Semi-Lagrangian scheme for solving hyperbolic equation of first order | Статья в журнале «Молодой ученый»

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Рубрика: Математика

Опубликовано в Молодой учёный №9 (56) сентябрь 2013 г.

Дата публикации: 29.08.2013

Статья просмотрена: 43 раза

Библиографическое описание:

Синь, Вэнь. Semi-Lagrangian scheme for solving hyperbolic equation of first order / Вэнь Синь, А. В. Вяткин, В. В. Шайдуров. — Текст : непосредственный // Молодой ученый. — 2013. — № 9 (56). — С. 6-13. — URL: (дата обращения: 18.06.2024).

1. Introduction

We consider numerical solving the hyperbolic equation


equipped with suitable initial and boundary conditions for known velocity coefficient

Among the successful numerical methods for solving this equation we mention such nonoscillatory conservative finite difference shemes as TVD (total variation diminishing), TVB (total variation bounded), ENO (essentially nonoscillatory), and CABARET (Compact Accurate Boundary Adjusting high REsolution Technique) shemes (see [1]- [11] and the reference there). This approach uses the traditional difference approximation of temporal derivative and is liable to Courant — Friedrichs — Lewy (CFL) condition for ratio between steps in time and space.

The other approach focuses on the approximation of the whole operator of problem (1) as the partial derivative in some direction of the space  This approach is developed under different names: methods of trajectories or modified characteristics and semi-Lagrangian one (see, for example, [12]- [19] and the reference there).

In order to highlight the essential ingredients of suggested approach we shall operate with one-dimensional problem again, keeping in mind that we shall extend this method in subsequent papers. In this paper, we will first show how to consider the possible boundary conditions in contrast to the periodic conditions of the previous paper [16]. Then we modify the presented algorithm for big and huge velocity and give a numerical example that demonstrates the stability independent of CFL condition.

2. The statement of problem and the main theorem

So, in the rectangle  consider equation


Assume that coefficient  is given at  and is positive for simplicity sake.

Unknown function satisfies the initial condition


and boundary condition


Assuming the continuity of  at  we get  at the coordinate origin. Moreover, for continuity of first partial derivatives in (1) the following equality must hold:

By simple calculations we can obtain the necessary condition for the continuity of the second partial derivatives at the point (0, 0), etc. We will not dwell on the question of the sufficiency of this conditions for the smoothness of the solution  and at once we assume sufficient smoothness of the velocity  and solution  for further considerations.

Let us take two time lines  with and two nodes

For both these nodes we construct the characteristics  of equation (1) at segment  [20, 21]. They satisfy the ordinary differential equation with different initial values:


Fig. 1. Trajectories in standard (first) situation

These characteristics define two trajectories in plane  when The typical situation is considered in the previous paper [20] when each of these trajectories crosses line in some point We supposed that they are not mutually crossed and therefore  For this case the following result was proved in [16].

Theorem 1. For smooth solution of equation (1) in the standard (first) situation (Fig. 1) we have equality


But the boundary condition (3) may produce two other situations. First, for small  the trajectory  may be interrupted at line  at point  because function  is unknown for  But trajectory  continues up to line (see Fig. 2). And second, both trajectories  and  are interrupted at line  at points  and  (see Fig. 3). We enumerate these situations from one to three.

Fig. 2. Second situation: trajectory C1 is interrupted and C2 does not

Fig. 3. Third situation: both trajectories C1 and C2 are interrupted

For last situations we prove two equalities.

Theorem 2. For smooth solution of equation (1) with boundary condition (3) in the second situation (Fig. 2) we get the equality


Proof. Define by the curvilinear pentagon bounded by lines And define by  the corresponding parts of these lines, which form the boundary  (see Fig. 4). Introduce also the external normal defined at each part of boundary except 5 vertices of pentagon.

3a (1).png

Fig. 4. Integration along the boundary in second case

Now use formula by Gauss-Ostrogradskii [20, 21] in the following form:


where sing  means scalar product. Since the boundary  consists of five parts we calculate the integral over  separately on each line:


Along the line the external normal equals Then


At arbitrary point  the tangent vector is  Therefore the external normal (that is orthogonal to it) equals


It implies equality


Along the line the external normal equals Then


For other two parts of the boundary we use the same way to calculate the integrals:



Combination of (7) — (9) and (11) — (14) implies (6):


The next result is justificated like previous theorem with some simplification. Therefore we give it without any proof.

Theorem 3. For smooth solution of equation (1) with boundary condition (3) in the third situation (Fig. 3) we get the equality


Note that this situation contains the case when  and  coincides with

So, consideration of the boundary conditions in the calculation expressions  resulted in an additional calculation of the integrals along  of known function  In this sense, consideration of boundary conditions makes minor modifications into the algorithms discussed below, so in further considerations we return to the periodic case.

