Well-Conditioned Collocation Schemes and New Triangular Spectral-Element Methods

Spectral methods Well-conditioned collocation New TSEM Further studies
Well-Conditioned Collocation Schemes and

New Triangular Spectral-Element Methods
Michael Daniel V. Samson
switch@pmail.ntu.edu.sg
supervised by Li-Lian Wang
Nanyang Technological University
29 April 2014
Spectral methods
Background and history
Polynomial representation
Well-conditioned collocation
Preliminaries
Birkho interpolation method
Extensions
New TSEM
Preliminaries
New transform
Implementation
Further studies
Collocation
TSEM
Further reading
Numerical solution of dierential equations
Given f L
2
_
_
, g L
2
(), nd u such that
/u = f in dierential operator,
Bu = g on boundary conditions.
f and g are given as data on predetermined points in the
domain and on the boundary , respectively.
This allows for the determination of a numerical solution u
N
,
which can be computed in a few ways.
Lagrange interpolation
Given data (x
i
, y
i
), 0 i N, with pairwise distinct x
i
R,
the Lagrange interpolation of the data is given as p P
N
satisfying
p(x
i
) = y
i
for 0 i N,
computed by
p(x) =
N
i=0
y
i
L
i
(x) where L
i
(x) =
0jN
i=j
x x
j
x
i
x
j
.
L
i
is the Lagrange interpolation basis at the points x
i
,
also as the nodal basis, as each function is 1 on one node and 0
on the others, L
i
(x
j
) =
ij
.
Lagrange interpolation at quadrature points
If the nodes are Gauss-type quadrature points, with associated
weights
i
, then the Lagrange interpolation polynomials are
given as
L
i
(x) =

i
2
N
k=0
(2k + 1)P
k
(x
i
)P
k
(x)
for Legendre-Gauss-type points, and
L
i
(x) =

i
+
2
i
k=1
T
k
(x
i
)T
k
(x)
for Chebyshev-Gauss-type points.
Collocation scheme
Given nodes x
i
, values f(x
i
), g(x
i
), 0 i N, nd u
N
such
that
/u
N
(x
i
) = f(x
i
) for each x
i
;
Bu
N
(x
i
) = g(x
i
) for each x
i
.
These equations form a linear system Au =

f, where the
unknown is u = (u
N
(x
0
), . . . , u
N
(x
N
))
t
.
If the components of the nodes are, depending on and B,
Gauss-Radau or Gauss-Lobatto points, the nodes are spectral
collocation points.
Second-order BVP with Lagrange interpolation
Given I = (1, 1), r, s, f C(I) and u
, nd u such that
u
+ ru
+ su = f in I; u(1) = u
.
For nodes 1 = x
0
< x
1
< < x
N1
< x
N
= 1, let
u
N
(x) =
N
i=0
u
i
L
i
(x),
where L
i
is the nodal basis on x
i
. The collocation scheme
is, for 0 < i < N,
N1
k=1
u
k
L
k
(x
i
) + r(x
i
)
N1
k=1
u
k
L
k
(x
i
) + s(x
i
)u
i
=f(x
i
) + u
(L
0
(x
i
) r(x
i
)L
0
(x
i
)) + u
+
(L
N
(x
i
) r(x
i
)L
N
(x
i
)).
Linear system from Lagrange interpolation
When u
N
(x) =
N
i=0
u
i
L
i
(x), with L
i
the nodal basis on x
i
:
(D
(2)
in
+
r
D
(1)
in
+
s
)u =

f+u
d
(2)
0

r
d
(1)
0
)+u
+
(
d
(2)
N

r
d
(1)
N
),
where
D
(m)
in
= [L
(m)
j
(x
i
)]
N1
i,j=1
, m = 1, 2 u = (u
1
, . . . , u
N1
)
t
,
= diag((x
1
), , (x
N1
)), = r, s,

f = (f(x
1
), . . . , f(x
N1
))
t
,
d
(m)
k
= (L
(m)
k
(x
1
), . . . , L
(m)
k
(x
N1
))
t
, m = 1, 2, k = 0, N.
For spectral collocation points, D
(m)
in
and

d
(m)
k
, m = 1, 2,
k = 0, N, are computed accurately and eciently.
Spectral collocation using Lagrange interpolation
Consider
u
(x)(1+sin x)u
(x)+e
x
u(x) = f(x), x (1, 1); u(1) = u
,
with f C
1
(
I) and the exact solution u C

3
(
I), given by
u(x) =
_
cosh(x + 1) x
2
/2 x, 1 x < 0,
cosh(x + 1) cosh(x) x + 1, 0 x 1.
10
1
10
2
10
3
10
14
10
12
10
10
10
8
10
6
10
4
10
2
N

