A Short Course on Duality, Adjoint Operators, Green’s

Functions, and A Posteriori Error Analysis

Donald J. Estep
[email protected]

Department of Mathematics
Colorado State University
Fort Collins, CO 80523

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Outline of this course

This course has four parts:

• Basic background and theory of the concepts of duality,
adjoint operators, and Green’s functions
• Development of an approach to a posteriori error analysis
and adaptive error control based on a generalization of the
Green’s function
• An application of these ideas to using the effective domain
of influence in elliptic problems to form a decomposition of a
solution
• Extension of the ideas to nonlinear problems.

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Duality, Adjoint Operators, and Green’s Functions

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The Green’s Function

In the classic problem, u solves

(
−∆u = f, x ∈ Ω,
u = 0, x ∈ ∂Ω,

where Ω is a domain in Rd with boundary ∂Ω.

The Green’s function φ satisfies

(
−∆φ(y; x) = δy (x), x ∈ Ω,
φ(y; x) = 0, x ∈ ∂Ω,

δy is the delta function at a point y ∈ Ω.

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The Green’s Function

Function representation formula:

Z Z
u(y) = δy (x)u(x) dx = −∆φ(y; x)u(x) dx
Ω Ω
Z Z
= φ(y; x) · −∆u(x) dx = φ(y; x)f (x) dx.
Ω Ω

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Background in linear algebra

X is a vector space with norm k k over the real numbers

An important property of the spaces depends on the notion of a

Cauchy sequence:

Definition
A sequence {xn } in X is a Cauchy sequence if we can make
the distance between elements in the sequence arbitrarily small
by restricting the indices to be large.

More precisely, for every  > 0 there is an N such that

kxn − xm k <  for all n, m > N .

This is a computable criterion for checking convergence.

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Background in linear algebra

Example
Consider the sequence {1/n}∞
n=1 in [0, 1]. It is a Cauchy
sequence since

1 1 m−n max{m, n} 2
− = ≤2 =
n m mn mn min{m, n}

can be made arbitrarily small by taking m and n large.

It converges to 0 which is in [0, 1].

Sequences that converge are Cauchy sequences. Cauchy

sequences do not necessarily converge.

Example
The sequence {1/n}∞ n=1 is a Cauchy sequence in (0, 1) but does
not converge in (0, 1).
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Background in linear algebra

Spaces in which Cauchy sequences converge are greatly

preferred.

Definition
A Banach space is a vector space with a norm such that every
Cauchy sequence converges to a limit in the space.

We also say the space is complete.

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Background in linear algebra

Example
Rn with the norms defined for x = (x1 , · · · , xn )> ,

kxk1 = |x1 | + · · · + |xn |

2 2 1/2


kxk2 = |x1 | + · · · + |xn |
kxk∞ = max |xi |.

are all Banach spaces.

We use k k = k k2 unless noted otherwise.

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Background in linear algebra

Spaces of functions:

Definition
For an interval [a, b], the space of continuous functions is
denoted C([a, b]), where we take the maximum norm

kf k = max |f (x)|.
a≤x≤b

C 1 ([a, b]) denotes the space of functions that have continuous

first derivatives on [a, b], where we use the norm

kf k = max |f (x)| + max |f 0 (x)|.

a≤x≤b a≤x≤b

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Background in linear algebra

Spaces of functions:

Definition
For 1 ≤ p ≤ ∞,

Lp (Ω) = {f : f is measurable on Ω and kf kp < ∞}

where for 1 ≤ p < ∞,

Z 1/p
kf kp = kf kp dx , 1 ≤ p < ∞, and kf k∞ = ess supΩ kf k.
Ω

L2 is particularly important.

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Background in linear algebra

Theorem
The Lp spaces and C([a, b]) are Banach spaces.

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Background in linear algebra

Consider two vector spaces X and Y with norms k kX and k kY

Definition
A map or operator L from X to Y is a rule or association that
assigns to each x in X a unique element y in Y .

Definition
A map L : X → Y is linear if L(αx1 + βx2 ) = αL(x1 ) + βL(x2 )
for all numbers α, β and x1 , x2 in X .

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Background in linear algebra

Example
Every linear map from Rm to Rn is obtained by multiplying
vectors in Rm by a n × m matrix, i.e., they have the form Ax,
where A is a n × m matrix.

Example
Differentiation is a linear map from C 1 ([a, b]) to C([a, b]).

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Background in linear algebra

The maps we consider also have to behave continuously.

Definition
A map L : X → Y is continuous if for every sequence {xn } in
X that converges to a limit x in X , i.e., xn → x, we have
L(xn ) → L(x).

Example
Linear maps from Rm to Rn are continuous.

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Background in linear algebra

There is an equivalent property for linear maps.

Definition
A linear map L : X → Y is bounded if there is a constant C > 0
such that kLxkY ≤ CkxkX for all x in X .

Theorem
A linear map between normed vector spaces is continuous if
and only if it is bounded.

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Background in linear algebra

The set of all linear transformations between two vector spaces

X and Y is a vector space.

Definition
If X and Y are normed vector spaces, we use L(X, Y ) to denote
the vector space of all bounded linear maps from X to Y .
L(X, Y ) is a normed vector space under the operator norm

kLxkY
kLk = sup kLxkY = sup . (1)
kxkX =1 x6=0 kxkX

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Background in linear algebra

Example
If the linear transformation L is given by the n × n matrix A, then
n
X
kLk1 = kAk1 = max |aij |
1≤j≤n
i=1
q
kLk2 = kAk2 = σ(AT A)
n
X
kLk∞ = kAk∞ = max |aij |
1≤i≤n
j=1

where σ(A> A) is the spectral radius of A> A.

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Background in linear algebra

Theorem
If X and Y are normed vector spaces and Y is complete, then
L(X, Y ) is complete.

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Linear functionals and dual spaces

The concept of duality starts with linear functionals.

Definition
A linear functional on a vector space X is a linear map from X
to R.

Example
Let v in Rn be fixed. The map F (x) = v · x = (x, v) is a linear
functional on Rn .

Example
Rb
Consider C([a, b]). Both I(f ) = a f (x) dx and F (f ) = f (y) for
a ≤ y ≤ b are linear functionals.

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Linear functionals and dual spaces

A linear functional provides a “low dimensional snapshot” of a

vector.

Example
In the example above with F (x) = (x, v), consider v = ei , the ith
standard basis function. Then F (x) = xi where x = (x1 , · · · , xn ).

We can take v = (1, 1, · · · , 1)/n and compute the average of the

components of a given input vector.

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Linear functionals and dual spaces

Example
δy gives a linear functional on sufficiently smooth, real valued
functions via
Z
F (u) = u(y) = δy (x)u(x) dx.
Ω

Another linear functional is the average value of an integrable

function,
1
Z
F (u) = u(x) dx.
vol. of Ω Ω

We can view the formulas defining the Fourier coefficients of a

function as a set of linear functionals.

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Linear functionals and dual spaces

We are interested in the continuous linear functionals.

Definition
If X is a normed vector space, the space L(X, R) of bounded
linear functionals on X is called the dual space of or on or to
X , and is denoted by X ∗ .

The dual space is a normed vector space under the dual norm
defined for y ∈ X ∗ as

|y(x)|
kykX ∗ = sup |y(x)| = sup .
x∈X x∈X kxk
kxkX =1 x6=0

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Linear functionals and dual spaces

Example
Consider X = Rn . Every vector v in Rn is associated with a
linear functional Fv (·) = (·, v). This functional is clear bounded
since |(x, v)| ≤ kvk kxk (The “C ” in the definition is kvk).

A classic result in linear algebra is that all linear functionals on

Rn have this form, i.e., we can make the identification
(Rn )∗ ' Rn .

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Linear functionals and dual spaces

Example
Rb
For C([a, b]), consider I(f ) = a f (x) dx. It is easy to compute
Z b
kIkC([a,b])∗ = sup f (x) dx
f ∈C([a,b]) a
max |f |=1

by looking at a picture.

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Linear functionals and dual spaces

possible functions
b
a

-1

Computing the dual norm of the integration functional.

The maximum value for I(f ) is clearly given by f = 1 or f = −1,

and we get kIkC([a,b])∗ = b − a.

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Linear functionals and dual spaces

Example
Recall Hölder’s inequality for f ∈ Lp (Ω) and g ∈ Lq (Ω) with
1 1
+ = 1 for 1 ≤ p, q ≤ ∞ is
p q

kf gkL1 (Ω) ≤ kf kLp (Ω) kgkLq (Ω) .

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Linear functionals and dual spaces

Each g in Lq (Ω) is associated with a bounded linear functional

p 1 1
on L (Ω) when + = 1 and 1 ≤ p, q ≤ ∞ by
p q
Z
F (f ) = g(x)f (x) dx.
Ω

We can “identify” (Lp )∗ with Lq when 1 < p, q < ∞, The cases

p = 1, q = ∞ and p = ∞, q = 1 are trickier.

The case L2 is special in that we can identify (L2 )∗ with L2 .

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Linear functionals and dual spaces

The dual space is the collection of “reasonable” possible

samples.

An important characteristic of a dual space is how much we can

reveal about a vector by considering samples in the dual space.

Example
By considering the set of n functionals corresponding to taking
the inner product with {e1 , · · · , en }, we can “reconstruct” any
given vector in Rn by looking at the functional values.

The question of whether or not we can “recover” a vector u

completely by computing sufficiently many linear functionals
depends heavily on properties of the underlying space.
In practice, we will often be content with one or just a few
“snapshots”.

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Linear functionals and dual spaces

We might wonder about the number of bounded linear

functionals that exist on an arbitrary normed vector space.

The celebrated Hahn-Banach theorem says there is a great

abundance of them.

Let x0 6= 0 be a fixed element of Banach space X .

The set X0 = {αx0 : α ∈ R} forms a vector subspace of X .
The linear functional F (αx0 ) = α is defined on X0 and is
bounded since |F (αx0 )| = |α| = kαx0 k/kxk.
So, we have found a bounded linear functional on a subspace of
X.

Can we extend this to be defined on all of X ?

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Linear functionals and dual spaces

Issues:
• What does it mean to extend?
• Does the norm increase upon extension?
• What if there is an infinite number of extensions involved?

Theorem
Hahn-Banach Let X be a Banach space and X0 a subspace of
X . Suppose that F0 (x) is a bounded linear functional defined on
X0 . There is a linear functional F defined on X such that
F (x) = F0 (x) for x in X0 and kF k = kF0 k.

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Linear functionals and dual spaces

Dual spaces are connected to distribution theory and weak

convergence.

The dual space can be better behaved than the original normed
vector space.

Theorem
If X is a normed vector space over R, then X ∗ is a Banach
space (whether or not X is a Banach space).

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Linear functionals and dual spaces

Useful notation:

Definition
If x is in X and y is in X ∗ , we denote the value

y(x) =< x, y > .

This is called the bracket notation.

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Linear functionals and dual spaces

The norms on X and its dual X ∗ are closely related. Recall that
if y ∈ X ∗ , then

|y(x)|
kyk X∗ = sup |y(x)| = sup .
x∈X x∈X kxk
kxkX =1 x6=0

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Linear functionals and dual spaces

Definition
The generalized Cauchy inequality is

|< x, y >| ≤ kxkX kykX ∗ , x ∈ X, y ∈ X ∗ .

Theorem
If X is a Banach space, then

|y(x)|
kxkX = sup = sup |y(x)|
y∈X ∗ kykX ∗ y∈X ∗
y6=0 kykX ∗ =1

for all x in X .

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Hilbert spaces and duality

Example
Rn with the standard Euclidean norm k k = k k2 can be identified
with its dual space.

L2 can be identified with its dual space.

Both of these spaces are Hilbert spaces.

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Hilbert spaces and duality

One way to get a normed vector space is to place an inner

product (i.e., dot product) on the space.

Theorem
If X has an inner product (x, y), then it is a normed vector space
with norm kxk = (x, x)1/2 for x in X .

Definition
A vector space with an inner product that is a Banach space
with respect to the associated norm is called a Hilbert space.

Example
Rn with k k = k k2 and L2 are both Hilbert spaces.

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Hilbert spaces and duality

If X is a Hilbert space with inner product (x, y), then each y ∈ X

determines a linear functional Fy (x) =< x, y >= (x, y) for x in X .

This functional is bounded by Cauchy’s inequality,

|(x, y)| ≤ kxk kyk.

The Riesz Representation theorem says this is the only kind of

linear functional on a Hilbert space.

Theorem
Riesz Representation For every bounded linear functional F
on a Hilbert space X , there is a unique element y in X such that

|F (x)|
F (x) = (x, y), all x ∈ X and kykX ∗ = sup .
x∈X kxk
x6=0

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Hilbert spaces and duality

A Hilbert space is isometric to its dual space.

Definition
Two normed vector spaces X and Y are isometric if there is a
linear 1-1 and onto map L : X → Y such that kL(x)kY = kxkX
for all x in X .

We often replace the bracket notation and the generalized

Cauchy inequality by the inner product and the “real” Cauchy
inequality without comment.

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Hilbert spaces and duality

The Sobolev spaces are Hilbert spaces based on L2 .

Example
For k = 1, 2, 3, · · · , we define H k (Ω) to be the distribution
functions in L2 (Ω) whose partial derivatives of order k and less
are also distributions in L2 (Ω).

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Hilbert spaces and duality

Definition
index notation: For α = (α1 , · · · , αn ) with integer coefficients,
we define

∂ |α|
 
∂ ∂ α
D= ,··· , , D =
∂x1 ∂xn ∂xα1 1 · · · ∂xαnn

with |α| = α1 + · · · + αn .

H k (Ω) = {u, Dα u ∈ L2 (Ω), |α| ≤ k}. The inner products and

norms are
1/2
X
(u, v)k = (Dα u, Dα v), kukk = (u, u)k .
|α|≤k

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Hilbert spaces and duality

The Riesz Representation theorem says that every linear

functional on H k has the form (u, v)k for some fixed v in H k .

Defining the dual space to H k runs into subtle difficulties due to

a collision with the requirements for using distribution theory.

We define the dual spaces to a subspace.

k−1
 
∂u ∂ u
H0k (Ω) = u ∈ H k (Ω) : u = = ··· = k−1
= 0 on ∂Ω ,
∂n ∂n

where ∂/∂n denotes the normal derivative on the boundary ∂Ω.

We let H −k (Ω) is the set of all linear functionals on H0k (Ω).

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Adjoint operators - definition

We now explain how a linear transformation between two

normed vector spaces X and Y is naturally associated with
another linear transformation between Y ∗ and X ∗ .

This is the infamous adjoint operator.

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Adjoint operators - definition

Suppose L ∈ L(X, Y ) is a bounded linear transformation.

For each y ∗ ∈ Y ∗ ,

y ∗ ◦ L(x) = y ∗ (L(x)) =< Lx, y ∗ >

assigns a number to each x ∈ X , hence defines a functional

F (x). F (x) is clearly linear.