3. Piece-wise linear discrete approximation

So, let the condition of periodicity holds for the problem (1) — (2), namely functions  are supposed periodical in  with period  and are smooth enough for further considerations.

Now we formulate some modification of numerical algorithm from [16] for solving problem (1) — (2). First, take integer        and construct uniform mesh in  with nodes  and meshsize  Than take integer  and construct uniform mesh in  with nodes  and meshsize  Then make the following cycle for  supposing that the approximate solution  is known yet at previous time-level for

1. With the help of values in these points and periodicity we construct the piecewise linear (periodical) interpolant


2. For each point  construct approximate trajectories  down to time-level  for example, by Runge-Kutta method. They produce cross-points  If  goes outside segment  we use periodicity of our data. One can see that we get values  which do not coincide with exact values  Let we solve equations (4) with the following accuracy:


where  is small enough.

3. For each interval  compute integral


by trapezoid quadrature formula separately at each nonempty subinterval  where  is linear.

4. Due to Theorem 1 it is supposed that


Finally we put


Thus, we complete our cycle which may be repeated up to last time-level

Condensed form of this algorithm in terms of piecewise linear periodical interpolants is written as follows:


So, we get approximate discrete solution  at each time-level  First we prove the conservation law in discrete form.

Let a discrete function  is given, and we construct piecewise linear interpolant  with period 1.

Theorem 4. For any initial condition  the approximate solution (16) — (20)  satisfies the equality:


Proof. The justification directly coincides with the proof of Theorem 2 in [16] with substitution  instead of  

It is interesting that this discrete conservation law is exactly valid for an approximate values  

Now we prove a stability of algorithm (17) — (20) in the discrete norm analogous to that of space


Theorem 5. For any intermediate discrete function  the solution  of (17) — (20) satisfies the inequality:


Proof. Again the justification directly coincides with the proof of Theorem 3 in [16] with substitution  instead of  

Now evaluate an error of approximate solution in introduced discrete norm.

Theorem 4. For sufficiently smooth solution of problem (1) — (2) we have the following estimate for the constructed approximate solution:


with a constant  independent of

Proof. We prove this inequality by induction in  For  this inequality is valid because of exact initial condition (2):  Suppose that estimate (25) is valid for some  and prove it for

So, at time-level we have decomposition


with a discrete function  that satisfies the estimate


Because of Taylor series in  of  in the vicinity of point  we get equality


Because of Theorem 1

Instead of  let use its piecewise linear periodical interpolant  Then


Thus, we get equality


For  we use (21) and (26):


where values of  are constructed by piecewise linear periodical interpolation.

Now let us evaluate the difference caused by error (17):

From the properties of piecewise linear interpolant it follows that



Now let subtract (31) from (30), multiply its modulus by  use (32), and sum for all


Due to Theorem 3 last term in brackets is combined into  Thus


Let put  then this inequality is transformed with the help (27):

that is equivalent to (27).

We can see that at last time level we get inequality


In some sense we got a restriction on temporal meshsize  to get convergence. For example, to get first order of convergence, it is enough to take

with any constant  independent of  But this restriction is not such strong for constant  as CFL condition:


Moreover, it is opposite in meaning: here the greater  the better accuracy.

Thus, this approach is convenient for the problems with huge velocity  which come from a computational aerodynamics: we have computational stability on the base of Theorem 4 and conservation law on the base of Theorem 3.

Now discuss the choice of  in (17). From (35) the better choice is  i.e.,  For this purpose the standard Runge-Kutta method is acceptable that gives  with appropriate accuracy and stability conditions [22, 23].

4. Numerical experiment

Let take and solve the equation (1) with initial condition

subject to periodicity. Then exact solution is


The result of implementing the presented algorithm is given in Table 1. Here in this experiment we set  (as the most implemented ratio in computations). The first line shows a number n of mesh nodes and the middle line contains the values  at last time level  The last line demonstrates the order of accuracy.

Table 1















Order of accuracy






Thus we indeed have at least the first order of accuracy on h when / h is fixed.

5. Conclusion

Thus, we continue presentation of the numerical approach [16] which is more convenient for huge velocity  Here we show the treatment with boundary condition instead of periodical one, and then we examine theoretically and by numerical example the effect of the approximate solving the characteristics equations instead of exact process.

Again we have to note that the accuracy is the higher the less time steps done in the algorithm. But for the equations with nonzero right-hand side a small time step  will be crucial for appropriate approximation.


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Основные термины (генерируются автоматически): CFL, SIAM, TVB, CABARET, CRC, ENO, III, TVD.

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