MFC 2022 Exercises Block 2 v1

COMPUTATIONAL FLUID MECHANICS
Exercises - Block 2
by
José C. F. Pereira / José M. Chaves Pereira / Duarte M. S. Albuquerque
Mech. Eng. Dept. / LASEF / Pav. Mecânica I
jcfpereira@tecnico.ulisboa.pt / jose.chaves@tecnico.ulisboa.pt / duartealbuquerque@tecnico.ulisboa.pt
IST, MFC, 2022 Exercises 1

Von Neumann Stability Analysis

What should you know
in the end of the forth lecture?
1 – Prove the Von Neumann stability limit when it exists.
2 – Understand its influence for time and spatial schemes combinations.

Including: two dimensions, explicit vs implicit, three or more time levels.

Mathematical Skills:
Solving Inequalities with
Complex Numbers

Exercise 4.1: Von Neumann stability analysis for the
diffusive equation with an explicit time scheme.
2
Let 𝜕𝜙 = 𝑣 𝜕 𝜙 be discretized with central differences and Forward or Explicit Euler in time.
𝜕𝑡 2 𝜕𝑥
Find the stability range with von Neumann linear stability analysis.
The discretization of the differential equation should be evident by now as follows:
𝜙𝑗𝑛+1 − 𝜙𝑗𝑛 𝑛
𝜙𝑗+1 − 2𝜙𝑗𝑛 + 𝜙𝑗−1
𝑛
For space we will use index 𝑗,
=𝑣 𝑖 𝑜𝑟 𝐼 will be the imaginary complex
∆𝑡 ∆𝑥 2
Consider at the central grid point a periodic perturbation with a wavenumber of 2∆𝑥
lowest
𝜙𝑗𝑛 = 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝜙𝑗𝑛+1 = 𝑎𝑛+1 𝑒 𝑖𝜃𝑗 𝑘𝑚𝑖𝑛 = 𝜋/∆𝑥
wavenumber
𝑛+1
𝑛+1
𝜙𝑗+1 = 𝑎𝑛 𝑒 𝑖𝜃(𝑗−1) = 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 −𝑖𝜃 𝜙𝑗+1 = 𝑎𝑛 𝑒 𝑖𝜃(𝑗+1) = 𝑎 𝑛 𝑒 𝑖𝜃𝑗 𝑒 +𝑖𝜃
𝑎𝑛+1 𝑒 𝑖𝜃𝑗 − 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 +𝑖𝜃 − 2𝑎𝑛 𝑒 𝑖𝜃𝑗 + 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 −𝑖𝜃

=𝑣
∆𝑡 ∆𝑥 2

𝑎𝑛+1 𝑒 𝑖𝜃𝑗 − 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 +𝑖𝜃 − 2𝑎𝑛 𝑒 𝑖𝜃𝑗 + 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 −𝑖𝜃
=𝑣
∆𝑡 ∆𝑥 2
𝑣∆𝑡 𝑖𝜃
𝑎𝑛+1 𝑒 𝑖𝜃𝑗 = 𝑎𝑛 𝑒 𝑖𝜃𝑗 + 𝑎𝑛 𝑒 𝑖𝜃𝑗 2 (𝑒 − 2 + 𝑒 −𝑖𝜃 )
∆𝑥
d𝐢𝐯𝐢𝐝𝐢𝐧𝐠 𝐛𝐲 𝒆𝒊𝜽𝒋 diffusive criterion 𝛾
𝑎𝑛+1 = 𝑎𝑛 + 𝑎𝑛 𝛾(𝑒 𝑖𝜃 − 2 + 𝑒 −𝑖𝜃 )]
𝒂𝒏+𝟏
Amplification Factor 𝑮 = 𝒏 = 1 + 𝛾(𝑒 𝑖𝜃 − 2 + 𝑒 −𝑖𝜃 ) 𝒆𝒊𝜽 + 𝒆−𝒊𝜽 = 𝟐𝒄𝒐𝒔[𝜽]
𝒂
𝑒 𝑖𝜃 = cos 𝜃 + 𝑖 sin(𝜃) 𝑒 −𝑖𝜃 = cos −𝜃 + 𝑖 sin −𝜃 = cos 𝜃 − 𝑖 sin(𝜃)

𝒆𝒊𝜽 + 𝒆−𝒊𝜽 = 𝟐𝒄𝒐𝒔[𝜽] Not forget that!
𝑎𝑛+1
𝐺= = 1 + 𝛾 𝑒 +𝑖𝜃 − 2 + 𝑒 −𝑖𝜃 = 1 + 𝛾( −2 + 2𝑐𝑜𝑠 𝜃 )
𝑎𝑛
Von Neumann Stability Theorem

𝐺 ≤1 or −1 ≤ 𝐺 ≤ 1
Fourier Errors cannot grow in time
−1 ≤ 1 + 𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 )
| 1 + 𝛾( −2 + 2𝑐𝑜𝑠 𝜃 ) | ≤ 1 ⟺
1 + 𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 ) ≤ 1
−2 ≤ 𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 )
𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 ) ≤ 0

−2 ≤ 𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 )
−𝟏 ≤ 𝒄𝒐𝒔 𝜽 ≤ 𝟏 Not forget that!
𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 ) ≤ 0
𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 ) ≤ 0 𝛾( − 2 − 2) ≤ 0 ⟺ 0 ≤ 𝛾 The second branch

is always true
𝛾( − 2 + 2) ≤ 0 ⟺ 0 ≤ 0
−2 ≤ 𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 ) ⟺ 2 ≥ 𝛾( 2 − 2𝑐𝑜𝑠 𝜃 ) Worst scenario 𝑐𝑜𝑠 𝜃 = −1
1 ∆𝑡 1
4𝛾 ≤ 2 ⟺ 𝛾 ≤ ⟺ 𝑣 2 ≤ Diffusive Criterion for stability
2 ∆𝑥 2
∆𝑥 2 Time step must be reduced

∆𝑡 ≤ quadratically with grid size
2𝜈

Alternative approach
using this special (1 − 𝑐𝑜𝑠 2𝜃 ) = 2 𝑠𝑖𝑛2 𝜃
trigonometric equation
𝑎𝑛+1
𝐺= = 1 + 𝛾( −2 + 2𝑐𝑜𝑠 𝜃 ) = 1 + 𝛾(−4 𝑠𝑖𝑛2 𝜃/2 )
𝑎𝑛
Von Neumann Stability Theorem

𝐺 ≤1 or −1 ≤ 𝐺 ≤ 1
Fourier Errors cannot grow in time
−1 ≤ 1 − 4 𝛾 𝑠𝑖𝑛2 𝜃/2
| 1 − 4 𝛾 𝑠𝑖𝑛2 𝜃/2 | ≤ 1 ⟺
1 − 4 𝛾 𝑠𝑖𝑛2 𝜃/2 ≤ 1
4 𝛾 𝑠𝑖𝑛2 𝜃/2 ≤ 2
−4 𝛾 𝑠𝑖𝑛2 𝜃/2 ≤ 0

4 𝛾 𝑠𝑖𝑛2 𝜃/2 ≤ 2
0 ≤ 𝑠𝑖𝑛2 𝜃/2 ≤ 1 Not forget that!
−4 𝛾 𝑠𝑖𝑛2 𝜃/2 ≤ 0
−4 𝛾 𝑠𝑖𝑛2 𝜃/2 ≤ 0 ⟺ 0 ≤ 4 𝛾 𝑠𝑖𝑛2 𝜃/2 ⟺ 0 ≤ 𝛾

The second branch is always true
1
4 𝛾 𝑠𝑖𝑛2 𝜃/2 ≤ 2 ⟺ 𝛾 𝑠𝑖𝑛2 𝜃/2 ≤ Worst scenario 𝑠𝑖𝑛2 𝜃/2 = 1
2
1 ∆𝑡 1 Diffusive Criterion for stability

𝛾≤ ⟺𝑣 2≤
2 ∆𝑥 2 Classic Result
∆𝑥 2 Time step must be reduced

∆𝑡 ≤ quadratically with grid size
2𝜈

Exercise 4.2: Von Neumann stability analysis
for 2D diffusive equation with an explicit scheme.
Let 𝜕𝜑 = 𝛻 ∙ 𝜗𝛻𝜑 be discretized with the FVM, central differences in space
𝜕𝑡
and Explicit forward Euler in time. Consider a 2D domain spaced in each direction with different
grid sizes ∆𝑥 and ∆𝑦. Find the stability range with Von Neumann linear stability analysis
∆𝑥
Volume 𝜕𝜑
𝑑𝑉 = 𝛻 ∙ 𝜗𝛻𝜑 𝑑𝑉
integration 𝑉 𝜕𝑡 𝑉
𝜑𝑖,𝑗+1
∆𝑦
𝜕𝜑
Gauss theorem 𝑑𝑉 = 𝜗𝛻𝜑 ∙ 𝑛𝑑𝑆
𝑉 𝜕𝑡 𝑆
𝜑𝑖−1,𝑗 𝜑𝑖,𝑗 𝜑𝑖+1,𝑗
𝜑𝑛+1 − 𝜑𝑛
Second Order ∆𝑉 = 𝜗𝛻𝜑𝑓𝑛 ∙ 𝑛𝑓 𝐴𝑓
∆𝑡
𝑓∈𝑓𝑎𝑐𝑒𝑠
𝑛+1 𝑛 𝑛 𝑛 𝑛 𝑛
𝜑𝑖,𝑗 − 𝜑𝑖,𝑗 𝜑𝑖+1,𝑗 − 𝜑𝑖,𝑗 𝜑𝑖,𝑗 − 𝜑𝑖−1,𝑗
∆𝒙∆𝒚/𝝑 = ∆𝑦 − ∆𝑦 +
∆𝑡 ∆𝑥 ∆𝑥
𝜑𝑖,𝑗−1
𝑛 𝑛 𝑛 𝑛
𝜑𝑖,𝑗+1 − 𝜑𝑖,𝑗 𝜑𝑖,𝑗 − 𝜑𝑖,𝑗−1
+ ∆𝑥 − ∆𝑥
∆𝒙 ≠ ∆𝒚 ∆𝑦 ∆𝑦

Let 𝜕𝜑 = 𝛻 ∙ 𝜗𝛻𝜑 be discretized with the FVM, central differences in space
𝜕𝑡
and Explicit forward Euler in time. Consider a 2D domain spaced in each direction with different
grid sizes ∆𝑥 and ∆𝑦. Find the stability range with Von Neumann linear stability analysis
∆𝑥
Volume 𝜕𝜑
𝑑𝑉 = 𝛻 ∙ 𝜗𝛻𝜑 𝑑𝑉
integration 𝑉 𝜕𝑡 𝑉
𝜑𝑖,𝑗+1
∆𝑦
𝜕𝜑
Gauss theorem 𝑑𝑉 = 𝜗𝛻𝜑 ∙ 𝑛𝑑𝑆
𝑉 𝜕𝑡 𝑆
𝜑𝑖−1,𝑗 𝜑𝑖,𝑗 𝜑𝑖+1,𝑗
𝜑𝑛+1 − 𝜑𝑛
Second Order ∆𝑉 = 𝜗𝛻𝜑𝑓𝑛 ∙ 𝑛𝑓 𝐴𝑓
∆𝑡
𝑓∈𝑓𝑎𝑐𝑒𝑠
𝑛+1 𝑛 𝑛 𝑛 𝑛 𝑛
∆𝒙∆𝒚/𝝑 = ∆𝑦 − ∆𝑦 +
∆𝑡 ∆𝑥 ∆𝑥
𝜑𝑖,𝑗−1
𝑛 𝑛 𝑛 𝑛
𝜑𝑖,𝑗+1 − 𝜑𝑖,𝑗 𝜑𝑖,𝑗 − 𝜑𝑖,𝑗−1
+ ∆𝑥 − ∆𝑥
∆𝒙 ≠ ∆𝒚 ∆𝑦 ∆𝑦

∆𝑥 𝑛+1 𝑛 𝑛 𝑛 𝑛 𝑛
∆𝒙∆𝒚/𝝑 = ∆𝑦 − ∆𝑦 +
∆𝑡 ∆𝑥 ∆𝑥
𝜑𝑖,𝑗+1
∆𝑦 𝑛
𝜑𝑖,𝑗+1 𝑛
− 𝜑𝑖,𝑗 𝑛
𝜑𝑖,𝑗 𝑛
− 𝜑𝑖,𝑗−1
+ ∆𝑥 − ∆𝑥
∆𝑦 ∆𝑦
𝜑𝑖−1,𝑗 𝜑𝑖,𝑗 𝜑𝑖+1,𝑗 𝑛+1 𝑛 𝜗∆𝑡 𝑛 𝑛 𝑛 𝜗∆𝑡 𝑛 𝑛 𝑛

𝜑𝑖,𝑗 − 𝜑𝑖,𝑗 = 2
𝜑𝑖+1,𝑗 − 2𝜑𝑖,𝑗 + 𝜑𝑖−1,𝑗 + 2
𝜑𝑖,𝑗+1 − 2𝜑𝑖,𝑗 + 𝜑𝑖,𝑗−1
∆𝑥 ∆𝑦
Each direction will have its own

𝜗∆𝑡 𝜗∆𝑡
𝜑𝑖,𝑗−1 diffusive criterion 𝛾𝑥 = and 𝛾𝑦 =
∆𝑥 2 ∆𝑦 2
∆𝒙 ≠ ∆𝒚 𝑛+1
𝜑𝑖,𝑗 𝑛
= 𝜑𝑖,𝑗 𝑛
+ 𝛾𝑥 𝜑𝑖+1,𝑗 𝑛
− 2𝜑𝑖,𝑗 𝑛
+ 𝜑𝑖−1,𝑗 𝑛
+ 𝛾𝑦 𝜑𝑖,𝑗+1 𝑛
− 2𝜑𝑖,𝑗 𝑛
+ 𝜑𝑖,𝑗−1
In two dimensional problems, two minimum wavelenghts

𝑛
𝜑𝑖,𝑗 = 𝑎𝑛 𝒆𝒊𝜽𝒊 𝑰 𝒆𝒋𝜽𝒋 𝑰 in each direction will be used for the Fourier series
𝑰 will our imaginary number to avoid confusion with 𝑖

𝑛+1 𝑛 𝑛 𝑛 𝑛 𝑛 𝑛 𝑛
𝜑𝑖,𝑗 = 𝜑𝑖,𝑗 + 𝛾𝑥 𝜑𝑖+1,𝑗 − 2𝜑𝑖,𝑗 + 𝜑𝑖−1,𝑗 + 𝛾𝑦 𝜑𝑖,𝑗+1 − 2𝜑𝑖,𝑗 + 𝜑𝑖,𝑗−1
𝑛
𝑛
𝜑𝑖,𝑗 = 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗 𝐼 𝜑𝑖+1,𝑗 = 𝑎𝑛 𝑒 (𝑖+1)𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 𝑛+1
𝜑𝑖,𝑗−1 = 𝑎𝑛+1 𝑒 𝑖𝜃𝑖𝐼 𝑒 (𝑗+1)𝜃𝑗𝐼
𝑎𝑛+1 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 = 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗 𝐼 +

+𝛾𝑥 𝑎𝑛 𝒆 𝒊+𝟏 𝜽𝒊 𝑰 𝑒 𝑗𝜃𝑗𝐼 − 2𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 + 𝑎𝑛 𝒆 𝒊−𝟏 𝜽𝒊 𝑰 𝑒 𝑗𝜃𝑗𝐼
+ 𝛾𝑦 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝒆 𝒋+𝟏 𝜽𝒋 𝑰 − 2𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 + 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝒆 𝒋−𝟏 𝜽𝒋 𝑰
𝑎 𝑛+1 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 = 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼

+𝛾𝑥 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝒆𝜽𝒊 𝑰 𝑒 𝑗𝜃𝑗𝐼 − 2𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 + 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝒆−𝜽𝒊 𝑰 𝑒 𝑗𝜃𝑗𝐼
+ 𝛾𝑦 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 𝒆𝜽𝒋 𝑰 − 2𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗 𝐼 + 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 𝒆−𝜽𝒋 𝑰

