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Computational Mechanics 28 (2002) 375–380 Ó Springer-Verlag 2002

DOI 10.1007/s00466-002-0301-7

A high order implicit algorithm for solving instationary


non-linear problems
M. Jamal, B. Braikat, S. Boutmir, N. Damil, M. Potier-Ferry

375
Abstract In this paper a high order implicit algorithm is description is then obtained. These algorithms work very
developed for solving instationary non-linear problems. well but they may be costly in term of computation time.
This generic numerical method combines four mathemati- In this paper, we propose to use high order iteration
cal techniques: a time discretization, a homotopy transfor- techniques to solve the non-linear problems deduced from
mation, a perturbation technique and a space discretization. time discretization. These methods are well established and
The time integration is performed by classical implicit efficient to solve path-following problems and they can be
schemes (Euler implicit for problems with a first order time applied to a lot of physical models, see for instance [4, 6, 16].
derivative and Newmark for second order). The time- It is also possible to solve in that way non-linear problems,
discretization leads to non-linear equations. In this paper a that do not depend on a scalar parameter. The idea is to
new technique is proposed to solve iteratively the latter apply a homotopy transformation and to compute series
equations. The key points in this approach are, first a high with respect to the homotopy parameter, see [1, 8]. We refer
order solver based on perturbation techniques, second the to recent papers [9, 15] for a general discussion and an
possibility of choosing the iteration operator, which limits optimisation of these high order iterative algorithms. A key
the number of matrices to be triangulated. To illustrate the point is the possibility to choose the operator that will be
performance of the proposed algorithm two examples are triangulated and to compute many time steps with a single
considered: the Korteweg-de Vries equation (KdV) and the matrix triangulation. An algorithm of this type has been
non-linear oscillations of a 2D elastic pendulum. proposed recently in [5, 14]. A variant of the latter method
will be presented and tested here, that leads to a strong
Keywords Implicit, High order, Instationary, Non-linear, reduction of the number of matrix inversions.
Homotopy, Perturbation, Time-space discretization To illustrate the proposed algorithm, let us consider the
following non-linear evolution problem:
1
Introduction ou
¼ f ðuÞ; uðt ¼ 0Þ ¼ u0 ; ð1Þ
During the last few years, a considerable research amount ot
has been done in order to elaborate efficient algorithms for
solving non-linear evolution problems. A variety of where f ð:Þ is a spatial differential operator, u is the
numerical methods for these time dependent problems has unknown and u0 is the initial condition. Using, for
been proposed. The time discretization of a non-linear instance, an Euler implicit scheme, the time discretization
evolution equation leads to a non-linear equation to define of the previous problem leads to the following non-linear
the solution at the next step. The most common methods equation in terms of the new unknown unþ1 :
to solve the latter equation are the classical iterative unþ1  Dtf ðunþ1 Þ ¼ un ; ð2Þ
algorithms for evolution problems [10, 17, 18] and pre- j
dictor–corrector ones for dynamic structural problems where u represents the value of the unknown at time
[2, 3, 7, 12, 19]. These algorithms permit ones to get the tj ¼ jDt.
solution of the considered non-linear time dependent Generally, the solution unþ1 of the non-linear equation
problems in a step wise manner and a full point by point (2) is computed by an iterative method. More recently,
high order algorithms have been proposed, that are cou-
pling a homotopy transformation and a perturbation
Received 10 February 2001 / Accepted 19 December 2001
technique. All these methods rely on a splitting of the
