29/05/2018 Courant–Friedrichs–Lewy condition - Wikipedia

Courant–Friedrichs–Lewy condition
In mathematics, the Courant–Friedrichs–Lewy (CFL) condition is a necessary condition for convergence while solving certain
partial differential equations (usually hyperbolic PDEs) numerically by the method of finite differences. It arises in the numerical
analysis of explicit time integration schemes, when these are used for the numerical solution. As a consequence, the time step
must be less than a certain time in many explicit time-marching computer simulations, otherwise the simulation produces
incorrect results. The condition is named after Richard Courant, Kurt Friedrichs, and Hans Lewy who described it in their 1928
paper.[1]

Contents
Heuristic description
The CFL condition
The one-dimensional case
The two and general n-dimensional case
Notes
References
External links

Heuristic description
The principle behind the condition is that, for example, if a wave is moving across a discrete spatial grid and we want to compute
its amplitude at discrete time steps of equal duration,[2] then this duration must be less than the time for the wave to travel to
adjacent grid points. As a corollary, when the grid point separation is reduced, the upper limit for the time step also decreases. In
essence, the numerical domain of dependence of any point in space and time (as determined by initial conditions and the
parameters of the approximation scheme) must include the analytical domain of dependence (wherein the initial conditions have
an effect on the exact value of the solution at that point) to assure that the scheme can access the information required to form the
solution.

The CFL condition

To make a reasonably formally precise statement of the condition, it is necessary to define the following quantities:

Spatial coordinate: one of the coordinates of the physical space in which the problem is posed
Spatial dimension of the problem: the number of spatial dimensions, i.e., the number of spatial coordinates of
the physical space where the problem is posed. Typical values are , and .
Time: the coordinate, acting as a parameter, which describes the evolution of the system, distinct from the spatial
coordinates
The spatial coordinates and the time are discrete-valued independent variables, which are placed at regular distances called the
interval length[3] and the time step, respectively. Using these names, the CFL condition relates the length of the time step to a
function of the interval lengths of each spatial coordinate and of the maximum speed that information can travel in the physical
space.

Operatively, the CFL condition is commonly prescribed for those terms of the finite-difference approximation of general partial
differential equations that model the advection phenomenon.[4]

https://en.wikipedia.org/wiki/Courant%E2%80%93Friedrichs%E2%80%93Lewy_condition 1/3
29/05/2018 Courant–Friedrichs–Lewy condition - Wikipedia

The one-dimensional case

For one-dimensional case, the CFL has the following form:

where the dimensionless number is called the Courant number,

is the magnitude of the velocity (whose dimension is length/time)

is the time step (whose dimension is time)
is the length interval (whose dimension is length).
The value of changes with the method used to solve the discretised equation, especially depending on whether the method is
explicit or implicit. If an explicit (time-marching) solver is used then typically . Implicit (matrix) solvers are usually
less sensitive to numerical instability and so larger values of may be tolerated.

The two and general n-dimensional case

In the two-dimensional case, the CFL condition becomes

with obvious meaning of the symbols involved. By analogy with the two-dimensional case, the general CFL condition for the -
dimensional case is the following one:

The interval length is not required to be the same for each spatial variable . This "degree of freedom" can be
used to somewhat optimize the value of the time step for a particular problem, by varying the values of the different interval to
keep it not too small.

Notes
1. See reference Courant, Friedrichs & Lewy 1928. There exists also an English translation of the 1928 German
original: see references Courant, Friedrichs & Lewy 1956 and Courant, Friedrichs & Lewy 1967.
2. This situation commonly occurs when a hyperbolic partial differential operator has been approximated by a finite
difference equation, which is then solved by numerical linear algebra methods.
3. This quantity is not necessarily the same for each spatial variable, as it is shown in "The two and general n–
dimensional case" section of this entry: it can be selected to somewhat relax the condition.
4. Precisely, this is the hyperbolic part of the PDE under analysis.

References
Courant, R.; Friedrichs, K.; Lewy, H. (1928), "Über die partiellen Differenzengleichungen der mathematischen
Physik" (http://resolver.sub.uni-goettingen.de/purl?GDZPPN002272636), Mathematische Annalen (in German),
100 (1): 32–74, Bibcode:1928MatAn.100...32C (http://adsabs.harvard.edu/abs/1928MatAn.100...32C),
doi:10.1007/BF01448839 (https://doi.org/10.1007%2FBF01448839), JFM 54.0486.01 (https://zbmath.org/?format
=complete&q=an:54.0486.01), MR 1512478 (https://www.ams.org/mathscinet-getitem?mr=1512478).
Courant, R.; Friedrichs, K.; Lewy, H. (September 1956) [1928], On the partial difference equations of
mathematical physics (https://archive.org/stream/onpartialdiffere00cour#page/n0/mode/2up), AEC Research and
Development Report, NYO-7689, New York: AEC Computing and Applied Mathematics Centre – Courant Institute
of Mathematical Sciences, pp. V + 76, archived from the original (https://archive.org/details/onpartialdiffere00cour)
https://en.wikipedia.org/wiki/Courant%E2%80%93Friedrichs%E2%80%93Lewy_condition 2/3
29/05/2018 Courant–Friedrichs–Lewy condition - Wikipedia
on October 23, 2008.: translated from the German by Phyllis Fox. This is an earlier version of the paper Courant,
Friedrichs & Lewy 1967, circulated as a research report.
Courant, R.; Friedrichs, K.; Lewy, H. (March 1967) [1928], "On the partial difference equations of mathematical
physics" (http://domino.research.ibm.com/tchjr/journalindex.nsf/a3807c5b4823c53f85256561006324be/769774a3
c9f3685f85256bfa00683f8a!OpenDocument), IBM Journal of Research and Development, 11 (2): 215–234,
Bibcode:1967IBMJ...11..215C (http://adsabs.harvard.edu/abs/1967IBMJ...11..215C), doi:10.1147/rd.112.0215 (htt
ps://doi.org/10.1147%2Frd.112.0215), MR 0213764 (https://www.ams.org/mathscinet-getitem?mr=0213764),
Zbl 0145.40402 (https://zbmath.org/?format=complete&q=an:0145.40402). A freely downloadable copy can be
found here (http://www.stanford.edu/class/cme324/classics/courant-friedrichs-lewy.pdf).

External links
Bakhvalov, N. S. (2001) [1994], "Courant–Friedrichs–Lewy condition" (https://www.encyclopediaofmath.org/index.
php?title=C/c026760), in Hazewinkel, Michiel, Encyclopedia of Mathematics, Springer Science+Business Media
B.V. / Kluwer Academic Publishers, ISBN 978-1-55608-010-4
Weisstein, Eric W. "Courant-Friedrichs-Lewy Condition" (http://mathworld.wolfram.com/Courant-Friedrichs-LewyC
ondition.html). MathWorld.

Retrieved from "https://en.wikipedia.org/w/index.php?title=Courant–Friedrichs–Lewy_condition&oldid=806430673"

This page was last edited on 22 October 2017, at 00:15.

Text is available under the Creative Commons Attribution-ShareAlike License; additional terms may apply. By using
this site, you agree to the Terms of Use and Privacy Policy. Wikipedia® is a registered trademark of the Wikimedia
Foundation, Inc., a non-profit organization.

https://en.wikipedia.org/wiki/Courant%E2%80%93Friedrichs%E2%80%93Lewy_condition 3/3