TVD PROPERTIES Of A CLASS Of MODIfIED ENO SCHEMES fOR SCALAR CONSERVATION LAWS

Chi-Wang Shu

Institute for Mathematics and its Applications University of Minnesota Minneapolis, Minnesota 55455

Abstract

A class of modified ENO (essentially non-oscillatory) schemes is proven to

be TVD (total-variation-diminishing) both for one-dimensional and for

multi-dimensional scalar conservation laws.

1980 Mathematics Subject Classification: Primary 65 M05, Secondary 65 M10 Key Hords: ENO, TVD, conservation laws, multi-dimension.

.. I

I. Introduction

We are interested in solving the hyperbolic conservation law

(1.1a)

(1. Ib )

Here u = (ul, ••• ,um)T , x = (x1",.,xd)' and any real combination of the

d af i

Jacobi matrices 1. ~l' -,,- has m real eigenvalues and a complete set of

. 1 aU

1 =

eigenvectors.

On a computational grid

x.=j.~, J

we use

n

u· to denote the J

computed approximation to the exact solution u(Xj,tn) of (1.1).

In what follows we only consider the scalar case m=1. This is the case where we can do theory (e.g. TVD). However numerically the generalizations to systems m > 1 usually work equally well. See e.g. [3J,[4J,[6J-[9J.

At present, TVD (total-variation-diminishing) has become the

state-of-the-art in the computation of hyperbolic conservation laws. TVB

(total-variation-bounded) and ENO (essentially-non-oscillatory) schemes are also

constructed to overcome the difficulties of degeneracy of accuracy at critical

points and near discontinuities. TVD or TVB schemes have convergent subsequences and wi 11 be convergent if a further "entropy condition" is

satisfied. ENO schemes use adaptive stencils (traditional TVD or TVB schemes

only use fixed stencils) to obtain information from smooth regions when

discontinuities are present, allowing the achievement of high order accuracy

right up to discontinuities. For details, see [3J-[9J, [11J-[14J, and the

references listed there.

Numerically ENO schemes work extremely well [5J-[7],[13J. However TVB for

ENO schemes is not proven and may not be correct without modifications on the

schemes for general initial conditions (e.g. for the crazy initial condition

o .

uj = (_1)J). Another possible way to investigate the stability of ENO schemes

-3-

; s to see how far they di Her from schemes whi ch can be proven TVD. If only a slight change of ENO in the limiters leads to TVD, then we have reason to believe the stability of ENO if this change does not get turned on very often (numerically). We are interested in TVD versions of ENO schemes also because by experience, during steady state calculations, even a slight increase in TV will slower the convergence. Hence a good strategy may be to use a TVD scheme at the beginning to get close to steady state fast, then switch to the unlimited ENO scheme to recover full order of accuracy.

In this paper we modify the ENO schemes in [13J and prove TVD of the modified schemes. Section II is for one-dimensional schemes; section III discusses multi-dimensional schemes, both semi-discrete method-of-lines and

fully discrete. The multi-dimensional TVD schemes lose accuracy in a region near critical points in one of the variables. However considering the result of Goodman and LeVeque [2J (in which they proved that an explicit TVD scheme with a local stencil can be at most first order in multi-dimension), the result here is still reasonable. (See Remark 3.4).

-4-

II. One-Dimensional Case

We use conservative schemes of the form

(2.1)

where uj is an approximation to the exact solution u(jt.x, n st.) of (1.1); A = At , and the numerical flux f is consistent with f

M .+1

J "2

A A

f 1 = f (u. n , ••• ,U . +k )

.+-=- J-J(. J

J 2

A

f'{u , ••• .u ) = f(u)

(2.2)

The total variation is defined by

TV(u) = 1.IA+Ujl j

(2.3)

where A+Uj = Uj+1 - Uj is the forward difference operator.