It is also bounded since

|F (x)| = |y ∗ (L(x))| ≤ ky ∗ kY ∗ kL(x)kY ≤ ky ∗ kY ∗ kLk kxkX .

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Adjoint operators - definition

There is an x∗ ∈ X ∗ such that y ∗ (L(x)) = x∗ (x) for all x ∈ X .

x∗ is unique.

Thus, to each y ∗ ∈ Y ∗ , we have assigned a unique x∗ ∈ X ∗ and

thus have defined a linear transformation L∗ : Y ∗ → X ∗ .

We can write these relations as

y ∗ (L(x)) = L∗ y ∗ (x)

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Adjoint operators - definition

Using the bracket notation,

< L(x), y ∗ >=< x, L∗ (y ∗ ) > x ∈ X, y ∗ ∈ Y ∗ .

Definition
This is called the bilinear identity.

It defines the adjoint operator L∗ : Y ∗ → X ∗ associated to a

bounded linear transformation L : X → Y .

Note that we have defined the adjoint transformation via

sampling by elements in the dual space.

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Adjoint operators - definition

Example
Let X = Rm and Y = Rn , where we take the standard inner
product and norm.

By the Riesz Representation theorem, the bilinear identity for

L ∈ L(Rm , Rn ) reads

(Lx, y) = (x, L∗ y), x ∈ Rm , y ∈ Rn .

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Adjoint operators - definition

There is a unique n × m matrix A so that if y = L(x) = Ax where

     
a11 ··· a1m y1 x1
 . ..  , .  . 
A =  .. .  y =  ..  , x =  .. 
an1 · · · anm yn xm

and
m
X
yi = aij xj , 1 ≤ i ≤ n.
j=1

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Adjoint operators - definition

For a linear functional y ∗ = (y1∗ , · · · , yn∗ )> ∈ Y ∗

 P 
m
j=1 a1j xj
∗ ∗ ∗
 ∗ ∗ 

L y (x) = y (L(x)) = (y1 , · · · , yn ), 
.. 
 . 

Pm
j=1 anj xj
m
X m
X
= y1∗ a1j xj + · · · yn∗ anj xj
j=1 j=1
m X
X n
yi∗ aij


= xj
j=1 i=1

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Adjoint operators - definition

L∗ (y ∗ ) is given by the inner product with ỹ = (ỹ1 , · · · , ỹm )>

where
n
X
ỹj = yi∗ aij .
i=1

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Adjoint operators - definition

The matrix A∗ of L∗ is
 ∗ ∗   
a11 · · · a1n a11 a21 · · · an1
∗  .. .
.   .. ..  = A> .
A = . . = . . 
a∗m1 · · · a∗mn a1m a2m · · · anm

The bilinear identity is

y > Ax = x> A> y

using the fact that (x, y) = (y, x).

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Adjoint operators - definition

The following theorem is crucial.

Theorem
L∗ ∈ L(Y ∗ , X ∗ ) and kL∗ k = kLk.

proof

|L∗ y ∗ (x)| ≤ ky ∗ kY ∗ kLkkxkX .

Therefore,

|L∗ y ∗ (x)|
kL∗ y ∗ kX ∗ = sup ≤ ky ∗ kY ∗ kLk,
x6=0 kxk

which implies that L∗ ∈ L(Y ∗ , X ∗ ) and kL∗ k ≤ kLk.

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Adjoint operators - definition

To show the reverse inequality, we prove that

kLxkY ≤ kL∗ k kxkX , x ∈ X.

The bilinear identity implies that

|y ∗ (Lx)| ≤ kL∗ y ∗ kX ∗ kxkX ≤ kL∗ kky ∗ kY ∗ kxkX

and
|y ∗ (Lx)| ∗
sup ∗
≤ kL k kxkX , x ∈ X.
y ∗ 6=0 ky kY ∗

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Adjoint operators - definition

Properties of the adjoint operator:

Theorem
Let X , Y , and Z be normed linear spaces. Then,

0∗ = 0
(L1 + L2 )∗ = L∗1 + L∗2 , all L1 , L2 ∈ L(X, Y )
(αL)∗ = αL∗ , all α ∈ R, L ∈ L(X, Y )

If L2 ∈ L(X, Y ) and L1 ∈ L(Y, Z), then L1 L2 ∈ L(X, Z),

(L1 L2 )∗ ∈ L(Z ∗ , X ∗ ), and

(L1 L2 )∗ = L∗2 L∗1 .

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Adjoint operators - definition

We are often deal with linear operators that are not defined on
the entire space.

Example
Consider D = d/dx on X = C([0, 1]). This linear map is only
defined on the subspace C 1 ([0, 1]).

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Adjoint operators - definition

Definition
Let X and Y be normed vector spaces. A map L that assigns to
each x in a subset D(L) of X a unique element y in Y is called a
map or operator with domain D(L).

L is linear if (1) D(L) is a vector subspace of X and (2)

L(αx1 + βx2 ) = αL(x1 ) + βL(x2 ) for all α, β ∈ R and
x1 , x2 ∈ D(L).

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Adjoint operators - definition

We define the dual of a linear operator by examining its behavior

on its domain.

We want
L∗ y ∗ (x) = y ∗ (Lx) all x ∈ D(L).

We say that y ∗ ∈ D(L∗ ) if there is an x∗ ∈ X ∗ such that

x∗ (x) = y ∗ (Lx), all x ∈ D(L).

The existence of x∗ is no longer automatic.

When x∗ exists, we define L∗ y ∗ = x∗ .

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Adjoint operators - definition

For this to work, x∗ must be unique.

In other words, x∗ (x) = 0 for all x ∈ D(L) should imply x∗ = 0.

This depends on the “size” of D(L).

Definition
A subspace A of a normed linear space X is dense if every
point in X is either in A or the limit of a sequence of points in A.

Example
The rational numbers are dense in the real numbers and the
polynomials are dense in C([a, b]).

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Adjoint operators - definition

We can define L∗ for a linear operator L : X → Y provided D(L)

is dense in X .

We define D(L∗ ) to be those y ∗ ∈ Y ∗ for which there is an

x∗ ∈ X ∗ with x∗ (x) = y ∗ (Lx) for all x ∈ X .

This x∗ is unique and L∗ y ∗ = x∗ .

The Hahn-Banach theorem implies that if there is a C such that

|y ∗ (Lx)| ≤ Ckxk for all x ∈ D(L), then y ∗ ∈ D(L∗ ).

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Adjoint operators - motivation

Common problem: Given normed vector spaces X and Y , an

operator L(X, Y ), and b ∈ Y , find x ∈ X such that

Lx = b.

We explain the role of the adjoint in solving this kind of problems.

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Adjoint operators - motivation

Definition
The set of b for which there is a solution is called the range,
R(L), of L.

The set of x for which L(x) = 0 is called the null space, N (L),
of L.

0 is always in N (L).

If it is the only element in N (L), then Lx = b can have at most

one solution.

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Adjoint operators - motivation

Theorem
N (L) is a subspace of X and R(L) is a subspace of Y .

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Adjoint operators - motivation

If y ∈ R(L), there is an x with Lx = y .

For y ∗ ∈ Y ∗ ,
y ∗ (Lx) = y ∗ (y).
By the definition of the adjoint,

L∗ y ∗ (x) = y ∗ (y).

If y ∗ ∈ N (L∗ ), then y ∗ (y) = 0.

A necessary condition that y ∈ R(L) is that y ∗ (y) = 0 for all

y ∗ ∈ N (L∗ ).

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Adjoint operators - motivation

Is this sufficient?

We require just one condition.

Definition
A subset A of a normed vector space X is closed if every
sequence {xn } in A that has a limit in X has its limit in A.

Theorem
Let X and Y be normed linear spaces and L ∈ L(X, Y ). A
necessary condition that y ∈ R(L) is y ∗ (y) = 0 for all
y ∗ ∈ N (L∗ ). This is a sufficient condition if R is closed in Y .

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Adjoint operators - motivation

Example
Suppose that L ∈ L(X, Y ) is associated with the n × m matrix
A, i.e., L(x) = Ax.

The necessary and sufficient condition for the solvability of

Ax = b is that b is orthogonal to all linearly independent
solutions of AT y = 0.

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Adjoint operators - motivation

Example
In the case X is a Hilbert space and L ∈ L(X, Y ), then
necessarily R(L∗ ) ⊂ N (L)⊥ , where S ⊥ is the subspace of
vectors that are orthogonal to a subspace S .

If R(L∗ ) is “large”, then N (L)⊥ must be “large” and N (L) must

be “small”.

The existence of sufficiently many solutions of the

homogeneous adjoint equation implies there is at most one
solution of Lx = b for a given b.

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Adjoint operators - motivation

Example
The setting of general partial differential equations:

Theorem
Holmgren Uniqueness The generalized initial value problem
consisting of the equation
X
L(u) = Aα (x)Dα u = f (x), x ∈ Rn ,
|α|≤m

where {Aα } and f are analytic functions, together with the data

Dβ u(x) = gβ (x), |β| ≤ m − 1, x ∈ S

given on an analytic noncharacteristic surface S , has at most

one solution in a neighborhood of S .

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Adjoint operators - motivation

The adjoint has an important role in the solution of a general

n × m system Ax = b, where A is a n × m matrix, x ∈ Rm , and
b ∈ Rn .

The reason to dwell on such problems is that differential

operators do not tend to be “square”.

Example
y 00 = d2 y/dx2 requires two boundary conditions to define a
problem for the associated differential equation that has a
unique solution.

We may want to study the differential operator without any

boundary conditions, or more or less than two conditions.

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Adjoint operators - motivation

Example
Divergence,
∂u1 ∂un
div u = + ··· + ,
∂x1 ∂xn
associates a scalar with a given vector function, and the
associated differential equation is very “under-determined”.

The gradient,
 
∂u1 ∂un
grad u = ,··· , ,
∂x1 ∂xn
associates a vector field with a given scalar function, and the
associated equations are very “over-determined”.

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Adjoint operators - motivation

Consider the n × m system Ax = b, where A is a n × m matrix,

x ∈ Rm , and b ∈ Rn .

We enlarge the system by adding the adjoint m × n system

A> y = c, where y and c are independent of x and b.

The new problem is an (n + m) × (n + m) symmetric problem

Sz = d,

with ! ! !
y b 0 A
z= , d= , S= .
x c A> 0

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Adjoint operators - motivation

Since S is symmetric, it is diagonalizable with eigenvalues

satisfying
Av = λu AA> u = λ2 u
or
A∗ u = λv A> Av = λ2 v

The eigenvalues of S are the singular values of A and last two

equations give the left and right singular vectors of A.

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Adjoint operators - motivation

Consequences:
• The theorem on the adjoint condition for solvability falls out
right away.
• It yields a “natural” definition of a solution or gives
conditions for a solution to exist in the over-determined and
under-determined cases.
• It also gives a way of determining the condition of the
solution process.

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Adjoint operators - motivation

One interesting observation is that there is a reciprocal

relationship between the degree of over/under-determination of
the original system and the adjoint system.

The more over-determined the original system, the more

under-determined the adjoint system, and so forth.

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Adjoint operators - motivation

Example
Consider 2x!1 + x2 = 4, where L : R2 → R. L∗ : R → R2 is given
2
by L∗ = . The extended system is
1
    
0 2 1 y1 4
2 0 0 x1  = c1  ,
    

1 0 0 x2 c2

from which we see that 2c1 = c2 is required in order to have a

solution.

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Adjoint operators - motivation

Example
On the other hand, if the problem is

2x1 + x2 = 4
x2 = 3,

with L : R2 → R2 , then there is a unique solution. The extended

system is
    
0 0 2 1 y1 c1
0 0 0 1  y  c 
  2   2
   =  ,

2 0 0 0 x1   4 


1 1 0 0 x2 3
where we can specify any values for c1 , c2 .

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Adjoint operators - motivation

In the under-determined case, we can eliminate the deficiency

by posing the method of solution

AA> y = b L(L∗ (y)) = b

or
x = A> y. x = L∗ (y).

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Adjoint operators - motivation

This works for differential operators

Example
Consider the under-determined problem

div F = ρ.

The adjoint to div is -grad modulo boundary conditions.

If F = grad u, where u is subject to the boundary condition

u(00 ∞00 ) = 0, then we obtain the “square”, well-determined
problem
div grad u = ∆u = −ρ,

which has a unique solution because of the boundary condition.

Duality, Adjoints, Green’s Functions – p. 77/304

Adjoint operators - motivation

Example
Consider

Ax = b
A> φ = ei

where A is a n × n invertible matrix.

There are no constraints on the data for the adjoint problem.

We have specified the ith standard basis vector of Rn .

xi = (x, ei ) = (x, A> φ) = (Ax, φ) = (b, φ).

y is the discrete Green’s vector associated to Ax = b.

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Adjoint operators - computation

The computation of the adjoint to a general differential operator

is not easy.

A tedious, formal approach:

1. Take the problem for the linear operator, including any
boundary and/or initial conditions imposed with the
operator, and discretize it.
2. Extract the matrix from the resulting discrete system, and
compute its transpose.
3. Let the discretization parameter tend to its limit and
determine the differential operator that is approached by the
transposed matrix.
Determination of the adjoint of a differential operator is heavily
influenced by the boundary and/or initial conditions, as well as
the underlying spaces.
Duality, Adjoints, Green’s Functions – p. 79/304
Adjoint operators - computation

Example
A standard difference approximation of
(
−u00 (x) = f (x), 0 < x < 1,
u(0) = 0, u(1) = 0,

yields the matrix

 
2 −1 0
−1 2 −1 
 
1  .. .. .. 
,
2 . . .
h  
−1 2 −1


0 −1 2

The differential operator is self-adjoint.

Duality, Adjoints, Green’s Functions – p. 80/304
Adjoint operators - computation

Example
If we change the boundary conditions to
(
−u00 (x) = f (x), 0 < x < 1,
u(0) = 0, u0 (0) = 0,

we get a triangular matrix after discretization.

The adjoint corresponds to a problem

(
−v 00 (x) = g(x), 0 < x < 1,
v(1) = 0, v 0 (1) = 0,

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Adjoint operators - computation

Example
( (
u0 = f (x), 0 < x < 1, −v 0 = g(x), 1 > x > 0,
⇒
u(0) = 0 v(1) = 0,

Example

(
−u00 = f (x), 0 < x < 1,
no boundary conditions
(
−v 00 = g(x), 0 < x < 1,
⇒
v(0) = v 0 (0) = v(1) = v 0 (1) = 0.

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Adjoint operators - computation

In the case of L2 , we can use the bilinear identity

< Lu, v ∗ >=< u, L∗ v ∗ > all u ∈ X, v ∗ ∈ Y ∗ ,

which is

(Lu, v) = (u, L∗ v) all suitable u, v ∈ L2 (Ω).

Definition
We say that we are evaluating the bilinear identity when we
compute

< Lu, v ∗ > − < u, L∗ v ∗ >= (Lu, v) − (u, L∗ v)

for some suitable functions u and v .

