Unformatted text preview: approximations of
rst derivatives. For example, suppose that we retain the rst two terms in (6.3.32a),
i.e.,
hDyi
; 1 2 ]yi
2
26 or
or hDyi y
(yi+1 ; yi) ; yi+2 ; 22 i+1 + yi ]
Dyi ;yi+2 + 4yi+1 ; 3yi : 2h
This formula can be veri ed as an O(h2) approximation of y0(xi).
Example 6.3.7. Let us use (6.3.31) with h replaced by h=2 to obtain
2
y(xi;1=2 ) = e; h D y(xi): 2
y(xi+1=2 ) = e h D y(xi) Subtracting the two formulas and using the central di erence operator gives
2
2
y(xi) = (e h D ; e; h D )y(xi) = (2 sinh h D)y(xi):
2 Thus,
or = 2 sinh h D
2 2
(6.3.33)
hD = 2 sinh;1 2 = ; 2213! 3 + 235! 5 ; : : :
4
which can be used to construct central di erence approximations of y0(xi ).
Example 6.3.8. We can square, cube, etc. relations (6.3.32) and (6.3.33) to construct
approximations of second, third, etc. derivatives. For example, squaring (6.3.33) gives
1
1
(6.3.34)
h2 D2y(xi) = h2y00(xi) = 2 ; 12 4 + 90 6 + : : : ]y(xi):
At some point, these formal manipulations would have to be veri ed as being correct
and estimates of their local discretization errors would have to be obtained. Nevertheless,
using the formal operators of Table 6.3.3 provides us with a simple way of developing
highorder nite di erence approximations. 6.4 Introduction to Collocation Methods
Unlike nite di erence methods, projection methods such as collocation give a continuous
approximation of the solution as a function of x. The basic idea is to approximate the
27 solution y(x) of a BVP by a simpler function Y (x) and then determine Y (x) so that it
is the \best" approximation of y(x) in some sense. Two reasonable choices for Y (x) are
a discrete Fourier series
M ;1
X
Y (x) = ck eikx
k=0 and a polynomial Y (x) = M ;1
X
k=0 ck xk : It is convenient to regard the BVP solution y(x) as an element of an in nitedimensional
function space and Y (x) as an element of an M dimensional subspace of it. Thus, assuming that y(x) has continuous second derivatives on a < x < b, we would write
y(x) 2 C 2(a b) which is read \y(x) is an element of the space of functions that have
continuous second derivatives on (a b)." Then, Y (x) 2 S M C 2 (a b) where the space
S M consists of those C 2 functions having a prescribed form. The chosen functions, e.g.,
eikx or xk , k = 0 1 : : : M ; 1, comprise a basis for S M .
In order to introduce some concepts, we'll again focus on the secondorder, nonlinear,
scalar BVP (6.3.1). After selecting a basis, the \coordinates" ck , k = 0 1 : : : M ; 1,
can be determined by, e.g., the least squares technique
Zb
min R2 (x)dx
Y 2sM a
where R(x) is the residual R(x) = Y 00 ; f (x Y Y 0): In this case, it is clear that Y (x) is the \best" approximation of y(x) in the sense of
minimizing the square of the integral of the residual.
Using Galerkin's method, we determine Y (x) so that the residual R(x) is \orthogonal"
to every function in S M , i.e.,
Zb
w(x)R(x)dx = 0
8w(x) 2 S M :
a The optimality of this procedure is not clear however, since Galerkin's method is primariliy used with partial di erential equations, we will not pursue it further.
28 Collocation has been shown to be a successful procedure tor twopoint BVPs and is
the one on which we focus. Collocation consists of satisfying R( i ) = 0 i = 1 2 ::: M with a 1 < 2 < : : : < M b:
The optimality of collocation is also not clear, but we'll pursue this elsewhere.
Global approximations such as the Fourier series and the polynomials introduced
above lead to illconditioned algebraic problems. It is far better to use piecewise polynomial approximations that result in sparse and wellconditioned algebraic systems. It
is also unwise to infer more continuity than necessary. Discontinuous and continuous
piecewise polynomial approximations might have the forms shown in Figure 6.4.1. The
discontinuous polynomial (on the left) has jumps at xi , i = 1 2 : : : N ; 1. Thus, the
rst derivative doesn't exist at these points and this would be an unsuitable function to
approximate the solution of a secondorder ODE. The continuous approximation (on the
right) has jumps in its rst derivative at xi , i = 1 2 : : : N ; 1, and its second derivative
doesn't exist at these points. Hence, minimally Y (x) 2 C 1 (a b). In this case, the rst
derivative of Y (x) is continuous and the second derivative is piecewise continuous.
Y(x) Y(x) x
x0 x1 x xN x0 x1 xN Figure 6.4.1: Discontinuous (left) and continuous (right) piecewise polynomial function
Y (x) having jumps (left) and jumps in its rst derivative (right) at xi , i = 1 2 : : : N ; 1.
Perhaps the simplest way of satisfying the continuity requirements is to select a basis
for S M that includes them. For example, a basis for a space of piecewise constant
29 functions could be chosen as
i (x) =
0 1 if x 2 xi;1 xi)
0 otherwise i = 1 2 : : : N: (6.4.1) The approximation Y (x) would then be writte...
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 Spring '14
 JosephE.Flaherty
 Numerical Analysis, Boundary value problem, di erences, di erence

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