)


and derive the central difference derivative
u,+1 - ui-1
2h
= ji +
0(h2).

If we use quadrature formulae with several internal nodes, we obtain the so-
called compact difference opemtors. For example, the Simpson formula applied
to (22) leads to
104 COMPUTATIONAL HEAT TRANSFER

In this case we can increase the order of approximation without formal


expansion of the stencil. However, we then have to invert a tridiagonal matrix
to evaluate the derivative.

11 4.2.4 THE METHOD OF DIRECT APPROXIMATION


Difference schemes for problems with smooth coefficients in regular domains
can be constructed by passing from differential to difference operators. Let us
illustrate this approach by a model one-dimensional boundary value problem
of stationary heat transfer.
We consider the equation

for k(x) 2 n i > 0 equipped with the mixed boundary conditions

Let us construct a difference scheme for the problem (23)-(25) on the


uniform grid 3 with the step h. Let us consider the difference relation

According to (14) and (15) we get

At the internal nodes of the grid w we replace differential equation (23) by


the difference equation

where ip, = f(x,),i = 1 , 2 , . . . , N- 1. In order to determine a,,let us compare


(261 and
STATIONARY PROBLEMS O F HEAT TRANSFER 105

If a, are chosen so that

we approximate the original differential equation (23) by difference equation


(27) with the accuracy O ( h Z ) .
In particular, equations (28) are satisfied if we determine a; as

Difference equation (27) is supplemented by the condition

(see (25)). It is of interest how to approximate the third-kind boundary


condition (24).
We replace the first derivative for x = 0 by the right-hand diffe-
rence derivative and come to the following approximation of boundary
condition (24):
-k(O)y,,o YO = g ~ . (31)
The boundary condition is approximated on the two-point stencil with the
first-order accuracy. To improve the accuracy, let us consider the difference
expression a l y Z s oon solutions of problem (23)-(25).Similar algebra yields

We take into account equation (23) and boundary condition (24) and derive
the following second-order approximation:

We can obtain a higher order of accuracy by approximating the boundary


condition on the solutions of the original differential problem. This technique
106 COMPUTATIONAL HEAT TRANSFER

Fig. 4.1.

is widely used when constructing difference schemes with increased accuracy.


Below we discuss certain examples.
Boundary value problems for elliptic equations are considered similarly.
For simplicity, we only study two-dimensional problems. Usually there is no
problem about passing to a problem of a higher dimension, therefore we do
not cover them in the book. We assume that the computational domain is the
rectangle 0 = 1x1 x = ( x l , x z ) ,O < x, < l,, a = 1 , 2 ) . We introduce a grid
w uniform in both directions with the steps hl and h z , namely

a = { x l x = x,j = (ihl,jhz), i = O , l , .. . , NI,


j = O , l , . . . ,N z , N , h , = l , , u=l,2},
and let w be the set of internal and aw the set of external nodes (Fig. 4.1).
We can approximate elliptic equations using the above approximations for
ordinary differential equations. For example, we have a problem of stationary
heat transfer in a nonhomogeneous medium with a given temperature regime
on the boundary, i.e. u ( x ) is defined as the solution of the following Dirichlet
problem:

We relate to the boundary value problem (33)-(35) the difference problem


STATIONARY PROBLEMS OF HEAT TRANSFER

Fig. 4.2.

Taking into account (27) and (35) we put


2
Ay = 1Amy,
m=1
LY= - ( a m ~ s ) s. m (38)

According t o ( 2 9 ) , we set the coefficients of difference scheme ( 3 6 ) , ( 3 8 ) to


be e.g. a l ( x l , x z ) = k(x1 - 0 . 5 h l r x 2 ) and a z ( z 1 , x z ) = k(x1,xz - 0.5hz).
Difference problem (36)-(38) approximates the differential problem with the
second order if the coefficients and solutions of problem (33)-(35)are smooth.
Approximation of heat transfer problems in anisotropic media, in which
the heat equation contains mixed derivatives (see Section 2.1), are worthy of
notice. We consider the Dirichlet problem ( 3 3 ) , ( 3 4 ) , where

with appropriate restrictions on the coefficients k,p.


For problem ( 3 3 ) , (34), (39) we consider difference problem ( 3 6 ) , (37)
provided that
2
Ay = Lpy. (40)
o.p=1
Each of the operators Lop is approximated by a difference operator, namely

Difference scheme (36), (37) is considered, in this case, on the nine-point


stencil (Fig. 4.2) involving the nodes ( X I + +
a h l , x ~ phz), a,P = 0 , f l .
In particular, if the coefficients of equations (33) and (40) are constant,
approximations ( 4 0 ) and (41) yield
108 COMPUTATIONAL HEAT TRANSFER

Let us represent the operator A,p in the form

It is easy to check that the operators A;p and A& have the first-order and
Amp has the second-order approximation.
For cu = we have

Let us now consider the operator with the mixed derivative

1\12 Y = -$ ( k 1 2 ~ , ) , , .

Taylor's formula yields (see (14) and (15))

We put v = k12uz2 and find

Similar computations lead to

whence we conclude that A12u - L12u = 0 ( J h J 2 )


STATIONARY PROBLEMS OF HEAT TRANSFER 109

Difference scheme (36), (37), (40) is considered similarly if we use the


approximation

instead of (41). Boundary conditions for the problems considered in the


rectangle are approximated as in the one-dimensional case. We do not discuss
this in more detail. Problems in irregular domains are discussed specifically.

4.2.5 CONSERVATIVE SCHEMES


Basic differential equations are derived by applying conservation laws (in the
integral form) to elementary volumes and then tending these volumes to zero.
This passage to the limit results in the differential form of the conservation
laws. The method of finite differences is actually the inverse transition from the
differential to the difference model. It is logical to require that the conservation
laws be satisfied after this transition. Difference schemes that express the
conservation laws on a grid are called conse~uatiuedzffeerence schemes. The
conservation laws for the whole grid should be an algebraic conclusion of the
difference equations.
Let us give an example of a nonconservative scheme that diverges if the
thermal conductivity is discontinuous. We consider the problem

Let us perform differentiation in the left-hand side of (42) and rewrite it as

According to the principle of direct approximation, we relate to problem (43),


(44) the difference scheme

Let us show that scheme (45), (46) diverges in the class of piecewise constant
thermal conductivities
110 COMPUTATIONAL HEAT TRANSFER

I We assume that the conditions of ideal contact

= + 0 ) - u(- 0 ) = 0 ,
[u] u(E
kg] =O
are satisfied at the discontinuity point x = E. Under these conditions problem
(41), (42) has a piecewise linear solution

The constants a0 and Po are defined by the junction conditions a0 =


( X + ( 1 - x)E)-', PO= xao and x = k ~ l k z .
Let us now solve the difference problem (45), (46). Let I = x , +Oh, where
x, = n h , 0 < 0 < 1. Since the thermal conductivity is piecewise constant, we
obtain yz,,, = 0 for all a # n and a # n + 1. Therefore

In order to determine the coefficients cu and a, let us rewrite (45) for x = x ,


and x = x,+l. We thus find

b,(P(l - x,+1) - ( 1 -ax,)) + anah = 0 ,


(48)
b,+lPh + a,+~(P(l- %,+I) - ( 1 - ax,)) = 0,

+ +
where a, = (5k1 - k2)/4, a,+' = (kl 3k2)/4, b, = ( 3 k ~ k2)/4 and b,+l =
+
(5k2 - k 1 ) / 4 . We take into account that x , = - Oh and x,+l = E ( 1 - 8 ) h
and derive from (48)

Passage to the limit as h -3 0 yields

We use linear interpolation to complete the definition of the grid functions in


<
the whole interval 0 5 x 1 and tending h -t 0 obtain the limiting function
STATIONARY PROBLEMS OF HEAT TRANSFER 111

We compare (49) with (47) and find that the limiting function %(x) is
identical to the exact solution u(x) of the problem only for Eo = a0 and
Po = Do, which is only possible if x = 1, i.e. kl = kz. Therefore, the difference
scheme (45), (46) diverges if kl # kz.
It can easily be seen that the function E(x) is the solution of problem
(42), (43) with the piecewice constant thermal conductivity that satisfies the
nonhomogeneous junction conditions

The capacity q of the concentrated source of heat varies in a wide range


depending on X. In particular, 0 + fco as y, -+ 5 f 0. Thus, there is a
physical reason for divergence of scheme (45), (46). Namely, au additional
source (outlet) of heat appears at the point x = x which breaks the balance
of heat (conservation law). Therefore, it reasonable to construct conservative
difference schemes.

4.2.6 INTEGRO-INTERPOLATION METHOD


When constructing conservative difference schemes, it is logical t o start
with conservation (balance) laws for separate cells of a difference grid. This
method of constructing conservative difference schemes is called the integro-
interpolation method (balance method). This approach is close to the method
of a control uolume, in which the differential formulation of the problem is not
used, while the conservation laws are taken into account for separate cells in
the medium.
Let us show how the integreinterpolation method is applied for construc-
ting a difference scheme for model one-dimensional problem (23)-(25). Let us
denote the heat flux by q(x) = -k(x)du/dx. We construct the difference
scheme on the grid 9. We integrate heat equation (23) over the interval
<
X , - I / ~ 2 i xi+1/2 to get

The balance relation (50) reflects the law of conservation of the amount of
< <
heat for the interval xi-1/2 x x , + ~ / The
~ . quantity qi-l/2 is the amount
of heat incoming through the cross-section and qitl/z is the amount
of heat outgoing through the section X,+~,Z.The unbalance of these fluxes
is due to distributed sources (the right-hand side of (50)). Although in the
integreinterpolation method we started from equation (23), in the method of
control volume the same relation (50) is derived immediately.
112 COMPUTATIONAL HEAT TRANSFER

In order to derive a difference equation from the balance relation (50), it


is necessary to complete the definition of grid functions. Let us express the
fluxes at half-integer nodes in terms of the values of the function u(x) at integer
nodes. For this purpose we integrate the expression duldx = -q(x)/k(x) over
the interval xi-] < x 5 xi and get

The quantity a, in (52) has the sense of a mean thermal resistance of the
interval x,-lj2 < <
x xi+lj2. According to (50) and (53) we write difference
scheme (27) with the right-hand side

for the internal nodes.


The first-kind boundary condition (25) is approximated by (30). In order
to approximate (24) we again use the integr&interpolation method. Let us
integrate equation (23) over the interval 0 < <
x xljz. The corresponding
boundary condition becomes

As in the above, we obtain 4112 = a ~ u , , To


~ . determine qo we use boundary
condition (24), namely qo = gl - fluo. This allows us to rewrite (32) as

Coefficients of the difference scheme are calculated using quadrature


formulae. For example, for smooth coefficients the first formula in (29)
STATIONARY PROBLEMS O F HEAT TRANSFER 113

corresponds to the use of the rectangle formula for computing the integral ( 5 2 )
and the third formula to the trapezoid formula. Comparing with the scheme
( 2 7 ) , (30), (32), we can conclude that the conservative difference scheme has
the second-order approximation for smooth coefficients and solutions. This
scheme belongs to the class of homogeneous differenceschemes (the coefficients
of the difference equation and boundary conditions are computed by the same
formulae for every node of the grid).
The difference scheme for the model heat transfer is similarly constructed
by the balance method in the case of a nonuniform grid. Let = xi-hi12
and x , + ~ = / ~x, + hi12 for the nonuniform grid. Then we obtain the difference
equation

for the internal nodes of the grid. The coefficients in (55) are computed by
the same formulae ( 5 2 ) ,(54) as in the case of the uniform grid. The boundary
conditions are of the form ( 3 0 ) , (32).
Let us introduce the Steklou averaging operators by the relations

In the notation of (56) the coefficients of the conservative scheme are defined
~ ~ ( x=) S f ( % ) .The balance equation (50) is
as a ( x ) = ( S - ( ~ - ' ( X ) ) ) -and
obtained if we act on the original equation ( 2 2 ) by the averaging operator S ,
namely

We can introduce the operator of repetitive averaging

and construct a difference scheme by applying the operator T to the original


equation. We take into account (57) and derive
114 COMPUTATIONAL HEAT TRANSFER

for the averaging operator T .


By this version of the integrwinterpolation method we obtain the difference
scheme (27) with the coefficients

for equation ( 2 3 ) .
Difference schemes for multidimensional problems are also simply construc-
ted by the integrointerpolation method. Certain more complicated cases can
be considered separately. We now dwell on the stationary problem (33)-(35)
of heat transfer in a homogeneous medium. Similarly to ( 5 6 ) , we specify
averaging operators along certain directions, e.g.

Similarly to ( 5 6 ) , ( 5 7 ) and ( 5 9 ) , we define the operators S z and T,, a = 1 , 2 .


It is logical to define the averaging operator in the plane as the product of the
corresponding one-dimensional averaging operators, namely S = SlS2 and
T = TlT2.
Let us construct a difference scheme on a uniform grid for problem (33)-(35)
by the standard version of the integrointerpolation method. For this purpose
we consider the balance equation for a rectangle

n,, = { X I X = ( X I , X Z ) x, ~ . 5~x1 -5 ~ ~ ~
X2.j-112 < 22 5~2,~+1/2).

This procedure corresponds to the action of the operator S on the original


equation, namely

SLu = S f ( x ) , x E w.
STATIONARY PROBLEMS OF HEAT TRANSFER

As a result we derive difference scheme (36)-(38) with

The version in which the averaging operator T ((27) and (58) in the
onedimensional case) acts on the original equation is considered similarly.
The same technique can he used for considering difference schemes for the
general stationary heat equation (33), (39), including problems with third-
kind boundary conditions.

4.2.7 DIFFERENCE SCHEMES OF THE FINITE ELEMENT METHOD


Difference schemes can be constructed by the finite element method. We
again consider the model onedimensional equation of stationary heat transfer
(23). For simplicity we consider the boundary conditions

We use the uniform grid Gi with the step h. We employ the Ritz method to
construct a projective-difference scheme.
The problem (23), (60) is equivalent to minimization of the functional

We search for the approximate solution of the problem to minimize the


functional (61) as an expansion (see (5) with M = N - 1)
N-1
UN-I(X) = a.tw.t(w). @I
k=1
116 COMPUTATIONAL HEAT TRANSFER

Fig. 4.3.

We choose the functions wk(z), k = 1,2,. . . ,N - 1, in the form (Fig. 4.3)

(x - xi-1 )/h, xi-1 5 x 5 xi,


w~(x=
) (63)
xi 5 x 5 Xi+l.
x > Xi+l.
The coefficients of the expansion are defined by the system of linear
equations (9).
Note that if the functions wk, k = 1 , 2 , . . . , N - 1, are chosen according
to (62) and (63), we have yk = a h , k = 1,2,. . . ,N - 1, and we come to the
equation for determining the grid function yk, k = 1 , 2 , . . . ,N - 1.
Direct computations yield

The derived tridiagonal system for determining the coefficients as, k =


1,2,. . . , N - 1, can be rewritten as the difference equation (27). Relations
(62) can be rewritten in the form (58). Hence, the above scheme of finite
elements is identical to that obtained by the integrointerpolation method.
If the basic functions are taken to be piecewise polynomials of higher
degree (quadratic, cubic, etc.), corresponding difference schemes are similarly
constructed.
STATIONARY PROBLEMS O F HEAT TRANSFER

Fig. 4.4.

We illustrate the construction of finite element schemes in a multidimen-


sional case by a simple problem of stationary heat transfer in a homogeneous
medium, in which (see Section 4.1) heat transfer is described by equations
(33), (35) with k(x) = 1 and (34), where we set g(x) = 0. This problem is
equivalent to minimization of the functional

To construct a finite-dimensional subspace, let us divide the computational


domain Cl into elementary cells. In the tw~dimensionalcase it is reasonable
to choose triangles as such cells. The approximate solution is a linear function
in each of these cells.
We introduce the uniform rectangular grid with the steps hl and hz and
divide a neighbourhood of the node (XI,,x2j) into right triangles by diagonals
that pass, for instance, through the nodes (xli,xzj) and (XI,,-I,xz,,-I).We
define the basic functions associated with the internal nodes (xl,,xz,) by the
formulae (Fig. 4.4)
I

w,, (x) = <


118 COMPUTATIONAL HEAT TRANSFER

In this version of the finite element method the difference scheme has the
form (36),(38) with a1 = a2 = 1 and

More valuable projective-difference grids can be found in an ample number of


books on the finite element method.

4.2.8 DIFFERENCE SCHEMES WITH AN INCREASED ORDER OF


APPROXIMATION
If both the coefficients and boundary conditions of an original differential
problem have increased smoothness, we can construct difference schemes with
an increased order of approximation. In the above we considered two examples
of second-order equations with the second-order approximation. Difference
schemes with higher orders of approximation can be constructed in several
ways.
Let us illustrate possible methods by the example of constructing difference
schemes with an increased order of approximation for the equation

The first way is to approximate differential operators by difference ones on


extended stencils. For instance, we can use a five-point stencil instead of the
usual three-point stencil. As a result we get

We can employ the Taylor expansion to show that the operator A approxi-
mates the operator L with the fourth order, provided u ( x ) E C(". We thus
relate to (65) the difference equation

where, in the simplest case, ~ ( x=) f ( x ) .


We can approximate (65)with a higher order using compact approximations
rather than formally extending the stencil. We take into account the integral
definition of the derivative (21) with k = 2, apply the Simpson formula and
derive difference equation (66j with

Y =- 'P(x)= & ( f ( x - hj + l O f ( x )+ f ( x + h ) ) . (67)


STATIONARY PROBLEMS OF HEAT TRANSFER 119

Schemes of higher orders for one-dimensional problems can be constructed


using exact difference schemes. The grid solution for the latter is identical to
the exact solution of the differential problem at the nodes. The exact scheme
for (57) is constructed by applying the averaging operator T (see (49)) to the
original differential equation. Since (see Problem 1)

the exact difference scheme is written as

We can obtain from (68) schemes of desired accuracy using appropriate


quadrature formulae. In particular, the above scheme (67) belongs to this
class.
The order of approximation can be efficiently increased on the solutions of
the approximated equations. We have already encountered this phenomenon
when constructing approximation (32) of the third-kind boundary condition.
Let us consider approximation on the solutions for equation (65).
We use the usual three-point scheme and obtain an increased order of
approximation by correcting the right-hand side. Thus, the operator A in
scheme (66) is defined by (67) and

Let us consider the approximation error ij, = p - Au. We have

Consequently,
h2
$=f+r-Lu+-Lf +O(h4)
12
because the approximation on the solutions is L2u = Lf. In order to get the
fourth-order approximation, it is sufficient, for example, to put
I

in (69). The second version is completely identical to scheme (67).


Thus, the order of approximation can be increased in different ways. Similar
approaches can also be used in multidimensional problems. As a typical
example, let us consider a scheme with an increased order of approximation
120 COMPUTATIONAL HEAT TRANSFER

on the solutions of the Poisson equation (33),(35) (k(x) = 1) on a uniform


rectangular grid.
Let us consider the operator A defined by (38)with a, = 1,a = 1,2.Similar
to the one-dimensional case, the error of approximation is expressed as

The solution of (33)yields

Substitution of this expression into (71) yields

We replace LlL2 by the difference expression

and get
h: h$
AIY + h y - 7
+A I ~=
Yd x ) , (72)
where, e.g.
h: hi
) 12f z W 1 +
d x )= f ( ~+ fz211- (73)
Difference equation (72), (73) approximates the Poisson equation on the
solutions with the fourth order, provided u(x) E C(6)(R)and f(x) E d 4 ) ( R ) .

4.2.9 PROBLEMS
1. S h o w t h a t t h e relations

du du d2u
S+ -(x) = u,(x), S- -(x) = us(x), T ( x ) = ( x ) (74)
dx dx dx
hold for averaging o p e r a t o r s (48) a n d (49).
Solution. According to the definition of the operator S+ (see (56)) we have
STATIONARY PROBLEMS O F HEAT TRANSFER 121

The operator S- is considered similarly. By definition, the operator T is the


square of the operator S. After some algebra we find

We thus prove the third relation in (74).


2. C o n s t r u c t t h e exact three-point difference e q u a t i o n for second-
order o r d i n a r y differential e q u a t i o n (23).
Solution.Let us integrate equation (23) from xi to x and divide the resultant
by k(x):

Repetitive integration of (75) with respect to x from xi-1 to x, yields

Similarly, integration from x, to xitl results in

The last two equations yield difference equation (27), provided that the
coefficient a is defined according to (52) and the right-hand side is

=.+I
1
P' -
-h ( I + d d ) . (76)
z. =. =.-I

If we use quadrature formulae for computing the integrals in (52) and (76),
we obtain a difference equation with the desired approximation error.
122 COMPUTATIONAL HEAT TRANSFER

4.3 Uniform Convergence of Difference Schemes

4.3.1 CANONICAL FORM OF A DIFFERENCE EQUATION


The maximum principle is used for studying stability and convergence of
difference schemes in the uniform norm. It is employed for generic difference
equations written' in a canonical form.
Let g be the set of nodes (the grid) in a bounded domain II. A difference
scheme is written on a stencil m ( x ) associated with the node x. We denote
by 97.2' all points of the stencil 9Jl(x) forming a neighbonrhood of the node x
except for the node x itself. We assume that the difference solution is defined
as the solution of the difference equation written in the form

This is the canonical fonn of a dafference equation.


As an example we consider the first-kind boundary value problem in a
rectangle for the stationary heat equation in an isotropic medium

with smooth coefficients and solution.


In a usual way (see Section 4.2), we consider the corresponding difference
problem on a uniform rectangular grid L7

Y(X)=m, xEa ~ , (5)


where e.g. a l ( x ) = k(xl - 0.5hl,xz) and az(x) = k(x1,xz - 0.5hz).
Let us rewrite difference equation (4) in the canonical form (1). The coef-
ficients A(x) and B(x) and the right-hand side look like

F(x) = pi,, x = x,j E w


at the internal grid nodes.
STATIONARY PROBLEMS OF HEAT TRANSFER 123

For the boundary nodes we can consider m f ( x ) to be the empty set. Then
boundary condition (5) is rewritten in the canonical form ( 1 ) as
A ( X ) = 1, F ( X )= g ( x ) , E aw. (7)
Thus, difference problem ( 4 ) , (5) is written in the canonical form (1) with
A(%)> 0, x E (z),
B(x,O > 0, A(x) =
CE~C.)
x
B(x,F), x E w. (8)

These properties of the coefficients turn out to be of most importance when


formulating the maximum principle for difference equations.

4.3.2 THE MAXIMUM PRINCIPLE

The maximum principle holds for difference equations as for elliptic


equations (see Section 4 . 1 ) . This is because a difference equation involves
properties of continuous problems. We formulate the maximum principle for
difference equations written in canonical form ( 1 ) .
Let W (W E z ) denote a set of nodes involved by a difference scheme
written in canonical form ( 1 ) and let
-
w = u !JJr(x).
1EW
For example, W is the set of the internal nodes in the case of Dirichlet problem
( 4 ) , (5). The set of nodes is called a connected grid if for any x' E W and
s" E W a sequence of nodes X I , x z , . . . , xb can be specified so that
Zl E !JJr'(z1), Z, E m l ( x l ) , .. . ,Zk E m ' ( ~ k - ~ ) 2''
, Emf(xk),
i.e. each sequential node belongs to a neighbourhood of the preceding one.
Let us introduce the grid operator
A Y ~=) A b ) y ( x ) - B ( x ,O Y(~) (9)
Cm'(.)
and

are satisfied for the coefficients of the grid operator A . Then difference equation
( 1 ) on the subset of nodes W can be rewritten as
Ay(x) = F(x), x E W. (12)
The maximum principle holds for grid equation (12) (cf. Theorem 1 in
Section 4 . 1 ) .
124 COMPUTATIONAL HEAT TRANSFER

Theorem 1. Let y(x) $ const on a connected grid rn


and let conditions
>
(10) and (11) be satisfied. Then if Ly(x) _< 0, x E W (Ly(x) 0, x E W ) ,
then y(x) cannot achieve a positive maximal (negative minimal) value on W .
This is proved by contradiction. Let the condition

be satisfied. Assume that the maximal positive value of the grid functions
y ( x ) is attained at a point x' E W , i.e.

Taking into account (9) and ( l o ) ,we find

Given the conditions ( l l ) , we obtain from (15) that L y ( x l ) >


0 under
assumption (14). This does not contradict (13) if Ly(xl) = 0. The latter
takes place if both terms in the right-hand side of (15) are equal to zero, i.e.

Since y ( x l ) > 0 and B(x', () > 0, we obtain

Since y ( x ) f const, there exists a point x" E W such that y(xl') < y ( x l ) .
Since the grid W is connected, there exists a sequence of points x l , x z , . . . ,xk
such that each subsequent term belongs to a neighhourhood of the preceding
one. We take into account (16)to conclude that y(x1) = y(xl).We repeat the
above reasoning first for the node X I , then for the node xz and so on. As a
result, we get y(xl) = y(x1) = y(x2) = . . . = y ( x k ) Therefore

This contradicts condition (13),consequently assumption (13) is not valid.


STATIONARY PROBLEMS OF HEAT TRANSFER 125

The case of a negative minimum is considered similarly replacing y(x) by


-y(s). This completes the proof.
We emphasize once more that the maximum principle is established for any
connected subset of nodes W of the difference grid E.

4.3.3 UNIQUE SOLVABILITY OF DIFFERENCE PROBLEMS


The maximum principle can be used to prove uniqueness of a solution to
boundary value problems for elliptic and parabolic equations. In the case of a
difference problem the situation is better because existence of a solution can
also be shown.
A difference problem written in the canonical form (1) is actually a system
of linear algebraic equations in which the number of unknowns is equal
to the number of equations. Therefore, in order for this problem to be
uniquely solvable for any right-hand side, it is sufficient that the corresponding
homogeneous equation has only a trivial solution.
Two cases appear when considering difference equation (1) on the whole
grid 3 for each node x. In the first case, the neighbourhood of the node Dtl(x)
is an empty set, and this node is called a boundary node (see e.g. (7)). In the
second possible case (of an internal node) 'IlI1(x) contains at least one node.
If all nodes are internal, then

Let us formulate the conditions, depending on whether there are boundary


nodes, of unique solvability of the difference problem written in the canonical
form (1) that immediately follow from the maximum principle (W = w ) .
Corollary 1. Let condition (11) be satisfied for difference operator (9),
( I D ) on a connected grid E and let aw # 0 . Then diffe~enceproblem (1) is
uniquely solvable.
We should show that the homogeneous equation

has only a trivial solution. Obviously, y(x) 0, x E Z, is a solution of (17).


Let us prove that there are no other solutions.
For boundary nodes x E aw we have y(x) = 0, provided that (11) is satisfied.
The maximum principle holds for internal nodes of w , which says that, on the
one hand, y(x) 5 0 (a positive maximum cannot be attained) and, on the
other hand, y(x) 2 0 ( a negative minimum cannot be attained). This is only
possible for y(x) 3 0, x E E.
126 COMPUTATIONAL HEAT TRANSFER

Let us now consider the case in which the grid contains no boundary nodes.
Corollary 2. Let conditions (11) be satisfied for dzflerence operator (91,
(10) on a connected grid 3 and let there exist at least one node I' of the grid
w where
D(xl) > 0, x E w. (18)
Then difference problem (1) is uniquely solvable.
We can apply the maximum principle to homogeneous equation (17) ( 3 =
w). Therefore y(x) 5 0 (y(x) >
0), i.e. the only possibility is y(x) = const,
x E w. For such y(x) we have

at the point x'. Hence, y(x) = y(xf) = 0, x E w.


Corollary 1 can be used to state unique solvability of difference Dirichlet
problem (4), (5) with coefficients satisfying conditions (7) and (8).
Corollary 2 is employed to prove unique solvability of problems with
third-kind boundary conditions. As a typical example, we consider the
problem of stationary heat conduction with convective heat exchange with the
environment (see Section 4.1). The desired function u(x) satisfies equation (2)
in the rectangle fl and the third-kind boundary conditions

The original equation (2) is approximated by difference equation (4) at


the nodes of the uniform grid w inside the domain Q . Third-kind boundary
conditions (19) are approximated with the second order on the solutions of
problem (2), (19) as in the one-dimensional case (see Section 4.2). For instance,
-
for x = (O,xzj), j = 1,2,. . . ,NZ 1, we have
STATIONARY PROBLEMS O F HEAT TRANSFER 127

This results in the second-order approximation that can be written as

Similar approximations are used at the other points on the boundary a n .


When writing the difference scheme in canonical form (1)at nodes inside 0,
we get expression (6). For the nodes on the boundary an we find D(x) 2 u(x).
According to Corollary 2, the difference problem that corresponds to the third-
kind boundary value problem (2), (19) is uniquely solvable, provided that
>
u(x) 0 and u(x) > 0 at least at one node on the boundary 80.

4.3.4 COMPARISON THEOREMS


The maximum principle is used to prove comparison theorems for solutions
of various problems. An example of such a result is provided by Theorem 2
in Section 4.1. Similar results also hold for difference problems (1).Let us
separately consider the cases with (aw # 0)and without (aw = 0)boundary
nodes.
T h e o r e m 2. Let conditions (11) be satisfied for dqtference operator (g), (10)
on a connected grid Z and aw # 0 . Let the inequalities

hold for grid functions y(x) and z(x). Then y(x) < z(x) at the internal nodes
of the grid.
To prove this, let us consider the function v(x) = y(x) - z ( x ) . According
< <
to (12) Av 0 and y(x) 0 , x E aw. By the maximum principle u(x) 0, <
x E w , which completes the proof.
The following corollary of the comparison theorem is useful for estimating
the difference solution.
Corollary 3. Let y(x) and Y(x) be the solutions of the problems

In this case, if

then Jy(x)l< Y(x) for all x E w.


The proof is based on Theorem 2 applied to the functions y(x) (-y(x)) and
Y(.).
128 COMPUTATIONAL HEAT TRANSFER

It is logical to call the grid function Y ( x ) in this conclusion a majorant


function for the solution of difference problem (22).It is defined as the solution
of problem (23) under restrictions (24).
If there are no boundary nodes, the comparison theorem is formulated even
simpler.
Theorem 3. Let conditions ( 1 1 ) be satisfied for difference operator (91, (10)
on a connected grid w = w and let there exist at least one node x' of the grid w
<
at which condition ( 1 8 ) is satisfied. Then if Ay Az, x E w , then y ( x ) 5 z(x)
at all the grid nodes.
This immediately follows from the maximum principle applied to the
function v ( x ) = y ( x ) - z ( x ) .
The majorant function is defined similarly.
Corollary 4. Let y ( x ) and Y ( x ) be the solutions of the problems

respectively. In this case, if

then \y(x)l < Y ( x ) for all x E w


The comparison theorems presented are used to construct simple a priori
bounds for the solutions of difference problem ( 1 ) .
Corollary 5. The estimate

holds for the solution of the problem

To prove this, we define a majorant function Y ( x ) as a solution of the


problem

By Corollary 3, Jy(x)l5 Y ( x ) ,x E w. For the function u ( x ) = Ilg(x)llccaY)-


Y ( x ) we have Av > 0, x E w , and v ( x ) = 0, x E aw; therefore v ( x ) 2 0, x E w .
Consequently Y ( x ) < Ilg(x)llccaul,and inequality (28) holds.
Let us present the simplest a pr~oribound involving the right-hand side of
difference equation ( 1 ) .
STATIONARY PROBLEMS OF HEAT TRANSFER

Corollary 6. If D ( x ) > 0 for x E = w , then the estimate

holds for the solution of the problem

Let Y ( x ) be the solution of the equation

Then by Corollary 4 ly(x)l 5 Y ( x ) , x E w. The majorant function achieves


its maximal value at a node x'. Let us write equation (30) at this node:

>
However, Y ( x l ) Y(E),therefore D ( x ' ) Y ( x l )5 IF(xf)l.Consequently

We thus derive the desired hound for the majorant function

4.3.5 STABILITY AND CONVERGENCE OF THE DIFFERENCE


DIRICHLET PROBLEM
The above results can be applied to deriving a priori hounds of solutions of
the difference Dirichlet problem (4), ( 5 ) and to investigating the convergence
rate.
Difference problem (4), ( 5 ) is written in the form (22), where the grid
operator A has relevant properties. We represent the solution of problem (22)
as the sum
y ( z ) = y ( l ) ( z )+ y ( 2 ) ( x ) , Z E z, (31)
where y ( l ) ( z )is the solution of the homogeneous equation with nonhomoge-
neous boundary conditions

and y ( 2 ) ( x is
) the solution of the nonhomogeneous equation with homogeneous
boundary conditions
130 COMPUTATIONAL HEAT TRANSFER

We thus derive a bound for the solution of problem (32) using Corollary 5,
namely
I l ~ ( " ( ~ ) l lS
c (I~l d~ ~ ) l l c ( a ~ ) . (34)
In order to derive bounds for the solution of problem (33) for the
nonhomogeneous equation we need to construct the corresponding majorant
function Z(x). Let us have (cf. the Dirichlet problem ior an elliptic equation,
Problem 1 in Section 4.1) a grid function w(x) such that

According to Corollary 3 we can take the majorant function for (33) to be


Z(x) = w ( ~ ) ~ l F ( z ) lTherefore
\ ~ ( ~ ~ . we obtain the bound

where M = I l w ( ~ ) l I c ( ~ ) .
In view of (31), (34) and (36) we find the a priori bound

for the solution of difference Dirichlet problem (22). The constant M in this
bound is defined as the maximal solution of (35). In order to estimate a
difference solution like (37) it is important to show that the constant M can
be specified independently of the grid.
Let us find a typical bound for M. Let R be a rectangle whose sides 11 and
l2 satisfy the inequality 11 5 12. We assume that the function w(x) satisfying
conditions (35) only depends on the variable xl. We can take into account the
original difference scheme (4), (5) and determine w(x1) as the solution of the
following one-dimensional problem:

Given k(x) 2 nl > 0 (the condition of ellipticity), the bound 0 5 w(x) 5


n;'lf is easily derived for the solution of one-dimensional problem (38), (39).
Therefore, we can put

in the a priori bound in (37). Hence, the constant M in (37) does not depend
on the grid steps. The bound in (37) reflects stability of the difference solution
with respect to the right-hand side and boundary conditions.
STATIONARY PROBLEMS OF HEAT TRANSFER 131

Because of the stability of (37), (40) we can also derive appropriate esti-
mates for the discrepancy of the difference solution. Indeed, let

4.) = ~ ( 2-) +),


where u(x) is the solution of differential problem (2), (3). For this function
we obtain the equation

where ,$(x) is the error of approximation on the solutions of problem (2), (3).
We have
5 MI (hf + h;)
II@(x)IIc(~~ (42)
for smooth coefficients and solutions (see Section 4.2). Because of (42) and
the bound in (37) for the solution of problem (41) we derive the bound for
the error

Thus, difference scheme (4), (5) uniformly converges with the second order.

4.3.6 THIRD-KIND DIFFERENCE PROBLEM


The problem of stationary heat transfer (2) with third-kind conditions (19)
is considered in a similar way. We shall not dwell on details and only touch
some basic points of the investigation.
Let w(') denote the set of the nodes of the grid g that lie inside the rectangle
+
R and let w(') denote the set of nodes on its boundary (Z =a(') w(')). The
difference solution is determined by the system of equations

The grid operator A in (44) is defined by (4) for x E w(') and corresponds to
the approximation (20) for x E ~ ( ' 1 .
Again, we represent the solution of the difference problem in form (31). The
difference problem for y(')(x) becomes
A =F ( ) x E~('1, Ay(') = 0, x E J2). (45)
The difference solution y(')(x) is defined by the conditions
hy(') = 0 , x w = F(')(%), x E w('). (46)
Let us first derive a bound for the solution y(2)(z).We define a majorant
function Y(2)(x)as the solution of the problem
132 COMPUTATIONAL HEAT TRANSFER

According to the maximum principle (W = w ( ' ) ) ,the solution of problem (47)


achieves its maximum on the set of nodes w @ ) .Similarly to Corollary 6 we
have

Taking into account (see ( 2 0 ) )the condition D ( x ) 2 o ( x ) 2 oo > 0 we derive

from the latter inequality applied to problems (46) and ( 4 7 ) .


Let us now consider problem ( 4 5 ) . The majorant for it is defined as the
solution of the equation

For the case of a homogeneous medium ( k ( x ) = const in ( 2 ) ) we derive the


desired bound for the solution of (49)

where the constant M does not depend on the grid parameters.


Let us consider an auxiliary function w ( x ) that depends only on the one
variable, namely x l . Let this function for constant k ( x ) be specified by the
conditions

If x E w('), the operator A(') corresponds to approximation of third-kind


boundary conditions with o ( x ) = oo on the portions xl = 0 and x2 = I1 and
o ( x ) = 0 on the other portions (the Neumann conditions).
Let us compare the solutions of problems (49) and (51). For their difference
v ( x ) = Y ( ' )- w ( x ) we have

We thus find A - A(') = D ( ' ) ( x ) 2 0 and v ( x ) 5 0 for the solution of (52).


Hence, w ( x ) is a majorant for problem (49).
Difference scheme (51) is associated with determining the solution from the
following one-dimensional problem:
STATIONARYPROBLEMS O F H E A T T R A N S F E R

For this problem we have the bound

i.e. the constant M does not depend on the grid steps. This leads to estimate
(50).
Combining (48) and (50) we find an a priori bound for the solution of
problem (44), namely

This bound is in agreement with the corresponding bound for the solution of
the differential problem (see Section 4.1).
We can use (53) to determine the convergence rate of the corresponding
difference scheme in the usual way. The problem for the error is posed as
follows:
Az = $(z), x E w ( ' ) , h z = u(x), x E w('),
where $(x) is the error of approximation of the equation and u(x) is the error
of approximation of the third-kind boundary conditions. An estimate like (43)
holds for difference scheme (4), (20), i.e. this scheme converges with the second
order.

4.3.7 PROBLEMS
1. S h o w t h a t t h e solution of t h e difference p r o b l e m

w i t h a(x) 2 n > 0 can b e e s t i m a t e d as

Solution. Let us represent the right-hand side of (54) in the form x, = 1


and obtain
+
ayr x = c = const.
This yields the recursion relation

where hi = x,. We sum this relation with respect to i from 1 to k, take into
134 COMPUTATIONAL HEAT TRANSFER

account the first condition in (55) and find

We now take into account the second condition in (55). For i = N we get the
expression for the constant c:

Substitution into (57) yields

We take into account that Ak < AN and conclude

i.e. the desired estimate (56) holds.


2. D e t e r m i n e u n d e r w h a t conditions t h e m a x i m u m principle
holds for t h e difference Dirichlet problem of increased o r d e r of
a p p r o x i m a t i o n (Section 4.2).
Solution. The difference equation at the internal nodes of the rectangular
grid Z is written as

where A-u = u ~ ~ a. =~1 , 2 . Let us rewrite (58) in the canonical form (1)
and verify conditions ( l l ) , which provide that the maximum principle holds.
After some algebra we find
STATIONARYPROBLEMS OFHEATTRANSFER 135

We thus get D ( x ) = 0, x E w , and A(%) > 0 for any grid step. However, the
conditions B ( x , E ) are only satisfied if

Condition ( 5 9 ) shows that we should use a rectangular grid whose steps are not
very different so that the maximum principle holds for the difference Dirichlet
problem with increased order of approximation.

4.4 Convergence of Difference Schemes in an Energetic


Space

4.4.1 EQUATIONS IN A FINITE-DIMENSIONAL HILBERT SPACE


Difference schemes are studied in a finite-dimensional space, therefore we
only consider properties of linear operators in finite-dimensional Hilbert spaces
(see also the Appendix). First of all we note that every linear operator is
bounded in a finite-dimensional space.
We consider a Hilbert space H equipped with the scalar product ( y l ,y z )
and the norm IIY112 = ( y , y ) . A linear bounded operator acts in the space H .
The norm of A is defined as

The operator A* that is adjoint of the operator A is defined as ( A y , , y z ) =


( y l , A * y z ) for all yl and yz. For a linear bounded operator A we have
IlA'II = llAll. If A = A', the operator A is called self-adjoint, and if A = - A b ,
the operator A is called skew-symmetric. The operators AA* and A * A are both
self-adjoint. We also note that (A*)' = A and (A')-' = ( A - I ) ' , provided that
the inverse operator A-' exists.
Any operator can be represented as a sum of a self-adjoint operator A . and
+
a skew-symmetric operator A1, i.e. A = A0 A', where
AO = ; ( A + A * ) , A~ = ; ( A - A*).
The identities ( A y , y ) = ( A o y , y ) and ( A l y , y ) = 0 hold.
An operator A is said to be positive ( A > 0) if ( A y , y ) > 0 for all y E H
>
except for y = 0. If ( A y , y ) 6 ( y , y ) ,6 > 0 , the operator A is referred to as a
positive definite operator. The number ( A y , y ) is said to be the energy of the
operator. The notation A 2 B implies that the inequality ( ( A - B ) y , y ) 2 0
holds for every y E H.
If for operators A and B there exist constants yl > yz > 0 such that
136 COMPUTATIONAL HEAT TRANSFER

the operators A and B are called energetically equivalent operators. If

where E is the identity operator ( E y = y ) , then the numbers 6 and A are


called the bounds of the operator A.
Operators A and B are called commutative if ( A B ) y= ( B A ) yfor all y E H .
For each self-adjoint nonnegative operator A there exists a square root B such
that B2 = A, which is denoted All2.
Given a positive self-adjoint operator A, we can introduce the energy space
H A equipped with the scalar product ( y l , y z ) a= (Ay1,yz) and the norm
llvlli = ( A Y , Y ) .
The Cauchy-Schwarz inequality (or Bunyakowskii inequality)

in H A becomes
2
( A Y I , Y Z5) ( A Y I , Y I ) ( A Y ~ , Y ~ ) .
If A is a positive definite operator, i.e. A 2 6E, 6 > 0, then there exists
the inverse operator A-I and IIA-lll 5 6-'. In a finitedimensional space
any positive operator is positive definite; therefore its inverse does exist. The
11 = IIAlIn for a positive definite operator A holds for any integer n.
identity / [ A n
We can introduce the negative n o m

for a self-adjoint positive operator A. We can use an alternative definition of


this norm:

Let us consider in the first-kind operator equation

in a finite-dimensional Hilbert space H, where A is a linear operator and y is a


sought-for element of H . Equation ( 1 ) is uniquely solvable if the homogeneous
equation Ay = 0 has only the trivial solution y = 0.
Let us derive some a priori bounds for the solution of (I), given different
information about the operator A.
Let A be a positive definite operator, i.e.
STATIONARY PROBLEMS O F HEAT TRANSFER

Then the solution of (1) can be estimated as

We take the scalar product of (1) by y and obtain

We use condition (2) to estimate the left-hand side of (4) and apply the
Cauchy-Schwarz inequality (or Bunyakowskii inequality) I(ip, y)l 5 llipll . llyll
to estimate the right-hand side of (4). We derive the desired bound (3) for
the norm of the solution. Estimate (3) provides stability of the solution of (1)
with respect to small perturbations of the right-hand side.
If A is a self-adjoint positive operator ( A = A* > 0), we can derive an a
priori bound of the solution of equation (1) in the energy space, namely we
find the exact bound
IIYIIA = Iliplla-1. (5)
We take into account y = A-lip and obtain (5) directly from (4).
If A is not a self-adjoint operator, we can derive bounds like (5) in the
energy space generated by the self-adjoint positive part of the operator A . Let

then the a priori bound


I l ~ l l ~5o IIipllA,l
holds for (1).
In this case (4) becomes

According to the generalized Cauchy-Schwarz inequality applied to the right-


hand side we get

As a result we find bound (6).


According to (6),
138 COMTUTATIONAL HEAT TRANSFER

provided that the operator Ao is positive definite ( A o 2 6E, 6 > 0 ) . Thus,


the following a priori bound holds:

Il~lla,i 6-11211vll. (7)


Unlike ( 6 ) ,in ( 7 ) the right-hand side of ( 1 )is estimated in an ordinary rather
in a negative norm.
Let us now assume that the non-self-adjoint operator A satisfies the
condition 0 0

A 2 ?A, A = (A)' > 0. (8)


Then we can derive a bound for the solution of ( 1 )in the energy norm. Namely,
the following bound holds:

Equation (4) together with condition (8) implies

This relation yields the sought-for estimate ( 9 ) .


If conditions (8) are satisfied, we can estimate the right-hand side of ( 6 ) in
another negative norm by the inequality

This is because the inequalities A 2 yA and A-' 2 A-' are equivalent for
self-adjoint positive operators.

4.4.2 SOME DIFFERENCE RELATIONS


Let us first recall some notation introduced before and introduce some new
notation of the theory of difference schemes. For simplicity, we only consider
uniform grids. We introduce the grid

on the interval [O, 11. We use the notation

w={xlz=ai=ih, i = l , 2 ,...,N - I } ,
wt = { x / x= xi = ih, i = 1,2,, , , ,N } ,
w-={xlz=x,=ih, i = O , l , ...,N - I }
STATIONARYPROBLEMS OFHEATTRANSFER 139

for separate parts of the grid. We denote by &(xi) = &i the average grid step,
namely

-
We define a Hilbert space H(G) on the grid G equipped with the scalar
product
(Y,~)YE Y ( x ) ~ x ) ~ ( x ) .
zEu

The scalar product in H ( W ) is defined similarly:

where e.g. W = w , w+,w-.


We also present grid analogues of the differentiation formula for a product
of functions and the formula of integration by parts. Taking into account
the above definitions of operators of the right- and left-hand side derivatives
(Section 4.2) we can directly verify the formulae

Formulae (11) is a difference analogue of the differentiation formula

The grid identities

are grid analogues of the formula of integration by parts

We replace yi by a,=,, and derive the first difference Green fonnula


140 COMPUTATIONAL HEAT TRANSFER

The second dzfference Green formula looks like

For grid functions y(x) and u(x) that vanish for x = 0 and x = 1, formulae
(13) and (14) are simplified and become

Similar definitions are used for studying twodimensional (multidimension-


al, in the general case) grid functions. We introduce the uniform grid wl in
the rectangle = {XI x = (xl,xz), 0 5 x, < l a ) , a = 1,2, with the step hl
with respect to xl and the grid wz with the step hz along the other direction.
Let w = wl x w:! and, hence,

Let w be the set of internal and aw the set of boundary nodes.


Let now h(x) = h.1(x1)h2(x2). where the average steps hl(x1) and h(xz)
along separate directions are introduced above. According to the notation
introduced, for example,

Scalar products in other spaces of grid functions are defined similarly.

4.4.3 A PRIOR1 BOUNDS AND CONVERGENCE


OF THE DIFFERENCE DIRICHLET PROBLEM
Let us consider the construction of a priori bounds in the energy space. As
an example we take a stationary problem of heat transfer in a nonhomogeneous
medium with the simplest first-kind boundary conditions. We consider the
elliptic equation

in the rectangle fl
STATIONARY PROBLEMS O F HEAT TRANSFER 141

We rewrite the corresponding boundary value problem (see Section 4.2) as

where
2
AY = x A , y , LY= (22)
,=l

We take into account the homogeneous condition (21) and introduce the
space H of grid functions that are defined on G and vanish on am. We define
the scalar product in H by the relation

We denote
2
A ~ = A ~ = E A~ , Ev ,H (23)
a=l

and rewrite difference problem (20)-(22) as a first-kind operator equation (1).


We establish properties of the grid operator A by the following lemmas.
Lemma 1. The operator A defined by (23) is self-adjoint and positive in H .
We represent the operator A in the form

where
A,y = A m y , y E H, a = 1,2
Let us show that each of the operators A,, a = 1,2, possesses the desired
properties, i.e.
A, = A: > 0, a = l,2. (25)
For example, for the operator A2 we have

We apply Green's formula (16) to obtain


142 COMPUTATIONAL HEAT TRANSFER

Thus, (26) becomes (Azy,v) = (y,Azv), i.e. the operator Az is self-adjoint.