We say scheme (2.1) is TVD if

(2.4)

and TVB in 0 .. t .. T if

(2.5)

for a fixed B depending only on TV(uO), and for all n and At such that

° .. n L'lt <; T •

The r-th order ENO schemes in [13] have the following framework:

Step_(l) Decompose f into

(2.6)

-5-

such that

(2.7)

e.g. for Lax-Friedrichs building block:

f+(u) = 1. (f {u ) + aU), r(u) = 1. (f{u ) - au)

2 2

a ) ma x If" (u ) I

(2.8)

As discussed in [13], since we only use the differences of f+ and f-,

we can also start with any first order E - flux [8]

then define

h 1 = h(uJo+1' uJo), J+-

2

df~ 1 = fJo+1 - ho 1; df~ 1 = ho 1 - fJo

J+- J+- J+- J+-

2 222

(2.9)

which stand for

Ste~ ( 2) Build a Newt on divided difference table, up to order r , for
f+(un( .)) and f-(un(.)), or for df+ and dr- ,
Ste~ (3 ) Construct r-th degree polynomi a1 s + (x) +
p:- interpolating f:- at
J J
adaptive r+1 point stencils x , ... , \ ±(r) as follows:
k ±~ r)
mln max ( i )

(2.10)

(2.11)

(i i )

Inductively assume we have already defined k±~s-1) k±(s-1) and

, mln ' max

Q(±s-1)(x), h b h h di ° f

_ ten, y 'I. e s-t order lVlded differences 0

f±(u(o)):

, ... ,

u (x )]

k ±(s-1) + 1 max

(2.12a)

-6-

, ... ,

u(\±(S_1) )]

max

(2.12b)

We proceed to add a point to the stencil according to the smaller s-th

order divided difference:

k ±(s) ±(s-1)

max = kmax

if

(2.13a)

if

(2.13b)

and

K(S-1) max

Q~s)(x) = Q~s-1) + m(a±,b±) IT (s-1) (x-xk) k =kmi n

(2.14)

(This is the Newton's interpolation polynomial formula) Here and in what follows, the function m is defined by

(2.15)

Step (4) Define the numerical flux by

..

f ,+1 J - 2

.. + "-

= f 1 + f~ 1

j+- J+-

2 2

(2.16)

where

... + + rn-1

f - = p j (x ) + y

j+l j+l k=1

2 2

2k ",2k +

a2k I1X (_0 -- PJ-: )

x=x, 1

ax2k J+"2

(2.17)

with m = [r+1] 2

1 24

7 5760

, etc.

-7-

Use the numerical flux (2.16) in (2.1).

Use a TVD Runge-Kutta type [13J or multi-level type [12J time

discretization to (2.1) in order to achieve high order accuracy in time without

increasing total variation.

We now modify the scheme in Step (3) above, trying to get a TVD scheme

out.

Modification (1) For s = 1, change the function m in (2.14) to the minmod

function m defined by

= {m (a i - ... ,a n) ,if sign (a 1) = ••• =

a , otherwise

(2.18)

Modification (2)

- + +)

For s > 1, change the function arguments m(a-. b-

in

(2.14) to

(2.19)

where a > a is some constant, to be determined later. Notice that the explicit appearance of M in (2.19) is only because a±, b± are s-th order divided differences. If we use the limiter m on the undivided differences,

M will not appear explicitly.

Proposition 2.1 There exists positve B such that the above scheme with modifications (1) and (2) is TVD, under CFL number l .

2

Proof:

,,+M

The fluxes (2.17) with modifications (1) and (2) (we use f- 1 .+

J 2"

to make

a distinction) can be written out in the form

-8-
A+M + 1 + + r + - + + + +
f.+1 = f. + - m( t!+ f. M fj_1) + ) c·k m(ajk• bjk• BMf j' BMfj_1) (2.20a)
J - J 2 J k;';2 J
2
A_M _ 1 ( - r -
f. 1 = f·+1 - - m 4 f. • t!+ fj+1) + ) c·k m(ajk' bjk' BMfj. BMfj+1) (2.20b)
J+- J 2 J k';'2 J
2 where

are some constants (due to the adaptivity of the stencil

varies with

j ) •

and

are

k-th order undivided differences of

f±. We then rewrite scheme (2.1) with flux f"M into an incremental form

which is suitable for proving TVO:

n+1

u . =

J

(2.21)

with {I
4 f~ 1 m( M fj. M fj+l) +l m(M fj_1' t!+ fj)
r J +
v.+1 - -
J - Mu. 2 Mf:- 2 Mf7
2 J J J r + L k=2

8M fj)] I

(2.22a)

and

- +

+ m(aj_1.k·

- cj_1•k

(2.22b)

-9-

It is well known [3J that scheme (2.21) is TVO if
C .+1 , 0 ·+1 , 1 - A(C. 1 + 0.+1) ;> 0
J - J - J+- J -
2 2 2 2
Let (2.23)

Due to the adaptivity of stencils, it is tedious to find ck because all the possible stencils have to be considered. For example. the 4-th order scheme

(r=4) gives

229 c3 ---

1152

(2.25)

By (2.22), (2.24) and the definitions of limiters (2.15) and (2.18), and

the fact

~f.