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Adjoint operators - computation

• Since we are considering differential operators, these will

not be defined on all of L2 (Ω), but only a subset of
sufficiently smooth functions.
• The L2 inner product involves integration over the domain,
and we can interpret the process producing the bilinear
identity as a succession of integration by parts. This yields
terms that involve the integrals over the boundary of Ω of
the functions involved as well as certain derivatives.

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Adjoint operators - computation

Computing the adjoint using the bilinear identity proceeds in two

stages.

First, we compute a formal adjoint neglecting all boundary terms

by assuming that the functions involved have compact support
inside Ω.

Definition
A function on a domain Ω has compact support in Ω if it
vanishes identically outside a bounded set contained inside Ω.

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Adjoint operators - computation

1. Take the differential operator applied to a smooth function

with compact support and multiply by a smooth test function
with compact support
2. Integrate over the domain
3. Integrate by parts to move all derivatives onto the test
function while ignoring boundary terms.

Functions that have compact support are identically zero

anywhere near the boundary and any boundary terms arising
from integration by parts will vanish.

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Adjoint operators - computation

Definition
Let L be a differential operator. The formal adjoint L∗ is the
differential operator that satisfies
Z Z 
(Lu, v) = (u, L∗ v) Lu · v dx = u · L∗ v dx
Ω Ω

for all sufficiently smooth u and v with compact support in Ω.

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Adjoint operators - computation

Example
Consider
 
d d d
Lu(x) = − a(x) u(x) + (b(x)u(x))
dx dx dx

on [0, 1]. Integration by parts neglecting boundary terms gives

1  
d d
Z
− a(x) u(x) v(x) dx
0 dx dx
Z 1 1
d d d
= a(x) u(x) v(x) dx − a(x) u(x)v(x)
0 dx dx dx 0
Z 1   1
d d d
=− u(x) a(x) v(x) dx + u(x)a(x) v(x) ,
0 dx dx dx 0

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Adjoint operators - computation

1 1 1
d d
Z Z
(b(x)u(x))v(x) dx = − u(x)b(x) v(x) dx+b(x)u(x)v(x) ,
0 dx 0 dx 0

where all of the boundary terms vanish.

Therefore,
 
d d d
L∗ v = − a(x) v(x) − b(x) (v(x)).
dx dx dx

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Adjoint operators - computation

In higher space dimensions, we use the divergence theorem.

Example
A general linear second order differential operator L in Rn can
be written
n X
n n
X ∂2u X ∂u
L(u) = aij + bi + cu,
∂xi ∂xj ∂xi
i=1 j=1 i=1

where {aij }, {bi }, and c are functions of x1 , x2 , · · · , xn . Then,

n X
n n
X ∂ 2 (aij v) X ∂(bi v)
L∗ (u) = − + cv.
∂xi ∂xj ∂xi
i=1 j=1 i=1

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Adjoint operators - computation

It can be verified directly that

n
X ∂pi
vL(u) − uL∗ (v) = ,
∂xi
i=1

where
n  
X ∂u ∂(aij v)
pi = aij v −u + bi uv.
∂xj ∂xj
j=1

The divergence theorem yields

Z Z
(vL(u) − uL∗ (v)) dx = p · n ds = 0,
Ω ∂Ω

where p = (p1 , · · · , pn ) and n is the outward normal in ∂Ω.

Duality, Adjoints, Green’s Functions – p. 91/304

Adjoint operators - computation

A typical term,

∂2u
   
∂ ∂u ∂ ∂u ∂(a11 v) ∂u
va11 = va11 = va11 −
∂x21 ∂x1 ∂x1 ∂x1 ∂x1 ∂x1 ∂x1
∂ 2 (a11 v)
   
∂ ∂u ∂ ∂(a11 v)
= va11 − u +u
∂x1 ∂x1 ∂x1 ∂x1 ∂x21

yielding

∂2u ∂ 2 (a11 v)
 
∂ ∂u ∂(a11 v)
va11 − u = a11 v −u .
∂x21 ∂x21 ∂x1 ∂x1 ∂x1

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Adjoint operators - computation

Example
Let L be a differential operator of order 2p of the form
X
|α| α β


Lu = (−1) D aαβ (x)D u ,
|α|,|β|≤p

then X
∗ |α| α β


L v= (−1) D aβα (x)D v ,
|α|,|β|≤p

and L is elliptic if and only if L∗ is elliptic.

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Adjoint operators - computation

Some special cases.

∗
grad = −div
∗
div = −grad
∗
curl = curl
X
Lu = aα (x)Dα u
|α|≤p

then X
∗
L v= (−1)|α| Dα (aα (x)v(x)).
|α|≤p

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Adjoint operators - computation

Example
If
Lu = ρutt − ∇ · (a∇u) + bu
then L∗ = L.

If
Lu = ut − ∇ · (a∇u) + bu
then
L∗ v = −vt − ∇ · (a∇v) + bv
where time runs “backwards”.

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Adjoint operators - computation

This procedure also works for systems

Example
Let
L(~u) = A~ux + B~uy + C~u,
where A, B , and C are n × n matrices, then

L∗ (~v ) = (−A>~v )x − (B >~v )y + C > v,

so that
~v > L~u − ~u> L∗~v = ∇ · (~v > A~u, ~v > B~u).

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Adjoint operators - computation

In the second stage of computing the adjoint, we deal with

boundary conditions by removing the assumption that the
functions involved have compact support.

Integration by parts yields additional terms involving integrals

over the boundary of the functions involved and their derivatives.

We want to determine boundary conditions such that the bilinear

identity still holds, e.g., such that any boundary terms that arise
vanish.

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Adjoint operators - computation

It turns out that the form of the boundary conditions imposed in

the problem for L are important, but the values given for these
conditions are not.

If the boundary conditions are not homogeneous, we make them

so for the purpose of determining the adjoint.

Definition
The adjoint boundary conditions posed on the formal adjoint
operator are the minimal conditions required to make the
boundary terms that appear when evaluating the bilinear identity
for general smooth functions vanish.

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Adjoint operators - computation

Some of the boundary terms that appear when evaluating the

bilinear identity will vanish because of the boundary conditions
imposed in the original problem.

The point of this assumption is to make the formal adjoint serve

as the true adjoint by pairing it with the correct boundary
conditions.

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Adjoint operators - computation

This definition can be made completely precise. Issues involved:

• Placing conditions on the differential operator L so that
evaluating the bilinear identity for general smooth functions
results in expressions involving only values on the boundary.
• Making precise the meaning of “minimal conditions” needed
for the adjoint problem, and proving these always exist.

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Adjoint operators - computation

Example
Consider Newton’s equation of motion s00 (x) = f (x) with x =
“time”, normalized with mass 1. First, suppose we assume
s(0) = s0 (0) = 0, and 0 < x < 1. We have

00 d
00
s v − sv = (vs0 − sv 0 )
dx
and
Z 1
1
(s00 v − sv 00 ) dx = (vs0 − sv 0 ) 0 .
0

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Adjoint operators - computation

The boundary conditions imply the contributions at x = 0 vanish,

while at x = 1 we have

v(1)s0 (1) − v 0 (1)s(1).

To insure this vanishes, we must have v(1) = v 0 (1) = 0. These

are the adjoint boundary conditions.

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Adjoint operators - computation

Example
Suppose instead we impose conditions such that at the mass
returns to the origin with zero speed at x = 1.

This gives four boundary conditions

s(0) = s0 (0) = s(1) = s0 (1) = 0 on the original problem.

In this situation, all of the boundary terms are zero and no

boundary conditions will be imposed on the adjoint.

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Adjoint operators - computation

Solving the over-determined problem.

Example
Based on the discussion above, we require the data f to be
orthogonal to the solution of the adjoint problem v 00 = 0, which is
v = a + bx.

Hence, f must be orthogonal in L2 (0, 1) to 1 and x.

Assume for example that f (x) = a + bx + cx2 . It is easy to see

that (f, 1) = 0 and (f, x) = 0 forces a = c/6 and b = −c.

Choosing c = 1 for example, means that f (x) = 1/6 − x + x2 .

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Adjoint operators - computation

We solve the forward problem by integrating twice and using the

boundary conditions at x = 0 to get a formula for the solution.

The resulting solution satisfies the conditions at x = 1 as well.

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Adjoint operators - computation

Example
Since
 
∂v ∂u
Z Z
(u∆v − v∆u) dx = u −v ds,
Ω ∂Ω ∂n ∂n

the Dirichlet and Neumann boundary value problems for the

Laplacian are their own adjoints.

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Adjoint operators - computation

Example
Let Ω ⊂ R2 be bounded with a smooth boundary and let s =
arclength along the boundary. Consider
(
−∆u = f, x ∈ Ω,
∂u ∂u
∂n + ∂s = 0, x ∈ ∂Ω.

Since
    
∂v ∂v ∂u ∂u
Z Z
(u∆v − v∆u) dx = u − −v + ds,
Ω ∂Ω ∂n ∂s ∂n ∂s

the adjoint problem is

(
−∆v = g, x ∈ Ω,
∂v ∂v
∂n − ∂s = 0, x ∈ ∂Ω.
Duality, Adjoints, Green’s Functions – p. 107/304
Green’s functions

For simplicity, we consider

(
Lu = f, x ∈ Ω,
suitable b.c. and i.v., x ∈ ∂Ω,

where L is a linear differential operator.

We specify the correct boundary and/or initial conditions so

there is a unique solution.

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Green’s functions

Definition
The Green’s function satisfies
(
L∗ φ(y, x) = δy (x), x ∈ Ω,
adjoint b.c. and i.v., x ∈ ∂Ω,

where L∗ is the formal adjoint of L.

We are solving the extended system,



Lu = f, x ∈ Ω,

suitable b.c. and i.v., x ∈ ∂Ω,

L∗ φ(y, x) = δy (x), x ∈ Ω,

adjoint b.c. and i.v., x ∈ ∂Ω.


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Green’s functions

Based on the bilinear identity, we obtain a representation

formula for the value of the solution of the original problem at a
point y ∈ Ω,

u(y) = (u, δy ) = (y, L∗ φ) = (Lu, φ) = (f, φ).

The imposition of the adjoint boundary conditions is key here.

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Green’s functions

Example
For (
−∆u = f, x ∈ Ω,
u = 0, x ∈ ∂Ω,

φ solves
(
−∆φ(y; x) = δy (x), x ∈ Ω,
φ(y; x) = 0, x ∈ ∂Ω,

and the bilinear identity reads

Z
u(y) = f (x)φ(y; x) dx.
Ω

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Green’s functions

Duality, Adjoints, Green’s Functions – p. 112/304

Green’s functions

Example
For 
ut − ∆u = f,
 x ∈ Ω, 0 < t ≤ T,
u(t, x) = 0, x∂Ω, 0 < t ≤ T,

u(0, x) = 0, x ∈ Ω,


φ solves

−φt − ∆φ = δ(s,y) (t, x),
 x ∈ Ω, T > t ≥ 0,
φ(t, x) = 0, x∂Ω, T > t ≥ 0,

φ(T, x) = 0, x ∈ Ω,


and the bilinear identity reads

Z T Z
u(s, y) = f (t, x)φ(s, y; t, x) dxdt.
0 Ω
Duality, Adjoints, Green’s Functions – p. 113/304
Green’s functions

Motivations:
• The Green’s function is defined without reference to the
particular data f that determines a particular solution. The
Green’s function depends on the operator and its properties.
• The Green’s function generally has special properties
arising from the properties of the delta function, such as
localized support and symmetry.
• The Green’s function gives a “low-dimensional” snapshot of
the solution.

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Green’s functions

Example
The Green’s function for the Dirichlet problem for the Laplacian
L = −∆ on the ball Ω of radius r centered at the origin in R3 is
−1
(
−1 −1 r2 y
1 |y − x| − r|y| |y|2 − x , y 6= 0,
φ(y; x) = ×
4π |x|−1 − r−1 , y = 0,

where |x| denotes the Euclidean norm of x

The formula for the disk of radius r is

 
r2 y

 |y| |y|2
−x
1  ln r|y−x| , y=6 0,
φ(y; x) = ×
2π  ln r ,


|x| y = 0.

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Green’s functions

Important issues: Existence, uniqueness, and smoothness of

the Green’s function.

Generally, everything goes as for the original problem except

that the Green’s function may not be very smooth or may even
be undefined at a point.

The point of evaluation y must lie inside the domain Ω. The

Green’s function often behaves badly in the limit of y
approaching the boundary.

By the way, the theory also extends to over-determined

problems.

However, if the original problem is under-determined, this

approach fails.

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Green’s functions

Many expositions of the Green’s function avoid the adjoint.

When the original problem has a unique solution and the original
operator is the adjoint to the adjoint operator, the Green’s
function φ for the original problem and the Green’s function for
the adjoint problem φ∗ are related via

φ(y; x) = φ∗ (x; y).

This is known as the reciprocity theorem.

This makes it possible to introduce Green’s functions for some

kinds of problems without talking about the adjoint.

This depends on the dual space of the dual space of the original
space being identifiable with the original space.

Duality, Adjoints, Green’s Functions – p. 117/304

Green’s functions

Including nonhomogeneous conditions is really a minor issue

that usually “solves itself” without trouble.

We carry out the analysis using the Green’s function for the
homogeneous problem and some additional integrals involving
data and the Green’s function will appear.

Duality, Adjoints, Green’s Functions – p. 118/304

Green’s functions

Example
Suppose the problem is
(
−∆u = f, x ∈ Ω,
u = g, x ∈ ∂Ω.

We define the Green’s function as for the homogeneous

problem, i.e.,
(
−∆φ(y; x) = δy (x), x ∈ Ω,
φ(y; x) = 0, x ∈ ∂Ω.

Duality, Adjoints, Green’s Functions – p. 119/304

Green’s functions

Evaluating the bilinear identity yields

Z  
∂φ ∂u ∂φ
Z Z
(u∆φ − φ∆u) dx = u −φ ds = u ds.
Ω ∂Ω ∂n ∂n ∂Ω ∂n

This yields

∂φ(y; s)
Z Z
u(y) = f (x)φ(y; x) dx − g(s) ds.
Ω ∂Ω ∂n

Duality, Adjoints, Green’s Functions – p. 120/304

Green’s functions

Different representations are possible.

Example
For (
−∆u = f, x ∈ Ω,
u = 0, x ∈ ∂Ω,

We can define the Green’s function as the solution of

(
−∆φ(y; x) = 0, x ∈ Ω,
φ(y; x) = δy (x), x ∈ ∂Ω.

Duality, Adjoints, Green’s Functions – p. 121/304

Green’s functions

Evaluating the bilinear identity yields

 
∂φ ∂u
Z Z
(u∆φ − φ∆u) dx = u −φ ds
Ω ∂Ω ∂n ∂n
∂u ∂u ∂u
Z Z
=− φ ds = − δy ds = − (y).
∂Ω ∂n ∂Ω ∂n ∂n

This gives the value of the normal derivative of u at a point y on

the boundary,

∂u
Z
(y) = − φ(y; x)f (x) dx.
∂n Ω

Duality, Adjoints, Green’s Functions – p. 122/304

Green’s functions

Duality, Adjoints, Green’s Functions – p. 123/304

A Posteriori Error Analysis and Adaptive Error Control

Duality, Adjoints, Green’s Functions – p. 124/304

A generalization of the Green’s function

The Green’s function yields

u(y) = (u, δy ) = (φ(y; x), f (x)).