𝑛+1 𝑛 𝑛 𝑛 𝑛 𝑛 𝑛 𝑛
𝜑𝑖,𝑗 = 𝜑𝑖,𝑗 + 𝛾𝑥 𝜑𝑖+1,𝑗 − 2𝜑𝑖,𝑗 + 𝜑𝑖−1,𝑗 + 𝛾𝑦 𝜑𝑖,𝑗+1 − 2𝜑𝑖,𝑗 + 𝜑𝑖,𝑗−1
𝑛
𝑛
𝜑𝑖,𝑗 = 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗 𝐼 𝜑𝑖+1,𝑗 = 𝑎𝑛 𝑒 (𝑖+1)𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 𝑛+1
𝜑𝑖,𝑗−1 = 𝑎𝑛+1 𝑒 𝑖𝜃𝑖𝐼 𝑒 (𝑗+1)𝜃𝑗𝐼
𝑎𝑛+1 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 = 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗 𝐼 +

+𝛾𝑥 𝑎𝑛 𝒆 𝒊+𝟏 𝜽𝒊 𝑰 𝑒 𝑗𝜃𝑗𝐼 − 2𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 + 𝑎𝑛 𝒆 𝒊−𝟏 𝜽𝒊 𝑰 𝑒 𝑗𝜃𝑗𝐼
+ 𝛾𝑦 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝒆 𝒋+𝟏 𝜽𝒋 𝑰 − 2𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 + 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝒆 𝒋−𝟏 𝜽𝒋 𝑰
𝑒 𝑖𝜃𝑖𝐼
𝑎 𝑛+1 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 = 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 𝑒 𝑗𝜃𝑗 𝐼
+𝛾𝑥 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝒆𝜽𝒊 𝑰 𝑒 𝑗𝜃𝑗𝐼 − 2𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 + 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝒆−𝜽𝒊 𝑰 𝑒 𝑗𝜃𝑗𝐼
+ 𝛾𝑦 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 𝒆𝜽𝒋 𝑰 − 2𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗 𝐼 + 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 𝒆−𝜽𝒋 𝑰
𝑎𝑛+1 = 𝑎𝑛 + 𝛾𝑥 𝑎𝑛 𝑒 +𝜃𝑖𝐼 − 2𝑎𝑛 + 𝑎 𝑛 𝑒 −𝜃𝑖𝐼 + 𝛾𝑦 𝑎𝑛 𝑒 +𝜃𝑗𝐼 − 2𝑎𝑛 + 𝑎𝑛 𝑒 −𝜃𝑗𝐼

𝑎𝑛+1 = 𝑎𝑛 + 𝛾𝑥 𝑎𝑛 𝑒 𝜃𝑖 𝐼 − 2𝑎𝑛 + 𝑎𝑛 𝑒 −𝜃𝑖𝐼 + 𝛾𝑦 𝑎𝑛 𝑒 𝜃𝑗 𝐼 − 2𝑎𝑛 + 𝑎𝑛 𝑒 −𝜃𝑗 𝐼
𝑎𝑛+1 = 𝑎𝑛 + 𝒂𝒏 𝛾𝑥 𝑒 𝜃𝑖𝐼 − 2 + 𝑒 −𝜃𝑖𝐼 + 𝒂𝒏 𝛾𝑦 𝑒 𝜃𝑗 𝐼 − 2 + 𝑒 −𝜃𝑗 𝐼
𝑎𝑛+1
𝐺 = 𝑛 = 1 + 𝛾𝑥 𝑒 𝜃𝑖𝐼 − 2 + 𝑒 −𝜃𝑖𝐼 + 𝛾𝑦 𝑒 𝜃𝑗 𝐼 − 2 + 𝑒 −𝜃𝑗 𝐼 𝑒 𝑖𝜃 = cos 𝜃 + 𝑖 sin(𝜃)
𝑎
𝑎𝑛+1
𝐺 = 𝑛 = 1 + 𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 + 𝐼𝑠𝑖𝑛 𝜃𝑖 − 2 + 𝑐𝑜𝑠 𝜃𝑖 − 𝐼𝑠𝑖𝑛 𝜃𝑖 +
𝑎
Amplification
Factor +𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 + 𝐼𝑠𝑖𝑛 𝜃𝑗 − 2 + 𝑐𝑜𝑠 𝜃𝑗 − 𝐼𝑠𝑖𝑛 𝜃𝑗
𝑎𝑛+1
𝐺 = 𝑛 = 1 + 𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 2 + 𝑐𝑜𝑠 𝜃𝑖 + 𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 2 + 𝑐𝑜𝑠 𝜃𝑗
𝑎
𝑎𝑛+1
𝐺 = 𝑛 = 1 + 2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 A real number
𝑎

Let’s assume that 𝑎𝑛+1
directional grid 𝛾𝑥 = 𝛾𝑦 = 𝛾 𝐺 = 𝑛 = 1 + 4𝛾 𝑐𝑜𝑠 𝜃 − 1
𝑎
sizes are equal
First alternative
∆𝑥 = ∆𝑦 = ∆ 𝐺 ≤ 1 ⇔ 𝐺 ≤ 1 ∩ 𝐺 ≥ −1 approach: test
conditions for
different 𝜃 values
𝜃=0 𝐺=1≤1 𝛾∈ℝ
1
𝜋 𝐺 = 1 − 4𝛾 ≥ −1 𝛾≤
𝜃= 2
2 𝐺 = 1 − 4𝛾 ≤ 1 𝛾≥0
1 Most restricted
𝐺 = 1 − 8𝛾 ≥ −1 𝛾≤ condition
𝜃=𝜋 4
𝐺 = 1 − 8𝛾 ≤ 1 𝛾≥0

𝛾 = 0.1 𝜸 = 𝟎. 𝟐𝟓 Second alternative
approach: plot 𝐺 in
the complex plane
for different 𝛾
𝑎𝑛+1
𝐺 = 𝑛 = 1 + 4𝛾 𝑐𝑜𝑠 𝜃 − 1
𝑎
𝛾 = 0.5
𝐼𝑚𝑎𝑔 (𝐺)
Blue circle represents

𝑅𝑒𝑎𝑙 (𝐺) the stability condition
limit 𝐺 ≤ 1

Classic approach:
Unfortunately the problem is 𝛾𝑥 ≠ 𝛾𝑦 Solve directly the
inequality.
−1 ≤ 𝑮 ≤ 𝟏
Considering the second branch
𝑎𝑛+1
𝐺 = 𝑛 = 1 + 2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≤ 1
𝑎
2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≤ 0
𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≤ 0
worst case scenario 0𝛾𝑥 + 0𝛾𝑦 ≤ 0 TRUE!!

𝑐𝑜𝑠 𝜃 = 1

Classic approach:
inequality.
−𝟏 ≤ 𝑮 ≤ 1
Considering the first branch

𝑎𝑛+1
𝐺 = 𝑛 = 1 + 2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≥ −1
𝑎
2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≥ −2

Dimensionality reduces
𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≥ −1 stability range and has
anisotropic behaviour!!!
worst case scenario −2𝛾𝑥 − 2𝛾𝑦 ≥ −1

𝑐𝑜𝑠 𝜃 = −1
1 𝜐Δ𝑡 𝜐Δ𝑡 1
𝛾𝑥 + 𝛾𝑦 < ⟺ + <
2 Δ𝑥 2 Δ𝑦 2 2

Classic approach:
inequality.
−𝟏 ≤ 𝑮 ≤ 1
Considering the first branch

𝑎𝑛+1
𝐺 = 𝑛 = 1 + 2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≥ −1
𝑎
2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≥ −2

Dimensionality reduces
𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≥ −1 stability range and has
anisotropic behaviour!!!
worst case scenario −2𝛾𝑥 − 2𝛾𝑦 ≥ −1

𝑐𝑜𝑠 𝜃 = −1 Question: Can anisotropic
1 𝜐Δ𝑡 𝜐Δ𝑡 1
𝛾𝑥 + 𝛾𝑦 < ⟺ + < viscosity affect this result?
2 Δ𝑥 2 Δ𝑦 2 2
𝝊𝒙 and 𝝊𝒚
1D Convection with CDS and explicit scheme.
𝜕𝜙 𝜕𝜙
Let +𝑢 = 0 be discretized with central differences in space and explicit Euler in time.
𝜕𝑡 𝜕𝑥
The discretization of the differential equation is now evident and is as follows
𝜙𝑗𝑛+1 − 𝜙𝑗𝑛 𝑛
𝜙𝑗+1 𝑛
− 𝜙𝑗−1 here we use an index j because
+𝑢 =0 i will be the complex imaginary
∆𝑡 2∆𝑥
To perform the stability analysis one has to replace the numerical variables by a correspondent
'generic' Fourier mode:
𝜙𝑗𝑛+1 = 𝑎𝑛+1 𝑒 𝑖𝜃𝑗 𝜙𝑗𝑛 = 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑛
𝜙𝑗+1 = 𝑎𝑛 𝑒 𝑖𝜃(𝑗+1)
Thus, substituting:
𝑎𝑛+1 𝑒 𝑖𝜃𝑗 − 𝑎 𝑛 𝑒 𝑖𝜃𝑗 𝑎 𝑛 𝑒 𝑖𝜃(𝑗+1) − 𝑎𝑛 𝑒 𝑖𝜃(𝑗−1)

+𝑢 =0
∆𝑡 2∆𝑥

𝑢∆𝑡
working on the expression... Courant number 𝑐 (or CFL number) 𝑐=
∆𝑥
𝑢∆𝑡 1 𝑛 𝑖𝜃(𝑗+1)
𝑎𝑛+1 𝑒 𝑖𝜃𝑗 − 𝑎𝑛 𝑒 𝑖𝜃𝑗 + 𝑎 𝑒 − 𝑎𝑛 𝑒 𝑖𝜃(𝑗−1) = 0
∆𝑥 2
𝑐 𝑛 𝑖𝜃(𝑗+1)
2
𝑐
𝑎𝑛+1 − 𝑎𝑛 𝑒 𝑖𝜃𝑗 + 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 +𝑖𝜃 − 𝑒 −𝑖𝜃 = 0
2
d𝐢𝐯𝐢𝐝𝐢𝐧𝐠 𝐛𝐲 𝒆𝒊𝜽𝒋
𝑐 𝑛 𝑖𝜃
𝑎𝑛+1 − 𝑎𝑛 + 𝑎 𝑒 − 𝑒 −𝑖𝜃 = 0
2
𝑐 𝑛 𝑖𝜃 𝑐 𝑖𝜃
𝑎𝑛+1 = 𝑎𝑛 − 𝑎 𝑒 − 𝑒 −𝑖𝜃 𝑎𝑛+1 = 𝑎𝑛 1 − 𝑒 − 𝑒 −𝑖𝜃
2 2

𝑐 𝑖𝜃
𝑛
Now dividing by 𝑎 , one obtain the amplification factor G 𝑎𝑛+1 = 𝑎𝑛 1 − 𝑒 − 𝑒 −𝑖𝜃
2
𝑎𝑛+1 𝑐 𝑖𝜃
𝐺 = 𝑛 = 1 − 𝑒 − 𝑒 −𝑖𝜃 𝑒 𝑖𝜃 = cos 𝜃 + 𝑖 sin(𝜃)
𝑎 2
Changing the complex form, from exponential to 𝑥 + 𝑖𝑦: 𝑒 −𝑖𝜃 = cos −𝜃 + 𝑖 sin −𝜃 =
= cos 𝜃 − 𝑖 sin(𝜃)
𝑐
𝐺 = 1 − cos 𝜃 + 𝑖𝑠𝑖𝑛[𝜃] − cos 𝜃 − 𝑖𝑠𝑖𝑛[𝜃]
2
𝑐
𝐺 =1− cos 𝜃 + 𝑖𝑠𝑖𝑛 𝜃 − cos 𝜃 + 𝑖𝑠𝑖𝑛[𝜃]
2
𝐺 = 1 − 𝑖 𝑐 𝑠𝑖𝑛 𝜃

𝑎 + 𝑏𝑖 = (𝑎)2 + 𝑏 2 Modulus of a Complex Number Classic approach:
Solve the inequality.
−𝑎 − 𝑏𝑖 = (−𝑎)2 + −𝑏 2 = 𝑎2 + 𝑏 2 = 𝑎 + 𝑏𝑖
For Von Neumann stability we need to have 𝐺 ≤1

𝐺 ≤1⟺ 𝐺 2 ≤1
for all frequencies 𝜃
𝐺 = 1 − 𝑖 𝑐 𝑠𝑖𝑛 𝜃 Remember this
𝐺 = 12 + 𝑐 2 𝑠𝑖𝑛 𝜃 2 → 𝐺 2 = 12 + 𝑐 2 𝑠𝑖𝑛 𝜃 2 ≥1
We conclude this combination of schemes is Unconditionally unstable

Alternative approach:
𝐼𝑚𝑎𝑔 (𝐺) 𝐺 = 1 − 𝑖 𝑐 𝑠𝑖𝑛 𝜃 plot 𝐺 in the complex
plane for different 𝑐
𝑅𝑒𝑎𝑙 (𝐺) 0 ≤ 𝜃 ≤ 2𝜋 (polar diagram)
𝑐 = 0.5 𝑐 = 1.5
Blue circle represents
the stability condition
limit 𝐺 ≤ 1
Obviously for any 𝑐 value

𝐺 is always outside of the
stability region

1D Convection with CDS and Leap-Frog.
𝜕𝜙 𝜕𝜙
Let +𝑢 = 0 be discretized with central differences in space and Leap-Frog in time.
𝜕𝑡 𝜕𝑥
Level 𝑛 − 1
𝑛−1
𝜙1𝑛−1 𝜙2𝑛−1 𝑛−1
𝜙𝑖−1 𝜙𝑖𝑛−1 𝜙𝑖+1
𝑛−1 𝑛−1
𝜙𝑁−1 𝜙𝑁
Level 𝑛 𝐹(𝜙 𝑛 )
𝜙1𝑛 𝜙2𝑛 𝑛
𝜙𝑖−1 𝜙𝑖𝑛 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
Level 𝑛 + 1
𝜙1𝑛+1 𝜙2𝑛+1 𝑛+1
𝜙𝑖−1 𝜙𝑖𝑛+1 𝜙𝑖+1
𝑛+1 𝑛+1
𝜙𝑁−1 𝑛+1
𝜙𝑁
Leap-Frog Time Scheme 𝜙𝑗𝑛+1 − 𝝓𝒏−𝟏

𝒋
uses three time levels = 𝐹(𝑡 𝑛 , 𝝓𝒏 )
𝟐∆𝑡

𝜕𝜙 𝜕𝜙
𝜕𝑡 𝜕𝑥
Level 𝑛 − 1
𝑛−1
𝜙1𝑛−1 𝜙2𝑛−1 𝑛−1
𝜙𝑖−1 𝜙𝑖𝑛−1 𝜙𝑖+1
𝑛−1 𝑛−1
Level 𝑛 𝐹(𝜙 𝑛 )
𝜙1𝑛 𝜙2𝑛 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
Level 𝑛 + 1 𝐹(𝜙 𝑛+1 )

𝜙1𝑛+1 𝜙2𝑛+1 𝑛+1
𝑛+1 𝑛+1
𝜙𝑁−1 𝑛+1
𝜙𝑁
Level 𝑛 +2
𝜙1𝑛+2 𝜙2𝑛+2 𝑛+2
𝑛+2 𝑛+2 𝑛+2
Leap-Frog Time Scheme 𝜙𝑗𝑛+1 − 𝝓𝒏−𝟏

