Numerical Methods for

Partial Differential
Equations
1. Introduction

2. Finite difference method for first order hyperbolic PDEs

3. Method of characteristics for first order hyperbolic PDEs

4. Method of lines approach for first order hyperbolic PDEs

5. Finite difference method for second order elliptic PDEs

6. Finite element method for second order elliptic PDEs

7. Weighted residuals method for second order elliptic PDEs

8. Finite difference method for second order parabolic PDEs

1
Slides adapted from Prof. Shang-Xu. Hu of ZJU, “Appl
ied Numerical Computation Methods”. 2000.5
 1. Introduction to PDEs

• number of variables: at least 2

u  u x, y, 
F x, y, u , u x , u y , u xx , u xy , u yy ,  0
u u  2u  2u
ux  ,uy  , u xx  2 , u xy  ,
x y x xy

• order : the highest order of derivative

u x  b 3u y  0 first order
u xx  u 3y  0 second order
u x  u yyy  0 third order

• characteristic
using the first order PDE as an example
au x  bu y  c  0

2
a , b, c  are constants
a   a x, y , b  bx, y , c   c x, y 
  x, y  ...Linear
  x, y, u  ...Quasilinear
  x, y, u, u x , u y  ... Nonlinear
for examples :
u x  bu y  0 ...Linear
ux  u  u y  x 2  0 ...Quasilinear
u x  u y   0 ... Nonlinear
2

For second order PDEs

A:u xx  B :u xy  C :u yy  D u x  E u y  F   0
A:, B :, C :：
:  x, y  ...Linear
:  x, y, u, ux , u y  ...Quasilinear
:  x, y, u, ux , u y , uxx , uxy , u yy  ... Nonlinear

3
 • types
first order linear PDE
au x  bu y  c  0
ut  v  u x Advection Equation(AE)
second order linear PDE
Au xx  Bu xy  Cu yy  G   0
B 2  4 AC  0 elliptic
u xx  u yy  f x, y  Poisson equation
u xx  u yy  0 Laplace eq., heat conduction eq.
B 2  4 AC  0 parabolic
u x  u yy diffusion equation
u x  u  u y  K  u yy Burger equation
B 2  4 AC  0 hyperbolic
u xx  u yy wave equation
4
• solution methods:
Method of Finite Differences (MFD)
Method of Characteristics (MOC)
Method of Lines (MOL)
Method of Finite Elements (MFE)
Method of Weighled Residuals (MWR)

• Numerical questions:
Convergence
When the steps approach to infinitely small,
will the numerical results coincide the theoreti
cal results? y dy

x dx
Stability
When the error is introduced at a certain ste
p, will this error be amplified or attenuated af
ter several steps of numerical computation?
y 1 y k 
1

ey ey k  5
2. Finite difference method for fi
rst order hyperbolic PDEs
u u
v 0
t x
known as Advection Equation (AE)
v is the flow speed
The analytical solution is:

u  f x  vt 
since u  f w , w  x  vt
u du w du
   v
t dw t dw
u du w du
  
x dw x dw
To find a specific solution, we need two
auxiliary conditions:
u x, t0   f x  vt0 
u x0 , t   f x0  vt 
6
 assuming the forcing function is a Rump

1.0, 0 W f w
 W 1.0

f W   1  ,  s  W  0
 s
0.0
0.0, W  s
s 0 W
The solution of ut  vu x  0 is shown below.
u
x  x0
t  t0
u x0 , t 

u x j , t 
u x,t 0 

xj
tn x
u x , t n 

t
t  tn
x  xj x  v t
Fig. 1. Propagation of the Wave Front
7
2.1 The simplest finite difference format:
t


t n 1  
tn    

t

t0         

x0 x j 1 xj x j 1 x
x
Fig. 2
u u 
 v 
t x  x j  x0  j  x

u t0 , x   a x 
u t , x0   bt   t n  t0  n  t


 u  u j  u jn  n 1
    Ot 
t
  j ,n t
 u  u jn1  u jn1 u jn 1  u jn  u jn1  u jn1
    O x 2    v
 x  j ,n 2x t 2x
v  t n 
u jn 1  u jn  
2x

u j 1  u jn1  n  n 1

8
The above method is called Forward Time Centered Space
FTCS representation
In fact, this method is not practical since it is an unstable metho
d
u jn1  rjnthe
Consider   u jn   rjnerror
1 numerical 
   
