A posteriori error estimates

for nite element discretizations of the heat equation

R. Verf

urth
Fakult at f ur Mathematik, Ruhr-Universit at Bochum, D-44780 Bochum, Germany
E-mail address: rv@num1.ruhr-uni-bochum.de
Date: February 2003
Summary: We consider discretizations of the heat equation by A-stable -schemes in time and
conforming nite elements in space. For these discretizations we derive residual a posteriori error
indicators. The indicators yield upper bounds on the error which are global in space and time
and yield lower bounds that are global in space and local in time. The ratio between upper and
lower bounds is uniformly bounded in time and does not depend on any step-size in space or time.
Moreover, there is no restriction on the relation between the step-sizes in space and time.
Key words: a posteriori error estimates; heat equation; -scheme
AMS Subject classication: 65N30, 65N15, 65J15
1. Introduction and main result
We consider the heat equation
u
t
u = f in (0, T]
u = 0 on (0, T]
u = u
0
in
(1.1)
in a bounded space-time cylinder with a polygonal cross-section IR
d
, d 2,
having a Lipschitz boundary . The nal time T is arbitrary, but kept xed in what
follows. For simplicity, the right-hand side f is assumed to be measurable and square-
integrable on (0, T] and to be continuous with respect to time; the initial datum
u
0
is assumed to be measurable and square-integrable on .
For the discretization, we choose an integer N 1 and intermediate times 0 =
t
0
< t
1
< . . . < t
N
= T and set
n
= t
n
t
n1
, 1 n N. With each t
n
, we
associate an anely equivalent, admissible, and shape-regular triangulation T
h,n
and
a corresponding conforming nite element space X
h,n
(cf. Section 3 below for details).
Furthermore, we choose a parameter [
1
2
, 1] and keep it xed in what follows. The
discrete problem then consists in nding u
n
h
X
h,n
, 0 n N, such that
u
0
h
=
0
u
0
(1.2)
1
and, for n = 1, . . . , N,
(
u
n
h
u
n1
h

n
, v
h
)+(u
n
h
+ (1 )u
n1
h
, v
h
)
=(f
n
+ (1 )f
n1
, v
h
) v
h
X
h,n
.
(1.3)
Here,
0
denotes the L
2
-projection onto X
h,0
, (., .) is the standard L
2
-scalar product,
and f
n
equals f(t
n
).
The Lax-Milgram lemma implies that problems (1.2), (1.3) admit a unique solu-
tion (u
n
h
)
0nN
. With this sequence, we associate the function u
h,
which is piecewise
ane on the time-intervals [t
n1
, t
n
], 1 n N, and which equals u
n
h
at time t
n
,
0 n N. Similarly, we denote by f
h,
the function which is piecewise constant on
the time-intervals and which, on each interval (t
n1
, t
n
], is equal to the L
2
-projection
of f
n
+ (1 )f
n1
onto the nite element space X
h,n
.
To describe our main result, we need an additional assumption (cf. condition (4)
of Section 3): For all n between 1 and N there is an anely equivalent, admissible,
and shape-regular triangulation

T
h,n
such that

T
h,n
is a renement of both T
h,n
and T
h,n1
and
there is a uniform (w.r.t. n) bound on the ratio of the diameters of elements K

in T
h,n
and of elements K in

T
h,n
contained in K

.
This condition is needed to simultaneously handle the functions u
n
h
and u
n1
h
which
are dened on dierent meshes.
We denote by

c
h,n
, 1 n N, the set of all interior edges (if d = 2) respective faces
(if d = 3) of

T
h,n
. For any element, face, or edge S, we denote by h
S
its diameter.
Finally, we associate with each edge or face E

c
h,n
a unit vector n
E
orthogonal
to E and denote by [.]
E
the jump across E in direction n
E
. Note that the quantity
[.]
E
depends on the orientation of n
E
, but that quantities of the form [n
e
.]
E
are
independent thereof.
Our main result may now be stated as follows (cf. Section 2 below for the de-
nition of the relevant function spaces):
1.1 Theorem. Dene the error indicators
n
, 1 n N, by

n
=
_

K T
h,n

n
h
2
K
|f
h,

u
n
h
u
n1
h

n
+u
n
h
+ (1 )u
n1
h
|
2
L
2
(K)
+

E E
h,n

n
h
E
|[n
E
u
n
h
+ (1 )n
E
u
n1
h
]
E
|
2
L
2
(E)
+

K T
h,n

n
|(u
n
h
u
n1
h
)|
2
L
2
(K)
_
1/2
.
(1.4)
2
Then, for all n between 1 and N, the following a posteriori error estimates hold for the
weak solution u of problem (1.1) and the function u
h,
associated with the solutions
of problems (1.2), (1.3):
_
|u u
h,
|
2
L