The operator A1 is considered similarly; therefore, because of representation
(24), A = A ' .
In order to prove that the operator Az is positive, we employ the first
Green's formula (15). As a result we get

This implies that the operator A2 is positive. Properties of A1 are studied


similarly. From (24) and (25) we conclude that the operator A is positive as
well.
If a, = 1, a = 1,2, then A is the grid Laplace operator henceforth denoted
by A. Taking into account (27) we write

Lemma 2. The operator A defined by (33) with 0 < K I 5" a,(%) 5 K I ,


"
x E w , is energetically equivalent to the g r i d Laplace operator A and

This inequality is stated using (27) and assumptions of smoothness of the


coefficients of the difference scheme.
Let us derive a priori bounds for the solution of difference problem (20)-
(22) in the grid space that is an analogue of the Sobolev space W,'(n).Some
a priori bounds for continuous problem (17)-(19) are given in Section 4.1. By
analogy with functions of a continuous argument, let us define the space of
grid functions that are defined on Z and vanish on aw.We equip this space
with the norm
Ilull? = llv~ll~
+ lly1I2. (30)
As in the continuous case, the a priori bound for the solution of difference
problem (20)-(22) is based on the grid analogue of the Friedrichs equation.
Lemma 3. The inequality

holds for a grid function y(x) defined on the grid ii vanishing on aw


STATIONARY PROBLEMS OF HEAT TRANSFER 143

Note that the bound in (31) is established for any rectangular grid in 0 with
an improved constant M = ~(1;~+1;~).The inequalities with this constant M
for a uniform grid can be based on the spectral problem for the grid Laplace
problem (see Section 4.6).
Let us consider a one-dimensional function v(xl) = y(xl, xz). We take into
account the homogeneous boundary conditions and obtain expressions for
u(x1):

To estimate the right-hand sides of (32) and (33) we apply the Cauchy-
Schwarz inequality in the form

We put ak = %,,kh:'2 and bk = h;l2 and derive from (32) and (33) that

We multiply (34) by l1 - xli, inequality (35) by xli, combine the resultants


and find
u2(x1;) 5
~ 1 4 -XI;)
11
1
z
zl~w:
(~,)~hl.

We now multiply (36) by hi, sum the resultant with respect to i (trapezoid
formula for a segment of a parabola) and derive the following bound from (36):

We substitute the function y(x1,x2) for u(xl), multiply the resultant by hz


and sum it with respect to x E wz and obtain
144 COMPUTATIONAL HEAT TRANSFER

A similar relation holds for the bound of the solution of the norm of the
difference derivative with respect to 2 2 . Thus, we take into account (28) and
derive the Friedrichs inequality (31).
By the Friedrichs inequality (31) we find from (30) that

We take into account (28) and (29) to derive the bound for the operator A

Let us relate the norm (30) with the corresponding negative norm 11 . 11-1
defined by the formula
I(ip>Y)l
IIvII-1 = SUP -.
y+o IIyII1
Similarly to (6) and (9), let us derive an a priori bound for difference
problem (20)-(22) written as the operator equation (I), (23).
Theorem 1. The a priori bound

holds for dzfference problem (20)-(22)


The proof is based on the identity (4) and estimate (37). We apply the
inequality (9,y) 5 IIipII-lllyll-1 and find the bound in (38).
Bound (38) implies, in particular, unique solvability of difference problem
(20)-(22). Convergence of schemes with smooth coefficients is established in
the usual way. For the discrepancy z of the difference solution of (17)-(19) we
obtain the operator equation
A z = 11, (39)
where 11is the approximation error. It can be estimated as (see Section 4.2)

According to (30), we get

We take into account bounds (37) and (40) for the solution of (39) and find
lialll< M31hI2, M3 = n;lMlMz. Thus, the difference scheme (20)-(22)
converges with the second order in the energy space.
STATIONARY PROBLEMS OF HEAT TRANSFER 145

4.4.4 NONUNIFORM GRIDS AND DISCONTINUOUS COEFFICIENTS


We briefly mention some peculiarities of investigation of the accuracy of
difference schemes in a more general case of nonuniform rectangular grids.
As we showed in Section 4.2, the second-order approximation of the second
derivative on the usual three-point stencil of a nonuniform grid is attained
only in a special negative grid, while in C ( w ) and L z ( w ) the order of the
approximation is only first. In the energy space considered, the second-order
approximation is also preserved for a nonuniform grid.
It is typical of nonuniform grids that the approximation error is represented
as
S b ) = SO(z+ ) **(x), (42)
where @ ( x ) has a special divergent form.
If nonuniform grids are applied for solving two-dimensional difference
problem (20)-(22),the error is represented in the form (42) with

We estimate the error from equation ( 3 9 ) when (42) and (43) define the
structure of the error. We thus have

The second term is estimated by ( 4 1 ) . We take into account ( 4 4 ) and find for
the first term:
(2,So)= x2

u=1
( 2 , %=.). (45)

According to the grid identities (12) we obtain

for functions that vanish on aw. A similar relation holds for a = 1. We


substitute this into ( 4 5 ) , apply the Cauchy-Schwarz inequality, take into
account ( 2 8 ) and (44) and derive ( z , @ ) 5 M41h1211Vzll <
M41h1211zII~.
We thus again come to the bound llzlll 5 MslhI2, which is obtained
by representing the error in the form (43), (44). Let us recall that when
nonuniform grids are used to find the smooth solution, the error has the same
structure.
146 COMPUTATIONAL HEAT TRANSFER

The error is also represented in the desired form (42)-(44) when solving
problems of stationary heat transfer (17)-(19) with a discontinuous heat
conductivity. This is obtained using the integreinterpolation method. Accor-
ding to Section 4.2, we find for the difference scheme (20)-(22) for problem
(17)-(19) that

where the averaging operators are defined by the expressions

The approximation error for difference problem (20)-(22), ( 4 6 ) becomes

= 4 S z L u - Au = ~ ( s ~ s- A,u).
~ L , (47)
o=1

Consider, for instance, the first term in the right-hand side of ( 4 7 ) . We apply
the properties of the averaging operators to find

SlSzL1u - A I U = -

- (s2~ix)
8x1
*) ;-1,2,j
)+ (aluz, L,= n ~, ,
where
(48)

We can similarly define


STATIONARY PROBLEMS OF HEAT TRANSFER 147

Thus, the error in difference scheme (20)-(22), (46) is represented in the


divergent form

The scheme obtained by the integro-interpolation method has this desired


form.
As a typical example we consider the simplest situation in which the heat
conductivity is discontinuous on the line x l = const, which passes through
the nodes of the uniform rectangular grid J (al = xlk = khl E q ) .The
homogeneous junction conditions (see Section 2.2)

are satisfied on this interface. In each separate subdomain, X I > xlk and
x1 < xlk, qa(x) = O(lhlZ) because of (48) and (49), provided that the
coefficients and the solution are smooth. Therefore the homogeneous difference
scheme (20)-(22), (46) converges with the second order. A more complex
situation arises when the discontinuity line xl = const does not pass through
the grid nodes and, moreover, when the heat conductivity breaks down on an
arbitrary curve.
Similar reasoning is valid in the situation with a surface heat source. In this
case, we consider nonhomogeneous junction conditions

instead of (51) (see Section 2.2). To simulate conditions ( 5 2 ) , we consider a


boundary value problem for the equation

where XI) is the delta function. We use the integro-interpolation method


and come to a difference scheme which only differs from (20)-(22), (46) at the
nodes lying on the discontinuity line where

Conditions of a concentrated source and more general conditions are appro-


ximated similarly.
148 COMPUTATIONAL HEAT TRANSFER

4.4.5 THIRD-KIND BOUNDARY CONDITIONS


Let us dwell on the most important topics in investigation of elliptic
problems with third-kind boundary conditions. As a model problem, we
consider equations (17), (19) equipped with the boundary conditions

We consider the corresponding difference problem on the set H of grid


functions defined at all the nodes of the grid G. We define the scalar product
in H by the relation
( Y , "1 = ( Y >")Z3

To rewrite the difference problem in the operator form, we use the notation
of (23) and (24). We take into account the second-order approximation
of boundary conditions (53) on the solutions of the problem (see (20) in
Section 4.3) and put

Under such a choice of the operators A,, a = 1,2, the operator A possesses
the desired properties, namely the following statement is true.
Lemma 4. The operator A defined b y (241,(54) and (55) is self-adjoint and
positive in H , given u ( x ) > 0 .
Let us prove that (25) holds. In our case,
( A z Y , ~=) x x
zlEu,
fLl
22EY2
AZY(X)U(X)~LZ. (56)
STATIONARY PROBLEMS OF HEAT TRANSFER

According to the Green formula (14) we have

This implies that the operator Az is self-adjoint. It can be similarly checked


that A1 is also a self-adjoint operator.
The operators A,, a = 1 , 2 can be proved to be positive using the first
Green's formula (13). Computations similar to the above yield

Consequently, if u(x) is positive, the operator Az is positive. The same is true


concerning the operator A l . This completes the proof of the lemma.
We take into account that y(x) # 0 on aw and define

and the norm according to (30).


We define a grid analogue of the norm Lz(8w) by the formula

IIYIIL = x
s,EY,
( Y ~ ( X ~ +y2(x1,12))
,O) h.1 + x
22EY2
(y2(0,x2) + y2(11,x2)) h.2.
The following Friedrichs inequality holds for the grid functions that do not
vanish on aw.
150 COMPUTATIONAL HEAT TRANSFER

Lemma 5. The inequality

where the positive constants m and M are independent of the grid, holds for
any grid function y ( x ) defined on the grid Z.
We do not prove this and only note that bounds like (58) can be derived in
a way similar to the proof of Lemma 3. Instead of (32) and (33) it is sufficient
to use the relations

and the &-inequality lab1 5 a2 + b 2 / ( 4 ) ,where E is an arbitrary positive


number.
The a priori bound like that in (38) can be derived for a difference problem
with third-kind boundary conditions.
Theorem 2. The a priori bound

where M I = Ml(tcl, uo, m, M ) , hold for the problem ( I ) , (241, (54) and (55),
provided that u ( x ) 2 uo > 0 .
We take into consideration the Fkiedrichs inequality (58) and find

According to (57) and the restrictions on the coefficients of the differential


problem we derive the bound

We combine (60) and (61)and derive the bound from below, namely ( A y ,y) >
M;'llyllt, which, as usual, yields the desired a priori bound (59).
Convergence of a difference problem with third-kind boundary conditions
is studied like that of the Dirichlet problem, hence we do not dwell on it.

4.4.6 PROBLEMS
1. Show energetic equivalence of the difference operator of the
problem of stationary heat transfer in anisotropic media with first-
kind boundary conditions.
STATIONARY PROBLEMS O F HEAT TRANSFER 151

Solution. We consider boundary value problem ( I ? ) , ( I S ) , where

with k,p(x) = kpa(x).The corresponding difference scheme (see Section 4.2)


is written in the form (20), (21) with

to define the operator A = 0.5(A-+ A + ) on the set of grid functions vanishing


on aw. We take into account difference relations (12) and verify that the
operators A and A+ are self-adjoint, given k,p = kp,. For example,

where we take into account that y ( x ) = u ( x ) = 0 , x E aw.


Because of the inequality (2) of Section 4.1, which expresses uniform
ellipticity, we obtain

In particular, nl 5 k,, 5 n z , a = 1,2. Because of this inequality we derive


from (62)
0

~ ( A Y , Y5 )( A V , Y )5 ~ A Y , Y ) .
The operator A+ has the same properties. Thus, the difference operator
of the Dirichlet problem for an elliptic equation with mixed derivatives is
energetically equivalent to the difference Laplace operator with constants of
equivalence nl and n2.
152 COMPUTATIONAL HEAT TRANSFER

2. Derive t h e b o u n d

for t h e difference problem

Solution. Like in Theorem 1, we have the estimate

where a(x) 2 nl > 0 for scheme (64), (65)


The inequality

holds for one-dimensional grid functions that vanish for x = 0, I . This


inequality is proved similarly to Lemma 3. Inequality (36) in our notation
becomes

This yields the bound in (67). We substitute

into inequality (66) and get the bound in (63).


The bound in (67) is the simplest example of grid analogues of embedding
theorems (in our cases, for the spaces C(0,l) and W,'(0,1)).

4.5 Direct Methods for Solving Grid Equations

4.5.1 METHODS FOR SOLVING SYSTEMS OF LINEAR EQUATIONS


The original differential problem is approximated by a grid problem. The
corresponding difference (grid) equations comprise a system of linear algebraic
equations for unknown values of a grid function. Methods of linear algebra that
STATIONARY PROBLEMS O F HEAT TRANSFER 153

maximally take into account special characteristics of the problem are involved
to solve it. It is typical of grid problems that the corresponding matrix of the
system of algebraic equations is sparse, i.e. contains many zero elements and
has a band structure. When solving multidimensional problems, the matrix
is of a large order, which is equal to the total number of the grid nodes. For
example, we consider a two-dimensional problem on a grid with Nl nodes
in one direction and Nz nodes in the other. Then the matrix has the order
Nl N 2 . Therefore, grid problems require a lot of memory and an improved fast
response of computers if standard mathematical software is used.
We rewrite a system of linear algebraic equations in the form

where A is a square m x m-matrix with the elements a,,. For solving


problems of linear algebra, direct (exact) and iterative methods are used.
Direct methods are those giving the exact solution of the problem a t a finite
number of arithmetic operations, given no rounding-off errors.
The Gauss method is a classical direct method of linear algebra. It has been
modified in several ways to more completely take into account special features
of the problems being solved. The modifications include the Gauss method of
choosing the principal element, methods for solving sparse systems, etc.
The Gauss method is based on the representation of a nondegenerate matrix
A as a product of a lower- and upper-triangular matrices (LU-decomposition):

A = LU, (2)

where

The solution of problem (1) using the expansion in (2)-(4) is reduced to the
solution of two simple problems
154 COMPUTATIONAL HEAT TRANSFER

In order to determine the coefficients of the matrices L and U , recursion


relations are used (the compact Gauss scheme), namely

Computational cost for LU-decomposition of the matrix A is Q = 0 ( m 3 )


arithmetic operations. When solving the equation by (2)-(5) the main cost
is due to computation of the elements of the matrices L and U . Given L
and U, the solution of a problem (5) with tridiagonal matrices requires only
q = 0 ( m 2 ) arithmetic operations.
For systems of equations (1) with a symmetric matrix A (A = A*) the
method of a square mot (Cholesky decomposition) is used. It allows us to
reduce computational work approximately by half. The method is based on
the representation
A = LDL*, (7)
where D is a diagonal matrix with the entries +1 and -1. The elements of
decomposition (7) are defined by the formulae

It is noneffective to use the above direct methods for solving multi-


dimensional grid problems. The Gauss method or the Cholesky decomposition
applied fur solviug a two-dimensional problem with N1N2 nodes would require
Q = O(N:NZ) arithmetic operations. In several cases this cost can be reduced
by taking into account a sparse structure of the matrix.

4 . 5 . 2 THOMAS ALGORITHM
When approximately solving one-dimensional problems of heat transfer, we
encounter grid problems with tridiagonal matrices. For these problems, special
STATIONARY PROBLEMS O F HEAT TRANSFER 155

versions of the Gauss method are used that take into account special features
of the problem. We rewrite the difference problem in the form

C I Y I- Biyz = Fi,
+ -
- A .& .- I C,yi Biyi+i = F,, i = 2 , 3 , .. . , m - 1 ,
-A,U,-I + C,Y, = F,.
The solution of difference problem ( 9 )is sought in the form

Y , =a;+~yi+l
+iRi+l, =2 . - 1 , y, =iR,+l.

The coefficients of this recursive representation are defined as follows:

a2 = C c 1 B 1 , i = I , & . . ., m - 1,
aitl = (C, - ~ , a , ) - ' B;,
PI = C;'F1, @,+I = (C, - Aiai)-' (F, +A$,), i = 1,2,. , , , m .

Recursive relations ( l o ) , (11) for determining the solution of problem


(1)with tridiagonal matrix (9) comprise the well-known Thomas algorithm
(forward-backward algorithm). The formulae for coefficients (11) are used in
the forward algorithm and (10)are used in the backward algorithm. It is easily
seen that only O ( m ) arithmetic operations are required for the solution of the
problem. This essential and principal reduction in the computational work
is because of the special sparse structure of the matrix. This version of the
Gauss method completely takes into account this special structure. Therefore,
different versions of the Gauss method for sparse methods are successively
applied for solving grid equations that arise when using difference methods or
finite-element method for approximate solution of problems of mathematical
physics.
In computational practice, different versions of the Thomas algorithm
are used. In particular, we mention cyclic Thomas algorithms for solving
problems with periodic boundary conditions, the flux version of the Thomas
algorithm, the nonmonotonic Thomas algorithm, versions for problems with
band matrices, etc.
To employ computational formulae (11) of the Thomas algorithm it is
necessary that the denominators c, - A,a, are other than zero. Let us now
discuss the concept of the computational stability of the Thomas algorithm.
The solution of the problem is determined by recursive relations (14) in
which rounding-off errors can accumulate. For instance, assume that y , was
computed with the error E,, i.e. we found c,,
= y, E,. +
The error in the
other values, according to (14), is determined by the relations E, = a i + ~ c , + ~ ,
i = 1,2,. . . , m - 1. Thus, the rounding-off error can be accumulated and
become large if the moduli of a , are greater than unity. For stability it is
sufficient to demand la,[ 5 1 for all i.
156 COMPUTATIONAL HEAT TRANSFER

Lemma. Let all real coeficients of the system of equations (9) satisfy the
conditions

and at least one strict inequality hold in (13). Then in (10) and (11)

The above sufficient conditions (12) and (13) of computational stability of


the Thomas algorithm are actually the conditions of the diagonal predomi-
nance in the matrix A.

4.5.3 TWO-DIMENSIONAL PROBLEM


We consider methods for solving grid equations that correspond t o multi-
dimensional stationary heat transfer problems as applied to the simplest two-
dimensional problem in a rectangle R with smooth coefficients and first-kind
boundary conditions (problem (17)-(19) in Section 4.4). The corresponding
difference problem ((20)-(22) in Section 4.4) on a rectangular grid that
is uniform in both directions is written a s follows. We use the simplest
approximations for the coefficients and right-hand side of the difference scheme
that are written at internal nodes in the following way:

For the boundary nodes we have

Difference scheme (14), (15) is a system of linear algebraic equations, in


which the unknowns are the values of the approximate solution at the internal
<
grid nodes, i.e. yij, 1 i 5 Nl - 1, 1 5 j < Nz - 1. The total number of
-
the unknowns is ( N l - l ) ( N z 1 ) . If we directly apply the Gauss method
STATIONARYPROBLEMSOFHEATTRANSFER 157

not taking into account the sparse structure of the matrix, the computational
cost would be Q = O(N:NZ) arithmetic operations. The m a t k Thomas
algorithm, which is a generalization of the above scalar Thomas algorithm,
allows us to substantially decrease the amount of comput&tional work.
Let us introduce the vectors

i.e. the vector y; corresponds to the unknowns at the nodes of the ith column of
the grid G. Then difference scheme (14), (15) can be rewritten as a three-point
vector equation (9), where A;, Bi and C, are square matrices of the order Nz-l
and m = Nl - 1. In our case, A, = (a?) and B, are diagonal matrices, while
C; is a tridiagonal matrix. Computational formulae of the matrix Thomas
algorithm have the form (lo), ( l l ) , where a; are square matrices and 0, are
(N2 - 1)-dimensional vectors.
The matrix Thomas algorithm requires a large amount of computer memory.
In the process of computations the computer must store all the matrices at,
hence the desired amount of memory is P = 0(N2Nl). Computational work
for inverting of the matrices C, - A,=, (see (11)) is Q = O(NzNl). The
method can be used for problems with Nz << Nl (the number of nodes in
the xl-direction is substantially larger than that in the xz-direction). Besides,
the matrix Thomas algorithm is successfully applied for solving of systems of
differential equations of a low dimension.
The reduction method is one of the most widespread methods for solving
elliptic problems. It is used for solving boundary value problems with
separating variables. In the case considered of model problem (14), (15) we
assume k = k(xz). We rewrite the grid problem as the following three-point
vector equation:

where rn = Nl.
The general (see e.g. (11)) three-point vector equation is essentially
simplified because A, and Bi are the identity matrices (A, = B; = E) and
the matrices C; = C are constant. For simplicity, we only consider first-kind
equations (see (18)). Currently, the reduction method is improved t o include
the cases of grid problems with second- and third-kind conditions and periodic
conditions, assuming that the variables are separated.
The reduction method is a special version of the Gauss method for system of
equations (30), (31) with m = 2'. It is based on subsequent elimination of the
unknowns yi from equations (30). Firstly, the unknowns with odd numbers
are eliminated, then the unknowns with even numbers are eliminated from
158 COMPUTATIONAL HEAT TRANSFER

the rest of the equations, then the unknowns whose numbers are multiples of
four, etc. Under such elimination, the number of unknowns is reduced after
each step. As a result, a unique equation remains for determining y,,,. The
inverse procedure is involved to determine all the unknowns.
The reduction method requires Q = 0(N2Nl log, NI) arithmetic opera-
tions. This estimate is better than that for the matrix Thomas algorithm.
The computational cost is O(log, NI) arithmetic operations per node which
is close to the optimal asymptotic estimate O(1). Therefore the reduction
method is said to be a fast method for solving grid equations.
A marching algorithm is optimal ( Q = 0 ( N l N 2 ) ) for grid elliptic problems
with constant coefficients.
Nowadays, linear algebra software packages are widespread. They are
oriented on grid problems that arise when solving problems in mathematical
physics by difference and projective-grid methods. This applied software
includes well-developed and tested routines for solving grid problems by the
above methods.

4.5.4 THE METHOD O F SEPARATION O F VARIABLES


Separation of variables is a classical approach to solving simple linear
problems of mathematical physics (see Section 3.2). It is logical to expect
that a similar idea can be applied to solving grid equations. Let us consider
model problem (14), (15), where the coefficient k depends on a single variable
(for definiteness, we assume k = k(xz)). Under these assumptions, we rewrite
problem (14), (15) as

where

and the right-hand side is ~ ( x =) f(z)/k(xz), x E w.


To apply the Fourier method for solving two-dimensional problem (19)-(22),
we consider the eigenvalue problem with respect to 22:

We denote the corresponding eigenvalues and eigenfunctions by XI, and vk(xl),


respectively; k = 1 , 2 , . . . , NI - 1. Since A is a self-adjoint operator, the
160 COMPUTATIONAL HEAT TRANSFER

arithmetic operations. The fast Fourier transform is applied to the grid


operator A l in the cases of first-kind boundary conditions (48), second-kind
conditions, or periodic conditions with N1 = 2'. In these special cases, the
eigenvalue problem has an exact solution (the eigenfunctions are sines and
cosines).
For problem (23), (24) we have (see Problem 2)

Algorithms of the fast Fourier transform are based on separation of the


identical factors vx(xl), X I E wl in the sums like (25) and (26) and on
regrouping of the terms. Various versions of the fast Fourier transform are
described in an ample number of manuals.
We considered an approach with the fast Fourier transform with respect to
one variable and the Thomas algorithm with respect to the other. The Fourier
transform can be applied to problems with constant coefficients with respect to
both variables (expansion in eigenfunction of two-dimensional grid operator
A ) . Among other possibilities, we mention FACR algorithms that combine
the cyclic reduction (CR) method and Fourier analysis (FA) applicable t o the
problems with constant coefficients.

4.5.5 PROBLEMS
1. Derive c o m p u t a t i o n a l formulae of t h e cyclic T h o m a s a l g o r i t h m
for solving t h e s y s t e m of equations

w i t h periodic coefficients w i t h a period m:

Solution. Since the solution is periodic (y, = y,+,), we seek it for i =


0,1,2,. . . , m - 1. Therefore we rewrite problem (29), (30) in the form
STATIONARY PROBLEMS OF HEAT TRANSFER 161

Since the first equation in (31) includes a term with A. and the last equation
in (31) includes a term with Bm-l, we cannot use the usual formulae of the
T h o m a algorithm. In order to solve (31) we use the cyclic Thomas algorithm,
which is based on the well-known method of linear algebra called bordering.
We seek the solution of problem (31) in the form

where wi is the solution of the homogeneous problem


wo = 0,
-Aiwi-i + C,W,- Biw,+l = F,, i = 1 2 .m - 1 (33)

For the second grid function we pose the three-point problem

with nonhomogeneous boundary conditions.


Let us find the conditions under which (32)-(34) give the solution of (31).
Equations (31) are satisfied for i = 1 , 2 , 3 , .. . , m - 1, and the first equations
can be used to determine yo. We substitute (32) into the first equation in (31)
and get
YO =
+
Fo Aow,-I +Bowl
Co - Aov,_l - Bowl '
Each of problems (33) and (34) is solved by the standard Thomas algorithm.
We should only note that these problems have a common coefficient, namely
the solutions are represented as

The cyclic Thomas algorithm is applied to problems with periodic boundary


conditions (heat transfer problems in cylindrical and spherical coordinates).
2. F i n d t h e values of t h e p a r a m e t e r X (eigenvalues) for which t h e r e
exist nontrivial solutions p(xj) (eigenfunctions) of t h e difference
problem

Solution. We directly verify that the eigenvalues of problem (35), (36) are
4 .,rk
XE = - sin - k = l , 2 , ..., m - l
h2 2m'
162 COMPUTATIONAL HEAT TRANSFER

and the eigenfunctions are

x = ( )' I 2 rkzj
sin -
1

because xj = jh. The eigenfunctions p k ( x j ) are orthonormalized in H ( w ) , i.e.

where is Kronecker's delta.

4.6 Iterative Methods of Linear Algebra

4.6.1 BASIC CONCEPTS


We discuss methods for solving systems of linear equations

AY = f (1)

by iterative methods. Here A is considered to be a linear operator acting in


a finite-dimensional Hilbert space H , f is a given element, and y has to be
found.
An iterative method starts from an initial approximation yo E H and
sequentially defines approximate solutions of equation ( I ) , namely yl, yz,. . . ,
yi;, . . ., where k is the iteration number. The values ykil are determined
from the previously found yk, yk-1,. . . If only the values from the preceding
iteration yk are used to compute yk, the iterative method is said to be one-step
(two-level). Respectively, if yk and yk+l are involved, the iterative method is
called two-step (three-level).
Any one-step iterative method can be written in the form

where Bk and Ck are linear operators and rk~1are numerical parameters.


The solution of ( 1 ) must satisfy (2), i.e. Bky = C k y + r k + ~f . We take into
account (1) and put Bk - Ck = r k + ~ AThen . we express Ck in terms of Ak
and Bk and rewrite ( 2 ) in the form
STATIONARY PROBLEMS O F HEAT TRANSFER 163

This is the canonical form of a two-level iterative method. Given yo, all
subsequent approximations are found by (3).
To estimate the accuracy of the approximate solution it is logical to
introduce the discrepancy t k = yk - y. An iterative method converges in
the energy space generated by a self-adjoint positive definite operator D in H
if /(zk(lo-+ 0 as k -+ m. The relative error E is usually taken as a measure of
convergence of iterations, i.e.

Since the exact solution y is unknown, the accuracy of the approximate


solution can be estimated by the residual rk = Ayk - f = Ayk -Ay, which can
be computed directly. For example, the iterative process can continue until

The convergence criterion (5) corresponds to the choice D = A*A in (4). Let
no() denote the minimal number of iterations that provide the accuracy E
((4) or (5) is satisfied).
When constructing an iterative method, we should try to minimize compu-
tational work needed to determine the approximate solution of problem (1)
with a given accuracy. Let Qk be the number of arithmetic operations required
to find the approximation yk and let n > no(^) iterations be performed. Then
the total cost is evaluated by the quantity Q(E) = Qk. AS applied to
two-level iterative method (3), Q(E) is minimized by choosing the operators
B k and iterative parameters T ~ + I .The operators B k are usually defined by
some reasoning, while the iterative parameters are chosen to optimize iterative
method (3).
Two approaches are accepted in the theory of iterative methods. The first
involves a priori information about operators of an iterative scheme (namely,
Bk and A in (3)). In the second approach (variational iterative methods),
iterative parameters are determined on each iteration by minimizing several
functionals, while the a priori information about the operators is not used.
We first describe in general iterative methods not specifying the structure of
the grid operators Bk. Specific results for grid elliptic operators are presented
in the next section.
We consider the generic problem (I), in which the operator A is self-adjoint
and positive definite (A = A* > 0) in a finite-dimensional Hilbert space H.
We consider the iterative process

i.e. the operator Bk is considered to be constant (unchanged during the


iterations), unlike the general case in (3).
164 COMPUTATIONAL HEAT TRANSFER

4.6.2 METHOD OF A SIMPLE ITERATION


The method of a simple iteration corresponds to the constant parameter
rk = T in (6), i.e. we consider the iterative process

assuming that
A=A'>O, B=B*>O. (8)
The iterative method in (7) is said to be steady-state.
Let us have the a priori information about the operators A and B in the
form of the operator inequality
<
7 l B A 5 %B, 71 > 0, (9)
i.e. the operators A and B are energetically equivalent
Theorem 1. Iterative method (7)-(9) converges in Ho, D = A, B , for
0 < T < 2/71. The optimal value of the iterative parameter is T = 70. The
number of iterations n necessary to obtain the accuracy E can be estimated as

where

Note that no(&) in (16) is, generally speaking, noninteger, and n is the
>
minimal integer such that n no(&)is satisfied. Theorem 1 suggests how to
optimize convergence of iterative process (7), (8) by choosing the operator B
according to (9),i.e. the operator B should be close to A with respect to the
energy. In this case, the most favourable situation corresponds to the choice
B = A and TO = 1, n = 1 (a direct method).

4.6.3 THE CHEBYSHEV S E T O F ITERATIVE PARAMETERS


An optimal set of the iterative parameters in (6) is related to the roots of
the Chebyshev polynomials, therefore this iterative method is referred t o as
the Chebyshev iterative method (the Richardson method). Let us define the set
of M , as follows:

The formula

is used to compute the iterative parameters ~k


STATIONARY PROBLEMS O F HEAT TRANSFER 165

Theorem 2. The Chebyshev iterative method (6), (a), (9), ( l l ) , (12)


converges in H D , D = A , B. The necessary number of iterations n to obtain
the accuracy E can be estimated as

where

Note that in the Chebyshev method (see (11) and (12)) the iterative para-
meters are computed using the given total number of iterations. Obviously,
n = 1 corresponds to the above method of a simple iteration.
The practical realization of the Chebyshev method is associated with
the problem of computational stability. The thing is that the norm of the
transition operator at several iterations is greater than unity, and consequently
the local discrepancy can grow up and lead to an abend. The problem of
computational stability is solved by a special ordering of iterative parameters
(by choosing pk from the set Mk). Several algorithms were suggested to
determine optimal sequences of the iterative parameters ~ k given , the total
number of iterations rk.

4.6.4 METHOD OF ALTERNATING DIRECTIONS


Among special iterative methods widely employed in computational prac-
tice, we mention the method of alternating directions. This method is applied,
first of all, when approximately solving two-dimensional grid elliptic problems.
We present the operator formulation of the method of alternating directions.
Let us solve equation (1) with the operator A that is represented as a sum
of two self-adjoint operators, i.e.

We pass from the kth iteration to the next, ( k + l ) t h iteration in two stages. At
the first stage we determine the intermediate value yktl12 from the equation

At the second stage we solve the problem


166 COMPUTATIONAL HEAT TRANSFER

The parameter w in (15) and (16) should be determined. In a more general


case, different iterative parameters are used in (15) and (16). If the operators
A,, a = 1 , 2 commute ( A 1 A 2 = A 2 A 1 ) ,the method of alternating directions
is used with variable iterative parameters.
Let us rewrite the system of equations (15), (16) as

Thus, passage to a new iterative approximation is associated with inversion


of the operator E + wA1 and E + w A z . It is reasonable to use the method of
alternating directions when it is much simpler to invert the operators E+wA,,
a = 1,2, rather than the original operator A .
Iterative process (15), (16) is written in the canonical form as the steady-
state process (7) with the factorized operator

and T = 2w,
T h e o r e m 3. The optimal value of the iterative parameter in the method
of alternating directions (14)-(16) with = 6~ = 6 and A1 = Az = A is
w = (&A)-'.The estimate

where p is defined by

holds for the discrepancy.

4.6.5 TWO-LEVEL VARIATIONAL METHODS


In the above we considered iterative methods for solving problem ( 1 ) under
the conditions when a priori information about the operators B and A is given
as the constants yl and yz (see (9)) of energetic equivalence. Optimal values
of the iterative parameters are defined in terms of these constants. It may
happen to be a complicated problem to determine these constants, hence it
is reasonable t o try to construct iterative methods by calculating iterative
parameters without this a priori information. This class of methods includes
variational iterative methods. Let us start by considering two-level iterative
method (6) under assumptions (8).
STATIONARY PROBLEMS OF HEAT TRANSFER 167

We denote the residual rk = Ayk - f and the correction wk = B - l r k and


represent the computational formula for iterative parameters as

Iterative process (6) is then rewritten as

An iterative method is rendered concrete by choosing D = D* > 0. This


operator can be chosen so that the iterative parameters are computable. Since
formula (17) contains the value zk that cannot be solved, it is impossible t o
choose D = B (see Theorem 1). The above possibility D = A leads to the
method of steepest descent, in which

Among the other possibilities, we mention D = AB-'A, i.e. the method of


minimal corrections.
A two-level variational iterative method converges not slower than the
method of a simple iteration. Let us formulate the corresponding result as
applied to the method of steepest descent.
Theorem 4. Iterative method (7)-(9), (18) converges i n Ha, and the
estimate (10) holds for the number of iterations n necessary to obtain the
accuracy E .
Three-level variational schemes are most common in computational prac-
tice. Their convergence rates are not greater than those of the iterative method
with the Chebyshev set of parameters.

4.6.6 METHOD OF CONJUGATE GRADIENTS


In a three-level (two-step) iterative method a new approximation is found
by the two preceding ones. Two initial approximations yo and y1 are necessary
to start the process. Generally, yo is taken arbitrarily, and yl is determined
by a two-level algorithm. A three-level method can be written in the following
canonical f o n of a three-level iterative method:

where and n+lare iterative parameters


168 COMPUTATIONAL HEAT TRANSFER

Computations by (19) are based on the representation

where wk = B-Irk. Realization of a three-layer method is often associated


with the representation

We compare (20) and (21) and associate the parameters X k and pk with the
parameters a k and r k :

In the notation introduced, the computational formulae of the iterative


method of conjugate directions become

The main property of iterative approximation in this method is

This implies, for example, that the method of conjugate gradients converges
in a finite number of iterations, which is not larger than the dimension of the
finite-dimensional space H.
In the case D = A , according to (22), the iterative parameters are computed
by the formulae

The iterative parameters of (19) computed by (23) define the method of


conjugate gradients, which is most commonly used in practice.
STATIONARY PROBLEMS O F HEAT TRANSFER 169

T h e o r e m 5. The method of conjugate gradients (19), (23) converges in H A ,


given (8) and (9). The number of iterations necessary to obtain the accuracy
E is evaluated as
n 2 no(c) = ln(2~-~)/ln(p;'),
where

4.6.7 PROBLEMS
1. Show t h a t t h e n o r m of t h e o p e r a t o r

+
) (E WA)-'(E
~ ( w= - WA) (24)

with
A = A*, 6E 5 A 5 AE, 6>0 (25)
is m i n i m a l for w = wo = (6A)-' a n d is equal t o

Solution. Let us consider the operator S as a transition operator, i.e.


zk+l = Szk. The operator in (24) corresponds to the canonical form

We take into account (64) and find (A-' +w)A 5 B 5 (6-' +w)A. Therefore,
the constants of energetic equivalence are written as

71 = 6(l + w6)-', 72 = A ( l + w6). (27)

The optimal value (Theorem 1) T = r0 = 2/(y1 + yz) yields

This results in the desired expression (25) for w.


The minimal norm is defined by the formula

Substitution of (25) and (27) in the latter equation yields (26).


170 COMPUTATIONAL HEAT TRANSFER

2. O b t a i n c o m p u t a t i o n a l formulae (17) for a two-level iterative


method.
Solution. We study the error in H D by putting zk = D - % ~ . We obtain
the equation for uk:

I ~ S is the transition operator from one


where C = D ~ I ~ B - ~ A D - ~ and
iteration to another.
It is logical to choose the parameter T ~ + Ifrom the condition of minimal
error zk+l in H D (UC+I in H ) . We get

This implies that the norm is minimal for the choice

We take into account the definition of C, denote the residual T & = Ayk - f
and the correction wk = B - ~ T ~ derive from (28) a computational formula
and
for iterative parameters in the desired form (17).

4.7 Iterative Methods f o r S o l v i n g Grid Equations

4.7.1 DIFFERENCE PROBLEM OF STATIONARY HEAT TRANSFER


We consider a model problem of stationary heat transfer with first-kind
boundary conditions in a rectangle. The difference problem on the uniform
rectangular grid (see Section 4.2) becomes
STATIONARY PROBLEMS OF HEAT TRANSFER 171

Convergence of iterative processes is studied in the space H of grid functions


defined on ?Jand vanishing on aw. For this purpose, the boundary nodes in
difference problem (1)-(3)are eliminated according to (2). The scalar product
in H is defined in the usual way, namely (y,u)= (y,v)z = (y,v),.
We rewrite difference problem (1)-(3)as the first-kind operator equation

where we denoted
7

In this equation y(x) = 0 for x E aw, i.e. at the boundary nodes this function is
not identical to the difference solution. We take a nonhomogeneous boundary
condition by an additional term in difference equation (1). The right-hand
side of (4)is different from that of difference equation (1) only at the nodes
+ +
neighbouring the boundary. It is easy to check that f = i p i p ~ h ; ~i p ~ h ; ~ ,
where

A similar procedure is applied to difference problems with other types of


nonhomogeneous boundary conditions.
Properties of difference operator A are studied in Section 4.4.In particular,
it is shown that A is a self-adjoint positive operator. In addition, if 0 < nl 5
a,(z) _< xz, x E w , the operator A is energetically equivalent to the grid
operator Laplace operator, i.e. the operator inequality

holds

4.7.2 TWO-LAYER ITERATIVE METHOD


We use the iterative method
172 COMPUTATIONAL HEAT TRANSFER

for approximate solution of grid problem (1)-(3) written as the equation (4),
assuming that an initial approximation yo is given. The choice of iterative
parameters was discussed in the above. We now consider the choice of operator
B in iterative method (7).
Given A = A* > 0 and B = B ' > 0, the convergence rate is defined by the
constants of energetic equivalence yl and 72, namely

or, more exactly, by the ratio = yl/yz. Therefore, the operator B chosen,
on one hand, should be easily invertible and, on the other, should maximize
the value E .
Different classes of easily invertible operators are discussed in the following.
Among these, we can separate the simplest class of operators of multiplication
by a given grid function, which have diagonal matrices. Triangular grid
operators that correspond to lower or upper triangular matrices are easily
invertible as well. The same is evidently true for products of these operators
(factorized operators B). The method of variable directions is also based on
using a factorized operator.
A regularization principle for iterative rnethodsis important for construction
of iterative methods. When choosing B, we start with an operator R = R* > 0
(a regularizer) that is energetically equivalent to the operator A, i.e.

Let us now construct the operator B using the operator R, i.e. according to
the inequality
0
7 l B 5 R YzB,< YI > 0. (10)

Conditions (9) and (10) yield the desired inequality (8) with yl = cl+l and
0
y1 = c ~ Ywhere
~ ,
0 0 0

E = (cl/cz)E, E =7 1 1 ~ ~ . (11)
The regularizer R is chosen so that the ratio cl/cz is independent of the grid
steps and has a simple structure. In the case of problem (1)-(3), it is logical
to take the Laplace operator Y as the regularizer. Because of (6) we have
c, = K,, a = 1,2, i.e. the constants are chosen according to the given thermal
conductivity. Consequently, the ratio c ~ / c zdoes not depend on parameters of
the grid.
Two possibilities arise in this choice of the regularizer R. The first possibility
is when the ratio nl/nz in a problem of stationary heat transfer is not very
small. The second is associated with too small a ratio nl/nz when the number
of iterations depends on this ratio inappropriately. In the latter case, the
STATIONARY PROBLEMS O F HEAT TRANSFER 173

convergence rate of iterative processes constructed directly by the operator A


without the regularizer R should additionally be investigated.

4.7.3 DIAGONAL OPERATOR B


The simplest class of iterative methods is associated with the choice of a
diagonal operator B. In this case,
B = b(x)E, (12)
and a new approximation is computed by explicit formulae An example of
such methods is given by the Jacobi iteration method, in which the operator
B is taken to be the diagonal part of the operator A and r k = T = 1.
The problem of constructing the optimal operator B in the class of operators
<
(12) is solved. The ratio = yl/yz in operator inequality (8) for A = A* > 0
is maximal if B is taken to be the diagonal part of the operator A. In this
sense, the Jacobi method is optimal.
Let us investigate the convergence rate of iterative method (7), (12) using
a regularizer R. We set R to be the grid Laplace operator 7. We take into
account that
iy= -Yi+l.~ - 2y.j + Y , - I , - Yi.j+~- 2yo + Y i - 1 83-

ht '4
and put in (12)
b(x) = 2 (h;' + h;') . (13)

In order to derive the bound in (10) (for R = A) under the choice (12), (13),
we can use the least (6) and greatest (A) eigenvalues of the Laplace operator,
namely
0

6 E 5 A 5 AE. (14)
The eigenvalues of the problem Ay = Xy are composed of the eigenvalues of
the corresponding operators with respect to the variables xl and x2 and are
represented in the form (see Problem 2 in Section 4.5)
2
X I , = A(,:) + -Cg
Ira -
4 . k ah,
s1n2 *'
,=I

whence we find the least and greatest eigenvalues


2 2 2
4 . ah, 8
6=c6,=c-sm2->cT,
a=1 a=1 h2, 21- a=1 1,
174 COMPUTATIONAL HEAT TRANSFER

From (14) and (15), given (12) and (13), we derive the bound (10) with

where lhI2 = h: + hi, According to (16) and (11) we derive the corresponding
bounds for the number of iterations of the method (7), (12), (13).
According to Section 4.6, the number of iterations of the method of a simple
iteration with the optimal value T = TO = 2(y1 +yz) and that of the method of
steepest descent with the operator B chosen by (12) and (13) can be evaluated

Thus, the number of iterations is proportional to the total number of nodes


(unknowns) and the ratio of the maximal and minimal values of the heat
conductivity.
For the Chebyshev iterative method and method of conjugate gradients
instead of (17) we derive (see Theorems 2 and 5 in Section 4.6) the following
estimate:

The method with the Chebyshev set of iterative parameters converges much
faster than that of a simple iteration.
In the case of a large ratio x = nzlnz (in problems of stationary heat
transfer in compound bodies with different-scale thermal parameters) the
number of iterations (18) can inappropriately depend on X. Therefore, it is
reasonable to consider the iterative method with the diagonal operator B
constructed directly using A (without a regulaxizer).
Let us consider iterative method (7) for problem (4) with the operator B
specified by (12), where according to (1)-(3)

In order to estimate the convergence rate of method (7), (12), (19), it is


necessary to determine the constants y,, u = 1,2, in inequality (8).
Let us first show that in our case

Let us consider a new grid function vij = u(xl,,zzj) = (-l)"'u(z~i,xz~)


from the set H of grid functions defined on iii and vanishing on aw. For this
function
(Bv,v) = (Bu, u) (21)
STATIONARY PROBLEMS O F HEAT TRANSFER 175

because of (12). We take into account (1)-(4) for A v and derive

at the separate grid node z = ( z l ; , z 2 j ) . Consequently,

( A v , v ) = 2 ( B u , u ) - ( A u ,u )

The constants yl and y, in inequality ( 8 ) are defined by the relations

We take into account ( 2 1 ) and ( 2 2 ) to obtain

We thus come to relation (20).


Relation ( 2 0 ) implies that TO = 2 / ( y 1 + y z ) is the optimal value of the
iterative parameter in the method of a simple iteration, assuming that B is
chosen according to ( 1 2 ) and (19). The bound for yl is derived using the
following generalization of the Friedrichs inequality (Lemma 3 in Section 4.4).
Let us consider a one-dimensional function y ( z ) on the uniform grid E. The
following statement holds (Problem 1 ) .
Lemma 1. Let p ( z ) > 0 and a ( z ) > n > 0 for z 6 w , y ( 0 ) = 0 and y ( l ) = 0 .
Then the inequality
2
( a y r , I),+ 2 ( P Y , Y), (23)
holds, where M-' = m a x v ( x ) and v ( z ) is the solution of the problem
=Em

We now use the bound in ( 2 3 ) to derive the left-hand inequality in ( 8 ) for


( 1 2 ) , ( 1 9 ) . According to (23) we deduce
176 COMPUTATIONAL HEAT TRANSFER

The grid functions M;'(x2) and M;'(xl), where M i 1 = maxua(x,),


rEu,
u = 1,2, are defined by the three-point problems

in view of (24). According to (25) we have

We compare this with (26) and set yl to be


2
71 = min
sew M i 1 = Emin
~ E WM;'(x2) + min M;'(X~).
*IEW (27)
a d

The investigation of the influence of thermal conductivity (the ratio x =


r;l/n2), because of (20), is reduced to studying the quantity 71, which is
specified by (26) and (27). We can employ asymptotic analysis (as lhl --, 0) to
make some conclusions. Instead of boundary value problems (26), we consider
the boundary value problems

taking into account (19). The analysis of boundary value problems (27) shows,
for example, that for media with piecewise-constant thermal conductivity

coefficient ratio x = ~ z / n l(yl -


(compound media) it is possible that yl substantially depends on the
X-'). Thus, in several cases the number
of iterations does not depend on x = n2/nl, no matter whether a regularizer
is used. If the operator B is constructed by the diagonal part of the operator
A, this dependence can only be weaker. It should be mentioned that this
reasoning also relates, to an extent, to other techniques of choosing the
operator B, which are discussed below, in particular t o the method of variable
directions and triangular iterative methods.
Advantages of variational iterative methods become more evident in
problems with compound bodies with large ratios of heat conductivities. In the
Chebyshev iterative method the choice of iterative parameters is only limited
by the constants of energetic equivalence yl and y, of the operators A and B.
The iterative parameters in variational methods are chosen taking into account
the behaviour of the error in the approximate solution and are determined
not only by the bounds of the spectrum (71 and y2) of the corresponding
STATIONARY PROBLEMS O F HEAT TRANSFER 177

generalized eigenvalue problem but also by the distribution of the eigenvalues.


Thus, the number of iterations in variational iterative methods applied for
solving heat transfer problems for compound bodies depends only slightly on
x =mlnl.
4.7.4 TRIANGULAR ITERATIVE METHODS
We can take the operator B not to be a diagonal operator (cf. (12)) but
an operator corresponding to an upper (lower) triangular matrix or a product
of such operators. Iterative methods of this class are extremely popular in
applied computations. Firstly, we consider the case in which we choose B as an
operator corresponding to one triangular matrix (asymmetric case). Further
we will consider iterative methods with factorized triangular operators.
Let us consider problem (4) for the positive self-adjoint operator A that is
represented in the form

Let the operator D' correspond to the diagonal part of A and let C correspond
+ +
to the lower triangular matrix. Then since A = C 'D C*, we find

for the operators A,, a = 1,2, in view of representation (29).


In order t o solve (4) by iterations, we use the following version of the method
of a simple iteration

which is called the treangular iterative method. The method in (31) represented
in the canonical form corresponds to the choice

Triangular iterative methods are often written as

We take into account (30) to get r = 2w/(2 - w).


Among triangular iterative methods, we mention the Seidel method, for
which r = 2 (w = 1).We also mention the method of over-relaxation, which
corresponds to T = 2(6(2 - 6))lI2, where 6 is the constant from the inequality
A 2 6'D, 6 > 0.
178 COMPUTATIONAL HEAT TRANSFER

A priori information in triangular iterative methods can be given as the


following operator inequalities:

T h e o r e m 1. Iterative method (291, (31)-(93) with the optimal T = 70 =


2/(6A)'I2 and with 2) = D* > 0 converges in HA,and the e n o r can be
<
estimated as llznlla pnllzolla, where

Because of (34), the number of iterations necessary to obtain the accuracy


E can be evaluated in the usual way as

Note that in the above reasoning, D is not necessarily the diagonal part of
the operator A.
The over-relaxation method thus corresponds to the iterative parameter T
close to the optimal value. The bound in (34) for the number of iterations
also holds for the over-relaxation method.
Let us illustrate the advantages of triangular iterative methods (31) by the
0

grid Dirichlet problem for the Poisson equation (equation (4) with A = A).
We thus consider problem (1)-(3) with a,(x) = 1, a = 1,2. We take D to be
0

the diagonal part of the operator A, namely

The operators A,, a = 1 , 2 , in representation (29) can be represented as

on the set of grid functions that vanish on aw.


Let us find the constants 6 and A in inequalities (33). According to (35)
and the specified minimal eigenvalue (see (15)) of the Laplace operator, we
have
6= - 2h;
- sin - ,?rhl
+ - 2ht 2 ?rhz
sin -
h: + h i 21, h? + h; 212
STATIONARY PROBLEMS O F HEAT TRANSFER

Using (35), (36) we get

The right-hand side is rewritten as

We take into account

We thus come to the inequality ( A I D - ' A 2 y ,y) 5 0.5(Ay,y ) . We compare this


with the second inequality in (33) and conclude that A = 2.
For the optimal value of the iterative parameter T = T O , we evaluate the
number of iterations using (34), namely

This bound is close to that for the Chebyshev iterative method (see (18)) with
a diagonal D .
The Seidel method is c h a r ~ t e r i z e dby T = 2. The number of iterations is
estimated as
no(.) = o ( + - l n t ) .