BCOL
LCOL
PLCOL
10
1
10
2
10
3
10
14
10
12
10
10
10
8
10
6
10
4
10
2
N

BCOL
LCOL
PLCOL
Motivations and goals
Generate a collocation scheme that is
Well-conditioned: condition number for Lagrange
interpolation collocation for second-order BVP is O(N
4
)
Stably, eciently, accurately computed: as in Lagrange
interpolation collocation
Previous methods use preconditioning or spectral integration
to generate systems with better condition numbers, but still
dependent on N
Well-conditioned collocation scheme
Generate a well-conditioned collocation scheme based on a
dierent interpolation basis
Uses integration on nodal functions to generate systems
with condition number independent of N
Generates an optimal preconditionerinverts the
dierential matrix of highest order
Computed accurately, stably and ecientlybased on
slowly-decaying coecient matrices
The new interpolation basis has to be carefully veried and
computed, as it does not always exist, and that modications
may be needed to ensure the collocation scheme is
well-conditioned.
Birkho interpolation for second-order BVP
Given data (x
i
, y
2
i
), 0 < i < N, y
0
and y
N
, with
1 = x
0
< x
1
< < x
N1
< x
N
= 1, the Birkho
interpolation of the data is given as p P
N
satisfying
p(1) = y
0
; p
(x
i
) = y
2
i
for 0 < i < N; p(1) = y
N
computed by p(x) = y
0
B
0
(x) +
N1
i=1
y
2
i
B
i
(x) +y
N
B
N
(x) where
B
0
(1) = 1; B
0
(x
i
) = 0, 0 < i < N; B
0
(1) = 0;
B
j
(1) = 0; B
j
(x
i
) =
ij
, 0 < i < N; B
j
(1) = 0, 0 < j < N;
B
N
(1) = 0; B
N
(x
i
) = 0, 0 < i < N; B
N
(1) = 1.
B
i
is the Birkho interpolation basis at the points x
i
.
Birkho interpolation for second-order BVP
Given data (x
i
, y
2
i
), 0 < i < N, y
0
and y
N
, with
1 = x
0
< x
1
< < x
N1
< x
N
= 1, the Birkho
interpolation of the data is given as p P
N
satisfying
p(1) = y
0
; p
(x
i
) = y
2
i
for 0 < i < N; p(1) = y
N
computed by p(x) = y
0
B
0
(x) +
N1
i=1
y
2
i
B
i
(x) +y
N
B
N
(x) where
B
0
(x) = (1 x)/2;
B
j
(1) = 0; B
j
(x
i
) =
ij
, 0 < i < N; B
j
(1) = 0, 0 < j < N;
B
0
(x) = (1 + x)/2.
B
i
is the Birkho interpolation basis at the points x
i
.
Stable anti-dierentiation on orthogonal polynomials
Dene the following antiderivatives:
(1)
x
P
0
(x) =
1 + x
2
;
(1)
x
P
k
(x) =
P
k+1
(x) P
k1
(x)
2k + 1
, k > 0;
(1)
x
T
0
(x) =
1 + x
2
;
(1)
x
T
1
(x) =
x
2
1
2
;
(1)
x
T
k
(x) =
T
k+1
(x)
k + 1

T
k1
(x)
k 1

2(1)
k
k
2
1
, k > 1;
and
([m+1])
x
=
(1)
x
[
(m)
x
]. Then
_
x
1
(t) dt =
(1)
x
(x).
Note that
(1)
x
P
k
(1) =
(1)
x
T
k
(1) = 0, k 0, but
(1)
x
P
k
(1) = 0 for k > 0 and
(1)
x
T
k
(1) = 0, for odd k > 0.
Birkho interpolation for spectral collocation points
For Gauss-Lobatto quadrature points and weights (x
i
,
i
), the
associated Birkho interpolation polynomials B
i
, 0 < i < N,
follow from
B
i
(x) =

i
2
N2
k=0
(2k + 1)[P
k
(x
i
) P
Nm
Nk
(x
i
)]P
k
(x)
for Legendre-Gauss-Lobatto points, and
B
i
(x) =

i
(1T
Nm
N
(x
i
))+
2
i
N2
k=1
[T
k
(x
i
)T
Nm
Nk
(x
i
)]T
k
(x)
for Chebyshev-Gauss-Lobatto points, where m
j
= j mod 2.
i
,
i
), the
i
, 0 < i < N,
are given by
B
i
(x) =

i
2
N2
k=0
(2k + 1)[P
k
(x
i
) P
Nm
Nk
(x
i
)]
(2)
x
P
k
(x)
(1 + x)
i
4
[1 P
Nm
N
(x
i
)]
(2)
x
P
0
(1)
(1 + x)
3
i
4
[x
i
P
Nm
N1
(x
i
)]
(2)
x
P
1
(1)
for Legendre-Gauss-Lobatto points, where m
j
= j mod 2.
i
,
i
), the
i
, 0 < i < N,
are given by
B
i
(x) =
2
i
N2
k=1
[T
k
(x
i
) T
Nm
Nk
(x
i
)]
(2)
x
T
k
(x)
(1 + x)
N2
k=1
[T
k
(x
i
) T
Nm
Nk
(x
i
)]
(2)
x
T
k
(1)
+

i
2
(1 T
Nm
N
(x
i
))[2
(2)
x
(x)
(2)
x
(1)(1 + x)]
for Chebyshev-Gauss-Lobatto points, where m
j
= j mod 2.
Collocation scheme using Birkho interpolation
Given I = (1, 1), b, c, f C(I), > 0 and u
, nd u such that
u
+ bu
+ cu = f in I; u(1) = u
.
For nodes 1 = x
0
< x
1
< < x
N1
< x
N
= 1, let
u
N
(x) =
N
i=0
v
i
B
i
(x),
where B
i
is Birkho interpolation basis on x
i
. The
collocation scheme is, for 0 < i < N,
v
i
+ b(x
i
)
N1
k=1
v
k
B
k
(x
i
) + c(x
i
)
N1
k=1
v
k
B
k
(x
i
)
=f(x
i
) +
u
(b(x
i
) c(x
i
)(1 x
i
)) u
+
(b(x
i
) + c(x
i
)(1 + x
i
))
2
.
Linear system from Birkho interpolation
When u
N
(x) =
N
i=0
v
i
B
i
(x), with B
i
the Birkho
interpolation basis on x
i
:
(I
N1
+
b
B
(1)
in
+
c
B
(0)
in
)v =

f+
(u
u
+
)
b
1
c
(u
+ u
+
x
+
)
2
,
where
B
(m)
in
= [B
(m)
j
(x
i
)]
N1
i,j=1
, m = 0, 1 v = (v
1
, . . . , v
N1
)
t
,
= diag((x
1
), , (x
N1
)), = b, c,