 2v rxt  u jn1  rjn1  u jn1  rjn1 

v  t PDE
by
Because the original
rjn 1  rjn  
2x
rjn1  r jn1 
is linear, the error propagation is

which is identical to the original equation

Independent  expi  kof jDifference

r n    nSolutions
j  x  Equations

rjn 1   n 1  expi  k  j  x 

 is called Amplification Factor

We need to determine if
rj0 , rj1,, rjn 1, rjn , rjn 1,is an increasing sequence or not

9
 Consider the linear ODE
d2y dy
2
 P  Qy  F x 
dx dx
D 2 y  P  Dy  Qy  F x 
solution=auxiliary solution and specific solution
Auxiliary solution: D 2 y  P  Dy  Qy  0
D 2

 PD Q y  0
D  P1 D  P2 y  0
P1 , P2 are two roots of x 2  Px  Q  0
auxiliary equation 
Auxiliary solution composes of two independent solutions:
D  P1 y  0 D  P2 y  0
y1  A1 expP1 x  y2  A2 expP2 x 
Dy1  A1P1 expP1 x   P1 y1
when P 2  4Q P    i is a complex number
y  y1  y2  y p

y1  y2 is the auxiliary solution with two

independent solutions and the specific solution
y p is determined by F x .
10
 Finite difference solution
Let us use Operator Calculus to derive with the Diffe
rence Operator

x j  x j 1  x j
y j  y j 1  y j  f x j 1  f x j 
y j 1  y j  y j  1   y j  Ey j
E  1  , Ey j  y j 1
Ey j 1  y j  2
E 2 y j  y j2
It is the same as the differential operator.I
t is a linear operator. When applied to the
linear second order difference equation

yn  2  Pyn 1  Qyn  F x 

Similar to the differential equation, its auxiliary

solution can be obtained as follows:
yn  2  Pyn 1  Qyn  0
E 2

 PE  Q yn  0
E  P1 E  P2 yn  0 11
So, from

E  P1 yn  0
E  P2 yn  0
Two independent solutions are
yn  A1 P1n
1
yn  A2 P2n2

Since : yn 1  A  P n 1  P  yn , Eyn  P  yn
yn  A1 P1n  A2 P2n
When P 2  4Q，P    i    exp ix 
yn  A n  expi  n  x  （ Eigenmode ）

a2 an
expa   1  a      
2! n!
a 2 ia 3 a 4
expia   1  ia    
2! 3! 4!
 a2 a4   a3 a5 
 1      i a    
 2! 4!   3! 5! 
Eyn  yn 1  A n 1 expi n  1x 
pyn   expix  A n expinx 
Eyn  Pyn

12
The general form of the independent solution of
difference equation is given by:
yn  A n expinx 

In our numerical error analysis problem of PDE

solution, clearly, rjn    n  expikjx 
rjn 1   n 1  expikjx 

Therefore,  is called Amplification Factor

when   1，it is the unstable case.

Substitute the independent solution into

the difference expression, we have,
 vt n  n 
rjn 1  rjn  
2 x
rj 1  rj 1  So, we can get
 n 1 expikjx 
  vt  n
 expik  j  1x    expik  j  1x 
n

 2x 
 vt  expik  j  1x   expik  j  1x  
 1     
 2 x  exp ikj x  
 vt 
  expikx   exp ikx 
 2x 
 vt 
  2i  sin kx 
 2x 
13
2.2 Improved finite difference format

t
Lax Method
instead of using u jn  t n 1 
let us use tn  

1 n 
2

u j 1  u jn1
t0
Then, our new finite
difference format becomes : x0 x j 1 xj x j 1 x
1 n  v  t n 
u jn 1 
2
 
u j 1  u jn1 
2 x

u j 1  u jn1  Fig. 3
In this case, the correspond ing
amplificat ion factor is : I
v t
  coskX   i sin kX 
x
 i
2
 R
The condition to ensure   1 kt 
vt
is that  x
1

vt
1
x
Fig. 4
Courant Condition
14
 t
The physical meaning

Of Courant condition
t3 
t 2 
t1
Waveform travels along tn   
The line x=vt x j 1 xj x j 1 x
t knot selection x
• when knot is on the line:
x vt
t 2  , 1 Fig. 5
v x
• when knot is outside the line:
x v t
t 3  , 1 unstable
v x
• when knot is inside the line:
x vt
t1  , 1 stable
v x
The Lax finite difference format can also be wri
tten as
u jn 1  u jn   u jn1  u jn1  1  u jn1  2u jn   u jn1 
  v   
t    
 2x  2  t 

