ConvergenceofonedimensionalParabolicPDE

Whenever a Parabolic PDE is approximated by any finite difference scheme, it is very

important to verify whether the solution U of FD scheme approaches to exact solution u as
0 , 0 A A t x This is what we call convergence .
The difference U- u is called the discretization error.The magnitude of the
discretization error depends on the size , x, t A A , number of terms in the truncated series
etc. But is quite difficult to investigate the convergence of any scheme , specifically for
Non-Linear PDE. For linear PDE, the theorem of Lax is helpful for stability and compatibility.
For the sake of understanding , we will discuss the convergence of Explicit method.

The Explicit scheme is :

( )
i,j 1 i,j i 1,j i,j i 1,j
2
u u u 2u u
t
x
+ +
+
=
A
A

Let e
i, j
be the error at (i, j)
th
node to exact solution U
i,J
.

Thus, u
i ,J
=U
i ,J
- e
i,J

Substitutng relation (3.2) into equation (3.1):
( ) ( )
i,j 1 i 1,j i,j i 1,j i,j 1 i,j i 1,j i,j i 1,j
e re 1 2r e re U U r U 2U U
+ + + +
= + + + +
Now using the Taylors Series expansion for U
i+1, j
, U
i-1,j
etc ,equation (3.3) can be replaced
by :
( )
2
i,j 1 i 1,j i,j i 1,j 2
U U
e re 1 2r e re t
t x
+ +
| | c c
= + + + A
|
c c
\ .

which is a difference equation in e
i, j
.
Let E
j
be the max value of
j i
e
.
and M be the max modulus of
2
2
U U
t x
| | c c

|
c c
\ .
then
equation (4.1) becomes as:-
( )
i,j 1 i 1,j i,j i 1,j
e r e 1 2r e r e tM
+ +
s + + + A
Provided ( )
2
1
0 2 1 s > r or r
( )
i,j 1 j j j j
or, e rE 1 2r E rE tM E tM
+
s + + + A s + A
(3.1)
(3.2)
(3.3)
(3.4)
j 1 j j 1 0
E E t M E 2 t M E t jM
+
s + A s + A s + A



But E
0
is zero and
j 1
E 0 as t 0.
+
A This shows that the scheme is convergent for
1
r
2
s .
Investigation of Non-Linear Parabolic PDE is quite difficult and can be done using the same
approach.