f = (f(x
1
), . . . , f(x
N1
))
t
,
1 = (1, . . . , 1)
t
, x
1 (x
1
, . . . , x
N1
)
t
.
For spectral collocation points, B
(m)
in
, m = 0, 1, are computed
accurately and eciently. Solution: u = u
+B
(0)
in
v +u
+
x
+
.
Second-order BVP with Birkho interpolation
Consider the example
u
(x)(1+sin x)u
(x)+e
x
u(x) = f(x), x (1, 1); u(1) = u
,
with the exact solution u(x) = e
(x
2
1)/2
. For Legendre spectral
collocation points,
N
Lagrange Birkho Preconditioned Lagrange
Cond.# Error iters Cond.# Error iters Cond.# Error iters
64 3.97e+05 3.82e-14 286 6.36 5.55e-16 10 2.86 1.67e-15 8
128 6.23e+06 4.42e-13 1251 6.46 1.11e-15 10 2.86 2.44e-15 8
256 9.91e+07 3.95e-13 6988 6.51 1.11e-15 11 2.86 2.55e-15 8
512 1.58e+09 1.02e-11 9457 6.54 1.89e-15 11 2.86 4.77e-15 8
1024 2.52e+10 6.58e-12 9697 6.55 3.44e-15 11 2.86 1.15e-14 9
The Lagrange linear system is preconditioned with
B
(0)
in
= [D
(2)
in
]
1
. BiCGSTAB iteration is used (initial:

0).
Second-order BVP with Birkho interpolation
Consider the example
u
(x)(1+sin x)u
(x)+e
x
u(x) = f(x), x (1, 1); u(1) = u
,
with the exact solution u(x) = e
(x
2
1)/2
. For Chebyshev
spectral collocation points,
N
Lagrange Birkho Preconditioned Lagrange
Cond.# Error iters Cond.# Error iters Cond.# Error iters
64 7.23e+05 8.38e-14 285 6.43 7.77e-16 10 2.86 1.44e-15 8
128 1.16e+07 2.87e-13 1304 6.50 7.77e-16 10 2.86 4.22e-15 8
256 1.85e+08 9.74e-13 5868 6.53 1.22e-15 11 2.86 6.55e-15 8
512 2.96e+09 4.51e-12 9987 6.55 1.78e-15 11 2.86 3.44e-15 8
1024 4.73e+10 1.27e-11 9938 6.56 3.77e-15 11 2.86 6.00e-15 9
The Lagrange linear system is preconditioned with
B
(0)
in
= [D
(2)
in
]
1
. BiCGSTAB iteration is used (initial:

0).
Second-order BVP with mixed boundary using
Birkho interpolation
Given a second-order BVP with the mixed-boundary conditions
u(1) u
(1) = c
, u(1) + u
(1) = c
+
,
where c
are given. Compare condition numbers for Lagrange

interpolation (LCOL) and Birkho interpolation (BCOL):
N
u
+ u = f u
+ u
+ u = f
Chebyshev Legendre Chebyshev Legendre
BCOL LCOL BCOL LCOL BCOL LCOL BCOL LCOL
32 2.42 1.21e+05 2.45 6.66e+04 2.61 1.43e+05 2.61 7.87e+04
64 2.43 2.65e+06 2.45 1.41e+06 2.63 3.15e+06 2.63 1.68e+06
128 2.44 5.88e+07 2.45 3.09e+07 2.64 7.04e+07 2.64 3.70e+07
256 2.44 1.32e+09 2.45 6.88e+08 2.64 1.58e+09 2.64 8.26e+08
512 2.44 2.97e+10 2.44 1.54e+10 2.65 3.57e+10 2.65 1.86e+10
1024 2.44 6.71e+11 2.44 3.48e+11 2.65 8.08e+11 2.65 4.19e+11
First-order IVP with Birkho interpolation
Consider the rst-order IVP
u
(x) sin(x)u(x) = f(x), x I = (1, 1); u(1) = u
,
with an oscillatory solution:
u(x) = 20 exp(cos(x))
_
x
1
exp(cos(t)) sin(500t
2
) dt.
1 0.5 0 0.5 1
0.5
0
0.5
1
1.5
2
x
400 450 500 550 600 650 700 750
10
14
10
12
10
10
10
8
10
6
10
4
10
2
10
0
N

BCOL
LCOL
Third-order BVP with Birkho interpolation
Consider the following problem: for x I = (1, 1),
_
u
(x) + r(x)u
(x) + s(x)u
(x) + t(x)u(x) = f(x);

u(1) = u
, u
(1) = u
1
,
where r, s, t and f are given continuous functions on I, and u
,
u
+
and u
1
are given constants.
The condition numbers of the coecient matrices for CGL
points are tabulated.
N r s 0, t 1 r 0, s t 1 s 0, r t 1 r s t 1
128 1.16 1.56 2.22 1.80
256 1.16 1.56 2.22 1.80
512 1.16 1.56 2.23 1.80
1024 1.16 1.56 2.23 1.80
Third-order Korteweg-de Vries
Consider the third-order Korteweg-de Vries (KdV) equation:
t
u + u
x
u +
3
x
u = 0, x (, ), t > 0; u(x, 0) = u
0
(x),
with the exact soliton solution
u(x, t) = 12
2
sech
2
((x 4
2
t x
0
)),
where and x
0
are constants. Let be the time step size. Use
the Crank-Nicolson leap-frog scheme in time and the new
collocation method in space: nd u
k+1
N
P
N+1
such that for
0 < j < N,
u
k+1
N
(Lx
j
) u
k1
N
(Lx
j
)
2
+
3
x
_
u
k+1
N
+ u
k1
N
2
_
(Lx
j
)
=
x
u
k
N
(Lx
j
)u
k
N
(Lx
j
);
u
k
N
(L) =
x
u
k
N
(L) = 0, k 0.
Third-order KdV results
Let = 0.3, x
0
= 20, L = 50 and = 0.001.
80 90 100 110 120 130 140 150 160
10
7
10
6
10
5
10
4
10
3
10
2
10
1
N