(0,t
n
;L
2
())
+ |u u
h,
|
2
L
2
(0,t
n
;H
1
())
+ |
t
(u u
h,
)|
2
L
2
(0,t
n
;H
1
())
_
1/2
c

_
n

m=1
(
m
)
2
+ |f f
h,
|
2
L
2
(0,t
n
;H
1
())
+ |u
0

0
u
0
|
2
L
2
()
_
1/2
(1.5)
and

n
c

_
|u u
h,
|
2
L

(t
n1
,t
n
;L
2
())
+ |u u
h,
|
2
L
2
(t
n1
,t
n
;H
1
())
+ |
t
(u u
h,
)|
2
L
2
(t
n1
,t
n
;H
1
())
+ |f f
h,
|
2
L
2
(t
n1
,t
n
;H
1
())
_
1/2
.
(1.6)
The constants c

and c

depend on the maximal ratio of the diameter of any element

to the diameter of its largest inscribed ball. The constant c

in addition depends on
the maximal ratio of the diameter of any element K

in T
h,n
to the diameter of
any element K in

T
h,n
contained in K

. The constant c

in addition depends on the

maximum of the polynomial degrees of the nite element functions. All constants are
independent of the nal time T.
In order to better understand Theorem 1.1 and to compare it with existing results,
several remarks are in order:
(1) The third term in
n
can be interpreted as a measure for the error of the time-
discretization. Correspondingly, it can be used for controling the step-size in
time. The rst two terms, on the other hand, can be viewed as a measure for
the error of the space discretization and can be used to adapt the mesh-size in
space.
(2) In practice, the triangulation T
h,n
is in general obtained from T
h,n1
by a com-
bination of renement and of coarsening. In this case our assumption on the

T
h,n
and on the ratios h
K
/h
K
only restricts the coarsening. It must not be too
abrupt and too strong.
(3) Our error indicator equals the one of [5]. Theorem 1.1, however, is stronger than
the estimates of [5], since it bounds the space-time error which is smaller than
the sum of the time-error and of the space-error estimated in [5]. Moreover, we
use a dierent method of proof, in particular when establishing the lower bound.
3
(4) Our indicator is also similar to the one of [8]. But our results are stronger than
those of [8] since we do not nedd a condition of the form spatial mesh-size
suciently small, do not need a CFL-condition linking the mesh-sizes in space
and time, and consider a larger class of discretizations. In [8], condition (4) of
Section 3 is replaced by the assumption that T
h,n
is always a renement of T
h,n1
.
In view of problems with moving fronts, this condition, however, is not realistic.
(5) The rst term in
n
is the element residual of the discrete solution on a space-
time cylinder Q = K (t
n1
, t
n
]. The second and third terms are the edge
residuals on the lateral surface of Q and on its bottom, respectively. Using an
inverse estimate and assuming that the mesh-sizes of T
h,n
and of T
h,n1
are
comparable, the third term can be bounded by

KT
h,n

n
h
2
K
|u
n
h
u
n1
h
|
2
L
2
(K)
.
With this modication,
n
is identical to the indicator of [11].
The lower bound (1.6) is local in time, but global in space. The corresponding
local bounds of [11], in contrast, are local in space and time.
In [11], the ratio between the constants in the upper and lower bounds is pro-
portional to 1+
1
n
h
2
n
+
n
h
2
n
with h
n
denoting the maximal mesh-size in T
h,n
.
Moreover, in two dimensions, there is an additional loss of a factor [ ln h
n
[ due
to the non-local nature of the H
1
-norm. Both drawbacks are overcome by the
present analysis.
The time discretization in [11] is not a standard one. It is based on the very
weak formulation of the dierential equation and can be interpreted as a family
of implicit Runge-Kutta schemes. For the lowest order it amounts to the Crank-
Nicolson scheme. Here, we use the popular A-stable -schemes which in particular
yield the Crank-Nicolson scheme, if =
1
2
, and the implicit Euler scheme, if
= 1.
The present analysis is more restricted then the one of [11] which covers general
quasi-linear parabolic equations. This is due to the fact that the present analysis
is a based on simple energy-estimates, whereas [11] uses a more general varia-
tional approach based on the concept of very weak solutions. This restriction is
compensated by a simpler analysis and stronger results.
In order to simplify the analysis and to keep the technical apparatus at a minimum,
we restrict our analysis to the most simplest case. Several generalizations could rather
easily be taken into account:
(1) The heat equation can be replaced by a more general linear parabolic equation.
(2) In the denition of u
0
h
and of f
h,
the L
2
-projection can be replaced by a Clement-
type quasi-interpolation operator (cf. e.g. [6], [9], [12]).
(3) The rst two terms in
n
could be replaced by other error indicators for the
stationary problems corresponding to (1.3) such as, e.g., Babuska-Rheinboldt
(cf. [3], [10]) or Bank-Weiser (cf. [4], [10]) type estimators which are based on
the solution of local auxiliary problems.
4
In the following sections we will prove Theorem 1.1 step by step.
2. Function spaces
For any bounded open subset of with Lipschitz boundary , we denote by H
k
(),
k IN, L
2
() = H
0
(), and L
2
() the usual Sobolev and Lebesgue spaces equipped
with the standard norms |.|
k;
= |.|
H
k
()
and |.|
0;
= |.|
L
2
()
(cf. [1]). Similarly,
(., .)

