# Experiments with Schemes for Exponential Decay¶

Authors: Hans Petter Langtangen (hpl at simula.no) Jul 2, 2016

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¶

(1)$u'(t) = -au(t), \quad t \in (0,T],$
(2)$u(0) = I,$

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, e.g., vertical pressure variation in the atmosphere, cooling of an object, and radioactive decay.

## Numerical solution method¶

We introduce a mesh in time with points $$0 = t_0 < t_1 \cdots < t_{N_t}=T$$. For simplicity, we assume constant spacing $$\Delta t$$ between the mesh points: $$\Delta t = t_{n}-t_{n-1}$$, $$n=1,\ldots,N_t$$. Let $$u^n$$ be the numerical approximation to the exact solution at $$t_n$$.

The $$\theta$$-rule [Ref1] is used to solve (1) numerically:

$u^{n+1} = \frac{1 - (1-\theta) a\Delta t}{1 + \theta a\Delta t}u^n,$

for $$n=0,1,\ldots,N_t-1$$. This scheme corresponds to

## Implementation¶

The numerical method is implemented in a Python function [Ref2] solver (found in the model.py Python module file):

def solver(I, a, T, dt, theta):
"""Solve u'=-a*u, u(0)=I, for t in (0,T] with steps of dt."""
dt = float(dt)            # avoid integer division
Nt = int(round(T/dt))     # no of time intervals
T = Nt*dt                 # adjust T to fit time step dt
u = zeros(Nt+1)           # array of u[n] values
t = linspace(0, T, Nt+1)  # time mesh

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


## Numerical experiments¶

A set of numerical experiments has been carried out, where $$I$$, $$a$$, and $$T$$ are fixed, while $$\Delta t$$ and $$\theta$$ are varied. In particular, $$I=1$$, $$a=2$$, $$\Delta t = 1.25, 0.75, 0.5, 0.1$$. Figure The Backward Euler method for decreasing time step values contains four plots, corresponding to four decreasing $$\Delta t$$ values. The red dashed line represent the numerical solution computed by the Backward Euler scheme, while the blue line is the exact solution. The corresponding results for the Crank-Nicolson and Forward Euler methods appear in Figures The Crank-Nicolson method for decreasing time step values and The Forward Euler method for decreasing time step values.

## Error vs $$\Delta t$$¶

How the error

$E^n = \left(\int_0^T (Ie^{-at} - u^n)^2dt\right)^{\frac{1}{2}}$

varies with $$\Delta t$$ for the three numerical methods is shown in Figure Variation of the error with the time step.

Observe

The data points for the three largest $$\Delta t$$ values in the Forward Euler method are not relevant as the solution behaves non-physically.

The $$E$$ numbers corresponding to Figure Variation of the error with the time step are given in the table below.

$$\Delta t$$ $$\theta=0$$ $$\theta=0.5$$ $$\theta=1$$
1.25 7.4630 0.2161 0.2440
0.75 0.6632 0.0744 0.1875
0.50 0.2797 0.0315 0.1397
0.10 0.0377 0.0012 0.0335

Summary

1. $$\theta =1$$: $$E\sim \Delta t$$ (first-order convergence).
2. $$\theta =0.5$$: $$E\sim \Delta t^2$$ (second-order convergence).
3. $$\theta =1$$ is always stable and gives qualitatively corrects results.
4. $$\theta =0.5$$ never blows up, but may give oscillating solutions if $$\Delta t$$ is not sufficiently small.
5. $$\theta =0$$ suffers from fast-growing solution if $$\Delta t$$ is not small enough, but even below this limit one can have oscillating solutions (unless $$\Delta t$$ is sufficiently small).

## Bibliography¶

 [Ref1] A. Iserles. A First Course in the Numerical Analysis of Differential Equations, second edition, Cambridge University Press, 2009.
 [Ref2] H. P. Langtangen. A Primer on Scientific Programming With Python, fifth edition, Springer, 2016.