The value of a function at a point is an example of a linear

functional.

There are frequently other quantities of interest that can be

expressed as functionals.

The Riesz Representation theorem suggests these functionals

have the form (u, ψ) for a suitable distribution ψ .

Duality, Adjoints, Green’s Functions – p. 125/304

A generalization of the Green’s function

Some useful choices of ψ include:

• We can construct ψ = δc to get the average value
H
c e(s) ds
of the error over a curve c in Rn , n = 2, 3, and ψ = δs to get
the average value of the error over a plane surface s in R3 .

Duality, Adjoints, Green’s Functions – p. 126/304

A generalization of the Green’s function

This choice requires a certain smoothness, which is given by

Theorem
Sobolev If s > k + n/2, then there is a constant C such that for
f ∈ H s (Rn ),
max sup |Dα (x)| ≤ Ckf ks .
|α|≤k x∈Rn

This implies that the derivatives of f of order k and less are

continuous.

The Sobolev theorem shows that if k ≤ n and s > k/2,

restricting a function in H s to a submanifold of (co)dimension k
is well-defined.

Duality, Adjoints, Green’s Functions – p. 127/304

A generalization of the Green’s function

Some useful choices of ψ include:

• We can construct ψ = δc to get the average value
H
c e(s) ds
of the error over a curve c in Rn , n = 2, 3, and ψ = δs to get
the average value of the error over a plane surface s in R3 .
• We can obtain errors in derivatives using dipoles in a similar
way.
• ψ = χω /|ω| gives the error in the average value over a
subset ω ⊂ Ω, where χω is the characteristic function of ω .
• Choosing ψ to be the residual of the finite element
approximation sometimes yields the energy norm of the
error.
• ψ = χω e/kekω , where e is the error of the finite element
discretization, gives the L2 (ω) norm of the error.
Only some of these data ψ have spatially local support.
Duality, Adjoints, Green’s Functions – p. 128/304
A generalization of the Green’s function

We consider
(
Lu = f, x ∈ Ω,
suitable b.c. and i.v., x ∈ ∂Ω,

where L is a linear differential operator.

The boundary and/or initial conditions should insure there is a

unique solution.

Duality, Adjoints, Green’s Functions – p. 129/304

A generalization of the Green’s function

Definition
The generalized Green’s function corresponding to the
quantity of interest (u, ψ) satisfies
(
L∗ φ(y, x) = ψ(x), x ∈ Ω,
adjoint b.c. and i.v., x ∈ ∂Ω,

where L∗ is the formal adjoint of L.

Duality, Adjoints, Green’s Functions – p. 130/304

Discretization by the finite element method

We concentrate on
(
Lu = f, x ∈ Ω,
u = 0, x ∈ ∂Ω,

where

L(D, x)u = −∇ · a(x)∇u + b(x) · ∇u + c(x)u(x),

with u : Rn → R, a is a n × n matrix function of x, b is a n-vector

function of x, and c is a function of x.

Duality, Adjoints, Green’s Functions – p. 131/304

Discretization by the finite element method

We assume
• Ω ⊂ Rn , n = 2, 3, is a smooth or polygonal domain
• a = (aij ), where ai,j are continuous in Ω for 1 ≤ i, j ≤ n and
there is a a0 > 0 such that v > av ≥ a0 for all v ∈ Rn \ {0} and
x∈Ω
• b = (bi ) where bi is continuous in Ω
• c and f are continuous in Ω

Duality, Adjoints, Green’s Functions – p. 132/304

Discretization by the finite element method

The associated variational formulation reads

Find u ∈ H01 (Ω) such that

A(u, v) = (a∇u, ∇v)+(b·∇u, v)+(cu, v) = (f, v) for all v ∈ H01 (Ω).

Duality, Adjoints, Green’s Functions – p. 133/304

Discretization by the finite element method

We construct a piecewise polygonal approximation of ∂Ω whose

nodes lie on ∂Ω and which is contained inside Ω.

This forms the boundary of a convex polygonal domain Ωh .

Th denotes a simplex triangulation of Ωh that is locally

quasi-uniform.

hK denotes the length of the longest edge of K ∈ Th and h is

the mesh function with h(x) = hK for x ∈ K .

We also use h to denote maxK hK .

Duality, Adjoints, Green’s Functions – p. 134/304

Discretization by the finite element method

Th

hK
K

U=0

Discretization of a domain Ω with curved boundaries.

Duality, Adjoints, Green’s Functions – p. 135/304

Discretization by the finite element method

Vh denotes the space of functions that are

• continuous on Ω
• piecewise linear on Ωh with respect to Th
• zero on the boundary ∂Ωh and Ω \ Ωh

Vh ⊂ H01 (Ω), and for smooth functions, the error of interpolation

into Vh is O(h2 ) in k k

Definition
The finite element method is:

Compute U ∈ Vh such that A(U, v) = (f, v) for all v ∈ Vh .

Duality, Adjoints, Green’s Functions – p. 136/304

An a posteriori analysis for an algebraic equation

Estimate the error e = x − X of a numerical solution X of

Ax = b

where b, x ∈ Rn and A is a n × n matrix.

The computable residual error of X is

R = AX − b

Goal: Find a relation between the residual and the error.

The residual can be small even if the error is large.

Duality, Adjoints, Green’s Functions – p. 137/304

An a posteriori analysis for an algebraic equation

Since the residual error of the true solution is zero

Ae = −R.

To obtain an estimate on a quantity of interest, we introduce the

generalized Green’s vector solving the adjoint problem

A> φ = ψ,

where ψ is any unit vector.

This gives an a posteriori estimate

|(e, ψ)| = |(e, A> φ)| = |(Ae, φ)| = |(R, φ)|.

Duality, Adjoints, Green’s Functions – p. 138/304

An a posteriori analysis for an algebraic equation

A posteriori error bound

|(e, ψ)| ≤ kφk kRk.

Definition
kφk is called the stability factor

 
e kRk
,ψ ≤ cond ψ (A) ,
kx k kbk
where the “weak” condition number is

cond ψ (A) = kφk kAk = kA−> ψk kAk

Duality, Adjoints, Green’s Functions – p. 139/304

An a posteriori analysis for a finite element method

Goal: Estimate the error in a quantity of interest computed from

the finite element solution U .

We use a generalized Green’s function φ solving the adjoint

problem corresponding to a special choice of data ψ .

The error in the desired information may not have much to do

with the error in some global norm.

It may be computationally infeasible as well as very

inefficient to attempt to control the error in a global
norm when all that is desired is accuracy in some
quantities of interest.

Duality, Adjoints, Green’s Functions – p. 140/304

An a posteriori analysis for a finite element method

We assume that the information can be represented as (u, ψ).

Definition
The generalized Green’s function φ solves the weak adjoint
problem : Find φ ∈ H01 (Ω) such that

A∗ (v, φ) = (∇v, a∇φ)−(v, div (bφ))+(v, cφ) = (v, ψ) for all v ∈ H01 (Ω),

corresponding to the adjoint problem L∗ (D, x)φ = ψ .

Duality, Adjoints, Green’s Functions – p. 141/304

An a posteriori analysis for a finite element method

(e, ψ) = (∇e, a∇φ) − (e, div (bφ)) + (e, cφ)

= (a∇e, ∇φ) + (b · ∇e, φ) + (ce, φ)
= (a∇u, ∇φ) + (b · ∇u, φ) + (cu, φ)
− (a∇U, ∇φ) − (b · ∇U, φ) − (cU, φ)
= (f, φ) − (a∇U, ∇φ) − (b · ∇U, φ) − (cU, φ).

Duality, Adjoints, Green’s Functions – p. 142/304

An a posteriori analysis for a finite element method

Definition
πh φ denotes an approximation of φ in Vh

Theorem
The error in the quantity of interest computed from the finite
element solution satisfies the error representation,

(e, ψ) = (f, φ−πh φ)−(a∇U, ∇(φ−πh φ))−(b·∇U, φ−πh φ)−(cU, φ−πh φ),

where φ is the generalized Green’s function corresponding to

data ψ .

Duality, Adjoints, Green’s Functions – p. 143/304

An a posteriori analysis for a finite element method

We use the error representation by approximating φ using a

relatively high order finite element method.

Good results are obtained using the space Vh2

Definition
The approximate generalized Green’s function satisfies:
Compute Φ ∈ Vh2 such that

A∗ (v, Φ) = (∇v, a∇Φ)−(v, div (bΦ))+(v, cΦ) = (v, ψ) for all v ∈ Vh2 .

The approximate error representation is

(e, ψ) ≈ (f, Φ − πh Φ) − (a∇U, ∇(Φ − πh Φ))

− (b · ∇U, Φ − πh Φ) − (cU, Φ − πh Φ).

Duality, Adjoints, Green’s Functions – p. 144/304

An a posteriori analysis for a finite element method

Examples are computed using FETkLab.

• Runs under MATLAB
• Solves general nonlinear elliptic systems on general
domains in two space dimensions
• Implements the a posteriori error estimate for 16
simultaneous adjoint data ψi
• Uses bisection or red-green quadrisection to refine
elements
• Only those elements whose element indicators are larger
than the mean plus one standard deviation of all of the
element indicators in that level are refined.

Duality, Adjoints, Green’s Functions – p. 145/304

An a posteriori analysis for a finite element method

Example
An elliptic problem on the unit square Ω = (0, 1) × (0, 1)
(
−∆u = 200 sin(10πx) sin(10πy), (x, y) ∈ Ω,
u(x, y) = 0, (x, y) ∈ ∂Ω

The solution is highly oscillatory

u(x, y) = sin(10πx) sin(10πy).

Duality, Adjoints, Green’s Functions – p. 146/304

An a posteriori analysis for a finite element method

u0

-1

x
y

Highly oscillatory solution.

Duality, Adjoints, Green’s Functions – p. 147/304

An a posteriori analysis for a finite element method

We estimate the error in the average value by choosing ψ ≡ 1.

The generalized Green’s function is approximated on the same

mesh using a piecewise quadratic finite element function.

We plot the ratios error/estimate for a wide variety of meshes.

Duality, Adjoints, Green’s Functions – p. 148/304

An a posteriori analysis for a finite element method

1.2 3

error/estimate
error/estimate

0.8 2

0.4 1

0.0 0
102 103 104 0.0 0.1 1.0 10.0 100.0
Number of elements percent error

Plots of the error/estimate ratio.

Duality, Adjoints, Green’s Functions – p. 149/304

Adaptive error control

Goal of adaptive error control: Generate a mesh with a relatively

small number of elements such that for a given tolerance TOL
and data ψ ,
|(e, ψ)| ≤ TOL.
This cannot be verified in practice.

Duality, Adjoints, Green’s Functions – p. 150/304

Adaptive error control

Rewrite the error representation elementwise:

X Z

(e, ψ) ≈ (f −b·∇U −cU )(Φ−πh Φ)−a∇U ·∇(Φ−πh Φ) dx.
K∈Th K

Definition
The mesh acceptance criterion is

X Z

(f − b · ∇U − cU )(Φ − πh Φ) − a∇U · ∇(Φ − πh Φ) dx ≤ TOL
K∈Th K

If this is satisfied, then the numerical solution is deemed

acceptable.

Duality, Adjoints, Green’s Functions – p. 151/304

Adaptive error control

When the mesh criterion is not satisfied, we have to “enrich” the

discretization.

The cancellation among the contributions from each element

make the enrichment decision problematic.

There is currently no theory or practical method for

accommodating cancellation of errors in an adaptive
error control in a way that achieves true optimality of
efficiency.

Duality, Adjoints, Green’s Functions – p. 152/304

Adaptive error control

A standard approach is to formulate the discretization selection

problem as an optimization problem.

This requires an estimate consisting of a sum over elements of

positive quantities.

Inserting norms gives

X Z
|(e, ψ)| ≤ (f −b·∇U −cU )(Φ−πh Φ)−a∇U ·∇(Φ−πh Φ) dx.
K∈Th K

If the acceptance criterion fails, the mesh is refined to achieve

X Z
(f −b·∇U −cU )(Φ−πh Φ)−a∇U ·∇(Φ−πh Φ) dx ≤ TOL.
K∈Th K

Duality, Adjoints, Green’s Functions – p. 153/304

Adaptive error control

The calculus of variations yields

“Principle of Equidistribution” The element contributions on
a nearly optimal mesh are roughly equal across the elements.

Definition
Two element acceptance criteria for the element indicators
are
TOL
max (f − b · ∇U − cU )(Φ − πh Φ) − a∇U · ∇(Φ − πh Φ) . ,
K |Ω|
or
Z
TOL
(f − b · ∇U − cU )(Φ − πh Φ) − a∇U · ∇(Φ − πh Φ) dx . ,
K M

where M is the number of elements in Th .

Duality, Adjoints, Green’s Functions – p. 154/304

Adaptive error control

Computing a mesh using these criteria is usually performed by a

“compute-estimate-mark-refine” adaptive strategy.

We start with a coarse mesh then successively refine some

fraction of the elements on which the element acceptance
criterion fails.

Duality, Adjoints, Green’s Functions – p. 155/304

Adaptive error control

Example


 −∆u =
4800
 2 2

−400((x−.5)2 +(y−.5)2 )

π 1 − 400((x − .5) + (y − .5) ) e ,

 (x, y) ∈ Ω,

u(x, y) = 0, (x, y) ∈ ∂Ω,


f is an approximation of a delta function at (.5, .5).

We control the error in the average value using a tolerance of

.05%.

Duality, Adjoints, Green’s Functions – p. 156/304

Adaptive error control

350 0.08

0 0

Solution Generalized Green’s Function

-10

-20

-30
Mesh Element Contributions

Results for the initial mesh.

Duality, Adjoints, Green’s Functions – p. 157/304
Adaptive error control

140 0.08

0 0

Solution Generalized Green’s Function

-10

-20

-30
Mesh Element Contributions

Results after 10 iterations.

Duality, Adjoints, Green’s Functions – p. 158/304
Adaptive error control

1.10

1.05

error/estimate 1.00

0.95

0.90
0 50 100 150 200
percent error

The error/estimate ratio.

Duality, Adjoints, Green’s Functions – p. 159/304

Further analysis on the a posteriori error estimate

We derive a more common form of the estimate for the simple

problem with L(u) = −∆u.

The error representation formula is

Z Z
(e, ψ) = f (φ − πh φ) dx − ∇U · ∇(φ − πh φ) dx.
Ω Ω

We break up the second integral on the right as

Z X Z
∇U · ∇(φ − πh φ) dx = ∇U · ∇(φ − πh φ) dx.
Ω K∈Th K

Duality, Adjoints, Green’s Functions – p. 160/304

Further analysis on the a posteriori error estimate

Using Green’s formula,

Z Z
∇U · ∇(φ − πh φ) dx = − ∆U (φ − πh φ) dx
K K
Z
+ ∇U · n∂K (φ − πh φ) ds,
∂K

where the last term is a line integral and n∂K denotes the
outward normal to ∂K .