t = 1
t = 50
On left, the numerical evolution of the solution with t 50 and
N = 160. On right, the maximum point-wise errors for various
N at t = 1, 50.
Fifth-order BVP with Birkho interpolation
Consider the fth-order problem:
_
u
(5)
(x) + a(x)u
(x) + b(x)u(x) = f(x), x I = (1, 1);

u(1) = u
(1) = u
(1) = 0,
where a, b and f are given continuous functions on I.
Compare the generalized Lagrange interpolation p P
N+3
satisfying, for u C
5
(I), u(1) = u
(1) = u
(1) = 0,
p(y
j
) = u(y
j
), 0 < j < N; p(1) = p
(1) = p
(1) = 0,
where y
j
N1
j=1
are zeros of the Jacobi polynomial J
(3,2)
N1
(x),
computed by p(x) =
N1
j=1
u(x
j
)
L
j
(x) where
L
j
(x) =
J
(3,2)
N1
(x)
(x x
j
)
x
J
(3,2)
N1
(x
j
)
(1 x)
3
(1 + x)
2
(1 x
j
)
3
(1 + x
j
)
2
.
Fifth-order BVP results
Solving by the three collocation schemes
_
u
(5)
(x) + sin(10x)u
(x) + xu(x) = f(x), x I = (1, 1);

u(1) = u
(1) = u
(1) = 0, with solution u(x) = sin

3
(x).
20 40 60 80 100 120 140 160 180 200
10
14
10
10
10
6
10
2
10
2
N

BCOL
LCOL
SCOL
Fifth-order Korteweg-de Vries
Consider the fth-order Korteweg-de Vries (KdV) equation:
t
u+u
x
u+
3
x
u
5
x
u = 0, x (, ), t > 0; u(x, 0) = u
0
(x),
with the exact soliton solution
u(x, t) =
0
+
105
2
169
sech
4
__

52
_
x
_
0
+
36
2
169
_
t x
0
__
,
where , , ,
0
and x
0
are constants. Let be the time step
size and
j
= Lx
j
. Use the Crank-Nicolson leap-frog scheme in
time and the new collocation method in space: nd
u
k+1
N
P
N+3
such that for 0 < j < N,
u
k+1
N
(
j
) u
k1
N
(
j
)
2
+
3
x
_
u
k+1
N
+ u
k1
N
2
_
(
j
)
5
x
_
u
k+1
N
+ u
k1
N
2
_
(
j
)
=
x
u
k
N
(
j
)u
k
N
(
j
);
u
k
N
(L) =
x
u
k
N
(L) =
2
x
u
k
N
(L) = 0, k 0.
Fifth-order KdV results
Let = = 1, = 1.1,
0
= 0, x
0
= 10, L = 50 and
= 0.001.
50 60 70 80 90 100 110 120
10
8
10
6
10
4
10
2
N

t = 1
t = 50
t = 100
Two-dimensional BVP with partial diagonalization
Consider, as an example, the two-dimensional BVP:
uu = f in = (1, 1)
2
; u = 0 on ,
where 0 and f C(). The collocation scheme is: nd
u
N
(x, y) Q
N
() := P
2
N
such that
(u
N
u
N
)(x
i
, y
j
) = f(x
i
, y
j
), 0 < i, j < N; u
N
= 0 on ,
where x
i
and y
j
are LGL points. Let
u
N
(x, y) =
N1
k,l=1
u
kl
B
k
(x)B
l
(y),
and obtain the system:
UB
t
in
+B
in
U B
in
UB
t
in
= F,
where U = [u
kl
]
0<k,l<N
and F = [f
kl
]
0<k,l<N
.
Two-dimensional BVP with partial diagonalization
Consider, as an example, the two-dimensional BVP:
uu = f in = (1, 1)
2
; u = 0 on ,
where 0 and f C(). Consider the generalized
eigen-problem:
B
in
x = (I
N1
B
in
)x.
Let be the diagonal matrix of the eigenvalues, and E be the
matrix whose columns are the corresponding eigenvectors. Then
B
in
E = (I
N1
B
in
)E.
Set U = EV . Let v
p
be the transpose of pth row of V , and
likewise g
p
for G := E
1
(I
N1
B
in
)
1
F. Solve the systems:
(B
in
+
p
I
N1
)v
p
= g
p
, p = 1, 2, . . . , N 1.
Two-dimensional BVP results
Consider u = f in , u = 0 on with the exact solution,
u(x, y) =
_
_
(sinh(x + 1) x 1) cos(y/2)e
xy
, x < 0,
(sinh(x + 1) sinh(x) 1 (sinh(2) sinh(1) 1)x
3
)
cos(y/2)e
xy
, 0 x,
which is rst-order dierentiable in x and smooth in y. Fix N
y
.
10
1
10
2
10
3
10
7
10
6
10
5
10
4
10
3
10
2
10
1
N
x

BCOL
SGAL
slope: 2
10
1
10
2
10
3
10
7
10
6
10
5
10
4
10
3
10
2
10
1
N
x

BCOL
slope: 2
Half-line BVP with Birkho interpolation
Consider the following half-line problem:
_
u
(x) + a(x)u
(x) + b(x)u(x) = f(x), x (0, ),

u(0) = u
0
, lim
x
u(x) = 0,
where a, b and f are given continuous functions on the half-line,
and u
0
is a given constant.
Consider the Birkho-type interpolation p e
x/2
P
N
satisfying,
for u C
2
(0, ), u 0 as x ,
p(0) = u(0); p
(x
j
)
1
4
p(x
j
) = u
(x
j
)
1
4
u(x
j
), 1 j N.
Then p(x) = u(0)
B
0
(x) +
N
j=1
_
u
(x
j
)
1
4
u(x
j
)
_