and (., .)

denote the scalar products of L

2
() and L
2
(), respectively. If = ,
we will omit the index . As usual, H
1
0
() denotes the space of all functions in H
1
()
which have a vanishing trace on the boundary . We equip H
1
0
() with the norm
[.[
1
= |.|
0
which is equivalent to the standard norm |.|
1
. The dual space of H
1
0
()
equipped with [.[
1
is denoted by H
1
(); ., .) is the corresponding duality pairing.
For any seperable Banach space V and any two numbers a < b, we denote by
L
2
(a, b; V ) and L

(a, b; V ) the spaces of measurable functions u dened on (a, b)

with values in V such that the function t |u(., t)|
V
is square integrable respective
essentially bounded. These are Banach spaces equipped with the respective norms
|u|
L
2
(a,b;V )
=
_
_
b
a
|u(., t)|
2
V
dt
_
1/2
,
|u|
L

(a,b;V )
=ess.sup
a<t<b
|u(., t)|
V
(cf. [7, Vol. 5, Chap. XVIII, 1]). For abbreviation we introduce the space
X(a, b) = u L
2
(a, b; H
1
0
()) L

(a, b; L
2
()) :
t
u L
2
(a, b; H
1
()) (2.1)
and equip it with its graph norm
|u|
X(a,b)
=
_
|u|
2
L

(a,b;L
2
())
+ |u|
2
L
2
(a,b;H
1
0
())
+ |
t
u|
2
L
2
(a,b;H
1
())
_
1/2
. (2.2)
Here, the derivative
t
u has to be understood in the distributional sense [7, loc. cit.].
With these notations, the weak form of problem (1.1) consists in nding u
L
2
(0, T; H
1
0
()) such that
t
u L
2
(0, T; H
1
()), u(., 0) = u
0
in H
1
(), and for
almost every t (0, T) and all v H
1
0
()
(
t
u, v) + (u, v) = (f, v). (2.3)
Under the assumptions on f and u
0
stated in the Introduction, problem (2.3) admits
a unique solution [2], [7].
5
3. Finite element spaces
As mentioned in the Introduction, we associate with each intermediate time t
n
, 0
n N, a partition T
h,n
of and a corresponding nite element space X
h,n
. These
have to satisfy the following conditions:
(1) Ane equivalence: every element K T
h,n
can be mapped by an invertible ane
mapping onto the standard reference d-simplex or the standard unit cube in IR
d
.
(2) Admissibility: any two elements are either disjoint or share a vertex, or a complete
edge, or (if d = 3) a complete face.
(3) Shape-regularity: for any element the ratio of its diameter to the diameter of the
largest inscribed ball is bounded uniformly with respect to all partitions T
h,n
and to N.
(4) Transition condition: for 1 n N there is an anely equivalent, admissible,
and shape-regular triangulation

T
h,n
such that it is a renement of both T
h,n
and T
h,n1
and such that
sup
1nN
sup
K T
h,n
sup
K

T
h,n
;KK

h
K

h
K
< .
(5) Each X
h,n
consists of continuous functions which are piecewise polynomials, the
degrees being bounded uniformly with respect to all partitions T
h,n
and to N.
(6) Each X
h,n
contains the space of continuous, piecewise ane nite elements cor-
responding to T
h,n
.
Note, that condition (1) restricts quadrilateral elements to parallelograms and cubic
elements to parallelepipeds. In two dimensions, triangular and quadrilateral elements
may be mixed. In three dimensions this is also possible if one adds prismatic elements.
Condition (2) excludes hanging nodes. Condition (3) is a standard one and allows for
highly rened meshes [10]. However, it excludes anisotropic elements. Condition (4)
is due to the simultaneous presence of nite element functions dened on dierent
grids.
4. The equivalence of error and residual
With the function u
h,
dened by the solution of problems (1.2), (1.3) we associate
the residual R(u
h,
) L
2
(0, T; H
1
()) via
R(u
h,
), v) = (f, v) (
t
u
h,
, v) (u
h,
, v) (4.1)
for all v H
1
0
(). The following Lemma shows that this residual and the error uu
h,
are equivalent. Its proof is based on standard energy estimates.
6
4.1 Lemma. For all w L
2
(0, T; H
1
0
()) the following lower bound on the error
holds
_
T
0
R(u
h,
), w)dt |u u
h,
|
X(0,T)
|w|
L
2
(0,T;H
1
0
())
. (4.2)
Conversely, for all n between 1 and N, the error can be bounded from above by
|u u
h,
|
X(0,t
n
)