Summing over all of the elements, the boundary integrals give

two contributions from each element edge, computed in
opposite directions.

Duality, Adjoints, Green’s Functions – p. 161/304

Further analysis on the a posteriori error estimate

If K1 , K2 ∈ Th share a common edge σ1 ⊂ ∂K1 = σ2 ⊂ ∂K2 ,

then
Z Z
∇U |K1 · nσ1 (φ − πh φ) ds + ∇U |K2 · nσ2 (φ − πh φ) ds
σ1 σ2
Z
= ∇U |K1 · nσ1 (φ − πh φ) ds
σ1
Z
− ∇U |K2 · nσ1 (φ − πh φ) ds
σ1
Z
=− [∇U ] · nσ1 (φ − πh φ) ds,
σ1

where [U ] = ∇U |K2 − ∇U |K1 denotes the “jump” in ∇U across

σ1 in the direction of the normal n∂K1 .

Duality, Adjoints, Green’s Functions – p. 162/304

Further analysis on the a posteriori error estimate

An alternate error representation,:

X Z
(e, ψ) = − (∆U + f )(φ − πh φ) dx
K∈Th K

1
Z
− [∇U ] · n∂K (φ − πh φ) ds .
2 ∂K

Duality, Adjoints, Green’s Functions – p. 163/304

Further analysis on the a posteriori error estimate

Definition
The residual and corresponding adjoint or dual weights are
! !
k∆U + f kK kφ − πh φkK
RK = −1/2
, WK = 1/2
.
kh [∇U ]k∂K /2 kh (φ − πh φ)k∂K

Theorem
The error of the finite element approximation is bounded by
X
|(e, ψ)| ≤ RK · WK .
K∈Th

Duality, Adjoints, Green’s Functions – p. 164/304

Further analysis on the a posteriori error estimate

We derive a priori bounds on the residual and dual weights.

There is a constant C independent of the mesh such that

RK ≤ C|K|1/2 ,

where |K| denote the area of K ∈ Th .

The bound on the first component follows from

k∆U + f kK = kf kK ≤ maxΩ |f | × |K|1/2 .

Duality, Adjoints, Green’s Functions – p. 165/304

Further analysis on the a posteriori error estimate

For the second component, consider an integral over the

common edge σ between two elements K1 and K2 ,

k[∇U ]kσ = k∇U |K2 −∇U |K1 kσ ≤ k∇U |K2 −∇u|σ kσ +k∇u|σ −∇U |K1 kσ .

By a trace inequality, the standard energy norm convergence

result, and a standard elliptic regularity result,
1/2 1/2
k∇U |Ki − ∇u|σ kσ ≤ k∇U − ∇ukKi k∇U − ∇uk1,Ki
1/2 1/2
≤ Ckhuk2,Ki kuk2,Ki
≤ Ckh1/2 f kKi ,

for i = 1, 2. The local quasi-uniformity of the mesh implies

1 −1/2
kh [∇U ]k∂K ≤ C max |f | × |K|1/2 .
2 Ω
Duality, Adjoints, Green’s Functions – p. 166/304
Further analysis on the a posteriori error estimate

Clearly, the convergence of the Galerkin approximation is

strongly influenced by the dual weights φ − πh φ, i.e. by the
approximation properties of Vh and the smoothness of φ.

This reflects the importance of the cancellation of errors inherent

to the Galerkin method.

Duality, Adjoints, Green’s Functions – p. 167/304

The Effective Domain of Influence and Solution
Decomposition

Duality, Adjoints, Green’s Functions – p. 168/304

The Effective Domain of Influence

A characteristic property of elliptic partial differential equations is

a global domain of influence.

A local perturbation of data near one point affects the solution

throughout the domain of the problem.

Elliptic problems also have the property that the strength of the
effect of a localized perturbation on a solution decays
significantly with the distance from the support of the
perturbation, at least in some directions.

It turns out that this property also has profound consequences

for the numerical solution of elliptic problems.

Duality, Adjoints, Green’s Functions – p. 169/304

The Effective Domain of Influence

Example
Consider the Green’s function for the Dirichlet problem for the
Laplacian −∆u = f on the ball Ω of radius r centered at the
origin in R3 .

If the data f is perturbed by a smooth function δf , the

perturbation in the value of the solution δu(y) is given by
Z
δu(y) = φ(y; x)δf (x) dx, y ∈ Ω.
Ω

Duality, Adjoints, Green’s Functions – p. 170/304

The Effective Domain of Influence

If δf has compact support supp(δf ) ⊂ Ω,

r2 y
|y − x| ≤ 2
−x , x ∈ supp(δf ), y ∈ Ω \ supp(δf ).
|y|

We conclude that
r


max |δf | × volume of supp(δf ) × 1 + |y|
|δu(y)| ≤ .
4π × the distance from y to supp(δf )

Duality, Adjoints, Green’s Functions – p. 171/304

Poisson’s equation in a disk

Ω denotes the disk of radius r centered at the origin in R2

Consider the Dirichlet problem for the Laplacian L = −∆u = f .

Suppose that ω is a small region contained in Ω located well

away from ∂Ω.

We wish to estimate the error e = u − U in the energy norm

kek1,ω in ω .

Duality, Adjoints, Green’s Functions – p. 172/304

Poisson’s equation in a disk

Duality, Adjoints, Green’s Functions – p. 173/304

Poisson’s equation in a disk

We evaluate the norm weakly

kek1,ω = sup (e, ψ).

ψ∈H −1 (ω)
kψk−1,ω =1

The supremum is achieved for some ψ ∈ H −1 (ω).

We extend ψ to H −1 (Ω) by setting it to zero in Ω \ ω .

To discuss orders of convergence, we use the a posteriori

bound.

Duality, Adjoints, Green’s Functions – p. 174/304

Poisson’s equation in a disk

G(x; y) denotes the Green’s function for the Laplacian on Ω, so

Z Z
φ(x) = G(x; y)ψ(y) dy = G(x; y)ψ(y) dy.
Ω ω

Recall,  
r2 x

1 ln |x|
 −y
|x|2
, x 6= 0,
G(x; y) = × r|x−y|
2π  ln r


|y| , x = 0.

Duality, Adjoints, Green’s Functions – p. 175/304

Poisson’s equation in a disk

Case 1: For y ∈ ω , G(x; y) is a smooth function of x for x ∈ Ω \ ω

and so is φ.

We assume that δ > 0 satisfies

• It is small enough that ωδ = {x ∈ Ω : dist (x, ω) ≤ δ} is
contained in Ω
• It is large enough that for K ⊂ Ω \ ωδ , the union N (K) of K
and the elements bordering K does not intersect ω

Duality, Adjoints, Green’s Functions – p. 176/304

Poisson’s equation in a disk

∂Ω

∂ωδ
∂ω

For K ⊂ Ω \ ωδ , we let πh be the Lagrange nodal interpolant with

respect to Th , so that
X
kφ − πh φkK ≤ C kh2 Dα φkK .
|α|=2

Duality, Adjoints, Green’s Functions – p. 177/304

Poisson’s equation in a disk

Case 2: φ is not so smooth in ω .

For K ∩ ωδ 6= ∅, πh is the Scott-Zhang interpolant, for which

kφ − πh φkK ≤ C|hφ|1,N (K) ,

for a mesh-independent constant C .

Duality, Adjoints, Green’s Functions – p. 178/304

Poisson’s equation in a disk

The second component of WK is bounded similarly after using a

trace theorem,
1/2 1/2
kh1/2 (φ − πh φ)k∂K ≤ kφ − πh φkN (K) kh(φ − πh φ)k1,N (K) ,

and the local quasi-uniformity of the mesh.

Duality, Adjoints, Green’s Functions – p. 179/304

Poisson’s equation in a disk

We conclude,
Theorem
For any δ > 0 small enough that ωδ ⊂ Ω but large enough that
N (K) ∩ ω = ∅ for K ⊂ Ω \ ωδ , there is a constant C such that
X X X
2 α 1/2
kek1,ω ≤ Ckh D φkK |K| + C|hφ|1,N (K) |K|1/2 .
K⊂Ω\ωδ |α|=2 K∩ωδ 6=∅

Duality, Adjoints, Green’s Functions – p. 180/304

Poisson’s equation in a disk

We estimate the quantities in the a posteriori bound.

To handle the first sum, we use

Z Z 2
kDxα φk2K = Dxα G(x, y)ψ(y) dy dx
K ω
Z
≤ kDxα G(x, ·)k21,ω kψk2−1,ω dx
K
XZ Z Z Z
= |Dxα Dyβ G(x, y)|2 dydx + |Dxα G(x, y)|2 dydx.
|β|=1 K ω K ω

Duality, Adjoints, Green’s Functions – p. 181/304

Poisson’s equation in a disk

There is a constant C such that

C
|Dxα Dyβ G(x, y)| ≤ 2
, x 6= y ∈ Ω, |α| = 2, |β| ≤ 1.
|x − y|

We conclude there is a constant C independent of the mesh

such that for K ⊂ Ω \ ωδ ,

Ch2K 1/2
kφ − πh φkK ≤ 2
|K| .
dist (K, ω)

Duality, Adjoints, Green’s Functions – p. 182/304

Poisson’s equation in a disk

To handle the second sum on the right, we use the basic stability
estimate,
kφk1,Ω ≤ kψk−1,Ω = kψk−1,ω = 1.
If we assume a uniform (small) size hK = h for elements such
that K ∩ ωδ 6= ∅, we obtain
X C X
ChK |φ|1,N (K) ≤ Chkφk1,Ω = Ch ≤ h|K|.
|ωδ |
K∩ωδ 6=∅ K∩ωδ 6=∅

Duality, Adjoints, Green’s Functions – p. 183/304

Poisson’s equation in a disk

We conclude
Theorem
For any δ > 0 small enough that ωδ ⊂ Ω but large enough that
N (K) ∩ ω = ∅ for K ⊂ Ω \ ωδ , there is a constant C such that

X Ch2K X
kek1,ω ≤ 2
|K| + Ch|K|.
dist (K, ω)
K⊂Ω\ωδ K∩ωδ 6=∅

Duality, Adjoints, Green’s Functions – p. 184/304

Poisson’s equation in a disk

We apply the “Principle of Equidistribution”

The element indicators are Ch2K /dist (K, ω)2 respectively Ch,
and in an optimal mesh,

h2K
2
≈h or hK ≈ h1/2 × dist (K, ω), K ⊂ Ω \ ωδ .
dist (K, ω)

Duality, Adjoints, Green’s Functions – p. 185/304

Poisson’s equation in a disk

The decay of influence inherent to the Laplacian on the disk

means that away from the region ω where we estimate the norm,
we can choose elements asymptotically larger than the element
size used in ωδ .

Moreover, the elements can increase in size as the distance to

ωδ increases

ωδ is an the effective domain of influence for the error in the

energy norm in ω .

Duality, Adjoints, Green’s Functions – p. 186/304

Poisson’s equation in a disk

Definition
An effective domain of influence corresponding to the data ψ
is the region ωψ in which the corresponding elements must be
significantly smaller in size than the elements used in the
complement Ω \ ωψ in order to satisfy the adaptive goal.

Equivalently, if Th comprises uniformly sized elements, then the

effective domain of influence comprises those elements on
which the element indicators, are substantially larger than those
in the complement.

Duality, Adjoints, Green’s Functions – p. 187/304

A decomposition of the solution

Often, the goal of solving a differential equation is to compute

several pieces of information.

The problem of computing multiple quantities of interest also

arises naturally when the data ψ for the adjoint problem does not
have spatially localized support (averages and norms).

We cannot expect a significant localization effect from the decay

of influence when the support of the data for the adjoint problem
is not spatially localized.

If the data ψ has the property that the adjoint weight φ − πh φ has
a more-or-less uniform size throughout Ω, then the degree of
non-uniformity in an adapted mesh depends largely on the
spatial variation of the residual.

Duality, Adjoints, Green’s Functions – p. 188/304

A decomposition of the solution

We use a partition of unity to “localize” a problem in which

supp (ψ) does not have local support.

Definition
Suppose that {Ωi }N i=1 is a finite open cover of Ω. A Lipschitz
partition of unity subordinate to {Ωi } is a collection of functions
{pi }N
i=1 with the properties

N
X
supp (pi ) ⊂ Ωi , 1 ≤ i ≤ N, pi (x) = 1, x ∈ Ω,
i=1
pi is continuous on Ω and differentiable on Ωi , 1 ≤ i ≤ N,
kpi kL∞ (Ω) ≤ C and k∇pi kL∞ (Ωi ) ≤ C/diam (Ωi ), 1 ≤ i ≤ N,

where C is a constant and diam (Ωi ) is the diameter of Ωi .

Duality, Adjoints, Green’s Functions – p. 189/304

A decomposition of the solution
PN
Corresponding to a partition of unity {pi }, ψ ≡ i=1 ψpi ,

Definition
The quantities {(U, ψpi )} corresponding to the data {ψi = ψpi }
are called the localized information corresponding to the
partition of unity.

We consider the problem of estimating the error in the localized

information for 1 ≤ i ≤ N .

Duality, Adjoints, Green’s Functions – p. 190/304

A decomposition of the solution

We obtain a finite element solution via:

Compute Ûi ∈ V̂i such that A(Ûi , v) = (f, v) for all v ∈ V̂i ,

where V̂i is a space of continuous, piecewise linear functions on

a locally quasi-uniform simplex triangulation Ti of Ω obtained by
local refinement of an initial coarse triangulation T0 of Ω.

{V̂i } is globally defined and the “localized” problem is solved

over the entire domain

We hope that this will require a locally refined mesh because the
corresponding data has localized support.

Duality, Adjoints, Green’s Functions – p. 191/304

A decomposition of the solution

A partition of unity approximation in the sense of Babuška and

Melenk uses Ui = χi Ûi , 1 ≤ i ≤ N , where χi is the characteristic
function of Ωi .

The local approximation Ui is in the local finite element space

Vi = χi V̂i .

Definition
The partition of unity approximation is defined by
PN
Up = i=1 Ui pi , which is in the partition of unity finite element
space
N
(N )
X X
Vp = Vi p i = vi pi : vi ∈ Vi .
i=1 i=1

Duality, Adjoints, Green’s Functions – p. 192/304

A decomposition of the solution

The partition of unity approximation recovers the full

convergence properties of an approximation of the original
solution.

Note
N
X N
X N
X
Up = Ui pi = χi Ûi pi ≡ Ûi pi .
i=1 i=1 i=1

The values of Ui or Ûi outside of Ωi are immaterial in forming the

global partition of unity approximation.

Duality, Adjoints, Green’s Functions – p. 193/304

A decomposition of the solution

We use the generalized Green’s function satisfying the adjoint

problem:

Find φi ∈ H01 (Ω) such that A∗ (v, φi ) = (v, ψi ) for all v ∈ H01 (Ω).

