Numerical investigations

Experiments with Schemes for Exponential Decay

Hans Petter Langtangen Simula Research Laboratory University of Oslo

August 20, 2012

Summary. This report investigates the accuracy of three finite difference schemes for the ordinary differential equation u'=-au with the aid of numerical experiments. Numerical artifacts are in particular demonstrated.

Mathematical problem

We address the initial-value problem $$ \begin{align} u'(t) &= -au(t), \quad t \in (0,T], \label{ode}\\ u(0) &= I, \label{initial:value} \end{align} $$ where $ a $, $ I $, and $ T $ are prescribed parameters, and $ u(t) $ is the unknown function to be estimated. This mathematical model is relevant for physical phenomena featuring exponential decay in time.

Numerical solution method

We introduce a mesh in time with points $ 0= t_0< t_1 \cdots < t_N=T $. For simplicity, we assume constant spacing $ \Delta t $ between the mesh points: $ \Delta t = t_{n}-t_{n-1} $, $ n=1,\ldots,N $. Let $ u^n $ be the numerical approximation to the exact solution at $ t_n $. The $ \theta $-rule is used to solve \eqref{ode} numerically: $$ u^{n+1} = \frac{1 - (1-\theta) a\Delta t}{1 + \theta a\Delta t}u^n, $$ for $ n=0,1,\ldots,N-1 $. This scheme corresponds to

The Forward Euler scheme when $ \theta=0 $
The Backward Euler scheme when $ \theta=1 $
The Crank-Nicolson scheme when $ \theta=1/2 $

Implementation

The numerical method is implemented in a Python function:

def theta_rule(I, a, T, dt, theta):
    """Solve u'=-a*u, u(0)=I, for t in (0,T] with steps of dt."""
    N = int(round(T/float(dt)))  # no of intervals
    u = zeros(N+1)
    t = linspace(0, T, N+1)

    u[0] = I
    for n in range(0, N):
        u[n+1] = (1 - (1-theta)*a*dt)/(1 + theta*dt*a)*u[n]
    return u, t

Numerical experiments

We define a set of numerical experiments where $ I $, $ a $, and $ T $ are fixed, while $ \Delta t $ and $ \theta $ are varied. In particular, $ I=1 $, $ a=2 $, $ \Delta t= 1.25, 0.75, 0.5, 0.1 $.

The Backward Euler method

The Crank-Nicolson method

The Forward Euler method

Error versus time discretization

How $ E $ varies with $ \Delta t $ for $ \theta = 0, 0.5, 1 $ is shown below.