𝒋
uses three time levels = 𝐹(𝑡 𝑛 , 𝝓𝒏 )
𝟐∆𝑡

𝜕𝜙 𝜕𝜙
𝜕𝑡 𝜕𝑥
𝜙𝑗𝑛+1 − 𝝓𝒏−𝟏
𝒋 𝑛
= 𝐹(𝑡 𝑛 , 𝝓𝒏 )
𝑛
𝜙𝑗+1 = 𝑎𝑛 𝑒 𝑖𝜃(𝑗+1) = 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 +𝑖𝜃 𝜙𝑗−1 = 𝑎𝑛 𝑒 𝑖𝜃(𝑗−1) = 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 −𝑖𝜃
𝟐∆𝑡
Using Leap-Frog for time and following the same procedure as before:
𝜙𝑗𝑛+1 − 𝜙𝑗𝑛−1 𝑛
𝜙𝑗+1 𝑛
− 𝜙𝑗−1
+𝑢 =0 𝑎𝑛+1 𝑒 𝑖𝜃𝑗 = 𝑎𝑛−1 𝑒 𝑖𝜃𝑗 − 𝑐 𝑎𝑛 𝑒 𝑖𝜃(𝑗+1) − 𝑎𝑛 𝑒 𝑖𝜃(𝑗−1)
2∆𝑡 2∆𝑥
𝜙𝑗𝑛+1 = 𝜙𝑗𝑛−1 − 𝑐 𝜙𝑗+1

𝑛 𝑛
− 𝜙𝑗−1 𝑎𝑛+1 = 𝑎𝑛−1 − 𝑐 𝑎𝑛 𝑒 𝑖𝜃 − 𝑎𝑛 𝑒 −𝑖𝜃
𝑎𝑛+1
To compute 𝐺 = we can 𝑎𝑛+1 = 𝑎𝑛−1 − 𝑐𝑎𝑛 𝑒 𝑖𝜃 − 𝑒 −𝑖𝜃
𝑎𝑛
use two distinct approaches

First Von Neumann 𝑎𝑛+1 𝑎𝑛
Assume that the amplification factor
approach for three or
is similar between consecutive time levels 𝐺 = 𝑛 ≃ 𝑛−1
more time levels. 𝑎 𝑎
𝑎𝑛+1 = 𝑎 𝑛−1 − 𝑐𝑎𝑛 𝑒 𝑖𝜃 − 𝑒 −𝑖𝜃
Now we will divide by 𝑎𝑛−1 in order to obtain positive powers of the amplification factor
𝑎 𝑛+1 𝑎𝑛−1 𝑎𝑛
= − 𝑐 𝑛−1 2𝑖 sin(𝜃) 𝐺 2 = 1 − 𝑐𝐺2𝑖 sin(𝜃)
𝑎 𝑛−1 𝑎𝑛−1 𝑎
𝐺 2 + 𝐺2𝑐𝑖 sin 𝜃 − 1 = 0
Then we have an algebraic equation for the quadratic polynomial of G whose solutions are:
−2𝑐𝑖 sin 𝜃 ± −4𝑐 2 sin 𝜃 2 +4

𝐺=
2

Second Von Neumann
approach for three or Consider an Amplification Matrix 𝑮
more time levels.
𝑎𝑛+1 = 𝑎 𝑛−1 − 𝑐𝑎𝑛 𝑒 𝑖𝜃 − 𝑒 −𝑖𝜃 = 𝑎𝑛−1 −𝑐𝑎𝑛 2𝑖 sin(𝜃)
𝐴 = −2𝑖 sin(𝜃) 𝑎𝑛+1 𝐴 1 𝑎𝑛

𝑎 𝑛+1 = 𝑨𝑎𝑛 + 𝑎𝑛−1
=
𝑎𝑛 1 0 𝑎𝑛−1
Assuming that 𝑎𝑛 = 𝑎𝑛 + (𝟎)𝑎𝑛−1
Amplification Matrix 𝐺
𝐴−𝜆 1
Compute the eigenvalues = 𝜆2 − 𝐴𝜆 − 1 = 0 = 𝜆2 + 𝜆(2𝑐𝑖 sin 𝜃 ) − 1 = 0
of the matrix 1 −𝜆
same equation
−2𝑐𝑖 sin 𝜃 ± −4𝑐 2 sin 𝜃 2 +4
𝜆1,2 = from first approach
2

−2𝑐𝑖 sin 𝜃 ± −4𝑐 2 sin 𝜃 2 +4 −𝑐𝑖 sin 𝜃 + −𝑐 2 sin 𝜃 2 +1
𝐺= 𝐺=
2 −𝑐𝑖 sin 𝜃 − −𝑐 2 sin 𝜃 2 +1
In this kind of situations we have to ensure the more restrictive of the solutions.
Looking to the solutions we clearly have an imaginary part (𝑐𝑖 sin 𝜃 ) and a term that can be real
or imaginary ( −𝑐 2 sin 𝜃 2 + 1). This second term can create two or three branches:
If c>1 then the square root can give an imaginary value which, in the second solution makes G>1
and then the scheme is unstable
If c=1 (a special case), both solutions are in the boundary of a circle with radius G=1 and a stable
scheme is obtained. It would give −𝑖𝑠𝑖𝑛(𝜃) ± cos(𝜃)
If c < 1 will be explained in the next slide.

𝐺= 𝐺=
2 −𝒄𝒊 𝒔𝒊𝒏 𝜽 − −𝒄𝟐 𝒔𝒊𝒏 𝜽 𝟐 +𝟏
In this kind of situations we have to ensure the more restrictive of the solutions.
Looking to the solutions we clearly have an imaginary part (𝑐𝑖 sin 𝜃 ) and a term that can be real
or imaginary ( −𝑐 2 sin 𝜃 2 + 1). This second term can create three branches:
𝒊𝒇 𝒄 > 𝟏 ⟹ −𝑐 2 sin 𝜃 2 +1<0 −𝑐 2 sin 𝜃 2 + 1 = 𝑘𝑖 , 𝑘 > 0
𝐺2 = −𝑐𝑖 sin 𝜃 − 𝑘𝑖 = −𝑖(𝑐 sin 𝜃 + 𝑘) pure imaginary number

without real part
𝜃 = 𝜋/2 |𝐺2 | > 1 Unstable for

0 ≤ sin 𝜃 2 ≤1
𝒄>𝟏

𝐺= 𝐺=
2 −𝒄𝒊 𝒔𝒊𝒏 𝜽 − −𝒄𝟐 𝒔𝒊𝒏 𝜽 𝟐 +𝟏
𝒊𝒇 𝒄 = 𝟏 ⟹ −𝑐 2 sin 𝜃 2 + 1 = − sin 𝜃 2 + 1 = 𝑐𝑜𝑠 𝜃 2
𝑐𝑜𝑠 𝜃 2 + sin 𝜃 2 =1
−𝑐𝑖 𝑠𝑖𝑛 𝜃 + 𝑐𝑜𝑠 𝜃
𝐺= 𝐺 =1
−𝑐𝑖 𝑠𝑖𝑛 𝜃 − 𝑐𝑜𝑠 𝜃
Both solutions are at the circle with radius 1!
Stable for 𝒄 = 𝟏

𝐺= 𝐺=
2 −𝒄𝒊 𝒔𝒊𝒏 𝜽 − −𝒄𝟐 𝒔𝒊𝒏 𝜽 𝟐 +𝟏
𝒊𝒇 𝒄 < 𝟏 −𝑐 2 sin 𝜃 2 + 1 will be a real number without any imaginary part
𝑎 + 𝑏𝑖 = (𝑎)2 + 𝑏 2 Modulus of a Complex Number

𝐺 ≤1⟺ 𝐺 2 ≤1
−𝑎 − 𝑏𝑖 = (−𝑎)2 + −𝑏 2 = 𝑎2 + 𝑏 2 = 𝑎 + 𝑏𝑖
2 𝑐 2 sin 𝜃 2 − 𝑐 2 sin 𝜃 2+1≤1 2 Only true due the

𝐺 = 2 2 − 𝑐 2 sin 𝜃 2+1≤1⟺ 𝐺 =1≤1 real part contribution
𝑐 sin 𝜃
Concluding that the scheme is stable for 𝑐 ≤ 1
Leap-frog time-scheme stabilized the CDS convection scheme!!!

Alternative approach:
−𝑐𝑖 sin 𝜃 + −𝑐 2 sin 𝜃 2 +1 plot 𝐺 in the complex
𝐺= plane for different 𝑐
−𝑐𝑖 sin 𝜃 − −𝑐 2 sin 𝜃 2 +1 (polar diagram)
Mathematica file for these

plots is available: 𝑐 = 1.1
𝑐 = 0.5
VonNeumann_Lecture4.nb
𝐼𝑚𝑎𝑔 (𝐺)
𝑅𝑒𝑎𝑙 (𝐺)

1D Convection with Upwind and Implicit Scheme.
𝜕𝜙 𝜕𝜙
Let +𝑢 = 0 be discretized with first order upwind in space and Euler implicit in time.
𝜕𝑡 𝜕𝑥
𝜙𝑗𝑛+1 − 𝜙𝑗𝑛 𝜙𝑗𝑛+1 − 𝜙𝑗−1

𝑛+1 𝑢∆𝑡 𝑛+1
+𝑢 =0 𝜙𝑗𝑛+1 − 𝜙𝑗𝑛 = − 𝑛+1
𝜙𝑗 − 𝜙𝑗−1
∆𝑡 ∆𝑥 ∆𝑥
𝑛
𝜑𝑗𝑛 = 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝜑𝑗−1 = 𝑎 𝑛 𝑒 𝑖𝜃(𝑗−1) Courant number 𝑐 (or CFL number)
𝑎𝑛+1 𝑒 𝑖𝜃𝑗 = 𝑎𝑛 𝑒 𝑖𝜃𝑗 − 𝑐 𝑎𝑛+1 𝑒 𝑖𝜃𝑗 − 𝑎𝑛+1 𝑒 𝑖𝜃(𝑗−1) 𝑎𝑛+1 = 𝑎𝑛 − 𝑐 𝑎𝑛+1 − 𝑎𝑛+1 𝑒 −𝑖𝜃
𝑛+1 𝑛+1 𝑛+1 −𝑖𝜃 𝑛 𝑛+1 −𝑖𝜃 𝑛

𝑎𝑛+1 1
𝑎 +𝑐 𝑎 −𝑎 𝑒 =𝑎 𝑎 1 + 𝑐 − 𝑐𝑒 =𝑎 𝐺= 𝑛 =
𝑎 1 + 𝑐 − 𝑐𝑒 −𝑖𝜃

1 𝑒 −𝑖𝜃 = cos −𝜃 + 𝑖 sin −𝜃 =
𝐺=
1 + 𝑐 − 𝑐𝑒 −𝑖𝜃 = cos 𝜃 − 𝑖 sin(𝜃)
1 Multiply by the ratio

𝐺=
1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 − 𝑖 𝑠𝑖𝑛 𝜃 of the complex conjugate,
to take out the imaginary
part from the denominator
1 1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 − 𝑐 𝑖 𝑠𝑖𝑛 𝜃
𝐺= ∗
1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 + 𝑐 𝑖 𝑠𝑖𝑛 𝜃 1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 − 𝑐 𝑖 𝑠𝑖𝑛 𝜃
1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 − 𝑐 𝑖 𝑠𝑖𝑛 𝜃 Prove Again?

𝐺= 2 2
1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 + 𝑐 𝑠𝑖𝑛 𝜃 𝐺 ≤1

1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 − 𝑐 𝑖 𝑠𝑖𝑛 𝜃 Plot 𝐺 in the complex
𝐺= 2 2 plane for different 𝑐
𝐼𝑚𝑎𝑔 (𝐺) 1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 + 𝑐 𝑠𝑖𝑛 𝜃 (polar diagram)
𝑅𝑒𝑎𝑙 (𝐺) Always inside of the circle so

0 ≤ 𝜃 ≤ 2𝜋 it is always stable, normally
full implicit schemes are.
𝑐 = 0.5 𝑐 = 1.5 𝑐 = 50

1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 − 𝑐 𝑖 𝑠𝑖𝑛 𝜃 Prove Again?
𝐺= 2 2
1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 + 𝑐 𝑠𝑖𝑛 𝜃 𝐺 ≤1
2 2
2
1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 + 𝑐 𝑠𝑖𝑛 𝜃
𝐺 = 2 ≤1 |𝐺|2 ≤ 1
2 2
2
1 2 2
𝐺 = 2 2 ≤1 ⇔ 1 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 + 𝑐 𝑠𝑖𝑛 𝜃 ≥1
2 2 2
1+𝑐 − 2 1 + 𝑐 𝑐 𝑐𝑜𝑠 𝜃 + 𝑐 𝑐𝑜𝑠 𝜃 + 𝑐 𝑠𝑖𝑛 𝜃 ≥1
2
1+𝑐 − 2 1 + 𝑐 𝑐 𝑐𝑜𝑠 𝜃 + 𝑐 2 ≥ 1
1 + 𝑐 2 + 2𝑐 − 2𝑐 𝑐𝑜𝑠 𝜃 − 2𝑐 2 𝑐𝑜𝑠 𝜃 + 𝑐 2 ≥ 1

1 + 𝑐 2 + 2𝑐 − 2𝑐 𝑐𝑜𝑠 𝜃 − 2𝑐 2 𝑐𝑜𝑠 𝜃 + 𝑐 2 ≥ 1
2𝑐 2 + 2𝑐 − 2𝑐 𝑐𝑜𝑠 𝜃 − 2𝑐 2 𝑐𝑜𝑠 𝜃 ≥ 0
𝑐 2 + 𝑐 − 𝑐 𝑐𝑜𝑠 𝜃 − 𝑐 2 𝑐𝑜𝑠 𝜃 ≥ 0
𝑐 2 1 − 𝑐𝑜𝑠 𝜃 + 𝑐 1 − 𝑐𝑜𝑠 𝜃 ≥0
1 − 𝑐𝑜𝑠 𝜃 𝑐2 + 𝑐 ≥ 0
𝑐≠0
1 − 𝑐𝑜𝑠 𝜃 ≥ 0 ⟺ 1 ≥ 𝑐𝑜𝑠 𝜃
𝑐𝑜𝑠 𝜃 ≤ 1 ∀ 𝜃 TRUE

Spectral Error Analysis

Mathematical Skills:
Solving Inequalities with
Complex Numbers

Exercise 5.1: Dissipative and Dispersion Error for
1D Convection with Upwind and Explicit Scheme.
Let
𝜕𝜙 𝜕𝜙
+𝑢 =0
𝜕𝑡 𝜕𝑥
be discretized with upwind differences in space and forward Euler in time.
Find the amplitude and phase errors as a function of the frequency and Courant number.
𝜙𝑗𝑛+1 − 𝜙𝑖𝑛 𝜙𝑗𝑛 − 𝜙𝑗−1

𝑛
+𝑢 =0
∆𝑡 ∆𝑥
𝜙𝑖𝑛 = 𝑎𝑛 𝑒 𝑖𝜃𝑗
𝑎𝑛+1 𝑒 𝑖𝜃𝑗 − 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑎𝑛 𝑒 𝑖𝜃(𝑗) − 𝑎𝑛 𝑒 𝑖𝜃(𝑗−1)

+𝑢 =0
∆𝑡 ∆𝑥

working on the expression... Courant number c (or CFL number)
𝑣∆𝑡 𝑛 𝑖𝜃(𝑗)
∆𝑥
𝑎𝑛+1 𝑒 𝑖𝜃𝑗 − 𝑎𝑛 𝑒 𝑖𝜃𝑗 + 𝑐 𝑎𝑛 𝑒 𝑖𝜃(𝑗) − 𝑎𝑛 𝑒 𝑖𝜃(𝑗−1) = 0
𝑎 𝑛+1 − 𝑎𝑛 𝑒 𝑖𝜃𝑗 + 𝑐𝑎𝑛 𝑒 𝑖𝜃(𝑗) − 𝑒 𝑖𝜃(𝑗−1) = 0
dividing by 𝑒 𝑖𝜃𝑗
𝑎 𝑛+1 − 𝑎𝑛 + 𝑐𝑎𝑛 1 − 𝑒 −𝑖𝜃 = 0
𝑎𝑛+1 = 𝑎𝑛 − 𝑐𝑎𝑛 1 − 𝑒 −𝑖𝜃
𝑎𝑛+1 = 𝑎𝑛 1 − 𝑐 1 − 𝑒 −𝑖𝜃