M. Jamal, B. Braikat, S. Boutmir, N. Damil operator f ðuÞ ¼ L ðuÞ þ gðuÞ, where L is a linear opera-
Laboratoire de Calcul Scientifique en Mécanique, tor. The choice of the operator L is a crucial point in the
Faculté des Sciences Ben M’Sik, definition of the algorithm. For instance, this type of
Université Hassan II – Mohammedia, method has been applied to the non-linear wave equation
B.P. 7955 Sidi Othman, Casablanca, Maroc typified by the Korteweg-de Vries (KdV) equation. In the
literature, L ðuÞ ¼ o3 u=ox3 has been frequently chosen at
M. Potier-Ferry (&) any time step. For many other applications, such as in
Laboratoire de Physique et Mécanique des Matériaux,
UMR CNRS 7554. Institut Supérieur de Génie Mécanique et structural dynamics, L is chosen as the tangent operator
Productique, Université de Metz, Ile du Saulcy, at the current state: this leads to Newton’s algorithm.
57045 Metz Cedex 01, France Within the so-called iterative method [18], generally, a
e-mail: potier-ferry@lpmm.univ-metz.fr space discretization of this problem is carried out and then
the obtained discretized equations are solved iteratively. using another homotopy transformation introduced in an
The nodal unknown is denoted by U nþ1 . In the first itera- earlier work [9, 15] and in another framework. To solve
tion, one assumes in the term GðU nþ1 Þ, the value of the initial value problem (5), we propose, in this work, a
U nþ1 ¼ U0nþ1 ¼ U n to start with. Therefore, the right hand- high order implicit algorithm which combines: a time
side becomes known. Next one iterates until the conver- discretization, a homotopy transformation, a perturbation
gence criterion is satisfied. The solution of the problem is technique and a space discretization. It is important to
the limit of the sequence ðU1nþ1 ; . . . ; Uknþ1 ; . . .Þ which is begin with the time discretization.
solution of the following recurrent algebraic systems
Time discretization (a-method) The time interval ½0; T
is
ðI  DtK  ÞUknþ1 ¼ U n þ DtGðUk1
nþ1
Þ; k1 : ð3Þsplit into a finite number of intervals of length Dt (time
376 where K  and G are the discretized versions of L and g. step). By performing a time discretization (finite differ-
The principle of the second way consists in applying, ences) using the a-method [3], the discretized form of
firstly, a homotopy transformation [1, 8]. This consists in problem (5) is:
modifying the non-linear problem (2) verified by unþ1 by nþ1
introducing an arbitrary parameter  in the non-linear u  un þ aDtðLunþ1 þ Qðunþ1 ; unþ1 ÞÞ ¼ snþ1 ; ð6Þ
nþ1 nþ1  nþ1 nþ1
term gðu Þ in (2) ð f ðu Þ ¼ L u þ gðu ÞÞ. In this
way, the unknown becomes a function of the homotopy where snþ1 ¼ DtðaF nþ1 þ ð1  aÞF n Þ  Dtð1  aÞ
n n n n nþ1
parameter , which we denote by wnþ1 ðÞ. This last satisfies ðLu þ Qðu ; u ÞÞ is a right hand-side (r.h.s.), F and F
now the following non-linear problem: are the excitations forces evaluated respectively at times
 nþ1  nDt and ðn þ 1ÞDt, un denotes a known approximation of
 nþ1 n
ðI  DtL Þw ðÞ ¼ u þ Dtg w ðÞ : ð4Þ the solution at time nDt, unþ1 is the new unknown of the
problem (6) at time ðn þ 1ÞDt, a is a real number such that
This homotopy transformation has been defined in such a 0 a 1. This well-known scheme is explicit only if
way that for  ¼ 0, the Eq. (4) becomes linear with a a ¼ 0.
prescribed space operator L and for  ¼ 1, one recovers
the equation to be solved (2).
Secondly the new unknown wnþ1 ðÞ of this modified Homotopy transformation To calculate the solution unþ1
problem is sought in the form of an integro-power of the Eq. (6), we introduce the increment as a new
series with respect to the homotopy parameter : unknown
nþ1 nþ1 nþ1 k nþ1
w ðÞ ¼ w0 þ w1 þ    þ  wk þ   . After a v ¼ unþ1  un : ð7Þ
nþ1
spatial discretization, the terms Wk are solutions of a set
Inserting the change of the unknown (7) into (6), leads to
of linear problems that are similar to (3), but with different
the exact non-linear problem satisfied by the increment v:
right hand-sides. So the proposed algorithm is a variant of
the iterative algorithm by replacing the iterations by a LT v þ aDtQðv; vÞ ¼ fq ; ð8Þ