B
j
(x), where
B
0
(0) = 1,

B
0
(x
i
)
1
4
B
0
(x
i
) = 0, 1 i N;
B
j
(0) = 0,

B
j
(x
i
)
1
4
B
j
(x
i
) =
ij
, 1 i, j N.
Half-line BVP results
Consider the following half-line problem:
_
u
(x) +
xu
(x) + log(1 + x)u(x) = f(x), x (0, ),

u(0) = u
0
, lim
x
u(x) = 0,
with exact solution u(x) = (1 + x)
9/2
.
200 220 240 260 280 300 320 340 360
10
13
10
12
10
11
10
10
N

LCOL
BCOL
Variational formulation
Consider the Helmholtz equation: given f C(), g C(
N
),
> 0 and
D

N
= , nd u such that
u+u = f in ; u = 0 on
D
;
u
n
= 0 on
N
.
The variational or weak formulation of the Helmholtz equation
is: Find u T u H
1
() , u = 0 on
D
such that, for
every v T ,
_
u v dx +
_
uv dx =
_
fv dx +
_
N
gv ds.
Selecting the test functions v to form a basis for T gives rise to
a linear system.
Variational formulation
Consider the Helmholtz equation: given f C(), g C(
N
),
> 0 and
D

N
= , nd u such that
u+u = f in ; u = 0 on
D
;
u
n
= 0 on
N
.
The variational or weak formulation of the Helmholtz equation
is: Find u T u H
1
() , u = 0 on
D
such that, for
every v T ,
B (u, v) = (u, v)
+ (u, v)
= (f, v)
+g, v
N
= ((v).
Selecting the test functions v to form a basis for T gives rise to
a linear system.
Often, for spectral methods, = (1, 1)
d
, and T P
d
N
, the
space of tensorial polynomials of degree N in each component.
Data gives interpolations II
N
f P
d
N
and I
N
g P
d1
N
.
Linear system of variational formulation
If
i
, 0 i K, is a basis for u P
d
N
, u = 0 on
D
, and
u
N
(x) =
K
i=0
u
i
i
(x), for v =
i
, the discretized weak or
spectral-Galerkin formulation gives
B
N
(u
N
,
i
) =
K
k=0
u
k
[(
k
,
i
)
+ (
k
,
i
)
]
= (II
N
f,
i
)
+I
N
g,
i
N,
N
= (
N
(
i
),
where the trace inner product is given by d 1-dimensional
quadrature. The K + 1 equations gives the linear system
(S + M)u =

f,
where S and M are the stiness and mass matrices, resp.,
S = [(
i
,
j
)
]
K
i,j=0
, u = (u
0
, . . . , u
K
)
t
,
M = [(
i
,
j
)
]
K
i,j=0
,

f = ((
N
(
0
), . . . , (
N
(
K
))
t
.
Spectral element method
Spectral element methods solve dierential equations over
subdomains piecewise, in conjunction with some domain
decomposition method.
Spectral element method
Spectral element methods solve dierential equations over
subdomains piecewise, in conjunction with some domain
decomposition method.
As in the nite-element method, let the domain be a
simplex.
Consider rst the reference triangle
= (x, y), 0 < x, y, x + y < 1
on the xy-plane. Herein, consider maps from the reference
square = (1, 1)
2
on the -plane to , with the plan of
transforming the domain to to perform the operations.
Rectangle-triangle mapping: Duys transform
Duys transform uses the fol-
lowing map:
x =
(1 + )(1 )
4
,
y =
1 +
2
.
The inverse map for y < 1 is
=
2x
1 y
1,
= 2y 1.
(1, 1) (1, 1)
(1, 1) (1, 1)
Note that the entire line = 1 is mapped to (0, 1) .
Rectangle-triangle mapping: Duys transform
Duys transform uses the fol-
lowing map:
x =
(1 + )(1 )
4
,
y =
1 +
2
.
The inverse map for y < 1 is
=
2x
1 y
1,
= 2y 1.
(0, 0) (1, 0)
(0, 1)
Note that the entire line = 1 is mapped to (0, 1) .
Transformed gradient for Duys transform
Using the map, given u(x, y) H
1
(), determine
u(, ) = u(x, y).
For Duys transform, the Jacobian is
J =
1
8
,
and the gradient on is transformed on to
u =
2
1
_
2
u, (1 + )
u + (1 )
u
_
,
which requires the consistency condition
u(, 1) = 0 to be
built into the approximation space to obtain high-order
accuracy, resulting in the reduction of dimension and
modication of the usual basis functions.
New triangular spectral-element method
Duys transform generates clustering near one vertex and a
singularity in the gradient that requires modifying basis
elements, and interpolations cannot be generated by a
corresponding nodal basis on , as one edge on is mapped
to a vertex on .
New triangular spectral-element method
Duys transform generates clustering near one vertex and a
singularity in the gradient that requires modifying basis
elements, and interpolations cannot be generated by a
corresponding nodal basis on , as one edge on is mapped
to a vertex on .
A new transform is used that introduces less clustering, and
introduces a singularity in the gradient that is analytically
removable in the inner product of the variational form, which
is also one-to-one, allowing for good interpolations generated
by a corresponding nodal basis on . The function space should
allow for optimal projection error.
Removing the singularity has to be done carefully. In addition,
the singularity induced by the transform is a hanging node
when used in combination with domain decomposition methods.
Rectangle-triangle mapping: new transform
The new transform uses the
following map:
x =
(1 + )(3 )
8
,
y =
(3 )(1 + )
8
.
The inverse map is
= 1 + (x y) ,
= 1 (x y) ,
(1, 1) (1, 1)
(1, 1) (1, 1)
where
=
_
(x y)
2
+ 4(1 x y) =
2
2
.
Rectangle-triangle mapping: new transform
The new transform uses the
following map:
x =
(1 + )(3 )
8
,
y =
(3 )(1 + )
8
.
The inverse map is
= 1 + (x y) ,
= 1 (x y) ,
(0, 0) (1, 0)
(0, 1)
(
1
2
,
1
2
)
where
=
_
(x y)
2
+ 4(1 x y) =
2
2
.
Transformed gradient
Using the map, given u(x, y) H
1
(), determine
u(, ) = u(x, y).
For the new transform, the Jacobian is
J =
2
16
=