Hence, the Seidel method converges much more slowly than the over-
relaxation method. The number of iterations in the twedimensional problems
considered, as in the method of a simple iteration, is proportional to the total
number of nodes.

4.7.5 ALTERNATING TRIANGULAR METHODS


The operator B in triangular iterative methods (31) is constructed ac-
cording to ( 3 2 ) . Of course, the operator B can also be constructed using
the operator A2. Alternating use of the operators A1 and A2 is typical,
STATIONARYPROBLEMSOFHEATTRANSFER 181

Since then operator V is positive, we derive (By, y) 2 2w(Ay, y), i.e. A 5 yzB,
where
1
yz = -. (43)
2w
Now we can choose the parameter w in (40) from the condition of maximal
( = ((w) = yl/yz. According to (42) and (43) we obtain

71
((w) = - = 2w6
h 1 + w6 + w26A/4'
The maximum of ( ( w ) is attained for

and is equal to

In view of the bounds derived, we can formulate the corresponding result on


convergence of the alternating triangular method, where the parameter w is
taken to be optimal.
Theorem 2. The alternating triangular iterative method (7), (29), (33),
(do), (44) with the Chebysheu set of iterative parameters converges in HA and
H e . The number of iterations is estimated as n 2 no(&)= ln(2~-')/ln(p;'),
where
1 - <'I2
p=-
1+ ('/2

and ( is defined by (45).


We take into account that q is small, and derive a simpler expression for
the number of iterations:

It is essential that the a priori information for the alternating triangular


method is given in the form of operator inequalities (33).
The alternating triangular method can be realized in a version of the
conjugate gradient method. In this case, the number of iterations is charac-
terized by (46).
The class of alternating triangular methods is characterized by the choice
of the operator B in the form (40) and is rendered concrete by specifying the
operator V. Let us mention some possibilities.
182 COMPUTATIONAL HEAT TRANSFER

We again consider problem (4) with A = A. The standard version of the


alternating triangular method is characterized by

The constant 6 in the first inequality in (33) is the least eigenvalue of the
operator A, namely
4 . ahl, 4 . ah2
6 = - sin - + - sm -
ht 211 hi 212
The operators A,, a = 1,2, are defined by (36). According to the above
estimate (37) we conclude

We take into account (48) and (49) to find the optimal value of the iterative
parameter w for which the number of iterations in the Chebyshev iterative
method is estimated as

Thus, the number of iterations is proportional to the square root of the number
of nodes in one direction (to the fourth root of the total number of nodes in
our two-dimensional problem). The bound in (50) is preferable as compared
with the above bounds for other iterative methods.
When solving problem (1)-(3) with variable coefficients, the alternating
triangle method can be constructed using a regularizer R, e.g. the grid Laplace
operator. In this case, instead of the bound in (50) we find

The alternating triangle method for such problems is constructed by


choosing a diagonal operator D. As in the above iterative methods with
the diagonal operator B, in several cases the dependence of the number of
iterations on the ratio K I / K ~can be weakened. We expand the operator A
corresponding to problem (1)-(3) and obtain, similarly to (36), that
STATIONARY PROBLEMS O F HEAT TRANSFER 183

+
We use the notation a:'(x) = al(x1 h1,xz) and a Z 1 ( x ) = a z ( x l , x 2 + hz).
The operator 'D is given as 'Dy = d ( x ) E , where

The grid functions b, and c,, a = 1,2, are determined by solving three-point
boundary value problems.
In order to find b, = max v m ( x )we solve the problem
z,E%

Similarly, c, = max w e ( x ) , where


="cum

Under this choice of the operator D


' the following inequalities hold:

We can analyse how the number of iterations depends on the ratio n l / n 2 by


solving the above one-dimensional grid problems.
The parameter w in alternating triangular method (7),(40) can be included
+
in the operator V.We can thus use (7) with B = ('D+ A1)D-'('D A 2 ) . The
iterative process can be optimized only by changing the operator 'D.
It is worth noting the alternating triangular iterative method in the form

B = ('D + L)D-'('D + C). (53)

If we take 'D to be OD,where'6 is a constant, the choice of ( 5 3 ) ,as in the case


of triangular iterative methods, is equivalent to the choice above. Of course,
if V # OD,these two versions of the alternating triangular methods are not
equivalent.
The version of the alternating triangular method in (7), (53) is referred to
as the approximate fnctorjzntaon method. Let us suggest how t o choose the
' in (53). Let a diagonal operator 'D he such that the row sums are
operator D
equal to each other, i.e.
Be = Ae, (54)
184 COMPUTATIONAL HEAT TRANSFER

where e is a 'unit' vector (e = ( 1 , 1 , .. . , I ) ) . We can use (54) to construct D


not using any a priori information about the bounds of the operator A.
Let us consider the construction of the operator B under the conditions
(53), (54) as applied to model problem (1)-(3).In particular, we should show
that D > 0 and, hence, B = B' > 0.
We rewrite problem (1)-(3) in the form

The appropriate coefficients in (55) vanish if y ( x ) , x E aw. In the opposite


case they are defined as follows: a,, = h;'al(x) and b i j = h;'a2(x). For the
diagonal part, ( 1 ) - ( 3 ) yield

The condition of diagonal predominance

is satisfied for problem ( 5 5 ) .The strict inequality holds for nodes ueighbonring
theboundary ( i = l , N l - 1 , j = l , N ~ - 1 ) .
Let us derive a formula for computation of the elements gij of the grid
operator 2)taking into account that the operators A and B are 'close' because
of (54). We obtain

therefore

Since the row sums are equal to each other according to ( 5 4 ) ,we derive
STATIONARYPROBLEMSOFHEATTRANSFER 185

' can be found by the


This implies that the elements of the grid operator D
following recursion formula:

where the computations start with 911.


Let us show that if the condition of diagonal predominance (56) are satisfied
then q,, determined by (57) are positive. Let

.,
We can then rewrite (57) a s gij = d - a ,,p,-1,
. . - b,jpij-l. This formula is
transformed as follows:

Relation (59) together with (56) can be used to prove by induction that the
conditions gij > 0, pij 5 1 are satisfied, i.e. B = B* > 0.
To investigate the convergence rate of the alternating triangle method in (7),
(53), (54), let us estimate the constants of energetic equivalence in inequality
(8). According to (57), we have the representation

where C is the grid operator defined by the expression

After some algebra we find

Consequently, C 2 0 and yl = 1 in (8).


It is more difficult to evaluate yz. Among all possibilities, we single out the
case in which
p 1 - (>O, XEU. (62)
Relation (61) yields
186 COMPUTATIONAL HEAT TRANSFER

+ +
We apply the -inequality ( a b)' 5 ( 1 ) a Z+ (1 + E-')b2 with E =
ai+l,,/bi,j+l to the right-hand side of (63) and get

Since for diagonal predominance

we come to the bound ( C y ,y) 5 ( 1-C)(Ay, y ) , provided that (62)is satisfied.


Thus, yz = C-' in inequality (8). Hence, if (62) is satisfied, iterative method
( 7 ) , (53), (54) with the Chebyshev set of iterative parameters converges, and
the number of iterations can be estimated as

where 5 is a constant in (62).


The estimate C = O ( N l+ N z ) holds for a wide class of grid elliptic problems,
therefore the alternating triangle method in the version of the approximate
factorization method converges in the number of iterations proportional to
the square root of the number of grid nodes in one direction.

4.7.6 PROBLEMS
1. Let p(x) > 0 , p(x) $ 0 and a ( x ) > n > 0 on a uniform grid w . Show
that the estimate
(a& 2 M(m,vLI (64)
where M-' = max,~, u ( x ) and u ( x ) is the solution of the problem

holds for any grid function y ( x ) such that y(0) = 0 and y(1) = 0.
Solution. Let us define a grid operator A = A* > 0 on the functions that
vanish at the nodes of the closed interval [O,I] by the relation Ay = -(a%).,
x E w. Let us consider the eigenvalue problem
STATIONARY PROBLEMS OF HEAT TRANSFER 187

for all y(x), where ();. = (., .),. Equality holds on an eigenfunction
corresponding t o the minimal eigenvalue Amin. We denote this eigenfunction
by w(x). Since (Ay, y) = (ay$, I ) + , because of (67) the desired hound in (64)
will be established if we show that M 5 X,i,.
First of all, let us explain that w(x) > 0, x E w (more exactly, the function
w(x) has a constant sign). Let us assume the contrary, i.e. w(x) changes its
sign on the grid w. We consider the function lw(x)l and obtain

This inequality contradicts the assumption that w(x) minimizes the ratio
(my$, l ) , + l b y 2 , 1).
Let us now consider the relation Aw = X,i,p(x)w. This, because of
W(X)> 0. x E w, yields

We take into account (66) to evaluate the denominator

(pw, 1 ) = (Av, w) = (u,Aw) 5 maxu(x)(Aw, l ) ,


=Em

because Aw 2 0, x E w. Thus, (68) yields Xmi, > M, which completes the


proof.
2. Let in the iterative method (7)

and let the operator B he represented in a factorized form:

Determine the optimal value of the parameter w.


Solution. The convergence rate is defined by the constants yl and y2 in (8).
Thus, let us first choose w in (70) so that the ratio -(l/yz be maximal. This
investigation is similar to that for the alternating triangle method.
According to (70),

+ +
B = E - w ( A i + Az) W ~ A I A Z Zw(A1 + A2)
= ( E - wAt)(E - wA2) + 2wA.

Therefore = 1/(2w). We take into account (69) and derive


188 COMPUTATIONAL HEAT TRANSFER

Let 6 = min6, and A = max A,, then


a 0

Consequently,
x

We minimize ( = ((w) = 711%to determine the optimal value w = wo =


(6A)-'I2. Factorized operator (70) corresponds to the method of alternating
directions with an autonomous definition of iterative parameters r k + , in
iterative method (7) (independently of the parameter w).

4.8 Numerical Solution of Problems in Irregular Domains

4.8.1 CURVILINEAR ORTHOGONAL COORDINATES


Difficulties arise when numerically solving boundary value problems of heat
tracsfer in complex computational domains. We have thus far considered
problems in a rectangular domain (a regular computational domain). The
simplest approach to the solution of problems in nonlinear coordinates is
to use curvilinear coordinates in which the computational domain becomes
regular. We first consider orthogonal curvilinear coordinates.
In the physics of heat, much attention is paid to cylindrical coordinates
when modelling thermal fields in cylindrical domains. As the second example,
we mention the spherical coordinate system (see Section 2.1).
The stationary thermal field in an isotropic medium in a cylindrical
coordinate system is described by the equation

Another example of a twwdimensional problem of heat transfer is provided by


an axisymmetric problem, in which coefficients, right-hand side and solution
do not depend on the angle ip. In this important special case equation (1)
becomes
i a

Equation (1) can also be simplified if thermal characteristics and thermal


field do not depend on the coordinate z (a plane problem of heat transfer).
STATIONARY PROBLEMS OF HEAT TRANSFER 189

Equation (1) in this case corresponds to the use of polar coordinate system
(T,91, namely

Equations (2) and (3) can be rewritten in the following divergent form:

Except for the notation, equations (4) and (5) belong to the above
considered class of heat equations written as second-order self-adjoint elliptic
equations with variable coefficients, namely

In (4) we used the notation

and replaced xlf (2)by f (x).Equation (5)is written in the form (6)with the
anisotropic 'heat conductivity'

Equation (6) is solved in a rectangle R, which corresponds in the original


cylindrical variables for (4) to the computation of the temperature in a
cylinder (hollow cylinder if X I 2 1 > 0) in a cross-section ip = const.
Similarly, the rectangle R in (6) corresponds to the solution of (5) in an
infinitely long cylinder whose cross-section is a disk, a circular sector, a ring
or a sector of a ring.
Since the equations are reformulated, topics in the construction of difference
schemes, investigation of convergence of a difference solution to an exact one,
and solution of grid equations are considered as in the above. It only remains
for us to mention the main typical features of boundary value problems (6),
(7) and (61,(8).
Equation (6)with (7) and (8) degenerates for x1 = 0, therefore one should
be careful when solving problems in which this point lies on the boundary of
Cl (a solid cylinder in (4), disk or circular sector cross-section in (5)). It is
190 COMPUTATlONAL HEAT TRANSFER

natural to require the solution of equation (6), (7) (or (6), (8)) to be bounded
for zl = 0, which is equivalent to the requirement

au
lim zlk(z) - + 0.
=I-0 axl

Condition (9) corresponds to the absence of a thermal flux for zl = 0.


Let us discuss special features of the construction of difference schemes
satisfying condition (9). For this purpose, we separate the operator L1 with
respect to the variable 21:

We have to solve the boundary value problem for equation (6),(7) (or (6),
(8)) in the rectangle R = {XI x = (XI,ZZ),1; < z, < 1;) for 1; = 0. The
equation is equipped with boundary condition (9). It is convenient to use the
following quasi-uniform grid with respect to the variable z l grid

i.e. the uniform grid shifted by half a step (a flux grid). Further, difference
approximation of (6), (7) (or (6), (8)) is constructed by the integro-
interpolation method (Section 4.2).
We denote ql(x) = -xlk(x)au/ax and integrate equation (6) with respect
t o xl from 0 to hl (over a neighhourhood of the node XI = hl). We thus get

The flux ql(O,xz) = 0 because of condition (9), and the succeeding


transformations are made in the usual way.
We thus come to a difference scheme for equation (6), (7) (or (6), (8)) with
condition (9), for which the difference solution for zl = 0 cannot be found.
The second possibility of the construction of a difference scheme for (6), (7) (or
(6), (8)) is associated with the use of an ordinary grid. It is typical of difference
problem (6), (8) that all the difference solutions are equal to each other for
xl = 0. We should separately discuss realization of the latter condition and
can recommend the flux grid with respect to the radial variable.
When solving problems like (6), (8), we should specifically mention periodic
boundary conditions with respect to the variable zz (1; = 0, 1: = 2a). We
have already discussed an appropriate algorithm for solving one-dimensional
grid problems with such conditions (Section 4.5, Problem 1).
STATIONARY PROBLEMS OF HEAT TRANSFER 191

4.8.2 IRREGULAR GRIDS


Irregular computational grids are traditionally widely used for the appro-
ximate solution of problems of stationary heat transfer. We consider the
model Dirichlet problem for the Poisson equation (stationary heat transfer
in a homogeneous medium)

to illustrate possible approaches.


In several cases, a consistent grid can be constructed for irregular domains
that is formed by the nodes of an ordinary nonuniform rectangular grid
together with nodes lying on the boundary. Figure 4.5 shows an example of

Fig. 4.5.

Fig. 4.6.
192 COMPUTATIONAL HEAT TRANSFER

Fig. 4.7.

a consistent grid. In order for the boundary to be formed by nodes, strongly


nonuniform grids must be used. Difference grids for problem (lo), (11) on a
given grid are constructed as usual.
A consistent grid can be constructed only for a narrow class of domains.
Therefore the problem of irregular computational domains is solved within
other approaches. The simplest method is to use an ordinary rectangular grid
inside the computational domain and approximate boundary condition (11)
at the grid node closest to the boundary a R (Fig. 4.6). We actually replace
problem (lo), (11) by another problem in another domain whose boundary is
consistent with the grid (an approximation of the boundary).
It is most natural and universal t o use a grid that consists of the nodes of a
regular (uniform) grid (the internal nodes) and additional irregular boundary
nodes x E aw lying on the boundary of the domain fl (Fig. 4.7). These
nodes are the intersection points of lines passing through the nodes of the
regular grid with the boundary of the computational domain. Let us discuss
the construction of &fference schemes on these grids in more detail on the
example of model problem (lo), (11).
It is reasonable to approximate the equation at a node 0 near the boundary
(Fig. 4.7) using the irregular five-point stencil

Difference scheme for problem ( l o ) , (11) constructed using approximation


(12) is studied in the usual fashion. In particular, the maximum principle
(see Section 4.3) holds for these schemes. It can be applied to estimate the
accuracy of difference schemes like that in (12) in the uniform norm.
It is more difficult to study properties of a difference operator in a grid
Hilbert space H. For the Dirichlet problem, it is logical (see Section 4.4) to
STATIONARY PROBLEMS OF HEAT TRANSFER 193

define H as the set of grid functions vanishing on aw equipped with the scalar
product
(Y,w) = x y ( x ) w ( x ) h ~ h z , (13)
rEu

where w is, as usual, the set of internal nodes.


It is easy t o check that the operator A corresponding to an approximation
like that in (12) is not self-adjoint in the space H introduced. This important
property is lost after passage from the differential problem to the difference
one, which significantly complicates construction of effective schemes for
solving the grid problem. When we studied iterative methods (see Sections 4.6
and 4.7), we only considered problems with self-adjoint grid operators A. This
difficulty can be overcome in two different ways.
Let us introduce a new space H, in which the scalar product is defined in a
more complicated fashion. In our case, the grid step depends on the node (it
is no longer essential for us that the grid is quasiuniform). We determine the
average grid steps in different directions for each node. For example, for (12)

Let h(x) = hl(xl)h2(xz) and let the scalar product in H be defined as

According to this definition of H, the difference operator A corresponding to


approximation (12) is self-adjoint, as desired.
Alternatively, we can preserve the Hilbert space with the scalar product in
(13), hut slightly change the grid operator itself. Instead of difference equation
1121 we use

It can be shown that this modification does not make the monotonicity
properties of the difference scheme worse, its accuracy is preserved, while
the operator A is self-adjoint in a simple Hilbert space H with scalar product
(13). We can thus choose (12), (14) or (13), (15).
We suggested several possibilities for solving problems of stationary heat
transfer on irregular orthogonal (rectangular) grids. It is natural that
nonorthogonal grids provide a wider range of possibilities. For instance,
one can use nonorthogonal quadrilateral grids. This technology has its
own peculiarities both in construction of difference schemes and in their
investigation. These problems are beyond the subject of this monograph.
194 COMPUTATIONAL HEAT TRANSFER

4.8.3 METHOD OF FICTITIOUS DOMAINS


The method of fictitious domains is useful for solving boundary value
problems in irregular domains because it is easy to code. It is based on
supplementing a computational domain to a regular domain Ro ($2 C n o ) ,
e.g. to a rectangle in two-dimensional problems (Fig. 4.8). Then the problem
is solved in Ro by the usual methods. We should extend the solution of the
original problem into the fictitious domain R1 = R \ Ro so that the difference
solution of the problem in the extended domain gives an approximate solution
in the original domain R.
The problem in the extended domain contains small (large) coefficients
in the differential equation. Thus, accuracy and computational realization
of iterative methods should be specially investigated as applied to these
problems. Let us illustrate some advantages of the method of fictitious
domains in the example of problem (lo), (11) with homogeneous boundary
conditions. We only consider the convergence of the approximate solution to
the exact one in terms of differential calculus.
We denote the approximate solution of (lo), (11) with g(x) = 0 by u,(x),
where E is a parameter of extension. We define this solution as the solution of
the following Dirichlet problem:

Among the basic versions of the method of fictitious domains, we single


out the method of extension with respect to the principal coefficients. For
problem (lo), (11) with g(x) = 0, we specify the coefficients of the problem
in the extended domain as follows:

Fig. 4.8.
STATIONARYPROBLEMSOFHEATTRANSFER 195

where E is small. The version of the method of fictitious domains (16)-(18)


relates to the problem of stationary heat transfer in a compound body RQ =
01n R , given a large thermal conductivity in a portion of the computational
domain (in 0 1 ) . It is logical to expect that under these conditions the

u E ( x )+ 0 as E-
temperature in R I level and the conditions on the boundary (17) yield
0. The corresponding bound for the discrepancy between
the approximate and exact solutions is 11u,(x) - U ( X ) I [ ~ ; ( ~ ) 5 ME'.
Another common version of the method of fictitious domains for appro-
ximate solution of the Dirichlet problem for elliptic equations is the version
with extension with respect to lowest terms. In this case, the second
derivatives are continuously extended into the fictitious domain. In order
to approximately solve problem ( l o ) , (11) with homogeneous boundary
conditions, we involve the boundary value problem (16), (17) with the
coefficients

The corresponding bound for accuracy of the version (16), (17), (19) has the
form
IIuc(x) - 4 x ) l l w ; ( n ) 5 M E . (20)
This version of the method of fictitious domains allows us to consider problems
like ( l o ) , (11) with nonhomogeneous Dirichlet conditions. For this purpose,
we extend the function g ( x ) into the fictitious domain Ol and define the right-
hand side of equation (16) to be f,(x) = ~ - ' g ( x ) for x E 0 1 .
Boundary conditions on 80, which lies inside the extended domain 00,are
most naturally specified in the version of the method of fictitious domains
with a surface delta function. We extend f ( x ) into the fictitious domain 01
and instead of ( l o ) , (11) consider the problem for the equation

with boundary conditions (17).


Let us estimate the accuracy of the version of the method of fictitious
domains in which the surface delta function is used.
Theorem 1. The bound in (20) holds for the difference between the
approximate solution u, defined by (21), (17) and the exact solution u ( x )
of problem (101, (11).
Let us define the solution of problem ( l o ) ,(11) in the fictitious domain as
the solution of the problem
196 COMPUTATIONAL HEAT TRANSFER

IL(X)= g(x), x E 80,


U(Z)= 0, x E an,.

We multiply equations (10) and (22) by the discrepancy w,(x) = u,(x) -


u(x), integrate the resultants over R and 0 , respectively and find

Here (.I stands for the jump of a function when passing through the boundary
8 0 . Similarly, for problem (21), (17) we have

We subtract (25) from (26), take into account the boundary conditions ( l l ) ,
(23) and come to the relation

The Cauchy-Schwarz inequality applied to the right-hand side of (27) yields

We discard the first term in (27) and derive from (27) and (28) that

If (29) is satisfied, according to the Friedrichs inequality (see Section 4.1,


the homogeneous boundary conditions in (17), (24)), the bound 11uC(x)-
u ( ~ ) I / q ( ~5, M
) Efollows from (28). Moreover, this bound holds for a portion
of the domain R c Ro, which yields the desired inequality (20).
Nowadays, versions of the method of fictitious domains for more complex
problems than those in (lo), (11) are developed. For instance, boundary
conditions of the second or third rather than first kind can be given.
STATIONARY PROBLEMS OF HEAT TRANSFER 197

Large difference in coefficients of an elliptic operator is typical of boundary


value problems like (16), (17) solved by the method of fictitious domains.
In the version with extension witb respect to the principal coefficients (see
e.g. (18)) a large (small) parameter multiplies the leading derivatives, and we
thus encounter a singularly perturbed problem. The version with extension
with respect to the lowest coefficients is not associated with such essential
transformation of the problem. Hence, the latter is preferable for applied
mathematical modelling.
When constructing difference schemes of the method of fictitious domains,
it is useful to apply the integreinterpolation method, which was developed
just for problems with discontinuous coefficients. Grid problems are solved by
various iterative methods. As for the convergence rate of iterative processes,
the versions with extension witb respect to lowest coefficients are preferable
as compared with those employing extension with respect to principal terms.

4.8.4 DECOMPOSITION METHODS WITHOUT OVERLAPPING

A decomposition method, in which the computational domain is separated


into simple subdomains, gives another approach to solving boundary value
problems in irregular conlputational domains. This approach is actively
discussed as applied to developing methods for solving boundary value
processes on parallel computers.
In each subdomain, its own problem is solved. The domains are connected
via boundary conditions. In each subdomain, its own grid is introduced, which
can be inconsistent with grids in other subdomains. Therefore, difference
schemes of decomposition methods can be treated as difference methods on
composite grids.
There are two important classes of decomposition methods. The first is
associated with partitioning the domain into nonoverlapping subdomains. In
the second class of methods, separate subdomains may intersect one another.

Fig. 4.9a. Fig. 4.9b.


198 COMPUTATIONAL HEAT TRANSFER

In order to explain the essence of the decomposition methods, we consider


a model problem in an L-shaped (Fig. 4.9) domain. It is convenient to divide
this irregular domain R into two regular subdomains (rectangles) nl and
0 2 without overlapping. Figure 4.9 shows two simple versions of such a
partitioning of the L-shaped domain. In order to solve difference problems in
the subdomains, in several cases we can employ fast direct methods for solving
grid equations considered in Section 4.5. Therefore, particular attention in the
following is paid to methods for determining the approximate solution on the
common boundary y of the subdomains R1 and Rz (y = awl n 802).
Assume that boundary value problem (lo), (11) is solved in the domain S1.
As for the method of fictitious domains, we only consider the main points of
the decomposition method from the viewpoint of differential calculus. If the
boundary condition on y were known, the solution of the problem in R would
be reduced to solving two separate problems in subdomains 01 and Rz. Let
us denote the exact solution of problem (lo), (11) in the subdomain Rl by
ul(x) and that in R2 by u ~ ( x ) The
. junction condition on the boundary y in
this notation becomes

Here n,, a = 1,2, is the external normal relative t o the domain S1,, u = 1,2.
Let us construct the simplest iterative process to explicitly refine the first-kind
boundary condition on y taking into account (30) by the formula

where u(s) = ul(z) = u2(x). The boundary condition is refined according to


the flux unbalance. In each separate subdomain R,, u = 1,2, we solve the
boundary value problem

= s(x), 2: E an,\y, (32)


u =u x , X E y.

An alternative to (31) is iterative refinement of the second-kind boundary


condition (using the temperature unbalance), namely
STATIONARYPROBLEMSOFHEATTRANSFER

where now

is the general second-kind boundary condition on 7 .


In a more general operator form, the implicit iterative refinement of a
boundary condition like (31) is written as follows:

where

Iterative methods like (33), (34) are known as iterative methods of capacity
matrix.
Let us mention the basic topics of investigation of convergence of iterative
decomposition methods. It is convenient to consider the iterative process for
the discrepancy wk(x) = uk(x) - u(z). In this case (33) yields

where the operator Aw defined by (34) is given for x E 7, where (see (lo),
(32))

Let us show that the operator A defined on the set of functions satisfying
(36) is self-adjoint in 71 = L2(y). In this case, because of Green's formula

i.e. A = A * . Similarly, the energy of the operator A is written as


200 COMPUTATIONAL HEAT TRANSFER

We take into account the Friedrichs inequality and find

with some positive constants c,, a = 1,2.


Further improvements are associated with estimates of traces of the
functions w,(x) from Wi(Cl,) on y. Since the conditions are nonhomogeneous
only on y, the inequalities

hold. Thus, (37) becomes

We take into account the embedding ~ : / ~ ( yinto


) L2(y) and obtain

where m = cs > 0, i.e. the operator A is positive definite in X.


The derived inequality (38) points to a preferable choice of the operator B
in iterative process (35). Let B = n' and

then the operator B is energetically equivalent to the operator A. In particular,


the operator B can be constructed using energetic norms in ~ i ~ ~ ( y ) .
We can deduce similarly in terms of difference schemes as applied to
problem (lo), (11) considered in the L-shaped domain. In particular, we can
examine the convergence rate of method (31), (32) with explicitly specified
boundary condition. This consideration yields the following bounds for the
corresponding difference operator:

6E < A < AE, 6 = O(1) > 0, A = O(h-I), (39)

where h is the grid step with respect to the variable xz (Fig. 4.9a) or XI
(Fig. 4.9b). The bounds in (39) are used to estimate the convergence rate of
specific iterative methods.
When realizing the iterative decomposition methods, it should be taken into
account that on each iteration the conditions are refined only on a part of the
boundary, and it is necessary to find the solution of the grid problem in a
subdomain in a portion of nodes. This problem in several cases can be solved
STATIONARY PROBLEMS O F HEAT TRANSFER 201

by direct methods faster than the problem of determining the solution at all
nodes of the grid.
Other versions of the decomposition method became widespread in com-
putational practice. Among these, we can mention approaches with different-
type conditions on common boundaries of the subdomains (the Dirichlet-
Neumann condition). When decomposition methods are solved by parallel
computers, increased attention is paid to the dependence of convergence rate
of the corresponding iterative processes on the number of subdomains.

4.8.5 DECOMPOSITION METHODS WITH OVERLAPPING


SUBD0MAI.W
It is more prospective for approximate solution of boundary value problems
in complex irregular domains to use decomposition methods with overlapping
subdomains. When we decompose an irregular domain, it is logical to try
t o divide it into regular subdomains. In this case, the problem in a regular
subdomain can be solved most effectively (generation of grid, construction
and investigation of difference schemes and solution of grid equations are
simplified). This approach can be realized more successfully if decomposition
methods with overlapping subdomains are used (because there is much
freedom in choosing regular subdomains).
Figure 4.10 shows examples of decomposition of the L-shaped domain into
overlapping subdomains. We consider the iterative method for solving model
problem (lo), (11) using the solution of the problem in separate subdomains.
Iterative decomposition methods for boundary value problems for second-
order elliptic equations are usually constructed by the classical alternating
Schwarz method and its modifications.
Let us introduce the necessary notation. Let r, = annn,, y, = 80, \r,,
cu = 1 , 2 , therefore aR = rl u rz and 80, = r, U y,, a = 1 , 2 . In iterative
decomposition methods, boundary value problems are successively solved
in the subdomains 01 and Rz, consequently we should specify boundary

Fig. 4.10a. Fig. 4.10b.


202 COMPUTATIONAL HEAT TRANSFER

conditions on y,, a = 1 , 2 on each iteration. In the alternating Schwarz


method, Dirichlet conditions are formulated on these parts of the boundary.
We denote the approximate solution of problem ( l o ) , ( 1 1 ) on the kth
iteration hy u t ( x ) in the domain Rl and by u,k(x) in the domain R2. Given
u : ( x ) , z E y2, we can find u,k on yl solving a boundary value problem in the
subdomain R2, namely

where

Given u i t l ( x ) , we refine v l ( x ) on the boundary y l . For instance,

The classical alternating Schwarz method corresponds to the choice T = 1 in


( 4 3 ) . In order to specify u:+'(x) in the whole subdomain R 1 , we solve the
boundary value problem

I
The convergence rate of iterative process (40)-(45) in C ( R ) is established
by the maximum principle for second-order elliptic operators (see Section 4 . 1 ) .
We introduce the notation
'

I Let us define v , ( x ) as the solution of the boundary value problem

Lv, = 0 , x E R,,
v,(x)=O, xEr,,
v , ( x ) = 1, x E y,.
STATIONARY PROBLEMS OF HEAT TRANSFER 203

Theorem 2. Iterative process (40)-(45) with 0 < T < 2/(1+9192) converges


at the rate of a geometric progression to the solution of problem (lo), (11).
If the iterative parameter is set to be optimal, i.e. T = TO = 1, the following
bound holds:
Iuk(x)- 4 x ) I 5 M ( q l q d k , x E 0. (49)
In order to prove that u k ( x )converges to u ( x )in R , because of the maximum
principle, it is sufficient t o prove that u y x ) converges to u ( z ) only for x E yl.
Let w,(x) = u,(x) - u ( x ) ,(Y = 1,2. We define the operator A by the relation

Let G,(x, a ' ) denote Green's function of the Dirichlet problem for equation
(46) in the domain a,, a = 1,2. According to (43)-(45) we have the
representation

Similarly, we define the operator Sz by (40)-(42), namely

We take into account (51),(52) and (see ( 4 2 ) )

w ~ + ' ( x=
) w:(z), x E 7.2

for the operator A and find

Awl = w i ( x ) - . ? ~ S ~ w l ( x ) , x E 71

We take into account that a G l ( x , x ' ) / a n l is positive and obtain

It is easily seen that


204 COMPUTATIONAL HEAT TRANSFER

where vl(x) is the solution of problem (46)-(48). We thus derive from (55)
the bound
l l ~ i l l c (5~~i11~i11c(~,)~
~) <
IISill 41. (56)
Similarly, from (52) we get

We take into account (53), (56) and (57) to write

According to (54) and (58) we get the inequality

We substitute (54) into (43) and derive

The transition operator S = S(T) (W:+~(X)= Swk(x)) can be represented as


+
S = (1 - TIE TSZSI.We take into account the bounds for the norms of the
operators S,, cr = 1,2, to write

The sufficient condition for convergence llS(~)ll5 1 yields restrictions on the


parameter T (0 < T < 2/(1 + q1q2)) that appear in the formulation of the
theorem.
Expression (61) immediately yields that minl[S(~)IIis attained for
7

T = T~ = 1. For this value of the iterative parameter we deduce from (60)

This immediately yields the bound in (49) to be proved.


Currently, there are several different generalizations of the alternating
Schwarz method. For instance, an asynchronous version is worthy of note.
The classical (synchronous) version of the Schwarz method considered in the
above corresponds to the solution of the problem firstly in one subdomain
( n l in our case), refinement of the boundary condition (on yl) and solution
of the problem in the other subdomain (in nz). This strict (synchronous)
sequence of computations can prevent effective use of the alternating Schwarz
STATIONARY PROBLEMS OF HEAT TRANSFER 205

method by parallel computers. The asynchronous method does not have this
disadvantage and is based on the iterative procedure

rather than on (43). That is, the boundary condition on yl is refined by the
solution in the domain Rz on the kth iteration.
As compared with the classical Schwarz method (Problem 2), the con-
vergence rate of the asynchronous version is much slower (twice as slow for
Q1 = qz).
The maximum principle for grid problems (see Section 4.3) can be applied
to investigation of grid analogues of the alternating Schwarz method, as was
shown in the above.

4.8.6 PROBLEMS
1. Consider t h e a p p r o x i m a t i o n of t h e third-kind b o u n d a r y con-
dition
au
- +
a n U(X)U= g(x),
E an (63)
for e q u a t i o n (10) o n a consistent grid.
Solution. Let us consider a node 0 on the boundary (Fig. 4.5). We rewrite
(63) in the form

where cos(n,x,), a = 1,2, are the direction cosines of the external normal.
The simplest approximation of (64) yields

We rewrite the error of approximation as

Thus, (65) approximates boundary condition (64) with the first order.
In several cases, the order of approximation on the solutions of equation
a = 1,2, of the
(10) can be increased by specially choosing the grid steps h*,
consistent grid. We rewrite (66) in the form
206 COMPUTATIONAL HEAT TRANSFER

If the grid steps are related as follows:

we take into account (10) for the approximation

and write the error in the form $(a) = 0((hi)2 + (h;)2). Of course, the
consistent grid and, what is more, the grid satisfying (67) can only be
constructed in several special cases.
2. Study the convergence rate of the asynchronous version of the
alternating Schwarz method for the case in which the boundary
condition is refined according to (62).
Solution. Let us study convergence of the alternating Schwarz method (40)-
(42), (44), (45), (62) on the direct sum of the spaces 'H = 'Hi 'Hz, where
H
' , = C(y,), a = 1,2. We define the norm of an element U = (u1,uz) E 'H by
+
the expression [IUll = IIulllcct,) l l ~ l l ~ ( + ~ The
! . iterative process (40)-(42),
(44), (45), (62) for the error W = (wl,w2) is written as

According to the above notation, we express the operator A

Because of (69) we rewrite (68) in the form

We take into account the above bounds for S,, a = 1,2 to derive from (69),
(70) that

Hence, iterative process (40)-(42), (44), (45), (62) converges for 0 < T <
+
2/(1 q), where q = maxq,,m
at the rate of geometric progression to the
k
solution of problem (lo), (11). The bound llu:llc(,,)+ lluzllC(72)5 Mqk holds
for the optimal value of the iterative parameter T = TO = 1. We compare this
bound with that in (49) and conclude that the asynchronous version of the
Schwarz method converges much slower than the synchronous version. The
number of iterations for the former is at least twice that for the latter.

4.9 Nonlinear Problems of Stationary Heat Transfer

4.9.1 BOUNDARY VALUE PROBLEM FOR A QUASI-LINEAR


EQUATION
Let us discuss some topics related to numerical solution of nonlinear
problems of heat transfer. As a model problem, we consider the problem
of stationary heat transfer in a rectangular domain R when the thermal
characteristics depend on the temperature. The temperature is determined as
the solution of the following Dirichlet problem for the second-order quasilinear
elliptic equation:

As usual, we assume that the conditions

are satisfied.
Let us first establish sufficient conditions of uniqueness of the solution of
( I ) , (2). Uniqueness of solutions to nonlinear problems is studied using the
corresponding linear problems. Let us illustrate this general statement by the
example of problem ( I ) , (2).
We assume that two solutions exist, namely u4(x), 0 = 1,2, i.e.

Let ut = tuZ(x)+ (1 - t)ul(x) and w(x) = uz(x) -%I(%), then


208 COMPUTATIONAL HEAT TRANSFER

According to the notation introduced for the difference of the solutions, we


find from (4) and (5):

Thus, the problem of uniqueness of the solution to the nonlinear problem is


reduced to studying the uniqueness of the solution of a homogeneous Dirichlet
boundary value problem for linear equation ( 6 ) .The simplest situation occurs
when the thermal conductivity does not depend on the temperature (k =
k(x)).Then if

the classical maximum principle (Section 4.1) holds for equation (5). We
thus conclude that boundary value problem ( 6 ) , ( 7 ) has only trivial solution
w ( x ) = 0, i.e. the solution of problem ( I ) , (2) is unique, provided that the
thermal conductivity is linear and ( 8 ) is satisfied.
The situation with k = k ( x , u ) is more interesting. It turns out that the
maximum principle also holds for linear equations like ( 6 ) (see Problem 1).
This is the case if the derivative of the thermal conductivity with respect to
temperature is bounded, i.e.

in addition to ( 6 ) . Condition ( 8 ) is also assumed to be satisfied. In view of


this we also establish uniqueness of solution for problems more general than
( I ) , (2). In this connection, we only mention the case in which the thermal
conductivity depends both on derivatives and temperature and problems with
nonlinear boundary conditions. Some important examples of such problems
are presented in the following.

4.9.2 DIFFERENCE SCHEMES


Let us present some difference schemes for the quasi-linear problem of heat
transfer. We assume that the uniform rectangular grid Z = w U dw with
the steps hl and hz with respect to the variables xj and x2, respectively, is
STATIONARY PROBLEMS O F HEAT TRANSFER 209

is introduced in a rectangle n. We relate to problem ( I ) , (2) the nonlinear


difference scheme

The right-hand side of (10) for smooth functions f (z, u) can be rewritten as

'P = f h y ) , " E w. (12)

The difference operator in (10) is represented as

The coefficients of the nonlinear difference operator, in the simplest (see


Section 4.2) case, are taken in the form

Other approximations can also be used, e.g

I t is convenient to rewrite difference scheme (10)-(12) with approxima-


tion (15) as

For nonlinear difference schemes (10)-(14) ((10)-(13), (15) or (10)-(12),


(16)), the error is studied similar to linear problems (Section 4.2). Each of
these schemes approximates the original boundary value problem with smooth
coefficients and solution with the second order.
It is much more complex t o study the accuracy of nonlinear difference
schemes. In particular, only for linear schemes do stability and approximation
yield convergence of the difference scheme (see Section 4.2). A general theory
210 COMPUTATIONAL HEAT TRANSFER

of nonlinear difference schemes is not yet developed. Therefore each specific


nonlinear scheme should be studied separately. Besides, such research involves
more advanced mathematics and is usually cumbersome. Therefore, in this
book we only consider the simplest case of problem (I), (2), in which the
thermal conductivity is linear and nonlinearity is concentrated on the right-
hand side. Our consideration is based only on the maximum principle for
difference schemes formulated in Section 4.3.

4.9.3 CONVERGENCE OF THE SIMPLEST DIFFERENCE SCHEME


We consider difference scheme (10)-(12) with the linear difference operator

The first problem we encounter is associated with the unique solvability of


the difference problem. Unlike linear problems, nonlinear grid equation are
not necessarily solvable if the corresponding homogeneous problem has only
a trivial solution. Solvability should be additionally studied.
Difference problem (10)-(12), (17) is uniquely solvable if condition (8) is
satisfied. We omit the proof because it is not so simple. Let us examine the
unique solvability of difference problem (10)-(12), (17). As for differential
problem (1)-(3), we assume that problem (10)-(12), (17) has two solutions
yp, P = 1,2. We obtain a problem for the difference v(x) = yz(x) - yl(x),
namely

where

Because of the maximum principle (Section 4.3) for grid problem (la), (19)
we obtain v(x) = 0, x E a,provided that (8) is satisfied. That is, if (8) is
satisfied, we have a solution of nonlinear difference problem (10)-(12), (17).
Let us now formulate the problem for the error z(x) = y(x) - u(x), x E ii.
We have
STATIONARY PROBLEMS O F HEAT TRANSFER 211

where g is defined similarly to (20) and the error of approximation is $ ( x ) =


Au - f ( x , u ) .For smooth coefficients and solution of the differential problem
(see Section 4.2) we find $ ( x ) = 0 ( l h J 2 )where
, +
J h J 2= hy hz. The estimate
in the uniform norm

Ild~)llcc~)
C Mll$(~)llc(w) (23)
holds for the solution of difference problem (21), (22), provided that ( 8 ) is
satisfied. Here M = I l w ( ~ ) l l ~and
( ~ w) ( x ) is defined by the conditions
AW 2 1, E w, W(X) 2 0, E aw.
Thus, if (8) is satisfied, nonlinear difference scheme (10)-(12), (17) converges
with the second order.
Note that the maximum principle yields that the solution of the difference
problem is bounded. We thus have

where

We rewrite difference equation (10)-(12) taking into account (24) and get

If ( 8 ) is satisfied, in view of (23) the solution of problem ( l l ) ,(25) can be


< ( ~ ) , the constant M is defined
estimated as JJy(x)JJc(,) MJl~ ( X , O ) J J ~ where
in the above.

4.9.4 ITERATIVE SOLUTION OF NONLINEAR GRID SCHEME


Nonlinear difference equations can be solved by iterative methods. We
do not consider in detail topics in the general theory of iterative solution
of nonlinear difference problem (10)-(12), (17) and again only investigate
convergence of the simplest scheme in (10)-(12), (17).
We consider nonlinear difference problem (10)-(13). The simplest iterative
process involves computation of the coefficients of the grid operator A by the
preceding iteration. If the right-hand side is calculated in the same way, the
new approximation yk+l(x) is determined by solving the linear problem
212 COMPUTATIONAL HEAT TRANSFER

Nonlinear problems are usually solved by methods related to the classical


Newton method (quasi-linearization methods).
Linearization of the right-hand side

results in the iterative process that is based on the solution of the difference
equation

with boundary conditions (27).


It seems to be more systematic to apply quasilineadzation to the whole
difference equation (10)-(13), which corresponds to the use of the Newton
method. In this case, the new approximation is determined from the difference
equation
A1(yk)yk+l = F(x,yk), Ew (29)
and boundary conditions (27). The grid operator A1(yk) in (29) has the form

For the right-hand side we have

Solution of nonlinear difference problem (10)-(13) by the Newton method


(27), (29)-(31) requires inversion of the elliptic grid operator A1(yk) on each
iteration. This operator, unlike the operator A(yk), is not self-adjoint, which
essentially complicates the problem. Iterative method (27), (28) with partial
linearization (only with respect to the right-hand side rather than the thermal
conductivity) is preferable in this sense. However, it should be mentioned that
the Newton method has a faster (quadratic) convergence rate.
Various generalizations of classical iterative methods for solving linear
systems of equations are commonly used for solving nonlinear systems of
STATIONARYPROBLEMS OFHEATTRANSFER 213

equations. For example, we mention nonlinear relaxation methods. We write


the simplest nonlinear difference scheme (10)-(12), (17) in the form

where the notation of Section 4.7 is used. The iterative relaxation method with
iterative parameter w = 1 corresponds to specifying the new approximation
by solving the problem

In iterative process (32), a one-dimensional nonlinear equation is solved at


each internal grid node.
Possibilities of optimization of iterative methods for nonlinear difference
problems are narrower than those for linear grid equations. In particular, this
is the case for the choice of iterative parameters.
When using iterative processes like (27), (28) and (27), (29), an elliptic grid
problem is solved on each iteration. This linear problem in turn can be solved
by iterative methods. We thus come to two-step iterative methods, which
are characterized by external and internal iterations. The two-step iterative
processes can be optimized by limiting the number of internal iterations (there
is no need to compute the solution of the linear problem until it converges,
i.e. to obtain the accuracy of the entire problem).

4.9.5 CONVERGENCE OF ITERATIVE METHODS


We use the simplest nonlinear difference scheme (10)-(12), (17) as an
example t o discuss convergence of iterative processes like (26), (27) or (27),
(29). Let us first consider the method of a simple iteration

Iterative process (33) corresponds to the use of (26) with r = 1 (successive


approximations of nonlinearity, the Picard method) for approximate solution
of problem (10)-(12), (17).
The ~roblernfor the error uk = yk - y of iterative process (27), (33) becomes
214 COMPUTATIONAL HEAT TRANSFER

On the set of grid functions y(x) vanishing on the boundary we define the
grid operators in the usual way:

Bu = Av, A ~= af
v AV- -(x, -
yk)u, x E W. (35)
ay

Iterative process (34) is rewritten as

Convergence of iterative process (36) (see Section 4.6) is determined by the


constants y,, a = 1,2, in the inequality

The definition in (35) with -M 5 aflay 5 0 implies that yl = 1 and


+
= 1 6-'M. Here 6 > 0 is the constant in the bound B 2 6E.
The optimal value of the iterative parameter T in (36) is written as

The following bound holds for the error: IIuk+111 5 pollvkII, where PO =
(1 -()/(I + E), E = yl/yz. Thus, convergence of the simplest iterative process
(27), (33) is in general like that for convergence of the method of a simple
iteration (Section 4.6) for linear problems.
Let us now consider the Newton method for approximate solution of
difference problem (10)-(12), (17). Because of (28), the new approximation is
determined from the difference equation

completed by boundary conditions (27). We have the problem for the error

The right-hand side of (39) is represented by


STATIONARY PROBLEMS OF HEAT TRANSFER

According to the expansion

Equation (39) thus becomes

On the basis of the investigation of linear problem (40), (41) we can draw
a conclusion about the convergence rate of the Newton method. According to
the maximum principle (see (23)) we derive the bound

Let q = M M l , then we obtain from (42) that

This implies that the Newton method converges if the initial approximation
<
is close to the solution. Namely, if qllyo - yllc(,) 1, the iterations converge
at a quadratic convergence rate.
When considering iterative processes (including those for nonlinear prob-
lems), considerable attention is paid t o monotonicity of the approximate
solution. For example, a n~onotonicprocess can give an approximation from
<
below, i.e. yo 5 yl 5 . . . 5 yk yt+t 5 . . . 5 y. An example of a monotonic
process for nonlinear problem (10)-(12), (17) is considered in Problem 2. The
Newton method gives an approximation from above or below depending on
whether the function f(x, y) is convex or concave with respect to the second
argument. For instance, let f ( x , y) be a concave function, i.e.

Then (41) (the maximum principle) implies that uk+l = yk+l - y 5 0, i.e. the
Newton method gives an approximation from below (yk+l 5 y).
216 COMPUTATIONAL HEAT TRANSFER

4.9.6 PROBLEMS
1. Show t h a t t h e Dirichlet problem for t h e elliptic equation

>
h a s a unique solution if c(x) 0 a n d lb.(x)I M. <
Solution. We should show that the homogeneous problem

<
has only a trivial solution. For this purpose, let us show that u(x) 0, x E 0,
<
for f ( x ) 5 0, x E R, and u(x) 0, x E a0 (the maximum principle). It can
similarly be shown that u(x) 2 0, x E R, for f (x) 2 0, x E 0, and u(x) 0, >
x E a n . Under these conditions problem (44), (45) has only a trivial solution.
Let us prove this by contradiction. We assume that for f ( x ) <
0, x E a,
<
and U(X) 0, x E 8 0 ,
u(x) > 0, x E R+ (46)
in a subdomain n+( 1 + c 0).We integrate equation (43) over the domain
n,. Since u(x) = 0, x E an+,we have

- / I(,),
au dx + / C(Z)Udx = / f (x) dx.
an+ an+ an+

Under assumptions (46), the left-hand side of this inequality is positive while
the right-hand side is nonnegative. We thus come to a contradiction, which
shows that u(x) 5 0 in the entire domain R.
2. Use t h e i t e r a t i v e m e t h o d of a s i m p l e iteration (33) for
a p p r o x i m a t e solution of p r o b l e m (10)-(12), (17) t o c o n s t r u c t a
m o n o t o n i c iterative process, assuming (8) t o b e satisfied.
Solution. Instead of (33) we consider the following iterative process:

We choose c(x) and iterative parameter 7 in (47) to obtain a monotonic


<
approximation from below, i.e. yo y~ 5 ... yk yk+l < < . . . Y. < <
Let the initial approximation be chosen so that
STATIONARY PROBLEMS OF HEAT TRANSFER 217

and let the boundary conditions be satisfied exactly. For the error we have

According to the maximum principle zo 5 0 , i.e. the initial approximation is


given from below: yo 5 y.
Let wk+l = Y ~ + I- yk. For W I we obtain from (47)

+
( A c(z)E) + Ayo - f ( z ,yo) = 0 :
therefore wl >_ 0 because of assumption (48). From (47) we derive

for an arbitrary k. We rewrite this equation in the form

where
+
Fk = ( 1 - T ) ( A c(z)E)wr: r + (50)

As for the parameters of the iterative process, we assume

Under these conditions FI 2 0 in view of (50),provided that (48) is satisfied.