Now dividing by 𝑎𝑛 , one obtain the amplification factor G
𝑎𝑛+1
𝐺 = 𝑛 = 1 − 𝑐 1 − 𝑒 −𝑖𝜃
𝑎
Changing the complex form, from exponential to 𝑥 + 𝑖𝑦
𝐺 = 1 − 𝑐 1 − cos 𝜃 − 𝑖 𝑠𝑖𝑛[𝜃]
𝐺 = 1 − 𝑐 1 − cos 𝜃 + 𝑖 𝑠𝑖𝑛[𝜃]
𝐺 = 1 − 𝑐 + 𝑐 cos 𝜃 − 𝑐 𝑖 𝑠𝑖𝑛[𝜃]

𝑎𝑛+1
Θ𝑒𝑥 = −𝑐𝜃 𝐺𝑒𝑥 = 𝑛 =1 From Hirish Book
𝑎
For convection equation,

diffusion and dispersion
errors are computed from:
Other differential equations may

𝜀𝐷 = 𝐺 𝜀𝜙 = 𝐴𝑟𝑔 𝐺 /(−𝑐𝜃) have diferent functions for exact
amplification factor and phase

𝜀𝐷 = 𝐺 = 1 − 𝑐 + 𝑐 cos 𝜃 2 + −𝑐 𝑠𝑖𝑛[𝜃] 2 𝑐 2 𝑐𝑜𝑠 2 𝜃 + 𝑐 2 𝑠𝑖𝑛2 𝜃
𝜀𝐷 = 𝐺 = 1 − 𝑐 + 𝑐 cos 𝜃 1 − 𝑐 + 𝑐 cos 𝜃 + 𝑐 𝑠𝑖𝑛[𝜃] 2
𝜀𝐷 = 𝐺 = 1 − 𝑐 + 𝑐 cos 𝜃 − 𝑐 + 𝑐 2 − 𝑐 2 cos 𝜃 + c cos 𝜃 − 𝑐 2 cos 𝜃 + 𝑐 2
𝜀𝐷 = 𝐺 = 1 − 2𝑐 + 2𝑐 2 + 2 1 − 𝑐 𝑐 cos 𝜃
Relative Diffusion or Dissipation Error

−𝑐 sin 𝜃
𝐴𝑟𝑔 𝐺 = 𝐴𝑟𝑐𝑇𝑎𝑛
1 − 𝑐 + 𝑐 cos 𝜃
−𝑐 sin 𝜃
𝜀𝜙 = 𝐴𝑟𝑔 𝐺 /(−𝑐𝜃) = 𝐴𝑟𝑐𝑇𝑎𝑛 /(−𝑐𝜃)
1−𝑐+𝑐 cos 𝜃
Relative Dispersion Error Hirish has a different definition

for the complex number angle

Diffusion Error 𝐶 = 0.1 Dispersion Error
−𝑐 sin 𝜃
𝜀𝐷 = 𝐺 = 1 − 2𝑐 + 2𝑐 2 + 2 1 − 𝑐 𝑐 cos 𝜃 𝜀𝜙 = 𝐴𝑟𝑐𝑇𝑎𝑛 /(−𝑐𝜃)
0≤𝜃≤𝜋

Diffusion Error 𝐶 = 0.6 > 0.5 Dispersion Error
−𝑐 sin 𝜃
0≤𝜃≤𝜋

−𝑐 sin 𝜃
0≤𝜃≤𝜋


This result can be used for
verification of the second
computational work:
The train should remain
intacted for 𝐶 = 1.0
−𝑐 sin 𝜃
0≤𝜃≤𝜋


plots is available:
SpectralError_Lecture4.nb
−𝑐 sin 𝜃
0≤𝜃≤𝜋

Diffusion Error Dispersion Error
Also it is possible to plot the diagram for different

Courant number and make a better comparison
Upwind with 𝐶 = 0.5

has zero dispersion error

From the other Professors
article concerning Stability:
Fourier_Pereira_Pereira.pdf
RK4 in time Except for LF and Q

From the other Professors
article concerning Stability:
Fourier_Pereira_Pereira.pdf
RK4 in time Except for LF and Q

First Order Upwind and MacCormark Schemes.
Let
𝜕𝜙 𝜕𝜙
+𝑢 =0
𝜕𝑡 𝜕𝑥
be discretized with upwind differences in space and MacCormak-like in time.
This is not the classic

MacCormak time scheme

𝑢
𝑓 𝜑𝑖𝑛 = − 𝜑𝑖𝑛 − 𝜑𝑖−1
𝑛
∆𝑥
∆𝑡 𝑢
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 + − 𝜑𝑖𝑛 − 𝜑𝑖−1
𝑛
1 ∆𝑥
𝜑𝑖𝑛+1 = 𝝋𝒏𝒊 + 𝒄 −𝝋𝒏𝒊 + 𝝋𝒏𝒊−𝟏
∆𝑡 𝑢 𝑢
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 + − 𝑛 𝑛
𝜑𝑖 − 𝜑𝑖−1 − 𝜑𝑖𝑛+1 − 𝜑𝑖−1
𝑛+1
2 ∆𝑥 ∆𝑥
∆𝑡 𝑢 𝑢
𝑛
− 𝝋𝒏𝒊 + 𝒄 −𝝋𝒏𝒊 + 𝝋𝒏𝒊−𝟏 − 𝝋𝒏𝒊−𝟏 + 𝒄 −𝝋𝒏𝒊−𝟏 + 𝝋𝒏𝒊−𝟐
2 ∆𝑥 ∆𝑥

∆𝑡 𝑢 𝑢
𝑛
− 𝝋𝒏𝒊 + 𝒄 −𝝋𝒏𝒊 + 𝝋𝒏𝒊−𝟏 − 𝝋𝒏𝒊−𝟏 + 𝒄 −𝝋𝒏𝒊−𝟏 + 𝝋𝒏𝒊−𝟐
2 ∆𝑥 ∆𝑥
𝑐 𝑐 𝒏 𝑐2 𝑐 𝒏 𝑐2
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 − 𝜑𝑖𝑛 − 𝜑𝑖−1
𝑛
− 𝝋𝒊 + −𝝋𝒏𝒊 + 𝝋𝒏𝒊−𝟏 − 𝝋𝒊−𝟏 + −𝝋𝒏𝒊−𝟏 + 𝝋𝒏𝒊−𝟐
2 2 2 2 2
𝑐2
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 +𝑐 𝑛
𝜑𝑖−1 − 𝜑𝑖𝑛 + 𝑛
−2𝜑𝑖−1 + 𝜑𝑖𝑛 + 𝜑𝑖−2
𝑛
2
Do this as homework to confirm the result from previous year!
𝑐2 𝑐2 𝑐2
𝐺 = 1 + 𝑐 𝐶𝑜𝑠 𝜃 − 𝑐 + − 𝐶𝑜𝑠 𝜃 + 𝐶𝑜𝑠 2𝜃 +
2 1 2
𝑐2 𝑐2
𝑗 −𝑐 𝑆𝑖𝑛 𝜃 + 𝑆𝑖𝑛 𝜃 − 𝑆𝑖𝑛 2𝜃
1 2

Diffusion 𝐶 = 0.5 Dispersion
𝜀𝐷 = 𝐺 𝜀𝜙 = 𝐴𝑟𝑔 𝐺 /(−𝑐𝜃)



plots is available:
Diffusion SpectralError_Lecture4_v2.nb Dispersion
Contrary to the First Order Upwind previous example (exercise 4.6),

the Courant number increasses the diffusion and dispersion error

Exercise 5.3: Convection Diffusion Euler
Let
𝜕𝜑 𝜕𝜑 𝜕2 𝜑
+𝑢 =𝜗 2
𝜕𝑡 𝜕𝑥 𝜕𝑥
be discretized with upwind differences for convection, central differences for diffusion and first
order Euler explicit in time.
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 − 𝑐 𝜑𝑖𝑛 − 𝜑𝑖−1

𝑛 𝑛
+ 𝛾 𝜑𝑖+1 − 2𝜑𝑖𝑛 + 𝜑𝑖−1
𝑛
𝐺 = 1 − 𝑐 1 − 𝑒 −𝑗𝜃 + 𝛾 𝑒 𝑗𝜃 − 2 + 𝑒 −𝑗𝜃
𝐺 = 1 − 𝑐 1 − 𝐶𝑜𝑠 𝜃 + 𝑗𝑆𝑖𝑛(𝜃) + 𝛾 𝐶𝑜𝑠 𝜃 + 𝑗𝑆𝑖𝑛 𝜃 − 2 + 𝐶𝑜𝑠 𝜃 − 𝑗𝑆𝑖𝑛(𝜃)
𝐺 = 1 − 𝑐 1 − 𝐶𝑜𝑠 𝜃 + 𝑗𝑆𝑖𝑛(𝜃) + 𝛾 𝐶𝑜𝑠 𝜃 − 2 + 𝐶𝑜𝑠 𝜃
𝐺 = 1 − 𝑐 1 − 𝐶𝑜𝑠 𝜃 + 𝛾 2𝐶𝑜𝑠 𝜃 − 2 − 𝑗 𝑐𝑆𝑖𝑛(𝜃)

𝜃 = 𝑘∆𝑥
𝛿 = 𝑘 2 𝜗∆𝑡
𝜗∆𝑡
𝛾= 2
∆𝑥
𝛿 = 𝛾𝜃 2 𝜃
𝑤 = 𝑘𝑣∆𝑡 = 𝑣∆𝑡 = 𝑐𝜃
∆𝑥
Amplification Factor
Amplitude error Exact amplitude

Amplification factor in the previous slide
Phase error

Amplification Factor
Exact amplitude
Amplitude error Amplification factor in the previous slide
Phase error


Some more...

Some more...

Example 2: Convection Euler

Wavelength 𝜆𝑚𝑖𝑛 = 2∆𝑥 𝜆𝑚𝑎𝑥 = 𝐿
Wavenumber 2𝜋 𝜋 2𝜋 2𝜋
𝑘𝑚𝑎𝑥 = = 𝑘𝑚𝑖𝑛 = =
𝜆𝑚𝑖𝑛 ∆𝑥 𝜆𝑚𝑎𝑥 𝐿
𝐿 𝜋𝑁 Se atingir esse wavenumber a solução terá um

∆𝑥 = 𝑘𝑚𝑎𝑥 =
𝑁 L erro significativo pois não é possível resolver
os maiores números de onda.

central differences:
𝜕𝜑 𝜑𝑗+1 − 𝜑𝑗−1 𝑒 𝑖𝑘∆𝑥(𝑗+1) − 𝑒 𝑖𝑘∆𝑥(𝑗−1)
= =
𝜕𝑥 𝑗
2∆𝑥 2∆𝑥
𝑖𝑘𝑥𝑗
𝑒 𝑖𝑘∆𝑥−𝑒 −𝑖𝑘∆𝑥 𝑒
=
2∆𝑥
1
= cos 𝑘∆𝑥 + 𝑖𝑠𝑖𝑛(𝑘∆𝑥) − cos 𝑘∆𝑥 − 𝑖𝑠𝑖𝑛(𝑘∆𝑥) 𝑒 𝑖𝑘𝑥𝑗
2∆𝑥
𝑠𝑖𝑛(𝑘∆𝑥) 𝑖𝑘𝑥
=𝑖 𝑒 𝑗 The difference to the exact solution, 𝑠𝑖𝑛(𝑘∆𝑥)
∆𝑥 𝑘 ∗ =
presented below, is related to k* ∆𝑥
= 𝑖𝑘 ∗ 𝑒 𝑖𝑘𝑥𝑗
𝑖𝑘𝑒 𝑖𝑘𝑥
falta a velocidade 𝑎 a multiplicar pela derivada, por simplificação, o

teórico viria alterado da mesma forma -> nada muda!

upwind differences:
𝜕𝜑 𝜑𝑗 − 𝜑𝑗−1 𝑒 𝑖𝑘∆𝑥(𝑗) − 𝑒 𝑖𝑘∆𝑥(𝑗−1)
= =
𝜕𝑥 𝑗
∆𝑥 ∆𝑥
𝑖𝑘𝑥𝑗
1−𝑒 −𝑖𝑘∆𝑥 𝑒
=
∆𝑥
1
= 1 − cos 𝑘∆𝑥 − 𝑖𝑠𝑖𝑛(𝑘∆𝑥) 𝑒 𝑖𝑘𝑥𝑗
∆𝑥
1 − cos 𝑘∆𝑥 + 𝑖𝑠𝑖𝑛(𝑘∆𝑥)

𝑖𝑘 ∗ =
∆𝑥

forward differences:
𝜕𝜑 𝜑𝑗+1 − 𝜑𝑗 𝑒 𝑖𝑘∆𝑥(𝑗+1) − 𝑒 𝑖𝑘∆𝑥(𝑗)
= =
𝜕𝑥 𝑗
∆𝑥 ∆𝑥
𝑖𝑘𝑥𝑗
𝑒 𝑖𝑘∆𝑥−1 𝑒
=
∆𝑥
1
= cos 𝑘∆𝑥 + 𝑖𝑠𝑖𝑛(𝑘∆𝑥) − 1 𝑒 𝑖𝑘𝑥𝑗
∆𝑥
cos 𝑘∆𝑥 + 𝑖𝑠𝑖𝑛 𝑘∆𝑥 − 1

𝑖𝑘 ∗ =
∆𝑥

O factor exacto é unitário
O Courant entraria de forma linear e igual para todos os esquemas.

mas podemos analizar o numero de onda modificado, escalado, ou efectivo...
central differences:
𝑖𝑘 ∗ ∆𝑥 = 𝑖𝑠𝑖𝑛(𝑘∆𝑥) 𝐸𝑟𝑟𝑜 = 0
upwind differences:
𝑖𝑘 ∗ ∆𝑥 = 1 − cos 𝑘∆𝑥 + 𝑖𝑠𝑖𝑛(𝑘∆𝑥) 𝐸𝑟𝑟𝑜~1 − cos 𝑘∆𝑥
forward differences:
𝑖𝑘 ∗ ∆𝑥 = cos 𝑘∆𝑥 + 𝑖𝑠𝑖𝑛 𝑘∆𝑥 − 1 𝐸𝑟𝑟𝑜~ cos 𝑘∆𝑥 − 1
O maior erro de aplitude, em módulo, é para as diferenças não centrais, qq q seja



Flux Limiters
Some more about Convection and Time Discretization Schemes

Time Discretization Schemes
Level 𝑛
0 1
𝜑1𝑛 𝜑2𝑛 𝑛
𝜑𝑖−1 𝜑𝑖𝑛 𝑛
𝜑𝑖+1 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Level 𝑛 + 1 0 1
𝜑1𝑛+1 𝜑2𝑛+1 𝑛+1
𝜑𝑖−1 𝜑𝑖𝑛+1 𝜑𝑖+1
𝑛+1 𝑛+1
𝜑𝑁−1 𝑛+1
𝜑𝑁

Level 𝑛
0 1
𝜑𝑖+1 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Level 𝑛 + 1 0 1
𝜑1𝑛+1 𝜑2𝑛+1 𝑛+1
𝑛+1 𝑛+1
𝜑𝑁−1 𝑛+1
𝜑𝑁
𝜑𝑖𝑛+1 − 𝜑𝑖𝑛 𝜑𝑖𝑛+1 − 𝜑𝑖𝑛

= 𝐹(𝜙 𝑛 , 𝑡 𝑛 ) = 𝐹(𝜙 𝑛+1 , 𝑡 𝑛+1 )
∆𝑡 ∆𝑡
Progressive Regressive Finite

Finite Difference Difference

Level 𝑛
0 1
𝜑𝑖+1 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Level 𝑛 + 1 0 1
𝜑1𝑛+1 𝜑2𝑛+1 𝑛+1
𝑛+1 𝑛+1
𝜑𝑁−1 𝑛+1
𝜑𝑁
𝜑𝑖𝑛+1 − 𝜑𝑖𝑛 𝜑𝑖𝑛+1 − 𝜑𝑖𝑛