8
,
and the gradient on is transformed on to
u =
1
_
2(
u) +

u, 2(
u)

u
_
,
where
u = (
u,
u) and

u = (1 )
u (1 )
u.
Originally, the consistency condition

u(1, 1) = 0 was built
into the approximation space. This singularity can be
removed, however; observe that
__

1
d d = 8 ln 2.
Function space
Using the map of the new transform, given
u(, ) P
2
N
= Q
N
(), determine u(x, y) = u(, ). Then
u(x, y) = p(x, y) + (x, y)q(x, y)
Y
N
() = P
N
() P
N1
(),
where p P
N
() has total degree N, and q P
N1
().
This transformation is bijective: u Y
N
() is mapped to
u Q
N
(), using the inverse map of the new
transform.
Nodal and modal basis
Let
j
, 0 j N, be the Legendre-Gauss-Lobatto points,
and let L
j
be the Lagrange interpolation basis on
j
. The
nodal basis of Y
N
() on nodes
(x
ij
, y
ij
) =
_
(1 +
i
)(3
j
)
8
,
(3
i
)(1 +
j
)
8
_
is
ij
, 0 i, j N, where
ij
(x, y) = L
i
(1 + (x y) )L
j
(1 (x y) ).
Consider the C
0
-modal basis on (1, 1):
0
() =
1
2
,
N
() =
1 +
2
,
i
() =
i(P
i1
() P
i+1
())
2(2i + 1)
,
where 0 < i < N and P
i
are the Legendre polynomials. The
modal basis of Y
N
() is
ij
, 0 i, j N, where
ij
(x, y) =
i
(1 + (x y) )
j
(1 (x y) ).
Projection error
Consider the projection
N
: L
2
() Y
N
(),
(
N
u u, v)
= 0, for all v Y
N
().
Theorem
For any u H
r
(), with r 0,
|
N
u u|
cN
r
[u[
r,
,
where c is a positive constant independent of N and u.
Projection error
1
N
: H
1
() Y
N
(),
_
(
1
N
u u), v
_
+
_
1
N
u u, v
_
= 0, for all v Y
N
().
Theorem
For any u H
r
(), with r 1,
|
1
N
u u|
,
cN
r
[u[
r,
, = 0, 1,
Projection error
1,0
N
: H
1
0
() Y
0
N
() = Y
N
() H
1
0
(),
_
(
1,0
N
u u), v
_
= 0, for all v Y
0
N
().
Theorem
For any u H
1
0
() H
r
(), with r 1,
|
1,0
N
u u|
,
cN
r
[u[
r,
, = 0, 1,
Interpolation error
Let
j
and
ij
be the nodal basis of Y
N
(). Given any u C(),
dene the interpolant of u by
(II
N
u)(x, y) =
N
i,j=0
u
_
(1 +
i
)(3
j
)
8
,
(3
i
)(1 +
j
)
8
_
ij
(x, y)
Y
N
().
Theorem
For any u H
r
(), with r 3,
|II
N
u u|
,
cN
r
([u[
r,
+[u[
r1,
),
Interpolation error
Let
j
and
ij
be the nodal basis of Y
N
(). Given any u C(),
dene the interpolant of u by
(II
N
u)(x, y) =
N
i,j=0
u
_
(1 +
i
)(3
j
)
8
,
(3
i
)(1 +
j
)
8
_
ij
(x, y)
Y
N
().
Theorem
For any u H
2
(),
|II
N
uu|
,
cN
2
([u[
2,
+|(
y
x
)
2
u|
1
,
+|u|
1
,
),
Computing the mass matrix
Let
ij
, 0 i, j N, be a basis of Y
N
(), and
ij
(, ) =
N
m,n=0
p
mn
ij
P
m
()P
n
() =
ij
(x, y).
Then M = P
MP, where P = [p
mn
ij
], 0 i, j, m, n N and
M is a pentadiagonal matrix whose entries are

1
16
__
P
m
()P
m
()P
n
()P
n
()(2 ) d d,
where 0 m, n, m
, n
N.
Computing the stiness matrix
Let
ij
N
(), and
ij
(, ) =
ij
(x, y). Then S = S
1
+S
2
, where
S
1
=
_
_

ij
,

i
1
,
_
N
i,j,i
,j
=0
,
S
2
=
1
4
_
_
ij
,

1
,
_
N
i,j,i
,j
=0
.
Each entry is a computable combination of
a
pq
=
__
P
p
()P
q
()
d d, 0 p, q 2N.
Computing the stiness matrix
Let
ij
N
(), and
ij
(, ) =
ij
(x, y). Then S = S
1
+S
2
, where
S
1
=
_
_
__

ij
)(
j
)
d d
_
_
N
i,j,i
,j
=0
,
S
2
=
1
4
_
_
__
ij
)(
j
)
d d
_
_
N
i,j,i
,j
=0
.
Each entry is a computable combination of
a
pq
=
__
P
p
()P
q
()
d d, 0 p, q 2N.
Removing the singularity in the stiness matrix
1. Compute a
0q
,
0 q 4N.
q
Use
a
0q
=
_
1
1
P
q
() ln
3
2
. .
by quadrature
+
_
1
1
P
q
() ln
2
1
. .
2 if q=0, else 2/q(q+1)
.
1. Compute a
0q
,
0 q 4N.
2. Compute a
1q
,
1 q 4N 1.
q
Use
a
1q
= 2 a
0q

