Chapter 4

Finite element for parabolic problems

4.1 A model problem

Consider the following heat equation

4.2

Variational formulation and some basic estimates

1 (ut , v) + a(u, v) = (f, v) v HD () 0 u(x, 0) = u (x).

(4.2.1)

For simplicity, in the rest of the discussion, we assume that D = and 1 1 then HD () = H0 (). Taking v = u, we get 1 d u 2 dt By integration, we get
t t 2

= (f, u) c f

1 2

u 2.

u(t) Now taking v = ut ut Thus

0 2

+
0

u0

+c
0

+
t

1 d 2 dt ut
2

= (f, ut ) u(t)
2

1 f 2 u0
2

+
t

1 2 f
2

u 2.

4.3

Semi-discretization and error estimate

(uh,t , v) + a(uh , v) = (f, v) v Vh uh (x, 0) = u0 (x). h

Find uh Vh such that (4.3.2)

Here u0 Vh is certain approximation of u0 . h Let uh (x, t) = N i (t)i (x), then we have the linear system of ordinary i=1 dierential equations M (t) + A(t) = F (t).
1 let Ph : H0 Vh be the H 1 projection:

a(u Ph u, ) = 0 Vh . We then have ((u uh )t , ) + a(Ph u uh , ) = 0. Taking = Ph u uh , we have ((u uh )t , Ph u uh ) 0. Thus 1 d Ph u uh 2 dt It follows that Ph u uh
2 t 2

((Ph u u)t , Ph u uh ) (Ph u u)t

t

P h u uh .

u t P h ut

+
0

Ph u uh

+ P h u0 u 0 2 . h

By Cronwall inequality, we obtain that Ph u uh Theorem 4.3.3 (u uh )(t) C(T )h2 u0

t 2 2

C(T ) Ph u0 u0 h

+
0

u t P h ut 2 .

+(

ut 2 ) 2 2

Similarly, by taking = (Ph u uh )t , we obtain Theorem 4.3.4 (u uh )(t)

1 t 2

C(T )h

u0

+(

ut 2 ) 2 2

One problem in the above estimate is that the constant C(T ) depends exponentially on T . Let us now derive a more precise estimate. 2

Lemma 4.3.5 If h () Vh satises (t , ) + a(, ) = 0 then (t) (0) and

0 t

Vh ,

t (s) (1 + | log 2 |) (0) h (t) = eAh t (0) (t) = Ah eAh t (0).

Proof. Note that and Hence

t 0 h2

(s)

=
0 h2

Ah ds +
h2

Ah eAh s (0) ds
t h2

ch2 ds +

s1 (Ah s)eAh s (0) ds

c(1 + | log

t |) (0) . h2

Theorem 4.3.6 There is a constant c independent of t such that (u uh )(t) c(1 + | log t |)h2 max u(s) 2 . 0st h2

Proof. Consider the auxiliary problem: Find h Vh such that (4.3.7) (h (s), v) + a(h (s), v) = (f, v) v Vh , s (0, t) h (x, t) = (Ph u uh )(x).
t

Then by the previous lemma, for 0 s t, h (s) h (t) ,

0

t (s) (1 + | log 2 |) (Ph u uh )(t) . h

Set e(t) = (Ph u uh )(t), (t) = (u Ph u)(t). Then u uh = + e. Taking v = e in the auxiliary problem and integrating:
t t

(h (s), eh (s)) +
0

a(h (s), eh (s)) = 0. 3

Integration by parts, using h (t) = eh (t)

t 0

(h (s), eh (s)) e(t)

+ (h (0), e(0)) +
0

a(h (s), eh (s)) = 0.

Hence e(t)
2 t

= (h (0), e(0)) +
0

(h (s), eh (s)) + a(h (s), eh (s)).

By the error equation,

t

e(t)

= (h (0), e(0))

((s), h (s))
t

= (h (0), (e + )(0)) ((t), h (t)) + h (0)

((s), h (s))ds
t 0

u0 u0 + (t) h (t) + max (s) h

0st 0st

h (s)

( u9 u0 + max (s) )(1 + | log h The desired result then follows easily.

t |) e(t) . h2

4.4
4.4-a

Discretization in space and time

Forward Euler method
n1 un u h h ,v kn

The simplest method is the forward Euler method:

n1 + a(uh , v) = (f (tn1 , v)

v Vh .

Consider the special case f 0. we then have

n1 un = (I kn Ah )uh . h

We wish to have, as in the continuous case, that

n1 un u h . h

This is valied if Since (Ah ) = O(h (4.4.8)

2

I kn Ah 1, ), we then need that kn ch2 .

4.4-b

Backward Euler and Crank-Nicolson method

To overcome the swere restriction on the time step size for explicit Euler method, let us consider the implicity Euler method:
n1 un u h h ,v kn

+ a(un , v) = (f (tn , v) h

v Vh .

For the special case f 0. we have

n1 un = (I + kn Ah )1 uh . h

Since I + kn Ah < 1 for any kn > 0, we then have

n1 . un u h h

This means that the implicity Euler method is unconditionally stable. Theorem 4.4.9 Suppose that there is a constant such that the time step satisfy kn1 kn , the for the implicity Euler method (u(tn ) un )(t) C(1 + | log h tn |) max mn kn
tn tn1

u(s) ds + max h2 u(s) 2 .

stn

As we can see from the above estimate, the implicity Euler is only rst order with respect to the time step size. A classic second order scheme is the Crank-Nicolson method as follows:
n1 un u h h ,v kn

+a

n1 un + u h h ,v 2

f (tn ) + f (tn1 ) ,v 2

v Vh .

This method is also unconditionally stable, since for f 0, we have un = (I h and for any kn > 0 (I kn kn Ah )(I + Ah )1 1. 2 2 kn kn n1 Ah )(I + Ah )1 uh 2 2