= 𝐹(𝜙 𝑛 , 𝑡 𝑛 ) = 𝐹(𝜙 𝑛+1 , 𝑡 𝑛+1 )
∆𝑡 ∆𝑡
Progressive Regressive Finite

Finite Difference Difference

Level 𝑛
0 1
𝜑𝑖+1 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Level 𝑛 + 1 0 1
𝜑1𝑛+1 𝜑2𝑛+1 𝑛+1
𝑛+1 𝑛+1
𝜑𝑁−1 𝑛+1
𝜑𝑁
𝜑𝑖𝑛+1 − 𝜑𝑖𝑛 Mixed Schemes 𝜑𝑖𝑛+1 − 𝜑𝑖𝑛

= 𝐹(𝜙 𝑛 , 𝑡 𝑛 ) = 𝐹(𝜙 𝑛+1 , 𝑡 𝑛+1 )
∆𝑡 Crank-Nicolson ∆𝑡
Progressive 𝜑𝑖𝑛+1 − 𝜑𝑖𝑛 Regressive Finite

Finite Difference = 0.5 𝐹(𝜙 𝑛 , 𝑡 𝑛 ) + 𝐹(𝜙 𝑛+1 , 𝑡 𝑛+1 ) Difference
∆𝑡

Exercise 6.1: Temporal FD
Consider the transient convection-diffusion equation with constant coefficients in a uniform grid.
Use upwind differences for the first derivative and central differences for the second derivative.
Obtain the discrete equations for 2 grid points using both Euler explicit and implicit methods for
temporal discretization.
𝜕𝜑 𝜕𝜑 𝜕2 𝜑 𝜑 𝑥, 𝑡 : 𝜑 0, 𝑡 = 𝜑𝐷 , 𝜑 1, 𝑡 = 1, 𝜑 𝑥, 0 = 𝜑𝐷
+𝑢 =𝜗 2 +𝑓
𝜕𝑡 𝜕𝑥 𝜕𝑥
𝑢>0 𝑓=0
𝑛
In terms of discrete points we have 𝜑1𝑛 = 0 𝜑𝑁 =1
u
0 1
𝜑𝑖+1 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Thus for Explicit Euler

𝜑𝑖𝑛+1 − 𝜑𝑖𝑛 𝜑𝑖𝑛 − 𝜑𝑖−1
𝑛 𝑛
𝜑𝑖−1 − 2𝜑𝑖𝑛 + 𝜑𝑖+1
𝑛
+𝑢 =𝜗
∆𝑡 ∆𝑥 ∆𝑥 2
Remark: no need for matrix of coefficients
u
0 1
𝜑𝑖+1 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
𝑢∆𝑡 𝜗∆𝑡
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 + −𝜑𝑖𝑛 + 𝜑𝑖−1
𝑛
+ 𝜑 𝑛
𝑖−1 − 2𝜑 𝑛
𝑖 + 𝜑 𝑛
𝑖+1
∆𝑥 ∆𝑥 2
𝑐 𝛾
Where Courant number and Diffusive Criterion are highlighted.
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 + 𝑐 −𝜑𝑖𝑛 + 𝜑𝑖−1

𝑛 𝑛
+ 𝛾 𝜑𝑖−1 − 2𝜑𝑖𝑛 + 𝜑𝑖+1
𝑛
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 1 − 𝑐 − 2𝛾 + 𝜑𝑖−1

𝑛 𝑛
𝑐 + 𝛾 + 𝜑𝑖+1 𝛾
The stability limits must be taken

into account for the numerical
predictions
1 for convective transport only

u
Level 𝑛
0 1
𝜑𝑖+1 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Level 𝑛 + 1 0 1
𝜑1𝑛+1 𝜑2𝑛+1 𝑛+1
𝑛+1 𝑛+1
𝜑𝑁−1 𝑛+1
𝜑𝑁
For n=1 with Explicit Euler time scheme and computational time =∆𝑡
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 1 − 𝑐 − 2𝛾 + 𝜑𝑖−1

𝑛 𝑛
𝑐 + 𝛾 + 𝜑𝑖+1 𝛾
where:
𝜑11 = 𝜑𝐷 𝑢∆𝑡
𝑐=
𝜑21 = 1 − 𝑐 − 2𝛾 𝜑20 + 𝜑𝐷 𝑐 + 𝛾 + 𝛾𝜑30 ∆𝑥
𝜑31 = 1 − 𝑐 − 2𝛾 𝜑30 + 𝑐 + 𝛾 𝜑20 + 𝛾𝜑40 𝜗∆𝑡

. 𝛾=
∆𝑥 2
.
1 𝜑𝑖0 = 𝜑 𝑥𝑖 , 0 = 𝑥𝑖
𝜑𝑁 = 𝜑𝐷

u
Level 𝑛
0 1
𝜑𝑜𝑛 𝜑1𝑛 𝑛
𝜑𝑖+1 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Level 𝑛 + 1 0 1
𝜑1𝑛+1 𝜑2𝑛+1 𝑛+1
𝑛+1 𝑛+1
𝜑𝑁−1 𝑛+1
𝜑𝑁
For Implicit Euler

Transient Scheme 𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 + 𝑐 −𝜑𝑖𝑛+1 + 𝜑𝑖−1
𝑛+1 𝑛+1
+ 𝛾 𝜑𝑖−1 − 2𝜑𝑖𝑛+1 + 𝜑𝑖+1
𝑛+1
Only the time 𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 + 𝜑𝑖𝑛+1 −𝑐 − 2𝛾 + 𝜑𝑖−1

𝑛+1 𝑛+1
𝑐 + 𝛾 + 𝜑𝑖+1 𝛾
derivative
contributes
to level 𝑛 𝑛+1
𝜑𝑖−1 −𝑐 − 𝛾 + 𝜑𝑖𝑛+1 1 + 𝑐 + 2𝛾 + 𝜑𝑖+1
𝑛+1
−𝛾 = 𝜑𝑖𝑛
𝑨𝝋𝑛+1 = 𝝋𝑛 + 𝒃

where:
n=0 𝜑11 −𝑐 − 𝛾 + 𝜑21 1 + 𝑐 + 2𝛾 + 𝜑31 −𝛾 = 𝜑20 𝑢∆𝑡
i=2 𝑐=
∆𝑥
n=0 𝜗∆𝑡
i=3
𝜑21 −𝑐 − 𝛾 + 𝜑31 1 + 𝑐 + 2𝛾 + 𝜑41 −𝛾 = 𝜑30 𝛾=
∆𝑥 2
𝜑𝑖0 = 𝜑 𝑥𝑖 , 0 = 𝑥𝑖
1 + 𝑐 + 2𝛾 −𝛾 0 0 ⋯ 𝜑21 (𝑐 + 𝛾)𝜑𝐷 𝜑20

−𝑐 − 𝛾 1 + 𝑐 + 2𝛾 −𝛾 0 ⋯ 𝜑31 0 𝜑30
= +
⋱ ⋮ ⋮ ⋮
−𝑐 − 𝛾 1 + 𝑐 + 2𝛾 0
𝜑𝑁−1 +𝛾𝜑𝐷 0
𝜑𝑁−1
Contribution from the Contribution from

imposed boundaries previous values

Exercise 6.2: Finite Volume Discretization for
Convection-Diffusion Equation
Regarding the convection-diffusion equation, apply the finite volume method to obtain the
discrete equations in a 1D uniform grid for steady and unsteady problems.
Use first order upwind for convective fluxes, central differences for diffusive fluxes and first order
Euler implicit for time.
Compare the result obtained with that using finite differences.
𝜕𝜑 𝜕𝜑 𝜕2 𝜑 𝜑 𝑥, 𝑡 : 𝜑 0, 𝑡 = 𝜑𝐷 , 𝜑 1, 𝑡 = 𝜑𝐷 , 𝜑 𝑥, 0 = 30𝑥 + 2
+𝑢 =𝜗 2 𝑢>0 𝑓=0
𝜕𝑡 𝜕𝑥 𝜕𝑥
u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝜑𝑖−1 𝜑𝑖𝑛 𝜑𝑖+1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Starting with the vectorial (conservative) form of the equation,
𝜕𝜑 𝜕𝜑
+ 𝛻 ∙ 𝑢𝜑 = 𝛻 ∙ 𝜗𝛻𝜑 𝑑𝑉 + 𝛻 ∙ 𝑢𝜑 𝑑𝑉 = 𝛻 ∙ 𝜗𝛻𝜑 𝑑𝑉
𝜕𝑡 𝜕𝑡
𝑉 𝑉 𝑉
integrating
𝝏𝝋
𝒅𝑽 + 𝒖𝝋 ∙ 𝒏𝒅𝑺 = 𝜗𝛻𝜑 ∙ 𝑛𝑑𝑆
Gauss theorem 𝑽 𝝏𝒕 𝑺 𝑆

u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
𝜕𝜑 𝜕𝜑
𝑑𝑉 + 𝑢𝜑 ∙ 𝑛𝑑𝑆 = 𝜗𝛻𝜑 ∙ 𝑛𝑑𝑆 𝜑𝑢 ∙ 𝑛𝑑𝑠 = 𝜗 ∙ 𝑛𝑑𝑠
𝑉 𝜕𝑡 𝑆 𝑆 𝑆 𝑆 𝜕𝑥
Back to 1D steady
𝜕𝜑 𝜕 2𝜑
Starting with the steady version of the equation: 𝑢 =𝜗 2
𝜕𝑥 𝜕𝑥
𝜕𝜑
𝜑𝑢 ∙ 𝑛𝑑𝑠 = 𝜗 ∙ 𝑛𝑑𝑠 −𝐹𝐶𝑤 + 𝐹𝐶𝑒 = −𝐹𝐷𝑤 + 𝐹𝐷𝑒
𝑆 𝑆 𝜕𝑥
fluxes
𝜕𝜑 𝜕𝜑
−𝑢𝜑𝑤 + 𝑢𝜑𝑒 = −𝜗 +𝜗 𝑓𝑜𝑟 𝑖 = 1, ⋯
𝜕𝑥 𝑤
𝜕𝑥 𝑒

u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Upwind Central differences

𝜑𝑤 = 𝜑𝑖−1 𝑖𝑓 𝑢 > 0 𝜕𝜑 𝜑𝑖 − 𝜑𝑖−1
=
𝜕𝑥 𝑤
∆𝑥
𝜑𝑤 = 𝜑𝑖 𝑖𝑓 𝑢 < 0
𝜗 𝜗
−𝑢𝜑𝑖−1 + 𝑢𝜑𝑖 = − 𝜑𝑖 − 𝜑𝑖−1 + 𝜑 − 𝜑𝑖
∆𝑥 ∆𝑥 𝑖+1
𝜗 2𝜗 𝜗
−𝑢 − 𝜑𝑖−1 + 𝑢 + 𝜑𝑖 + − 𝜑 =0
∆𝑥 ∆𝑥 ∆𝑥 𝑖+1
For cell i=2

𝜗 2𝜗 𝜗 And the matrix’s coefficients
−𝑢 − 𝜑1 + 𝑢 + 𝜑2 + − 𝜑 =0 corresponding to the inner
∆𝑥 ∆𝑥 ∆𝑥 3 points can then be easily
d assembled.
a b c
u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
𝜕𝜑 𝜕𝜑
For cell i=1 lets recover the fluxes: −𝑢𝜑𝑤 + 𝑢𝜑𝑒 = −𝜗 +𝜗 𝑓𝑜𝑟 𝑖 = 1, ⋯
𝜕𝑥 𝑤
𝜕𝑥 𝑒
Progressive difference
Hence,
𝜑1 − 𝜑𝐷 𝜑2 − 𝜑1
−𝑢𝜑𝐷 + 𝑢𝜑1 = −𝜗 ∆𝑥
+𝜗
∆𝑥
2
3𝜗 𝜗 2𝜑𝐷
𝑢+ 𝜑1 − 𝜑2 = 𝜗 + 𝜑𝐷 𝑢
∆𝑥 ∆𝑥 ∆𝑥
a'
b’ c' d'
Remark: different matrix’ coefficients close to the boundaries

𝜕𝜑 𝜕𝜑 𝜕2𝜑
Following, the unsteady version: +𝑢 =𝜗 2
𝜕𝑡 𝜕𝑥 𝜕𝑥
Here one needs 𝜕𝜑 𝜑𝑖𝑛+1 − 𝜑𝑖𝑛 1

𝑑𝑉 = 𝑑𝑉 = 𝜑𝑖𝑛+1 𝑑𝑉 − 𝜑𝑖𝑛 𝑑𝑉
𝑉 𝜕𝑡 𝑉 ∆𝑡 ∆𝑡 𝑉 𝑉
𝑛
but 𝜑𝑖𝑛 𝑑𝑉 is ‘naturally’ replaced by 𝜑𝑖 ∆𝑉 under spatial discretizations with order up to 2
𝑉
Recovering the numerical equation for the interior points, adding the temporal contribution and
identifying the time index, the Euler implicit discrete equations is following:
Δ𝑥 𝑛+1 𝑛 𝜗 𝑛+1 2𝜗 𝑛+1 𝜗 𝑛+1

𝜑𝑖 − 𝜑𝑖 + −𝑢 − 𝜑𝑖−1 + 𝑢 + 𝜑𝑖 + − 𝜑𝑖+1 =0
Δ𝑡 ∆𝑥 ∆𝑥 ∆𝑥
Remark 1D: ∆𝑉 = ∆𝑥

where:
Cell 𝑖 = 1 𝜑𝐷 −𝑐 − 2𝛾 + 𝜑11 1 + 𝑐 + 3𝛾 + 𝜑21 −𝛾 = 𝜑10 𝑢∆𝑡
𝑐=
∆𝑥
Cell 𝑖 = 2 𝜑11 −𝑐 − 𝛾 + 𝜑21 1 + 𝑐 + 2𝛾 + 𝜑31 −𝛾 = 𝜑30
𝜗∆𝑡
𝛾=
1
𝜑𝑁−1 1
−𝑐 − 𝛾 + 𝜑𝑁 0
1 + 𝑐 + 3𝛾 + 𝜑𝐷 −2𝛾 = 𝜑𝑁 ∆𝑥 2
Cell 𝑖 = 𝑁
𝜑𝑖0 = 𝜑 𝑥𝑖 , 0 = 𝑥𝑖
1 + 𝑐 + 3𝛾 −𝛾 0 0 ⋯ 𝜑11 1
𝑐 + 2𝛾 𝜑𝐷 𝜑10
−𝑐 − 𝛾 1 + 𝑐 + 2𝛾 −𝛾 0 ⋯ 𝜑21 0 𝜑20
= +
⋱ ⋮ ⋮ ⋮
1 1 0
−𝑐 − 𝛾 1 + 𝑐 + 3𝛾 𝜑𝑁 +2𝛾𝜑𝐷 𝜑𝑁
Contribution from the Contribution from


where:
Cell 𝑖 = 1 𝜑𝐷 −𝑐 − 𝛾 + 𝜑11 1 + 𝑐 + 3𝛾 + 𝜑21 −2𝛾 = 𝜑10 𝑢∆𝑡
𝑐=
∆𝑥
Cell 𝑖 = 2 𝜑11 −𝑐 − 𝛾 + 𝜑21 1 + 𝑐 + 2𝛾 + 𝜑31 −𝛾 = 𝜑30
𝜗∆𝑡
𝛾=
1
𝜑𝑁−1 1
−𝑐 − 𝛾 + 𝜑𝑁 0
1 + 𝑐 + 3𝛾 + 𝜑𝐷 −2𝛾 = 𝜑𝑁 ∆𝑥 2
Cell 𝑖 = 𝑁
𝜑𝑖0 = 𝜑 𝑥𝑖 , 0 = 𝑥𝑖
1 + 𝑐 + 3𝛾 −𝛾 0 0 ⋯ 𝜑11 1
𝑐 + 2𝛾 𝜑𝐷 𝜑10
−𝑐 − 𝛾 1 + 𝑐 + 2𝛾 −𝛾 0 ⋯ 𝜑21 0 𝜑20
= +
⋱ ⋮ ⋮ ⋮
1 1 0
−𝑐 − 𝛾 1 + 𝑐 + 3𝛾 𝜑𝑁 +2𝛾𝜑𝐷 𝜑𝑁
Question: How would be the matrix, if

the boundaries were periodic? Contribution from the Contribution from

u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Periodic Boundary Conditions

the boundaries were periodic?
Cell 𝑖 = 2 𝜑11 −𝑐 − 𝛾 + 𝜑21 1 + 𝑐 + 2𝛾 + 𝜑31 −𝛾 = 𝜑30

u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Periodic Boundary Conditions

the boundaries were periodic?
Cell 𝑖 = 2 𝜑11 −𝑐 − 𝛾 + 𝜑21 1 + 𝑐 + 2𝛾 + 𝜑31 −𝛾 = 𝜑30
1 + 𝑐 + 2𝛾 −𝛾 0 0 ⋯ −𝑐 − 𝛾 𝜑11 0 𝜑10
−𝑐 − 𝛾 1 + 𝑐 + 2𝛾 −𝛾 0 ⋯ 𝜑21 0 𝜑20
= +
⋱ ⋮ ⋮ ⋮
−𝛾 −𝑐 − 𝛾 1 + 𝑐 + 2𝛾 1 0
𝜑𝑁 0 𝜑𝑁
𝑨𝝋𝑛+1 = 𝝋𝑛 + 𝒃