We expand the global error

N
X

(u − Up , ψ) = (u − Ui )pi , ψ .
i=1

We estimate each summand on the right as

(u − Ui )pi , ψ = (u − Ûi , ψi ) = A∗ (u − Ûi , φi )

= (f, φi ) − (a∇Ûi , ∇φi ) − (b · ∇Ûi , φi ) − (cÛi , φi ).

Duality, Adjoints, Green’s Functions – p. 194/304

A decomposition of the solution

Letting πi φi denote an approximation of φi in V̂i ,

Theorem
The error of the partition of unity finite element solution Up
satisfies the error representation,

N
X
(u − Up , ψ) = (f, φi − πi φi ) − (a∇Ûi , ∇(φi − πi φi ))
i=1


− (b · ∇Ûi , φi − πi φi ) − (cÛi , φi − πi φi ) .

Duality, Adjoints, Green’s Functions – p. 195/304

A decomposition of the solution

Definition
The approximate generalized Green’s functions solve:
Compute Φi ∈ Vi2 such that

A∗ (v, Φi ) = (v, ψi ) for all v ∈ Vi2 , 1 ≤ i ≤ N,

where Vi2 is the space of continuous, piecewise quadratic

functions with respect to Ti .

The approximate error representations are

(u − Ûi , ψi ) ≈ (f, Φi − πi Φi ) − (a∇Ûi , ∇(Φi − πi Φi ))

− (b · ∇Ûi , Φi − πi Φi ) − (cÛi , Φi − πi Φi ).

Duality, Adjoints, Green’s Functions – p. 196/304

A decomposition of the solution

If the localized error satisfies

TOL
u − Ûi , ψi ≤ , 1 ≤ i ≤ N,
N
then |(u − Up , ψ)| ≤ TOL.

This justifies treating the N “localized” problems independently

in terms of mesh refinement.

Duality, Adjoints, Green’s Functions – p. 197/304

Computation of multiple quantities of interest

We present an algorithm for computing multiple quantities of

interest efficiently using knowledge of the effective domains of
influence of the corresponding Green’s functions.

We assume that the information is specified as {(U, ψi )}N

i=1 for a
set of N functions {ψi }N
i=1 .

These data might arise as particular goals or via localization

through a partition of unity.

We assume that the goal is to compute the information

associated to ψi so that the error is smaller than a tolerance
TOLi for 1 ≤ i ≤ N .

Duality, Adjoints, Green’s Functions – p. 198/304

Computation of multiple quantities of interest

Two approaches:
Approach 1: A Global Computation
Find one triangulation such that the corresponding finite
element solution satisfies |(e, ψi )| ≤ TOLi , for 1 ≤ i ≤ N .
Approach 2: A Decomposed Computation
Find N independent triangulations and finite element
solutions Ui so that the errors satisfy |(ei , ψi )| ≤ TOLi , for
1 ≤ i ≤ N.

The Global Computation can be implemented with a

straightforward modification of the standard adaptive strategy in
which the N corresponding mesh acceptance criteria are
checked on each element and if any of the N criteria fail, the
element is marked for refinement.

Duality, Adjoints, Green’s Functions – p. 199/304

Computation of multiple quantities of interest

If the correlation, i.e., overlap, between the effective domains of

influence associated to the N data {ψi } is relatively small and
the effective domains of influence are relatively small subsets of
Ω, then each individual solution in the Decomposed
Computation will require significantly fewer elements than the
solution in the Global Computation to achieve the desired
accuracy.

This can yield significant computational advantage in terms of

lowering the maximum memory requirement to solve the
problem.

Duality, Adjoints, Green’s Functions – p. 200/304

Computation of multiple quantities of interest

Decreasing the maximum memory required to solve a problem

can be significant in at least two situations.
• If the individual solutions in the Decomposed Computation
are computed in parallel and they require significantly fewer
elements than the Global Computation, we can expect to
see significant speedup.
• In an environment with limited memory capabilities,
decomposing a Global Computation requiring a large
number of elements into a set of significantly smaller
computations can greatly increase the accuracy that can be
achieved and/or decrease the time required.

Duality, Adjoints, Green’s Functions – p. 201/304

Computation of multiple quantities of interest

If the effective domains of influence associated to the N data

{ψ} have relatively large intersections, then the individual
solutions in the Decomposed Computation will require roughly
the same number of elements as the solution for the Global
Computation.

In this case, there is little to be gained in using the Decomposed

Computation.

Duality, Adjoints, Green’s Functions – p. 202/304

Computation of multiple quantities of interest

In general, some of the N effective domains of influence

associated to data {ψi } in the Decomposed Computation will
correlate significantly and the rest will have low correlation.

We can optimize the use of resources by combining

computations for data whose associated domains of influence
have significant correlation and treating the rest independently.

Duality, Adjoints, Green’s Functions – p. 203/304

Computation of multiple quantities of interest

Determining the Solution Decomposition

1. Discretize Ω by an initial coarse triangulation T0 and
compute an initial finite element solution U0 .
2. Estimate the error in each quantity (U0 , ψi ) by solving the N
approximate adjoint problems and computing the estimate.
3. Using the element indicators associated to identify the
effective domains of influence for the data {ψi } in terms of
the mesh T0 and significant correlations between the
effective domains of influence.
4. Decide on the number of approximate solutions to be
computed and the subset of information to be computed
from each solution.
5. Compute the approximate solutions independently using
adaptive error control aimed at computing the specified
quantity or quantities of interest accurately.
Duality, Adjoints, Green’s Functions – p. 204/304
Identifying significant correlations

The key issue in the proposed algorithm is identifying the

effective domains of influence and recognizing significant
correlation, or overlap, between different effective domains of
influence.

Mesh refinement decisions are based on the sizes of the

element indicators

Ei |K = max (f − b · ∇Ûi − cÛi )(Φi − πi Φi ) − a∇Ûi · ∇(Φi − πi Φi )

K

or
Z
Ei |K = (f − b · ∇Ûi − cÛi )(Φi − πi Φi ) − a∇Ûi · ∇(Φi − πi Φi ) dx,
K

Duality, Adjoints, Green’s Functions – p. 205/304

Identifying significant correlations

Definition
We let Ei (x) denote the piecewise constant element error
indicator function associated to data ψi with Ei (x) ≡ Ei |K for
K ∈ T0 .

Identifying the effective domain of influence means finding a set

of elements on which the element error indicators are
significantly larger than on the complement.

Identifying significant correlation between the effective domains

of influence of two data entails showing that the effective
domains of influence have a significant number of elements in
common.

Duality, Adjoints, Green’s Functions – p. 206/304

Identifying significant correlations

Pattern matching uses

Definition
The (cross-)correlation of two functions f ∈ Lp (Ω) and
g ∈ Lq (Ω), defined as:
Z
(f ◦ g)(y) = f (x)g(y + x) dx,
Ω

which is an L1 (Ω) function.

The correlation indicator c(f, g) is a functional of the

correlation function (f ◦ g).

We treat the element error indicator functions {Ei } as signal

functions.

Duality, Adjoints, Green’s Functions – p. 207/304

Identifying significant correlations

Discounting translation or rotation, correlation of Ei and Ej

reduces to the L2 -inner-product:
Z
(Ei ◦ Ej )(0) = Ei (x)Ej (x) dx = (Ei , Ej )Ω .
Ω

Definition
The correlation indicator c(Ei , Ej ) is

c(Ei , Ej ) = |(Ei ◦ Ej )(0)| = (Ei , Ej )Ω .

Duality, Adjoints, Green’s Functions – p. 208/304

Identifying significant correlations

Definition
We say that the effective domain of influence associated to ψi is
significantly correlated to the domain of influence associated
to ψj if two conditions hold.

Duality, Adjoints, Green’s Functions – p. 209/304

Identifying significant correlations

Definition
We say that the effective domain of influence associated to ψi is
significantly correlated to the domain of influence associated
to ψj if two conditions hold.

Condition 1
The correlation of Ei and Ej is larger than a fixed fraction of the
norm of Ej , or

c(Ei , Ej )
Correlation Ratio 1 = 2
≥ γ1 ,
kEj k

for some fixed 0 ≤ γ1 ≤ 1.

This means that the projection of Ei onto Ej is sufficiently large.

Duality, Adjoints, Green’s Functions – p. 210/304

Identifying significant correlations

Element Indicator
Element Indicator

Element Indicator
Ei
Ej Ei
Ej
Ei
Ej
Element Element Element

Three examples of significant correlation of Ei with Ej . Plotted

are the element indicator functions Ei (x), Ej (x) versus the
element number.

Duality, Adjoints, Green’s Functions – p. 211/304

Identifying significant correlations

Definition
We say that the effective domain of influence associated to ψi is
significantly correlated to the domain of influence associated
to ψj if two conditions hold.

Condition 2
The component of Ej orthogonal to Ei is smaller than a fixed
fraction of the norm of Ej , or

c(Ej ,Ei )
Ej − kEi k2 Ei
Correlation Ratio 2 = ≤ γ2 ,
kEj k

for some fixed 0 ≤ γ2 ≤ 1.

This corrects for the difficulties that arise when Ei is much larger
than Ej .
Duality, Adjoints, Green’s Functions – p. 212/304
Identifying significant correlations

Element Indicator

Ej
Ei
Element

An example in which the second condition fails.

Duality, Adjoints, Green’s Functions – p. 213/304

Identifying significant correlations

E1 E6
3
E2 E7

E3 E8

E4 E9
2
E5

0
1 9 18 27 36
Element Number

Plots of nine element indicator functions Ei versus the element

number.
Duality, Adjoints, Green’s Functions – p. 214/304
Identifying significant correlations

With γ1 = .9 and γ2 = .7:

E1 with E8 E4 with none E7 with none

E2 with E6 , E7 E5 with E2 , E6 E8 with none
E3 with E1 , E8 E6 with none E9 with none

We emphasize that the initial identification of significant

correlation between effective domains of influence of
various Green’s functions in a computation is carried
out on a coarse initial partition of the domain and hence
is relatively inexpensive.

Duality, Adjoints, Green’s Functions – p. 215/304

Examples

We solve elliptic problems using adaptive mesh refinement to

achieve accuracy in a set of quantities of interest using a Global
Computation and a Decomposed Computation.

The results suggest that the individual solutions in the

Decomposed Computation require significantly fewer elements
to achieve the desired accuracy than the Global Computation in
a variety of situations.

Duality, Adjoints, Green’s Functions – p. 216/304

Examples

As a relatively universal measure of the gain from using the

Decomposed Computation, we use

Definition
The Final Element Ratio is the number of elements in the final
mesh refinement level required to achieve accuracy in the
specified quantities of interest in the Global Computation to the
maximum number of elements in the final mesh refinement
levels for the individual computations in the Decomposed
Computation.

Generally, we expect the gain in efficiency to scale

super-linearly with the Final Element Ratio.

We compute the Final Element Ratio using solutions that are

have roughly the same accuracy.

Duality, Adjoints, Green’s Functions – p. 217/304

Examples

Example 1

We solve
(
1
− 10π 2 ∆u(x) = sin(πx) sin(πy), (x, y) ∈ Ω,
u(x, y) = 0, (x, y) ∈ ∂Ω,

on the Ω = [0, 8] × [0, 8].

The solution is u(x, y) = 5 sin(πx) sin(πy).

Goal: Control the error in the average value of u by choosing

ψ ≡ 1/|Ω| = 1/64.

Duality, Adjoints, Green’s Functions – p. 218/304

Examples

Global Computation: Mesh is adapted the error in the average

value of u is smaller than the error tolerance of 5%.

Initial mesh is 10 × 10 elements and after five refinement levels,

we end up with 3505 elements, achieving an error of .022.

Duality, Adjoints, Green’s Functions – p. 219/304

Examples

Initial Mesh Final Mesh

Initial and final meshes.

Duality, Adjoints, Green’s Functions – p. 220/304

Examples

Numerical solutions.

Duality, Adjoints, Green’s Functions – p. 221/304

Examples

Estimates, errors, and error/estimate ratios:

Level Elements Estimate Error Ratio

1 100 .1567 .1534 .9786
2 211 .1157 .1224 1.058
3 585 .3063 .3078 1.005
4 1309 .1159 .1166 1.006
5 3505 .02163 .02148 .9975

Duality, Adjoints, Green’s Functions – p. 222/304

Examples

6 7 10 11
1 3
5 8 9 12

2 3 14 15
2 4
1 4 13 16

Partitions for the decomposition.

Duality, Adjoints, Green’s Functions – p. 223/304

Examples

The partition of unity yields four data {ψ1 , ψ2 , ψ3 , ψ4 }.

We compute the four localized approximations {Û1 , · · · , Û4 }

using the same initial mesh as before.

The Correlation Ratios indicates that all four localized solutions

should be computed independently.

Duality, Adjoints, Green’s Functions – p. 224/304

Examples

We obtain acceptable results using the tolerance of 5%.

Data Level Elements Estimate

ψ1 3 618 .01242
ψ2 3 575 −.0009109
ψ3 3 618 .01242
ψ4 3 575 −.0009109

This yields a partition of unity solution Up with accuracy .023.

Using the Decomposed Computation yields a Final Element

Ratio of ≈ 5.7.

Duality, Adjoints, Green’s Functions – p. 225/304

Examples

^ Final Mesh for ^

U2
Final Mesh for U1

Two of the final meshes.

Duality, Adjoints, Green’s Functions – p. 226/304

Examples

The generalized Green’s functions for the global average error

and the localized data ψ2 .

Duality, Adjoints, Green’s Functions – p. 227/304

Examples

A Decomposed Computation using a partition of unity on 16

equal-sized regions yields significant correlations:
E2 with E3 E5 with E8 E10 with E9 E13 with E14
E4 with E3 E7 with E8 E12 with E9 E15 with E14

This computation yields a Final Element Ratio of ≈ 2.6

Duality, Adjoints, Green’s Functions – p. 228/304

Examples

Example 2

We solve



 −∇ · (1.1 + sin(πx) sin(πy))∇u(x, y)
= −3 cos2 (πx) + 4 cos2 (πx) cos2 (πx)


 +2.2 sin(πx) sin(πy) + 2 − 3 cos 2 (πy), (x, y) ∈ Ω,


u(x, y) = 0, (x, y) ∈ ∂Ω,


where Ω = [0, 2] × [0, 2].

The exact solution is u(x, y) = sin(πx) sin(πy).

Duality, Adjoints, Green’s Functions – p. 229/304

Examples

We compute the average error using ψ1 ≡ 1/4 and four point

values using ψ2 ≈ δ(.5,.5) , ψ3 ≈ δ(.5,1.5) , ψ4 ≈ δ(1.5,1.5) , and
ψ5 ≈ δ(1.5,.5) .

We use
400 −400((x−cx )2 +(y−cy )2 )
δ̂(cx ,cy ) = e
π
to approximate the delta function δ(cx ,cy ) .

Duality, Adjoints, Green’s Functions – p. 230/304

Examples

Global Computation: We use a tolerance of 2% starting with an

8 × 8 mesh.