+
Besides, (49) yields ( A c ( z ) E ) w z 2 0 because of (49). Let us show that
similar relations hold on all the other iterations.
We will prove this by induction. For k = 1 we have Fl > 0 and
+
( A c ( z ) E ) w z 2 0 . Let us show that a similar relation holds for k - 1, i.e.
+
Fk-1 2 0 and ( A c(z)E)wk 2 0. Let us now consider Fk. Under the above
assumptions, this function is positive because of (50), given that conditions
(51)are satisfied. The second necessary inequality ( A + c ( ~ ) E ) w k is
+ obtained
~
from (49).
Because of the maximum principle, the inequality ( A + ~ ( z ) E ) w 2 ~ +0 ~
yields yk+l - yk > 0. We take into account yo 5 y and find that if conditions
(50) are satisfied and the initial approximation, according t o (48), gives a
monotonic approximation of the solution to problem ( 8 ) ,(10)-(12), (17) from
below.
If the initial approximation satisfies the condition

AYO- YO) 2 0 ,
the iterative process gives a monotonic approximation from above.
218 COMPUTATIONAL HEAT TRANSFER

4.10 Bibliography and Comments

4.10.1 GENERAL NOTES


4.1 Boundary value problems for elliptic problems are the basic problems
of mathematical physics. Much space is given to them in all textbooks
on partial differential equations (13, 30, 321. The maximum principle is a
classical tool for studying the unique solvability of the first-kind boundary
value problem for second-order elliptic equations [3, 8, 17). According to
comparison theorems, the corresponding bounds for solutions are derived
in the uniform norm. Boundary value problems for elliptic equations with
nonsmooth solutions are considered in Sobolev spaces (8, 13, 14, 321.
Special attention is paid to derivation of a priori bounds in the Hilbert
spaces W,*(O),k = 1,2. We presented only the simplest bounds, which
are inherited by the corresponding difference elliptic problem.
4.2 Difference methods (2, 15, 22-28] and the finite element method [5,
16, 18, 291 are widely used for approximate solution of elliptic prob-
lems. Construction of difference schemes by direct approximation is
traditionally covered in primary manuals on numerical solution of
problems in mathematical physics [20, 21, 341. Tikhonov and Samar-
skii 1221 were the first who systematically presented the general integrw
interpolation principle for construction of difference schemes. This m e
thod is also discussed in this monograph and is further improved in 1221.
Other approaches to the construction of difference schemes for elliptic
boundary value problems (e.g. methods of approximation of a quadratic
functional and methods of integral identities) are mentioned in the above
work.
4.3 Accuracy of difference schemes for problems with smooth coefficients
is conventionally investigated by the maximum principle for difference
equations. A difference scheme is written in a canonical form, which
allows us to study main boundary value problems for elliptic equations
from a general viewpoint. In our presentation, we followed [24, 251.
4.4 Methods of Hilbert space are used to obtain basic results concerning
the accuracy of difference schemes. In particular, difference problems
on nonuniform grids, problems with discontinuities, etc. can be studied.
In our presentation, as in (24, 251, we imposed strict requirements of
smoothness on the exact solution. More advanced results for elliptic
boundary value problems with generalized solutions are given in [27].
4.5 Direct methods for solving linear algebraic equations are presented in
all traditional courses of linear algebra (see e.g. [6, 341). Difference
and finite element methods result in sparse matrices. Because of this
structure, the amount of computational work can be substantially
STATIONARYPROBLEMSOFHEATTRANSFER 219

diminished [7]. The most widespread method for band matrices (in
particular, tridiagonal) is the Thomas algorithm and its versions. Detailed
presentation of these algorithms and the grounds for them are given
in (281. Special direct methods are used for grid elliptic problems
with separating variables, e.g. the reduction method and fast Fourier
transform. These methods are discussed in detail from various viewpoints
in 110, 281.
4.6 We present the general theory of difference schemes following [28]
but more concisely. In particular, we do not cover topics related t o
computational stability of Chebyshev iterative methods. Earlier, the
method of variable directions was very popular. However, an optimal
set of iterative parameters can only be constructed for grid elliptic
problems with separating variables, for which the direct methods are
faster. Therefore we only consider the general case of the method of
variable directions with noncommuting operators. Other advantages of
the methods of variable directions are thoroughly studied in [24, 281. In
order to make the presentation of variational (both two- and three-layer)
systematic, we choose the iterative parameters that minimize the residual
on the next iteration, which seems to be natural. In other books on
iterative methods (see e.g. [9]), more attention is paid t o a more complex
and less clear interpretation of the method of conjugate gradients. In this
chapter, we do not discuss the solution of grid problems with operators
which are not self-adjoint.
4.7 We estimate the effectiveness of iterative methods and choose iterative
parameters of iterative methods following 128). The dependence of
the convergence rate of classical iterative methods on discontinuous
coefficients is presented in [31]. The alternating triangle method was
suggested by A. A. Samarskii in 1964. Its more detailed presentation
is given in [28]. The method of approximate factorization, which in the
symmetrical version was treated as an alternating triangle method, is
described in [4]. The general theory of iterative methods in subdomains
is studied in [12].
4.8 Curvilinear orthogonal coordinates and locally irregular grids are tra-
ditionally widely used in computational practice [24, 27, 281. We do
not touch upon problems of generation of nonorthogonal grids and
solution of boundary value problems on such grids. The method of
fictitious domains has been developed since the 1960s. This approach
is thoroughly considered in [31]. Decomposition methods are almost
absent in monographs and textbooks. The only exception is (151, where
one chapter is devoted to this method. Decomposition methods without
overlapping are discussed in the review [I].
4.9 Methods for approximate solution of nonlinear boundary value problems
for elliptic equations are considered from different points of view in
220 COMPUTATIONAL HEAT TRANSFER

t h e literature o n difference a n d finite element methods. T h e difference


schemes a r e studied in [ll]a n d iterative methods for a class of nonlinear
difference schemes a r e discussed in (281. We also mention (191 as a
reference book o n t h e systems of nonlinear equations.

4.10.2 LITERATURE

1. Agoshkav V. I. (1991) Methods of decomposition of a domain in problems


of mathematical physics. In: Cornputationol Pmcesses and Systems, issue 8 [in
Russian]. Nauka, Moscow, pp. 3-51.
2. Bakhvalov N. S., Zhidkov N. P. & Kobel'kov G. M. (1987) Numerical Methods [in
Russian]. Nauka, Moscow.
3. Bers L., John F . & Schechter M. (1964) Partial Differentiol Equations, Inter-
science, New York.
4. Bulaev N. I. (1989) A Spatial Model of lbrbulent Exchange [in Russian]. Nauka,
Moscow.
5. Ciarlet Ph. (1977) The Finite Element Method for Elliptic Problems. North-
Holland, Amsterdam.
6. Fadeev D. K. & Fadeem V. N. (1963) Computational Methods of Linear Algebra
[in Russian]. Fizmatgiz, Moscow.
7. George A. & Liu J . (1981) Computer Solution of Large Sparse Positive Definite
Systems. Prentice-Hall, Englewood Cliffs (USA).
8. Gillbarg D. & Trudinger N. (1983) Elliptic Partial Differentiol Equations of
Second-order. Springer-Verlag, Berlin.
9. Hageman L. & Young D. (1981) Applied Iterative Methods. Academic Press, New
York.
10. Hockney R. & Eastwood J. (1987) Computer Simulation Using Porticles.
McGraw-Hill, New York.
11. Karchevskii M. M. & Lyashko A. D. (1976) Difference Schemes for Nonlinear
Problems of Mathemotieal Physics [in Russian]. Kazan' Lobachevskii State
University, Kazan'.
12. Kuznetsov Yu. A. (1985) Computational methods in subspaces. In: Computo-
tional Processes and Systems, issue 2 [in Russian]. Nauka, Moscow, pp. 265-350.
13. Ladyzhenskaya 0. A. (1973) Boundary Value Problems of Mathematical Physics
[in Russian]. Nauka, Moscow (1973).
14. Ladyzhenskaya 0. A. & Ural'tseva N. N. (1973) Linear and Quasi-linear
Equations of Elliptic Type [in Russian]. Nauka, Moscow.
15. Marchuk G. I. (1975) Methods of Numencol Mathematics. Springer-Verlag, New
York.
- ~. Introduction to Proiective-orid Methods
16. Marchuk G. I. & Aproshkov V. I. 11981)
[in Russian]. Nauka, Moscow.
17. Miranda C. (1955) Equozioni alle derivote parziali di tipo ellitico. Springer-
Verlag, Berlin.
18. Oganesyan L. A. & Rukhovets L. A. (1979) Variational-difference Methods for
Solving Elliptic Equations [in Russian]. Armenian SSR Acad. Sci., Erevan.
19. Ortega J. & Rheinboldt W. (1970) Iterative Solution of Nonlinear Equations i n
Several Variables. McGraw-Hill, New York.
20. Richtmyer R. (1957) Difference Methods for Initial Value Problems. Interscience,
New York.
STATIONARY PROBLEMS O F HEAT TRANSFER 221

21. Richtmver R. & Morton K. (19671


~ , Difference
- Methods for Initial-value Problems.
Interscience, New York.
22. Samarskii A. A. (1971) Introduction to the Theory of Difference Schemes [in
Russian]. Nauka, Moscow.
23. Samarskii A. A. (1987) Introduction to Numerical Methods [in Russian]. Nauka,
Mmrow.
24. Samarskii A. A. (1983) Theory of Difference Schemes [in Russian]. Nauka,
Moscow.
25. Samarskii A. A. & Andrew V, B. (1976) Difference Methods for Elliptic
Equations [in Russian]. Nauka, Moscow.
26. Samarskii A. A. & Gulin A. V. (1989) Numerical Methods [in Russian]. Nauka,
Moscow.
27. Samarskii A. A,, Lazarov R. D. & Makarov V. L. (1987) Difference Schemes f o r
Differential Equations with Generalized Solutions [in Russian]. Vysshaya Shkola,
Moscow.
28. Samarskii A. A. & Nikolaev E. S. (1989) Numerical Methods for Grid Equations.
Birkhauser-Verlag, Basel.
29. Strang G . &Fix G. (1973) An Analysis of the Finite Element Method. Prentice-
Hall, Englewood Cliffs (USA).
30. Tikhonov A. A & Samarskii A. A. (1972) Equations of Mathematical Physics [in
Russian]. Nauka, Moscow.
31. Vabishchevich P. N. (1991) Melhod of Fictitious Domains i n Problems of
Mathematical Physics [in Russian]. Moscow Lomanosov State University, Moscow.
32. Vladimirov V. S. (1976) Equations of Mathematical Physics [in Russian]. Nauka,
Moscow.
33. Voevodin V. V. (1977) Computational Methods of Linear Algebra [in Russian].
Nauka, Moscow.
34. Wasow W . & Forsythe G. (1960) Finite-difference Methods for Portiol Diffe-
rential Equations. John Wiley & Sons, New York.
Nonst ationary Problems of Heat
Transfer

The main problem of calculation physics of heat is to study nonstationary


heat fields described by the heat equation, which is classified as a second-
order parabolic equation. This part of the book is devoted to construction and
investigation of difference schemes for nonstationary boundary value problems
of heat conduction. Specific features in constructing economical difference
schemes fat approximate solution of multidimensional problems are considered
separately (see Chapter 6).
We begin with the reference material concerning the properties of boundary
value problems for second-order differential equations of parabolic type. The
maximum principle, in particular, is formulated for the first boundary value
problem. The simplest a priori estimates of solution to the differential problem
in the Hilbert space are presented. The estimates characterize the stability of
solution with respect to small perturbations of initial data and the right-hand
side.
The construction of difference schemes for nonstationary problems is
discussed. Substantial attention is paid to general issues of stability of
difference schemes. The difference solution considered a s an approximate
solution of a well-posed boundary value problem should be stable with respect
to small perturbations of initial conditions. In estimating the error of the
difference solution the main attention is paid to investigation of stability of
the solution with respect to the right-hand side.
The accuracy of the difference solution in the uniform norm can be studied
on the basis of the maximum principle. Purely implicit difference schemes for
the heat equation are studied; these schemes are classified as unconditionally
stable (stable without any conditions on the spatial and time steps of the grid).
224 COMPUTATIONAL HEAT TRANSFER

Constraints are imposed on the time step for other schemes (conditionally
stable difference schemes).
In studying the stability in Hilbert spaces, we use the general theory
of stability for difference schemes. The latter is based on writing rnany-
level difference schemes in the canonical form and formulating the stability
conditions in one or other norms as operator inequalities. The theory is
accurate in the sense that the necessary and sufficient conditions coincide.
The general theory of stability for difference schemes is applied in studying
two- and three-level schemes for the heat equation. Thus, in particular,
conventional schemes with weights are studied. The corresponding results
on accuracy of difference schemes are formulated on the basis of stability
investigation.
The regular mode of heat conduction is investigated separately. The
notion of asymptotical stability is introduced to describe the developed stage
correctly. The asymptotical stability of difference schemes is investigated for
the heat equation. In particular, we show that the conventional symmetrical
difference scheme is unconditionally stable in the common sense and is
asymptotically stable.
Difference schemes are also considered for the hyperbolical heat equation.
Using the simplest boundary value problems of heat conduction as examples,
we illustrate the specific features in using difference schemes for approximate
solution of nonlinear problems.

5.1 Boundary Value Problems for Second-order Parabolic


Equations

5.1.1 LINEAR NONSTATIONARY HEAT EQUATION


We describe the heat state of a solid body, which has volume 0 , beginning
with the initial time t = 0 up to a final time t = T , T > 0. Let Q = {(x, t ) I
x E R,O < t 5 T}, and let r = {(x, t) / x E aR,O < t 5 T } be the lateral
surface of Q.
The propagation of heat in an anisotropic medium (see Section 2.1) is
described the heat equation

where
NONSTATIONARYPROBLEMS OFHEATTRANSFER 225

under the conventional constraints

Equation (I), (2) is the classical linear parabolic second-order equation, which
is classified as a basic equation of t,he mathematical physics.
In the general case of a movable medium equation (1) is written as

Further we consider problems for heat equation (1) in an isotropic medium


with

as basic problems. Let us write the heat equation separately for a homogeneous
medium where both the heat conductivity k(x) and the specific heat capacity
c(x) are constant. Reducing the problem (see Section 3.1) to a dimensionless
form, we arrive at the simplest second-order parabolic equation with constant

Equation (1) (or (3) and (6)) is complemented by the necessary boundary
conditions. The most attention is paid to the Dirichlet problem, where

A more general situation (the convective exchange with the environment)


corresponds to the boundary conditions of the third kind, namely

where u(x, t ) > 0. In (8) we use the notation from Chapter 4. For
nonstationary equations we can point out the problem with u(x, t ) = 0 as
a separate problem with boundary conditions of the second kind.
The well-posed problem for equation (1) is that with the known initial
temperature
u(x,O) = uo(x), x c R. (9)
226 COMPUTATIONAL HEAT TRANSFER

The temperature field u(x, t) at any point of the calculation domain R a t


each time 0 < t < T is determined from the heat equation (1) and (2) (or
(1) and (3), etc.), boundary conditions (7) (or, for example, (8)) and initial
condition (9).

5.1.2 THE MAXIMUM PRINCIPLE


The maximum principle holds for the nonstationary heat equation. The
principle states that the maximum temperature is attained either on the
boundary or at the initial time, provided that no volume sources are present.
The maximum principle for parabolic equations is formulated as follows. Let
us determine the operator L by the relation

and consider equations (I), (3), and (4)


T h e o r e m 1. Let Lu < 0 (Cu 2 0) be the bounded domain Q. Then the
maximum (minimum) of the function u(x, t ) is attained on the boundary of
domain X l and (or) at t = 0, i.e.
maxu(x,t) = max{maxu(x, t), yEyu(x,~)},
=EQ ~ c r
(10)
m a x u ( s , t ) = max{maxu(x,t), maxu(x,o)}
rT rER

Based on the maximum principle we can easily prove the uniqueness of


solution to the first boundary value problem ( I ) , (3), (4), (7), and (9). As
in stationary problems, the comparison theorems, which follow from the
maximum principle, are important. The following statement can be used as
an example.
T h e o r e m 2. Assume that the inequalities

hold for the functions u(x, t) and ~ ( t ) ;then u(x, t) v(x, t) over the whole
domain Q.
Let us present a priori estimates in the uniform norm for parabolic boundary
value problems. The estimates are based on the maximum principle.
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 227

T h e o r e m 3. The following estimate holds for the solution of the first


boundary value problem (I), (3), (4), (7), and (9):

where constant M depends on the diameter of domain R and the coeficients


of equations ( I ) , (3), and (4).
It follows from estimate (12)that the solution of the first boundary problem
depends continuously on the initial data, right-hand side and boundary
conditions. The constant M is determined similarly to that in stationary
problems (see Section 4.1).
Statements similar to Theorems 2 and 3 can also be formulated for problems
with boundary condition of the third kind (8) under logical constraints
a ( x ,t ) 2 a, > 0.

5.1.3 OPERATOR FORMULATION OF NONSTATIONARY


HEAT TRANSFER PROBLEM
We consider problems of nonstationary heat conduction under uniform
boundary conditions ( g ( x , t ) = 0, ( x , t ) E r, in (7) and (8)) in the Hilbert
space Fl = L z ( 0 ) Assume that A is the operator of heat conduction which
corresponds to L determined by (2) under boundary conditions of the first
and third kind. The operator A was introduced in Section 4.2. We define
additionally the operator B = c ( x ) E .As a result, we write heat equation ( 1 )
as a first-order evolutionary equation in 'H, namely

The latter is complemented by the initial condition


" ( 0 ) = 110. (14)
For the boundary value problems in hand the operator A is self-conjugated
and positive definite, i.e.
A=A'>6E, 6>0. (15)
Assuming that c(x) 2 co > 0, by virtue of definition of operator B we have

In the most important specific case of homogeneous medium (see ( G ) ) , we have


B = E. Besides, the operators A and B are constant, i.e. do not depend on t.
The estimates of stability for nonstationary problems are based on using
the Gronwall lemma. We formulate this in the simplest form.
228 COMPUTATIONAL HEAT TRANSFER

Lemma. Assume that w ( t ) ,s ( t ) > 0 , m > 0 , and the inequality

is satisfied for all 0 it < T , T > 0. Then

Making estimate (18) more approximate, we obtain the inequality

Based on the Gronwall lemma, let us obtain the simplest estimates of


stability for solutions to problem (13) and (14) with the operators subject to
constraints (15) and (16). We will tend towards these estimates in obtaining
the corresponding estimates for the difference solution. Multiplying equation
(13) by v ( t ) in a scalar way, we arrive at the equality

We connect the Hilhert space 'Ka with the operator B so that llulli = ( B u , ~ ) .
Taking into account that the operator d is positive, and using the inequality

( f , ~ 5) IlfIla-1 I I ~ B ,
from (19) we obtain
d
- Il~ll5
dt
< Il4la-1.
By virtue of the lemma, from this we obtain the estimate of stability with
respect to the initial data and right-hand side for problem (13)-(16)

Il4t)llo 5 Il40)llo + tllf Ilo-1. (20)


Let us present some other a priori estimates for problem (13)-(16) which
are not optimal for differential problems, hut are useful in obtaining the
corresponding estimates for difference solutions.
Taking into account (15),from (19) we obtain the inequality
For the right-hand side we use the estimate
1
(f?.) < ~11. 1 12 + ,llf1I2
This results in the inequality

and the estimate

follows from this. Unlike (20), here we estimate the squared norm of the
solution, and use the norm of 'R in estimating the right-hand side.
A similar estimate for problem (13)-(16) can also be obtained (see
Problem 2) in 'Ha. Let us also show how to obtain estimates of stability
in some general spaces ED generated by a constant operator D ' = 'D* > 0.
Assume that the operators B and A are permutahle. By virtue of conditions
(16), there exist the inverse operator B-', and we can switch from equation
(13) t o the equation

where A' = B-'A. By virtue of (15) and (16), for the permutable operators
A and B we obtain A' = (A')' > 0. The estimate (20) for equation (22) is
now like
Il.(t)ll <
Il.(O)ll + t m p IID-lf II. (23)
The operators A and B are permutable for the considered problems of heat
conduction if c ( x ) ? coust. If, additionally, the operator D
' is permutable with
A', then from (22) we obtain the estimate

which generalizes (23)

5.1.4 PROBLEMS
1. O b t a i n t h e a priori estimate in t h e uniform n o r m for t h e first
b o u n d a r y value problem for parabolic equation
230 COMPUTATIONAL HEAT TRANSFER

Solution. To obtain the a priori estimate of solution to the first houn-


dary value problem for equation (25) in the uniform norm, we use the
transformation u(x, t ) = exp(pt)u(x, t). For v(x, t ) we obtain the equation

>
If the condition d(x, t ) - pc(x) is satisfied, then the a priori estimate like
(12) holds for this equation.
For the solution to the first boundary value problem (25), (7), and (9) at
d(x, t) - pc(x) 2 0, p < 0, we have the estimate

Estimate (26) implies that growth of solution (temperature) can be bounded


due to a heat source proportional to the temperature (the term in (25)).
2. O b t a i n a priori e s t i m a t e i n for p r o b l e m (15)-(18).
Solution. Let us show that the inequality

holds for the problem in hand. Multiplying equation (15) in a scalar way by
duldt, we obtain

Taking into account (la), we have

and use the estimate

for the right-hand side. Substituting these in (28), we obtain the inequality

and the sought estimate (27) follows from this


NONSTATIONARY PROBLEMS O F HEAT TRANSFER 231

5.2 Difference Schemes for Nonstationary Problems

5.2.1 M A N Y - L E V E L DIFFERENCE SCHEMES


Let us mention some general features in difference solutions of nonstationary
problems. We assume that we consider an approximate solution to the problem
in the domain R on the segment [O,T].In R we introduce the simplest spatial
grid wh and relate some finite-dimension space Hh with it. For simplicity, we
introduce a uniform time grid w, = { t I t = t , = nr,n = 0 , 1 , . . . , N, N T = T }
with the step T > 0. The approximate solution is considered as a function
yh(t,) of the discrete argument t , E w, with the values from space Hh
(yh(t,) E Hh). Further we denote y, = yh(t,).
Assume that B,, a = 0, I , . . . ,p, are some linear operators acting in Hh,
and rp, is a grid function. We call the (p + 1)-level operator difference scheme
the difference equation

which relates the difference solution on ( p + 1 ) time levels. To determine


uniquely the solution from ( I ) , we should prescribe p initial values y,,
a = O , l , ...,p - 1 .
In our further consideration most attention is paid to two- and three-level
schemes. At p = I we have the two-level difference scheme

at given yo E Hh. Similarly for p = 2 we determine the three-level difference


scheme and write it as

B>yn+2+ &y,+i + Boy, = vn, n = 0,1,. . . , (3)

assuming that yo and y, are given

5.2.2 T H E CANONICAL FORM OF T W O - A N D THREE-LEVEL


DIFFERENCE SCHEMES
It is convenient to study difference schemes for nonstationary problems by
reducing these to a single canonical form. Any two-level difference scheme can
be written as
232 COMPUTATIONAL HEAT TRANSFER

where T ~ + I= tn+l - tn is the time step (generally speaking, nonuniform).


In order t o switch from ( 2 ) t o the canonical fown of the two-leuel difference
scheme, it is sufficient t o take into account that y,+, = y, + ~,+~(y,+, -
Y,,)/T,+I and put B = T,,+~B~ +
and A = B1 Bo. We have mentioned that it
sufficient t o use the uniform time grid t o consider the specific features of the
difference schemes. Therefore we consider the two-level difference scheme

Yn+1 - Yn +Ay,=ip,, n = 0 , 1 , ....


T
(4)

Theory of difference schemes widely uses the subscriptless notation

Yn+l - Yn
Y=Yn, (P='Pn, Yt=
T

Therefore the twc-level difference scheme (4) is written in a shorter form

Byt + Ay = ip. (5)

The scheme (3) can be written in the canonical fonn of the three-level
difference scheme as

Yn+1 - Yn-1 + pR Y"+l - 2yn + Yn-1 + AY, = (P,,


27 T2 (6)
n = 1 , 2 , ...,

assuming that the time grid is uniform. In order to switch from (3) t o ( 6 ) , we
Put

B=r(Bz-Bo), R=.$(Bz+Bo), A=Bo+Bl+Bz.

Using the subscriptless notation

Y; = + Y:)
$ ( ~ t =
Yntl - Yn-1
> %t =
Y n t l - 2yn + Yn-I
2T T2

we write the three-level scheme ( 6 ) as

By.
t
+ .r2RZt+ Ay = ip. (7)

In order to determine the solution a t the new time level in case (4),we
should solve the equation
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 233

The two-level difference scheme is called the ezplicit scheme if B = s ( x ) E ,


s ( x ) # 0. Otherwise ( B # s ( x ) E ) we deal with an implicit scheme. For the
three-level difference scheme (6) we have

and therefore it is classified as an explicit scheme at B + 2 r R = s ( x ) E . For


B + 2 r R # s ( x ) E we have an implicit three-level difference scheme.

5.2.3 THE STABILITY OF TWO-LEVEL DIFFERENCE SCHEMES


The stability of difference schemes is most important in approximate
solutions of nonstationary problen~s.Omitting general definitions, we clarify
the problem using two-level difference scheme ( 4 ) as an example.
The scheme ( 4 ) is well-posed if the conditions of existence and uniqueness
of solution as well as that of continuous dependence of the solution on initial
data are satisfied. The unique solvability of difference scheme (4) (see (8)) can
be proved by assuming that B-I exists.
The initial data for the two-level difference scheme (4) are the functions
yo and 9, from some grid spaccs. We assume that two norms are prescribed,
namely 11. lllh for the solution and I/.llzh for the right-hand side. Let us present
the simplest definition of stability for two-level difference scheme ( 4 ) .
A two-level difference scheme is said to be stable if there exist constant
M , > 0, a = 1,2, independent of h , T , and n such that the inequality

is satisfied for any input data yo, 'pa,n = 0,1,. . . , N .


We can consider separately the stability with respect to the initial data for
the uniform difference scheme

Difference scheme (10) is stable with respect to the initial data if the inequality

is satisfied.
It is logical to introduce the notion of stability with respect to the right-hand
side for a nonuniform difference scheme with zero initial data. The difference
scheme
Yn+l - Yn + A y , = i p n , n = 0 , 1 , ..., y o = O ,
r
(12)
234 COMPUTATIONAL HEAT TRANSFER

is said to be stable with respect to the right-hand side if the estimate

is satisfied.
The introduced notions of stability with respect to the initial data and
right-hand side reflect more precisely the sense of the two terms in the general
condition of stability (9). In some cases this allows us to restrict ourselves by
investigating only the stability with respect to the initial data.
The stability of many-level schemes can be investigated by reducing to
an equivalent two-level scheme. Further we discuss the ways to do this in
considering three-level difference schemes. This allows us to restrict ourselves
to considering only the stability of twdevel difference schemes.

5.2.4 THE CONNECTION BETWEEN THE STABILITY WITH


RESPECT TO THE RIGHT-HAND SIDE AND THAT
WITH RESPECT TO THE INITIAL DATA
Let us show that for consistent norms the stability with respect to the right-
hand side follows from that with respect to the initial data. We say that a
difference scheme is uniformly stable with respect to the initial data if there
exists constant p > 0 and constant MI independent of h, 7 , and n such that
the estimate
<
II~nfllllh ~ I I ~ n l l l h (14)
holds for all y, E Hh for the uniform difference equation (lo), with pn MI.<
If p # 1, we say that the uniform pstability of difference scheme (10) with
respect to the initial data takes place.
The p itself may depend on T (only constant MI should not depend on 7).
We can choose p so that

>
where c 0 does not depend on h, T , and n. Using (15), for the constant MI
we obtain ( M I 2 p") M I = exp(cT).
The uniform difference scheme (10) can be written a s

where
s = E - TB-'A (17)
is the operator of transition from one time level into another. The operator S ,
generally speaking, can depend on n. By virtue of (16) and because y, E Hh
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 235

are arbitrary, the uniform stability of difference scheme (10) with respect t o
the initial data is equivalent to that the norm of operator S is bounded by
the constant p, namely
IISll 5 P . (18)
The estimates of stability like (9) for two-level difference scheme (4) can be
obtained on the basis of the Gronwall diffewnce lemma (cf. Section 5.1).
L e m m a . Let E, and 3" be nonnegative functions defined on the grid w,,
and let p > 0. Then the inequality

implies the estimate

Estimate (20) is proved by induction. For n = 0 (20) is clearly satisfied (it


coincides with (19)). Assume that (20) is satisfied for some n = rn - 1. From
(19) and (20) we have

Thus (20) is also satisfied for n = m .


The relation between the stability with respect to the initial data and that
with respect to the right-hand side is given by the following statement.
T h e o r e m 1. Assume that difference scheme (4) is uniformly stable with
respect to the initial data in the norm 11 . l ) l h . Then difference scheme (4) is
also stable with respect to the right-hand side and the estimate (9) holds for
its solution at ll$okll2h = IIB*l$okl[lh and Mz = M l T .
Taking into account that the operators of the difference scheme may depend
on the time level, we rewrite equation (4) as yktl = Sk+lyk +rB-'$oh. Hence
llylcll~h T IIB; f $oklllh. The
it follows immediately that IIYI.+Il l ~ h5 ll~k+~ll +
condition of uniform stability of scheme (4) with respect t o the initial data
(see (18)) allows us to pass to the inequality
236 COMPUTATIONAL HEAT TRANSFER

Using (20), from (21) we obtain the estimate


.,
II~n+l\llh5 ~ ~ + ' l l y d l+h C T P ~ - ~ I I B(22)~ ~ ~ I
k=O
Due to our assumption on the uniform stability with respect to the initial
data, we have <
Ml and pn-k 5 M l , and therefore from (22) we have

we arrive at estimate (9) of stability with respect to both the initial data and
right-hand side at l)(ok)/2,, = JJB;lp*lJlh and M2 = M I T . Thus the theorem
is proved.
Definitions of stability can use the corresponding estimates for the squared
norm of the difference solution (see estimates (21) and (27) for the differential
problem in Section 5.1). Instead of (9),we can require that the inequality

is satisfied. In this case, however, we cannot obtain the stability with respect
to the right-hand side from that with respect to the initial data. One can
pass to estimates baaed on the squared norms by transforming the difference
Gronwall lemma (Problem 1).

5.2.5 THE REPRESENTATION OF THE THREE-LEVEL SCHEME AS


A TWO-LEVEL ONE
Assume that H = HA and introduce the space H Z = H @ H as the
direct sum of two spaces H. The addition and multiplication by number
for vectors Y = {yl,yz} from H Z (yl, yz E H ) are coordinate-wise. Let
Y = {yl, yz), let V = {ul ,wz), and let a and b be numbers; then a Y + bV =
+ +
{ayl bwl, ayz buz}. The scalar product in H z is determined by the formula
(Y>V)= ( Y , , v ~+) (yz,uz).
Let us represent the three-level difference scheme written in the canonical
form (6) as the two-level difference scheme
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 237

To do this, we introduce the vector

The vector Y ncan also he chosen in other ways (a variant different from (25)
is considered, for example, in Problem 2).
Calculating directly, for the operators of difference scheme (24) we obtain
the formulae

and for the right-hand side of (24) we have

The representation of three-level scheme (6) in the form of two-level scheme


(24)-(28) allows us t o define the stability of three-level scheme with respect
to the initial data and right-hand side.

5.2.6 THE CONVERGENCE O F DIFFERENCE SCHEMES FOR


NONSTATIONARY PROBLEMS
The concepts of approximation, convergence and accuracy of difference
schemes are introduced for nonstationary problems similar to the correspond-
ing concepts for stationary problems (see Section 4.2). Let u(x, t) be a precise
solution of a differential problem. We assume, for example, that the approx-
imate solution is searched for on the basis of difference scheme (4). For the
error 2, = y,-uh(tn) of the difference solution we have the difference problem
&+I - Zn + Az, = &, n = 0 , 1 , . . ., zo = yo - uh(0). (29)
T

For the approximation error 11, we have the formula

Difference scheme (4) has the approximation O(JhJm T'), m + > 0, 1 > 0,
on the solutions u(x, t), if

max ll$k112h
OSkSN
< M3 ((him + 7') , (30)
238 COMPUTATIONAL HEAT TRANSFER

Assume that the initial condition is approximated within the same accuracy,
i.e. the estimate
<
IIyo - 4 J ) l l l h M4 (Ihlm T')+ (31)
is satisfied. If difference scheme (4) is stable, i.e. estimate (9) is satisfied, then
for the error we have

It follows from stability (condition (32)) and approximation (estimates (30)


and (31)) that the difference scheme (4) has the accuracy O(lhJm TI), +
i.e. the convergence of the difference scheme follows from the stability and
approximation.

5.2.7 PROBLEMS
1. Show t h a t if t h e e s t i m a t e

is satisfied o n t h e g r i d w, for nonnegative En a n d F,,,t h e n t h e


inequality

holds w i t h a r b i t r a r y E.
Solution. It follows from (33) that

for any E , where p = exp((2c + E)T).Using the difference Gronwall inequality,


from this we have estimate (34).
2. W r i t e t h e three-level scheme (6) as t h e two-level s c h e m e

Y"+' = SY" +an,


w i t h t h e vector Y" = {Y,-~,y,}.
Solution. We use the representation of the threelevel scheme as

B2Yn+1+B1Yn+BoY,-~=9,, n = l , 2 ,....

Then for elements of the matrix S = (S,@) we obtain

Sll = 0, Sl2= E, szl= - B ; ~ B ~ , Sz2= -B;~B~,


NONSTATIONARY PROBLEMS OF HEAT TRANSFER 239

and for the right-hand side we have an = {-O,B;'~,}. Comparing (36) with
(6),we have

Formulae (37) and (38) determine the operator of transition in the twcblevel
difference scheme (35).

5.3 Uniform Convergence of Difference Schemes for the


Heat Equation

5.3.1 DIFFERENCE SCHEMES FOR THE HEAT EQUATION


The basic problem of nonstationary heat conduction in our consideration is
the two-dimension problem of heat propagation in a solid isotropic cylindrical
bar having the rectangular cross-section 0, with the temperature mode being
given on the boundary. We consider the heat equation

Equations (1) and (2) are complemented by the boundary and initial
conditions

The specific features in constructing difference schemes for parabolic


equations are revealed in choosing the time approximation. In Section 4.2
we discussed the spatial approximation, for example, on the basis of integro-
interpolation method.
As usual, we assume that a uniform rectangular grid w is introduced in the
rectangle 51 and has the steps hl and hz with respect to the variables xl and
x2, respectively. In order to obtain a conservative spatial approximation, we
integrate equation (1) over neighbourhoods of each internal node R,, = {x I
x = ( X ~ , ~ , X I , 5, -5 1~ 5
~Z < / Z5 X Z , , + I / ZDenoting
X ~ , , + I / Z , X Z , ~ - Ixz ~.
240 COMPUTATIONAL HEAT TRANSFER

by u(x, t ) , x E w, the approximate solution to equation (1) at the time t we


arrive at the system of ordinary differential equations

Here the function b(x) corresponds to the approximation of specific heat


capacity c(x), and the operator A is associated with the approximation of
differential operator L defined by (2). For sufficiently smooth coefficients and
solutions we can put (see Section 4.2)
2
Au= IA,~,
A,v= -(a,(x)wze)==, a=1,2, (6)
a=1
b(x)=c(x), XEW. (7)

The system of equations ( 5 ) is complemented by the conditions following


from (3) and (4), Similar to (6) and (7) we use the simplest approximations

U(X,t ) = g(x, t), E aw, o < t 5 T, (8)


u(x, 0) = u0(x, t), x E W. (9)
The transition from the parabolic boundary value problem (1)-(4) to the
system of ordinary differential equations (5)-(9) corresponds to the method of
lines.
In order to obtain the difference scheme for problem (5)-(9), it is necessary
to use one or other time approximations. We again apply the integrointerpo-
lation method. In using two-level schemes, values at two time levels, namely
at t = t, and t = tn+l, enter the difference equation. Let us integrate equation
(5) over the segment t, 5 t 5 t,+l (time averaging).
Integrating the first term in ( 5 ) , we obtain

t"

In integrating functions which depend on time, we use the formula

where u is a numerical parameter (the weight of quadrature formula). Taking


this into account, in integrating (1) we obtain the difference scheme
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 241

under the conditions

Difference scheme (10)-(12) is a difference scheme with weights.


Let us mention some important specific cases of the scheme (10)-(12). If
a = 0, we deal with an explicit scheme. In this case, in order to determine the
solution at the new time level, we use the formulae y,+l = y, - bF1(x)~(Ay,-
ip,), x E w , with conditions (11) and (12) taken into account.
The most widespread among implicit schemes are the symmetrical scheme
and the purely implicit one. The symmetrical difference scheme (the Crank-
Nzcolson scheme) corresponds to CT = 0.5. In this case (10) is like

If a = 1 we deal with the purely implicit diffe~encescheme

The latter is sometimes called the difference scheme with advancin.q

5.3.2 APPROXIMATION ERROR OF THE SCHEME WITH WEIGHTS


Let us consider the approximation error for the scheme (10)-(12). For the
error we have
+
1~= -b(x)u(t) - A(& (1 - u)u) ip, + (15)
where u = u(x, t,), and ?Z = u(x, t,+l) are the solutions of differential problem
(1)-(4) at the corresponding moment in time. Let us denote 'ii = u(z, t,+l12)
and u = a u / a t , and use the expansions

We assume (see Section 4.2) that the grid elliptic operator A approximates
the differential operator L within the second-order accuracy, i.e.
242 COMPUTATIONAL HEAT TRANSFER

Taking into account (16)-(IS),let us represent the approximation error (15)

-
J - (A?i - Ln)
=b(~)ri+ + (v- f ) - (u- 4) rAZ + 0 ( r 2 )
If, in addition to (16)-(19), we assume that 9 = f + 0 ( r 2+ lhI2), then for
the error we have the formula

The general representation (20)for the approximation error of the difference


scheme with weights (10)-(12) for heat conductivity problem (1)-(4) allows
us to obtain
+
0 ( r 2 lhI2), u = 0.5,
+
O ( r (hI2), u # 0.5.
Thus the symmetrical difference scheme (13) has the second order of spatial
and time approximations, while the other schemes with weight have the first
order of time approximations and the second order of spatial approximation.
The error of spatial approximation can sometimes be increased for the scheme
with weights on the solutions of the heat equation (see Problem 1).

5.3.3 T H E MAXIMUM PRINCIPLE


In Section 4.3 we formulated the maximum principle for difference equa-
tions. The canonical form used represents the difference scheme by expressing
the difference solution at a node in terms of the difference solutions at
neighbouring nodes. The maximum principle in such a general form can also
he used for investigating difference schemes for nonstationary problems. Here,
however, the pattern of difference scheme includes the values at different time
levels.
Let us write the difference scheme with weights (10)-(12) in the canonical
form with respect to the node ( x ,t ) = (x,, , t,+l). We represent the difference
operator A (see Section 4.3) in the form
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 243

The coefficients of scheme (10) can be determined, for example, a s

We use the same notation for the pattern with respect to spatial variables
Then the difference scheme (10) is written as

For the latter we can formulate conditions sufficient for the maximum principle
to be satisfied. The condition that all the coefficients in the right-hand side
of (22) are nonnegative results in

Condition (23) is quite logical and does not restrict the time step. Condition
(24) is satisfied for all T only if a = 1, i.e. the maximum principle is satisfied
unconditionally only for the purely implicit scheme.
From the other a from (24) we have

Taking into account the formulae for the coefficients of difference scheme ( l o ) ,
from (25) we obtain the sufficient conditions for the maximum principle to be
satisfied for the scheme with weights, namely

1 minc(x)
75- ( h c 2+ h ~ 2-I)
2(1 - a ) max k(x)

Estimate (26) shows that the maximum principle is satisfied for schemes with
weights o # 1 under severe conditions for the time step T = 0(lh12).

5.3.4 THE CONVERGENCE OF DIFFERENCE SCHEME


Using the maximum principle we can find the corresponding estimates of
stability and convergence for difference schemes in the uniform norm. For the
difference scheme (10)-(12) we can also obtain the a priori estimate reflecting
244 COMPUTATIONAL HEAT TRANSFER

the stability of the scheme with respect to the initial data and right-hand
side. The estimate can be obtained in the norm llyll = max Ily,llccw). In
O<k<N
considering nonstationary problems, we try to obtain the estimates in the
norm of difference solution at one time level. This, in fact, corresponds to
using the maximum principle at a separate time level (for the grid elliptic
operator).
+
In order to estimate the solution at the (n 1)th time level (n 2 0), we
rewrite (22) as

where

Under the formulated conditions (23) and (24) for the parameters of the
difference scheme, we consider the grid elliptic problem (27) and (28). It is
most simple to obtain the estimate of solution to the difference equation (27)
with uniform boundary conditions (g(z, t , + ~ )in ( l l ) ) , which is sufficient for
investigation of convergence of the difference scheme.
For equation (27) with uniform boundary conditions we have (see Corol-
lary 6 in Section 4.3) the estimate

In our case

If (23) and (24) are satisfied, then for such D(x) from (28) we have

Thus for ~ , + ~ ( zwe) obtain the estimate


NONSTATIONARYPROBLEMSOFHEATTRANSFER 245

Using the difference Gronwall lemma, from (29) we obtain the required
estimate for the difference scheme (27) and (28) with the uniform boundary
conditions, namely

The latter reflects the stability of difference scheme (10)-(12) with weights
with respect to the initial data and right-hand side in the uniform norm.
Recall that the estimate is obtained assuming that the maximum principle is
satisfied (i.e. the conditions (23) and (24) are satisfied for the parameters of
the difference scheme).
In studying the accuracy of difference scheme (10)-(12),we formulate the
corresponding problem for the error 2, = y,-u(x, t,), x E w. From (10)-(12)
we obtain
q X )&+I - Z" A(u2,+1 ( 1 - a ) z n ) = ,
7
+ + *, (31)
X E W , n = 0 , 1 , ...,
with the uniform conditions

Estimate (30) for problem (31)-(33) is like

Taking into account estimate (21) for the approximation error of difference
scheme (10)-(12), we obtain

where u = 2 for a = 0.5 and v = 1 otherwise. We again emphasize that


both the stability and convergence of the difference scheme are proved if the
conditions (23) and (24) are satisfied. We shall show further that for weaker
norms the estimates (35) can he obtained under less restrictive conditions on
the scheme parameters.

5.3.5 THREE-LEVEL SCHEMES FOR THE HEAT EQUATION


Three-level difference schemes with weights are widely used in calculation
practice, although more rarely than two-level ones. In applying three-level
246 COMPUTATIONAL HEAT TRANSFER

schemes, one should store the solution at the (n - 1)th level. Instead of (10)
we use the difference scheme

where iL = u n _ ~under
, the additional conditions (11) and (12). In order to
begin the calculations by the three-level difference scheme, we should know
yl along with yo. In order to find y l , one can use some two-level schemes.
Difference scheme (36) is characterized by three weight parameters 8, a1,
and 0 2 . Two classes of three-level schemes are usually used, each including
only one parameter. First we mention the symmetrical difference schemes
which are written as

The scheme (37) corresponds to the weights 6' = 0.5 and a1 = 02 = a.Taking
into account (19), it is easy to check that the symmetrical three-level scheme
provides the second order of spatial and time approximations.
The other class of three-level difference schemes for the heat equation
corresponds to the purely implicit approximations of the elliptic operator.
In this case the difference equation is

i.e. a1 = 1 and u 2 = 0 in (36). For the approximation error of the scheme (38)
we have
0(-r2
+ + lhI2), a = 1.5,
$ n = { o(7 (hI2), 0 # 1.5.

Thus the class of three-level schemes (38) also includes that providing the
second order of approximation.
It can be shown (Problem 2) that one cannot formulate simple sufficient
conditions of the maximum principle like (23) and (24) for symmetrical three-
level schemes (37) at a # 0.5. The asymmetrical threolevel difference scheme
is more fruitful here.
To investigate the difference scheme (38), let us write it in a form similar
to (22), namely

Hence it can be seen that the maximum principle is satisfied if the conditions
>
26' - 1 0 and 1 - 9 > 0 are satisfied, i.e. at 0.5 5 6' 5 1. However, the
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 247

second-order scheme (0 = 1.5)does not satisfy these conditions. Note that


the maximum principle is satisfied at 0.55 0 5 1 without any constraints on
the grid parameters.

5.3.6 PROBLEMS
1. C o n s t r u c t t h e two-level difference s c h e m e of h i g h e r approxi-
+
m a t i o n o r d e r ($ = 0 ( r 2 h4))for t h e one-dimension u o n s t a t i o n a r y
p r o b l e m of h e a t conduction

Solution. In this case the accuracy of the scheme is increased due to


approximation of solutions, as in some stationary problems (see Section 4.2).
On the uniform grid w for approximate solution of problem (39)-(41)we use
the scheme with weights (10)at Ay = -ye,, x E w . For the approximation
error we have

Expanding in the Taylor series at the point (x,t,+llz) we obtain

Substituting (43) into (42)and taking into account that

for the error we obtain

If we putip = f , we arrive at the formula (20)for the approximation error.


On the solutions of equation (39)we have
248 COMPUTATIONAL HEAT TRANSFER

and therefore (44) is transformed to

In order to obtain the scheme with higher approximation order, we put


a = 0.5 - hz/(12r), and define the right-hand side of the difference scheme as

2. Formulate conditions under which the maximum principle is


satisfied for the symmetrical three-level difference scheme (37).
Solution. We write the scheme (37) as

The coefficients in the right-hand side can be positive only at a = 0.5. If


u = 0.5 then the constraints on the time step are caused by the condition
>
such as (24), namely b(x) - 2raA(x) 0. From this we obtain the constraints
for the time step
min c(x)
75;
min k(x)
(h;Z +
h;Z)-l

in the three-level symmetrical difference scheme (37) at a = 0.5.

5.4 Theory of Stability of Difference Schemes

5.4.1 THE NECESSARY AND SUFFICIENT STABILITY CONDITIONS


First we separate the class of two-level difference schemes with self-adjoint
operators. We consider the stability with respect to the initial data and right-
hand side for the scheme written in the canonical form (see Section 5.1)
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 249

with stable (independent of n) grid operators

B = B*, A =A*. (2)

The simplest estimates of stability for the two-level difference scheme follow
from estimates of stability with respect to the initial data. We discuss this
and other issues later. The stability of difference scheme with respect to the
initial data is considered as the uniform stability in the sense of the definition
in Section 5.2.
We study the stability by using the method of energetical inequalities.
Therefore first we obtain the simplest energetical identity for the difference
scheme (1).Let us multiply the latter in a scalar way by 2ryt = 2(yn+1 - y,).
This results in the inequality

Taking into account the formula (3), we transform the second term in the
right-hand side of (3):
T
Yn
1
+
= ? ( ~ " + l yn) - 5Y t .
Substituting (4) into (3) we obtain

27 ( ( B - S) yt,yt) + ( ~ ( y , + l + yn). yn+t - yn) = ~ T ( ( P , , Y ~ ) .


For the self-adjoint operator A we have

(A(Y,+I + ~ n ) , ~ n +- yln ) = (AY,+I,Y,+I) + ( A Y ~ , Y ~ + I )


- (Ayn+i,yn) - (Ayn,yn) = (Ayn+lryn+i) - (Ayn,yn).
This allows us to rewrite (5) as

27 ( ( B - i) yt,yt) + (Ayn+l,yn+l) = (Aynryn)+ 27(ipn,yt).