computation of the series. where LT ð:Þ ¼ 1 þ DtaðLð:Þ þ Qð:; un Þ þ Qðun ; :ÞÞ is the
In this paper, we focus on algorithms, where the oper- tangent operator evaluated at un and
ator is the same for any time step. In this way, the solution fq ¼ Dt ðLun þ Qðun ; un ÞÞ þ Dt ðaF nþ1 þ ð1  aÞF n Þ.
on a finite interval is obtained by inverting a single matrix The numerical resolution of (8) by Newton methods is
I  DtK  . The choice of a non-consistent matrix K  can very time consuming since the tangent operator has to be
limit the range of convergence, but of course this matrix updated at each time step or at each iteration.
can be updated if the process diverges. We will propose an To overcome this difficulty, we introduce an arbitrary
algorithm based on homotopy and perturbation, where the invertible operator L and a homotopy transformation. We
homotopy is similar as in (4). A similar algorithm had modify the non-linear problem (8) satisfied by the incre-
been proposed recently [5], but the perturbation technique ment v by introducing an arbitrary parameter  and an
was applied before the time discretization. The presented arbitrary invertible operator L in the Eq. (8).
algorithm will be compared with the latter one, as well as
with the classical iterative method (3). L wðÞ þ ðLT  L ÞwðÞ þ aDtQðwðÞ; wðÞÞ ¼ fq :
2 ð9Þ
The proposed algorithm By this way, the solution wðÞ of the non-linear equation
A number of non-linear partial differential equations (9) passes continuously from 0 for  ¼ 0 to the solution of
modeling evolution problems can be written in the form: the non-linear problem (8) for  ¼ 1 ðv ¼ wð1ÞÞ.
( There is no general rule to derive a homotopy trans-
ou þ Lu þ Qðu; uÞ ¼ F
ot ð5Þ formation as (9). The latter one is exactly the same as
proposed in [15] in a static framework after several
uðt ¼ 0Þ ¼ u0 ;
attempts. The requirements to define a good homotopy
where Lð:Þ and Qð:; :Þ are respectively a linear operator and transformation are the followings: simplicity and thus a
a quadratic operator, F is an excitation force, u0 is the linear dependence in ; maximal efficiency, what has lead
initial condition and u is the unknown. to a unchanged non-linear term; the operator to be
We can accelerate the convergence of the homotopy– inverted L can be a priori chosen, what explains the
perturbation technique presented in the introduction by -dependence of the second term.
The approximation of the solution of the problem (5) at where uðx; tÞ is the wave amplitude. To avoid the reflexion
time ðn þ 1ÞDt is then given by unþ1 ¼ un þ wð1Þ. when the signal reaches the boundary, the length L has
been chosen large. The real parameter l determines both
Perturbation technique To solve the non-linear problem the amplitude and speed. For the original KdV equation,
(9), we seek the solution in the form of a truncated inte- the soliton solution [11] is:
gro-power series with respect to : uðx; tÞ ¼ 3l2 sech2 ð0:5lðx  l2 tÞÞ.
To compute the solution uðx; tÞ of (14), we follow the
wðÞ ¼ w1 þ 2 w2 þ    þ k wk þ    þ p wp : ð10Þ steps of the proposed algorithm. Firstly, we perform a time
The terms wk ð1 k pÞ are solutions of the following set integration by the implicit Crank–Nicolson scheme
of linear problems ða ¼ 0:5Þ and we choose Dt ¼ 0:1. Secondly, we fix the
 truncation order at a value p and we solve the p linear
L w1 ¼ fq; 377
problems (11) using a finite difference method; the space
X
k1 interval ½L=2; L=2
is discretized in N intervals of length
L wk ¼ ðL  LT Þwk1  Qðwr ; wkr Þ; ð11Þ Dx ¼ 1 (space step). We have chosen the numerical values
r¼1 l ¼ 0:55, L ¼ 300, T ¼ 150. These data are the same as
k ¼ 2; . . . ; p : in [13].
It is not necessary to test the convergence of the series
Let us note that we don’t need to update the operator L for the KdV equations because it converges rapidly. The
which will be inverted once for all (for fixed Dt). In this quality of the solution will be only controlled by the
work, we shall choose truncation order. In addition, we shall present the evolu-