This can be regarded as the FTCS difference for

mat for the following PDE:
u x   2u
2
u dissipative term
 v 
t x t x 2 Numerical Viscosity
15
3. Method of characteristics (MOC) fo
r 1st order hyperbolic PDEs
u u
A B C
x y
where A, B, C can be functions of x, y
u  u 
  C  B  A
x  y 
The whole differential of u x, y 
u u
du  dx  dy
x y
 u 
C B 
y  u
du   dx  dy
 A  y
 
 

Ady  Bdx  u  Cdx  Adu   0

y
So, this has the same solution as the original PDE.
Ady  Bdx  0
is called the MOC equation.
dy B
  F x , y 
dx A
On the characteristic curve, those satisfying
Cdx  Adu  0
16
Are the solution of the original PDE.
3.1 Method of Characteristics (MOC)
y
dy
 F x , y 
dx yn
du
 G x, y  y1
dx u x , y 
On the x  y plane y 
y0
starting from x  x0 ，using u0,0x
respective ly y  y0 , y1 ,, yn , 0
x x1 xj x
as the initial conditions, integrate Fig. 6
dy
the ODE  F x, y  we can get a
dx
family of characteri stic curves/trajectories
Based on the given initial conditions
u x0 , y0 , u x0 , y1 ,, u x0 , yn ,
du
integrate the ODE  G x, y , we can get
dx
u x0 , y0 , u x1 , y0 ,, u x j , y0 ,
u x0 , y1 , u x1 , y1 ,, u x j , y1 ,
   17

u x0 , yn , u x1 , yn ,, u x j , yn ,

3.1 Method of Characteristics (MOC)
y
y jk  Lk
dy y1k
 F x , y  y0 k
 L1
dx y11 y j1
  L0
y01
du y j0
 G x, y  
y10  
dx y00
y
u x , y 

u 0 , 0 x
x0 x1 xj x
Fig. 7

On x  y plane, starting from x  x0 , use respective ly the initial

dy
conditions y00 , y01 ,, y0 k ,, integrate ODE  F x , y 
dx
we can get a family of trajector ies Lk , k  0,1,2,

L0 : x0 , y00 , x1 , y10 , x2 , y20 ,  , x j , y j 0 , 

L1 : x0 , y01 , x1 , y11 , x2 , y21 , , x j , y j1 ,

Lk : x0 , y0 k , x1 , y1k , x2 , y2 k ,  , x j , y jk , 
18
 Given initial condition, u x0 , y , we can compute
u x0 , y00 , u x0 , y01 ,, u x0 , y0 k ,
Since on each characteristic curve, it satisfies also
du
 G x , y 
dx
So, integrate the above ODE, we can get

u x0 , y00 , u x1 , y10 , , u x j , y j 0 , 

u x0 , y01 , u x1 , y11 ,  , u x j , y j1 , 

u x0 , y0 k , u x1 , y1k , , u x j , y jk ,

Therefore, we know that the numerical solution by

MOC based method u x j , y jk is irregular discrete points
x , y defined alone y direction. So, it is required to use
j jk

interpolation method if regular discreate points

are required.

19
4 Method of lines (MOL) approach fo
r first order hyperbolic PDEs
Finite Difference: PDE is completely discretized as
a set of difference equations. Using linear algebra t
o solve.
Method of lines: PDE is partly discretized as a set
of ODEs and using ODE numerical solution metho
d to solve.

u u
A B C
t x
u C B u
 
t A A x
u x , t 0   f  x 
u x0 , t   g t 
Discretizing x axis as xi , i  0,1,, n
we can get a set of ODEs :
dui C B  u 
    i  0,1,, n
dt A A  x  xi ,t
20
 Method of Lines (MOL)
a partial discretization method
Representing u x, t  as ui t , i  0,1,, n
Line space
t

t1 Integration
t
step
t0

x0 xi xn x
x
Fig. 8

Initial condition u xi , t0  or ui t0  are known.

