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Chebyshev Collocation Method For Differential Equations

This document summarizes the Chebyshev collocation method for solving differential equations. It reviews the Chebyshev transform and derivatives in transform and physical space. It then provides an example of using the method to solve a Dirichlet boundary value problem for the differential equation uxx + xux - u = f(x) on the domain -1 ≤ x ≤ 1. The solution is obtained by approximating the problem using a Chebyshev interpolation and solving the resulting linear system Au = F, where A becomes increasingly ill-conditioned as the number of points N increases.

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623 views12 pages

Chebyshev Collocation Method For Differential Equations

This document summarizes the Chebyshev collocation method for solving differential equations. It reviews the Chebyshev transform and derivatives in transform and physical space. It then provides an example of using the method to solve a Dirichlet boundary value problem for the differential equation uxx + xux - u = f(x) on the domain -1 ≤ x ≤ 1. The solution is obtained by approximating the problem using a Chebyshev interpolation and solving the resulting linear system Au = F, where A becomes increasingly ill-conditioned as the number of points N increases.

Uploaded by

Ryan Guevara
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Lecture 8

Chebyshev collocation method for


differential equations
Katarina Gustavsson

MA5251 Spectral Methods and Applications, 2011

Two point boundary value problem


Time independent linear/non-linear
i Time independent boundary value problem in a general form
! u xx (x) + p(x)u x (x) + q(x)u x (x) = f (x,u),
-1 " x " 1
! >0 is a fixed parameter and p(x), q(x) and f (x) are
given functions
i Boundary conditons on general (mixed) form:
# $ u($1) + % $ u x ($1) = g$
# + u(1) + % + u x (1) = g+
i Dirichlet boundary conditions:
u($1) = g$ u(1) = g+
i Neumann boundary conditions: u x ($1) = g$ u x (1) = g+
The coefficients # % g are known

Time dependent problems - linear/non-linear


i Heat equation
ut ! " u xx = 0 with boundary conditions given
on u(-1,t) = g! and u(1,t) = g+ and initial condition u(x,0) = f (x)
i Linear wave equation
ut + u x = 0 boundary conditions given
on u(-1,t) = g! and u x (1,t) = g+ and initial condition u(x,0) = f (x)
i Burgers equation
ut + uu x ! " u xx = 0 with boundary conditions given
on u(-1,t) = g! and u(1,t) = g+ and initial condition u(x,0) = f (x)

Review on the Chebyshev transform


i A function u(x) can be expanded in Chebyshev series
!

u(x) = " u kTk (x)


k=0

2
uk =
& u(x)Tk (x)$ (x)dx
# ck %1

$ (x) = (1% x 2 )%1/2 and ck = 2 for k = 0 and c k = 1 for k ' 1


i The Chebyshev polynomials are given by Tk (x) = cos(k cos %1 (x))
i In the discrete Chebyshev-Gauss-Lobatto case:
#j
#
x j = cos , j = 0,1,2, N and $ j =
where
N
2 c!k
c!k = 2 for j = 0, N and c!k = 1 for j = 1,2,, N % 1
i The discrete Chebyshev coefficients are given by
( i kjN# +
2 N 1
2 N 1
( # kj +
u! k =
u(x j ) cos *
=
u(x j ). * e - , k = 0,1,N
"
"
)
,
c!k N j=0 c! j
N
c!k N j=0 c! j
)
,

Review on the Chebyshev transform, cont.


i A function u(x) can be expanded in discrete Chebyshev series
N

u(x j ) = ! u! kTk (x j ), j = 0,1,, N


k=0

i Chebyshev interpolant I N u = ! u! kTk (x)

(1)

k=0

i Or in terms of Chebyshev lagrangian polynomials I N u = ! u(x j )" j (x)


j=0

(#1) j+1 (1# x 2 )TN$ (x)


" j (x) =
c! j N 2 (x # x j )
i Note that I N u(x j ) = u(x j ) and that (1)% (2)

(2)

Review on the Chebyshev transform - derivatives


i Derivative in transform (polynomial) space (discrete)

I N u(x j ) ! := ( DN u ) j = " u! k(1)Tk (x j )

I N u(x j ) !!:= ( D 2N u ) j = " u! k(2)Tk (x j )

k=0
N

k=0

i The coefficients can be found by a recursive relation


(1)
c k u! k(1) = u! k+2
+ 2(k + 1)u! k+1 , k = N # 1, N # 2,0

Typo!!