Convection Schemes in Finite Volume
u
w e 𝑛(𝑖)𝑒
0 1
𝜑𝑊 𝜑𝑃𝑛 𝜑𝐸𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
𝛻 ∙ 𝑢𝜑 𝑑𝑉 = 𝜑𝑓 (𝑢)𝑓 ∙ 𝑛𝑑𝑠
𝑉 𝑆
𝜑𝑒 = 𝜑𝑃 𝑖𝑓 𝑢 > 0 𝜑𝑒 = 0.5(𝜑𝐸 + 𝜑𝑃 ) 𝜕𝜑
𝜑𝑒 = 𝜑𝑃 + ∆𝑥/2
𝜕𝑥 𝑃
𝜑𝑒 = 𝜑𝐸 𝑖𝑓 𝑢 < 0
Linear Interpolation 𝜑𝑃 − 𝜑𝑊
Or Central Differences 𝜑𝑒 = 𝜑𝑃 +
2
Upwind
3𝜑𝑃 𝜑𝑊
𝜑𝑒 = −
2 2
Linear Upwind
if 𝑢 > 0

Convection Schemes in Finite Volume
u
w e 𝑛(𝑖)𝑒
0 1
𝜑𝑁−1 𝑛
𝜑𝑁
𝛻 ∙ 𝑢𝜑 𝑑𝑉 = 𝜑𝑓 (𝑢)𝑓 ∙ 𝑛𝑑𝑠
𝑉 𝑆
𝜑𝑒 = 𝜑𝑃 𝑖𝑓 𝑢 > 0 𝜑𝑒 = 0.5(𝜑𝐸 + 𝜑𝑃 ) 𝜕𝜑
𝜑𝑒 = 𝜑𝑃 + ∆𝑥/2
𝜕𝑥 𝑃
𝜑𝑒 = 𝜑𝐸 𝑖𝑓 𝑢 < 0
Linear Interpolation 𝜑𝑃 − 𝜑𝑊
Or Central Differences 𝜑𝑒 = 𝜑𝑃 +
2
Upwind
3𝜑𝑃 𝜑𝑊
𝜑𝑒 = −
2 2
Linear Upwind
if 𝑢 > 0

Wiggles and Stability with Convection Schemes
Velocity 𝑢 = 0.1 𝑚/𝑠 Velocity 𝑢 = 2.5 𝑚/𝑠
Upwind
Scheme
Linear
Interpolation

Blending Schemes
u
w e 𝑛(𝑖)𝑒
0 1
𝜑𝑁−1 𝑛
𝜑𝑁
𝜑𝑃 − 𝜑𝑊
𝜑𝑒 = 𝜑𝑃 + 0.5𝜓 (𝑟𝑒 )[𝜑𝐸 − 𝜑𝑃 ] 𝑟𝑒 = if 𝒖 > 𝟎 𝑟𝑒 < 1
𝜑𝐸 − 𝜑𝑃
The Gradients are

Difusive Term Anti-Difusive Term
Ratio of Regressive Increasing in the
Gradients Velocity Direction
𝜓=0 Upwind
Linear Interpolation
𝜓=1
Or Central Differences
𝜓=𝑟 Linear Upwind

TVD Schemes
u
w e 𝑛(𝑖)𝑒
0 1
𝜑𝑁−1 𝑛
𝜑𝑁
𝜑𝑒 = 𝜑𝑃 + 0.5𝜓 (𝑟𝑒 )[𝜑𝑒 − 𝜑𝑃 ]
𝜑𝑃 − 𝜑𝑊 𝑟 + 𝑟2
𝑟𝑒 = 𝜓=
𝜑𝐸 − 𝜑𝑃 1 + 𝑟2
List of Flux Limiters for Finite Volume Methods

Exercise 6.3: Application of a Flux Limiter (FL)
Apply to the previous exercise 3.2 two distinct flux limiters, Van Albada and Min-Mod, to the
convective scheme. Show the two obtained finite difference formula for cell P.
+𝑢 =𝜗 2 𝑢>0 𝑓=0
𝜕𝑡 𝜕𝑥 𝜕𝑥
u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
𝑟 + 𝑟2 0, 𝑟<0
𝜑𝑒 = 𝜑𝑃 + 0.5𝜓 (𝑟𝑒 )[𝜑𝐸 − 𝜑𝑃 ] 𝜓(𝑟) = 𝜓(𝑟) = 𝑟, 0<𝑟<1
1 + 𝑟2
1, 𝑟>1
𝜑𝑃 − 𝜑𝑊
𝑟𝑒 = Van Albada FL Min-Mod FL
𝜑𝐸 − 𝜑𝑃
Remembering the
Convective Term 𝜑𝑢 ∙ 𝑛𝑑𝑠 = −𝑢𝜑𝑤 + 𝑢𝜑𝑒
From Exercise 6.2 𝑆

+𝑢 =𝜗 2 𝑢>0 𝑓=0
𝜕𝑡 𝜕𝑥 𝜕𝑥
u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
−𝑢𝜑𝑤 + 𝑢𝜑𝑒 = 𝑢(𝜑𝑃 + 0.5𝜓(𝑟𝑒 )[𝜑𝐸 − 𝜑𝑃 ] − 𝜑𝑊 − 0.5𝜓(𝑟𝑤 )[𝜑𝑃 − 𝜑𝑊 ]) (𝐵𝑎𝑠𝑒)
𝜑𝑃 − 𝜑𝑊 This means that Flux Limiters

𝜑𝑊 − 𝜑𝑊𝑊
𝑟𝑒 = 𝑟𝑤 = are third-order schemes
𝜑𝐸 − 𝜑𝑃 𝜑𝑃 − 𝜑𝑊 that use two points of the
upwind side.

+𝑢 =𝜗 2 𝑢>0 𝑓=0
𝜕𝑡 𝜕𝑥 𝜕𝑥
u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
−𝑢𝜑𝑤 + 𝑢𝜑𝑒 = 𝑢(𝜑𝑃 + 0.5𝜓(𝑟𝑒 )[𝜑𝐸 − 𝜑𝑃 ] − 𝜑𝑊 − 0.5𝜓(𝑟𝑤 )[𝜑𝑃 − 𝜑𝑊 ]) (𝐵𝑎𝑠𝑒)
𝜑𝑃 − 𝜑𝑊 This means that Flux Limiters

𝜑𝑊 − 𝜑𝑊𝑊
𝑟𝑒 = 𝑟𝑤 = are third-order schemes
𝜑𝐸 − 𝜑𝑃 𝜑𝑃 − 𝜑𝑊 that use two points of the
upwind side.
𝑟 + 𝑟2
Let’s apply now the Van Albada Flux Limiter 𝜓(𝑟) =
1 + 𝑟2

+𝑢 =𝜗 2 𝑢>0 𝑓=0
𝜕𝑡 𝜕𝑥 𝜕𝑥
u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
𝑟𝑒 + 𝑟𝑒 2 𝑟𝑤 + (𝑟𝑤 )2
−𝑢𝜑𝑤 + 𝑢𝜑𝑒 = 𝑢(𝜑𝑃 + 0.5 [𝜑𝐸 − 𝜑𝑃 ] − 𝜑𝑊 − 0.5 [𝜑 − 𝜑𝑊 ])
1 + 𝑟𝑒 2 1 + (𝑟𝑤 )2 𝑃
𝜑𝑃 − 𝜑𝑊 𝜑𝑊 − 𝜑𝑊𝑊
𝑟𝑒 = 𝑟𝑤 =
𝜑𝐸 − 𝜑𝑃 𝜑𝑃 − 𝜑𝑊
As you can notice it is hard to simplify more by hand Try Mathematica
Flux Limiters present non-linear terms so they must be

iterated in the case of implicit time schemes

With Explicit Euler time scheme is simple to apply the Flux Limiters:
𝜑𝑖𝑛+1 = 𝜑𝑖𝑛 1 − 𝑐 − 2𝛾 + 𝜑𝑖−1

𝑛 𝑛
𝑐 + 𝛾 + 𝜑𝑖+1 𝛾 + (−𝒄)𝑭𝑳𝒊
𝟐
𝒓𝒊+𝟏/𝟐 + 𝒓𝒊+𝟏/𝟐
𝜑11 = 1 − 𝑐 − 3𝛾 𝜑10 + 𝑐 + 2𝛾 𝝋𝟎𝑫 + 𝛾𝜑20 + −𝒄 𝟎. 𝟓 𝟐
[𝝋𝒊+𝟏 − 𝝋𝒊 ]
𝟏 + 𝒓𝒊+𝟏/𝟐
𝜑21 = 1 − 𝑐 − 2𝛾 𝜑20 + 𝑐 + 𝛾 𝜑10 + 𝛾𝜑30 + (−𝒄)𝑭𝑳𝟐
.
.
.
𝒓 + (𝒓 )𝟐
𝒊−𝟏/𝟐 𝒊−𝟏/𝟐
1
𝜑𝑁 0
= 1 − 𝑐 − 3𝛾 𝜑𝑁 0
+ 𝑐 + 𝛾 𝜑𝑁−1 + 2𝛾𝝋𝟎𝑫 + +𝒄 𝟎. 𝟓 [𝝋𝒊 − 𝝋𝒊−𝟏 ])
𝟏 + (𝒓𝒊−𝟏/𝟐 )𝟐
2
𝑟𝑖+1/2 + 𝑟𝑖+1/2 𝑟𝑖−1/2 + (𝑟𝑖−1/2 )2
𝑭𝑳𝒊 = 0.5 2 [𝜑𝑖+1 − 𝜑𝑖 ] − 0.5 [𝜑𝑖 − 𝜑𝑖−1 ])
1 + 𝑟𝑖+1/2 1 + (𝑟𝑖−1/2 )2
𝜑𝑖 − 𝜑𝑖−1 𝜑𝑖−1 − 𝜑𝑖−2

𝑟𝑖+1/2 = 𝑟𝑖−1/2 =
𝜑𝑖+1 − 𝜑𝑖 𝜑𝑖 − 𝜑𝑖−1

With Implicit Euler time scheme is way more complicate to apply the Flux Limiters:
1 + 𝑐 + 3𝛾 −𝛾 0 0 ⋯ 𝜑11 𝑐 + 𝛾 𝜑𝐷0 𝜑10 (−𝑐)𝐹𝐿𝑘1
−𝑐 − 𝛾 1 + 𝑐 + 2𝛾 −𝛾 0 ⋯ 𝜑21 0 𝜑20 (−𝑐)𝐹𝐿𝑘2
= + +
⋱ ⋮ ⋮ ⋮ ⋮
−𝑐 − 𝛾 1 + 𝑐 + 3𝛾 1
𝜑𝑁 +𝛾𝜑𝐷0 0
𝜑𝑁 (−𝑐)𝐹𝐿𝑘𝑁
2
𝑟𝑖+1/2 + 𝑟𝑖+1/2 𝑟𝑖−1 + (𝑟𝑖−1 )2
𝐹𝐿𝑘𝑖 = 0.5 2 [𝜑𝑖+1 − 𝜑𝑖 ] − 0.5 2 [𝜑𝑖 − 𝜑𝑖−1 ]) This vector is
1 + 𝑟𝑖+1/2 1 + (𝑟𝑖−1 ) iterated with last
computed 𝜑𝑛+1
In boundaries one of these terms is cut out 𝑘 iteration number
𝜑𝑖 − 𝜑𝑖−1 𝜑𝑖−1 − 𝜑𝑖−2

𝑟𝑖+1/2 = 𝑟𝑖−1/2 = The system is solved
𝜑𝑖+1 − 𝜑𝑖 𝜑𝑖 − 𝜑𝑖−1 in each 𝑘 iteration
𝑟𝑒 + 𝑟𝑒 2 𝑟𝑤 + (𝑟𝑤 )2
−𝑢𝜑𝑤 + 𝑢𝜑𝑒 = 𝑢(𝜑𝑃 + 0.5 [𝜑𝐸 − 𝜑𝑃 ] − 𝜑𝑊 − 0.5 [𝜑 − 𝜑𝑊 ])
1 + 𝑟𝑒 2 1 + (𝑟𝑤 )2 𝑃

+𝑢 =𝜗 2 𝑢>0 𝑓=0
𝜕𝑡 𝜕𝑥 𝜕𝑥
u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
0, 𝑟<0 0, 𝑟𝑒 < 0
𝑈𝐷𝑆 , 𝑟 < 0 𝜑𝑖 −𝜑𝑖−1
𝜓(𝑟) = 𝐿𝑈𝐷𝑆 , 0 < 𝑟 < 1 𝜓(𝑟) = 𝑟, 0<𝑟<1 𝜎(𝑟𝑒 ) = , 0 < 𝑟𝑒 < 1
2
𝐿𝐼𝑁 , 𝑟 > 1 1, 𝑟>1 𝜑𝑖+1 −𝜑𝑖
, 𝑟𝑒 > 1
2
𝜑𝑒 = 𝜑𝑃 + 0.5𝜓 (𝑟𝑒 )[𝜑𝐸 − 𝜑𝑃 ] Min-Mod Flux Limiter Development of the

anti-difusive contribution
Min-Mod FL has 3 brunches for each faces, since is 1D
Linear Interpolation is
and cells 2 faces we get 9 possible combinations
unstable for the matrix structured
(zero main diagonal)

u ∆𝑥
w e 𝑛(𝑖)𝑒
0 1
𝑛 𝑛
𝜑𝑁−1 𝑛
𝜑𝑁
Each face has a flux limiter contribution.
0, 𝑟𝑖−1/2 < 0 0, 𝑟𝑖+1/2 < 0

𝜑𝑖−1 −𝜑𝑖−2 𝜑𝑖 −𝜑𝑖−1
𝜎(𝑟𝑖−1/2 ) = ,0 < 𝑟𝑖−1/2 < 1 𝜎(𝑟𝑖+1/2 ) = , 0 < 𝑟𝑖+1/2 < 1
2 2
𝜑𝑖 −𝜑𝑖−1 𝜑𝑖+1 −𝜑𝑖
, 𝑟𝑖−1/2 > 1 , 𝑟𝑖+1/2 > 1
2 2
𝜑𝑖−1 − 𝜑𝑖−2 𝜑𝑖 − 𝜑𝑖−1

𝑭𝑳𝒊 = 𝜎 𝑟𝑖+1/2 − 𝜎(𝑟𝑖−1/2 ) 𝑟𝑖−1/2 = 𝑟𝑖+1/2 =
𝜑𝑖 − 𝜑𝑖−1 𝜑𝑖+1 − 𝜑𝑖
The rest of the problem is similar to the previous flux limiter,

the system is still non-linear because of the branches switching of the MinMod FL
and also the linear scheme cannot be solved with a matrix (null main diagonal).

Exercise CT B1
Problem B1 (2+2+2+2=8 values)
Consider the Black-Scholes equatuion, where u(t; S) represents the buy option at time instant t for the
active value dependent to S, where  is the active’s volatility and r the interest rate:
a) Discretize the equation with the finite differences method for a generic point i and time instance
n+1. Use an explicit euler for time and central discretization scheme for the space derivatives. Assume
 and r as positive constants.
b) Analyze with the Von Neumann stability theorem the finite difference equation obtained in a).
c) Obtain the comple finite diference formula using the MinMod flux limiter for the derivative:
d) Discretize the equation using the Crank-Nicolson for the time derivative and a forth order compact
Padé for the spatial derivatives. (This type of schemes will not be covered during this course!)