_
4|u
0

0
u
0
|
2
0
+ 6|R(u
h,
)|
2
L
2
(0,t
n
;H
1
())
_
1/2
. (4.3)
Proof. Equations (1.3) and (2.3) imply for all v H
1
0
() that
(
t
(u u
h,
), v) + ((u u
h,
), v) = R(u
h,
), v). (4.4)
Taking into account the denition (2.1), (2.2) of X(0; T) and of its norm, this imme-
diately yields the bound (4.2).
To prove estimate (4.3), we choose an integer n between 1 and N and a time t between
0 and t
n
and insert v = (u u
h,
)(., t) in equ. (4.4). This gives
1
2
d
dt
|(u u
h,
)(., t)|
2
0
+[(u u
h,
)(., t)[
2
1
=(
t
(u u
h,
)(., t), (u u
h,
)(., t))
+ ((u u
h,
)(., t), (u u
h,
)(., t))
=R(u
h,
)(., t), (u u
h,
)(., t))
|R(u
h,
)(., t)|
1
[(u u
h,
)(., t)[
1

1
2
|R(u
h,
)(., t)|
2
1
+
1
2
[(u u
h,
)(., t)[
2
1
and thus
d
dt
|(u u
h,
)(., t)|
2
0
+ [(u u
h,
)(., t)[
2
1
|R(u
h,
)(., t)|
2
1
.
Integrating this estimate from 0 to t implies
|(u u
h,
)(., t)|
2
0
|u
0

0
u
0
|
2
0
+
_
t
0
[(u u
h,
)(., s)[
2
1
ds
|R(u
h,
)|
2
L
2
(0,t;H
1
())
|R(u
h,
)|
2
L
2
(0,t
n
;H
1
())
.
Since t (0, t
n
] was arbitrary, this yields
|u u
h,
|
2
L

(0,t
n
;L
2
())
|u
0

0
u
0
|
2
0
+ |R(u
h,
)|
2
L
2
(0,t
n
;H
1
())
(4.5)
and
|u u
h,
|
2
L
2
(0,t
n
;H
1
0
())
|u
0

0
u
0
|
2
0
+ |R(u
h,
)|
2
L
2
(0,t
n
;H
1
())
. (4.6)
7
Equation (4.4), on the other hand, implies
|
t
(u u
h,
)|
1
|R(u
h,
)|
1
+ [u u
h,
[
1
.
Taking the square of this inequality, integrating from 0 to t
n
and inserting estimate
(4.6), we arrive at
|
t
(u u
h,
)|
2
L
2
(0,t
n
;H
1
())
2|R(u
h,
)|
2
L
2
(0,t
n
;H
1
())
+ 2|u u
h,
|
2
L
2
(0,t
n
;H
1
0
())
2|u
0

0
u
0
|
2
0
+ 4|R(u
h,
)|
2
L
2
(0,t
n
;H
1
())
.
(4.7)
Combining estimates (4.5) (4.7) proves the bound (4.3).
The subsequent analysis relies on an appropriate decomposition of the residual
R(u
h,
). To this end we dene a temporal residual R

(u
h,
) L
2
(0, T; H
1
()) and
a spatial residual R
h
(u
h,
) L
2
(0, T; H
1
()) by setting for all v H
1
0
() and all
1 n N
R

(u
h,
), v) = ([u
n
h
+ (1 )u
n1
h
u
h,
], v) on (t
n1
, t
n
] (4.8)
and
R
h
(u
h,
), v) = (f
h,
, v)(
u
n
h
u
n1
h

n
, v)
(u
n
h
+ (1 )u
n1
h
, v) on (t
n1
, t
n
].
(4.9)
Since
t
u
h,
is piecewise constant and equals
u
n
h
u
n1
h

n
on (t
n1
, t
n
], we obtain the
decomposition
R(u
h,
) = f f
h,
+R

(u
h,
) +R
h
(u
h,
). (4.10)
5. Estimation of the spatial residual
Since the spatial residual R
h
(u
h,
) corresponds to the stationary problems (1.3),
its estimation is quite standard [10], although the lower bound (5.3) given below
is usually expresssed locally and in terms of the error. Moreover, the simultaneous
presence of nite element functions dened on dierent meshes introduces some new
technical diculties. For completeness we sketch the proof.
8
5.1 Lemma. Dene the spatial error indicators
n
h
, 1 n N, by