The difference scheme with ip, = 0 is stable (more precisely, uniformly stable)
in H D , D = D* > 0, if the estimate

is satisfied. The main result of the stability theory for difference schemes is
formulated by the following theorem.
250 COMPUTATIONAL HEAT TRANSFER

Theorem 1. The necessary and suficient condition of stability of the


difference scheme (1) at A = A* > 0 with respect to the initial data in Ha is
that the inequality
~ ~ 2 3 : ~
2 (8)
is satisfied, where Bo = 0.5(B + B * )
Here we do not assume that the operator B is self-adjoint. To prove the
sufficiency, we should show that estimate (7) follows from (8).For a uniform
difference scheme (9, = 0 ) the energetical identity ( 6 ) is like

If ( 8 ) is satisfied, we obtain

i.e. the estimate ( 7 ) at D = A.


The necessity is proved if we show that the operator inequality ( 8 ) follows
from the stability condition (estimate ( 7 ) at D = A). Inequality ( 8 ) implies
that T
(Bu,v ) 2 5 W , v ) (10)
is satisfied for any u E H. Let us write the energetical identity ( 9 ) at n = 0:

Taking into account that the scheme is stable with respect to the initial data,
we have

For any v = yt(0) E H we find yo = -A-'Bu E H . The stability holds for


any initial conditions yo and therefore estimate (10)is satisfied for any v , i.e.
(8) is satisfied. Thus the necessity is proved.
We emphasize once again that the presented result cannot be improved, and
the stability conditions are precise, because the necessary conditions coincide
with the sufficient one.
Similar conditions can also be presented for the stability of difference scheme
(1) and ( 2 ) with respect to the initial data in H g . Namely, condition ( 8 ) is
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 251

necessary and sufficient for the stability in Hg at B > 0. The sufficiency of


this condition is proved on the basis of energetical inequalities in Problem 1.

5.4.2 p-STABILITY OF DIFFERENCE SCHEMES


Some important applied problems require that the pstability of difference
schemes be investigated for p # 1, with the estimate ((&+I 5 p ( ( y , , ( ( ~
satisfied instead of (7). As an example we can mention the asymptotical
stability ( p < 1) for the ordinary heat equation. A situation where the
norm of solution grows in time, i.e. p > 1, often occurs in inverse problems
of heat conduction. Therefore, generalizing Theorem 1 we formulate the
corresponding result on pstability for arbitrary p > 0.
Theorem 2. The conditions

are necessary and suficient for the difference scheme (1) and (2) to be p-stable
in HA for A > 0 (in Hg for B > 0 ) .
We prove the theorem by obtaining the corresponding operator inequalities.
In doing so the implicit scheme (1) is reduced to an explicit one, and we
estimate the corresponding transition operator.
We restrict our proof to the case of B > 0 in Hg. Since B > 0, for the
uniform difference scheme (1)we have

By virtue of B = B' > 0, there exists B1f2;applying it to (12) we obtain

where 2, = B 1 f Z y ,and
S=E-rC.

is a self-adjoint operator.
The inequality for the transition operator S, namely

is equivalent to the stability condition


252 COMPUTATIONAL HEAT TRANSFER

Taking into account that zn = B1lZy,, we rewrite (17) as the required


estimate of stability in Ha, namely

Next we switch from inequality (16) to inequalities for the operators


of difference scheme (1). For the self-adjoint operator S inequality (16) is
equivalent to the two-side operator inequality

Taking into account (14), from (19) we obtain

-E<c<- ~ + P E .
7 T

Substituting (15) into (20) and multiplying this from both sides by BIIZ (in
doing so the inequality still holds), we just obtain the two-side inequality (11).
The stability in HA is similarly proved by passing to the explicit scheme
for s, = A1JZy,.

5.4.3 STABILITY WITH RESPECT TO THE RIGHT-HAND SIDE


Let us present some estimates which characterize the stability of difference
scheme (1) and (2) with respect to the initial data and right-hand side. First
we formulate the statement following from the stability with respect t o the
initial data and Theorem 1 of Section 5.2 on the relation between the stability
with respect to the right-hand side and that with respect to the initial data.
Here we restrict ourselves to the case p = 1. To pass to a more general case
of arbitrary p > 0 is not difficult.
Theorem 3. If A > 0 and inequality (8) is satisfied, then the a priori
estimate n

IIYn+lIIA < I ~ Y o ~ ~ A+ CTIIB-~IP~IIA(21)


k=O
holds for the difference scheme (1) and (2)). If B > 0 then

Estimates (21) and (22) follow immediately from the proved general
estimate (23) from Section 5.2 (with MI = 1, (1 . l l l h = 11 . ID, D = A,B).
The estimates of stability of the difference solution with respect to the right-
hand side in other norms are useful. Some of these have been mentioned for
solution of the differential problem in Section 5.1. Similar estimates can be
obtained by making condition (8) more approximate.
NONSTATIONARY PROBLEMS O F HEAT TRANSFER

Theorem 4. If A > 0 and the inequality

B > E E + ~ A ,
2

where E > 0 is satisfied, then the a priori estimate

holds for the difference scheme ( I ) and (2)


The right-hand side of (24) is estimated in the simplest norm. Then (24) is
proved on the basis of energetical identity (6). We have

Substituting this into (6) and using condition (23), we arrive at the inequality

Taking into account the difference Gronwall lemma, from this inequality we
obtain the required estimate (24).
Theorem 5. If A > 0 and the inequality
I+
B>- TA,
2

where E > 0, is satisfied, then the a priori estimate


n
I+
llr/ntlll2a IIl~oll2a+ -- C~ll~nlli-1
2E lid

holds for the difference scheme (1) and (2)).


We again consider the energetical identity (6). The inequalities
7
<
~ T ( P ~ , Y ~~ )T I I ~ ~ ~IIY~IIB +
I I B - 5L 2 ~ P l l ~ t l l Z e -Il~nlIi-1
2P

hold for any 0 > 0. Substituting (27) into (6), we obtain

27 (((1 - 0 ) B - '2 A ) yt,yt) + ( A ~ n t ~ i ~ n t l )


T
= (AY,,YJ +5ll~~11~-~.
254 COMPUTATIONAL HEAT TRANSFER

+
Taking into account (25), we choose 0 so that 1 E = 1/(1 - 0 ) . Then (28)
gives the following estimate of the solution on a level:

and the a priori estimate (26) follows from this.

5.4.4 STABILITY OF THREE-LEVEL DIFFERENCE SCHEMES


Let us cite some stability conditions of three-level difference schemes written
in the canonical form

under the condition that

are constant grid operators.


We investigate the stability of three-level difference scheme (29) and (30)
by reducing it to the corresponding twelevel scheme and use the formulated
results on stability of two-level schemes.
Let
'~n-~n-lr (31)

then (Section 5.2) the three-level scheme (29) is written as

The operators A and B in (32) are determined a s

and the right-hand side of (32) is

mn = {%>01
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 255

Under the formulated assumptions (30), the operator A is self-adjoint, and


the operator B is not so. We have already mentioned that the necessary and
sufficient condition for two-level difference schemes to be stable with respect
to the initial data at A = A* > 0 is the inequality (Theorem 1 also holds for
B # B*):
B > ~ A .
2 (36)
The stability holds in the space H i , and, by virtue of (31) and (33), for
V = {UI,212) we have

Theorem 6 . If A > 0 and

then the following estimate of stability with respect to the initial data holds
for the difference scheme i n (29) and (30):

We should check the inequality (36) and condition A > 0, in order to obtain
the estimate (40). If inequality (39) is satisfied, then, by virtue of (37), we
have A > 0. From the definitions of operators A and B (see (33) and (34)),
we have
B--A=
T
2 I B
-T ( R - + A )

Therefore for any element V = {ul,vz} from Hz we have


0

Hence it follows that

((B-$A)V,V) = ( B V I , U I ) + T ( ( R - + A ) ~ ~ , W I )
- T ( ( R - : A ) U I , ~ ,=
) (BV,,VI)

Therefore inequality (36) is satisfied under the condition B > 0 (inequality


(38)). Thus the theorem is proved.
Note that in proving the stability for both the two-level scheme (Theorem 1)
and three-level scheme (29), in practice we do not use the condition that the
operator B is self-adjoint. Note also that if (29) is satisfied, then condition
256 COMPUTATIONAL HEAT TRANSFER

(38) is not only sufficient, but also necessary for the difference scheme (29)
and (30) to be stable.
The presented result can be obtained on the basis of corresponding
energetical identity for three-level difference schemes, and by estimating the
norm of transition operator in writing the difference scheme a s in Problem 2,
Section 5.2. Anyway this entails cumbersome calculations, and therefore we
restrict ourselves to the considerations presented.

5.4.5 + S T A B I L I T Y OF T H E THREE-LEVEL SCHEME


In order to obtain the conditions of pstability of the three-level difference
scheme (29) and ( 3 0 ) , we reduce it so that the stability conditions of the
transformed scheme (with p = 1 ) result in the conditions of pstability of
the initial scheme. A similar approach can be applied for two-level difference
schemes which results (Problem 2 ) in the stability in less convenient norms.
Assume that the transformation

is applied to difference scheme (29). The simplest estimate for the norm of
a new grid function vn+l like [lun+l[[5 [I D , [ [ corresponds to the estimate
Ily,+l(l 5 plly,ll, which is related to the pstability. A similar situation occurs
in using norms in HZ.
By taking into account (41), the three-level difference scheme (29) is
transformed to
g ""+I - "n-1 +72E U"+1 - 221, + -
ZT r2
Un-1
+ Av, = &,
(42)
n = 1 , 2 , ... .
The operators in (42) are determined in terms of the operators of initial
difference scheme (29) by means of the relations

Let us see how the conditions of stability for difference scheme (42) are
transformed into operator inequalities for the initial difference scheme (29).
A
By taking into account (43), the condition > 0 is reduced to
NONSTATIONARY PROBLEMS O F HEAT TRANSFER

Now let us check the condition

Taking into account (43), we obtain

Therefore inequality (45) is transformed to

The necessary and sufficient condition 5 2 0 is like

It only remains for us to formulate the corresponding estimate of stability.


Under the conditions imposed on the operators, for the difference scheme (42)
(see Theorem 6) we have the estimate

where
,vn - n"-1 (49)

Taking into account (41), from (49) we obtain

Therefore we can define

In this case estimate (48) has the necessary form

IlY"+'II,- 5 PllY"II,-.
Thus we can formulate the following statement.
258 COMPUTATIONAL HEAT TRANSFER

T h e o r e m 7. If inequalities (441, (46) and (47) are satisfied, then the


estimate (50) and (51) of p-stability with respect to the initial data holds for
difference scheme (29) and (30).
Note that the estimate of stability (51) is obtained in a more complex norm,
in particular, depending on p. Estimates in simpler norms can be obtained
under stricter constraints on the operators of difference schemes.

5.4.6 STABILITY OF THREE-LEVEL SCHEMES WITH RESPECT TO


THE RIGHT-HAND SIDE
Let us present some estimates of stability of the three-level difference scheme
(29) and (30) with respect to the right-hand side. The simplest estimates
can be obtained by writing (29) as the equivalent two-level difference scheme
(Problem 2, Section 5.2)

at Y" = {y,-~,y,} and a" = {O,B;'~,), where Bz = R + (2.r)-'B. For the


vector Y = {yl, y2} we determine the norm a s

T h e o r e m 8. I f A > 0 and the inequalities (38) and (39) are satisfied, then
the estimate "
IIynt'll~5 llylll~ C
+ IlB~l~nll~ (54)
k=1

holds for the dafference scheme (29) and (30).


Under the conditions formulated for the operators of (29) and (30) the
latter are stable with respect to the initial data. The corresponding estimate
of stability (40) now implies the stability in the norm determined according
to (53). From (52) we have

Due to the stability with respect to the initial data, we have

and it only remains for us to transform the second term in (55). We have
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 259

Substituting (56) and (57) in (55), we obtain the proved estimate (54).
As for two-level difference schemes, we can extend the set of estimates of
stability with respect to the right-hand side by using various norms for the
right-hand side of (29) and (30).

5.4.7 PROBLEMS
1. O b t a i n t h e estimate of stability with respect t o t h e initial d a t a
i n H s by t h e m e t h o d of energetical inequalities for t h e difference
scheme (1) a n d (2) w i t h positive operators A a n d B assuming t h a t
t h e condition (8) is satisfied.
Solution. In order to obtain a new energetical identity, let us multiply the
uniform difference scheme (1) in a scalar way by 27G, namely

Taking into account (4) and a similar formula

Substituting these in (58), we obtain

If inequality (8) is satisfied, then we have

and therefore estimate II$IIB 5 llylle follows from (59), i.e. the difference
scheme (1) and (2) is stable in H s .
2. O b t a i n t h e conditions of pstability for t h e two-level difference
scheme (1) a n d (2) o n t h e basis of transformation (41).
Solution. The difference scheme (1) is written as
260 COMPUTATIONAL HEAT TRANSFER

For the operators of scheme (60) we have

A difference scheme is stable in H z if

These conditions result in the two-side operator inequality (11) of pstability.


In doing so, the estimate of pstability with respect to the initial data like
IJ~,,+~llx5 pIIyn!la holds for the initial difference scheme. Thus we obtain the
estimate of stab~lityin a norm more complex than earlier (see Theorem 2).

5.5 Stability and Convergence of Difference Schemes for the


Heat Equation

5.5.1 STABILITY OF TWO-LEVEL SCHEMES WITH WEIGHTS


We begin by considering two-level difference schemes with weights, which
were constructed in Section 5.3 for the first boundary value problem for
the heat equation. For convenience, we, as usual, assume that the boundary
conditions are uniform. We write differencescheme (10)-(12) from Section 5.3
as

Here the operator A is defined on the set of grid functions being zero on aw
and

where, for example,

We write the scheme with weights (1) in the canonical form


NONSTATIONARYPROBLEMSOFHEATTRANSFER 261

with the operators


B = b(x)E + UTA, A = A. (6)
The difference scheme (5) and (6) belongs to the class of schemes with weights
for which
B=D+mA. (7)
Assume that A = A* > 0 in the scheme (5) and (7); then the necessary
and sufficient condition of stability in H A with respect to the initial data
(Theorems 1 and 2 in Section 5.4), i.e.

is now
D + ( o - i)T A 2 0. (9)
>
Let D 0; then condition (9) is satisfied for all u 2 0.5 independent of the
time step (the time stability). If we know additionally a positive constant 6
such that
A AD, < (10)
then condition (9) is satisfied at

This inequality can be interpreted as a condition for the time step for u < 0.5,
namely
1
T<To=
A(0.5 - a)' (1'4

Thus, for example, for the explicit scheme the time step is like

We specify the obtained condition for the difference scheme (1) and (2)
written in the form (5) and (6). In this case the mentioned properties of
operators A and D clearly hold. Therefore the difference scheme (1) and
(2) with weights is unconditionally stable with respect to the initial data at
>
u 0.5 in H A . This, in particular, holds for the symmetrical scheme. Earlier
(see Section 5.3) we proved the unconditional stability (in the uniform norm)
for only the purely implicit scheme.
If o < 0.5 the scheme with weights is conditionally stable. Let A be the
constant in the inequality
<
A Ab(x)E, (14)
262 COMPUTATIONAL HEAT TRANSFER

then the stability condition is as in (11) and (12). Making (14) more
approximate we can obtain explicit constraints for the time step depending
on the spatial parameters of the grid. Let co = min c(x) and ~2 = max k(x).
Taking into account the inequalities
b(z)E 2 COE, A 5 KZA5 KzA,&, (15)
where A is the Laplace grid operator, and A,, is its maximum eigenvalue.
For A,. (see Section 4.7) we can use the estimate
A,, < 4(hy2 + h i 2 ) . (16)
Taking into account estimates (15) and (16), we see that the inequality (14)
is satisfied with
K2
A = 4-(hc2 + hy2). (17)
CO
From (12) and (17) we obtain the following constraints for the time step:

The presented estimate (for u < 0.5) can be compared with the estimate of
stability of difference schemes with weights (see (26) in Section 5.3) in uniform
norm

If u < 0.5, the limit time step in estimate (18) exceeds the time step in (19)
(the latter can be increased by (1 - u ) / ( l - 20) times). Estimate (18) reflects
(like (19)) the essential dependence of the maximum step on h (T = O(lhI2)).

5.5.2 ACCURACY OF TWO-LEVEL DIFFERENCE SCHEMES


In order to investigate the accuracy of difference scheme with weights (1)
and (2), we should consider the problem for error z,(x) = y,(x) - u(x, t,),
x E w, namely

X E ~ , n = 0 , 1 , ...,
zo(x) = 0, x E W . (21)
For the approximation error we have (see Section 5.3)
$L(x) = O ( r Y+ llhl12). (22)
where Y = 2 for u = 0.5 and Y = 1 if 0 # 0.5.
The corresponding estimates for the error can be obtained by using the
results on stability of the difference scheme (20) and (21) with respect to the
right-hand side (see Theorems 3-5 in Section 5.4). Here we use an analogue
of Theorem 4 for the difference scheme (5) and (6).
NONSTATIONARYPROBLEMSOFHEATTRANSFER 263

Theorem 1. If A = A* > 0, D = D* > 0, and u > 0.5, then the a priori


estimate n

\\Yn+ll\2A5 /\YO\\; + 7\I(Pk\\'D-1 (23)


k=O

holds for the dzfference scheme (5) and (6)


Under the theorem condition, B >_ D + 0.5rA, and the main energetical
identity ((6) in Section 5.4) results in

Using the estimate

we obtain the inequality

From this we obtain the proved estimate (23) of stability for the difference
scheme (5) and (6).
Now let us apply the theorem to the problem for error (2) and (21). Taking
into account (6), we obtain

From this estimate we obtain a simpler one

Taking into account (22), the estimates (24) and (25) ensure that the difference
scheme (1) and (2) converges with second order with respect to spatial
variables and with order v with respect to time.

5.5.3 THREE-LEVEL SCHEMES WITH WEIGHTS


Let us consider the conditions under which the three-level difference scheme
for the heat equation is stable. The common three-parameter scheme is (see
scheme (36) in Section 5.3) like

with given yo(z) and yl(x), x E w , and uniform boundary condition.


264 COMPUTATIONAL HEAT TRANSFER

First we write the scheme (26) in the canonical form

By checking directly we see that in this case we should take the coefficients

The operators B, R, and A are self-adjoint in (27) and (28), with A > 0. The
stability of the scheme with respect to the initial data is ensured (Theorem 6
from Section 5.4) by the inequalities

We consider the difference scheme (27) and (28) under the additional
>
constraint 8 0.5. The other case (8 < 0.5) should be considered separately
(see Problem 2) and is not of interest for the problems on heat conduction in
hand. Taking into account the operator inequality (14), from (28) and (29)
we obtain

These conditions are satisfied at

The conditions of stability for the family of oneparametric three-level


difference schemes introduced in Section 5.3 follow from the conditions (30)
and (31) of stability for the general class of three-level difference schemes (26).
For symmetrical three-level difference schemes we have

For the latter the conditions of stability (30) and (31) are reduced to the
simplest inequality
1
u>z. (33)
The class of purely implicit threelevel schemes corresponds to the parameters
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 265

in the scheme ( 2 6 ) . Condition ( 3 0 ) is clearly satisfied in the case of ( 3 4 ) , and


( 3 1 ) is satisfied at
02;. (35)
Thus, in particular, the scheme providing the second order of time and space
approximation with 8 = 1.5 is also stable (see Section 5 . 3 ) .
In order to study the convergence of three-level difference schemes, we use
the estimates of stability with respect to the right-hand side. The latter is
formulated by Theorem 8 in Section 5.4. If the difference scheme ( 2 7 ) and
( 2 8 ) is stable with respect t o initial data, then for the error of difference
solution Zn = {z,-l, t,} we have the estimate

where
1
& = R + - B27
,

and the norm is determined by the formula

It follows from estimate ( 3 6 ) that the accuracy of solutions at the zero and first
levels should be consistent with the approximation of the threelevel scheme.
Let us obtain a simpler estimate for the norm of approximation error.
Taking into account ( 3 7 ) and the positive definiteness of operators B and
R , we have

Further considerations take into account the specific form of expressions ( 2 8 )


for grid operators. Thus, for example, for the symmetrical scheme ( 2 7 ) , ( 2 8 ) ,
and ( 3 2 ) we have B = b ( x ) E and R = uA, and therefore ~TIIB-'+,,~IR=
~ r r l [ b - ' + ~ l We
l . can also obtain more acceptable norms for the approximation
error, but do not dwell on this here. Based on the considerations above, we
can draw a conclusion on the convergence of threelevel difference schemes in
the corresponding norms.
An additional, although obvious, point is that the accuracy of yo and yl
should be consistent with the approximation error of three-level schemes.
Thus, for example, if we use a scheme providing the second order of time
approximation, then yl should be found within the same accuracy by using
one or other difference scheme.
266 COMPUTATIONAL HEAT TRANSFER

5.5.4 PROBLEMS
1. S t u d y t h e convergence of difference scheme (5) for A = A', if

Solution. In our case the necessary and sufficient conditions of stability in


Ha result in

By virtue of this, the difference scheme (5) and (38) is unconditionally stable
>
at a 16.

2. By regularizing t h e explicit Richardson difference scheme

c o n s t r u c t a n unconditionally s t a b l e explicit difference scheme.


Solution. The scheme (39) belongs to the class of symmetrical schemes with
weights with
e=;, o,=02=o=0.
Here the stability conditions (30) and (31) are never satisfied, i.e the
Richardson scheme is absolutely unstable.
Let us regularize the difference scheme by perturbing the diagonal part of
the grid operator which is denoted by D. Thus we arrive at the Dufort-Frankel
difference scheme

The latter differs from (39)by replacing y, in the diagonal part of the operator
A by a half-sum of solutions from the (n+l)th and ( n - 1 ) t h levels. It is written
in the canonical form (27) with

B = b(z)E, R = D, A=A. (41)

The scheme (27) and (41) is stable with respect to initial data, provided that
the inequality
R-+A=~(zD-A)>o (42)
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 267

is satisfied. For the grid elliptic operators A determined by (3) and (4) we
have the estimate A < 2 0 , which has been proved in Section 4.7. This implies
that the condition of stability (42) is satisfied. The disadvantages of difference
scheme (40) are caused by the fact that it has the conditional approximation,
+ +
namely $, = 0 (.r2 lhI2 ~ ~ I h l - i.e. ~ ) , = O(lhI2) at T = O(lhI2), as for
the conventional explicit scheme.

5.6 Asymptotical Stability of Difference Schemes for the


Heat Equation

5.6.1 ASYMPTOTICAL STABILITY


In order to describe the process of heat conduction, we separate the stage
of regular mode (Section 3.4), which is characterized by the attenuation of the
solution according to the asymptotics of the main (minimum) eigenvalue of the
corresponding heat conduction operator. It is logical t o construct difference
schemes which reflect such an asymptotical hehaviour of the solution at large
times.
Usually the condition of stability with respect to the initial data consists in
the fact that the norm of solution does not increase in time, i.e. one investigates
the stability of difference schemes with p = 1. To describe the regular mode of
heat exchange correctly, it is necessary that the solution attenuates according
t o a definite attenuation law. The difference schemes satisfying this condition
are said to be asymptotically stable.
We consider the simplest heat equation

au
-=C-axu ~ 0 ,t > O ,
at ax; '
o=l

with the initial and boundary conditions

U(X,t ) = O, E an, t > o, (2)


u(x,O) = ug(x), x E R. (3)

For the asymptotically developed stage of regular heat transfer the solution
is specified by the formula

where XI is the first eigenvalue, and the eigenfunction wl(x) corresponds to it.
268 COMPUTATIONAL HEAT TRANSFER

According to Section 5.2, we relate to the boundary value problem (1)-(3)


the difference problem

in the finite-dimension space H of grid functions under the initial condition

The operator A in (5) is self-adjoint and positive definite, i.e

where 6 is the minimum eigenvalue of the Laplace difference operator A. The


solution of problem (5) and (6) on the asymptotical stage can be represented
as in (4). In order to formulate adequate conditions of stability, we present
the corresponding estimate for the norm.
Multiplying (5) in a scalar way by v(t) and taking into account (7), we

From this inequality we immediately obtain the following estimate of stability


with respect to the initial data for problem (5) and (6):

It is quite reasonable to require that the norm of the difference solution


to (5) and (6) decrease according to the estimate (8). To do this, we should
specify the definition of stability for the corresponding difference solutiou. A
difference scheme is asymptotically stable, if the estimate of stability with
respect to the initial data

holds. The latter holds if the corresponding difference scheme is pstable with

In these frameworks the investigation of asymptotical stability is based on


considering the pstability with p determined by (10).
NONSTATIONARY PROBLEMS O F HEAT TRANSFER

5.6.2 T WO-LEVEL SCHEMES


For (5) and ( 6 ) let us write the conventional scheme

with the weight a.


Recall (Section 5.4) that the two-level difference scheme

is pstable in Ha with A > 0 (or in Hg with B > 0 ) at A = A' and B = B*


if and only if the conditions

~7- P B S lA+ pSg - T


(13)

are satisfied.
Let us check the conditions (13) of pstability for the scheme with weights
( 1 1 ) . The latter can he written in the canonical form (12) with the operators

First we consider the right-hand side of the two-side inequality ( 1 3 ) .For (14)
we have
A< l + p ~ + ~ ( l + ~ ) ~ . (15)
T

The latter is satisfied for all T if the weight is chosen according to

The usual condition of stability (for p = 1) results in the conventional


condition of unconditional stability, i.e. a 112.>
By taking into account (14), the left-hand side of (13) is transformed to

The latter is satisfied at


270 COMPUTATIONAL HEAT TRANSFER

Hence we obtain the upper estimate for the weight, namely

For problem (5)-(7) we consider pstable difference schemes with p deter-


mined by (10). Let us check the conditions (16) and (18) under such
assumptions. For p = exp(-67) we have

since sinh(P) > p for fi > 0. Thus we cannot point out the weight u
under which both the conditions (16) and (18) are satisfied, i.e. no two-level
difference scheme with weights (11) is unconditionally asymptotically stable.
We can, however, mention some classes of conditionally pstable schemes
with weights. Along with (17), for the operator A we have the upper estimate

A 5 AE, (19)

where A is the maximum eigenvalue of the Laplace difference operator A.


First, let us find admissible time steps without fixing the weight of the
difference scheme. If (19) is satisfied, then, instead of (16), we have

In this case

where 17 = 6/A.
The admissible time steps are determined by the condition 01 - uo 2 0, i.e
by the inequality

The latter is equivalent to the condition


NONSTATIONARY PROBLEMS O F HEAT TRANSFER 271

) p/sinh(p). Let us show that the inequality


where ~ ( p =

) p 2 0. Inequality (22) is equivalent to the


holds for the function ~ ( p for
function

being nonnegative.
In investigating the nonnegativeness of functions, we use the statement
proved in Problem 1 (see later). In our case we have

for p > 0. The inequality (24) follows from this.


It follows from (21) and (22) that $ 5 6q and therefore even at the optimal
(in sense of asymptotical stability) weight a = uO(rO)= ol(ro) for the time
step we have
<
0 < T TO, : % 6/(6A).
7 (23)
By taking into account that 6 = O(1) and A = O(lhI2), the condition (23) of
asymptotical stability results in TO = O(lh1) for the maximum step.
It should be noted that, taking into account the error of spatial appro-
ximation, the condition of asymptotical stability can be replaced by the
condition of p-stability with p = exp(-&T), where 6h = 6+O(lh12). However,
the maximum time step does not essentially increase in this case. Now in
inequality (20) we can put p = 6hr. Instead of (23), we obtain the estimate
0 < T 5 TO, T: = 66/(6:A), which is not essentially weaker than (23).
Thus for any asymptotically stable difference schemes the time step should
be constrained by the condition (23). The latter can only be replaced by more
severe conditions for specific schemes (with a given weight a ) .
Let us mention the most interesting difference scheme with weights. Let
us obtain the corresponding conditions of pstahility for the symmetrical
(u = 112) and explicit ( a = 0) schemes. The left-hand side of (13) (inequa-
lity (18)) is satisfied in both cases. This is led from inequality
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 273

condition for p, we can obtain stable schemes under weak constraints for the
time step.
Let us consider the purely implicit scheme as an example. In this case
inequality (16) (and even more, inequality (20)) is satisfied. Let us put
p = exp(-y&), where 0 < y < 1 (less restrictive constraints for the solution
decrease). Then let us choose the maximum step TO so that the inequality (18)
is also satisfied. This is the case for u = 1 if

The latter is satisfied for y < 1 at 67 5 ~ ( y ) The


. corresponding numerical
values are given in Table 1. Thus difference schemes with weights are pstable
with p = exp(-$7) under the constraint T 5 TO = 6-'~(7) for the time step.

Table 1.
7 0.5 0.75 0.9 0.95 0.975 0.99
r 1 2.513 0.734 0.230 0.107 0.052 0.020

5.6.3 THREE-LEVEL SCHEMES


Asymptotical stability can be analysed in detail for three-level difference
schemes. In order to solve the initial problem (5)-(7) approximately we use
the scheme

with the weights 0, u1, and u2.


As the first example we consider implicit schemes with weights where ul = 1
>
and u2 = 0 in (29). If n 2, where n = 20 - 1, the conditions of asymptotical
stability result in the inequality

A simpler estimate p 5 l / n follows, in particular, from (30). The obtained


constraints for the time step 7 5 r0 = ll(n6) are not restrictive. There is no
unconditionally asymptotically pstable schemes with p = exp(-67) among
three-level symmetrical difference schemes (0 = 112, u1 = u2 = u).
274 COMPUTATIONAL HEAT TRANSFER

5.6.4 PROBLEMS
1. S h o w t h a t f(x) 2 0 for all x 2 0 if

is satisfied.
Solution. In order to show this, it is sufficient to consider the expansion of
function f ( x ) in the Taylor series, namely

2. Investigate t h e asymptotical stability of t h e complex scheme


which c a n b e w r i t t e n i n t h e canonical f o r m (12) w i t h

Solution. The right-hand side of (13) is satisfied for all p > 0, and, taking
into account (31), the left-hand side can be reduced to

Taking into account estimate (7) and p = exp(-6r), we obtain the inequality

$ p2 + p 2 exp(p) - 1, p = 67.

The latter is not satisfied for any p. As in the purely implicit scheme we can
< >
take p = exp(-y6~) at ip 1. The function ~ ( y ) 6.r is given in Table 2.
Table 2.
Y 1 0.5 0.75 0.9 0.95 0.975 0.99 1

Thus the considered difference scheme has good asymptotical properties


(a quite large time step is admissible even for the parameter y close to 1).
Besides, unlike the purely implicit scheme, the scheme (12) and (31) provides
the second order of accuracy with respect to T.
NONSTATIONARYPROBLEMSOFHEATTRANSFER

5.7 Hyperbolic Heat Equation

5.7.1 DIFFERENTIAL PROBLEM


In modelling high-intensive nonstationary processes of heat conduction one
uses (see Section 2.1) the hyperbolic heat equation which takes into account
that the heat perturbation propagates with a finite speed. The heat equation
in an isotropic medium is

with the conventional operator of heat conduction

In (1) V is the relaxation parameter of the heat flow. The closing relations are
the initial and boundary conditions

Let us obtain the a priori estimate of the solution to problem (1)-(5). We


will tend towards this estimate in investigating the stability of corresponding
difference schemes. Let us multiply equation (1) by aulat in a scalar way in
H
' = L2(R). Then we obtain

The right-hand side of (6) is estimated as

It follows from (6) and (7) that


276 COMPUTATIONAL HEAT TRANSFER

where, taking into account the uniform boundary conditions (3), the value

determines the norm of the solution to (1)-(5). Applying the Gronwall lemma
(see Section 5.1) to (8), we obtain the estimate

If v = 0, the a priori estimate (9) and (10) is reduced to the conventional


estimate of stability for the problem of heat conduction (Problem 2 from
Section 5.1).

5.7.2 THE STABILITY OF SCHEMES WITH WEIGHTS


It is logical to use three-level schemes with weights to solve the problem
(1)-(5) approximately. The common three-parametric family of such schemes
can be presented as

Ob(x)yt + (1- O)b(x)y-i+ V b ( x ) ~ ~


+ +
A (a18 (1 - a1 - oz)yaz$) = p (11)
at given yo(x) and y,(x), x E w.
The scheme (11) is written in the canonical form with

The difference scheme in hand differs from that with weights for the heat
equation only by the additional term V T - ~ ~ ( X )inE the operator R, which
improves the stability conditions.
The operators B, R, and A in (12) are self-adjoint, with A > 0.Let us check
the conditions of stability with respect to the initial data for the scheme ( l l ) ,
namely
B ~ O , R > ~ A . (13)
It follows from (12) and (13) that the scheme (11) is stable if
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 277

It follows, in particular, from (14) that the scheme is absolutely stable under
the conventional (see Section 5.5) constraints for the weights, namely

The norms of the difference solution are specified according to the general
theory of stability for difference schemes (Section 5.4).

5.7.3 S Y M M E T R I C A L SCHEMES
Among schemes with weights we select a oneparametric family of symmet-
rical difference schemes for which

In this case difference scheme (11) has the approximation error $, = O(T' +
lhI2).
, , .
If (16), then the stability condition (14) is like

The symmetrical explicit difference scheme ( a = O ) , in particular, is


conditionally stable at r2 5 4 V / A , i.e. for T < O(lh1).
Let us present the difference analogue of the a priori estimate ( 9 ) and (10)
for the symmetrical scheme (11) and (16) at u = 0.25. Denoting

we write the symmetrical difference scheme (11) and (16) for a = 0.25 as

Taking into account the obvious inequalities

6 + u = -2( w
T " T .
-w), i, - u = qw
2
+w),

we multiply the equation (19) by lir + w in a scalar way in H and obtain


278 COMPUTATlONAL HEAT TRANSFER

For the right-hand side we use the estimate

Taking into account that the equality

holds for self-adjoint operators Q, from (20) and (21) we obtain

Taking into account ( I S ) ,from (22) we obtain the inequality

where
a = v(o(~g,,)+ ( A F, q) . (24)

Inequality (23)is the differenceanalogue to (9), and the norm (24)is consistent
with the norm (10) of the differential problem.
The estimate obtained ensures the stability with respect to the initial data
and right-hand side. Therefore we have shown that the symmetrical scheme
converges to the precise solution in quite simple norms. The same holds for
the corresponding difference scheme for the conventional heat equation (V = 0
in (11)).

5.7.4 PROBLEMS
1. For t h e hyperbolic h e a t equation (1) a n d (2) c o n s t r u c t a
difference scheme providing t h e f o u r t h o r d e r of t i m e approximation.
Solution. Expanding the equation at the point ( x ,t,), x E w , we have
NONSTATIONARY PROBLEMS O F HEAT TRANSFER

Therefore
au
c(x) at+Vc(z)-
aZu+ Lu - f (x, t)
at2

It follows from equation (1) that

Therefore (25) allows us to write the difference scheme

Due to the constructions, the difference scheme (26) has the approximation
+
error 0 ( r 4 lhl2).
2. Investigate the stability of the difference scheme (26).
Solution. Scheme (26) is written in the canonical form with the operators

By taking into account the inequality A < Ab(x)E, the condition of stability
can be transformed to
280 COMPUTATIONAL HEAT TRANSFER

Thus the scheme is stable if the inequality

holds. Hence it follows that the difference scheme in hand is stable for
V 5 ll(2A).

5.8 Regularization of Difference Schemes

5.8.1 THE REGULARIZATION PRINCIPLE

Stable difference schemes are constructed and investigated based on some


general statements. One of these is the conservativity principle which requires
that the conservation laws are satisfied for the discrete analogue of the
difference problem. The construction of difference schemes for evolutionary
problems may also be based on the regularization principle for difference
schemes. The principle has been discussed for iterative methods in Section 4.7.
The regularization principle for dzfference schemes can be considered as a
common approach for improving the qualities (stability, accuracy, etc.) of
difference schemes. It is based on improving the qualities of the simplest
difference scheme by perturbing grid operators. The primary difference scheme
is written in the canonical form and the operators are perturbed with the
general conditions of stability taken into account. The stability conditions
formulated as operator inequalities show the ways to improve difference
schemes.
The regularization principle is a common approach. It consists of the
following stages.
(1) The simplest difference scheme is written for the initial differential
problem. The scheme approximates the problem but is not unconditionally
stable.
(2) The initial difference scheme is written in the canonical form.
(3) Grid operators of the difference scheme are perturbed on the basis
of general conditions of stability so that the approximation conditions
are not violated. This results in a class of stable regularized difference
schemes.
Further we use the regularization principle for constructing economical
difference schemes in solving many-dimension problems. This approach is
also applied in constructing stable difference schemes for ill-posed (inverse)
problems for evolutionary equations.
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 281

5.8.2 REGULARIZATION OF TWO-LEVEL DIFFERENCE SCHEMES


We again (see Section 5.3) consider the boundary value problem of heat
conduction

where

According to the regularization principle, we take the simplest explicit


difference scheme

as the initial one. The operator A in (5) is determined on the set of grid
functions being zero on aw, and, for example,

The difference scheme (5)-(7) approximates the initial boundary value


problem (1)-(4) within the accuracy O(T + lhI2).It belongs to the class of
conditionally stable schemes, namely (see Section 5.5) it is stable at

where A is the constant in the inequality

A < Ab(x)E.
We construct absolutely stable difference schemes based on the conditional
stable scheme (5)-(7). According to the formulated principle, we write (5) in
the canonical form of two-level difference schemes, namely
282 COMPUTATIONAL HEAT TRANSFER

For the grid operator B and A we have

The regularization is based on passing from the initial difference scheme to


another (perturbed) scheme. Assume that R = R ' > 0 is the regularized grid
operator, and denote by a the parameter of regularization (perturbation). In
order for the difference scheme (10) to be stable in H A , where A = A' > 0
(in H g , where B = B' > 0), it is necessary and sufficient that the condition

is satisfied. According to the latter, it is logical to associate the regularization


with additive perturbation of the operator B. Therefore we write the
regularized scheme for (5) as

In order for (13) to conserve the approximation, we should choose the


perturbation parameter a = O(T).
Let us show that difference scheme (13) is unconditionally stable in H A and
H g with the regularizator R = A, if

The proof is based on checking the necessary and sufficient condition (12).
For the scheme (13) we have

Taking into account (9), and substituting (15) into (12) with R = A, we
obtain

The proved statement follows from this.


Note that the regularization (13) with R = A just corresponds to the
conventional scheme with weights ( a = U T ) , and condition (14) is the stability
condition for the scheme with weights (see (11) in Section 5.5).
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 283

Logically, the regularizator R can be chosen in various ways. We mention


the variant R = A2. The inequality (12) for such a regularizator is transformed

Hence it follows that for R = A' and a > r2/(16%), ~g = minc(x), the
regularized scheme (13) is absolutely stable. An example of such a scheme
with b(x) = 1 has been considered earlier (see Problem 1, Section 5.5).
We have improved the properties of explicit scheme (5) by perturbing the
grid operator B in the two-level difference scheme (10). The operator A could
also be perturbed here (see Problem 1).

5.8.3 ENERGETICALLY EQUIVALENT REGULARIZATORS


We have considered regularizators R which are directly connected with
the heat conduction operator A. The regularization principle can also use
regularizators R which are energetically equivalent to those constructed on
the basis of operator A. We have used such an approach earlier in Section 4.7
for constructing iterative methods for solving stationary problems of heat
conduction.
It is convenient to construct the regularizators on the basis of simplest grid
elliptic operators. For the coefficients of grid elliptic operator A determined
according to (7) we have 0 < nl 5 a,(x) 5 nz, a E w , where, for example,
nl = min k(x) and n2 = maxk(x). Therefore the operator A j s energetically
equivalent to the grid Laplace operator which we denote by A, namely

Let us consider the regularized difference s ~ h e m e(13) with regularizators


constructed by the Laplace operator. If R = A, then, taking into account (9)
and (16), the necessary and sufficient condition (12) is transformed to

Hence it follows that the regularized difference scheme (13) with the regula-
rizator R = A is stable if a 5 n2(7/2 - A-I). This condition is more rigid
than (14).
284 COMPUTATIONAL HEAT TRANSFER

Similarly we consider the regularized difference scheme (13) with R = (A)Z.


In this case
T T a T
B--A=b(x)E+a(A)'--A=b(x)E+-A2--A,
2 2 4 2

and therefore the scheme is stable for a 2 nzr2/(16co). Thus in this case the
regularization parameter a is proportional to the squared maximum of heat
conductivity coefficient.

5.8.4 REGULARIZATION OF THREE-LEVEL SCHEMES


As the initial scheme we take in an asymmetrical explicit scheme (the
Richardson scheme, see Section 5 . 5 ) , namely

b(x)y.
t
+ Ay = ip.
(17)
This scheme provides the second order of time and space approximation and
is written in the canonical form

By.
t
+ T'RR, + Ay = ip (18)
with the operators

The stability conditions for the scheme (18) are

The scheme (18) and (19) is absolutely unstable because the second inequality
in (20) is not satisfied. Therefore we can regularize it by perturbing the grid
operator R.
Starting from (17) we construct the regularized scheme

The latter is written in the canonical form (18) with

B = b(x)E, R = aR, A = A. (22)

Let us mention some variants in choosing the regularizators. The simplest way
is to put R equal to D, where D is the diagonal part of the grid operator A.
Taking into account (Section 4.7) the inequality A < 2 0 , for R = D we obtain

R - ' 4A = ~ D - $ A > ( ~ - $ ) D .
NONSTATIONARYPROBLEMSOFHEATTRANSFER 285

Therefore the stability conditions ( 2 0 )of the regularized difference scheme ( 1 8 )


and ( 2 2 ) are satisfied for a 2 0.5. The specific case of regularized difference
scheme ( 2 1 ) with a = 2 corresponds to the Dufort-Frankel difference scheme
considered earlier in Section 5.5. Note that a = 0 ( 1 ) , and therefore the
regularized difference scheme (21) essentially worsens the approximation.
Assume now that R = A in the regularized scheme (21). In this case

for a > 0.25. Such aregularizator corresponds to the conventional symmetrical


three-level scheme (see Section 5.5) with a = a?. Under such a regularization
the scheme still provides the second order of time and space approximation.
We can also mention other ways to construct regularized difference schemes.
Thus, for example, as in two-level schemes we can choose the regularizator on
the basis of an energetically equivalent operator.

5.8.5 PROBLEMS
1. C o n s t r u c t a regularized difference scheme o n t h e basis of
explicit scheme (13) by regularizing t h e o p e r a t o r A.
Solution. We consider the scheme

Let us put R = AZ and check the necessary and sufficient conditions. By


taking into account (9),the condition that the operator A = A - @A2 is
positive results in the lower estimate of the regularization parameter

1
a <
A min c ( x )

Inequality (12) is transformed to

Hence we obtain the upper estimate for a , namely

a > 8 max c ( z ) '


286 COMPUTATIONAL HEAT TRANSFER

The explicit scheme (23) is conditionally stable. It follows from (24) and (25)
that the maximum time step (for optimal a) is constrained by the condition

8 maxc(x)
r<-
A min C(X).

Comparing (26) with the stability condition (T 5 2/A) for the explicit scheme
(13), we see that the regularized scheme (23) for R = A2 admits a larger time
step.
2. Consider t h e regularized scheme (21) w i t h t h e regularizator
R = E ( t h e Dufort-Frankel scheme).
Solution. In this case the regularized scheme has the canonical form with

For the grid operator A determined by (7) we have

The condition (20) results in the following constraints for the regularization
parameter: a > max k(z) (h;' +
h;').

5.9 N o n l i n e a r N o n s t a t i o n a r y Problems

5.9.1 QUASI-LINEAR HEAT EQUATION


Here we construct difference schemes for problems of nonstationary heat
conduction in media whose heat characteristics depend on temperature. We
consider the heat equation in the isotropic medium

where

Equationss (1) and (2) are complemented by the conditions


NONSTATIONARY PROBLEMS OF HEAT TRANSFER 287

Let us mention conditions under which the problem bas a unique solution.
The investigation is based on the corresponding statement on the uniqueness
of the solution to the corresponding linear problem. Assume that u(x,t) in Q
satisfies the parabolic equation

having coefficients continuous in Q. Using the maximum principle, we can


show that the solution to problem (3)-(5)is unique. Note that this holds
regardless of the sign of the coefficient ao(x,t).
Assume that there exist two solutions of problem (1)-(4),namely up(x,t),
P = 1,2, such that

under the corresponding initial and boundary conditions. For the difference
of solutions w(x) = u2(x)= -ul(x) we obtain (see Section 4.9)the boundary
value problem

Here we denote

The linear boundary value problem (7)-(9)belongs to the class of problems


(3)-(5)mentioned above. Therefore the trivial solution w(x,t) = 0 of problem
288 COMPUTATIONAL HEAT TRANSFER

(7)-(9) is unique for sufficiently smooth coefficients c ( x , u ) , k ( x , u ) , right-


hand side f ( x ,t , u ) and solution of problem (1)-(4). We can require that the
inequalities

are satisfied. Thus the solution of the nonlinear problem of heat conduction
(1)-(4) is unique in the class of bounded nonlinear coefficients.

5.9.2 LINEARIZED DIFFERENCE SCHEMES


Based on the difference schemes constructed for the simplest nonlinear
stationary heat equation (Section 4.8), we present some difference schemes for
the nonstationary problem. Let us define the nonlinear grid elliptic operator
of stationary heat conduction A(u)y on the set of grid functions on w by the
relation 7

The initial differential problem (1)-(4) is related to the difference differential


problem

Here, for example,

and the coefficients a,(x,u) are given as

Let us present some difference schemes for the problem (12)-(14).First we


mention the class of linearized difference schemes which is characterized by
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 289

the solution a t the new time level being found by solving a linear difference
problem. In the simplest scheme the coefficients are taken from the previous
time level. We can cite the difference scheme

+
as an example. This scheme, clearly, has the approximation error O(T lhI2).
The further development of scheme (15)-(17) is that with quasi-linearized
right-hand side, namely

The latter is linear, but has a larger reserve of stability with respect to the
nonlinear right-hand side.
Linearized schemes can be constructed on the basis of predictor-corrector
difference schemes. In this case difference scheme (15) is linearized in the
following way. The explicit scheme

is used at the predictor stage for calculating the coefficients and the right-hand
side. Therefore the correction stage may correspond to the scheme

The correction stage may also use the linearization scheme (18). Therefore, it
is worthwhile to use the scheme
290 COMPUTATIONAL HEAT TRANSFER

instead of (20).Instead of (21) we can also use another variant of the quasi-
linearization, namely

The schemes presented reveal large possibilities in constructing linearized


difference schemes. In applied mathematical modelling one should carry out
special investigations in order to choose difference schemes for specific classes
of nonlinear boundary value problems. The theoretical considerations in
nonlinear problems are often not sufficient.
Logically, linearized difference schemes for problem (12)-(14) can be
constructed on the basis of threolevel difference schemes. We do not dwell on
detailed description and restrict ourselves to the simplest examples. For the
approximate solution of problem (12)-(14) we can use threelevel symmetrical
difference schemes

with the corresponding initial and boundary conditions. These linearized


schemes provides the second order of both time and space approximation.

5.9.3 NONLINEAR DIFFERENCE SCHEMES


Nonlinear difference schemes are widely applied in calculation practice. Here
the solution at each time level is found by solving a nonlinear difference
problem. Such schemes are constructed similarly to linear schemes for the
linear heat equation. Thus, a purely implicit difference scheme for (12)-(14)
is like
Yn+1 - Yn
b(x,Y ~ + I ) T + A(~n+l)~n+l= ip(x,tn+~,~n+~), (23)
x E w , n=0,1,...,

under the additional conditions (16)and (17).Similarly we construct analogue


to schemes with weights. As an example we present the nonlinear analogue to
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 291

the two-level symmetrical difference scheme (the Crank-Nicolson scheme):

Among three-level nonlinear difference schemes we mention the implicit


schemes of the form (see Section 5.3)

If 0 = 1.5 this implicit scheme provides the second order of time and space
approximation, and the corresponding linear scheme is unconditionally stable.
The difference schemes presented are direct analogues to the implicit schemes
for the linear boundary value problem of nonstationary heat conduction.

