Paper 3, Section II, E

Numerical Analysis
Part II, 2015

(a) Given the finite-difference recurrence

k=rsakum+kn+1=k=rsbkum+kn,mZ,nZ+\sum_{k=r}^{s} a_{k} u_{m+k}^{n+1}=\sum_{k=r}^{s} b_{k} u_{m+k}^{n}, \quad m \in \mathbb{Z}, n \in \mathbb{Z}^{+}

that discretises a Cauchy problem, the amplification factor is defined by

H(θ)=(k=rsbkeikθ)/(k=rsakeikθ)H(\theta)=\left(\sum_{k=r}^{s} b_{k} e^{i k \theta}\right) /\left(\sum_{k=r}^{s} a_{k} e^{i k \theta}\right)

Show how H(θ)H(\theta) acts on the Fourier transform u^n\hat{u}^{n} of unu^{n}. Hence prove that the method is stable if and only if H(θ)1|H(\theta)| \leqslant 1 for all θ[π,π]\theta \in[-\pi, \pi].

(b) The two-dimensional diffusion equation

ut=uxx+cuyyu_{t}=u_{x x}+c u_{y y}

for some scalar constant c>0c>0 is discretised with the forward Euler scheme

ui,jn+1=ui,jn+μ(ui+1,jn2ui,jn+ui1,jn+cui,j+1n2cui,jn+cui,j1n)u_{i, j}^{n+1}=u_{i, j}^{n}+\mu\left(u_{i+1, j}^{n}-2 u_{i, j}^{n}+u_{i-1, j}^{n}+c u_{i, j+1}^{n}-2 c u_{i, j}^{n}+c u_{i, j-1}^{n}\right)

Using Fourier stability analysis, find the range of values μ>0\mu>0 for which the scheme is stable.