n
h
=
_

K T
h,n
h
2
K
|f
h,

u
n
h
u
n1
h

n
+u
n
h
+ (1 )u
n1
h
|
2
L
2
(K)
+

E E
h,n
h
E
|[n
E
u
n
h
+ (1 )n
E
u
n1
h
]
E
|
2
L
2
(E)
_
1/2
.
(5.1)
Then there are functions w
n
H
1
0
(), 1 n N, and constants c

and c

such that
on each interval (t
n1
, t
n
], 1 n N, the following estimates hold:
|R
h
(u
h,
)|
1
c

n
h
(5.2)
and
R
h
(u
h,
), w
n
) (
n
h
)
2
[w
n
[
1
c

n
h
.
(5.3)
The constants c

and c

depend on the maximal ratio of the diameter of any element

to the diameter of its largest inscribed ball. The constant c

in addition depends on
the maximal ratio of the diameter of any element K

in T
h,n
to the diameter of
any element K in

T
h,n
contained in K

. The constant c

in addition depends on the

maximum of the polynomial degrees of the nite element functions.
Proof. Choose an integer n between 1 and N and keep it xed in what follows.
We rst prove the upper bound (5.2). The denition of f
h,
and equations (1.3) and
(4.9) imply the Galerkin orthogonality
R
h
(u
h,
), v
h
) = 0 v
h
X
h,n
.
Denote by I
h
any of the quasi-interpolation operators of [6], [9], or [12] which are
dened on H
1
0
() and have values in the space of continuous, piecewise linear nite
element functions corresponding to T
h,n
. Due to condition (6) of Section 3, I
h
maps
H
1
0
() into X
h,n
. Consider an arbitrary element K of

T
h,n
and an edge respective
face E of K in

c
h,n
. Denote by K

an element of T
h,n
such that K is contained in
K

. The interpolation error estimates of [6], [9], or [12], a standard trace theorem (cf.
e.g. [12, Lemma 3.2]), and condition (4) of Section 3 then imply that the estimates
|(v I
h
v)|
0;K
|(v I
h
v)|
0;K

c
0
|v|
0;
K
|v I
h
v|
0;K
|v I
h
v|
0;K
c
1
h
K
|v|
0;
K
c
1
h
K
|v|
0;
K
|v I
h
v|
0;E
c
2
_
h

1
2
E
|v I
h
v|
0;K
+h
1
2
E
|(v I
h
v)|
0;K
_
c
2
h
1
2
E
|v|
0;
K
9
hold for all v H
1
0
(). The subset
K
consists of all elements that share at least a
vertex with K

. The constants c
0
, c
1
, and c
2
only depend on the maximal ratio of the
diameter of any element to the diameter of its largest inscribed ball. The constants
c
1
and c
2
in addtion depend on the ratio h
K
/h
K
.
Since

T
h,n
is a renement of both T
h,n
and T
h,n1
, we may integrate by parts on the
elements of

T
h,n
. This yields the following representation of the spatial residual for
any v H
1
0
()
R
h
(u
h,
), v) =

K T
h,n
_
f
h,

u
n
h
u
n1
h

n
+u
n
h
+ (1 )u
n1
h
, v
_
K

E E
h,n
_
[n
E
u
n
h
+ (1 )n
E
u
n1
h
]
E
, v
_
E
.
(5.4)
Combining these results with the Cauchy-Schwarz inequality for integrals and sums,
we arrive for any v H
1
0
() at
R
h
(u
h,
), v)
=

K T
h,n
_
f
h,

u
n
h
u
n1
h

n
+u
n
h
+ (1 )u
n1
h
, v I
h
v
_
K

E E
h,n
_
[n
E
u
n
h
+ (1 )n
E
u
n1
h
]
E
, v I
h
v
_
E

K T
h,n
c
1
h
K
|f
h,

u
n
h
u
n1
h

n
+u
n
h
+ (1 )u
n1
h
|
0;K
|v|
0;
K
+

E E
h,n
c
2
h
1
2
E
|[n
E
u
n
h
+ (1 )n
E
u
n1
h
]
E
|
0; E
|v|
0;
K
c
3

n
h
[v[
1
.
In the last step we have used the fact the the domains
K
only consist of a nite
number of elements, this number being bounded by the maximal ratio of the diameter
of any element to the diameter of its largest inscribed ball and on the ratios h
K
/h
K
.
Since v H
1
0
() was arbitrary, this proves the upper bound (5.2).
Next we prove the lower bound (5.3). To this end we introduce for any element
K