L ð:Þ ¼ 1 þ DtaðLð:Þ þ Qð:; u0 Þ þ Qðu0 ; :ÞÞ. tion of the residual along the time axis.
The classical iterative process (3) will be also tested in this
Space discretization A classical finite difference method, case, for the sake of comparison. This process is controlled
permits to transform (11) into the following algebraic by a tolerance j: the iterative process will continue until
systems: jjUknþ1  Uk1
nþ1
jj
j : ð15Þ
K  W1 ¼ FQ; nþ1
jjUk jj
K  Wk ¼ ðK   KT ÞWk1 þ FQnl ; k ¼ 2; . . . ; p ; In Fig. 1, we plot the wave profile U along the time axis,
at node 151, obtained by the high order implicit algorithm,
ð12Þ the iterative method and the analytical solution (one sol-
 iton solution). We have verified that the optimal time-step
where K and KT are respectively the matrix correspond-
ing to the operators L and LT and FQnl is a r.h.s. vector corresponds to Dt ¼ 0:1, which gives a sufficient accuracy.
that depends on the solutions of previous orders. To solve For greater Dt, the two numerical solutions diverge from
numerically the linear equations (12), only one triangula- the analytical solution. In Fig. 1b, we plot the decimal
tion of K  is needed. Hence, the approximation of the logarithm of the residual norm along the time axis of the
solution of the initial value problem (5) at time ðn þ 1ÞDt solution obtained by the proposed algorithm (for different
is expressed by: orders 2, 3, 4 and 5 ) and by the iterative method (for
various tolerances 104 , 106 , 107 and 109 ). The residual
U nþ1 ¼U n þWð ¼ 1Þ¼U n þW1 þW2 þ    þWp : ð13Þ norm, with the proposed method, decreases with an in-
creasing truncation order. With the iterative method, the
3 residual norm decreases with a decreasing tolerance only
Application to non-linear wave propagation in the interval ½0; 40
. Beyond t ¼ 40, the iterative method
The iterative method previously described has often been is no longer able to provide a residual smaller than 104 ,
applied to solve the Korteweg-de Vries equation. It is whatever is the value of the tolerance j.
established that the solutions of this equation can be Let us note that the solution in Fig. 1a requires only one
obtained by inverting one matrix which corresponds to the matrix triangulation and the computation of many r.h.s.
discretization of the operator L ðuÞ ¼ o3 u=ox3 . In this with the two methods. To get the solution on the interval
part, we shall apply the algorithm based on the series, to ½0; 150
using a time step Dt ¼ 0:1 and a truncation order
verify that it gives the same results without increasing the p, we need 1500p computations of r.h.s. with the proposed
computation cost and without deterioration of the quality algorithm. The same number is needed in the iterative
of the solution. Consider the one dimensional wave method when p iterations by time-step are required.
propagation problem with both quadratic non-linearities So, for this rather easy example, a single matrix inver-
and dispersion phenomena described by the Korteweg-de sion is sufficient to achieve the computation in a large time
Vries equation (KdV): interval. Thus, the number of computed r.h.s. is the key
8 point in the analysis of these algorithms, because the CPU
>
> ouðx; tÞ o3 uðx; tÞ ouðx; tÞ
> time is about proportional to this number. In this paper,
< ot þ ox3 þ uðx; tÞ ox ¼ 0
>
we limited ourselves to an indirect control of the algo-
uðx; 0Þ ¼ 3l2 sech2 ð0:5lxÞ; ð14Þ rithm, by the tolerance j or by the order of truncation. The
>
>
>
> efficiency of the algorithms can be estimated by comparing
: uðL=2; tÞ ¼ uðL=2; tÞ ¼ ou ðL=2; tÞ ¼ 0
ox the number of computed r.h.s. according to the quality of
Fig. 1. a One-soliton solution
versus time t at node 151,
comparison between the pro-
posed algorithm, the iterative
method and the analytical so-
lution. b Residual norm versus
time t, comparison of accura-
cies of the proposed algorithm
378 truncated at orders 2, 3, 4 and
5 and of the iterative method
for different tolerances 104 ,
106 , 107 and 109