(q + 1) a
0,q+1
+ q a
0,q1
2q + 1
.
1. Compute a
0q
,
0 q 4N.
2. Compute a
1q
,
1 q 4N 1.
3. For p = 2, 3, . . . , 2N,
compute a
pq
,
p q 4N p.
q
Use
a
pq
= a
p2,q
+
2p 1
2q + 1
( a
p1,q+1
a
p1,q1
).
1. Compute a
0q
,
0 q 4N.
2. Compute a
1q
,
1 q 4N 1.
3. For p = 2, 3, . . . , 2N,
compute a
pq
,
p q 4N p.
q
Use
a
pq
= a
p2,q
+
2p 1
2q + 1
( a
p1,q+1
a
p1,q1
).
1. Compute a
0q
,
0 q 4N.
2. Compute a
1q
,
1 q 4N 1.
3. For p = 2, 3, . . . , 2N,
compute a
pq
,
p q 4N p.
q
Use
a
pq
= a
p2,q
+
2p 1
2q + 1
( a
p1,q+1
a
p1,q1
).
1. Compute a
0q
,
0 q 4N.
2. Compute a
1q
,
1 q 4N 1.
3. For p = 2, 3, . . . , 2N,
compute a
pq
,
p q 4N p.
4. For 0 = q < p = 2N, set
a
pq
= a
qp
.
q

Numerical results
Consider the elliptic equation:
u+u = f in ; u[
1
= 0;
u
n
2
= g,
where
1
is the edges x = 0 and y = 0,
2
is the hypotenuse of
, and with the exact solution:
u(x, y) = e
x+y1
sin
_
3xy
_
y
3
2
x +
3
4
__
.
For comparison, consider
u+u = f in S = (0, 1/
2)
2
; u[
1
= 0;
u
n
2
= g,
where
1
is the edges x = 0 and y = 0 and
2
is the edges
x = 1/
2 and y = 1/
2, with exact solution

u(x, y) = exp
_
_
1
2
x
__
1
2
y
__
sin
_
3xy
_
y
3
2
x +
3
4
__
.
Numerical results
5 10 15 20 25
10
15
10
10
10
5
10
0
N
e
r
r
o
r

L
2
error, rectangle
L
error, rectangle
L
2
error, triangle
L
error, triangle
modal basis
5 10 15 20 25
10
15
10
10
10
5
10
0
N
e
r
r
o
r

L
2
error, rectangle
L
error, rectangle
L
2
error, triangle
L
error, triangle
nodal basis
Numerical results
Consider the elliptic equation:
u+u = f in ; u[
1
= 0;
u
n
2
= g,
where
1
is the edges x = 0 and y = 0,
2
is the hypotenuse of
, with the nite regularity exact solution:
u(x, y) = (1 x y)
5
2
(e
xy
1) H
3
()
The counterpart on the square S takes the form:
u(x, y) =
_
1
2
x
_5
2
_
1
2
y
_5
2
(e
xy
1), (x, y) S.
Numerical results
0.6 0.8 1 1.2 1.4 1.6
8
7
6
5
4
3
2
log
10
(N)
l
o
g
1
0
(
e
r
r
o
r
)

L
2
error, rectangle
L
error, rectangle
L
2
error, triangle
L
error, triangle
modal basis
0.6 0.8 1 1.2 1.4 1.6
8
7
6
5
4
3
2
log
10
(N)
l
o
g
1
0
(
e
r
r
o
r
)

L
2
error, rectangle
L
error, rectangle
L
2
error, triangle
L
error, triangle
nodal basis
Arbitrary triangle
For a triangle
any
, with vertices counterclockwise at (x
1
, y
1
),
(x
2
, y
2
) and (x
3
, y
3
), the invertible map
any
is
(x, y) = (x
1
, y
1
)
(1 )(1 )
4
+ (x
2
, y
2
)
(1 + )(3 )
8
+ (x
3
, y
3
)
(3 )(1 + )
8
.
Using this map to determine u(, ) = u(x, y), the mass matrix
is determined by
(u, v)
any
=
F
8
( u, v)
,
,
where
F = (x
2
x
1
)(y
3
y
1
) (x
3
x
1
)(y
2
y
1
) ,= 0.
Arbitrary triangle
For a triangle
any
, with vertices counterclockwise at (x
1
, y
1
),
(x
2
, y
2
) and (x
3
, y
3
), the invertible map
any
is
(x, y) = (x
1
, y
1
)
(1 )(1 )
4
+ (x
2
, y
2
)
(1 + )(3 )
8
+ (x
3
, y
3
)
(3 )(1 + )
8
.
Using this map to determine u(, ) = u(x, y), the stiness
matrix is determined by
(u, v)
any
=
A
2F
_
u,

v
_
1
,
+
C
8F
_
u,

v
_
1
,
B
4F
_
_
u,

v
_
1
,
+
_
u,

v
_
1
,
_
.
where A, B and C are determined from x
i
, y
i
, 1 i 3.
Unstructured TSEM with LDG-H
To use this TSEM on an unstructured mesh, the hybridized
local discontinuous Galerkin method is used.
DG methods enjoy a large degree of exibility,
non-conformity and locality. In particular, DG methods
can handle hanging nodes in meshes, while providing a
scheme to handle the coupling on the mesh. Having the
hanging node in a predictable position allows for ecient
computation.
LDG-H makes use of auxillary functions, which renders the
elliptic problem into a system of rst-order dierential
equations. For those inner products, the rectangle-triangle
map does not induce a singularity.
LDG-H generates a global system whose degrees of
freedom are only those on the interior edges.
Results for unstructured TSEM
Consider the model problem
u+u = f, in = [0, 1]
2
; u = 0 on ,
with the highly-oscillating exact solution
u(x, y) = sin(10x) cos(10y).
0 0.2 0.4 0.6 0.8 1
0
0.2
0.4
0.6
0.8
1
x
y
5 5
0 0.2 0.4 0.6 0.8 1
0
0.2
0.4
0.6
0.8
1
x
y
15 15
0 0.2 0.4 0.6 0.8 1
0
0.2
0.4
0.6
0.8
1
x
y
25 25
Results for unstructured TSEM
2 4 6 8 10 12 14
10
12
10
10
10
8
10
6
10
4
10
2
10
0
10
2
Polynomial order
A
v
e
r
a
g
e