We can use any numerical differentiation method
u
to approximate i e.g., finite difference, splines ...
x
Then, any numerical method can be applied to
numerically integrate the ODEs.

ui C B  ui 
    i  0,1,, n
t A A  x  21
5. Finite difference method for sec
ond order elliptic PDEs
 2u  2u
2
 2 0
x y
known as the steady-state heat conduction eq
uation and general form is
 2u  0 Laplace equation
 2 
    2 
2
Laplace operator
 k xk 
• Dirichlet problem u x0 , y   f1  y 
2 2
u xm , y   f 2  y 
u u
2
 2 0 u x1 , y0   f 3  y 
x y
u x1 , yn   f 4  y 

• Neumann problem
u x x0  g1  y 
 2u  2u u x xm  g 2  y 
 2 0
x 2
y u x y0  g 3  y 
u x yn  g 4  y 
22
 y  u 
   g 4 x 
 y  yn
yn
u  x , y n   f 4 x 

u(x0,y)=f1(y)

u(xm,y)=f2(y)
yj  2u  2u
 0  u 
 u  x 2 y 2    g 2 x 
   g1 x 
 y  x0    Q x , y   y  xm

u x , y 0   f 3  x 
y0
 u 
   g 3 x 
x0 xi  y  y0 xm x
Fig. 9
Laplace equation: Dirichlet boundary condition and
Neumann boundary condition.
Poisson equation

 2u  2u
   x , y 
x 2 y 2
Four (4) boundary conditions required. There ar
e 3 types of boundary conditions:
• Dirichlet boundary condition
• Neumann boundary condition
•Mixed or hybrid boundary condition. 23
5.1 Finite difference of Laplace operator
2  2u  2u
 u 2  2 0
x y
The second order derivative can be expressed
in finite difference form from the Taylor series expansion
f '' xi  2 f ''' xi  3 f 4  i  4
f xi  h   f xi   f xi h 
'
h  h  h
2 6 24
f '' xi  2 f ''' xi  3 f 4  i  4
f xi  h   f xi   f xi h 
'
h  h  h
2 6 24
f xi  h   2 f xi   f xi  h  f 4    2
 f xi  
''
h
h2 12
This can be expressed in a concise form :
f i 1  2 f i  f i 1
f '' i 
h 2
 O h 2

Apply the above for Laplace operator
u xi 1 , y j  2u xi , y j  u xi 1 , y j 
 u xi , yi  
2

x 2
u xi , y j 1  2u xi , y j  u xi , y j 1 

y 2
When x  y  h, we can simply use the following
1
 2uij  2
ui1, j  ui1, j  ui, j 1  ui, j 1  4ui, j 
h
24
 ui , j 1
y j 1 

ui 1, j ui , j ui 1, j
yj   

ui , j 1
y j 1 

xi 1 xi xi 1
Fig. 10

Laplace equation finite difference format

 1 
1  
 2u x, y   2 1  4 1uij  0
h  
 1 
If in 3D space
2 2u  2u  2u
 u 2  2  2
x y z
 1 1
1  
 2 1  6 1uijk  0
h  
1 1 
25
Example: Laplace equation with Diric
hlet boundary
y
0o c 0o c 0o c

10
cm 0o c    100 o c
hy  5

0o c 0o c 0o c x
20 cm

hx  5
Fig. 11
For each interval knot, we can write a linear equation
0  T2  0  0  4T1  0
T1  T3  0  0  4T2  0
T2  100  0  0  4T3  0
 4 1 0  T1   0 
or,  1  4 1  T2    0 
    
 0 1  4 T3   100
the solution is
o
T1  1.786 C
o
T2  7.143 C
o
T3  26.786 C 26
To increase the accuracy, we should use a denser
grid:
1 8 15 5 12

2 9 16 6 13

3 10 17
7 14

4 11 18 1 8 15
  
5 12 2 9

6 13 3 10

7 14 4 11

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

1 4 1 0 0 0 0 0 1
2 1 4 1 0 0 0 0 0 1
3 0 1 4 1 0 0 0 0 0 1
4 0 0 1 4 1 0 0 0 0 0 1
5 0 0 0 1 4 1 0 0 0 0 0 1
6 0 0 0 0 1 4 1 0 0 0 0 0 1
7 0 0 0 0 0 1 4 0 0 0 0 0 0 1
8 1 0 0 0 0 0 1 4 1 0 0 0 0 0 1
9 1 0 0 0 0 0 1 4 1 0 0 0 0 0 1

