The Convergence of Spectral and Finite Difference Methods for
Initial-Boundary Value Problems
by Natasha Flyer and P. N. Swarztrauber,
SIAM Journal on Scientific Computing
, 23(2002), pp. 1731-1751.
Abstract
The general theory of compatibility conditions for the
differentiability of solutions to initial-boundary value problems is
well known. This paper introduces the application of that theory to
numerical solutions of partial differential equations and its
ramifications on the performance of high-order methods. Explicit
application of boundary conditions (BCs) that are independent of the
initial condition (IC) results in the compatibility conditions not
being satisfied. Since this is the case in most science and
engineering applications, it is shown that not only does the error in
a spectral method, as measured in the maximum norm, converge
algebraically, but the accuracy of finite differences is also
reduced. For the heat equation with a parabolic IC and Dirichlet BCs,
we prove that the Fourier method converges quadratically in the
neighborhood of t=0 and the boundaries and quartically for large t
when the first-order compatibility conditions are violated. For the
same problem, the Chebyshev method initially yields quartic
convergence and exponential convergence for t>0. In contrast, the wave
equation subject to the same conditions results in inferior
convergence rates with all spectral methods yielding quadratic
convergence for all t. These results naturally direct attention to
finite difference methods that are also algebraically convergent. In
the case of the wave equation, we prove that a second-order finite
difference method is reduced to 4/3-order convergence and numerically
show that a fourth-order finite difference scheme is apparently
reduced to 3/2-order. Finally, for the wave equation subject to
general ICs and zero BCs, we give a conjecture on the error for a
second-order finite difference scheme, showing that an O(N-2log N)
convergence is possible.
Mail comments to Paul Swarztrauber.