___ J)O,

~u.

J

+ MfJ. -1

:> 0

(2.26)

due to (2.7), or due to the definition of E-flux if we use (2.9), sufficient conditions for achieving (2.23) are

1 r
1 - - - 2 B Y. ck ) 0
2 k=2
+
Mf. f.+f j-1 + l + 28 r
A( ___ J + ) (1 Y ck) ( 1
~u. MUj_1 2 k=2
J
If we choose (2.27a)

(2.2 7b )

B = __ 1~_ r

4 y. ck k=2

(2.28)

-10-

then (2.27a) is satisfied, and the CFL condition (2.27b) becomes

(2.29)

tI

Remark 2.2. Even if a in (2.28) is usually less than one, for example for

the 4-th order scheme a ~ 0.3, the modifications (1) and (2) still do not affect accuracy, aw~om critical points, if flX is small (AX «a). This is because away from critical points, the functions m and m are the same in

Modification (1), and (2.19) in Modification (2) is of the form ffi(O(I), 0(1), aO(flX1-s), aO(flX1-s)) for s ) 2, hence away from critical points and when flX « a it coincides with m(O(I), 0(1)). Near critical points, we lose

accuracy through both of the modifications. This is not surprising since all

TVD schemes necessarily degenerate to first order accuracy at critical points

[8J.

Remark 2.3 The modified TVD schemes still share the advantage of adaptive stencils with the ENO schemes, hence they may perform better than the

traditional fixed stencil TVD schemes near discontinuities.

Remark 2.4

For the TVD schems here, the accuracy near critical points can be

recovered by a TVB modification procedure introduced in [IIJ. We omit the

details because it is very similar to the cases discussed there.

-11-

III. Multi-Dimensional Case

For simplicity of notations \'Je only consider two-dimensional case d=2.

Generalizations to d > 2 is straightforward. For d=2 we use (x,y), (f,g)

We consider both semi-discrete method-of-lines:

d

_ u .. = L(u) ..

dt lJ lJ

(3.1)

and fully discrete scheme

n+1 n n

u " = u.. + At L ( u ) ..

lJ lJ lJ

(3.2)

where L(u) is a (usually nonlinear) conservative discrete spatial operator approximating - f(u)x - g(u)y to r-th order in smooth, monotone regions:

1 A

L(u) .. = -_ (f. 1.

1 J AX 1 +-,J

2

A 1 ('-

- f. 1 .) - -- g . . + 1 - g. . 1)

l-"2,J 4Y l,J"2 1,J-"2

(3.3a)

(3.3b)

with consistent numerical fluxes

f. 1 . = f(ui+P,j+q'···'Ui_R.,j_k) 1 +2",J

.-

f(u, •.. ,u) = f(u)

(3.4a)

g. . 1 = 9 ( u i +p J' +q > ..., U i - R., J' -k ) ;

1,J+- ,

2

g(u, ... .u ) = g(u)

(3. 4b )

Define three functions of t:

S. 1 . = sign (A~ uiJ') ; 1 +-,J

2

s .. 1 = sign (~u .. )

l,J+- lJ

2

(3.5)

s .. lJ

S. 1 .) + Ax (S. . +1- S. . 1)

1--2,J 1 J 1,J--

, 2" 2

(3.6)

-12-

where, as usual, ~ and ~ are the forward di fferences:

( 3.7)

and we choose sign (0) = ±1 in some consistent way, e.g. such that

s

. 1 .

1 +-,J 2

= S, 1 . 1 -"2,J

if

x

~+ u i j = 0 •

The total variation is defined as usual

TV(u) =.L. (4YI~ uijl + AX I~ uijl)

1 , J

(3.8)

We define TVD of schemes (3.2) and (3.1), respectively, by (2.4) and

.!_ TV(u) < 0 dt

(3.9)

Using ideas in [10] and [15], we get

Lemma 3.1 A sufficient condition for (3.1) to be TVD is

s .. L(u) .. ) 0, \I i,j

lJ lJ

(3.10a)

and for (3.2) to be TVD is

S~:l L(un).. 0 IJ

lJ lJ)' i,j

(3 .10b )

Proof: forward differencing (3.1) or (3.2) in x and y directions,

multiplying by (3.5), noticing

x d

ti.+ u·· - S 1 = 0 in distribution sense (for

1 J dt i +-,j

2

(3.1)), summing and using summation by parts, we get

.!_ TV (u ) dt

- - ~ S .. L(u) ..

t. 1 J 1 J

i , j

(3.11a)

for (3.1) and

-13-

n+l x n n+l y n n+l n

~ [So 1 . AYA+ u;J· + S1 .. +1 ss s; Uij] - At Y Sij L(u );j

.. 1 +-. J • J - i J.