T
h,n
and any edge respective face E

c
h,n
the abbreviation
R
K
=f
h,

u
n
h
u
n1
h

n
+u
n
h
+ (1 )u
n1
h
R
E
=[n
E
u
n
h
+ (1 )n
E
u
n1
h
]
E
(5.5)
and denote by
K
and
E
the corresponding bubble functions which are the scaled
product of the barycentric co-ordinates of the vertices of K respective E (cf. [10, 3]).
10
The scaling is choosen such that the maximal value of these functions is equal to 1.
Furthermore, we denote for any edge respective face E

c
h,n
by
E
the union of the
elements sharing E. We then have
supp
K
K , supp
E

E
.
Since each
E
consists of at most two elements and since every element has at most
2d edges respective faces, this implies that
the supports of the
K
are mutually disjoint,
the support of a
K
intersects the support of at most 2d dierent
E
s,
the support of a
E
intersects the support of at most two
K
s,
the support of a
E
intersects the support of at most 2d 2 other
E
s.
Since the maximal polynomial degree of the nite element functions is assumed to
be bounded, we know from [10, 3] that the following estimates hold for all elements
K

T
h,n
and all edges respective faces E

c
h,n
(
K
R
K
, R
K
)
K
c
4
|R
K
|
2
0;K
,
|(
K
R
K
)|
0;K
c
5
h
1
K
|R
K
|
0;K
,
(
E
R
E
, R
E
) c
6
|R
E
|
2
0;E
,
|(
E
R
E
)|
0;
E
c
7
h

1
2
E
|R
E
|
0;E
,
|
E
R
E
|
0;
E
c
8
h
1
2
E
|R
E
|
0;E
.
(5.6)
The constants c
4
, . . . , c
8
depend on the maximal polynomial degree of the nite ele-
ment functions; the constants c
5
, c
7
, and c
8
in addition depend on the maximal ratio
of the diameter of any element to the diameter of its largest inscribed ball. We now
set
w
n
=

K T
h,n
h
2
K

K
R
K

E E
h,n
h
E

E
R
E
with parameters > 0 and > 0 to be determined later. Keeping in mind the
observation concerning the intersection of the supports of the
K
s and
E
s, using
the estimates (5.6), and recalling the abbreviation (5.5), we obtain for all and
[w
n
[
2
1
=
2

K T
h,n
h
4
K
|(
K
R
K
)|
2
0;K
2

K T
h,n
_

E;
E
K=
h
2
K
h
E
((
K
R
K
) , (
E
R
E
))
K
_
+
2

E E
h,n
_

E

;
E

E
=
h
E
h
E
((
E
R
E
) , (
E
R
E
))

E

E
_
11

K T
h,n
c
2
5
h
2
K
|R
K
|
2
0;K
+ 2

K T
h,n
_

E;
E
K=
c
5
c
7
h
K
h
1
2
E
|R
K
|
0;K
|R
E
|
0;E
_
+
2

E E
h,n
_

E

;
E

E
=
c
2
7
h
1
2
E
h
1
2
E

|R
E
|
0;E
|R
E
|
E

_
(2d + 1) max
2
,
2
maxc
2
5
, c
2
7
(
n
h
)
2
.
Since h
E
h
K
for all edges respective faces E of any element K, the same arguments
and equation (5.4), on the other hand, imply
R
h
(u
h,
) , w
n
) =

K T
h,n
(R
K
, w
n
)
K

E E
h,n
(R
E
, w
n
)
E
=

K T
h,n
h
2
K
(R
K
,
K
R
K
)
K
+

E E
h,n
h
E
(R
E
,
E
R
E
)
E

E E
h,n
_

K;K
E
=
h
E
(R
K
,
E
R
E
)
K
_

K T
h,n
c
4
h
2
K
|R
K
|
2
0;K
+

E E
h,n
c
6
h
E
|R
E
|
2
0;E

E E
h,n
_

K;K
E
=
c
8
h
K
h
1
2
E
|R
K
|
0;K
|R
E
|
0;E
_

K T
h,n
c
4
h
2
K
|R
K
|
2
0;K
+

E E
h,n
c
6
h
E
|R
E
|
2
0;E

E E
h,n
_
1
2
c
6
h
E
|R
E
|
2
0;E
+
1
2

K;K
E
=
c
2
8
c
1
6
h
2
K
|R
K
|
2
0;K
_

_
c
4
2dc
2
8
c
1
6
_

K T
h,n
h
2
K
|R
K
|
2
0;K
+
1
2
c
6

E E
h,n
h
E
|R
E
|
2
0;E
.
The proof of the lower bound (5.3) is now completed by choosing =
2
c
6
and =
1
c
4
(1 +
4dc
2
8
c
2
6
).
12
6. Proof of the upper bound
Choose an integer n between 1 and N and keep it xed in what follows. The splitting
(4.10) implies that
|R(u
h,
)|
L
2
(0,t
n
;H
1
())
|f f
h,
|
L
2
(0,t
n
;H
1
())
+ |R

(u
h,
)|
L
2
(0,t
n
;H
1
())
+ |R
h
(u
h,
)|
L
2
(0,t
n
;H
1
())
.
(6.1)
Since the spatial residual R
h
(u
h,
) is piecewise constant, we obtain from Lemma 5.1
that
|R
h
(u
h,
)|
L
2
(0,t
n
;H
1
())
c