5.9.4 ITERATIVE REALIZATION OF IMPLICIT SCHEMES


In order to find the difference solution at a new time level of implicit
schemes, one should solve a nonlinear difference problem. One or other
iterative processes are used to determine y,+l. These are constructed
on the basis of solution methods discussed in Section 4.9 for stationary
nonlinear problems of heat conduction. Note some important features of the
corresponding nonlinear grid problems.
1. A good initial approximation is available in iterative realization of an
implicit difference scheme. Assume that w k be the iterative approximation
to solution y,+l at the kth iteration. It is logical to take the solution at
the previous time level as the initial approximation, i.e. w k = y,.
2. The grid problem on determining y n + ~includes a small parameter, namely
the time step T . It influences essentially the degree of convergence of the
iteration process (the less T the faster the corresponding iterative process
converges).
These features are also characteristic for linear grid problems in realizing
implicit schemes and are discussed in detail in Chapter 6. Here we restrict
ourselves to only some examples.
We consider the nonlinear difference scheme (23). The simplest iterative
process is associated with the successive specification of nonlinear coefficients.
292 COMPUTATIONAL HEAT TRANSFER

In this case the new iterative approximation wk+l to yntl is found by solving
the boundary value problem for the difference equation

The linearized difference scheme (15) coincides with the iterative scheme (24)
if we restrict ourselves to one iteration.
Equation (24) can be modified by linearizing its right-hand side and using
the equation

In doing so the grid elliptic operator for determining the new approximation
remains self-adjoint.
The Newton method is widely applied in realizing nonlinear difference
schemes for nonstationary problems. In this case the new approximation is
found from the difference equation

Here (see Section 4.9) the grid elliptic operator A'(wk) is like

i.e. it is not self-adjoint.


The grid problem for equation (25) is solved by using iterative methods. But
the problem becomes more difficult because the grid elliptic operator is not
self-adjoint. The degree of convergence of iterative process (25) is investigated
in the conventional way, but it is rather cumbersome and we omit it.
NONSTATIONARY PROBLEMS O F HEAT TRANSFER 293

5.9.5 THE ACCURACY OF DIFFERENCE SCHEMES


The investigation of nonlinear difference schemes for nonstationary prob-
lems of mathematical physics is difficult because there is no general theory
of such schemes, The technique presented earlier for linear schemes is quite
general and consists in studying the approximation error, stability and
convergence. The methods for obtaining estimates in general theory of linear
difference schemes cannot be applied to nonlinear schemes. Therefore there are
a variety of approaches to investigation of convergence of difference schemes in
nonlinear problems. The same situation takes place in the theory of nonlinear
equations of mathematical physics.
As like for the stationary problems of heat conduction (Section 4.9), we
restrict ourselves to the simplest nonlinear problem (1)-(4) where only the
right-hand side is nonlinear, i.e. c = c(x) and k = k(x). For this problem we
consider the purely implicit scheme (23)which is like

here A is the linear operator

We assume that the right-hand side of (26) satisfies the condition

In order to investigate the uniqueness of the difference solution determined


by equation (26) and conditions (16) and (17),let us assume that here exist
two solutions yk and yi. For the difference vn(x) = yi(x) - yL(x) we obtain
the problem

Assume that the relation


min b(x)
72-
u
294 COMPUTATIONAL HEAT TRANSFER

is satisfied for the time step; then the maximum principle is satisfied for the
problem (28)-(30) (see Section 5.3), and the latter has only the trivial solution.
If constant v is negative in (27) then the solution is unique for any time step.
In order to investigate the accuracy of the difference scheme (26), (16)
and (17), we formulate the corresponding problem for the error zn(x) =
y,(x) - u(x, tn), x E a. Let &(x) be the approximation error, with &(x) =
O(T+ lhj2), lhI2 = hf + h;. The solution error satisfies the equation

and uniform boundary and initial conditions (29) and (30), respectively.
Assume that v 5 0 in (27); then (see Section 5.3), from the maximum principle
we obtain the estimate

Thus we have proved that the purely implicit difference scheme converges if
(27) is satisfied with a nonpositive constant v.

5.9.6 PROBLEMS
1. Show that the a priori estimate

I l ~ ( ~ , t ) l l c (5q max
) { l l ~ ( ~ ~ t ) l l cIluo(~)llccn)}
(r),
+ \v\-l\\f(">t , O ) l \ ~ ( ~ )
holds for the problem (1)-(4) with c = c(x) and k = k(x) if the
inequality
-a(fx , t , u ) < v < O
au
is satisfied.
Solution. Using the expansion

we write equations (1) and (2) as


NONSTATIONARY PROBLEMS OF HEAT TRANSFER 295

Further we consider separately the problem for the uniform equation (the
stability with respect to the boundary and initial conditions) and that with
uniform boundary conditions (the stability with respect to the right-hand
side).
2. C o n s t r u c t t h e linear s c h e m e of predictor-corrector providing
t h e second o r d e r of t i m e a n d s p a c e a p p r o x i m a t i o n for t h e p r o b l e m
of h e a t conduction (1)-(4) w i t h c = c(x) a n d k = k(x).
Solution. The predictor stage is used for calculating the nonlinear right-
hand side at the time t , + ~ ~ ,The . corrector corresponds to using the linearized
symmetrical scheme

To find v we can use the scheme

Logically, other schemes can be used to find V. The corrector-predictor scheme


presented has the approximation error 0 ( r 2 + lhI2).

5.10 Bibliography and Comments

5.10.1 GENERAL NOTES


5.1 Linear problems for second-order parabolic equations are considered in
all the manuals on equations of mathematical physics 17, 19, 201. The
heat equation is used as the model equation. Similar problems arise
in describing diffusion processes. The maximum principle for the heat
equation has a clear physical interpretation. The uniqueness of solutions
of the main boundary value problems can be proved by using the
principle in the simplest way [4]. Nonstationary problems of mathematical
physics are often considered as differential operator problems in the
corresponding spaces. Such problems are studied most completely in (61.
We have restricted ourselves to the simplest estimates in Hilbert spaces.
5.2 The general theory of difference schemes for nonstationary problems
is presented according to 112-141, which, in particular, introduce the
canonical forms of difference schemes for nonstationary problems. An
296 COMPUTATIONAL HEAT TRANSFER

important moment in investigating twelevel difference schemes is to find


the relation between the stability with respect to initial data and that
with respect to the right-hand side.
5.3 The methods for constructing difference schemes for nonstationary
problems are well shown in manuals 11, 9-12, 211. We have presented
estimates of error only for sufficiently smooth solutions, More general
problems (discontinuous coefficients, generalized solutions etc.) are con-
sidered similar to stationary problems. Such material can be found
in 112, 131. The accuracy of difference schemes is investigated on the
basis of the maximum principle. Usually (see 112-141) this material is
presented for problems with a constant coefficient by the time derivative.
Such a simplification is not always justified for the applied problems of
physics of heat in hand.
5.4 The general theory of difference schemes is presented according to 112-
14, 171. The transition to the canonical form allows us to formulate the
necessary and sufficient conditions of stability as operator inequalities.
This theory is presented most completely in 1161. This book also reviews
other methods for investigating the stability of difference schemes and
supplies a number of examples.
5.5 Here we have specified the results of the general theory of stability for the
heat equation, The content is close to 112-14,16,17]. The investigation of
various difference schemes for nonstationary problems by other methods
is given in 12, 9-11, 18, 211.
5.6 The notion of asymptotical stability is introduced in 1161. The books
113, 161 cite examples of asymptotically stable difference schemes. Thus,
in particular, the conventional schemes with weights are studied for the
heat equation. Here the asymptotical stability is agreed with the psta-
bility of the difference scheme, with p < 1 consistent with asymptotical
properties of the difference differential problems.
5.7 The stability of three-level difference schemes for the hyperbolical heat
equation is investigated on the basis of the general theory of stability.
Such difference schemes for the telegraph equation, which is similar to
the hyperbolic heat equation, are investigated in 1161.
5.8 The regularization principle as a general technique for constructing and
investigating difference schemes has been proposed by A. A. Samarskii
in 1967 and is discussed in 1131. Here it is used for constructing
unconditionally stable difference schemes on the basis of initial condi-
tionally stable or unstable difference schemes. Other applications of the
regularization principle are reflected in other parts of the book.
5.9. Nonlinear boundary value problems of heat conduction are considered
in many original papers and monographs. The book 1151, in particular,
is devoted to studying processes for the secalled modes with peaking.
The theory of quasi-linear parabolic problems is reflected in [8]. Difference
NONSTATIONARY PROBLEMS OF HEAT TRANSFER 297

m e t h o d s for solving nonlinear problems of h e a t conduction a r e considered


in [3, 51. We have restricted ourselves b y presenting only some moments
in constructing a n d investigating nonlinear difference schemes.

5.10.2 LITERATURE
1. Bakhvalov N. S., Zhidkov N. P. & Kobel'kov G. M. (1987) Numerical Methods [in
Russian]. Nauka, Moscow.
2. D'yakonov E. G . (1972) Difference Methods for Solving Boundary Value Problems.
Part 2. Nonstotionory Problems [in Russian]. Izd-vo Mosk. un-ta. Moscow.
3. Fedotov E. M. (1987) Difference Schemes for Nonlinear Nonstationary Problems
[in Russian]. Izd-va Kazan. un-ta, Kazan'.
4. Friedman A. (1964)
~,
Cliffs, New Jersey.
-
Partial Differential Eouotions o f Parabolic Tuue. -
". Endewood-
5. Karchevskii M. M. & Lvashko A. D. (1976) , . Differrnce
- Schemes for Nonlinear
Problems of Mathematical Physics [in Russian]. Izd-vo Kaz. un-ta. Kazan'.
6. Krein S. G. (1967) Linear Differential Equations i n Bonoch Spnces [in Russian].
Nauka, Moscow.
7. Ladyzhenskaya 0 . A. (1973) Boundary Value Problems of Mathematical Physics
[in Russian]. Nauka, Moscow.
8. Ladyzhenskaya 0. A , , Solonnikov V. A. & Ural'tseva N. N. (1973) Linear and
Quasilineor Equotions of Parabolic Type [in Russian]. Nauka, Moscow.
9. Marchuk G. I. (1975) Methods of Numerical Mathematics. Springer-Verlag, New
York.
10. Richtmyer R. (1957) Difference Methods for Initial-value Problems. Interscience,
New York.
11. Richtmyer R . & Morton K. (1967) Difference Methods for Initial Value Problems.
Springer, New York.
12. Samarskii A. A. (1971) Introduction to Theory of Difference Schemes [in
Russian]. Nauka, Moscow.
13. Samarskii A. A. (1983) Theory of Difference Schemes [in Russian]. Nauka,
Moscow.
14. Samarskii A. A. (1987) Introduction to Difference Methods [in Russian]. Nauka,
Moscow.
15. Samarskii A. A,, Galaktianov V. A., Kurdyumov S. P. & Mikhailov A. P. (1987)
Models with Peaking i n Problems of Quasy-linear Porobolie Equations [in Russian],
Nauka, Moscow.
16. Samarskii A. A. & Gulin A. V. (1973) Stability of Difference Schemes [in
Russian]. Nauka, Moscow.
17. Samarskii A. A. & Gulin A. V. (1989) Numerical Methods [in Russian]. Nauka,
Moscow.
18. Saul'ev V. K. (1960) Integmtion of Equations of Pombolic Type by the Grid
Method [in Russian]. Fizmatgiz, Moscow.
19. Tikhonov A. N. & Samarskii A. A. (1972) Equations of Mathematical Physics
[in Russian]. Nauka, Moscow.
20. Vladimirov V. S. (1976) Equations of Mathematical Physics [in Russian]. Nauka,
Moscow.
21. Wasow W . & Forsythe G. (1960) Finite-difference Methods for Partial Differrn-
tial Equations. John Wiley & Sons, New York.
Economical Difference Schemes for
Nonst ationary Heat Conduction
Problems

Two- and three-level difference schemes for the two-dimensional heat equation
have been classified in Chapter 5. When implicit difference schemes are used
to find the solution on a new time level it is necessary to invert a grid elliptic
operator, and various direct and iterative methods of solving grid elliptic
problems are employed to this end. Computational costs can significantly
exceed in this case the costs involved when the solution is determined by an
explicit scheme.
For explicit schemes, the number of arithmetic operations per grid node is
independent of the total number of the nodes, i.e. the computational costs
are asymptotically optimal. Difference schemes that possess this property are
called economical difference schemes. However, the magnitude of the time
step for explicit difference schemes is heavily restricted by considerations
of stability. The computational costs for the implicit difference schemes
considered above are in general higher in the case of multidimensional
nonstationary problems, however, some of these schemes are unconditionally
stable. Therefore, we are faced with a problem of constructing difference
schemes that would he as economical as explicit schemes and would retain
the unconditional stability inherent in some of the implicit schemes. This
chapter deals with this problem of constructing stable economical difference
schemes for the heat equation.
We consider here how to implement implicit difference schemes for multi-
dimensional nonstationary problems on a computer. When solving grid elliptic
300 COMPUTATIONAL HEAT TRANSFER

problems iteratively on the top time level, the convergence rate depends not
only on the number of space steps but also on the time step.
The well-known schemes of alternating directions are simple examples of
economical difference schemes for the heat equation. It should be noted that it
is difficult to extend the method of alternating directions to three-dimensional
problems with nonseparable variables.
Factorized schemes, in which the operator is represented on the top level as a
product of two economical operators, are widely used to construct economical
difference schemes. Such schemes can be constructed by using the principle of
regularization of difference schemes.
The economical schemes we consider here belong to the class of additive
difference schemes. A feature of these schemes is that the main grid operator
(the heat conduction operator A in our case) can be represented as a sum of
several simpler operators, e.g. one-dimensional grid operators. The notion of
a sum approximation is used to construct and analyse the general classes of
additive difference schemes.
Two- and three-level economical difference schemes for the heat equation
are analysed on the basis of general results of the theory of additive schemes.
Splitting into the sum of one-dimensional grid operators leads us t o locally
one-dimensional difference schemes.

6.1 Implementation of Implicit Schemes on a Computer

6.1.1 GRID ELLIPTIC PROBLEM


We shall consider the ordinary two-level scheme with weights for the heat
equation (see Section 5.3) as an example, when modelling heat transport in a
rectangular domain 0,namely

+
The accuracy of this scheme is O ( r Y lhI2),where v = 2 if o = 0.5 and v = 1
otherwise.
Let A be a constant in the inequality
ECONOMICAL DIFFERENCE SCHEMES.. . 301

then the scheme with weights (1)-(3) is stable (see Section 5.5) provided that

To find the solution on a new time level from (1)-(3),we have to solve the
grid elliptic problem ( a > 0) for the equation

equipped with the boundary condition (2).The right-hand side in (6)has the
form

The grid elliptic problem (2),(6) explicitly involves the time step T and the
weight parameter a. Therefore, it is worthwhile analysing the convergence
rate of iterative methods for the problem (2),(6) versus these parameters.

6.1.2 EXPLICIT ITERATIVE METHOD


Let us rewrite the elliptic problem in (2), (6)as the operator equation

in a Hilbert space of grid functions defined on Li and vanishing on 8. The


operator A is represented as

Hence, we have
A=A'>O (9)
for T > 0 and a > 0.
In order to solve the problem in (7) approximately, we shall consider, for
definiteness, a two-level iterative process with the Chebyshev set of iterative
parameters ~ k namely
,

Provided that
B=B*>O (11)
302 COMPUTATIONAL HEAT TRANSFER

and the following two-sided operator inequality holds

we have (see Section 4.6) the following estimate for the number of Chebyshev
iterations (9)-(11) necessary to achieve the prescribed relative accuracy E :

n 2 no = ln(2~-')/ln(~;'), (13)
where

We have (13), (14) and, therefore, when solving the problem (7), (8) iteratively
we are most interested in how E depends on T and u.
Let us consider the simple example of an iterative process in which the
operator B (see Section 4.7) is the diagonal part of the operator A. For the
grid operator (8) the diagonal part D = d(x)E has the form

Let us give some estimates for the constants "i,, a. = 1,2, in (12), given the
selection of the operator B = D.
As previously (see Section 4.7), we have the equality

Similar to the limit case of u = 1, T = co,which was considered in Section 4.7,


we can use solutions of one-dimensional three-point problems to estimate yl.
We can take
2
71 = m i n x M;'
zEw
= rnin M;'(xz)
=,EM,
+ min
=,EM,
M;'(xl)
o=1

The grid functions M;'(xz) and M;'(X~) are defined according to

M;' = max va(s), a. = 1,2,


=.EM"

where
u(a,v~JZm +-
' 4 ~ )v = -d(x)
T
> XEw,
va(x) = 0, 2, = 0,1,.
ECONOMICAL DIFFERENCE SCHEMES.. . 303

It is convenient to trace the effect of r and a using the example of a heat


conduction problem in a homogeneous medium when w and the grid are both
square (h = hl = h2). In this case k(x) = ko, c ( x ) = @ and the left-hand
inequality in (12) takes the form

where A is the grid Laplace operator on a square grid. Taking into account
the inequality

where 6 = O(1) is the least eigenvalue, we derive from (17) the following
expression for yl:

It follows from (18) that

When we use a symmetric scheme, it is logical to take into account


the asymptotic of the approximation error and the condition of asymptotic
stability (see Section 5.6) and select the time step r = O(h). Then, we
<
would have = O(h) from (19), and the number of iterations in the method
considered would thereby depend on the total number of nodes. The estimate
(13) yields
n 2 no(^) = ~ ( h - ' I 2h ( ~ - I ) ) . (20)
If o # 0.5 and T = 0 ( h 2 ) (the approximation error in this case is 0 ( h 2 ) ) ,
instead of (20), we obtain from (19)

i.e. the number of iterations does not depend explicitly on the number of
nodes. Of course, the relative error E of the iterative solution should be
adjusted to the approximation error, and, thereby, to the grid parameters.
However, in any case this dependence is weak (for E = TP, /3 > 0, nO(c) =
O(ln(r-I)) and for this reason the iterative method can be ascribed to the
class of economical methods for solving nonstationary problems, given this
relation of space and time steps.
304 COMPUTATIONAL HEAT TRANSFER

6.1.3 ITERATIVE METHOD OF ALTERNATING DIRECTIONS


Let us note some peculiarities of using the iterative method of alternating
directions to solve the grid elliptic problem (7), (8) on the top time level. In
this case it is necessary (Section 4.7) to represent the operator (8) in the form

To this end we make use of the decomposition of the operator A into one-
dimensional operators, namely

Then, taking into account (8), we represent the operators A,, a = 1 , 2 , in the

where p is a numerical parameter (0 5 5 1) which is to be selected so as to


minimize the number of iterations.
In order to solve (7) approximately, we use the method of alternating
directions with a constant iterative parameter wo:

The rate of convergence of the iterative process in (24) is determined (see


Section 4.6) by constants A,, 6,, a = 1,2, that appear in the inequalities

A decrease in the norm of the error is determined by the quantity

The two components A1, Az of the operator A in (22) obey (see Section 4.7)
inequalities similar to (25), namely
ECONOMICAL DIFFERENCE SCHEMES.. . 305

where -
6, = 0 ( 1 ) , i,= O(hZ,), a = 1,2. (27)
It immediately follows from (24)-(26) that
min b ( x ) min b ( x )
61 =p-
T
+a&, 62=(1-P)7 + 2 2 , (28)
max b(x) max b ( x )
Al=B a , 1 - +ax2. (29)

Using (28),(29),we can derive the corresponding expressions for [, = 6,/A,,


a = 1,2. As previously, we have [, = O ( h ) , a = 1,2, for T = O ( h ) and
[, = 0 ( 1 ) , a = 1,2, for T = 0 ( h 2 ) .The same conclusions are valid for
the number of iterations as in the previously considered case of the iterative
method with a diagonal grid operator B. For example, an estimate analogous
to (20) holds when T = O ( h ) .
For the method of alternating directions we are studying, it is useful to note
the following fact, which concerns the choice of parameter in the expansion
(23). It would be logical to expect that the rate of convergence increases as
T + 0 . However, this is true only if 4 = 0 or /3 = 1. For 0 < P < 1 it follows
from (28), (29) that
min b ( x )
lim (, =
7-0 max b(x)'
which implies that for heat conduction problems in which the heat conducti-
vity is not constant the rate of convergence of the iterative method will remain
finite as the time step decreases. Therefore, in the expansion (23) we must
select either fl = 0 when zl/il > z2/LZor B = 1 when &/il <&/i2.

6.1.4 ALTERNATING TRIANGULAR METHOD

Speaking about iterative methods for solving grid elliptic problems, we


should specially discuss an alternating triangular method. The number of
iterations for this method is proportional to the square root of the number of
nodes in one direction. Let us consider the capabilities of this method in the
form it is applied to the solution of the problem on the top level when implicit
schemes for the heat equation are implemented.
For the sake of simplicity, we take equation ( 7 ) with constant coefficients
of the grid operator in (8), i.e.

where A is the grid Laplace operator


306 COMPUTATIONAL HEAT TRANSFER

Under these conditions, the alternating triangular method corresponds to


the choice of the operator B in (10) in the form

where
A = A1 + A2, A1 = A;
Taking into account (30), we derive

The number of iterations in the alternating triangular method ( l o ) , (31)


can be estimated (see Section 4.7) a s

where 6 and A are positive constants that appear in the operator inequalities

To derive these estimates for the operator in (30), we take advantage of the
corresponding estimates for the Laplace operator (Section 4.7):

where
s" = 0 ( 1 ) , = 0(lhl-2). (3'3)
Taking into account (30), (32), and (35), we derive the following for the
constant 6 in the inequality (34):

Due to (32), (34), and (35), we have


ECONOMICAL DIFFERENCE SCHEMES.. . 307

and, hence,
2%
~ = -T + a k ~ A
It follows from (37), (38),and (36) that 17 = & / A= 0 ( l h l - 2 ~ )and
, for the
number of iterations in the alternating triangular method we therefore derive

Due to the estimate (39),the number of iterations will only be proportional


t o h-'I4 for T = O ( h ) .Such a weak dependence on the space grid is a good
reason to think about employing alternating triangular methods as well as
other fast iterative methods of solving grid equations when implementing
implicit schemes for nonstationary problems of mathematical physics. The
topic of iterative implementation of implicit schemes is becoming increasingly
popular nowadays.

6.1.5 ITERATIVE METHODS WITH ELLIPTIC OPERATOR B


Let us discuss separately the case in which a grid elliptic operator with
constant coefficients is used as the operator B in the iterative method ( l o ) ,
i.e.
B=gA+dE, (40)
where g > 0 and d 2 0 are constants. Fast direct methods can be used (see
Section 4.5) to invert the operator B.
For 0 < nl 5 a,(x) 5 nz, x E w , the operator A is spectrally equivalent to
the grid Laplace operator, i.e.

Suppose that we have 0 < bl < <


b(x) bz in the difference scheme (1)-(3).
Then, for the operator A defined by ( 8 ) ,taking into account (41),we have

To estimate the rate of convergence of the iterative method ( l o ) , (40) it is


necessary to determine the constants y,, a = 1,2, in (12). For instance, we
can pose the problem of optimal selection of the parameters g and d in (40).
Let us consider the case in which B is selected according to (40) with
d = 0 and we put g = 1, i.e. B = A. On the basis of the estimates (42) and
" "
b~ 5A < AE we obtain in (12)
308 COMPUTATIONAL HEAT TRANSFER

It follows that for E = 3 / 7 2 we have

Thus, there is no way to use the choice B = A for implementation of implicit


schemes.
A much more fortunate choice might be

i.e. in (40) we put


d= -bl + b2
2
nl n2
9 = o 7
+
27.
For the case of (43), the inequalities (42) entail the two-sided inequality (12)
with
261 2nl
71 =mi.( y,-)+
I + b2 nl n2 ' % = 2 . (44)

On the basis of (44) we can infer that the rate of convergence of iterative
process (12), (42) is independent of the space and time steps and is solely
determined by the difference in heat conductivity and heat capacity.

6.1.6 PROBLEMS
1. Formulate t h e grid elliptic p r o b l e m o n t h e t o p level for t h e case
i n which three-level schemes w i t h weights for t h e h e a t e q u a t i o n are
used.
Solution. For Y,+~ we obtain equation (7) with the operator (see Section 5.3)

In particular, the implementation of symmetric three-level schemes is associ-


ated with inverting the grid elliptic equation

For the class of implicit three-level difference schemes we have

Hence, the above arguments about the dependence of the rate of convergence
of the iterative process on the time step remain valid.
ECONOMICAL DIFFERENCE SCHEMES.. . 309

2. Give simple e s t i m a t e s of t h e relation between t h e error of


a n iterative process of implementing a n implicit s c h e m e a n d t h e
approximation error.
Solution. Suppose we seek a solution on the new time level iteratively
with some absolute error E O , i.e. instead of yn+l we determine Fn+l with
y,+l = + E O . Then, instead of equation ( 1 ) we have

Thus, we will have an additional contribution to the error. To retain the


accuracy O(T" + lhI2) of the iterative scheme it is sufficient to demand that
E,, = O ( r v + ' ) ,i.e. the solution on the new time level should be determined
with a higher accuracy.

6.2 The Method o f A l t e r n a t i n g Directions

6.2.1 LONGITUDINAL-TRANSVERSE DIFFERENCE SCHEMES FOR


THE HEAT EQUATION
We consider the fundamental twwdimensional problem of nonstationary
heat conduction in an isotropic medium, when the heat transfer is governed
by the heat equation
au
-+Lu = f ( x , t ) , ( x , t )E Q,
C(X) (1)
at
where

In order to make operator formulations convenient to use, we shall assume


homogeneous boundary conditions for equation (1).Suppose, for example,
that the boundary and initial conditions have the form
u ( x , ~=
) 0, E r, (3)
u(x,O) = uo(x), x E 0. (4)
After the problem (1)-(4) has been quantized in space, we arrive (see
Section 5.3) at the system of equations
310 COMPUTATIONAL HEAT TRANSFER

supplemented with the conditions

The following representation is, for example, used in equation (5) for the
operator A:
2
Av = C A,u, a = 1,2, (8)
a=1
A,u = - (
with b(x) = c(x) for x E w.
Difference schemes in the method of alternating directions for heat equation
(I), (2) are based on the representation of the operator A with respect to
space variables in the form of the sum of two operators A1 and A2, each of
which is one-dimensional. Difference schemes based on the inversion of one-
dimensional operators belong to the class of economical schemes, because the
computational costs per node (three-point Thomas algorithm, band matrices)
are independent of the total number of nodes.
The classical difference scheme of alternating directions (the Peaceman-
Rackford scheme) for the problem in (5)-(7) consists of two steps. First, given
some y,, we determine an auxiliary grid function (which we will denote by
~ , + ~ from
j ~ )the equation

+
If we interpret yn+l12 as a solution at the time t,+l/2 = t,, r / 2 , it can be
noticed that (9) amounts to finding the solution by a purely implicit scheme
with respect to the variable xl (the operator Al) and by an explicit scheme
with respect to the variable x2 (the operator Az).
It is clear that in this transcription the second step in the method of
alternating directions corresponds to the use of the equation

Thus, the second step corresponds to the use of an explicit scheme with respect
to the first variable and a purely implicit scheme with respect to the second
variable.
The implementation of the scheme of alternating directions (9), (10) cor-
responds to determining yn+,lz and y,+~ from the equations
ECONOMICAL DIFFERENCE SCHEMES.. . 311

The notation (11) indicates that the solution is found by inverting the
appropriate one-dimensional grid operator (using the Thomas algorithm) first
with respect to one variable (one direction) and then with respect to the
other variable (the other direction). For this reason, the scheme of alternating
directions (9), (10) is sometimes called the longitudinal-transverse difference
scheme for the heat equation.

6.2.2 THE STABILITY OF THE SCHEME OF ALTERNATING


DIRECTIONS
The stability of the scheme (9), (10) can be analysed using the following
useful assertion.
Lemma. Let B = B* > 0, A >0 in H. Then for a 2 0.5 the following
inequality holds in HD:

if D = B-'
We have

By virtue of the assumptions made in the lemma, the right-hand side is


nonnegative, i.e. the inequality in (12) holds.
Assuming D = B-', we derive immediately from equations (11)

Adding (13) to (14) and taking into account (12) for o = 0.5, we obtain

Now we again apply (12) to get


312 COMPUTATIONAL HEAT TRANSFER

On the basis of a grid analogue of the Gronwall lemma, we derive the following
estimate of the stability of the scheme of alternating directions (9), (10)with
respect to initial data and right-hand side in HD for D = B-':

We specially note that the convergence of the difference scheme (9),(10)does


not follow immediately from the estimate (16)because of the presence of the
auxiliary grid function y,+,lz. This situation is typical of all the economical
schemes we shall consider below and, therefore, deserves special consideration.

6.2.3 THE ACCURACY OF THE SCHEME OF ALTERNATING


DIRECTIONS
To analyse the accuracy of the difference scheme of alternating directions
(9),(10) we shall write down the corresponding problem for the error z, =
y, = u(x,t,), x E w , assuming Z,+~/Z = - iii (the function 'ii will be
selected a little bit later). From (9),(10)we immediately derive

For the errors we have

Put in (19),(20)

In this case it follows from (19),(20) that

Moreover, due to (21)we have

$;= -141
%,+I + u, - AZU" + ip,
- b(z)U"+1 -fin 7
-- hz
U"+l -
+ 0(T2).
T 2 7
ECONOMICAL DIFFERENCE SCHEMES

Taking into account

we obtain
$2" +
= $; = 0(r2 lh12). (22)
Thus, given a special definition of the intermediate solution (see (21)), the
difference scheme of alternating directions (9), (10) is second-order accurate
in space and time.
To analyse the errors, we consider the grid problem (I?), (18). Taking into
account (22) and using the estimate (16) for the exact specification of initial
conditions, we have

where D = B-'. On the basis of the estimate in (23) we can draw a conclusion
that the scheme of alternating directions (9), (10) converges at a rate of
0 ( r 2 + [hi2)in the appropriate norm.

6.8.4 OTHER SCHEMES O F ALTERNATING DIRECTIONS


Speaking about schemes of alternating directions other than that in (9),
(lo), we shall mention the Douglas-Rachford difference scheme, which is
written in the form

In the first step (24), the heat equation is approximated over the entire time
interval, and the second step (25) is only introduced for stability reasons.
Therefore, the schemes like that in (24), (25) are being called now stabilization-
correction schemes. It is easy t o verify that the scheme (24), (25) has an error
of O(T + Ih12) and is absolutely stable (because it is an instance of factorized
schemes considered in Section 6.3).
Difference schemes of alternating directions for problems with alternating
coefficients, like the problem in (1)-(4), belong to the class of unconditionally
stable. However, construction of such schemes for three-dimensional problems
encounters considerable difficulties. In order to explain this, it is sufficient to
314 COMPUTATIONAL HEAT TRANSFER

write the scheme of alternating directions ( 9 ) , (10) as a two-level scheme by


eliminating y,+,lz from ( 9 ) and substituting the result into (10).
In the case of a three-dimensional heat conduction problem in a homoge-
neous parallelepiped with first-kind boundary conditions, the corresponding
differential-difference problem has the form of the equation

dv
-
dt
+ Av = 4 ( x ,t ) , x E w, 0<t 5T (26)

supplemented with the conditions in ( 6 ) ,(7). In this case we have

When using the method of alternating directions for equations (26), (27), it
is crucial that the operators A,, a = 1,2,3, are self-adjoint, nonnegative, and
pairwise-commutative, i.e.

Under these conditions, the following scheme is the simplest generalization


of the stabilization-correction scheme:

We could also mention analogues of the scheme of alternating directions ( 9 ) ,


(10) for the heat conduction problems under conditions (26)-(28).

6.2.5 PROBLEMS
1. Write down the scheme of alternating directions for heat
equation (I), (2) with the nonhomogeneous boundary condition

u ( x ,t ) = g ( x ,t ) , x E r. (29)

Solution. At the inner grid nodes we use the difference scheme ( 9 ) , ( l o ) ,


and the problem is thus to approximate the boundary condition in (29). In
order to retain the accuracy, we will meet the boundary conditions exactly so
ECONOMICAL DIFFERENCE SCHEMES.. . 315

as t o have homogeneous boundary conditions for the solution error. Taking


into account (21), we put at the boundary nodes

In these conditions, the solution error satisfies the above estimates, and the
scheme (9), (10) with boundary conditions (30) will converge and will be
second-order accurate in time and space.
2. P r o v e t h e stability of t h e scheme of a l t e r n a t i n g directions for
t h e h e a t conduction p r o b l e m i n a homogeneous m e d i u m , using t h e
g e n e r a l t h e o r y of stability of difference schemes.
Solution. In a homogeneous medium, the scheme of alternating directions
has the form (see (26))

where
2

and A, = A:, a = 1 , 2 , and AlAz = A d ,


Eliminating yn+1/2 we obtain

Therefore, the scheme of alternating directions (31), (32) is written in the


canonical form of a two-level difference scheme, given

Now we only have to verify the stability condition. Taking into account the
commutativity and positiveness of the operators A,, a = 1,2, we have

Thus, the scheme of alternating directions (31), (32) is stable in Ha


316 COMPUTATIONAL HEAT TRANSFER

6.3 Factorized Difference Schemes for the Heat Equation

6.3.1 FACTORIZED SCHEMES


Let us consider whether it is possible to construct the class of economical
difference schemes by representing the grid operator on the top level as
the product of economical (onodimensional) operators. The schemes thus
constructed are called factorized difference schemes.
For the problem (1)-(4) in Section 6.2 we construct a two-level difference
scheme which has the canonical form

The factorized scheme is obtained when we select the operator B in the form

where B,, a = 1,2, are economical operators.


Let us choose the operators B,, a = 1,2, in the form

+
B1 = b(x)E U T A I ,
(4)
+
Bz = b-I (x)(b(x)E a ~ A 2 ) .

Given such a representation of B, each of the operators B,, a = 1,2,


corresponds to the use of the ordinary scheme with weights for the one-
dimensional heat conduction operator.
The computational implementation of the factorized scheme (I), (3) is
associated with solving the problems

Some other possibilities of constructing factorized schemes, distinct from


(3), (4), are discussed below. In some cases (see, for example, problem 2
in Section 6.2), schemes of alternating directions are written as a factorized
scheme (1)-(4).

6.3.2 STABILITY O F FACTORIZED SCHEMES


A factorized scheme has the canonical form of two-level scheme (1) with the
operators A and B defined according t o (2) and (3), (4). A straightforward
ECONOMICAL DIFFERENCE SCHEMES.. . 317

analysis of the stability in H A on the basis of verifying the necessary and


sufficient condition
B>?A (5)
2
works for the scheme (1)-(4) only if the operators A,, cu = 1,2, commutate
and b(x) = const. For this reason we can try to prove the stability of the
scheme (1)-(4) in more complex norms. A guideline can be the proof of the
stability of the scheme of alternating directions conducted in Section 6.2.
Let us consider only stability with respect t o initial data and put 9, = 0
in (1). Taking into account (3), we write equation (I) in the form

Now we add and subtract from the right-hand side of (6) the term (20)-'B2y,
to get
2rJ - 1 1
Bzyn+t = -Bzy,
2u
+
- (Bz - 2u~B;~A)y,.
20 (7)
Taking into account (2), (4), we derive

Now we derive an estimate of the stability of the factorized scheme (1)-(4) in


the following form:
IIBzY~+IIID 5 IIBZY~~ID, (9)
where D = b(x)E. To this end we denote v, = b 1 / 2 ( x ) ~ z yand
, left-multiply
(7) by = b'lz(x)E to get

where, taking into account (a), we have the following representation for the
operator Q:

Hence we represent Q as
Q = sls;,
318 COMPUTATIONAL HEAT TRANSFER

where

We can give a more convenient representation for the operators S , from (12),
namely
+
S , = ( E CT~[,)-'(E + CTL),
(13)
i[ = b - 1 2 ( ) ~ b - 1 2 ( ) a, = l , 2 .
-
Because of ( 2 ) ,the operators A, possess analogous properties, i.e.

Now we shall formulate the following assertion, known as the Kellog lemma.
Lemma. Let an operator C 2 0 in H . Then the following inequality holds
whatever 2 0 :
I~(E +
- P C ) ( E ac)-'115 1. (15)

+
Let S = (E - p C ) ( E +PC)-' and G = ( E PC). Then (15) is equivalent
t o the operator inequality J = E - S'S 2 0. We have

and the inequality in (15) therefore takes place for nonnegative operators C .
Due to the lemma, from (13), (14) we derive IISJ 5 1, a = 1,2. Because
of ( l l ) ,the norm of the operator Q is also less than unity, and it follows from
>
(10) that I I v , , + ~ ~ ~ 5 IIwnll, which holds for all c 0.5. Thus we arrive at the
desired estimate (9) for the difference solution and we have established the
unconditional stability of the factorized scheme in (1)-(4).

6.3.3 THE PRINCIPLE OF REGULARIZATION FOR CONSTRUCTING


FACTORIZED SCHEMES
In order to construct stable factorized schemes we shall use the principle of
regularization discussed in Section 5.8. The widest opportunities are opened
by this approach when we are constructing unconditionally stable factorized
schemes for parabolic problems, when b(x) = const (for definiteness, b(x) = 1).
When considering heat conduction problems, such a situation arises in the
modelling of processes in homogeneous bodies. Noncommutativity of the
appropriate operators is generated by boundary conditions or by the fact
that the computational domain 0 is not rectangular. Therefore, the whole
ECONOMICAL DIFFERENCE SCHEMES.. . 319

class of problems in which the grid function b(x) is constant is important and
essential.
In a more general case we employ a simple transformation of the equation
dw
+
b(z) .;ii. Av = $(x, t), x E w, 0 <t 5T
to the form in which the factor that multiplies the time derivative equals
unity, while preserving the operator's properties of being self-adjoint and
nonnegative with respect to space variables. To this end it is sufficient t o
( ~ ,x E w . After this the
introduce a new grid function w(x, t) = b 1 / 2 ( ~ ) w t),
equation takes on the form

where
A' = b-'/2~b-'iz, $'(x, t) = b - ' / 2 ( ~ ) $ ( ~t).
,
Because of (2), the operator A' possesses the following properties:

We consider a differential-difference problem for equation (16) with the


conditions

In order to solve the problem (16)-(18) approximately we shall proceed


from the regularized difference scheme (I), where

Let the scheme in ( I ) , (19) be stable, i.e. let the condition (5) be satisfied.
On the basis of this scheme we construct a economical scheme (which is also
stable) with the factorized operator

Note that we restrict consideration to two terms only for simplicity, and a more
general case in which the operator R is decomposed into a greater number of
operators can be considered in exactly the same way.
Let R be the sum of economical operators
320 COMPUTATIONAL HEAT TRANSFER

Taking into account (19), (21) we construct the factorized operator (20) with

Let us show that if the original scheme ( I ) , (19) is stable and the operators
R p , 0 = 1,2, are self-adjoint, nonnegative (Rp = R; > 0, 0 = 1,2) and
commutative (R1R2= R z R l ) , then the factorized scheme (2), (22) is also
stable. Then, the principle of regularization would allow us to construct
economical stable difference schemes given a stable inefficient difference
scheme.
In order to prove the above it is sufficient to verify the inequality (5).
The operators R U , 0 = 1,2, are commutative and, hence, we have RlRz =
RzRl 2 0 and from (20)-(22) we obtain

Then the factorized scheme is stable because (5) is fulfilled.


Taking into account strict limitations on the operators Rp, i9 = 1,2, it is
convenient to consider the simplest operators R when selecting R p . Let us
take advantage of the fact that the operator A is spectrally equivalent to the
grid Laplace operator A, i.e. the following estimate is valid:

It is logical to take the operator R = b-l/z.&-l/z as a regularizer (see


Section 5.8). Then the operator A' in the problem (16)-(18) and this
regularizer will obey the two-sided inequality of spectral equivalence

The analysis of the regularized scheme ( I ) , (19) shows that for stability it
is sufficient, for example, that the regularization parameter o satisfies the
condition 7
a > nz-.
-2 (24)
In the following we shall restrict ourselves to the simplest case in which
"
b(x) = 1. We use the following representation for the operator A:

The operators R p = AL1,fl = l r 2 , possess the necessary properties of self-


adjointness, nonnegativeness, and commutativity. Therefore, the factorized
scheme
Yn+l - Yn
( E + d h ) ( E + URZ) +Ay,=ip,, n = 0 , 1 , ...
will be absolutely stable provided that the inequality (24) holds.
ECONOMICAL DIFFERENCE SCHEMES.. . 321

Note that there exists another possibility of decomposing (21) in the case
considered. Taking into account (23), the stability conditions will be satisfied
for a self-adjoint nonnegative opemtor R if in (21) we have

The selection (21), (25) corresponds to the decomposition of the operator R


into triangular operators (see Section 4.7).
When using the Laplace operator for R, for the operators Rp, 0 = 1 , 2 , we

The implementation of the factorized scheme (24), (25) corresponds t o the use
of the so-called 'running-calculation' formulx. It is interesting t o note that
such a factorized scheme can also be constructed for a general problem with
b ( x ) # const (see problem 1).

6.3.4 THREE-LEVEL FACTORIZED SCHEMES


Let us demonstrate what we can achieve using the principle of regularization
when constructing threolevel economical factorized schemes for the class of
problems (16)-(18). First, we shall give a fairly general consideration t o the
original family of difference schemes

which correspond t o putting B = E in the canonical notation of a three-


level scheme. In order to understand the idea underlying the construction of
factorized difference schemes on the basis of the principle of regularization,
we write the original scheme (27) in the form

A factorized scheme is constructed on the basis of (28) similarly to the case


of two-level difference schemes, Analogously to (21), suppose that we have the
decomposition
R=Rl+'R.z. (29)
322 COMPUTATIONAL HEAT TRANSFER

We write the factorized scheme in the form

where taking into account (28), (29) we put that

We again assume that the operators Rp, P = 1,2, are self-adjoint,


>
nonnegative (Rp = R i 0, ,!= l 1 , 2 ) and commutative (RlR2 = R z R l ) . We
take it for granted that the original difference scheme satisfies the stability
conditions for the scheme (27) with A* > 0, i.e. (see Section 5.4) the following
inequality holds:
R > $A. (32)
Let us show that under these conditions the factorized scheme (30) is stable.
To this end we write the scheme in the canonical form

Straightforward manipulations yield

Hence, the conditions sufficient for the stability of the scheme in (33) are met
subject to the assumption in (32), because

As an illustration of this result, let us construct a factorized scheme on the


basis of the following regularized (see Section 5.8) scheme for the problem in
which b(x) E 1:

Let us select a A as a regularizer of R. The regularized scheme (35) will be


stable provided a > 4 4 . Under the same conditions we will have the stability
of the factorized scheme (33), (34), where

Three-dimensional problems are considered similarly.


ECONOMICAL DIFFERENCE SCHEMES.. . 323

6.3.5 PROBLEMS
1.Analyse t h e stability of t h e factorized s c h e m e ( I ) , (3), (4) u n d e r
t h e condition
A=A, A = + A;=Az. (36)

Solution. Taking into account. (3), (4), (36), we have the following for the
operator B:

Because the operators AD, P = 1 , 2 (see (36)) are adjoint, it follows from (37)
that
B 2 ~uTA, (38)

and therefore the factorized scheme (1) will be stable provided that u 0.25. >
Note that we derived the estimate (38) earlier, in Section 4.7, when considering
the alternating-triangular iterative method.
2. C o n s t r u c t a factorized scheme o n t h e basis of t h e following
implicit three-level scheme, which i s second-order a c c u r a t e i n t i m e
a n d s p a c e ( B a k e r a n d Oliphant):

Solution. The scheme (39) has the form (28) with the operator R = (1/3)A.
The factorized scheme is constructed in accordance with (30) and (31), and
we have
0

Rp=Ap, A ~ Y = - Y E ~ Z , ,p = 1,2.
The factorized scheme proper takes on the form

Taking into account that the operators Ap, 0 = 1 , 2 , are positive, self-
adjoint and commutative, we can easily verify the condition of stability for
the scheme (4).
324 COMPUTATIONAL HEAT TRANSFER

6.4 Additive Difference Schemes

6.4.1 THE ADDITIVE SPLITTING OF THE HEAT CONDUCTION


OPERATOR
It should be noted that the problem of constructing economical difference
schemes for general three-dimensional heat conduction problems cannot be
solved using factorized difference schemes or the schemes of alternating
directions. It is possible to prove the stability of these schemes for variable
coefficients only in the two-dimensional case. Therefore, it is necessary to
consider economical difference schemes for multidimensional problems from a
more general standpoint, i.e. it is necessary to reconsider the very notion of
the approximation of difference schemes.
We shall consider the following general multidimensional heat equation in
an isotropic medium:

where

Let us supplement ( I ) , (2) with the conditions

The quantization of (1)-(4) in space brings us to the differential-difference


problem

Let A,, a = 1 , 2 , . . . ,m, denote the difference heat conduction operator in the
direction x, and let us define this operator as follows:

Then the operator A can be represented as the sum of one-dimensional


operators A,, a = 1 , 2 , . . . ,m, namely
A=Al+Az+ . . . +A,. (9)
ECONOMICAL DIFFERENCE SCHEMES.. . 325

Difference schemes in which the transition from one time level to another
is associated with solving a sequence of problems for the operators A,, a =
1 , 2 , . . . ,m, will be called additive difference schemes. The above (Section 6.3)
examples of economical difference schemes belong to the class of additive
difference schemes.
In ( 9 ) we split the operator A into one-dimensional grid operators A,,
a = 1 , 2 , . . . ,m . Other operators can also be taken as primitive operators. For
example, we have considered schemes with splitting into triangular operators.
When considering more general nonstabionary problems, the operators A,,
a = 1,2,. . . ,m, can have other meanings. In the general consideration of
additive difference schemes, we can forget about what the separate operators
A,, a = 1 , 2 , . . . , m, in the expansion ( 9 ) signify specifically.

6.4.2 INTERMEDIATE PROBLEMS

Let us discuss the main approaches to the construction of additive difference


schemes. To this end, it is necessary to formulate auxiliary problems with
the operators A,, a = 1,2,. . . ,m, in the additive splitting ( 9 ) . Solving
these auxiliary problems we shall derive an approximate solution to the
original problem (5)-(7).Two major approaches are used to construct additive
schemes, namely, additive schemes with fractional time steps and additive
schemes with integer steps.
Suppose we introduced a time grid w, = {tit = t , = nr, n =
0 , 1 , . . . ,N,NT = T} with a step T > 0. Now we divide every half-open
interval (t,, t,+l] into m parts by introducing the points t,+,,, = t,+ar/m.
Taking into account the additive representation ( 9 ) of the operator A we write
equation (5) in the form

Here mU(x,t ) are arbitrary functions possessing the same smoothness as 4 ( x ,t )


and satisfying the condition

In accordance with ( l o ) ,we shall consecutively solve the following interme-


diate problems. Auxiliary functions u a ( x ,t ) are defined by the equations
326 COMPUTATIONAL HEAT TRANSFER

b ( x ) du'
--
m dt
+ Alu' - d l ( x , t ) = 0, t, < t 5 t,+ll,,

The initial conditions for (12) have the form

% ,

The function v m ( x ,t,) will be considered to be an approximate solution of


the problem (5)-(7) at the times t = t,.
The intermediate problems (12), (13) are solved on separate parts of the
half-open interval (t,, t,+']. For this reason, difference schemes constructed on
the basis of (12),(13) can be called additive difle'erence schemes with fmctional
steps.
Another method of constructing additive schemes is based on the solution
of auxiliary problems on the entire half-open time interval (t,, t,+l] (additive
diffeerence schemes with integer steps). In order to determine the functions
v a ( x ,t ) , we use the equations
du'
b ( z )-
dt
+ - r n 1 ( ~ , t=) o, t , < t 5 tn+llm,

equipped with the initial conditions


ECONOMICAL DIFFERENCE SCHEMES.. . 327

When implementing (14), (15), we first solve the equation for ul(x, t) ( a = 1
in (14)), given the initial condition ul(x,tn) = vm(x,tn), and determine
ul(x, t,+l), which is later used as the initial condition when determining
v2(x, t), and so on. We take vm(x, tn+l) as an approximate solution of the
problem (5)-(7) at the time t,+i.
It should be noted that the two approaches to constructing additive
difference schemes (namely, (12), (13) and (14), (15)) are closely connected.
If the coefficients of the grid equation (5) do not depend on time and the
right-hand sides $"(z,t) = 0,then the problems (12), (13) and (14), (15)
are actually identical. It is this situation that occurs in our case of a heat
conductio~~ problem in nonhomogeneous medium (equations ( I ) , (2)), when
we are modelling heat conduction without inner sources of heat (f (x, t ) = 0
in (1)). In more general cases it is preferable to employ the second approach,
when auxiliary problems are solved over integer time steps.
Now we should answer the question of what is the error within which the
system of equations (14), (15) allows us to find the approximate solution to
the problem in (5)-(7). In order to answer this question we should extend the
notion of approximation.