1.J 2 2 •

(3.l1b)

for (3.2).

o

The S .. as defined in (3.6) is almost always zero. It fails to be zero 1J

only at critical points in x or y directions. Hence we only need to enforce

(3.10) at those critical points to get TVD.

We consider operators of the form

L(u) .. = Ll(u) .. + LC(u) ..

lJ 1J lJ

(3.12)

where L l(u) is a fi rst order monotone operator whi ch is known to be TVD in scalar multi-dimensional case [1], and LC(u) t s a high order correction term

such that (3.12) satisfies (3.3b) in smooth, monotone regions. Notice that

operators of many existing schemes. e.g. two dimensional versions of the ENO

schemes in [13] and of the TVD schemes in [9] and their TVB modifications in [11]. are already written in the form (3.12).

For fully discrete explicit schemes (3.2), we have an additional difficulty in tracking the critical points of the unknown un+1 in order to enforce (3.11b). To get around this difficulty, we further require LC to

satisfy a monotonicity-preserving property. i.e. if

U.. = u ~. + At L 1 (u n) . . (3.13)

lJ 1J lJ

is the solution of the first order monotone scheme. then we require

(3.14)

where n+I is the solution of (3.2)-(3.12). Or. using notations (3.5)-(3.6).
u
Sn+l '" Sn+l '" S~:l '"
= S . 1 . = S . . 1 = S .. 'If t , j (3.15)
. 1 . . . 1 1J 1J
1 +-,J 1 +-.J l,J+- 1,J+-
2 2 2 2 -14-

~

(In order to achieve this we may have to compute u before computing

We have the following

Lemma 3.2. A sufficient condition for (3.1) - (3.12) to be TVD is

s .. LC(u) .. ) 0 , II i,j

lJ lJ

(3.16a)

and for (3.2)-(3.12)-(3.13)-(3.15) to be TVD is

(3.16b)

Proof:

(1) For (3.1)-(3.12), (3.11a) now becomes

~ TV(u) = dt

- ,

f

i , j

s .. L l(u) .. - J. S .. LC(u) ..

lJ lJ. '. lJ lJ

1 , J

(3.17)

Hence it suffices to prove

IJ u

(3.18)

In fact, given u, we may use it for the initial condition of the first order monotone scheme ~t vij = L l(v)ij , then the derivative of the total variation .1._ TV(v) at t=O, which is just the left-hand-side of (3.18), should be nondt

pos it i ve because the monotone scheme is TVD;

(2) For (3.2)-(3.12)-(3.13)-(3.15), (3.11b) now becomes

(3.19)

'"

= TV ( u) - y S.. L c ( u ) . .

lJ lJ

i , j

Ct

-15-

We now use Lemma 3.2 to generalize our TVD modified ENO schemes to

two-dimension: We use step (1) - step (4) in section II separately to x and
... ...
y di recti ons in constructing f . 1 . and g .. +1 for (3.3a), with the following
1 +-,J 1,J -
2 2
(3.1), - + b±) in (2.14)
modifications at step 3: for change m(a - • to 13m ( t.~u i + 1 , j -1 ' t.~u i + 1 , j )) (3 • 2 Oa 1 ) t.ys

...

in the x- direction when constructing f, and to

13m ( t.{u i , j -1 ' t.~u i j , t.~u i , j + 1 ) ------) (3.20a2)

t.ys

...

in the y - direction when constructing g

and, for (3.2), change it to

...

in the x - direction when constructing f

and to

in the y - direction when constructing

A

g •

Again, t.x and t.y vii 1 1 not appear explicitly if the limited quantities are undivided differences.

Then we have the following

Proposition 3.3. (i) Scheme (3.1) with (3.20a) is TVD, for any B > 0

(ii) Scheme (3.2) with (3.20b) is TVD under the CFL restriction

-16-

1

48(1 + 2

(3.21)

plus, of course, the CFL restriction on the first order monotone scheme (3.13).