a 
width   1  2  1  15, nonzero elements : 5
h 

Fig. 12

27
Laplace equation with Dirichlet boundary conditio
n – numerical solutions
• elimination method:
 2uij  ui 1, j  ui 1, j  ui , j 1  ui , j 1 ,4ui , j  0
• Direct iteration Liebmann method
u   u
i, j k i 1, j  ui 1, j  ui , j 1  ui , j 1 k 1 4
• S.O.R. method
R ui , j k 1 
ui 1, j  ui 1, j  ui , j 1  ui , j 1 k 1
 ui , j k 1
4
u   u 
i, j k i , j k 1    R ui , j k 1
• Alternating direction iteration (A.D.I.) method
P
u   u 
i, j k i, j  ui 1, j  ui1, j  2ui, j k
k 1
4
P
 ui , j 1  ui , j 1  2ui , j k 1
4
P
u 
i , j k 1  ui , j k  ui 1, j  ui 1, j  2ui , j k
4
P
 ui , j 1  ui , j 1  2ui , j k 1
4
28
6 Finite element method for second
order elliptic PDEs
Finite Elements Method (FEM)
Let us use Laplace equation Dirichlet proble
m as an illustrative example
 2u  2u
2
 2  0, x, y  D
x y
u x, y   g x, y , x , y   

Based on Variational S 
D
Principles em

Equivalence theorem D

Fig. 13
The solution of the above PDE
will minimize the following functional
 1  u  2  u  2  
J u           dxdy
 2  x   y    29
D   
Discretize D, usually using trangulation method:
D   em  D, S
m

For each element

use bivariate function to approximate
W e x, y   a1  a2 x  a3 y
At three vertices, we can get
a1  a2 xi  a3 yi  Wi
a1  a2 x j  a3 y j  W j
a1  a2 xk  a3 yk  Wk

Then,
Wi xi yi 1 wi yi
1 1
a1  Wj xj yj a2  1 wj yj
2e 2e
Wk xk yk 1 wk yk
1 xi wi 1 xi yi
1
a3  1 xj wj where 2e  1 x j yj
2 e
1 xk wk 1 xk yk
30
 u

Uk=Wk

Ui=Wi e
 W x, y 
u x , y 
 Uj=Wj

xk yi y
xj k
xi yj
 k
 e Y
X i

j

Fig. 14

31
Therefore,
1
W x , y  
e
bi  ci x  d i y wi
2e
 b j  c j x  d j y w j
 bk  ck x  d k y wk
wherebi  x j yk  xk y j , ci  y j  yk , d i  xk  x j
b j  xk y j  xi yk , c j  yk  yi , d j  xi  xk
bk  xi y j  x j yi , ck  yi  y j , d k  x j  xi

Now that the vertices coordinates are specifie

d, one can get
W e x, y    Wi , W j ,Wk 
Moreover,
W e 1
W x , y  
x
e
 ci wi  c j w j  ck wk 
x 2e
W e 1
W y x , y  
e
 di wi  d j w j  d k wk 
y 2e
32
Functional minimization problem amounts t
o

1 2

J u     u x  u y2  dxdy
2
 


1 e 2
   wx   wy  dxdy
e e 2
e 2

with the following
 approximation:
1  ci wi  c j w j  ck wk 
2

J w     
e e 2  2e 

2
 d i wi  d j w j  d k wk  
    dxdy
 2e  
W is given on the boundary


The J w  0, solution
minimum m  1,2,is
from
,n
Wm
n: the number of inner knots

 
Therefore,
A  W  wer can get
wm  um , m  1,2, , n
That is 33
For a more general situation
  u    u 
 px, y     qx, y    r x, y u x, y 
x  x  y  y 
 f x , y 
x , y   D
u x, y   g x, y  x , y    1
u u
px, y  cos1  qx, y  cos 2  h1 x, y u x, y 
x y
 h2 x, y 
x , y    2
The functional to be minimized is
1 
2 2
 u   u 
J u      px, y    qx, y    r x, y u 
2