(2)
c k u! k(2) = u! k+2
+ 2(k + 1)u! (1)
k+1 k = N # 1, N # 2,0

u! N(1)+1 = u! N(1) = 0 and u! N(2)+1 = u! N(2) = 0


i Cost of O(N log N ) if FFT is used

Review on the Chebyshev transform - derivatives

i Derivative in "physical" space

l=0

l=0

( DN u ) j = ! u(xl )#"l (x j ) = ! D jl u(xl )

i D jl are the entries in the Chebyshev derivative matrix, D


i The matrix entries for the second order derivative matrix, D 2 ,
are given by (DD) jl where DD is a matrix-multiplication
i The Chebyshev derivative matrix at quadrature points is given by
' c! j ($1) j+l
l% j
)
!
) c (x $ xl )
D jl = ( l j
xl
)$
1& l = j & N $1
)* 2(1$ xl2 )
i The matrix approach costs O(N 2 )

' 2N 2 + 1
)) 6
D jl = (
2
2N
+1
)$
)*
6

l= j=0
l= j=N

Example of a Dirichlet problem


i We wish to solve, by a Chebyshev collocation method,
2
5x
2
2
2
2
u xx + xu x ! u = (24
+
5x
)e
+
(2
+
2x
)cos(x
)
!
(4x
+
1)sin(x
!#########"#########$) ,
f (x)

on ! 1 " x " 1

(1)

i With boundary conditions


u(!1) = e!5 + sin(1) = g! and u(1) = e5 + sin(1) = g+
$ j# '
i Let x = (x0 , x1 ,, x N )T where x j = cos & ) , j = 0,1,2,N
% N(
are the Chebyshev-Gauss-Lobatto points
i Let f = ( f (x0 ), f (x1 ),, f (x N ))T
i Let u = (g+ ,u(x1 ),u(x2 ),,u(x N !1 ), g! )T and
u M = (u(x1 ),u(x2 ),,u(x N !1 ))T be the vector of unknows to be determined
i We will work with the Chebyshev derivative matrices D and D 2
i The entries in D are given by Dij , 0 " i, j " N and D 2 = DD

Example of a Dirichlet problem, cont.


i The approximation to (1) is given by
D 2M u M ! x M " D M u M ! u M = F
i x M = x(1 : N ! 1), D M = D(1 : N ! 1,1 : N ! 1), D 2M = D 2 (1 : N ! 1,1 : N ! 1)
F = f(1 : N ! 1) ! #$ D 2 (1 : N ! 1,0) + x M " D(1 : N ! 1,0) %& g+ !
#$ D 2 (1 : N ! 1, N ) + x M " D(1 : N ! 1, N ) %& g!
i The approximation can also be written on the form Au M = F
where A is a matrix of size (N ! 1) ' (N ! 1)
i The matrix A is given by A = D 2 + (D ! I
where ( is a diagonal matrix with the values of x M on the
diagonal and I is the identity matrix
i The approximate solution is given as the solution to the
linear system of equations u M = A !1F

Solution
i The exact solution is u(x) = e5 x + sin(x 2 )
i The error is defined by err = max
! u j " u(x j )
1! j!N "1

Convergence
2

160

10
Exact solution
N=5
N=10
N=20

140
120

10

10

100

10
err

u(x)

80
60

10

40
8

10

20

10

10

0
20
1

0.8

0.6

0.4

0.2

0
x

0.2

0.4

0.6

0.8

12

10

10

10
N

10

50

i The error obtained by a second order

Exact solution
N=5
N=10
N=20

45
40

finite difference approximation with


N = 512 is approximately the same as
with N = 10 in the spectral method

u(x)

35
30
25
20
15
10
5

0.3

0.35

0.4

0.45

0.5

0.55
x

0.6

0.65

0.7

0.75

0.8

Code example - MATLAB


N=10!
[D, x] = cheb(N);
Chebyshev derivation matrix, D!
D2=D*D;
Chebyshev derivation matrix, D2!
!
DM=D(2:N,2:N);
For the inner points only!
D2M=D2(2:N,2:N);
Note that the numbering of the !
L=diag(x(2:N),0);
elements in a vector/matrix is !
I=diag(ones(N-1,1),0);
from 1 to N+1 (not 0 to N)!
!
A=D2M+L*DM-I;
A as in Au=F!
!
f=(24+5*x).*exp(5*x)+(2+2*x.^2).*cos(x.^2);!
f=f-(4*x.^2+1).*sin(x.^2);!
gminus=exp(-5)+sin(1);!
gplus=exp(5)+sin(1);!
!
F=f(2:N)-(D2(2:N,1)+x(2:N).*D(2:N,1))*gplus!
F=F-(D2(2:N,end)+x(2:N).*D(2:N,end))*gminus;!
!
sol=A\F
u=A-1F!
!
u=[gplus;sol;gminus];
Add the known boundary conditions!
!

Remarks
The collocation method will lead to a full and ill-conditioned
linear system
Gaussian elimination to solve Au=F is only feasible for
problems with a small number of unknowns (one-dimensional
problems)
For multi-dimensional problems an iterative method together
with an appropriate pre-conditioner should be used
We will get back to this when we speak about multidimensional problems
10

10

Eigenvalues of
A are growing
as N4

max(|h|)

10

10

10

10

10

10

10

10
N

10

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