Exercise CT B1
n+1. Use an explicit euler for time and central discretization scheme for the space derivatives.
Assume  and r as positive constants.
𝜕𝜙 𝜎 2 2 𝜕 2 𝜙 𝜕𝜙
+ 𝑥 + 𝑟𝑥 − 𝑟𝜙 = 0
𝜕𝑡 2 𝜕𝑥 2 𝜕𝑥
Assuming uniform grid: ∆𝑥 = ℎ 𝑥>0

First time we see a source term
We will obtained the following: that depends of the solution 𝜙
r𝑥 ℎ
𝜙𝑜𝑛 𝜙1𝑛 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁

Exercise CT B1
n+1. Use an explicit euler for time and central discretization scheme for the space derivatives.
Assume  and r as positive constants.
𝜕𝜙 𝜎 2 2 𝜕 2 𝜙 𝜕𝜙
+ 𝑥 + 𝑟𝑥 − 𝑟𝜙 = 0
𝜕𝑡 2 𝜕𝑥 2 𝜕𝑥
Assuming uniform grid: ∆𝑥 = ℎ 𝑥>0

First time we see a source term
We will obtained the following: that depends of the solution 𝜙
𝜙𝑖𝑛+1 − 𝜙𝑖𝑛 𝜎 2 2 𝜙𝑖−1

𝑛
− 2𝜙𝑖𝑛 +𝜙𝑖+1
𝑛 𝑛
𝜙𝑖+1 𝑛
− 𝜙𝑖−1
+ 𝑥𝑖 2 + 𝑟𝑥𝑖 − 𝑟𝜙𝑖𝑛 = 0
∆𝑡 2 ℎ 2ℎ
r𝑥 ℎ
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁

Exercise CT B1
b) Analyze with the Von Neumann stability theorem the finite difference equation obtained in a).
From the previous finite difference formula:
𝜙𝑖𝑛+1 − 𝜙𝑖𝑛 𝜎 2 2 𝜙𝑖−1

𝑛
𝑛 𝑛
𝜙𝑖+1 𝑛
− 𝜙𝑖−1 𝑛
+ 𝑥𝑖 + 𝑟𝑥𝑖 − 𝑟𝜙𝑖 =0
∆𝑡 2 ℎ2 2ℎ
𝑛+1
We can replace the fourier terms from Von Neumann analysis: 𝜙𝑖−1 = 𝑎𝑛+1 𝑒 𝐼𝜃 𝑖−1 ℎ
𝑎𝑛+1𝑒 𝐼𝜃 𝑖
− 𝑎𝑛 𝑒 𝐼𝜃 𝑖
𝜎 2 2 𝑎𝑛 𝑒 𝐼𝜃 𝑖−1
− 2𝑎𝑛 𝑒 𝐼𝜃 𝑖
+ 𝑎𝑛 𝑒 𝐼𝜃 𝑖+1
𝑎𝑛 𝑒 𝐼𝜃 𝑖+1
− 𝑎𝑛 𝑒 𝐼𝜃 𝑖−1
+ 𝑥 + 𝑟𝑥𝑖 − 𝑟𝑎𝑛 𝑒 𝐼𝜃 𝑖 =0
∆𝑡 2 𝑖 ℎ2 2ℎ
𝒂𝒏+𝟏
Dividing by 𝑎𝑛 𝑒 𝐼𝜃 𝑖 The amplification factor is thus
𝒂𝒏
𝑎𝑛+1
− 1 𝜎2 𝑒 𝐼𝜃 −1 − 2 + 𝑒 𝐼𝜃 1 𝑒 𝐼𝜃 1 − 𝑒 𝐼𝜃 −1
𝑎𝑛 + 𝑥𝑖 2 + 𝑟𝑥𝑖 −𝑟 =0
∆𝑡 2 ℎ2 2ℎ

Exercise CT B1
Simplifying,
𝑎𝑛+1 𝜎 2 ∆𝑡 2 𝐼𝜃 −1
𝑟𝑥𝑖 ∆𝑡 𝐼𝜃
−1+ 𝑥 𝑒 −2+ 𝑒 𝐼𝜃 1 + 𝑒 1 − 𝑒 𝐼𝜃 −1 − 𝑟∆𝑡 = 0
𝑎𝑛 2ℎ2 𝑖 2ℎ
Remember that the fourier terms can be simplified in the following form:
𝑒 𝐼𝜃 1 + 𝑒 𝐼𝜃 −1 = 𝐶𝑜𝑠 𝜃 + 𝐼𝑆𝑖𝑛 𝜃 + 𝐶𝑜𝑠 −𝜃 + 𝐼𝑆𝑖𝑛 −𝜃 =

= 𝐶𝑜𝑠 𝜃 + 𝐼𝑆𝑖𝑛 𝜃 + 𝐶𝑜𝑠 𝜃 − 𝐼𝑆𝑖𝑛 𝜃 = 2𝐶𝑜𝑠 𝜃
𝑒 𝐼𝜃 1 − 𝑒 𝐼𝜃 −1 = 𝐶𝑜𝑠 𝜃 + 𝐼𝑆𝑖𝑛 𝜃 − 𝐶𝑜𝑠 −𝜃 − 𝐼𝑆𝑖𝑛 −𝜃 =

= 𝐶𝑜𝑠 𝜃 + 𝐼𝑆𝑖𝑛 𝜃 − 𝐶𝑜𝑠 𝜃 + 𝐼𝑆𝑖𝑛 𝜃 = 2𝐼𝑆𝑖𝑛 𝜃
Further development of the previous equation:
𝑎𝑛+1 𝜎 2 ∆𝑡 2 𝑟𝑥𝑖 ∆𝑡
= 1 + 𝑟∆𝑡 − 𝑥 𝐶𝑜𝑠 𝜃 − 1 − 𝐼𝑆𝑖𝑛 𝜃
𝑎𝑛 ℎ2 𝑖 ℎ

Exercise CT B1
𝑎𝑛+1 𝜎 2 ∆𝑡 2 𝑟𝑥𝑖 ∆𝑡
= 1 + 𝑟∆𝑡 − 𝑥 𝐶𝑜𝑠 𝜃 − 1 − 𝐼𝑆𝑖𝑛 𝜃
𝑎𝑛 ℎ2 𝑖 ℎ
From the previous exercise it was stated that  and r as positive constants.
If 𝜃 = 0, is easy to check that the real part of 𝐺 will be:
𝑟𝑒𝑎𝑙 𝐺 = 1 + 𝑟∆𝑡 > 1

because 𝑟 > 0 and Δ𝑡 > 0
So you can say that this combination of schemes is unstable.

Exercise CT B1
c) Obtain the complete finite diference formula using the MinMod flux limiter for the derivative:
𝜙𝑖𝑛+1 − 𝜙𝑖𝑛 𝜎 2 2 𝜙𝑖−1 𝑛

𝑛 𝑛
𝜙𝑖+1 𝑛
− 𝜙𝑖−1 𝑛
+ 𝑥𝑖 + 𝑟𝑥𝑖 − 𝑟𝜙𝑖 =0
∆𝑡 2 ℎ2 2ℎ
𝜕𝜙 𝑛
To apply the flux limiter in FD: 𝜕𝑥 𝑖
Since 𝑟𝑥𝑖 is positive, the upwind points will be only regressive to the left.
To apply the MinMod flux limiter to the finite differences we have to use a nomenclature similar to
the finite volume by using auxiliar faces between the computational points:
𝜙𝑛 1 − 𝜙𝑛 1
𝜕𝜙 𝑛 𝑖+
2
𝑖−
2
=
𝜕𝑥 𝑖
ℎ
r𝑥 ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝜙𝑛 1 𝜙𝑛 1
𝑖− 𝑖+
2 2

Exercise CT B1
r𝑥 ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2
According to our flux limiters: MinMod FL: 𝜎 𝜃 = max[0, 𝑚𝑖𝑛 𝜃, 1 ]

𝜎𝑟 𝑛
𝜙𝑛 1 = +𝜙𝑖𝑛 𝜙𝑖+1 − 𝜙𝑖𝑛 𝑟 = 𝑖 + 1/2 𝑛
𝜙𝑖−1 𝑛
− 𝜙𝑖−2 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
𝑖+
2 2 𝜃𝑙 = 𝑛 𝜃𝑟 = 𝑛
𝑛
𝜎𝑙 𝑛 𝜙𝑖 − 𝜙𝑖−1 𝜙𝑖+1 − 𝜙𝑖𝑛
𝜙𝑛 1 𝑛
= 𝜙𝑖−1 + 𝑛
𝜙𝑖 − 𝜙𝑖−1 𝑙 = 𝑖 − 1/2
𝑖−
2 2
𝜙𝑛 1 − 𝜙𝑛 1 𝜎𝑟 𝑛
𝜙𝑖𝑛 +
𝜙𝑖+1 − 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛 𝜎
− 𝑙 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
So: 𝜕𝜙 𝑛 𝑖+
2
𝑖−
2 2 2
= =
𝜕𝑥 𝑖
ℎ ℎ
𝜎𝑟 𝑛 𝜎
𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛 𝜙𝑖+1 − 𝜙𝑖𝑛 − 𝑙 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
= + 2 2
ℎ ℎ

Exercise CT B1
𝜕𝜙𝑛
For each point compute the corresponding 𝜃𝑟 and 𝜃𝑙 in order to compute and so our final
𝜕𝑥 𝑖
equation can be defined by:
𝜎𝑟 𝑛 𝜎
𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝑛
𝜙𝑖−1 𝜙𝑖+1 − 𝜙𝑖𝑛 − 𝑙 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
= + 2 2
𝜕𝑥 𝑖
ℎ ℎ
Since the “convective velocity” 𝑟𝑥𝑖 is always positive, each auxiliary face has three branches which
results in nine combinations:

Exercise CT B1
𝜃𝑙 < 0 → 𝜎𝑙 𝜃𝑙 = 0 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1

𝑛 Left: Upwind
= Right: Upwind
𝜃𝑟 < 0 → 𝜎𝑟 𝜃𝑟 = 0 𝜕𝑥 ℎ
𝑖
𝜃𝑙 < 0 → 𝜎𝑙 𝜃𝑙 = 0 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 2𝜙𝑖−1

𝑛 𝑛
+ 𝜙𝑖+1 Left: Upwind
= Right: CDS
𝜕𝑥 2ℎ
𝜃𝑟 > 1 → 𝜎𝑟 𝜃𝑟 = 1 𝑖
𝜃𝑙 < 0 → 𝜎𝑙 𝜃𝑙 = 0 𝑛
𝜕𝜙 𝑛 −3𝜙𝑖−1 + 3𝜙𝑖𝑛 Left: Upwind
= Right: LUD
0 < 𝜃𝑟 < 1 → 𝜎𝑟 𝜃𝑟 = 𝜃𝑟 𝜕𝑥 𝑖
2ℎ

Exercise CT B1
𝜃𝑙 < 0 → 𝜎𝑙 𝜃𝑙 = 0 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛 Left: Upwind
= Right: Upwind
𝜃𝑟 < 0 → 𝜎𝑟 𝜃𝑟 = 0 𝜕𝑥 ℎ
𝑖
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2
MinMod 𝜎 𝜃 = max[0, 𝑚𝑖𝑛 𝜃, 1 ]

First order upwind
𝑛 𝑛
𝜙𝑖−1 − 𝜙𝑖−2 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
𝜃𝑙 = 𝑛 𝑛 𝜃𝑟 = 𝑛
𝜙𝑖 − 𝜙𝑖−1 𝜙𝑖+1 − 𝜙𝑖𝑛

Exercise CT B1
𝜃𝑙 < 0 → 𝜎𝑙 𝜃𝑙 = 0 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛 Left: Upwind
= Right: Upwind
𝜃𝑟 < 0 → 𝜎𝑟 𝜃𝑟 = 0 𝜕𝑥 ℎ
𝑖
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

First order upwind
𝑛 𝑛
𝑛

Exercise CT B1
𝜃𝑙 < 0 → 𝜎𝑙 𝜃𝑙 = 0 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 2𝜙𝑖−1
𝑛 𝑛
= Right: CDS
𝜕𝑥 2ℎ
𝜃𝑟 > 1 → 𝜎𝑟 𝜃𝑟 = 1 𝑖
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2
Slope obtained by central

differences plus half the
upwind (green) MinMod 𝜎 𝜃 = max[0, 𝑚𝑖𝑛 𝜃, 1 ]
𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛 𝑛
𝜙𝑖+1 𝑛
− 𝜙𝑖−1 𝑛 𝑛
= + 𝜙𝑖−1 − 𝜙𝑖−2 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
𝜕𝑥 2ℎ 2ℎ 𝜃𝑙 = 𝑛 𝑛 𝜃𝑟 = 𝑛
𝑖 𝜙𝑖 − 𝜙𝑖−1 𝜙𝑖+1 − 𝜙𝑖𝑛

Exercise CT B1
𝜃𝑙 < 0 → 𝜎𝑙 𝜃𝑙 = 0 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 2𝜙𝑖−1
𝑛 𝑛
= Right: CDS
𝜕𝑥 2ℎ
𝜃𝑟 > 1 → 𝜎𝑟 𝜃𝑟 = 1 𝑖
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2
Slope obtained by central

differences plus half the
upwind (green) MinMod 𝜎 𝜃 = max[0, 𝑚𝑖𝑛 𝜃, 1 ]
𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛 𝑛
𝜙𝑖+1 𝑛
− 𝜙𝑖−1 𝑛 𝑛
= + 𝜙𝑖−1 − 𝜙𝑖−2 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
𝜕𝑥 2ℎ 2ℎ 𝜃𝑙 = 𝑛 𝑛 𝜃𝑟 = 𝑛
𝑖 𝜙𝑖 − 𝜙𝑖−1 𝜙𝑖+1 − 𝜙𝑖𝑛

Exercise CT B1
𝜃𝑙 < 0 → 𝜎𝑙 𝜃𝑙 = 0 𝑛
= Right: LUD
0 < 𝜃𝑟 < 1 → 𝜎𝑟 𝜃𝑟 = 𝜃𝑟 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

Mixed between
𝑛 𝑛
First order upwind 𝜙𝑖−1 − 𝜙𝑖−2 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
And Second order upwind 𝜙𝑖 − 𝜙𝑖−1 𝜙𝑖+1 − 𝜙𝑖𝑛

Exercise CT B1
𝜃𝑙 < 0 → 𝜎𝑙 𝜃𝑙 = 0 𝑛
= Right: LUD
0 < 𝜃𝑟 < 1 → 𝜎𝑟 𝜃𝑟 = 𝜃𝑟 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

Mixed between
𝑛 𝑛
First order upwind 𝜙𝑖−1 − 𝜙𝑖−2 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
And Second order upwind 𝜙𝑖 − 𝜙𝑖−1 𝜙𝑖+1 − 𝜙𝑖𝑛

Exercise CT B1
𝜃𝑙 > 1 → 𝜎𝑙 𝜃𝑙 = 1 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1

𝑛
Left: CDS
= Right: Upwind
𝜃𝑟 < 0 → 𝜎𝑟 𝜃𝑟 = 0 𝜕𝑥 2ℎ
𝑖
𝑛 𝑛
𝜃𝑙 > 1 → 𝜎𝑙 𝜃𝑙 = 1 𝜕𝜙 𝑛 −𝜙𝑖−1 + 𝜙𝑖+1 Left: CDS
= Right: CDS
𝜃𝑟 > 1 → 𝜎𝑟 𝜃𝑟 = 1 𝜕𝑥 𝑖
2ℎ
𝜃𝑙 > 1 → 𝜎𝑙 𝜃𝑙 = 1 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1