2  x   y  
 
 1 
 f x, y u dxdy    h2  u  h1u 2 ds
2
2 
xs
y 2 normal
We can similarly do 2 1
 ys
S
the discretization and D
tan gent
get the finite element 1
x
solution 34
Fig. 15
8 Finite difference method for sec
ond order parabolic PDEs
Dynamic diffusion equation:
2 1 C
C
D t
For one dimensional space
2
C x, t0   g1 x 
C C
 D 2 , C x0 , t   g 2 x 
t x
C xn , t   g 3 x 
When using finite difference to replace the differ
entiation, there are many options, e.g.,
 C  Ci , j 1  Ci , j 1
   , ht  t j 1  t j
 t  xit j 2ht
  2C  Ci 1  2Ci , j  Ci 1, j
 2   2
, hx  xi 1  xi
 t  xit j hx
So, ht
Ci , j 1  Ci , j 1  2 D 2
Ci1, j  2Ci, j  Ci 1, j 
hx

We need numerical values at ti 1 and t j

We have some other easy methods:

35
Explicit method:
 c  ci , j 1  ci , j
    Oht 
 t  xi ,t j ht
  2c  ci 1, j  2ci , j  ci 1, j
 2   2
 
 O hx2
 x  xi ,t j hx

We get
ht
ci , j 1  ci , j  2
ci 1, j  2ci, j  ci1, j 
Dhx
or,
ci , j 1  r ci 1, j  ci 1, j  1 2r ci , j
ht D 2 1
where r  ， when h x  2 ht  D，r 
hx2 2
Then, we have
1
ci , j 1  ci 1, j  ci 1, j 
2
t
t j 1 
tj  

t0

x0 xi 1 xi xi 1 xn x
36
Fig. 16
Illustrative example:
c  2c
 0.119 2
t x
cx,0   0.04
c0, t   0
c20, t   0.2
where hx  4cm 
D  0.119 cm 2 sec 
2  42
ht   67.2sec
0.119
Compare the numerical result with the follo
wing analytical result:
x 20  nx 
C x, t     exp 0.01175 n 2t sin 
2  n 1  10 
  2n  1x 
12  
 n 1 

  exp  0.002942n  1 t  sin 
2

20
 
 
air

D  0.11904 cm sec 2
  mg 
c0, t   0.0  3 
Saturated steam  cm 
 mg 
c20, t   0.2 3  
cx,0   0.04 mg cm3 
 cm 
 
A cm 2
C2H5OH

20 0 x
20 cm
37
Fig. 17
c% 6

5
  x  12cm
  

4 


3


2
   x  4cm
 
1  

0
0 4 8 12 16 20 24

Fig. 18
Number of time steps
Analytical Solutions
    Numerical Solutions

rD
t
 0 . 25, D  0.119 cm 2
sec  
x 2

set x  4.0cm
0.25
t  42  33.6sec per time step
0.119
Analytical versus Numerical Solutions
Diffusion Dynamics
r0.25
38
c% 6

5    x  12cm
 

4 

3

2 
      x  4cm
1  

0
0 2 4 6 8 10 12

Fig. 19
Number of time steps
Analytical Solutions
    Numerical Solutions

rD
t
 0 . 5, D  0 .119 cm 2
sec 
x 2

set x  4.0cm
0.5
t  42  67.2sec per time step
0.119
Analytical versus Numerical Solutions
Diffusion Dynamics
r0.5
39
 Stability analysis of the explicit method
The error at xi , t j is denoted as
ei , j  ci , j  Wi , j Therefore,
ei , j 1  r ei 1, j  ei 1, j  1  2r ei , j
 r wi 1, j  wi 1, j  1  2 r wi ,, j  w j , j 1
Taylor series expansion

wi 1, j
 c 
 wi , j  x   
x   2c1 , t 
2

 x i , j 2 x 2

wi 1, j
 c 
 wi , j  x   
x   2c 2 , t 
2

 x i , j 2 x 2
c xi , 
wi , j 1  wi , j  t
t

Substitute to the previous equation, and from r

x 
2
 D,
t
ei , j 1  r ei 1, j  ei 1, j  1  2r ei , j
 cxi ,    2c , t j 
 t  D 
 t x 2 
 
Let e j  E j ,   D   M  0
 
1
When r  , we have
2
40
 E j 1  2rE j  1  2r E j  Mt
 E j  Mt
Therefore, we have
E j 1  E j  Mt  E j 1  2 Mt  
 E0   j  1Mt  E0  M t j 1  t0 
When t0  0, E0  0, so,
E j 1  Mt j 1
1
When r  , if x  0, t  0, then,
2
cxi ,    2 c , t j 
M D
t x 2
 c    2c 
    D 2   0
 t i , j  x i , j

That is E j 1  0 and the algorithm is stable

The stability condition is

Dt 1
r 
x  2
2
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