_
n

m=1

m
(
m
h
)
2
_
1/2
. (6.2)
Since u
h,
is piecewise ane, we have on each time interval [t
m1
, t
m
]
u
m
h
+ (1 )u
m1
h
u
h,
=
_

t t
m1

m
_
(u
m
h
u
m1
h
). (6.3)
Together with the identity
|R

(u
h,
)|
1
= [u
m
h
+ (1 )u
m1
h
u
h,
[
1
on (t
m1
, t
m
], (6.4)
which immediately follows from the denition (4.8) of R

(u
h,
) and of |.|
1
, this
implies that
|R

(u
h,
)|
L
2
(0,t
n
;H
1
())
=
_
n

m=1
_
t
m
t
m1
(
t t
m1

m
)
2
dt [u
m
h
u
m1
h
[
2
1
_
1/2
=
_
n

m=1

m
1
3
[
3
+ (1 )
3
] [u
m
h
u
m1
h
[
2
1
_
1/2

_
n

m=1
1
3

m
[u
m
h
u
m1
h
[
2
1
_
1/2
.
(6.5)
Combining estimates (4.3), (6.1), (6.2), and (6.5) we arrive at the upper bound (1.5)
of Theorem 1.1.
7. Proof of the lower bound
Once again, we choose an integer n between 1 and N and keep it xed in what follows.
We rst bound the third term in
n
. To this end we insert v = u
n
h
+(1)u
n1
h
u
h,
in the denition (4.8) of R

(u
h,
). Together with the decomposition (4.10) and the
identity (6.3) this yields
_

t t
n1

n
_
2
[u
n
h
u
n1
h
[
2
1
=R

(u
h,
), v)
=R(u
h,
), v) f f
h,
, v) R
h
(u
h,
), v).
13
Next, we integrate this identity from t
n1
to t
n
and take into account estimate (4.2)
and Lemma 5.1. We thus obtain

n
12
[u
n
h
u
n1
h
[
2
1

n
3
[
3
+ (1 )
3
] [u
n
h
u
n1
h
[
2
1
=
_
t
n
t
n1
_

t t
n1

n
_
2
[u
n
h
u
n1
h
[
2
1
dt
|v|
L
2
(t
n1
,t
n
;H
1
0
())
_
|u u
h,
|
X(t
n1
,t
n
)
+ |f f
h,
|
L
2
(t
n1
,t
n
;H
1
())
+c

1
2
n

n
h
_
.
Since
|v|
L
2
(t
n1
,t
n
;H
1
0
())
=
_
_
t
n
t
n1
_

t t
n1

n
_
2
[u
n
h
u
n1
h
[
2
1
dt
_
1/2
=
_

n
3
[
3
+ (1 )
3
] [u
n
h
u
n1
h
[
2
1
_
1/2

n
3
_
1/2
[u
n
h
u
n1
h
[
1
and
12

3
=

48 7, this implies

1
2
n
[u
n
h
u
n1
h
[
1
7
_
|u u
h,
|
X(t
n1
,t
n
)
+ |f f
h,
|
L
2
(t
n1
,t
n
;H
1
())
+c

1
2
n

n
h
_
.
(7.1)
Next we bound the rst two terms in
n
. To this end we insert the function w
n
of
Lemma 5.1 into the decomposition (4.10). Inequality (5.3) then implies
(
n
h
)
2
R
h
(u
h,
), w
n
)
=R(u
h,
), w
n
) f f
h,
, w
n
) R

(u
h,
), w
n
).
We multiply this estimate with (+1)(
tt
n1

n
)

and integrate the resulting inequality

from t
n1
to t
n
. At present, the parameter is arbitrary subject to the condition
0. It will be xed below. We thus arrive at

n
(
n
h
)
2
=
_
t
n
t
n1
( + 1)
_
t t
n1

n
_

(
n
h
)
2
dt

_
t
n
t
n1
R(u
h,
), ( + 1)
_
t t
n1

n
_

w
n
) dt

_
t
n
t
n1
f f
h,
), ( + 1)
_
t t
n1

n
_

w
n
) dt

_
t
n
t
n1
R

(u
h,
), ( + 1)
_
t t
n1

n
_

w
n
) dt
(7.2)
14
Since w
n
is constant with respect to time, we obtain from Lemma 5.1
_
_
_( + 1)
_
t t
n1

n
_

w
n
_
_
_
L
2
(t
n1
,t
n
;H
1
0
())
[w
n
[
1
_
_
t
n
t
n1
( + 1)
2
_
t t
n1

n
_
2
dt
_
1/2
=
+ 1

2 + 1

1
2
n
[w
n
[
1
c

2 + 1
1
2
n

n
h
.
(7.3)
Invoking equations (4.8) and (6.3) on the other hand, we conclude that