6.4.3 THE NOTION OF SUMMARIZED APPROXIMATION


In the above we mentioned that the approximate solution derived from
the solution of the group of intermediate problems (14), (15) is close to the
solution of the problem (5)-(7). Every separate intermediate problem does
not approximate the original problem (does not produce an approximate
solution), and only the consecutive solution of all the intermediate problems,
when every next problem is being linked to the previous one by means of
the initial conditions, makes it possible to obtain an approximate solution.
Therefore, in this case they say that the problem (14), (15) approximates
(5)-(7) in the total (the summarized approximation).
Let us consider the error
zl(x, t ) = vl(x, Y )- u(x, t), tn < t 5 tn+l,
zu(x, t ) = vu(x,y) - u(x, t,+l), t, < t 5 t,+l, a = Z,3,. . . , m .
We formulate the corresponding problems for the error. Substituting ta(x, t),
a = 1,2,. . . ,m, into (14), (15) we obtain the equations
dzu
b ( z ) - + A,zm = ,x(@
' t ) , x E w , t, < t 5 t n + ~ ,
dt (16)

which are supplemented by the conditions


zl(x,O) = 0, zl(x,t,) = zm(x,tn), n = l , 2 , . . . ,
(17)
zD(x,t n ) = Z ~ - ~ (tn+l)r
X, a = 2,3,. . . , m , n = 0,1,. . . .
328 COMPUTATIONAL HEAT TRANSFER

The error of approximation for each intermediate problem (16),(17) is defined


by the expressions

dv
$'(x, t ) = -b(x) -
dt
- Alv + & ( x , t ) , (18)

It follows from (18) that for every intermediate problem $=(x, t ) = 0 ( 1 ) ,


i.e. the problems (16), (17) do not approximate (5)-(7). Let us now consider
$ ( x , t ) = Q 1 ( x ,t ) + Q 2 ( x ,t ) + . . . + $"'(x, t ) . It follows from (18) that

Taking into account

u ( x ,t,+l) = v ( x ,t ) +O(T), a = 2,3,. . . ,m, t , < t . . . t,+l,

we obtain

where 6,' is Kronecker's delta. For the solutions of the problem (5)-(7) we
have
x"%

,=I
o
$"(x, t ) = x
"'

o=l
P ( x ,t ) - x
"'

o=l
dv
A,v - b ( x )- = 0 ,
dt
and therefore for the summarized approximation error we get

We will say that (14), (15) is a first-order summarized approximation


to (5)-(7).
In order to estimate the accuracy, we shall take that the following conditions
are satisfied: IIA.APvII 5 M, a J = l , 2 , . . . ,m. An additional analysis
shows that given such additional conditions the estimate of the error is
lIvm(z,t,) - v ( x , t,)ll = O ( T ) ,i.e. by solving intermediate problems (14), (15)
we can derive an approximate solution of the original differential-difference
problem (5)-(7), the solution being first-order accurate in time.
ECONOMICAL DIFFERENCE SCHEMES.. . 329

It is interesting to note that if 4(x, t) = 0, 4*(x, t) = 0, a = 1,2,. . . ,m,


b(x) = const and the operators A,, a = 1,2,. . . , m are pairwise commutative
(A,Ap = A?A,), then (14), (15) produces the exact solution to the problem
(5)-(7) (see problem I ) , that is um(x, t,) = u(x, t,).
In order to improve the accuracy of the approximate solution of the problem
(5)-(7) on the basis of the solution of intermediate problems, we can use the
following idea of symmetrization (bicyclic organization). The problem (14),
(15) can be schematically represented by the chain A1 + Az + ...A,,
which gives a visual image of the sequence of intermediate problems solved
consecutively. The symmetrized chain has the form
0.5111 -+ 0.5Az + . . . 0.5A,,
-+

0.511, + 0.5Am+1 + . . . -+ 0.5Al.


This chain corresponds to our replacing (9) with the following additive
representation of the operator A:

In this case we have the estimate llum(x, t ) - x(x, t,)ll = 0 ( r 2 ) under some
additional restrictions on smoothness.

6.4.4 ADDITIVE DIFFERENCE SCHEMES


Additive difference schemes can be obtained by approximating the inter-
mediate problems (14), (15) in time. Without giving general formulations, we
shall construct the simplest two-level difference schemes. Let y,+,/, be the
approximate solution uu(x,t) at the time t = t,+,. Let us employ a two-
level scheme with weights for every intermediate problem. Then, taking into
account the initial conditions (15) and using the additive difference scheme
with weights u,, a = 1 , 2 , . . . ,m, we obtain

The two-level additive difference scheme can be written in the following


canonical form:
330 COMPUTATIONAL HEAT TRANSFER

The above additive scheme (21) has the canonical form (22) for

The analysis of convergence of additive schemes is essentially peculiar in the


sense that the summarized approximation takes place for additive difference
schemes. Therefore, it is necessary to derive such special estimates of the
stability of additive difference schemes with respect to the right-hand side that
would entail the convergence of a difference scheme, given that the summarized
approximation condition is satisfied. Now we give some general results that
concern this topic.

6.4.5 A PRIOR1 ESTIMATES FOR ADDITIVE DIFFERENCE


SCHEMES
Let us consider the additive difference scheme

Let us represent the approximation error in the form

where $; satisfies the conditions

We shall take that the additive scheme (23) possesses the property of
summarized approximation, i.e.

in some norm 11 . 112h.


In order to derive the desired a priori estimate for the additive scheme,
which would take into account (24), (25), we assume that for (23) the usual
estimate of stability with respect to the right-hand side holds, i.e.
ECONOMICAL DIFFERENCE SCHEMES.. . 331

Taking into account (25) it follows from (28) that

Therefore, for all n = 1 , 2 , . . . we have q, = 0, 2 , = 0, and

Hence, we obtain the following problem for On+,l,:

where the right-hand side has the form

Using the estimate in (27) for this problem, we immediately derive

Taking into account (30), we rewrite this estimate in the final form as

+ T max
O<k<"
CC
1
1, I
a=1 &
Amp
m

C
1=p+l
B-'$;:
' lI1h
332 COMPUTATIONAL HEAT TRANSFER

This estimate for the difference problem (23) indicates that under the
conditions of summarized approximation (24)-(26) the additive difference
scheme (22) converges, provided that some additional conditions are satisfied,

Let us recall that the estimate (31) of the error of the additive difference
scheme has been derived under assumptions about the stability of this scheme
in the ordinary sense (the inequality in (27)). In such a context, we can say
that the stability and the summarized approximation of an additive difference
scheme imply its convergence.
Other a priori estimates for two-level additive difference schemes (22) are
currently available. These estimates make it possible, for example, to weaken
additional conditions like that in (32).

6.4.6 PROBLEMS
1. P r o v e t h a t t h e intermediate problems (14), (15) yield t h e e x a c t
solution to t h e p r o b l e m

Solution. In this case we have

Now let A:, A;, wf( z 1 ) , w ~ ( x 2 )i, = 1 , 2 , . . . ,Nl - 1. j = 1 , 2 , . . . , NZ - 1 be


the eigenvalues and the eigenfunctions of the operator A,, a = 1,2 (see
Section 4.5).
In accordance with (14), (15), we first solve the problem

The solution has the form


ECONOMICAL DIFFERENCE SCHEMES

Now we consider the problem

The solution is

x exp ( - (At + X ~ ) T ) W (~x 1 ) w ~ ( x 2 )


This solution coincides with the solution to the original problem (33), (34) at
the time t = T . Thus, the solution of the auxiliary problems yields the exact
solution at the times t = t,.
2. W r i t e t h e scheme of alternating directions (see Section 6.2) as
a two-level additive difference scheme.
Solution. We consider the scheme

Using the expansion

we write the additive scheme (see (21))

Straightforward calculations yield

$n=$~+$~+~~+$~=~(~2+lh12),
334 COMPUTATIONAL HEAT TRANSFER

i.e. the scheme of alternating directions represented a s a factorized scheme


is second-order accurate (in the sense of summarized approximation) in time
and space.

6.5 Locally One-dimensional Difference Schemes

6.5.1 LOCALLY ONE-DIMENSIONAL SCHEMES FOR THE HEAT


EQUATION
Here we shall analyse the convergence of additive difference schemes
constructed in Section 6.4. In order to approximately solve the problem (1)-
(4) from Section 6.4, we use the additive difference scheme

Here we have adopted that the operator A, defines the heat conduction in
the direction x,, i.e.

with
A=A1+A2+ ...+A,. (3)
Each of the operators A,, a = 1,2,. . . ,m in the additive representation (3) is
one-dimensional and, therefore, additive difference schemes (1)-(3) are called
locally one-dimensional difference schemes.
It has been shown in Section 6.4 that we can analyse the convergence of
additive difference schemes by deriving appropriate estimates of stability and
by studying the summarized approximation. Let us make a couple of remarks
about derivation of a priori estimates of stability of additive differenceschemes
using the example of locally one-dimensional scheme (1)-(3) and restricting
consideration, for the sake of simplicity, to the stability with respect to initial
data in some Hilbert space H D , generated by an operator D = D* > 0.
We need to derive the a priori estimate of pstability

with some constant p > 0 for the difference problem (1) with vp, = 0,
a = 1 , 2 , . . . , m. There are two options we can use to achieve this. The first
ECONOMICAL DIFFERENCE SCHEMES.. . 335

is to eliminate the intermediate grid functions y,+,/,, a = 1 , 2 , . . . ,m - 1,


from the difference equation (1). It is clear that for problems with general,
noncommutative operators A,, a = 1 , 2 , . . . ,m, using this option will be
technically difficult and nonconstructive.
The other approach to the analysis of stability of additive difference schemes
is based on deriving a priori estimates for all intermediate grid problems.
Suppose, for example, that we are able to derive for every a = 1 , 2 , . . . ,m a
priori stability estimates of the form

with some p,, a = 1 , 2 , .. . , m . When deriving the estimates (5), the additive
scheme (1) is considered as an ordinary two-level difference scheme for every
fixed a = 1 , 2 , .. . ,m. Then we can derive from (5) the desired estimate (4)
with
P= npm.
m

0=l
(6)

For instance, using the estimates (4), (6), we can analyse the asymptotic
stability of locally one-dimensional schemes for the heat equation.
Let us stress one important point. For every a = 1 , 2 , .. . ,m the stability
estimates (5) have to be derived in the same norm if we do not consider a
more general situation with the consecutive embedding of separate spaces. We
can achieve this for the scheme (1) if we consider stability in norms that are
not associated with the operators A,, a = 1 , 2 , .. . , m .

6.5.2 THE CONVERGENCE OF A LOCALLY ONE-DIMENSIONAL


SCHEME
In order to investigate the stability of the additive difference scheme ( I ) , we
shall use the approach in which we derive a priori estimates like that in (5)
for every fixed a = 1 , 2 , .. . ,m. In this case we have an ordinary scheme with
weights whose stability has been studied in some spaces H D in Section 5.5.
However, the estimates we provided earlier have been derived in norms that are
associated with the operators A. For this reason, we shall give some additional
estimates for an ordinary scheme with weights.
Let us consider a scheme with weights that is written in the canonical form

with the operators

Now we derive an estimate of stability of the scheme (7), (8) in H.


336 COMPUTATIONAL HEAT TRANSFER

The difference scheme ( 7 ) is written in the form

where the transition operator is

Let us find conditions under which the norm of the operator S does not exceed
unity (the stability of scheme with p = 1). To this end it is necessary t o verify
the inequality J = S'S - E < 0 which takes the following form if we allow
for (10):

In order to derive an equivalent inequality, we left- and right-multiply the


original inequality by ( E + U T A )to arrive at the inequality

It follows from (11) that llSll < 1 subject to the usual condition (see
Section 5.5)
a > -1 - - 1 (12)
2 AT'
where A is the constant in the estimate

A 5 AE. (13)

Given (12), we derive from ( 9 ) the estimate

for the scheme with weights ( 7 ) ,(8).


Now let us consider a wider class of schemes with weights, when in
equation ( 7 ) we have

In order to derive the corresponding estimate, we derive a new function


u, = D 1 / 2 y ,and multiply equation ( 7 ) , (15) by 0 - ' I 2 to obtain
ECONOMICAL DIFFERENCE SCHEMES.. . 337

The differencescheme in (16),(17)belongs to the class of schemes with weights


( 7 ) , (a), which we have already considered. The stability estimate in this case
looks like
Il~n+lllD5 I I Y ~ ~ ~+D TlIB-lPnll~. (18)
Thus, the problem ( 7 ) , (15) is stable in H D subject to the condition (12) in
which (13) is replaced by the estimate

A < AD. (19)

Now we are able to derive an estimate of stability of the locally one-


dimensional scheme ( 1 ) . Taking into account

we have a problem like that in ( 7 ) ,(15) for every fixed a = 1,2,. . . , m and on
the basis of the estimate (18) we conclude

A simpler estimate can be used for the right-hand side, namely

We have IIB;'w,uII~ = (DB;',B;'v) = ( G u , ~ )Taking


. into account (20),
we shall prove the inequality G = B;'DB;' 5 D-'. To this end, we left-
and right-multiply it by B, to get

Under our assumptions the last inequality evidently holds


The estimate (21) holds (see (12), ( 1 9 ) )for

where A, is the constant in the inequality A, 5 A,D, a = 1,2,. . . ,m. We


shall assume these conditions to be satisfied.
338 COMPUTATIONAL HEAT TRANSFER

Summing (21) for all a = 1,2,. . . , m, we arrive at the following estimate of


stability of the additive scheme (1):

The estimate (22) is the sought-for estimate of stability of the locally one-
dimensional scheme (1).
In order to study the convergence of the scheme (1) we write the following
problem for the error z+,/, = yn,+, - u(x, t n + ~ ) ,x E w :

Here u(x,
t) is the exact solution of the problem

where

For the approximation error we obtain the expressions

Hence, the approximation error can be represented in the form


ECONOMICAL DIFFERENCE SCHEMES.. .

where for $: we have

for m

C fm(x,t)= f(">t).
o=1

For the solutions of the problem (24)-(26) we have

For the second term in ( 2 7 ) we derive

i.e. the locally one-dimensional scheme ( 1 ) possesses the property of summa-


rized approximation.
Now we take advantage of the estimate ( 3 1 ) from Section 6.4. On the basis
of the a priori stability estimate ( 2 2 ) we derive

where

For problems with fairly smooth solutions, the estimates ( 3 0 ) , ( 3 1 ) , and the
summarized approximation conditions (27)-(29) entail

i.e. the locally onedimensional scheme ( 1 ) converges and is first-order accurate


in time and second-order accurate in space in H D , D = b ( x ) E .
340 COMPUTATIONAL HEAT TRANSFER

6.5.3 CONVERGENCE IN A HOMOGENEOUS NORM

Let us prove the convergence of the locally one-dimensional scheme (1) in


a homogeneous norm. In this case the estimate of stability is also obtained by
deriving estimates for fixed a = 1 , 2 , . . . ,m and using the appropriate results
from Section 6.4. Therefore, the technique of analysing the accuracy remains
the same as when deriving the estimate (32).
The unconditional uniform convergence has been shown (see Section 5.3)
for a purely implicit scheme. Therefore, when investigating the uniform
convergence of locally one-dimensional schemes we limit our consideration
to the scheme (1) with a, = 1, a = 1,2,. . . , m , i.e. we consider the scheme

The estimate of stability for the scheme (33) is derived on the basis of
the maximum principle in the usual way (see Section 5.3). For every fixed
a = 1,2, .. . , m we obtain

Summing with respect to ct from 1 to m we arrive at the following estimate


for one time level:

The desired estimate of stability of the locally one-dimensional scheme (1)


with respect to the right-hand side and initial conditions follows from the last
inequality, namely

The analysis of convergence can be conducted using the notion of summarized


approximation and the stability estimates (34) by the above procedure.
This analysis yields the following estimate of the error of the locally o n e
dimensional scheme (33): ( l y n + ~ ( s-) u ( x ,t,+l)Ilc(,) _< M(T + lhI2).
ECONOMICAL DIFFERENCE SCHEMES.. . 341

6.5.4 ADDITIVELY AVERAGED DIFFERENCE SCHEMES


The additive difference schemes we have previously considered are based
on a strict timing of the calculations, that is to find y,+,/, we need to
know Y,+(,-~)/,. If we mean that additive difference schemes will be used
for constructing parallel algorithms, it seems more attractive to have locally
one-dimensional schemes that permit asynchronous calculations. Let us give
some brief remarks concerning parallel implementation.
Without giving general formulations, we shall construct an asynchronous
locally one-dimensional scheme for the model heat conduction problem (1)-(4)
from Section 6.4. We define auxiliary grid functions h+olm by the difference
equations

These functions are then used to find the solution on a new time level:

On every time level we solve m one-dimensional problems and for this reason
these schemes are ascribed t o the class of locally one-dimensional additive
difference schemes. Note that the solutions c,,+,lm,
a = 1 , 2 , . . . , m , can be
determined independently (asynchronous calculations). Then we average these
solutions (see (36)). Because of this procedure, the schemes like (35), (36) are
called additiwely averaged difference schemes.
It is easy t o derive (see problem 2) the estimate (22) of stability of the
additively averaged difference scheme (35), (36) with respect to the right-
hand side and initial data.
Now let us consider the appropriate problem for the error:
-zn+a/m = Yn+o/m
-
- e(x. tn+,),
2, = y, - u(x, t,), x Ew

We have from (35) and (36)


342 COMPUTATIONAL HEAT TRANSFER

For the approximation error we can write

Hence, the additively averaged difference scheme has summarized approxima-


tion, i.e. conditions (27)-(29) are satisfied.
Having established the results for stability and summarized approximation,
we can analyse the convergence of the scheme ( 3 5 ) , ( 3 6 ) in the usual way (see
Section 6.4). We put

Here ij,+,/, is determined from the conditions

Summing these equations, we obtain

Because of ( 2 8 ) and ( 3 9 ) , we have qntl = qn = . . . = qo = 0 . It follows from


( 4 0 ) that ii,+,/, = m ~ b - ' ( x ) $ , " ,a = 1 , 2 , . . . , m - 1 . Now let us formulate
-
the problem for O,+,l,. Taking into account (37)-(39), we obtain

-
For $: we have
*
$: = $; - ~ m u ~ ~ ~ b - l ( z ) & (43)
Using the estimate ( 2 2 ) for the problem in (41)-(43) and taking into account
that z, = B,, we obtain
ECONOMICAL DIFFERENCE SCHEMES.. . 343

The estimate (44) ensures the convergence of the additively averaged scheme
(35), (36) with the first order in time and the second order in space for a fairly
smooth solution of the problem (1)-(4) from Section 6.4.

6.5.5 PROBLEMS
1. For t h e m o d e l p r o b l e m w e have considered w r i t e d o w n a locally
one-dimensional difference s c h e m e which is second-order a c c u r a t e
i n time.
Solution. According to Section 6.4, we use the bicyclic organization of
computations, which corresponds to a symmetric splitting of the following
form:
2m

In order to derive a locally one-dimensional difference scheme, every inter-


mediate problem is approximated by a symmetric scheme. This leads to the
difference scheme

The right-hand side is assumed to satisfy the usual relation

2. Derive t h e following e s t i m a t e of stability

of t h e additively averaged difference scheme (35), (36).


344 COMPUTATIONAL HEAT TRANSFER

Solution. For every fixed a = 1,2,. . . ,m and under the conditions


previously imposed on the weights a, we have (see (21))

It immediately follows from (36) that

Taking into account (46), this inequality yields the stability estimate (45),
which coincides with the estimate in (22) for the usual locally one-dimensional
scheme (1).

6.6 Bibliography and Comments

6.6.1 GENERAL REMARKS


6.1 Usual schemes with weights for multidimensional equations have been
thoroughly studied theoretically and are widely used in practice. The
peculiarities of implementing implicit schemes that we have considered
here have been dealt with in many works. Our analysis is based on the
general theory of iterative methods (111.The modification of the method
of alternating directions described in this chapter has been mentioned
in [13].
6.2 Methods of alternating directions are described in every textbook on
difference methods [2, 4-8, 10, 12, 14, 151. They originate from the
research of Peaceman, Rachford, and Douglas (1955). It should be noted
that the unconditional stability of these methods in problems with
variable coefficients can only be established for the two-dimensional case.
For three-dimensional problems it is necessary that separate operators
be commutative.
6.3 Construction of factorized difference schemes has been considered in
many works (see [l, 3, 8, 151 and the bibliography therein). We followed
[6, 71 when discussing the principle of regularization as a general approach
to the construction of factorized schemes.
6.4 The notion of summarized approximation and the general approach to
the construction of additive difference schemes for evolutionary problems
with fractional steps were suggested by A. A. Samarskii in 1962. The
additive splitting with integer steps was also suggested by A. A. Samarskii
(1965). The theory was then developed in [3, 6, 7, 9, 151.
ECONOMICAL DIFFERENCE SCHEMES.. . 345

6.5 Here we elaborate t h e general results in t h e theory of schemes of summa-


rized approximation for approximate solution of a multidimensional heat
conduction problem in a parallelepiped. We used [6, 7, 151 when prepar-
ing this section. T h e uniform convergence of a locally one-dimensional
scheme for parabolic equations in irregular domains has been studied by
A. A. Samarskii (1963). D. V. Gordeziani has been considering additively
averaged schemes since 1965.

6.6.2 LITERATURE
1.D'yakonov E. G. (1972) Difference Methods for Solving Boundary Value Pmblems.
Issue 2: Nonstotionory Problems [in Russian]. Moscow State University, Moscow.
2. Marchuk G. I. (1975) Methods of Numerical Mathematics Springer-Verlag, New
York.
3. Marchuk G. I. (1988) Splitting Methods [in Russian]. Nauka, Moscow.
4. Richtmyer R. (1957) Diffwenee Methods for Initial Value Problems. Interscience,
New York.
5. Richtmver R. & Morton K. 119721
~ , Difference
- Methods for Initial Value Problems.
Interscience, New York.
6. Samarskii A. A. (1971) Introduction to the Theory of Difference Schemes [in
Russian]. Nauka, Moscow.
-
7. Samarskii A. A. (1983) Theow. o.f Difference Schemes lin Russianl. Nauka.
Moscow.
8. Samarskii A. A. (1987) Introduction to Numerical Methods [in Russian]. Nauka,
Moscow.
9. Samarskii A. A. & Gulin A. V. (1973) Stability of Difference Schemes [in Russian].
Nauka, Moscow.
10. Samarskii A. A. & Gulin A. V. (1989) Numerical Methods [in Russian]. Nauka,
Moscow.
11. Samarskii A. A. & Nikolaev E. S. (1989) Numerical Methods for Grid Equations.
Birkhauser-Verlag, Basel.
12. Saul'ev V. K. (1960) Integration of Equations of Parabolic Type by the Grid
Method [in Russian]. Fizrnatgiz, Moscow.
13. Vabishchevich P. N. (19871
~, Numerical Methods for Solvino Free-boundaru Prob-
lems [in Russian]. Moscow State University, Moscow.
14. Wazow W. & Forsythe G. (1960) Finite-difference Methods for Partial Differen-
tial Equations. John Wiley & Sons, New York.
15. Yanenko N. N. (1967) The Method of Fmetionol Steps. Springer-Verlag, New
Yark.
Heat Conduction Problems with
Phase Transit ions

An important class of nonlinear heat exchange problems is connected with


phase transformations (see Section 2.3). We shall consider here solid-liquid
transitions. In order t o simulate melting/crystallization processes in pure
substances, we use the classical Stefan problem, in which we prescribe a
constant temperature at the interface. More general models admit that
a space crystallization zone is formed in which temperature is equal to
the crystallization temperature. Models with nonconstant phase transition
temperature are also used.
Two main approaches to the numerical solution of problems with phase
transformations are employed. First of all, we should mention methods in
which the interface is explicitly separated. These methods are sometimes called
variable domain methods. The second class is formed by methods in which the
interface is not explicitly separated, and these are called fixed domain methods.
In the methods of the first group the position of the interface is calculated
on every time level. In this case, the free boundary is numerically defined
by the position of appropriate nodes. This is achieved by introducing new
independent dynamic variables or adjusted dynamic grids in terms of the
original variables.
In one-dimensional problems the time step is often varied in order to adjust
the grid to the position of the interface. Such an approach t o the use of
variable time steps (catching of the front into a node of space grid) has been
well-known and widely employed for a long time. In some cases it is possible
to vary the space step instead. However, all of these methods are poorly suited
to multidimensional problems.
Speaking about variable domain methods, we should mention a front
straightening method in which a fixed-structure dynamic grid whose nodes
348 COMPUTATIONAL HEAT TRANSFER

are bound to the phase interface is nsed. When discussing these approaches,
the guideline is to formulate the problem in terms of new independent variables
in which the computational domain is regular. For simplicity we consider a
single-phase Stefan problem.
For multidimensional problems with phase transformations, variable do-
main methods often encounter difficulties with algorithms of implementation
and large computational costs. For this reason fixed domain methods have
become popular for approximate solution of these problems. A generalized
formulation of the classical Stefan problem is nsed to this end. Appropriate
numerical methods for solving the Stefan problem are constructed on the basis
of methods for solving quasi-linear heat conduction problems. The enthalpy
formulation of the Stefan problem, in which enthalpy rather than tempera-
ture is an independent variable, is also used in these problems. Economical
difference schemes are used to solve multidimensional problems.
Progress in the theoretical research of problems with a free (unknown)
boundary has recently been achieved by considering these problems as
variational. For the single-phase Stefan problem, a new independent variable
(Baiocchi transform) is introduced, which makes it possible to simplify
the problem. A fixed domain method for the Stefan problem can also be
constructed on the basis of the penalty method applied to an appropriate
variational inequality.
The quasi-stationary Stefan problem is described by the stationary heat
equation. We shall mention below the peculiarities of numerical methods used
to solve such problems. For instance, fixed domain methods can be constructed
by separating out a singularity of the solution on the phase interface.
We shall specially stress the features of mathematical models of phase
transformations in alloys. Models with an equilibrium two-phase zone will
be formulated. In some cases it is necessary to take into account diffusion of
impurities in a liquid or even in a solid phase.
The nonlinearity of problems with phase transitions is, first of all, accounted
for by the presence of an unknown (free) phase interface. Moreover, similar
to ordinary heat conduction problems, the nonlinearity can be due to the
dependence of thermal parameters on temperature. In order t o highlight the
features of problems with phase transformations, we shall take liquid and solid
phases to be homogeneous media with constant thermal parameters.

7.1 Variable Domain Methods

7.1.1 THE MODEL SINGLE-PHASE STEFAN PROBLEM


Let us exemplify the numerical solution of Stefan-like problems by fixed
domain methods with the simplest single-phase Stefan problem. Consider an
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 349

interval Cl = (0, l ) , which is partitioned by a point x = q(t) (the interface


position), q(0) > 0, into two subdomains

We shall assume the phase transition temperature t o be zero (u* = 0). Then
in the solid phase, which occupies the domain W ,we have u(x, t) = 0, and
in the liquid phase, which occupies the domain R+, we have u(x, t ) > 0. In
order to determine the temperature in the liquid phase we consider the heat
equation (a homogeneous medium)

Let us equip equation (1) with the initial condition

Suppose the left-hand endpoint of the interval is maintained at a constant


temperature, i.e.
u(0, t ) = g(t) > 0, 0 < t 5 T. (3)
The following conditions are satisfied at the phase interface (see Section 2.3):

Let us recall (Section 2.3) that the constant X is connected with the enthalpy
of phase transition.
By virtue of the above assumptions about boundary and initial conditions
in the single-phase Stefan problem (1)-(5), the speed of the phase front
v, = dqldt is positive, i.e. the domain occupied by the liquid phase is
expanding. A monotonic rise of the function q(t) follows from the maximum
principle (see Section 5.1) for parabolic problems.

7.1.2 CATCHING OF THE FRONT INTO A SPACE GRID NODE


Note some simple computational algorithms for solving the one-dimensional
problem (1)-(5) that take advantage of a monotonic expansion of the liquid-
phase domain. We are considering variable domain methods, therefore, a node
of the computational grid is associated with the interface.
In the domain we introduce a uniform grid with the step h:
350 COMPUTATIONAL HEAT TRANSFER

Let w be the set of the inner nodes of the grid. We shall use the nonuniform
time grid

with variable step 7, > 0.


We shall select the time step rn+l,n = 0,1,. . . ,N - 1 so that the interface
shifts exactly by one space step for the time interval from t, to t,+l. This
approach is known a s the method of catching of the front into a space grid
node.
We assume that the initial domain R+(0) is covered by a part of the grid
w (this part will be denoted by w$ C w). We denote the adjusted grid at any
time t , in the domain Rt(t,) by w,: where w: c w:+~. We use the notation
x = ~ ( t , )= i,h for the boundary node of this dynamic grid. Now we relate
to equation (1) the implicit difference scheme

where in indexless notation we have

The approximation of the initial condition (2) yields

The boundary conditions (3), (4) lead to the conditions

Now we only have to approximate the condition in (5). Taking into account
the assumption that the front is shifted by one space step (by one node), we

In order to retain the second-order accuracy with respect to h (see Section 4.2),
we approximate the condition in (5) as follows:
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 351

The difference problem (6)-(10) approximates the differential problem (1)-(5)


+
with an error O(T h2).
The solution on the new time level y,+, and the time step T , + ~ now stand
for unknowns in the problem (6), (8)-(10). Given some r,,+l, the difference
can be found from the first boundary value problem (6), (a), (9) or from the
mixed boundary value problem (6), (8), (10).
The same iterative processes are used in order to solve the nonlinear
algebraic problem (6)-(10) on every new time level t = t,+l. The simplest
of these processes is connected with an iterative refinement of the time step
T,+~. Suppose that an initial approximation ~ j l +is~given (for example, it is
logical to put T;+, = r,). Given r;+,, the corresponding approximation for
y,+l can be found by solving the linear difference problem

The three-point Thomas algorithm is used for this purpose.


The difference relation (10) is used to refine the time step. In the simplest
case we have

If necessary, an iterative process with a relaxation parameter can be used


instead of these successive approximations.
The space grid is fixed in this version of the front catching method. For
problems as simple as the problem (1)-(5), we can also employ a fixed time
grid, in which case the space step is adjusted. In the latter case, it is possible
to go with noniterative procedures of passing from one time level t o another.

7.1.3 THE FRONT STRAIGHTENING METHOD


If we are faced with the problem (1)-(S), it is logical to replace x by a new
independent variable ,$ such that in terms of the new variables the problem has
to be solved in a fixed domain. For the problem (1)-(5) the simplest variable
change of the kind has the form

The new independent variable ,$ varies within a finite interval from 0 (at
the left-hand endpoint x = 0) to 1 (at the interface we have x = q(t)). When
352 COMPUTATIONAL HEAT TRANSFER

considering heat conduction problems with phase transformations, approaches


with such variable changes are referred to as front straightening methods,
because in this case the interface coincides with a fixed coordinate line.
Now let us formulate the Stefan problem in the new independent variables
(t,t ) . Let
.(x> t ) = 46 t ) .
Then, taking into account (13),we obtain

Hence, equation ( 1 ) becomes

The initial condition (2) yields

~ ( c0 ,) = uo( E ( I ) ( ~ ) ) ) , (15)
while the boundary conditions ( 3 ) ,( 4 ) are transformed to become

The resulting boundary value problem (14)-(18) for v(<,t ) and q ( t ) is


nonlinear. However, unlike the original problem (1)-(5), it is considered in
the fixed computational domain 0 < ( < 1. It is necessary to mention that
equation (14) contains a term with the first derivative with respect to the
variable <.This term accounts for a heat transfer due to the motion of the
computational domain.
We shall use difference methods in order to solve (14)-(18) numerically in
terms of the new variables. Equation (14) is approximated on the uniform
grid
~ { g ( =g = i h , i = 1 . N , N h = 1)
as follows:
Y ~ +-I yn Y,+I( + h ) - Y,+I(< - h )
@,+I - 0,
@nil
T - 27 2h
+Ay,+l = 0 , <
E w, n = 0 , 1 , . . . , (19)
where 0 = q 2 ( t )
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 353

The difference equation (19) is equipped with the conditions

yo(<) = uo(<q(O)), c E W, (20)


yn+l(0) = g(tn+d, n = 0 , L . . . , (21)
y n + l ( l ) = 0, n = 0 , 1 , . . . . (22)

It follows from (14) and (18) that for < = 1 we have the equation

Therefore, an approximation to the boundary condition which is second-order


accurate in h on the solutions of equation (14) has the form

yn+i(<) - yn+l(E - h) + @"+I- 8,


h 27

The implementation of the difference scheme (19)-(23) is connected with


defining the grid functions Y,,+~ and @,+I from a nonlinear system of equations
on the new time level t = tn+l. Difference methods are usually used t o this end.
For example, similar to the front catching method, we can use the following
iterative process (see ( l l ) , (12)). Given a k we find y2+l as the solution
of the problem

Then, in order to refine Qntl, we use the relation in (23). For instance, the
simplest linearization yields
354 COMPUTATIONAL HEAT TRANSFER

Naturally, we can use other formulae: for example, we can determine the new
approximation;::8 from the appropriate quadratic equation.

7.1.4 FRONT STRAIGHTENING I N A TWO-DIMENSIONAL


PROBLEM
In order to analyse what the front straightening method has to offer in
multidimensional problems, we consider the following model singlophase
Stefan problem. Let the rectangle (Fig. 7.1)

be partitioned by the free boundary S = S ( t ) into two parts: R+(t) (the liquid
phase) and W ( t ) (the solid phase). We shall assume that the phase interface
S is described by the equation xl = q(x2,t), 0 < x2 5 l z , and during the
whole time period considered it preserves its structure (the function q(x2, t)
is single-valued for every fixed t-the free boundary without self-intersections,
0 < q(x2,t) < 11).
The single-phase Stefan problem for a homogeneous medium is described
by the equation

supplemented with the initial condition

On the fixed part of the boundary y = y(t) = aR n aR+(t) we set

Fig. 7.1.
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 355

On the free boundary we have (see Section 2.3)

Here n is the outward normal and V,, is the speed at which the free boundary
moves along the normal to S.
Under these conditions we can straighten the front with respect to the
variable X I by using the transformation $1 = E1q(xZ,t). Then the problem
(24)-(28) is written in the new independent variables (G,C2) with

Putting u(x, t ) = v(E, t ) and taking into account (29), we obtain

In order to write the Laplace operator in the new variables, we shall use
general ideas of tensor analysis instead of direct transformations. Let goo,
a,/3 = 1,2, be the components of the metric tensor, J be the Jacobian of
the transformation (in our case we have J = gllgzz - glzgzl). We denote by
a,/3 = 1,2, the components of the associate tensor (the inverse of the
metric tensor). Then, in an arbitrary reference frame, we have for the Laplace
operator the following:

In order to define of the transformation used, we first calculate the


components of the metric tensor. We write (29) in the form X I = Elq((2, t),
x2 = t2to obtain

Hence we have
356 COMPUTATIONAL HEAT TRANSFER

and we arrive at the following expression for the Jacobian of the transfor-
mation:
J = q-1. (33)
The substitution of (30), (31) into (24) yields the desired equation

in which the coefficients are defined by (32), (33). Equation (34) is considered
in the fixed regular domain

We then correspondingly transform the initial and boundary conditions


(25)-(27). As usual, the conditions (28) on the free boundary (at (1 = 1)
deserve special discussion.
Taking into account the boundary condition (27), we derive from (28)

where vl is the component of the front velocity along the axis XI. It follows
from the equation
au 1 av

from the equation of the free boundary XI = q(x2, t), and from (35) we derive

Note that the condition (35) on the free boundary exactly coincides with a
similar condition for the one-dimensional problem (see (18)).
Now the problem is considered in the new variables exactly in the same
way as in the one-dimensional case. The iterative refinement of the unknown
boundary on every time level is now associated with refining a function
rather than a single parameter. For this reason, we may find it useful to take
advantage of simplified noniterative schemes, which correspond, for example,
to using a single iteration in the above iterative procedures for the one-
dimensional problem.
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 357

7.1.5 GENERAL TRANSFORMATION OF INDEPENDENT VARIABLES


More general transformations of independent variables can be used for
multidimensional problems instead of the above stretching with respect t o a
single variable. For the problem (24)-(28), front straightening can be achieved
by the general dynamic transformation

New variables are chosen so that the free boundary is fixed. For instance, the
original irregular domain W ( t )is mapped at every moment in time onto the
regular one

The above transformation (29) can serve as an example of such a continuous


transformation.
Two-phase Stefan problems are considered similarly. In this case both
domains W ( t )and W ( t ) (the solid-phase domain) are being transformed. It
is clear that in this way we shall encounter new difficulties, which are however
beyond the scope of our present consideration.
The quantization with respect to new variables actually corresponds to the
use of irregular free-boundary-consistent grids adapting to the phase interface.
Therefore, we can attempt the coustruction of a computational front-
straightening algorithm in this way, without specifying a continuous variable
transformation or formulating the differential problem in new variables. In a
sense, such constructions may prove to be unnecessary.
When constructing grids in multidimensional Stefan-like problems, we
should note the following. The grid should be dynamic, adaptive, at least
on every time level. Given this requirement, we should reject as unsuitable
many popular techniques of constructing the grids. In particular, we should

Fig. 7.2.
358 COMPUTATIONAL HEAT TRANSFER

reject orthogonal grids. Construction of orthogonal grids is a sophisticated


problem which can be solved only for fairly simple classes of domains, though
even in this case the computational costs are appreciable.
When constructing two-dimensional grids, the most economical are alge-
braic methods. An example is the use of a fixed grid with respect t o the
variable x2 in the problem (24)-(28) and of a locally one-dimensional grid
with respect to the variable xl (Fig. 7.2). In fact, this procedure is equivalent
to using the algebraic relations in (29). Of course, such an approach can be
considered in more general situations.
Other available methods of constructing grids are associated, in one way
or another, with solving some auxiliary problems for partial differential
equations and are therefore less suited to the fast construction of adaptive
dynamic grids. Methods of 'elliptic' generation of computational grids have
become widespread in computation practice. Clearly, the computational costs
of solving appropriate boundary value problems may significantly exceed the
costs of switching from one time level to another.
Methods that involve generation of consistent dynamic grids are especially
important when we demand a high accuracy of the results of a numerical
solution. Adaptive grids are used in this case. The main singularities of the
solutions of Stefan-like problems are localized near the phase interface, where
the derivatives of the solution are discontinuous. For this reason, in order to
improve the accuracy it is logical to use grids that dynamically condense near
the phase interface.

7.1.6 PROBLEMS
1. For t h e m o d e l single-phase Stefan p r o b l e m (1)-(5), consider
t h e case i n which t h e front i s caught into a n o d e of a n irregular
s p a c e grid.
Solution. We shall use an irregular space grid. A new node in this grid will
be defined from the condition that the phase interface falls to this new node.
Let the grid consist of the nodes x, = + h,, i = 1,2,. . . ,in+lat a time
t = t,+, and let the position of the boundary grid node x,, m = be
unknown (we do not know the step h,). Let us relate to equation (1) the
difference equation

Equation (38) is supplemented with the initial and boundary conditions


HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 359

In order to approximate the condition in ( 5 ) ,we use the simplest difference

In order t o solve the nonlinear problem (38)-(40) for yn+l and h,, we
shall use the Thomas algorithm (see Section 4.5). We shall use the notation
u, = yn+l(x,), i = 0,1,. . . , m . The difference problem (38)-(40) is written in
the form of the tridiagonal system of linear equations

Cove - BOVI= Fn,


-A,ui-1 +C,u;-Biui+l = F , , a= 1 , 2,..., m - 1 ,
-A,-lv,-l +
C,,v, = F,,

whose solution is sought in the form

For the coefficients of the Thoma* algorithm we use the following formulae:

a1 = C ; ' B ~ , a,+l = (C, - Aiai)-'Bi, a = 0 , 1 , . . . , m - 1,


P1=C;'Fo, P,+l=(C,-A,a,)-'(F,+A,A), i = O , l , ...,m

In our difference problem (38)-(40) we have

Hence, we can calculate all the coefficients a;, Pi up to i = m - 1. Taking into


account the boundary conditions (39),(40),we obtain

Using the expression for P,, we arrive at the following cubic equation for h,:
360 COMPUTATIONAL HEAT TRANSFER

An additional analysis shows that this equation has one real and two complex-
conjugate roots. After we have found the grid step, we restore the solution of
the difference problem by the reverse Thomas algorithm.
It should be stressed that the front-catching algorithm described is nonite-
rative, although the problem (38)-(40)is nonlinear.
2. Write heat equation (24) in terms of new independent variables
(&,t2) for a given dynamic transformation of variables (37).
Solution. We put u ( x ,t ) = v(C,t ) and get

au au
- = - + - - + -at,
- av at2 av
at at at at,at a t ~

From (37) we derive

and, therefore,
at1 = -1
- ax2 axl axl axz
- - - --
at 1( a t at2 at ac2

Here

is the Jacobian of the transformation.


Now we write the Laplace operator in terms of new variables, using the
general representation (31).For the transformation (37)we have

Therefore, for the components of the metric tensor we derive


HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 361

Straightforward manipulations yield for the associate metric tensor the


following:
g12 = - JpgI2, gZZ= 5 - 2 9 1 1 . (44)
9" = J-2 922 1

Substituting (31),(41)-(44)into equation (24) yields the sought-for equation

Here the coefficients of the metric tensor of the transformation (37)are defined
by the formulae (43).

7.2 Fixed Domain Methods

7.2.1 TWO-PHASE STEFAN PROBLEM


In Section 2.3 it was mentioned that the classical Stefan problem admits
an extended formulation as a single nonlinear heat equation. Given this
formulation, we satisfy the necessary conditions on the phase interface. This
fact makes it possible to construct computational algorithms for approximate
solution of problems with phase transformations without separating the
phase boundary explicitly. These methods will be referred to as fied domain
methods.
We consider the model two-phase Stefan problem in the rectangle R. The
free boundary S = S ( t ) divides R into two subdomains W ( t ) and W ( t )
(Fig. 7.1). The heat equation holds in every suhdomain. As usual, we shall
assume that thermal parameters of the solid and liquid phases are constant
and shall use '+' and '-' indices to refer to one or the other subdomains.
Let us write the heat equation in every subdomain:

At the initial moment in time we prescribe some temperature distribution

Let y* = + ( t ) = aR n aRi(t) and

u i ( z , t ) = g(x,t ) , x E yf, O < t _< T. (3)


362 COMPUTATIONAL HEAT TRANSFER

The phase transition temperature is taken to be zero and the free boundary
S = S(t) is therefore defined by

Two conditions must be satisfied on the free boundary (see Section 2.3): these
are the temperature continuity and the law of heat conservation:

[u] = 0, x E S(t),
= v x.,),

where X is the enthalpy of the phase transition and V, is the speed at which
the free boundary propagates along the normal to S(t).
This two-phase Stefan problem can be written as a single common heat
equation in the whole domain R. Let 6(u) be the Dirac delta-function. Then,
instead of equation (1) and the junction conditions (4)-(6), we can consider
the single heat equation

The heat conductivity and specific heat capacity are discontinuous in this
equation and have the form

According to (2) and (3), equation (7) is supplemented with the conditions

The peculiarity of the Stefan problem reveals itself in the fact that there
is a term with a 6-function in the left-hand side of equation (7). The release
and sink of heat, which accompanies a phase change, corresponds to a lumped
heat capacity on the interface. The boundary value problem (7)-(9) itself is
not very much different from the above quasi-linear heat conduction problems
(see Section 5.9). This fact allows us to proceed to the construction of required
difference schemes.
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 363

7.2.Z A DIFFERENCE SCHEME WITH SMOOTHED COEFFICIENTS


The simplest approach to the approximate solution of the Stefan problem
formulated as (7)-(9) is to smooth the coefficients in equation (7), i.e. to
switch to the usual heat conduction problem.
The heat capacity c(u) and the term M ( u ) appear in equation (7) in the
same way. Let us replace the function 6(u) by a function 6(u, A) which is
nonzero only within the smoothing interval [-A, A] and let us introduce an
effective smoothed heat capacity as
+
E(u) = ~ ( u ) 6(u, A). (10)
If necessary, we also smooth the heat conductivity (k(u) is replaced by i ( u ) )
and, instead of equation ( 7 ) , we solve the equation with smoothed coefficients

Various approximate formulae for 6(u, A) which are constructed from the
assumption of the heat balance on the interval [-A, A] have been widely used
in computational practice. The simplest of the kind is to put

As the second example, we can mention the parabolic approximation, when

The condition
5
-n
is evidently fulfilled for this approximation. Numerical experiments provide
evidence that the error of the approximate solution only weakly depends on
which specific function is selected as an approximation to the 6-function, for
instance, on whether we select (12) or (13). The choice of the smoothing
parameter A is more significant. Naturally, the choice depends on the grid
used and is most often determined empirically from auxiliary computational
experiments.
364 COMPUTATIONAL HEAT TRANSFER

In fixed domain methods the difference scheme is constructed on the basis


of equation (11) under the assumption that the coefficients of this equation
are smooth enough. The phase interface itself is not separated explicitly and,
therefore, does not appear in the construction of the difference scheme. If
necessary, the free boundary is identified as zero isotherm (see ( 4 ) ) after the
solution has been found.
The difference methods that have been considered previously are employed
to solve the problem ( X ) , ( 9 ) , ( 1 1 ) .In accordance with Section 5.9, we apply,
for example, the purely implicit difference scheme

Here
b(y) = E(Y),
and
2

Nv)y = Cu
o=l
v ) ~

Y =- ( x E w.
The boundary and initial conditions ( X ) , (9) become

For definiteness we put

The implementation of the nonlinear difference scheme (14)-(19) is based


on iterative methods. The simplest of these is connected to the iterative
refinement of the coefficients. The new approximation is determined from
the solution of the following linear difference problem (see Section 5.9):

" , + +-
I
b(wk) Yn + A(wk)wk+l= 0, XEw, (20)
w k + l ( s )= g ( s , L + ~ ) ,z E aw, n = 0,1,.. . . (21)
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 365

As a rule, a few iterations (20), (21) suffice to ensure the proper smoothness.
Instead of the iterative process (20), (21), we can use the Newton method,
which leads us to a nonself-adjoint grid elliptic problem for the new
approximation.
Among practitioners, a linearized purely implicit difference scheme has
become popular in which the coefficients are taken from the previous time
level. For the problem (a), (9), ( l l ) , at the inner grid nodes we use the equation

supplemented by the boundary conditions (18). When solving problems with


phase transformations, the noniterative difference scheme (la), (22) is often
preferable rather than the purely implicit scheme (14)-(19) if we want to
minimize the total computational costs.

7.2.3. ECONOMICAL SCHEMES


In order to solve multidimensional Stefan-like problems it is logical to
use economical difference schemes. For general three-dimensional problems,
stable difference schemes can be constructed on the basis of additive locally
one-dimensional difference schemes or using the summarized approximation
schemes (see Section 6.5). For the two-dimensional problem (8), (9), (11) we
can also use factorized difference schemes (see Section 6.3) (difference schemes
of alternating directions).
Let us give as an example a locally one-dimensional difference scheme
for the problem (8), (9), ( l l ) , using as the basis a purely implicit scheme
for intermediate problems. In accordance with Section 6.5, we define the
approximate solution in two stages. First, taking into account the additive
representation (16), we shall find the difference solution y,+,j2 as a solution
to the difference problem

Then, using the solution of the grid boundary value problem

we find the solution yntl on the new time level.


The implementation of the summarized approximation scheme (23)-(26) is
connected with solving a series of one-dimensional nonlinear grid equations
366 COMPUTATIONAL HEAT TRANSFER

for yntl12 and y,+,. To this end, we can use an iterative process like (20),
(21) or the Newton method. The corresponding systems of linear equations
are solved by the Thomas algorithm.
The linearized difference scheme (18), (22) will be related to a difference
scheme with the equations

and the boundary conditions (24), (26). Instead of (28), the following equation
is frequently used

in a hope to increase the stability margin of the linearized difference scheme.


We could consider other versions of difference schemes for numerical solution
of multidimensional Stefan problems which are based on the use of economical
additive schemes described in Chapter 6. For example, we could mention the
schemes of alternating directions, which make it possible to calculate the stage
in which the temperature regime is stabilized.

7.2.4 ENTHALPY FORMULATION OF THE STEFAN PROBLEM


When solving problems in which solid-liquid phase transformations are
involved, the enthalpy w(x, t ) rather than the temperature u(x, t ) is often used
as an unknown function. For the problem (7)-(9), we define a new function
(the enthalpy) by the relation

Introducing enthalpy corresponds (see Section 3.3) to the use of the Goodman
transform. In our case of homogeneous liquid and solid phases, in accordance

It follows from (30) that the new unknown function w has a discontinuity on
the interface (for u = 0).
The heat equation (7) with allowance for (30) takes the form
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS

Fig. 7.3.