Proof: (t ) Clearly LC(u)ij = 0 when Sij "* 0, due to the definition of the minmod limiter (2.18). So (3.16a) is satisfied;

(ii) (3.20b)-(3.21) implies (3.14) (see (2.20) and (2.24) and use the fact that sign(a+b) = sign(a) if [b ] c [a ] }; and (3.20b) implies

c n ~

L (u ) .. = 0 when S .. "* 0, again due to (2.18). So (3.16b) is satisfied.

lJ lJ

o

Remark 3.4.

Limiters (3.20) affect accuracy in regions where

x y

/).+u.. or ~+u ..

lJ lJ

approaches zero, i.e. near critical points (in broad sense: i.e. the first

partial derivative is zero) in either x or y directions. In the example of

Goodman and LeVeque [2]

~+u .. = 0, hence the scheme becomes first order. lJ

In

(3.20a) we may let B + 00 and in (3.20b) we may choose a larger 8 by reducing the CFL number A (see (3.21)), in order to reduce the size of the degeneracy

region. Other strategies, e.g. choosing different 81s for x and y

direction differences and for various orders of divided differences, may also help

to reduce the size of degeneracy region.

Remark 3.5. The same procedure works to generalize certain other one-dimensional

TVD schemes to multi-dimension, e.g. the high order (up to 15th order) TVD schemes in (9) and their TVB globaly high order modifications in [11]. We will not carry

out the details here.

-17-

References

[1] M. Crandall and A. Majda, Monotone Difference Approximations for Scalar Conservation Laws; Math. Comp., V34, 1980, pp. 1-21.

[2] J. Goodman and R. LeVeque, On the Accuracy of Stable Schemes for 20 Scalar Conservation Laws; Math. Comp., V45, 1985, pp. 15-21.

[3] A. Harten, High Resolution Schemes for Hyperbolic Conservation Laws; J. Comput. Phys., V49, 1983, pp. 357-393.

[4] A. Harten, On a class of High Resolution Total-Variation-Stable Finite Difference Schemes; SIAM J. Numer. Anal., V21, 1984, pp. 1-23.

[5] A. HartenJ Prelimina~ Results on the Extension of ENO Schemes to Two-Dimensional Problems; Proceedings of the International Conference on Hyperbolic Problems, Saint-Etienne, January 1986.

[6] A. Harten and S. Osher, Uniformly High Order Accurate Non-Oscillatory Schemes, I; MRC Technical Summary Report #2823, May 1985, to appear in SIAM J. Numer. Anal.

[7] A. Harten, B. Enguist, S. Osher and S. Chakravarthy, Uniformly High Order Accurate Essentially Non-Oscillatory Schemes, III; to appear in J. Comput. Phys.

[8] S. Osher and S. Chakravarthy, High Resolution Schemes and the Entropy Condition; SIAM J. Numer. Anal., V21, 1984, pp. 955-984.

[9] S. Osher and S. Chakravarthy, Very High Order Accurate TVD Schemes; IMA Volumes in Mathematics and its Applications, V2, Springer-Verlag, 1986, pp. 229-274.

[10] R. Sanders, On Convergence of Monotone Finite Difference Schemes with Variable Spatial Differencing; Math. Comp., V40, 1983, pp. 91-106.

[11] C. Shu, TVB Uniformly high Order Schemes for Conservation Laws; Math.

Comp., V49, July 1987, (to appear).

[12] C. Shu, TVD Time Discretizations; preprint.

[13] C. Shu and S. Osher, Efficient Implementation of Essentially Non-Oscillatory Shock Capturing Schemes; preprint, to be submitted to J. Comput. Phys.

[14] P.K. Sweby, High Resolution Schemes Using Flux Limiters for Hyperbolic Conservation Laws; SIAM J. Numer. Anal., V21, 1984, pp. 995-1011.

[15] E. Tadmor, Convenient Total Variation Diminishing Conditions for Nonlinear Difference Schemes; ICASE Report No. 86-74, November 1986

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BUS ADM FORM 173 REV 9/85

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TVD PROPERTIES OF A CLASS OF MODIFIED ENO SCHEMES FOR SCALAR CONSERVATION LAWS

By

CHI-WANG SHU

IMA Preprint Series # 308

April 1987

INSTITUTE FOR MATHEMATICS AND ITS APPLICATIONS UNIVERSITY OF MINNESOTA

514 Vincent Hall

206 Church Street S.E.

Minneapolis. Minnesota 55455

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