e
l
e
m
e
n
t
w
i
s
e

H
1

e
r
r
o
r

5 5, = 1
5 5, = 1000
15 15, = 1
15 15, = 1000
25 25, = 1
25 25, = 1000
10
1
10
8
10
6
10
4
10
2
h
A
v
e
r
a
g
e

e
l
e
m
e
n
t
w
i
s
e

L
2

e
r
r
o
r

P = 3
P = 4
P = 5
Results for structured TSEM versus perturbation
u+u = f, in = [0, 1]
2
; u = 0 on ,
with the highly-oscillating exact solution
u(x, y) = sin(10x) cos(10y). is triangulated into two
meshes of varying coarseness, denoted 5 5 and 10 10, either
maintaining the regular underlying mesh or perturbing slightly
on the internal vertices.
5 10 15 20 25
10
12
10
14
10
10
10
8
10
6
10
4
10
2
10
0
N
a
v
e
r
a
g
e

e
l
e
m
e
n
t
w
i
s
e

L
2

e
r
r
o
r

5 10 15 20 25
10
9
10
11
10
7
10
5
10
3
10
1
10
1
N
a
v
e
r
a
g
e

e
l
e
m
e
n
t
w
i
s
e

H
1

e
r
r
o
r
Unstructured TSEM with perturbed solution
u+u = f, in = [0, 1]
2
; u = 0 on ,
with the low-oscillation exact solution with slight
highly-oscillating perturbation
u(x, y) = sin(2x) cos(2y) + cos(20x) sin(20y).
2 4 6 8 10 12 14 16 18 20 22
10
12
10
10
10
8
10
6
10
4
10
2
10
0
N
a
v
e
r
a
g
e

e
l
e
m
e
n
t
w
i
s
e

L
2

e
r
r
o
r

= 0, = 1
= 0, = 1000
= 1e8, = 1
= 1e8, = 1000
= 1e4, = 1
= 1e4, = 1000
2 4 6 8 10 12 14 16 18 20 22
10
10
10
8
10
6
10
4
10
2
10
0
10
2
N
a
v
e
r
a
g
e

e
l
e
m
e
n
t
w
i
s
e

H
1

e
r
r
o
r

= 0, = 1
= 0, = 1000
= 1e8, = 1
= 1e8, = 1000
= 1e4, = 1
= 1e4, = 1000
Unstructured TSEM with perturbed trace
u+u = f, in = [0, 1]
2
; u = 0 on ,
with the low-oscillation exact solution
u(x, y) = sin(2x) cos(2y).
The perturbation cos(20x) sin(20y) is introduced after
solving the global system, before applying the local solvers.
2 4 6 8 10 12 14 16 18 20 22
10
12
10
10
10
8
10
6
10
4
10
2
10
0
N
a
v
e
r
a
g
e

e
l
e
m
e
n
t
w
i
s
e

L
2

e
r
r
o
r

= 0, = 1
= 0, = 1000
= 1e8, = 1
= 1e8, = 1000
= 1e4, = 1
= 1e4, = 1000
2 4 6 8 10 12 14 16 18 20 22
10
10
10
8
10
6
10
4
10
2
10
0
10
2
N
a
v
e
r
a
g
e

e
l
e
m
e
n
t
w
i
s
e

H
1

e
r
r
o
r

= 0, = 1
= 0, = 1000
= 1e8, = 1
= 1e8, = 1000
= 1e4, = 1
= 1e4, = 1000
Well-conditioned collocation
Research for the method in the rst part, which produces
well-conditioned collocation schemes, three directions are
worthy of further investigation.
Investigate the notion for well-conditioned
polynomial-based collocation methods for other situations,
e.g., the spline collocation, radial basis functions and some
non-polynomial bases.
Extension of the well-conditioned collocation approach to
multiple dimensions.
Obtain the optimal error estimates for the Birkho
interpolations.
Tetrahedral spectral elements
The new TSEM on unstructured meshes based on the DG
formulation is worthy of deep investigation. Further
development can be taken in the following directions:
Apply the TSEM to more challenging problems such as the
Stokes equations and the Navier-Stokes equations.
Develop a three-dimensional unstructured tetrahedral
TSEM.
Prove global convergence of the unstructured TSEM.
Further reading
Robert Kirby, Spencer Sherwin and Bernardo Cockburn. To
CG or to HDG: a comparative study. Journal of Scientic
Computing, vol. 51 (1), 183212, 2012
Michael Daniel Samson, Li-Lian Wang and Huiyuan Li. A
new triangular spectral element method I:
implementation and analysis on a triangle. Numerical
Algorithms, vol. 64 (3), 519547, 2013
Li-Lian Wang, Michael Daniel Samson and Xiaodan Zhao.
A well-conditioned collocation method using a
pseudospectral integration matrix. Accepted to SIAM
Journal on Scientic Computing, 2014

Well-Conditioned Collocation Schemes and New Triangular Spectral-Element Methods

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Well-Conditioned Collocation Schemes and New Triangular Spectral-Element Methods

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Spectral methods Well-conditioned collocation New TSEM Further studies

Well-Conditioned Collocation Schemes and

I) and the exact solution u C

are given. Compare condition numbers for Lagrange

(x) sin(x)u(x) = f(x), x I = (1, 1); u(1) = u

(x) + t(x)u(x) = f(x);

(x) + b(x)u(x) = f(x), x I = (1, 1);

(x) + xu(x) = f(x), x I = (1, 1);

(1) = 0, with solution u(x) = sin

(x) + b(x)u(x) = f(x), x (0, ),

(x) + log(1 + x)u(x) = f(x), x (0, ),

M is a pentadiagonal matrix whose entries are

Spectral methods Well-conditioned collocation New TSEM Further studies

2, with exact solution

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