Table 1. Comparison between


the proposed algorithm and Proposed algorithm Iterative method
the iterative method
Order Number Residual Tolerance Number of itera- Number Residual
of r.h.s. tions by step of r.h.s.
2 3000 105 104 2 3002 104
3 4500 106 106 3 4503 104
4 6000 108 107 4 6004 104
5 7500 1010 109 5 7505 104

the final solution. This quality is measured by the maximal and l are respectively the initial and the current lenghts, x; y
residual along the time interval ½0; 150
. The numerical are the coordinates of the mass with respect to a Cartesian
results are presented on Table 1. Four computations have frame Oxy and mg represents the gravitational force field.
been done, having the same computational cost with the The non-linear initial value problem describing the
two algorithms. In the proposed method, one can get a motion of the pendulum is:
very high accuracy by increasing the order. It is not the 8
> m€x þ kðl  l0 Þ xl ¼ mg
same with the iterative method. >
>
Two other algorithms have been tested for KdV equa- >
< m€ y þ kðl  l0 Þ yl ¼ 0
pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
tion. First, with Newton–Raphson method, the solution l ¼ x2 þ y2 ð16Þ
can be as accurate as wished, but many matrix inversions
>
>
>
are needed, which leads to a large CPU time [14]. Second, : xðt ¼ 0Þ ¼ x0 ; yðt ¼ 0Þ ¼ y0
>
x_ ðt ¼ 0Þ ¼ x_ 0 ; y_ðt ¼ 0Þ ¼ y_0
the same test has been computed by the similar algorithm
by Cochelin and Compain [5]. Unfortunately, a number of The second derivatives x€ and y€ are approximated in a
matrix inversions were needed, even with a high order of classical way by Newmark trapezoidal rule. Let us recall
truncation. That is why the new variant, presented in this that this classical scheme is unconditionaly stable in the
paper, seems more efficient than the algorithm in [5]. linear range, but not in the non-linear range.
All numerical computations are performed with the
4 data of the Ref. [12]: m ¼ 1 kg, k ¼ 30 N/m, g ¼ 10 m/s2 ,
Application to the mechanics of non-linear the initial conditions are: xð0Þ ¼ 0, yð0Þ ¼ 1:5 m, x_ ð0Þ ¼ 0
elastic structures and y_ð0Þ ¼ 0. We choose a sufficiently small time step
To our knowledge, the iterative method presented above is Dt ¼ 0:03 s, as in [12].
not used for structural problems. This is probably due to We analyse the non-linear oscillations of (16) using three
the difficulty of convergence of the iterative algorithm in algorithms to solve the non-linear equation at each step:
structural mechanics. Most of the authors prefer to solve Newton’s method used in [12], the high order implicit
the non-linear problems (2) by using the Newton–Raphson algorithm presented in Sect. 2 and the iterative method (3).
or the modified Newton methods. However, these methods A comparison of these methods is reported on Fig. 2 and
lead to the computation and the inversion of many ma- Table 2. In Table 2, one can see that the algorithm based on
trices. This becomes expensive when the number of de- Newton method needs a large number of matrix triangula-
grees of freedom is important. In this article, we limit tions while the two other algorithms demand only one
ourselves to a simple example describing non-linear os- matrix triangulation to get the solution in the interval ½0; 20
.
cillations of a 2D elastic pendulum [12], for a first evalu- This result is a bit surprising, with respect to the current
ation of the efficiency of the proposed algorithm in practice in structural dynamics with implicit schemes. Thus
structural dynamics. the application of non consistent matrices should be revis-
Consider the motion of an elastic pendulum consisting ited in this field, especially the iterative and the high order
of a mass attached to a spring of rigidity k. The numbers l0 algorithm that has been introduced in this paper.
379
Fig. 2. a Responses x and y
versus time t, b velocities x_
and y_ versus time t

Table 2. Comparison between


the proposed algorithm, the
Proposed algorithm Iterative method Newton–Raphson
iterative method and the
Newton–Raphson algorithm Order Number Residual Tolerance Number Residual Required Number of Obtained
of r.h.s. of r.h.s. residual inversions residual
2 1334 102 102 1355 102 102 1334 104
3 2001 103 103 1644 102 103 1348 104
4 2668 104 104 2019 104 104 1496 104
5 3335 105 105 2200 105 105 1903 105
6 4002 106 106 2602 106 106 1991 106

The efficiency of the proposed algorithm and of the References


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