_
t
n
t
n1
R

(u
h,
),( + 1)
_
t t
n1

n
_

w
n
) dt
=
_
t
n
t
n1
( + 1)
_
t t
n1

n
_

_

t t
n1

dt
((u
n
h
u
n1
h
), w
n
)
=
_

+ 1
+ 2

n
((u
n
h
u
n1
h
), w
n
)

+ 1
+ 2

1
2
n

n
h

1
2
n
[u
n
h
u
n1
h
[
1
.
(7.4)
Combining estimate (4.2) and inequalities (7.1) (7.4), we arrive at

n
(
n
h
)
2
c

2 + 1
1
2
n

n
h
_
|u u
h,
|
X(t
n1
,t
n
)
+ |f f
h,
|
L
2
(t
n1
,t
n
;H
1
())
_
+

+ 1
+ 2

1
2
n

n
h

1
2
n
[u
n
h
u
n1
h
[
1

1
2
n

n
h
c

2 + 1 + 7

+ 1
+ 2

__
|u u
h,
|
X(t
n1
,t
n
)
+ |f f
h,
|
L
2
(t
n1
,t
n
;H
1
())
_
+ 7c

+ 1
+ 2

n
(
n
h
)
2
.
(7.5)
The problem with estimate (7.5) is the presence of the term
n
(
n
h
)
2
on both sides of
the inequality. To overcome this diculty, we now choose the parameter such that
the
n
(
n
h
)
2
-term on the right-hand side of (7.5) can be balanced by its counterpart
on the left-hand side.
We rst consider the case =
1
2
, i.e. the Crank-Nicolson scheme, and choose = 0.
Then the
n
(
n
h
)
2
-term on the right-hand side of (7.5) vanishes and we arrive at the
estimate

1
2
n

n
h
c

_
|u u
h,
|
X(t
n1
,t
n
)
+ |f f
h,
|
L
2
(t
n1
,t
n
;H
1
())
_
. (7.6)
15
Next, we deal with the case
1
2
< 1. Now we choose
=
14(2 1)c

14(1 )c

+ 1
.
A straightforward calculation shows that this choice implies

2 1
1
,
+ 1
+ 2
,
7c

+ 1
+ 2

1
2
,

2 + 1
_
28c

+ 1
_
1/2
.
Since we may assume that c

1 and since

29
11
2
, we obtain in this case the
estimate

1
2
n

n
h
12(c

)
3
2
(c

)
1
2
|u u
h,
|
X(t
n1
,t
n
)
+ |f f
h,
|
L
2
(t
n1
,t
n
;H
1
())
_
. (7.7)
Inequalities (7.1) and (7.6) respective (7.7) prove the lower bound (1.6) of Theorem
1.1.
8. References
[1] R. A. Adams: Sobolev Spaces. Academic Press, New York, 1975
[2] H. Amann: Linear and Quasilinear Parabolic Problems. Volume I: Abstract Linear Theory.
Birkh auser, Basel, 1995
[3] I. Babuska, W. C. Rheinboldt: Error estimates for adaptive nite element computations. SIAM
J. Numer. Anal. 15, 736754 (1978)
[4] R. E. Bank, A. Weiser: Some a posteriori error estimators for elliptic partial dierential equa-
tions. Math. Comput. 44, 283301 (1985)
[5] A. Bergam, C. Bernardi, Z. Mghazli: A posteriori analysis of the nite element discretization
of some parabolic equations. Report 01045, Laboratoire Jacques Louis Lions, Universite Paris
VI, 2001
[6] P. Clement: Approximation by nite element functions using local regularization. R.A.I.R.O.
Anal. Numer. 9, 7784 (1975)
[7] R. Dautray and J.-L. Lions: Mathematical Analysis and Numerical Methods for Science and
Technology. Springer, Berlin - Heidelberg - New York, 1992
[8] M. Picasso: Adaptive nite elements for a linear parabolic problem. Comput. Methods Appl.
Mech. Engrg. 167, 223 237 (1998)
[9] L. R. Scott and S. Zhang: Finite element interpolation of nonsmooth functions satisfying
boundary conditions. Math. Comput. 54, 483493 (1990)
[10] R. Verf urth: A Review of A Posteriori Error Estimation and Adaptive Mesh-Renement Tech-
niques. Teubner-Wiley, Stuttgart, 1996
[11] : A posteriori error estimates for nonlinear problems: L
r
(0, T; W
1,
())error estimates
for nite element discretizations of parabolic equations. Numer. Meth. for PDE 14, 487518
(1998)
[12] : Error estimates for some quasi-interpolation operators. Model. Math. et Anal. Numer.
33, 695713 (1999)
16