ψ1 ψ2
Lev. Elt’s Est. Err. Rat. Est. Err. Rat.
1 64 .035 .035 1.0 .090 .29 3.3
2 201 .0088 .0089 1.0 .042 .082 1.9
3 763 .0027 .0027 1.0 .020 .020 .99
4 2917 .00044 .00044 1.0 .0050 .00504 1.0

Duality, Adjoints, Green’s Functions – p. 231/304

Examples

Global Computation: We use a tolerance of 2% starting with an

8 × 8 mesh.

ψ3
Lev. Elt’s Est. Err. Rat.
1 64 .24 .022 .091
2 201 .0024 .014 6.0
3 763 .0020 .0020 1.0
4 2917 .0049 .00504 1.0

Duality, Adjoints, Green’s Functions – p. 232/304

Examples

Initial Mesh Final Mesh

Initial and final meshes. Final mesh has 2917 elements.

Duality, Adjoints, Green’s Functions – p. 233/304

Examples

Decomposed Computation: Use data {ψ1 , · · · , ψ5 }

independently using tolerances of 2%.

We vary the initial meshes; using 7 × 7 for Û1 ; 9 × 9 for Û2 and
Û4 ; and 12 × 12 for Û3 and Û5 .

Data Level Elements Estimate

ψ1 3 409 −.0004699
ψ2 4 1037 −.007870
ψ3 2 281 −.005571
ψ4 4 1037 −.007870
ψ5 2 281 −.005571
The Final Element Ratio is ≈ 2.8.

Duality, Adjoints, Green’s Functions – p. 234/304

Examples

^ ^
Final Mesh for U ^
Final Mesh for U
Final Mesh for U1 2 3

Final meshes for {Û1 , Û2 , Û3 }.

Duality, Adjoints, Green’s Functions – p. 235/304

Examples

Example 3

We solve
(
−∆u = 16(y − y 2 + x − x2 ) (x, y) ∈ Ω,
u(x, y) = 0, (x, y) ∈ ∂Ω,

where Ω = [0, 1] × [0, 1].

The exact solution is u(x, y) = 8x(1 − x)y(1 − y).

Duality, Adjoints, Green’s Functions – p. 236/304

Examples

We estimate the error in the average value of u.

Since the domain is small and the solution and the generalized
Green’s function are very smooth, the gain from decomposing
the solution is greatly reduced.

Beginning with a 4 × 4 mesh and using a tolerance of 1%, we

obtain a sufficiently accurate solution using a Global
Computation after five refinements.

The final mesh uses 885 elements and produces an error of

.0008699.

Duality, Adjoints, Green’s Functions – p. 237/304

Examples

If we partition the domain using four equal regions there are no

substantial correlations.

Computing the four solutions independently in the Decomposed

Computation yields a Final Element Ratio of around 1.5.

Duality, Adjoints, Green’s Functions – p. 238/304

Examples

If we use sixteen equal regions, there are a number of

substantial correlations.

Correlation Ratio 1 for E1 on E2 = .98,

Correlation Ratio 2 for E1 on E2 = .44,
Correlation Ratio 1 for E2 on E1 = .82,
Correlation Ratio 2 for E2 on E1 = .44.

Duality, Adjoints, Green’s Functions – p. 239/304

Examples

Computing Û1 corresponding to the localized data ψ1 using a

tolerance of 1% requires 367 elements.

Computing Û2 requires a mesh 494 elements.

Combining these two computations by using data equal to the

sum of the two partition functions for the regions Ω1 and Ω2
requires 496 elements.

We gain almost nothing by computing Û1 and Û2 independently

Duality, Adjoints, Green’s Functions – p. 240/304

Examples

Final Mesh for ^

U1 Final Mesh for ^
U2 ^ +U
Final Mesh for "U 1
^ "
2

Final meshes.

Duality, Adjoints, Green’s Functions – p. 241/304

Examples

We consider the error in the average value and the point values
at (.25, .25) and (.5, .5).

We use a partition of unity decomposition for the error in the

average to get data {ψ1 , · · · , ψ4 }. We let ψ5 ≈ δ(.25,.25) and
ψ6 ≈ δ(.5,.5) .

We compare the correlation indicators on initial meshes ranging

from 16 to 144 or 400 uniformly sized elements.

Duality, Adjoints, Green’s Functions – p. 242/304

Examples

1.0 1.0

Corr. Rat. 1: E1 on E2
Corr. Rat. 1: E1 on E3
Corr. Rat. 2: E1 on E2
Corr. Rat. 2: E1 on E3
Corr. Rat. 1: E2 on E1
Corr. Rat. 1: E3 on E1
Corr. Rat. 2: E2 on E1
0.5 0.5 Corr. Rat. 2: E3 on E1

0.0 0.0
0 50 100 150 0 50 100 150
Number of Elements Number of Elements

Correlation Ratios versus number of elements.

Duality, Adjoints, Green’s Functions – p. 243/304

Examples

10 4

Corr. Rat. 1: E1 on E5
Corr. Rat. 2: E1 on E5 Corr. Rat. 1: E1 on E6
Corr. Rat. 1: E5 on E1 Corr. Rat. 2: E1 on E6
5 2
Corr. Rat. 2: E5 on E1 Corr. Rat. 1: E6 on E1
Corr. Rat. 2: E6 on E1

0 0
0 100 200 300 400 0 100 200 300 400
Number of Elements Number of Elements

Correlation Ratios versus number of elements.

Duality, Adjoints, Green’s Functions – p. 244/304

Examples

1.2 3
Corr. Rat. 1: E3 on E5 Corr. Rat. 1: E5 on E3
Corr. Rat. 2: E3 on E5 Corr. Rat. 2: E5 on E3

2
Corr. Rat. 1: E5 on E6
Corr. Rat. 2: E5 on E6
0.6
Corr. Rat. 1: E6 on E5
Corr. Rat. 2: E6 on E5 1

0.0 0
0 50 100 150 0 100 200 300 400
Number of Elements Number of Elements

Correlation Ratios versus number of elements.

Duality, Adjoints, Green’s Functions – p. 245/304

Examples

In general, we find that all Correlation Ratios converge to a limit

as the number of elements increases.

Generally, the second Correlation Ratio varies relatively little as

the mesh density increases for all data.

The first Correlation Ratio between data representing a partition

of unity decomposition also varies relatively little.

The first Correlation Ratio varies quite a bit on coarse meshes

when one of the data is an approximate delta function.

Duality, Adjoints, Green’s Functions – p. 246/304

Examples

The determination that two effective domains of influence are

not closely correlated is relatively robust with respect to the
density of the mesh.

There is a mild tendency to combine computations that are more

efficiently treated independently if the correlation indicators are
computed on very coarse meshes.

Duality, Adjoints, Green’s Functions – p. 247/304

Examples

Example 4
We solve
2 2





 −∇ · .05 + tanh 10(x − 5) + 10(y − 1) ! ∇u

 −100
+ · ∇u = 1, (x, y) ∈ Ω,

 0

u(x, y) = 0, (x, y) ∈ ∂Ω,


where Ω = [0, 10] × [0, 2].

Duality, Adjoints, Green’s Functions – p. 248/304

Examples

Diffusion 1 10

x
2
y 0

Plot of the diffusion coefficient.

Duality, Adjoints, Green’s Functions – p. 249/304

Examples

We use an initial mesh of 80 elements and an error tolerance of

T OL = .04%.

Level Elements Estimate

1 80 −.0005919
2 193 −.001595
3 394 −.0009039
4 828 −.0003820
5 1809 −.0001070
6 3849 −.00004073
7 9380 −.00001715
8 23989 −.000007553

Duality, Adjoints, Green’s Functions – p. 250/304

Examples

Final Mesh.

Duality, Adjoints, Green’s Functions – p. 251/304

Examples

Pe=1000

Pe=.1

Plots of the meshes for the original problem with P e = 1000 and
a problem with P e = .1.

Duality, Adjoints, Green’s Functions – p. 252/304

Examples

11 12 13 14 15 16 17 18 19 20

1 2 3 4 5 6 7 8 9 10

Domains for the partition of unity.

Duality, Adjoints, Green’s Functions – p. 253/304

Examples

Significant Correlations:

E3 with E4 E6 with E7 E7 with E6 E9 with E8 E10 with E8 , E9

E13 with E14 E16 with E17 E17 with E16 E19 with E18 E20 with E18 , E19

Note, there are no significant correlations in the “cross-wind”

direction.

Duality, Adjoints, Green’s Functions – p. 254/304

Examples

Solutions are symmetric across y = 1.

Data TOL Level Elements Estimate

ψ1 .04% 7 7334 −6.927 × 10−7
ψ2 .04% 7 8409 −5.986 × 10−7
ψ3 .04% 7 7839 −5.189 × 10−7
ψ4 .04% 7 7177 −5.306 × 10−7
ψ5 .04% 7 7301 −4.008 × 10−7
ψ6 .02% 7 6613 −2.471 × 10−7
ψ7 .02% 7 4396 −2.938 × 10−7
ψ8 .02% 7 4248 −1.656 × 10−7
ψ9 .02% 7 3506 −1.221 × 10−7
ψ10 .02% 7 1963 −5.550 × 10−8
The Final Element Ratio is ≈ 2.9.
Duality, Adjoints, Green’s Functions – p. 255/304
Examples

^
Final Mesh for U1

^
Final Mesh for U5

Plots of the final meshes for the localized solutions Û1 and Û5 .
Duality, Adjoints, Green’s Functions – p. 256/304
Examples

^
Final Mesh for U9

Plots of the final mesh for the localized solution Û9 .

Duality, Adjoints, Green’s Functions – p. 257/304

Examples

x 10 -4 x 10 -4
6 6

4 4

2 2

0 10 0 10
8 8
2 6 2 6
4 x 4 x
1 2 1 2
y y
0 0 0 0

Plots of the generalized Green’s functions corresponding to ψ11

(left) and ψ19 (right).

Duality, Adjoints, Green’s Functions – p. 258/304

Examples

The effective domains of influence may not be spatially

compactly-shaped.

Duality, Adjoints, Green’s Functions – p. 259/304

Examples

We combine some of the localized computations by solving for

localized solutions corresponding to summing the two of the
partition of unity data.

Data TOL Level Elements Estimate

ψ3 + ψ4 .04% 7 8330 −9.8884 × 10−7
ψ6 + ψ7 .02% 7 5951 −5.897 × 10−7
ψ8 + ψ9 .02% 7 4406 −3.486 × 10−7
ψ9 + ψ10 .02% 7 3202 −2.243 × 10−7
The solutions for ψ3 + ψ4 and ψ8 + ψ9 use a few more elements
than required for either of the original localized solutions.

The solutions for ψ6 + ψ7 and ψ9 + ψ10 use less than the

maximum required for the individual localized solutions.

Duality, Adjoints, Green’s Functions – p. 260/304

Examples

Example 5

We solve
(
1 −5((x−.5) 2
+(y−2.5) 2
) , (x, y) ∈ Ω,
− π2 ∆u = 2 + 4e
u(x, y) = 0, (x, y) ∈ ∂Ω,

where Ω is the “square annulus” Ω = [0, 3] × [0, 3] \ [1, 2] × [1, 2].

The initial mesh has 48 elements and the error tolerance is 1%.

Duality, Adjoints, Green’s Functions – p. 261/304

Examples

Level Elements Estimate

1 48 −5.168
2 125 −1.584
3 380 −.6879
4 894 −.3029
5 2075 −.1435

Duality, Adjoints, Green’s Functions – p. 262/304

Examples

Initial Mesh Final Mesh

Initial and Final Meshes.

Duality, Adjoints, Green’s Functions – p. 263/304

Examples

6 1.6
5 1.2
4
3 0.8
2 0.4
1 3 3
2 2
0 0
1 y 1 1 y
1
2 2
3 0
x 3 0 x

Solution and Generalized Green’s Function on the Final Mesh.

Duality, Adjoints, Green’s Functions – p. 264/304

Examples

7 6 5

8 4

1 2 3

The partition of unity has 8 square subdomains.

Duality, Adjoints, Green’s Functions – p. 265/304

Examples

There are no significant correlations.

Data Level Elements Estimate

ψ1 5 1082 −.01935
ψ2 5 1101 −.01399
ψ3 5 1144 −.01540
ψ4 5 1107 −.01360

Duality, Adjoints, Green’s Functions – p. 266/304

Examples

There are no significant correlations.

Data Level Elements Estimate

ψ5 5 1104 −.01436
ψ6 5 1110 −.01587
ψ7 5 1074 −.02529
ψ8 5 1098 −.01660

Final Element Ratio ≈ 1.8.

Duality, Adjoints, Green’s Functions – p. 267/304

Examples

^ ^
Final Mesh for U3 Final Mesh for U4

Final meshes.

Duality, Adjoints, Green’s Functions – p. 268/304

Examples

^ ^
Final Mesh for U6 Final Mesh for U7

Final meshes.

Duality, Adjoints, Green’s Functions – p. 269/304

Examples

1.4
1

0.6

3 0.2 3
2 2
0 0
1 1 y 1 1 y
2 2
x 3 0 x 3 0

Plots of some Generalized Green’s Functions.

Duality, Adjoints, Green’s Functions – p. 270/304

Nonlinear Problems

Duality, Adjoints, Green’s Functions – p. 271/304

A nonlinear algebraic equation

The problem is to estimate the error e = x − X of a numerical

solution X of a system of nonlinear algebraic equations,

f (x) = b

where the data b, nonlinearity f , and the solution x all have the
same dimension.

The residual error is

R = f (X) − b
which immediately gives

f (x) − f (X) = −R.

The error is related to the residual through a nonlinear equation.

Duality, Adjoints, Green’s Functions – p. 272/304

A nonlinear algebraic equation

The mean value theorem for integrals:

Z 1
f (x) − f (X) = f 0 (sx + (1 − s)X) (x − X) ds
0

where f 0 is the Jacobian matrix of f .

We get
Ãe = −R
with
Z 1
à = f 0 (sx + (1 − s)X) ds.
0

This is the linear problem obtained by linearizing f around an

average of x and −X .

Duality, Adjoints, Green’s Functions – p. 273/304

A nonlinear algebraic equation

We obtain

|(e, ψ)| = |(e, Ã> φ)| = |(Ãe, φ)| = |(R, φ)|.

To obtain a computable adjoint problem, we can try to replace x

by X in the definition of Ã,
Z 1
à → A = f 0 (sX + (1 − s)X) ds = f 0 (X),
0

But, what is the effect on the estimate?

Duality, Adjoints, Green’s Functions – p. 274/304

Defining the adjoint to a nonlinear operator

We assume that the Banach spaces X and Y are Sobolev

spaces and use ( , ) for the L2 inner product, and so forth.

We define the adjoint for a specific kind of nonlinear operator.

We assume f is a nonlinear map from X into Y , where the

domain D(f ) is a convex set.

Definition
A subset A of a vector space is convex if for any a, b ∈ A, the
set of points on the “line segment” joining a and b, i.e.,
{sa + (1 − s)b| 0 ≤ s ≤ 1} is contained in A.