In order to construct fixed-domain computational algorithms it is necessary to


smooth the discontinuous function w(u). Once more we denote the smoothing
parameter by A and introduce the piecewise-linear continuous function
(Fig. 7.3)

where w(A) = c+A + X and w(-A) = -c-A. Instead of (32), we can use
more intricate approximation formulae.
The exact equation (31) is replaced by the approximate equation

The resulting problem is then solved numerically. If the function WA(U)is used
as an unknown, one speaks about approximate solution of the Stefan problem
in enthalpy formulation. Eliminating wA(u) from (32), (33), we arrive at a
smoothing scheme in the above temperature formulation (problem 2).
It immediately follows from (32) that for determining u(x, t) by a given
wA(u) we have the formula
368 COMPUTATIONAL HEAT TRANSFER

If we take this into account, equation (33) becomes

where n ( w ~ =) k(u(wa)).
If the functional transform (34) is given, we can easily formulate initial
and boundary conditions for equation (35). It should he noted that simple
functional relations (32), (34) between u(x, t) and WA(X,t ) take place for
prescribed constant heat capacities. In a more general case of c = ~ ( u )the
,
transition to enthalpy formulation is not that easy.
In order to solve (35) numerically, we can use the difference schemes
described in the above when we were considering fixed domain methods in
temperature formulation. To identify the free boundary, we use the condition

w(0) =
w(-A) + w(A) = const,
2
which corresponds to (4).

7.2.5 COMBINED ALGORITHMS


We defined fixed domain methods to be those that are not associated with
explicit separation of the free interface. When the coefficients are smoothed
in the generalized formulation of the Stefan problem (a), (9), ( l l ) , we can
use simple formulae like (15), (19) in order to calculate the coefficients in
the difference problem (14)-(19), i.e. the discrete problem is constructed by
direct approximation (see Section 4.2). More elaborate procedures can be used
when constructing difference problems; in particular, we can use a balance
method (integro-interpolational method). The balance method can be used
to construct a difference scheme immediately for the problem (7)-(9) with
explicit separation of the interface.
The application of the integro-interpolational method is associated with the
use of quadrature formulae when calculating the coefficients of the appropriate
difference problem. In order to improve the accuracy it is necessary to take
into account discontinuities in the coefficients of the differential equation. For
example, this is the case when integrating equation (11) with a discontinuous
heat capacity. For this reason the phase interface is not separated explicitly.
When using approximation formulae (12), (13), it is necessary to separate
the lines of discontinuity (isotherms u f A = const) of heat capacity. The
same remark applies to the enthalpy formulation of a problem with phase
transformations.
These difference methods for solving the problem with smoothed coefficients
(8), (9),(11) in the part that concerns the construction of a discrete problem
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 369

are closely adjacent to variable domain methods. Therefore, we can specify


a class of combined methods in which the ideas from both methods are used
together.

7.2.6 PROBLEMS
1. F o r t h e p r o b l e m (a), (9), ( l l ) , c o n s t r u c t a linearized analogue
of t h e Douglas-Rachford difference scheme.
Solution. According to Section 6.2, an analogue of this scheme would be

The implementation of the correction (the second stage in the scheme (36),
(37)) can be done on the basis of the difference equation

This equation is distinct from (37) only in that the coefficients are calculated
by the solution y,+l/2 rather than the time level t = t,.
2. C o n s t r u c t a linearized difference s c h e m e i n t e m p e r a t u r e for-
mulation o n t h e basis of t h e s m o o t h i n g (32).
Solution. For the problem (32), (33) with smoothed coefficients we use the
difference scheme

The linearization of this scheme yields the scheme (22) in which

Taking into account (32), we obtain

Such a linearized scheme corresponds to the case in which we use the


approximation formula (12) for the &function.
370 COMPUTATIONAL HEAT TRANSFER

7.3 Transformation of Dependent Variables

7.3.1 SINGLE-PHASE STEFAN PROBLEM


In Section 7.1 we considered such transformations of independent variables
that the original domain with free boundary would become a fixed domain in
the new variables. The second option of transforming the original problem is to
introduce a new unknown instead of u ( x ,t ) . We can mention the introduction
of the enthalpy w ( x ,t ) instead of u ( x ,t ) in Section 7.2 as an example of such
a transformation. Here we shall discuss yet another opportunity to introduce
a new variable.
We consider the model single-phase Stefan problem in a rectangle 0 (the
same problem as in Section 7.1). In the liquid phase the following heat
equation holds:

We supplement this equation with the simplest initial and boundary con-
ditions

where y+ = y+(t) = an n a n + ( t ) and R+(O) = 0.


In the solid phase the temperature is constant and equal to zero, i.e.

U ( X ,t ) = O, 2: E n - ( t ) = n\Kf(t), o < t 5 T. (4)


In particular, on the fixed part of the boundary of the domain W ( t )we have

On the free boundary S ( t ) = an+n X - we have the usual conditions

where Vn is the velocity of motion of the interface.


We shall assume that the interface S ( t ) is defined by the equation t = q ( x ) ,
i.e.
s ( t ) = { ( ~ , t ) [ t = v ( x )X, E R ) . (8)
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS

For definiteness, we set


n t ( t ) = {(x,t)lt > v(x), x E n ) ,
n - ( t ) = {(x,t)lt < ~ ( x ) , x E n}.
In this case the boundary condition (7) (problem (1)) takes the form
gradugradq = - A , t = q(x), 0 <t < T. (9)
A feature of the problem (1)-(7) is that the solution is continuous over the
whole domain R, while the first derivatives are discontinuous when passing
through the free boundary. The new unknown function is introduced so that
its first derivatives are also continuous. In order to find such a smoother
approximate solution we can use simpler computational algorithms.

7.3.2 DUVAUT TRANSFORMATION


We take the function

as a new unknown. A transformation similar to (10) was first proposed


by Baiocchi for the problem of filtration through a soil dam with a free
(unknown) wetting boundary. In the theory of heat Stefan problems, such
a transformation has been used by Duvaut (Duvaut transformation).
Let us reformulate the single phase problem (1)-(6), (9) for the new
unknown w(x, t). First of all, straightforward differentiation of (10) yields

i.e. the temperature u ( x , t ) has the meaning of the rate of change of the
function w(x, t) in time.
For the derivatives with respect to space variables we have

Taking into account condition (6) on the free boundary, defined by (8), we
derive
372 COMPUTATIONAL HEAT T R A N S F E R

Similarly, we have

Taking into account (9), equations ( I ) , and relations ( l l ) ,these representa-


tions of the second derivatives yield

Thus, the function W ( X , t ) satisfies the equation

Due to ( 4 ) , ( l o ) ,in the solid phase we have

W ( X ,t ) = 0 , x E R-(t). (13)
On the free boundary the relations ( 6 ) , (10) yield
w ( x ,t ) = 0 , x E S(t), (14)
while the second condition in (7) is reduced to the form

Because of ( 2 ) ,the initial condition is of the form

w(x,O) = 0 , x E a. (16)
Now we only have to formulate boundary conditions on aS2. Taking into
account ( 3 ) , ( 5 ) ,we write them in the form

U(X,t ) = g ( ~t ), , E an = -+, u 7-.

Because of ( l l ) ,this boundary condition reduces to

W ( X ,t )=
i
O
g(x, 6 ) dB, x E 80.
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 373

Thus, we arrive at the problem with free boundary (12)-(17) for the new
unknown function w(x, t ) .
The problem (12)-(17) differs from the original problem (I)-(?) for the
temperature because this time the solution itself as well as its first derivatives
are continuous over the whole domain 0.

7.3.3 PENALTY METHOD


In the subdomain R-(t) we can assume (see (13)) that the following
homogeneous equation holds:

Combining (12) and (18) and taking into account the homogeneous conditions
(14), (15) on the free boundary, we can write a single general equation for the
whole computational domain, namely

where the discontinuous right-hand side has the form

Equations (19), (20) are supplemented by the boundary conditions (17) and
the initial condition (16).
We can attempt the construction of uniform fixed domain computational
algorithms on the basis of the problem (16), (17), (19), (20). However, the
discontinuous right-hand side in (20) significantly complicates the search for
an approximate solution for w ( x ,t).
In theoretical research (unique solvability, smoothness of the free boundary),
formulation of the problem (16), (17), (19), (20) as a variational inequality has
been successfully used. A penalty method is used for approximate solution of
the variational problem. Without giving the variational formulation of the
problem concerned, we shall only provide a problem for the approximate
solution derived by the penalty method.
Let w,(x, t ) denote an approximate solution found by the penalty method
for the problem (16), (17), (19), (20), where E > 0 is a penalty parameter.
The following problem is formulated for w,(z, t). In the domain 0 we solve
374 COMPUTATIONAL HEAT TRANSFER

the following equation with homogeneous right-hand side:

where 13,(u)is the penalty operator

The initial and boundary conditions for (21), (22) have the usual form (see
(16))( 1 7 ) )
w,(x,O) = 0 , x E R, (23)

W < ( X ,t ) = / g ( z , R) do, x6 aa (24)


0
Now let us consider equations (21), (22) for the approximate solution. Let
the level line w,(x) = 0 define an approximation to the free boundary, i.e.

Then we have
n:(t) = { ( ~ , t ) l ~ , (>~ O, ,t ) x E 01,

In order to verify that this definition of the subdomains R;(t) and @(t)
is feasible, we shall considet the boundary value problems in separate
subdomains. In the subdomain R f ( t ) we have an equation (see (21), (22))
that coincides with the original equation (12) and the corresponding boundary
conditions. Therefore, in @ ( t ) we indeed have w,(x,t) > 0. For the
subdomain R; ( t ) we derive
2
a2w, 1
at - ~ , : i y W xr ~=
~ - t- ,o~
c t .i r
a=1

Due to the maximum principle (Section 5.1), the positiveness of A, and


homogeneous first-kind boundary conditions on 8 0 - ( t ) , we have w,(x, t ) < 0.
As the penalty parameter E tends to zero, the function w,(x, t ) , defined by
(21)-(24),produces an approximate solution of the problem (16), (17), (19),
(20), i.e.
lim llw,(x, t ) - w ( x ,t)ll = 0 , x E R, 0 < t 5 T.
E-0

Only the coefficient LC(w,) is discontinuous in the problem (21)-(24). An


approximate free boundary is determined according to (25).
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 375

7.3.4 DIFFERENCE SCHEMES OF THE PENALTY METHOD


Let us give some difference schemes for approximate solution of the problem
(16), (17), (19, (20). The problem (21)-(24) is used for this purpose. For small
values of E we relate the differential problem of the penalty method to a purely
implicit difference scheme. In the usual notation we approximate equation (21)
on a uniform rectangular grid by the difference equation

with the additional conditions

y d x ) = 0, E W, (27)
) g ( x , t n + ~ ) , x E aw,
Y , + ~ ( X= n = 0 , ~. .. . (28)
Here, as usual,
2

AY = Amy, Y =- xE W.
m=1
The implementation of the nonlinear difference scheme can be based on the
iterative process

with an initial approximation u0 = y,. A new approximation is determined


from an inner iterative process which is constructed on the basis of the
results in Section 4.7, taking into account the peculiarities of the grid elliptic
problem (29), (30) (a diagonal nonnegative grid operator &(wk)E). Instead
of the nonlinear scheme (26)-(28) we can use the linearized scheme which
corresponds to a single iteration of the process (29), (30).
Economical additive schemes for the problem (21)-(25) are constructed
in the usual way. We take for example the following additive locally one-
dimensional scheme (Section 6.5):

with the appropriate initial and boundary conditions. Other summarized


approximation difference schemes are constructed analogously.
376 COMPUTATIONAL HEAT TRANSFER

7.3.5 PROBLEMS
1. Transform the condition (7) on an interface S ( t ) defined by the
relation t = q ( x ) to the condition (9).
Solution. Taking into account (6), we derive from ( 7 )

where V, is the component of the velocity of the free boundary along the
direction z, a = 1,2. For the point on the interface we have

It immediately follows from the equation of the boundary t = q ( x ) that

We multiply (31) by a q / a x , and sum over a = 1,2. Then, taking into account
(32),(33), we derive

This is the sought-for relation (9) on the interface.


2. Reformulate the third-kind boundary condition

for the function w ( x ,t ) defined by (10).


Solution. We have from (10)

Differentiating this equality with allowance for (11) and (34),we derive
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS

Integrating this result over t, we obtain

Thus, we arrive a t the third-kind boundary condition for the new function
W(X>t).

7.4 Quasi-Stationary Stefan Problem

7.4.1 TWO-DIMENSIONAL MODEL PROBLEM


A quasi-stationary Stefan problem is understood to be (see Section 2.3) the
problem about stationary temperature fields in cylindrical bodies when the
interface is moving while retaining its shape along an element. These problems
are important in microelectronics (growing of single crystals), metallurgy
(continuous casting), welding, etc.
Let us consider a model two-dimensional problem about an infinite plate
passing by a heat source. Let the direction of motion of the plate be along
the axis x2 and let the velocity of the plate be Vo.In the immobile reference
frame the heat equation has the form

for x = (XI,XZ),0 < X I < 11, -m < x2 < ca.Here the heat conductivity and
the specific heat capacity are assumed constant within each phase, i.e.

Let us formulate the boundary conditions on the edges of the plate. We assume
that the lower part of the plate is heat-insulated, that is

while the upper part experiences a heat flow (modelling of the heat source):
378 COMPUTATIONAL HEAT TRANSFER

Fig. 7.4.

with g(x) # 0 only in a small neighbonrhood of the point x2 = 0 (a local heat


source).
Far from the heat source the plate temperature is constant, i.e.

For definiteness, we shall assume that the power of the heat source is sufficient
for the total melting of the plate (a tentative pattern of isotherms is presented
in Fig. 7.4).
In this quasi-stationary Stefan problem (1)-(4), the computational domain
is infinite. In order to solve this problem approximately, we single out a large
enough rectangle

and consider eqnation (1) in 0 after supplementing this equation with the
following conditions on the side boundaries:

Let us note some possible approaches to the approximate solution of the


problem (1)-(3), (5).

7.4.2 FIXED DOMAIN METHOD


Similar to the approximate solution of nonstationary problems (Section 7.2),
we can use algorithms with and without explicit separation of the phase
interface (variable and fixed domain methods) for numerical solution of the
quasi-stationary problem (1)-(3), (5). What we need is to take into account,
whenever possible, peculiarities of the quasi-stationary Stefan problems, which
reveal themselves in the fact that the original eqnation is elliptic rather than
parabolic.
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 379

Note that the elliptic operator of the quasi-stationary problem is not


self-adjoint. We have not actually discussed the topics of constructing
difference schemes, analysing the convergence, and the methods for solving
the appropriate grid problems for this type of problem. Some of the related
questions are briefly explored below in the part that concerns the problems
of heat and mass transport. Here we restrict ourselves to considering the
approaches t o a numerical solution on a level of differential formulations.
The simplest approach to the approximate solution of the problem (1)-(3),
(5) is connected with the construction of iterative fixed domain methods on the
basis of smoothing coefficients in equation (1). In accordance with Section 7.2,
we pass from equation (1) to the equation

where E(u) = ~ ( u+) 6(u, A) if we use the ordinary approximation formula for

For the numerical solution of the problem (2), (3), ( 5 ) , (6) we can use
the simplest iterative process of successive refinement of coefficients. In each
iteration we solve the linear boundary value problem

-
k(vk) =o, x1=11,
- auk+'
k(uk) 7- g(x) 2 0, 21 = 0,
uk+'(x) = -1, 1x21 = 12.

Thus, we are solving a linear boundary value pn3blem for an elliptic equation
with convective terms.

7.4.3 SEPARATING THE INTERFACE


In the problem (1)-(3), (5) the interface S has a simple structure (see
Fig. 7.4). Therefore, we can attempt to use methods with explicit separation
of the interface (variable domain methods) for these problems.
380 COMPUTATIONAL HEAT TRANSFER

Let us write the heat equation in each phase separately, i.e.

We explicitly separate the junction conditions on the phase interface S, for


which we have
{XI
s = x E n, U(X)= 0). (8)
The conditions on S have the form

[u]=O, XES, (9)

In order to simplify the problem (Z), (3), (5), (?)-(lo) it is convenient to


use the Kirchhoff transform (see Section 3.3)

In this case equation (7) leads to

where q(v) = Voc(u(u))/k(u(u)). On the free boundary

S = { X ~ X E Q , u(x)=o) (12)

the junction conditions (9), (10) take the form

[v]=O, XES, (13)

[El = -AVO cos(n,x0), x E S. (14)

The boundary conditions in (2), (3), (5) are correspondingly transformed.


The problem for equation (1) is characterized by a singularity in the
solution, which manifests itself in nonhomogeneous junction conditions (13),
(14) on the unknown free boundary (12). The methods for solving problems
with a free boundary are based on those of iterative refinement of the free
boundary. Therefore, we can say that, given an approximation to the free
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 381

boundary during every next iteration, we have to consider the problem with
nonhomogeneous junction conditions (14). Similar approaches can also be
used when constructing fixed domain difference schemes for the approximate
solution of nonstationary problems. Because the problems are nonstationary,
we can employ noniterative versions of this approach as well (which essentially
means that we go with just one iteration).
Let us describe the iterative process of successive refinement of the free
boundary on a differential level. It is logical to use the approach in which a
new approximation is determined from the solution of the linear equation

when
Sk = { X ~ XE 0 , vk(x) = 0). (I6)
The junction conditions (13), (14) yield

where $k(x) = - X V ~ C O S ( ~ ~ ,Thus,


Z Z ) . the jumps in the normal derivatives
are calculated from the known approximation to the free boundary.
Various approaches can be used in order to solve the problem (15)-(18)
numerically. The simplest approach is t o construct a difference scheme
specifically for this problem. In order to use the integro-interpolational
method, it is helpful to include nonhomogeneous junction conditions (17),
(18) in the equation. In accordance with Section 2.2, the united equation in
R will have the form

where bs, is the surface &function.


For an approximate solution of the problem (15)-(18), various versions of
the additive separation of the singularity can be used. To this end, we define
the solution of the problem (15)-(18) in the form

We select such a function z(x), smooth in R: and R;, that the junction
conditions for w(x) on S k are homogeneous. Hence, we should construct such
382 COMPUTATIONAL HEAT TRANSFER

a function z(x) that

Taking into account (20)-(22), for w(x) we obtain the equation

which does not have any singularities all over the domain n.
Now the whole problem reduces to constructing such a smooth function
z(x) that would satisfy the conditions in (Zl), (22). It is also necessary
that the computational costs involved in computing this function be at least
comparable to those involved in solving the boundary value problem for
w(x). Without attempting any detailed description of possible approaches
to constructing the function ~ ( x in
) this problem, we shall only mention the
additive separation by a method of harmonic potentials.
Taking into account the properties of simplelayer potential, we put

where G(x, y) is the fundamental solution of the twedimensional Laplace


operator:
1 2 -112
2r
-
G(x,Y) = - ln ((XI y d 2 + (Q - YZ) ) .

In this case the junction conditions (21), (22) are satisfied.


When implementing the method of potentials numerically, it is necessary to
calculate a potential in all nodes of the computational grid. A straightforward
application of the formula (23) brings about considerable computational costs.
We can construct economical algorithms for calculating the values of the
potential in the whole computational domain on the basis of the solution
of boundary value problems for the Poisson equation.

7.4.4 THE SINGLE-PHASE PROBLEM


Subject to some conditions, we can separate the single-phase quasi-
stationary problem. This is the case if we can take the temperature in the
liquid phase to be constant. The equalization of the temperature can be
accounted for by a greater heat conductivity or by an intensive convective
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 383

mixing. If the condition of complete melting of the plate is satisfied (Fig. 7.4),
we can consider separately the singlophase problem for x2 > 0 and the
problem for x2 < 0 (only the sign of velocity is changed). For definiteness, we
shall consider the problem for x2 > 0, i.e. in the domain

D- = { X ~ XE R-, x2 > 0).

The heat equation has the form

where q = Kc-/k-.
On the free boundary S defined by (12) we have

Taking into account that n is the outward normal, the second condition on
the free boundary has the form

In order to complete the formulation of the problem, we supplement (24)-(26)


by the boundary conditions

Let us briefly dwell on possible approaches to the approximate solution of the


quasi-stationary single-phase Stefan problem (24)-(29).

7.4.5 INTRODUCING A NEW VARIABLE


Similar to the nonstationary single-phase problem, in order to find an
approximate solution of the problem (24)-(29) we can introduce a new variable
w(x) instead of u(x) using the Duvaut transformation. To this end, we consider
(24)-(29) as a nonstationary problem (in the reference frame associated
with the moving plate) and use the Duvaut transformation for the general
nonstationary single-pbase problem.
384 COMPUTATlONAL HEAT TRANSFER

Let the equation for the free boundary have the form xz = q(xl), i.e.

S= {XIXZ E XI), x E a),


and, therefore (see Fig. 7.4)

a+ = {XI xz < XI), x E a},


0-= {xlxz > XI), x E 0).
The new variable will be (see Section 7.3) a new function w(x) defined in
terms of u(x) by the relation

From (30), by straightforward differentiation of the integral with variable


integration limits we derive

Similarly,

The differentiation of (31), (32) yields

Taking into account equation (24) and the boundary condition in (25), we
transform this relation to the form

Taking into account the boundary condition in (26), we have


HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 385

Therefore, w(x) satisfies the equation

The following homogeneous conditions are satisfied on the boundary S :

The boundary condition (29) is easiest to reformulate. Taking into account

If we take into account (31), the boundary condition (27) yields

Similarly, on the top boundary of the plate we have

The boundary condition (3) depends on the point at which the free boundary
S intersects the top boundary of the plate (on the point 2 2 = ~ ( 0 ) A) similar
situation also takes place when we are considering a quasi-stationary single-
phase Stefan problem with nonhomogeneous conditions of the first kind.
The problem (33)-(38) is further considered by the scheme from Section 7.3.
In particular, it is convenient to use the penalty method (problem 1) when
constructing computational fixed domain algorithms for the approximate
solution of the problem for the new function w(z). The solution of the
appropriate nonlinear elliptic problem can be found by an iterative method,
similar to those that have been considered previously for the nonstationary
Stefan problem.

7.4.6 INVERSION OF VARIABLES


In order to solve the quasi-stationary single-phase Stefan problem (24)-(29)
approximately, u variable inversion method can be used. The method is based
386 COMPUTATIONAL HEAT TRANSFER

on the passage to new coordinates, where the solution to the problem itself
serves as an independent variable. In the problem (24)-(29) we pass from the
variables X I ,x 2 , in terms of which the computational domain is known, to the
new independent variables

in terms of which the free boundary S is fixed. In this method of front


straightening, the function 2 2 = x z ( x 1 , v ) is an unknown, i.e. the unknown
variable becomes dependent and vice versa. The transformation in ( 3 9 )
corresponds to the use of the von Mises variables.
For the Jacobian of the transformation we have

The coefficients of the metric tensor (see problem 2 in Section 7.1) will have
the form
g11= (2)'.(2)' + (2) =1
2
,
axl axl axz axz
g12=g21=--+--=-- axz ax2
(41)
ah aEz ah at2 a x l av '

Taking into account


av 1
-1

and the corresponding expression for the Laplace operator in the new
coordinates, we switch from equation ( 2 4 ) to the following equation for the
function xz(x1, v ) :

Substitution of ( 4 0 ) , ( 4 1 ) into this equation yields the sought-for equation


HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 387

This nonlinear equation is considered in the fixed rectangular domain


D 2= {(xi,v)10 < x1 < 11, -Ilk- < u < 0).
Thus, a nonlinearity of the original problem, accounted for by the presence of
a free boundary, reveals itself in a nonlinearity of equation (42) when we pass
to the problem in a fixed domain.
By virtue of the boundary condition in (25), the free boundary S is defined
by the relation xz = xz(xl, 0). In order to formulate boundary conditions for
u = 0, we use the condition

which follows from (25), (26). This fact makes it possible to employ the
following second-kind boundary condition in terms of the new variables:

The other boundary conditions can be formulated similarly (problem 2).


In order to solve the nonlinear boundary value problem for equation
(42) with mixed derivatives, we can use iterative methods with successive
refinement of the coefficients, like those we considered above in the fixed
domain methods for solving Stefan-like problems.

7.4.7 PROBLEMS
1. Formulate t h e b o u n d a r y value problem for t h e a p p r o x i m a t e
solution of t h e problem w i t h free b o u n d a r y (33)-(38) o n t h e basis
of t h e penalty m e t h o d (see Section 7.3).
Solution. We seek an approximate solution w,(x) in the rectangle 0 < X I <
11, 0 < x2 < l z as a solution of the equation

The following conditions are satisfied on the boundaries:


388 COMPUTATIONAL HEAT TRANSFER

In addition to the nonlinearity of the penalty operator, the nonlinearity of


this problem is also accounted for by the boundary condition at x l = 0.
2. Reformulate t h e b o u n d a r y conditions (27)-(29) i n t h e v o n
Mises variables (for e q u a t i o n (42)).
Solution. The condition in (29) is most simply written in the new variables:
x2(xl,u) = 12, u = -l/kK. In order to transform the conditions (27), (28),
we use the relation
-a=x -2J - . av
axl axl
Hence, (27) yields the boundary condition

For (28) we have

The last condition is nonlinear

7.5 M o d e l l i n g o f Phase T r a n s i t i o n s in Binary A l l o y s

7.5.1 A TWO-PHASE ZONE


Solidification is characterized by concurrent heat processes in solid and
liquid phases and kinetic processes on the surfaces of growing crystals.
Therefore, these processes are defined by two time scales. The first scale
is associated with the melting/crystallization rate and with the velocity of
motion of the interface. The second time scale is accounted for by the rate
of the phase transition itself, i.e. by its kinetics. The usual assumption that
underlies the above Stefan problem is connected with the fact that the rate at
which a new phase is formed significantly exceeds the velocity of motion of the
interface. Therefore, when considering phase changes we presume that phase
changes occur instantaneously and there exists a sharply expressed boundary
of the phase transition (the interface).
When modelling fast melting/crystallization processes it is often impossible
to disregard a finite rate of growth of a new phase. Therefore, when a liquid
is crystallized the phase change process takes a finite time, for which the
interface shifts by an appreciable distance. Between the solidification onset
boundary (the boundary of the liquid phase) and the solidification termination
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS

Fig. 7.5.

boundary (the boundary of the solid phase) there is a domain in which the
phase change proper takes place at the constant phase transition temperature.
This domain, in which the two phases coexist, is called the two-phase zone. In
order t o describe this zone it is logical to introduce a new unknown, namely,
the fraction of the solid phase.
Thus, given a large velocity of motion of the melting/crystallization
boundary, the phase transformation occurs in some space domain (the t w e
phase zone). Slow motions of the phase transition boundary make the t w e
phase zone become thinner and, as a limit case, we have an expressed phase
transition boundary, i.e. the classical Stefan problem. The questions of how to
allow for a finite rate of the phase change and the very kinetics of the growth
of the new phase are beyond the scope of present consideration.
A similar situation takes place when considering melting/crystallization of
simple binary alloys (two components, one admixture). In this case new time
scales appear, namely, there is a time scale of diffusion of the admixture
(equalization of the concentration of the admixture) in the solid and liquid
phases. This appreciably widens the spectrum of possible directions in which
phase changes may occur. Here we shall discuss some typical modes of
melting/crystallization.
At a constant temperature, a binary alloy can be in three different states.
We shallassume that the temperature of a phase transition in a pure substance
(C = 0) equals zero and for small concentrations of the admixture the solidus
and liquidus temperatures are straight lines (Fig. 7.5), with the liquidus
temperature falling as the concentration of the admixture increases. At a
temperature u = ua = const the alloy can be in a solid state (for C < C.,I)
or in a liquid state (for C > Cliq), depending on the concentration. For
C.,I < C < Cli,) there exists an intermediate equilibrium state when the solid
and liquid phases coexist. This twephase zone appears because the alloy is
multicomponent.
390 COMPUTATIONAL HEAT TRANSFER

7.5.2 CRYSTALLIZATION WITHOUT REDISTRIBUTION


OF ADMIXTURE
Let us consider the simplest model of crystallization in a binary alloy, which
is based on the assumption that the time it takes the crystallization to be
complete is too small for the admixture to be appreciably redistributed over
the material. Within the frames of the equilibrium model, this assumption
corresponds (see Fig. 7.5) to a phase change occurring in a temperature
interval (u.,,l,uliq), where u.,l is the equilibrium solidus temperature (the
crystallization onset) and uli, is the liquidus temperature (the melting onset
and the crystallization termination).
The release of heat of crystallization is taken into account by introducing
an effective heat capacity by the formula

where $(u) is the volume fraction of the solid phase, defined from the
equilibrium phase diagram of a particular alloy. It is natural to assume the
function $(u) to he continuous and to satisfy the conditions $(u) = 1 for
<
u uar $(u) = 0 for u 2 U I , and 0 < $(u) < 1 for U. < u < UI.
In the approximation we shall use, the temperature field arising during
phase transitions of a binary alloy is described by the usual heat equation

in which the effective heat capacity is introduced according to (1).


The approximate solution of the problem for equation (2) can be based on
the difference schemes given previously in Section 7.2. Equation (2) differs
from the equation with a smoothed specific heat capacity (which is used in
fixed domain methods) only by the way in which the effective coefficient is
specified (specially smoothed), i.e. by the selection of the smoothing interval
((u,,~,u~~,)instead of A), and by a special approximation relation (-d$/du
instead of 6(u, A)).
Equation (2) can be approximated, for example, by the purely implicit
scheme
b(yntl) Yn+l - yn + N ~ n t d y n t =
l 0,
7

considered in Section 7.2. Some other difference schemes are also given in this
section. Therefore, we need not dwell on these here.
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 391

7.5.3 THERMODIFFUSION STEFAN PROBLEM


The model problem is now the problem with phase transformations and
diffusion of an admixture in a rectangular domain 0.This problem is similar
to the model two-phase problem from Section 7.2. We shall assume that the
velocity of motion of the interface during melting/crystallization of a binary
alloy is small and the diffusion of the admixture is predominant. In this case
there is an expressed phase transition boundary (a narrow two-phase zone)
S = S ( t ) which separates liquid ( R + ( t ) )and solid ( R - ( t ) ) phases.
In the frames of the equilibrium approximation, the phase transition
boundary is defined by the liquidus temperature for the concentration C+
of the admixture in the liquid phase or by the solidus temperature for the
concentration C - of the admixture in the solid phase. The concentrations of
the admixture in liquid and solid phases are related by

where k is a distribution coefficient.


In the simplest case we are considering (Fig. 7.5), the liquidus equation
has the form uli, = -mC+, where the constant m defines the slope, and,
therefore,
u ( x ,t ) = -mC+(x, t ) , x E S ( t ) , 0 < t 5 T. (4)
The conditions in (3), ( 4 ) account for the peculiarity of this problem with
phase transitions.
The boundary value problems in separate phases are formulated as usual.
In each subdomain we have the heat equation

supplemented by appropriate initial and boundary conditions

u*(x,o) = U O ( X ) , x E n*(o),
u f ( 2 ,t ) = g(x, t ) , x E y*, 0 < t 5 T,

where once more we have y* = y*(t) = a R n a R f ( t ) .


On the phase transition boundary we have the usual conditions

[u]= 0, x E S(t),
[,g] = -A, x E S,)
392 COMPUTATIONAL HEAT TRANSFER

The only difference is that when specifying condition (4) on the free boundary
we have instead of the ordinary Stefan condition

Now let us formulate the problem for the distribution of the admixture. We
shall assume that the coefficients of diffusion of the admixture are constant
for every subdomain, therefore, the diffusion equation has the form

We assume that the admixture cannot leave the material and, therefore, use
the boundary condition.

ac*
D*-(x,t)=0, XET*, 0<t<T.
an (11)

In addition to the relation in (3), the following condition (see Section 2.3) is
satisfied on the interface:

This condition is actually the law of conservation of mass. Additionally we


prescribe some initial condition, namely

The themodiffusion Stefan problem is to determine the temperature field


from the solution of the problem (5)-(9) and the concentration field from the
solution of the problem (3), (10)-(13) under the condition that the interface
is defined by (4). The diffusion problem is characterized by somewhat unusual
junction conditions (3) and (12) while the heat problem is characterized by a
variable temperature on the interface (condition (4)).

7.5.4 NUMERICAL SOLUTION O F THERMODIFFUSION PROBLEM


It is impossible to give an extended formulation of the problem (3)-
(13) as a system of two equations (temperature and diffusion) in the whole
computational domain Q. For this reason it is impossible to construct fixed
domain methods, similar to those considered in Section 7.2 for the purely
heat Stefan problem, for the solution of the thermodiffusion Stefan problem.
Therefore, we have to use various versions of computational algorithms
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 393

based on the separation of the interface. A fairly detailed description of the


approaches available is given in Section 7.1.
In computational practice one-dimensional thermodiffusion Stefan problems
are most widely used. In particular, these refer to the versions of the approach
with separation of the interface when front straightening methods are used.
It should be noted that the thermodiffusiou problem is usually considered in
the two-phase formulation.
There are a lot of possible simplifications, of which we shall quote only a
few. When modelling redistribution of the admixture it is usually possible t o
neglect diffusion in the solid phase because D+ >> D-. Thus, we shall have
a single-phase problem when modelling the diffusion of the admixture (see
problem 1).
Approximations
~ - of the thermodiffusion Stefan problem in which the
concentration in the liquid phase is equalized (the effective diffusivity
D+ >> 1) deserve special notice. This equalization can be accounted for by
an intense convective mixing. In this case the phase transition temperature
(see condition (4)) is constant all over the boundary, but varies accordingly
in time. This situation is typical of single-phase approximations of the heat
problem.

7.5.5 PROBLEMS
1. Formulate t h e problem of diffusion of a n a d m i x t u r e i n t h e liquid
phase assuming t h a t t h e a d m i x t u r e is insoluble in t h e solid phase.
Solution. The conditions of the problem actually say that D- = 0. The
diffusion equation in the liquid phase has the form (see (10))

The boundary conditions (11) yield

Modelling of the conditions on the interface depends on whether the


crystallization process (V* < 0) or the melting process (V,, > 0) actually
takes place. The most interesting case is when crystallization takes place on
a part of the boundary S and melting occurs on the rest of the boundary. In
this case we deal with the change of boundary conditions.
During the melting process the concentration field in the solid phase (the
function C-(x)) is prescribed and, therefore, on this part of the boundary we
have from (3) the first-kind boundary condition
394 COMPUTATIONAL HEAT TRANSFER

The boundary condition for the solidification follows from the junction
condition (12) with allowance for D- = 0. This leads us to the third-kind
boundary condition

on the interface.
2. Formulate conditions for defining t h e melting t e m p e r a t u r e for
t h e case in which t h e r e is n o diffusion of t h e a d m i x t u r e in t h e solid
phase a n d t h e a d m i x t u r e is completely mixed in t h e liquid phase.
Solution. In our case the phase transition temperature is constant over the
interface a t every moment in time, i.e.

Balance relations are used in order to determine the function C + = C+(t). Let
C-(x) denote the concentration of the admixture in the solid phase. When a
solid region is melted down, the admixture that has been frozen in this region
changes the concentration in the liquid phase. Hence, for C+(t) we derive

where V, > 0 is the velocity of motion of the interface, and rnessR+(t)


S Rf (t)dx.

7.6 B i b l i o g r a p h y and Comments

7.6.1 GENERAL REMARKS


7.1 Variable domain methods have been widely used for a long time. Similar
approaches are also used when solving more general problems with a free
boundary. Research in this direction has been conducted since the 1950s.
Because of a lack of space in this book, we cannot cite here original works
or decide on questions of priority. We restrict ourselves to the citation
of general works. A general discussion of the computational algorithms
for solving Stefan-like problems is provided in [7],while variable domain
methods are under consideration in [8].
7.2 Fixed domain methods based on a smoothing of coefficients have been
considered ever since the works by A. A. Samarskii et al. (1965), in which
multidimensional problems were discussed.
HEAT CONDUCTION PROBLEMS WITH PHASE TRANSITIONS 395

7.3 T h e Duvaut transformation for t h e Stefan problem has been described in


many books on variational inequalities (see e.g. [3,4]). Numerical analysis
of single- and t w e p h a s e problems on t h e basis of such a n approach has
been made by K. A. Ichikewa (1979). T h e penalty method is widely used
in theoretical and numerical investigation of variational inequalities [5].
7.4 T h e solvability of quasi-stationary problems is discussed in [2, 61.
T h e additive separation of a singularity when solving such problems
numerically on the basis of t h e theory of potentials has been suggested by
P. N.Vabishchevich (1983). T h e inversion of variables in elliptic problems
is discussed in [S].
7.5 T h e problems of modelling of multicomponent alloys have been dealt
with in many works. Various models of t h e t w e p h a s e zone a r e discussed
in [I], where results of analytical and numerical research are given.

7.6.2 LITERATURE
1. Avdonin N. A. 11980)
, -
, Mathematical Description o.f Crvstollizotion Processes lin
Russian]. Zinatne, Riga.
2. Danilvk I. I. (1985)
. . On the Stefan Problem,. Uspekhi
. Mot. Nnuk 40, Issue 5 (245),
. .
133-185.
3. Duvaut G. & Lions J. L. (1972) Les inequations en mechoniques et physique.
Dunod, Paris.
4. Fridman A. (1982) Variational Principles and Free-boundary. John Wiley & Sons,
New York.
5.Glowinski R., Lions 1. J. & Tr&molikres(1976)Anolyse nume'rique des ine'quntions
variotionnelles. Dunod, Paris.
6.Meirmanov A. M. (1986) The Stefan Problem [in Russian]. Nauka, Novosibirsk.
7. Rubinsbtein L. I. (1967) The Stefan Pmblem [in Russian]. Zvaigzne, Riga.
8.Vabishchevich P. N.(1987)Numekcol Methodsfor Problems with o Free Boundary
[in Russian]. Moscow State University, Moscow.
Index

algorithm
forward-backward algorithm 155
marching algorithm 158
matrix Thomas algorithm 157
Thomas algorithm 155
approximation
approximation of the boundary condition on the solutions 105
approximation on the solutions 119
Boussinesq approximation 41

b o u n d a r y conditions 22
approximation of the boundary condition on the solutions 105
Dirichlet boundary conditions 23
error of approximation of the boundary condition 100
first-kind boundary conditions 23
mixed boundary conditions 27
Nenmann boundary conditions 23
second-kind boundary conditions 23
third-kind boundary condition 24

canonical f o r m
canonicd form of a difference equation 122
canonical form of a three-level iterative method 167
canonical form of a two-level iterative method 163
canonical form of the three-level difference scheme 232
canonical form of the two-level difference scheme 232
Cholesky decomposition 154
coefficient
coefficient of linear expansion 50
coefficient of thermal expansion 41
heat transfer coefficient 24
Lamk coefficients 50
Poisson coefficient 52
complex s c h e m e 274
c o m p u t a t i o n a l experiment 6
COMPUTATIONAL HEAT TRANSFER

condition
boundary conditions 22
connected grid 123
conservative difference scheme 109
consistent grid 191
continuity equation 37
convection 15

decomposition m e t h o d 197
density 16
diagnostic computational experiment 11
difference equation
canonical form of a difference equation 122
difference problem 97
difference scheme 100
additive difference schemes 325
additive difference schemes with fractional steps 326
additive difference schemes with integer steps 326
additively averaged difference schemes 341
asymptotically stable difference scheme 267
canonical form of the three-level difference scheme 232
canonical form of the two-level difference scheme 232
conservative difference scheme 109
Crank-Nicolson difference scheme 241
difference scheme of alternating directions 310
difference scheme with advancing 241
difference scheme with weights 241
Dauglas-Rachford difference scheme 313
Dufort-F'rankel difference scheme 266
economical difference scheme 299
exact difference scheme 119
factorized difference scheme 316
homogeneous difference scheme 113
locally one-dimensional difference scheme 334
Peaceman-Rackford difference scheme 310
Peaceman-Rackford scheme) 310
predictor-corrector difference scheme 289
purely implicit difference scheme 241
regularization principle for difference schemes 280
Richardson difference scheme 266
stability of the difference scheme 100
stability of the difference scheme with respect to the initial data 233
stability of the difference scheme with respect to the right-hand side 234
INDEX

stabilization-correction difference scheme 313


stable difference scheme 233
symmetrical difference scheme
three-level difference scheme 231
three-level difference scheme with weights 245
two-level difference scheme 231
dimensionless p a r a m e t e r 60
direct p r o b l e m 28
Dirichlet b o u n d a r y conditions 23
Douglas-Rachford difference scheme 313
Dufort-Frankel difference scheme 266
D u v a u t transformation 371

economical difference scheme 299


eigenfunction 63
eigenvalue 63
energetically equivalent o p e r a t o r s 136
e n e r g y of t h e o p e r a t o r 135
e n e r g y s p a c e 136
equation
boundary layer equation 43
Burgers equation 71
canonical farm of a difference equation 122
continuity equation 37
error of approximation of equation 100
heat equation 16
hyperbolic heat equation 20
maximum principle for parabolic equations 226
maximum principle for second-order elliptic equations 90
Navier-Stokes equations 37
optimization problem for the heat equation 28
error
error of approximation of equation 100
error of approximation of the boundary condition 100
e x a c t difference scheme 119
experiment
computational experiment 6
diagnostic computational experiment 11
optimizing computational experiment 11
searching experiment 11
explicit s c h e m e 233

factorized difference scheme 316


fast Fourier t r a n s f o r m 159
400 COMPUTATIONAL HEAT TRANSFER

finite element method 99


first difference Green formula 139
first-kind boundary conditions 23
fixed domain method 347
formula
first difference Green formula 139
second difference Green formula 140
forward-backward algorithm 155
Fourier law 16
free convection 41
Friedrichs inequality 93
front straightening method 352
function
eigenfunction 63
Green function 65
majorant function 128
stream function 39
Gauss method 153
Goodman transform 70
Green function 65
grid 97
connected grid 123
consistent grid 191
method of catching of the front into a space grid node 350
projective-grid methods 99
Gronwall difference lemma 235
Gronwall lemma 227
heat
heat conduction 15
heat conductivity 16
heat equation 16
heat transfer coefficient 24
hyperbolic heat equation 20
optimization problem for the heat equation 28
regular regime of heat transfer 77
specific heat capacity 16
heat equation 16
heat transfer coefficient 24
homogeneous difference scheme 113
hyperbolic heat equation 20
ideal contact 25
ill-posed problem 28
INDEX

implicit scheme 233


incompressible tluid 37
inequality
Bunyakowskii inequality 136
Cauchy-Schwarz inequality 136
initial conditions 22
integral t r a n s f o r m 67
integro-interpolation m e t h o d 111
inverse p r o b l e m 28
iteration m e t h o d
Jacobi iteration method 173
iterative m e t h o d 162
alternating triangle iterative methods 180
canonical form of a three-level iterative method 167
canonical form of a two-level iterative method 163
Chebyshev iterative method 164
iterative method of capacity matrix 199
iterative method of conjugate directions 168
one-step (tw-level) iterative method 162
regularization principle far iterative methods 172
steady-state iterative method 164
three-layer iterative method 162
triangular iterative method 177
two-level iterative method 162
two-step (three-level) iterative method 162
two-step iterative method 213
variational iterative method 166
J a c o b i iteration m e t h o d 173
junction conditions 24
kinematic viscosity 39
Kirchhoff t r a n s f o r m 70
law
Fourier law 16
Stefan-Boltzmann law 46
L a m 6 coefficients 50
Laplace o p e r a t o r 17
lemma
Gronwall difference lemma 235
Gronwall lemma 227
liquidus t e m p e r a t u r e 34
locally one-dimensional difference scheme 334
LU-decomposition 153
COMPUTATIONAL HEAT TRANSFER

m a j o r a n t function 128
marching algorithm 158
mathematical model 2
m a t r i x T h o m a s algorithm 157
m a x i m u m principle
maximum principle for parabolic equations 226
maximum principle for second-order elliptic equations 90
method
alternating Schwarz method 201
alternating triangle iterative methods 180
approximate factorization method 183
balance method 111
canonical form of a three-level iterative method 167
canonical form of a twelevel iterative method 163
Chehyshev iterative method 164
decomposition method 197
finite element method 99
fixed domain method 347
front straightening method 352
Gauss method 153
integro-interpolation method 111
iterative method 162
iterative method of capacity matrix 199
iterative method of conjugate directions 168
Jacobi iteration method 173
method of a control volume 111
method of a simple iteration 164
method of a square root 154
method of alternating directions 165
method of catching of the front into a space grid node 350
method of conjugate gradients 168
method of fictitious domains 194
method of lines 240
method of minimal corrections 167
method of separation of variables 63
method of steepest descent 167
Newton method 212
one-step (two-level) iterative method 162
penalty method 373
projective methods 97
projective-grid methods 99
projective-grid methods 99
quasi-linearization method 212
INDEX

reduction method 157


regularization principle for iterative methods 172
Richardson method 164
Seidel method 177
steady-state iterative method 164
symmetrical over-relaxation method 180
three-layer iterative method 162
triangular iterative method 177
twdevel iterative method 162
twwstep (three-level) iterative method 162
two-step iterative method 213
variable domain method 347
variable inversion method 385
variational iterative method 166
mixed b o u n d a r y conditions 27
model
mathematical model 2
physical model 2
monophase Stefan problem 32
Navier-Stokes equations 37
negative n o r m 136
N e u m a n n b o u n d a r y conditions 23
Newton m e t h o d 212
nonideal contact 27
number
Biot number 60
Kirpichev number 60
Ostrogradskii number 60
Peclet number 62
one-step (two-level) iterative m e t h o d 162
operator
adjoint operator 135
bounds of the operator 136
commutative operator 136
compact difference operator 103
operator of transition 234
optimal control problem 29
optimization problem for t h e h e a t equation 28
optimizing computational experiment 11
parameter
dimensionless parameter 60
Peaceman-Rackford difference scheme 310
404 COMPUTATIONAL HEAT T R A N S F E R

penalty method 373


phase transition enthalpy 31
physical model 2
Poincark inequality 94
Poisson coefficient 52
positive deflnite operator 135
positive operator 135
predictor-corrector difference scheme 289
problem
difference problem 97
direct problem 28
ill-posed problem 28
inverse problem 28
monophase Stefan problem 32
optimal control problem 29
optimization problem for the heat equation 28
quasi-stationary Stefan problem 33
regularly perturbed problem 77
retrospective problem 23
singularly perturbed problem 78
spectral problem 63
Stefan problem 32
thermodiffusion Stefan problem 392
two-phase Stefan problem 32
well-posed problem 27
projective methods 97
projective-grid methods 99
purely implicit difference scheme 241
quasi-linearization method 212
quasi-stationary Stefan problem 33
radiation 15
reduction method 157
regular regime of heat transfer 77
regularization principle for difference schemes 280
regularization principle for iterative methods 172
regularizer 172
regularly perturbed problem 77
retrospective problem 23
Richardson difference scheme 266
Richardson method 164
scheme
complex scheme 274
INDEX

searching experiment 11
second difference Green formula 140
second-kind boundary conditions 23
Seidel method 177
self-adjoint operator 135
self-similar solutions 72
singularly perturbed problem 78
skew-symmetric operator 135
solidus temperature 34
solutions
approximation of the boundary condition on the solutions 105
approximation on the solutions 119
self-similar solutions 72
sparse matrix 153
specific heat capacity 16
spectral problem 63
stability of t h e difference scheme 100
stability of t h e difference scheme with respect t o t h e initial data 233
stability of t h e difference scheme with respect t o t h e right-hand side 234
stabilization-correction difference scheme 313
stable difference scheme 233
steady-state iterative method 164
Stefan number 62
Stefan problem 32
Stefan-Boltzmann law 46
Steklov averaging operators 113
stencil 101
stream function 39
stability
stability of the difference scheme 100
stability of the differencescheme with respect to the initial data 233
stability of the difference scheme with respect to the right-hand side 234
uniform stability with respect to the initial data 234
summarized approximation 327
symmetrical difference scheme (the Crank-Nicolson scheme) 241
symmetrical over-relaxation method 180

temperature
liquidus temperature 34
solidus temperature 34
thermal conductivity 16
thermal diffusivity 17
tbermodiffusion Stefan problem 392
406 COMPUTATIONAL HEAT TRANSFER

third-kind boundary condition 24


Thomas algorithm 155
three-layer iterative method 162
three-level difference scheme 231
three-level difference scheme with weights 245
transform
fast Fourier transform 159
Goodman transform 70
integral transform 67
Kirchhoff transform 70
transformation
D u ~ u transformation
t 371
triangular iterative method 177
two-level difference scheme 231
two-level iterative method 162
two-phase Stefan problem 32
two-step (three-level) iterative method 162
two-step iterative method 213
uniform stability with respect to the initial data 234
variable domain method 347
variable inversion method 385
variational iterative method 166
viscosity 38
well-posed problem 27

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