𝑛 Left: CDS
= Right: LUD
0 < 𝜃𝑟 < 1 → 𝜎𝑟 𝜃𝑟 = 𝜃𝑟 𝜕𝑥 𝑖
ℎ

Exercise CT B1
𝜃𝑙 > 1 → 𝜎𝑙 𝜃𝑙 = 1 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
Left: CDS
= Right: Upwind
𝜃𝑟 < 0 → 𝜎𝑟 𝜃𝑟 = 0 𝜕𝑥 2ℎ
𝑖
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

NOT First order upwind
𝑛 𝑛
𝑛

Exercise CT B1
𝜃𝑙 > 1 → 𝜎𝑙 𝜃𝑙 = 1 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
Left: CDS
= Right: Upwind
𝜃𝑟 < 0 → 𝜎𝑟 𝜃𝑟 = 0 𝜕𝑥 2ℎ
𝑖
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

NOT First order upwind
𝑛 𝑛
𝑛

Exercise CT B1
𝑛 𝑛
= Right: CDS
𝜃𝑟 > 1 → 𝜎𝑟 𝜃𝑟 = 1 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

Second order central
𝑛 𝑛
𝑛

Exercise CT B1
𝑛 𝑛
= Right: CDS
𝜃𝑟 > 1 → 𝜎𝑟 𝜃𝑟 = 1 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

Second order central
𝑛 𝑛
𝑛

Exercise CT B1
𝜃𝑙 > 1 → 𝜎𝑙 𝜃𝑙 = 1 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
Left: CDS
= Right: LUD
0 < 𝜃𝑟 < 1 → 𝜎𝑟 𝜃𝑟 = 𝜃𝑟 𝜕𝑥 𝑖
ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

First order upwind
𝑛 𝑛
𝑛

Exercise CT B1
𝜃𝑙 > 1 → 𝜎𝑙 𝜃𝑙 = 1 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 𝜙𝑖−1
𝑛
Left: CDS
= Right: LUD
0 < 𝜃𝑟 < 1 → 𝜎𝑟 𝜃𝑟 = 𝜃𝑟 𝜕𝑥 𝑖
ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

First order upwind
𝑛 𝑛
𝑛

Exercise CT B1
0 < 𝜃𝑙 < 1 → 𝜎𝑙 𝜃𝑙 = 𝜃𝑙 Left: LUD

𝜕𝜙 𝑛 2𝜙𝑖𝑛 − 3𝜙𝑖−1
𝑛 𝑛
+ 𝜙𝑖−2
= Right: Upwind
𝜃𝑟 < 0 → 𝜎𝑟 𝜃𝑟 = 0 𝜕𝑥 𝑖
2ℎ
0 < 𝜃𝑙 < 1 → 𝜎𝑙 𝜃𝑙 = 𝜃𝑙 𝜕𝜙 𝑛 𝜙𝑖𝑛 − 3𝜙𝑖−1

𝑛 𝑛
+ 𝜙𝑖+1 𝑛
+ 𝜙𝑖−2 Left: LUD
= Right: CDS
𝜃𝑟 > 1 → 𝜎𝑟 𝜃𝑟 = 1 𝜕𝑥 𝑖
2ℎ
0 < 𝜃𝑙 < 1 → 𝜎𝑙 𝜃𝑙 = 𝜃𝑙 𝜕𝜙 𝑛 3𝜙𝑖𝑛 − 4𝜙𝑖−1

𝑛 𝑛
=
0 < 𝜃𝑟 < 1 → 𝜎𝑟 𝜃𝑟 = 𝜃𝑟 𝜕𝑥 𝑖
2ℎ Right: LUD

Exercise CT B1
0 < 𝜃𝑙 < 1 → 𝜎𝑙 𝜃𝑙 = 𝜃𝑙
𝑛 𝑛
= Right: Upwind
𝜃𝑟 < 0 → 𝜎𝑟 𝜃𝑟 = 0 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

NOT Second order upwind
𝑛 𝑛
𝑛

Exercise CT B1
0 < 𝜃𝑙 < 1 → 𝜎𝑙 𝜃𝑙 = 𝜃𝑙
𝑛 𝑛
= Right: Upwind
𝜃𝑟 < 0 → 𝜎𝑟 𝜃𝑟 = 0 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

NOT Second order upwind
𝑛 𝑛
𝑛

Exercise CT B1
𝑛 𝑛
+ 𝜙𝑖+1 𝑛
= Right: CDS
𝜃𝑟 > 1 → 𝜎𝑟 𝜃𝑟 = 1 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

NOT third order upwind
𝑛 𝑛
𝑛

Exercise CT B1
𝑛 𝑛
+ 𝜙𝑖+1 𝑛
= Right: CDS
𝜃𝑟 > 1 → 𝜎𝑟 𝜃𝑟 = 1 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

NOT third order upwind
𝑛 𝑛
𝑛

Exercise CT B1
𝑛 𝑛
= Right: LUD
0 < 𝜃𝑟 < 1 → 𝜎𝑟 𝜃𝑟 = 𝜃𝑟 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

Second order upwind
𝑛 𝑛
𝑛

Exercise CT B1
𝑛 𝑛
= Right: LUD
0 < 𝜃𝑟 < 1 → 𝜎𝑟 𝜃𝑟 = 𝜃𝑟 𝜕𝑥 𝑖
2ℎ
𝜙𝑖−2 𝑛
𝜙𝑖+1 𝑛
𝜙𝑁−1 𝑛
𝜙𝑁
𝑖− 𝑖+
2 2

Second order upwind
𝑛 𝑛
𝑛

𝑼
It asks for all
combinations of
west face
Formula for positive velocity
𝜓 𝑟
𝜙𝑤 = 𝜙𝐶 + (𝜙𝑊 − 𝜙𝐶 ) Formula for negative velocity
2

Book from Moukalled (2016)
This nomenclature can help

when velocity is changed
like in this exercise

𝜓 𝑟𝑤
𝜙𝑤 = 𝜙𝐶 + (𝜙𝑊 − 𝜙𝐶 )
2 C = P used in book from
𝜓 𝑟𝑤 = max(0, min(1, 𝑟𝑤 )) Moukalled (2016)
𝜙𝐶 − 𝜙𝐸 Velocity is negative so the

𝑟𝑤 = formula is shifted
𝜙𝑊 − 𝜙𝐶
Yes!!! Our three classic
MinMod combinations!
𝑟𝑤 < 0 ⇒ 𝜓 = 0 ⟹ 𝜙𝑤 = 𝜙𝐶
1 3 1
0 < 𝑟𝑤 < 1 ⟹ 𝜓 = 𝑟𝑤 ⟹ 𝜙𝑤 = 𝜙𝐶 + (𝜙𝐶 − 𝜙𝐸 ) = 𝜙𝐶 − 𝜙𝐸
2 2 2
1 1
𝑟𝑤 > 1 ⟹ 𝜓 = 1 ⟹ 𝜙𝑤 = 𝜙𝐶 + (𝜙𝑊 − 𝜙𝐶 ) = (𝜙𝐶 + 𝜙𝑊 )
2 2

Only combinations in west point
𝑼

Check Chapter 12 from
Moukalled (2016) for NVF
𝝓𝒘 − 𝜙𝐸
𝜙𝑓 = ⟹ 𝝓𝒘 = 𝜙𝑓 𝜙𝑊 − 𝜙𝐸 + 𝜙𝐸
𝜙𝑊 − 𝜙𝐸
Equivalent to 𝝓𝑪 but with 𝜙𝐶 − 𝜙𝐸

negative velocity we get
𝜙𝐶 =

List of NVF formulas at Attention: Some of these
page 441 from the book formulas can be different,
with a positive velocity!
𝜙𝐶 − 𝜙𝐸
This one is Upwind 𝜙𝐶 =
𝜙𝑓 = ⟹ 𝝓𝒘 = 𝜙𝑓 𝜙𝑊 − 𝜙𝐸 + 𝜙𝐸 Main Equation

𝜙𝐶 −𝜙𝐸
𝝓𝑪 < 𝟎 𝒐𝒓 𝝓𝑪 > 𝟏 ⇒ 𝜙𝑓 = 𝜙𝐶 ⇒ 𝝓𝒘 = 𝜙𝑊 − 𝜙𝐸 + 𝜙𝐸 = 𝜙𝐶
𝜙𝑊 −𝜙𝐸

𝟑
< 𝝓𝑪 < 𝟏 ⇒ 𝜙𝑓 = 1 ⇒ 𝝓𝒘 = 1 𝜙𝑊 − 𝜙𝐸 + 𝜙𝐸 = 𝜙𝑊
𝟒

𝟏 𝜙𝐶 −𝜙𝐸
𝟎 < 𝝓𝑪 < ⇒ 𝜙𝑓 = 2𝜙𝐶 ⇒ 𝝓𝒘 = 2 𝜙𝑊 − 𝜙𝐸 + 𝜙𝐸 = 2𝜙𝐶 − 𝜙𝐸
𝟒 𝜙𝑊 −𝜙𝐸
𝟑
< 𝝓𝑪 < 𝟏 ⇒ 𝜙𝑓 = 1 ⇒ 𝝓𝒘 = 1 𝜙𝑊 − 𝜙𝐸 + 𝜙𝐸 = 𝜙𝑊
𝟒

𝟏 𝜙𝐶 −𝜙𝐸
𝟎 < 𝝓𝑪 < ⇒ 𝜙𝑓 = 2𝜙𝐶 ⇒ 𝝓𝒘 = 2 𝜙𝑊 − 𝜙𝐸 + 𝜙𝐸 = 2𝜙𝐶 − 𝜙𝐸
𝟒 𝜙𝑊 −𝜙𝐸
𝟏 𝟑 1 𝜙𝐶 −𝜙𝐸 1
< 𝝓𝑪 < ⇒ 𝜙𝑓 = 𝜙𝐶 + ⇒ 𝝓𝒘 = [ + ] 𝜙𝑊 − 𝜙𝐸 + 𝜙𝐸
𝟒 𝟒 4 𝜙𝑊 −𝜙𝐸 4
1 1 1
𝝓𝒘 = (𝜙𝐶 −𝜙𝐸 ) + (𝜙𝑊 − 𝜙𝐸 ) + 𝜙𝐸 = 𝜙𝑊 + 𝜙𝐶 − 𝜙𝐸
4 4 4
𝟑
< 𝝓𝑪 < 𝟏 ⇒ 𝜙𝑓 = 1 ⇒ 𝝓𝒘 = 1 𝜙𝑊 − 𝜙𝐸 + 𝜙𝐸 = 𝜙𝑊
𝟒

Page 431 from the book
Homework: Check if you can convert

classic schemes by applying NVF formulas.

Former T1 Revisited

Some \alpha were incorrectly included -> see the


MFC 2022 Exercises Block 2 v1

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MFC 2022 Exercises Block 2 v1

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COMPUTATIONAL FLUID MECHANICS

IST, MFC, 2022 Exercises 1

IST, MFC, 2022 Exercises 2

1 – Prove the Von Neumann stability limit when it exists.

2 – Understand its influence for time and spatial schemes combinations.

IST, MFC, 2022 Exercises 3

IST, MFC, 2022 Exercises 4

The discretization of the differential equation should be evident by now as follows:

𝑎𝑛+1 𝑒 𝑖𝜃𝑗 − 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 +𝑖𝜃 − 2𝑎𝑛 𝑒 𝑖𝜃𝑗 + 𝑎𝑛 𝑒 𝑖𝜃𝑗 𝑒 −𝑖𝜃

IST, MFC, 2022 Exercises 5

𝑎𝑛+1 = 𝑎𝑛 + 𝑎𝑛 𝛾(𝑒 𝑖𝜃 − 2 + 𝑒 −𝑖𝜃 )]

𝑒 𝑖𝜃 = cos 𝜃 + 𝑖 sin(𝜃) 𝑒 −𝑖𝜃 = cos −𝜃 + 𝑖 sin −𝜃 = cos 𝜃 − 𝑖 sin(𝜃)

IST, MFC, 2022 Exercises 6

Von Neumann Stability Theorem

IST, MFC, 2022 Exercises 7

𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 ) ≤ 0 𝛾( − 2 − 2) ≤ 0 ⟺ 0 ≤ 𝛾 The second branch

−2 ≤ 𝛾( − 2 + 2𝑐𝑜𝑠 𝜃 ) ⟺ 2 ≥ 𝛾( 2 − 2𝑐𝑜𝑠 𝜃 ) Worst scenario 𝑐𝑜𝑠 𝜃 = −1

∆𝑥 2 Time step must be reduced

IST, MFC, 2022 Exercises 8

Von Neumann Stability Theorem

IST, MFC, 2022 Exercises 9

−4 𝛾 𝑠𝑖𝑛2 𝜃/2 ≤ 0 ⟺ 0 ≤ 4 𝛾 𝑠𝑖𝑛2 𝜃/2 ⟺ 0 ≤ 𝛾

1 ∆𝑡 1 Diffusive Criterion for stability

∆𝑥 2 Time step must be reduced

IST, MFC, 2022 Exercises 10

IST, MFC, 2022 Exercises 11

IST, MFC, 2022 Exercises 12

𝜑𝑖−1,𝑗 𝜑𝑖,𝑗 𝜑𝑖+1,𝑗 𝑛+1 𝑛 𝜗∆𝑡 𝑛 𝑛 𝑛 𝜗∆𝑡 𝑛 𝑛 𝑛

Each direction will have its own

In two dimensional problems, two minimum wavelenghts

IST, MFC, 2022 Exercises 13

𝑎𝑛+1 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 = 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗 𝐼 +

𝑎 𝑛+1 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 = 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼

IST, MFC, 2022 Exercises 14

𝑎𝑛+1 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗𝐼 = 𝑎𝑛 𝑒 𝑖𝜃𝑖𝐼 𝑒 𝑗𝜃𝑗 𝐼 +

𝑎𝑛+1 = 𝑎𝑛 + 𝛾𝑥 𝑎𝑛 𝑒 +𝜃𝑖𝐼 − 2𝑎𝑛 + 𝑎 𝑛 𝑒 −𝜃𝑖𝐼 + 𝛾𝑦 𝑎𝑛 𝑒 +𝜃𝑗𝐼 − 2𝑎𝑛 + 𝑎𝑛 𝑒 −𝜃𝑗𝐼

IST, MFC, 2022 Exercises 15

𝑎𝑛+1 = 𝑎𝑛 + 𝒂𝒏 𝛾𝑥 𝑒 𝜃𝑖𝐼 − 2 + 𝑒 −𝜃𝑖𝐼 + 𝒂𝒏 𝛾𝑦 𝑒 𝜃𝑗 𝐼 − 2 + 𝑒 −𝜃𝑗 𝐼

IST, MFC, 2022 Exercises 16

IST, MFC, 2022 Exercises 17

Blue circle represents

IST, MFC, 2022 Exercises 18

Considering the second branch

2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≤ 0

worst case scenario 0𝛾𝑥 + 0𝛾𝑦 ≤ 0 TRUE!!

IST, MFC, 2022 Exercises 19

Considering the first branch

2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≥ −2

worst case scenario −2𝛾𝑥 − 2𝛾𝑦 ≥ −1

IST, MFC, 2022 Exercises 20

Considering the first branch

2𝛾𝑥 𝑐𝑜𝑠 𝜃𝑖 − 1 + 2𝛾𝑦 𝑐𝑜𝑠 𝜃𝑗 − 1 ≥ −2

worst case scenario −2𝛾𝑥 − 2𝛾𝑦 ≥ −1

The discretization of the differential equation is now evident and is as follows

𝑎𝑛+1 𝑒 𝑖𝜃𝑗 − 𝑎 𝑛 𝑒 𝑖𝜃𝑗 𝑎 𝑛 𝑒 𝑖𝜃(𝑗+1) − 𝑎𝑛 𝑒 𝑖𝜃(𝑗−1)

IST, MFC, 2022 Exercises 22

IST, MFC, 2022 Exercises 23

IST, MFC, 2022 Exercises 24

For Von Neumann stability we need to have 𝐺 ≤1

𝐺 = 1 − 𝑖 𝑐 𝑠𝑖𝑛 𝜃 Remember this

We conclude this combination of schemes is Unconditionally unstable

IST, MFC, 2022 Exercises 25

Obviously for any 𝑐 value

IST, MFC, 2022 Exercises 26