Duality, Adjoints, Green’s Functions – p. 275/304

Defining the adjoint to a nonlinear operator

We choose u inside D(f ) and define

F (e) = f (u + e) − f (u),

where we think of e as representing an “error”, i.e., e = U − u.

The domain of F is

D(F ) = {v ∈ X| v + u ∈ D(f )}.

We assume that D(F ) is independent of e and dense in X .

Note that 0 ∈ D(F ) and F (0) = 0.

We also assume that D(F ) is a vector subspace of X .

Duality, Adjoints, Green’s Functions – p. 276/304

Defining the adjoint to a nonlinear operator

Two reasons to work with functions of this form:

• This is the kind of nonlinearity that arises when estimating
the error of a numerical solution or studying the effects of
perturbations.
• Nonlinear problems typically do not enjoy the global
solvability that characterizes linear problems, only a local
solvability.

Duality, Adjoints, Green’s Functions – p. 277/304

Defining the adjoint to a nonlinear operator

The first definition is based on the bilinear identity.

Definition
An operator A∗ (e) with domain D(A∗ ) ⊂ Y ∗ and range in X ∗ is
an adjoint operator corresponding to F if

(F (e), w) = (e, A∗ (e)w) for all e ∈ D(F ), w ∈ D(A∗ ).

This is an adjoint operator associated with F , not the adjoint

operator to F .

Duality, Adjoints, Green’s Functions – p. 278/304

Defining the adjoint to a nonlinear operator

Example
Suppose that F can be represented as F (e) = A(e)e, where
A(e) is a linear operator with D(F ) ⊂ D(A).

For a fixed e ∈ D(F ), define the adjoint of A satisfying

(A(e)w, v) = (w, A∗ (e)v) for all w ∈ D(A), v ∈ D(A∗ ).

Substituting w = e shows this defines an adjoint of F as well.

If there are several such linear operators A, then there will be

several different possible adjoints.

Duality, Adjoints, Green’s Functions – p. 279/304

Defining the adjoint to a nonlinear operator

Example
Let (t, x) ∈ Ω = (0, 1) × (0, 1), with X = X ∗ = Y = Y ∗ = L2
denoting the space of periodic functions in t and x, with period
equal to 1.

Consider a periodic problem

∂e ∂e
F (e) = +e + ae = f
∂t ∂x
where a > 0 is a constant and the domain of F is the set of
continuously differentiable functions.

Duality, Adjoints, Green’s Functions – p. 280/304

Defining the adjoint to a nonlinear operator

We can write F (e) = Ai (e)e where

∂v ∂v
A1 (e)v = +e + av
∂t ∂x
 
∂v ∂e
A2 (e)v = + a+ v
∂t ∂x
∂v 1 ∂(ev)
A3 (e)v = + + av.
∂t 2 ∂x

Duality, Adjoints, Green’s Functions – p. 281/304

Defining the adjoint to a nonlinear operator

The adjoints are

∂w ∂(ew)
A∗1 (e)w=− − + aw
∂t ∂x
 
∗ ∂w ∂e
A2 (e)w = − + a+ w
∂t ∂x
∗ ∂w e ∂w
A3 (e)w = − − + aw.
∂t 2 ∂x

Duality, Adjoints, Green’s Functions – p. 282/304

Defining the adjoint to a nonlinear operator

We base the second definition of an adjoint on the integral mean

value theorem.

We assume that the original nonlinearity is Frechet

differentiable.

The integral mean value theorem states

Z 1
f (U ) = f (u) + f 0 (u + se) ds e
0

where e = U − u and f 0 is the Frechet derivative of f .

Duality, Adjoints, Green’s Functions – p. 283/304

Defining the adjoint to a nonlinear operator

We rewrite this as

F (e) = f (U ) − f (u) = A(e)e

with
Z 1
A(e) = f 0 (u + se) ds.
0

Note that we can apply the integral mean value theorem to F :

Z 1
A(e) = F 0 (se) ds.
0

To be precise, we should discuss the smoothness of F .

Duality, Adjoints, Green’s Functions – p. 284/304

Defining the adjoint to a nonlinear operator

Definition
For a fixed e, the adjoint operator A∗ (e), defined in the usual way
for the linear operator A(e), is said to be an adjoint for F .

Example
Continuing the previous example,
 
0 ∂v ∂v ∂e
F (e)v = +e + a+ v.
∂t ∂x ∂x

After some technical analysis of the domains of the operators

involved,
∗ ∂w e ∂w
A (e)w = − − + aw.
∂t 2 ∂x
This coincides with the third adjoint computed above.

Duality, Adjoints, Green’s Functions – p. 285/304

Analysis of a space-time finite element method

We study a system of D reaction-diffusion equations consisting

of d parabolic equations and D − d ordinary equations for the
RD valued function u = (ui ):

+
u̇i − ∇ · (i (u, x, t)∇ui ) = fi (u, x, t), (x, t) ∈ Ω × R , 1 ≤ i ≤ D,

ui (x, t) = 0, (x, t) ∈ ∂Ω × R+ , 1 ≤ i ≤ d,

u(x, 0) = u0 (x), x ∈ Ω,


where there is a constant  > 0 such that

i (u, x, t) ≥  for 1 ≤ i ≤ d and i (u, x, t) ≡ 0 for the rest.

Duality, Adjoints, Green’s Functions – p. 286/304

Analysis of a space-time finite element method

Assumptions:
• Ω is a convex polygonal domain in R2 with boundary ∂Ω
•  = (i ) and f = (fi ) have smooth second derivatives

u̇i denotes the time derivative of ui

We write i (u, x, t) = i (u) and f (u, x, t) = f (u).

Duality, Adjoints, Green’s Functions – p. 287/304

Analysis of a space-time finite element method

We use up and uo to denote the parts of u associated to the

parabolic and ordinary differential equations respectively.

upi = ui for 1 ≤ i ≤ d and upi = 0 for d < i ≤ D

uo = u − up

The presence of ordinary differential equations in the system

has strong consequences for the smoothness of solutions.

Duality, Adjoints, Green’s Functions – p. 288/304

Analysis of a space-time finite element method

Discretization of the space-time domain:

We partition [0, ∞) as 0 = t0 < t1 < t2 < · · · < tn < . . . , denoting

each time interval by In = (tn−1 , tn ] and time step by
kn = tn − tn−1 .

To each interval In , we associate a triangulation Tn of Ω

arranged so the union of the elements in Tn is Ω.

Duality, Adjoints, Green’s Functions – p. 289/304

Analysis of a space-time finite element method

Time

Ω Space

A space-time discretization.

Duality, Adjoints, Green’s Functions – p. 290/304

Analysis of a space-time finite element method

As usual, we assume the intersection of any two elements in a

space triangulation is either a common edge, node, or is empty.

We also assume that the smallest angle of any triangle in a

triangulation is bounded below by a fixed constant

hn denotes the piecewise constant mesh function

hn |K = diam(K) for K ∈ Tn and h denotes the global mesh
function, where h|In = hn .

k denotes the piecewise constant function that is kn on In .

Duality, Adjoints, Green’s Functions – p. 291/304

Analysis of a space-time finite element method

The approximations are polynomials in time and piecewise

polynomials in space on each space-time “slab” Sn = Ω × In .

Vn ⊂ (H01 (Ω))d × (H 1 (Ω))D−d denotes the space of piecewise

linear continuous vector-valued functions v(x) ∈ RD defined on
Tn , where the first d components of v are zero on ∂Ω.

We define
q
X
Wnq = w(x, t) : w(x, t) = tj vj (x), vj ∈ Vn , (x, t) ∈ Sn .


j=0

W q denotes the space of functions defined on the space-time

domain Ω × R+ such that v|Sn ∈ Wnq for n ≥ 1.

Duality, Adjoints, Green’s Functions – p. 292/304

Analysis of a space-time finite element method

Functions in W q are generally discontinuous across the discrete

time levels.

[w]n = wn+ − wn− , where wn± = lims→tn ± w(s), denotes the jump
across tn

Pn is the L2 projection onto Vn , i.e., Pn : L2 (Ω) → Vn is defined

by (Pn v, w) = (v, w) for all w ∈ Vn . P is defined by P = Pn on
Sn .

πn : L2 (In ) → P q (In ) denotes the L2 projection onto the

piecewise polynomial functions in time, where P q (In ) is the
space of polynomials of degree q or less on In . π is defined by
π = πn on Sn .

Duality, Adjoints, Green’s Functions – p. 293/304

Analysis of a space-time finite element method

Definition
The continuous Galerkin cG(q) approximation U ∈ W q
satisfies U0− = P0 u0 and for n ≥ 1, the Galerkin orthogonality
relation
Z t Z tn
n

(U̇i , vi ) + (i (U )∇Ui , ∇vi ) dt = (fi (U ), vi ) dt




tn−1 tn−1

 for all v ∈ Wnq−1 , 1 ≤ i ≤ D,
U + = P U − .

n−1 n n−1

U is continuous across time nodes over which there is no mesh

change.

Duality, Adjoints, Green’s Functions – p. 294/304

Analysis of a space-time finite element method

Definition
The discontinuous Galerkin dG(q) approximation U ∈ W q
satisfies U0− = P0 u0 and for n ≥ 1,
Z tn
[Ui ]n−1 , vi+



(U̇i , vi ) + (i (U )∇Ui , ∇vi ) dt +
tn−1
Z tn
= (fi (U ), vi ) dt
tn−1
for all v ∈ Wnq , 1 ≤ i ≤ D.

Duality, Adjoints, Green’s Functions – p. 295/304

Analysis of a space-time finite element method

Example
We discretize the scalar problem

 u̇ − ∆u = f (u), (x, t) ∈ Ω × R +,

u(x, t) = 0, (x, t) ∈ ∂Ω × R+ ,

u(x, 0) = u0 (x), x ∈ Ω,


using the dG(0) method.

~ n denote the Mn vector of nodal values with respect to

We let U
the nodal basis {ηn,i }M
i=1 for Vn on In .
n

Duality, Adjoints, Green’s Functions – p. 296/304

Analysis of a space-time finite element method



Bn : Bn = ηn,i , ηn,j for 1 ≤ i, j ≤ Mn and
ij



Bn,n−1 : Bn,n−1 ij = ηn,i , ηn−1,j for 1 ≤ i ≤ Mn ,
1 ≤ j ≤ Mn−1 denotes the mass matrices



An : An ij
= ∇ηn,i , ∇ηn,j denotes the stiffness matrices.

Un satisfies

~ n − F~ (U − )kn = Bn,n−1 U
~ n−1 ,


Bn + kn An U n n ≥ 1,

where (F~ (Un− ))i = (f (Un− ), ηn,i ).

Duality, Adjoints, Green’s Functions – p. 297/304

Analysis of a space-time finite element method

Use of quadrature yields standard difference schemes

Example
If Mn is constant and the lumped mass quadrature is used to
evaluate the coefficients of Bn and Bn,n−1 = Bn , then the
resulting set of equations for the dG(0) approximation is the
same as the equations for the nodal values of the backward
Euler difference scheme.

The dG(0) method is related to the backward Euler method, the

cG(1) method is related to the Crank-Nicolson scheme, and the
dG(1) method is related to the third order sub-diagonal Padé
difference scheme.

Duality, Adjoints, Green’s Functions – p. 298/304

Analysis of a space-time finite element method

Under general assumptions, the cG(q) and dG(q) have order of

accuracy q + 1 in time and 2 in space at any point.

In addition, they enjoy a superconvergence property in time at

time nodes. The dG(q) method will have order of accuracy
2q + 1 in time and the cG(q) method will have order 2q in time at
time nodes for sufficiently smooth solutions.

The discontinuous Galerkin method has stability properties that

make it well suited for the solution of dissipative problems.

The continuous Galerkin method is “energy” preserving and is

well-suited for problems with a conserved quantity.

Duality, Adjoints, Green’s Functions – p. 299/304

Analysis of a space-time finite element method

We use the second definition of the adjoint, so use

Z 1

¯i = ¯i (u, U ) = i us + U (1 − s) ds,
0
1
∂j
Z


β̄ij = β̄ij (u, U ) = us + U (1 − s))∇(ui s + Ui (1 − s) ds,
0 ∂ui
Z 1
¯ ¯ ∂fj

fij = fij (u, U ) = (us + U (1 − s) ds.
0 ∂ui

Typically, ¯ and f¯ are piecewise continuous with respect to t and

continuous, H 1 functions in space while β̄ is discontinuous in
time and space.

Duality, Adjoints, Green’s Functions – p. 300/304

Analysis of a space-time finite element method

The adjoint problem is


PD PD ¯

 −φ̇i − ∇ · ¯i ∇φi + j=1 β̄ji · ∇φj − j=1 fij φj = ψi ,

 (x, t) ∈ Ω × (t , 0], 1 ≤ i ≤ D,
n


 φi (x, t) = 0, (x, t) ∈ ∂Ω × (tn , 0], 1 ≤ i ≤ d,
φ(x, tn ) = 0, x ∈ Ω,


Example
In the case of the scalar problem with constant diffusion, the
adjoint problem is

¯

−φ̇ − ∆φ − f φ = ψ, (x, t) ∈ Ω × (tn , 0],

φ(x, t) = 0, (x, t) ∈ ∂Ω × (tn , 0],

φ(x, tn ) = 0, x ∈ Ω.


Duality, Adjoints, Green’s Functions – p. 301/304

Analysis of a space-time finite element method

Example
In the case of one parabolic equation with nonlinear diffusion
coupled to one ordinary differential equation, the dual problem is

¯11 φ1 − f¯12 φ2 = ψ1 ,


 −φ̇ 1 − ∇ · 
¯1 ∇φ 1 + β̄11 ∇φ1 − f
−φ̇ + β̄ ∇φ − f¯ φ − f¯ φ = ψ ,

2 12 1 21 1 22 2 2

 φ1 (x, t) = 0,

φ(x, tn ) = 0.


Duality, Adjoints, Green’s Functions – p. 302/304

Analysis of a space-time finite element method

For the cG method, we obtain

Z tn
(e, ψ) dt = (e+ (0), φ(0))
0
Z tn

+ (U̇ , πP φ−φ)+((U )∇U, ∇(πP φ−φ))−(f (U ), πP φ−φ) dt.
0

For the dG method, we obtain

Z tn n
X
−
φ)+


(e, ψ) dt = (e (0), φ(0)) + [U ]j−1 , (πP φ − j−1
0 j=1
Z tn

+ (U̇ , πP φ−φ)+((U )∇U, ∇(πP φ−φ))−(f (U ), πP φ−φ) dt.
0

Duality, Adjoints, Green’s Functions – p. 303/304

Collaborators

Sean Eastman, Colorado State University

Mike Holst, UCSD
Claes Johnson, Chalmers
Mats Larson, Umea University
Duane Mikulencak, Georgia Tech
David Neckels, Colorado State University
Tim Wildey, Colorado State University
Roy Williams, Caltech

Duality, Adjoints, Green’s Functions – p. 304/304