d03pcf/d03pca integrates a system of linear or nonlinear parabolic partial differential equations (PDEs) in one space variable. The spatial discretization is performed using finite differences, and the method of lines is employed to reduce the PDEs to a system of ordinary differential equations (ODEs). The resulting system is solved using a backward differentiation formula method.
d03pca is a version of d03pcf that has additional arguments in order to make it safe for use in multithreaded applications (see Section 5).
d03pcf/d03pca integrates the system of parabolic equations:
(1)
where ,
and depend on ,
,
,
and the vector is the set of solution values
(2)
and the vector is its partial derivative with respect to . Note that ,
and must not depend on .
The integration in time is from to , over the space interval , where and are the leftmost and rightmost points of a user-defined mesh . The coordinate system in space is defined by the value of ;
for Cartesian coordinates,
for cylindrical polar coordinates and for spherical polar coordinates. The mesh should be chosen in accordance with the expected behaviour of the solution.
The system is defined by the functions ,
and which must be specified in pdedef.
The initial values of the functions must be given at . The functions
, for , which may be thought of as fluxes, are also used in the definition of the boundary conditions for each equation. The boundary conditions must have the form
(3)
where or .
The boundary conditions must be specified in bndary.
The problem is subject to the following restrictions:
(i), so that integration is in the forward direction;
(ii),
and the flux must not depend on any time derivatives;
(iii)the evaluation of the functions ,
and is done at the mid-points of the mesh intervals by calling the pdedef for each mid-point in turn. Any discontinuities in these functions must, therefore, be at one or more of the mesh points ;
(iv)at least one of the functions must be nonzero so that there is a time derivative present in the problem; and
(v)if and , which is the left boundary point, then it must be ensured that the PDE solution is bounded at this point. This can be done by either specifying the solution at or by specifying a zero flux there, that is and . See also Section 9.
The parabolic equations are approximated by a system of ODEs in time for the values of at mesh points. For simple problems in Cartesian coordinates, this system is obtained by replacing the space derivatives by the usual central, three-point finite difference formula. However, for polar and spherical problems, or problems with nonlinear coefficients, the space derivatives are replaced by a modified three-point formula which maintains second-order accuracy. In total there are ODEs in the time direction. This system is then integrated forwards in time using a backward differentiation formula method.
4References
Berzins M (1990) Developments in the NAG Library software for parabolic equations Scientific Software Systems (eds J C Mason and M G Cox) 59–72 Chapman and Hall
Berzins M, Dew P M and Furzeland R M (1989) Developing software for time-dependent problems using the method of lines and differential-algebraic integrators Appl. Numer. Math.5 375–397
Dew P M and Walsh J (1981) A set of library routines for solving parabolic equations in one space variable ACM Trans. Math. Software7 295–314
Pennington S V and Berzins M (1994) New NAG Library software for first-order partial differential equations ACM Trans. Math. Softw.20 63–99
Skeel R D and Berzins M (1990) A method for the spatial discretization of parabolic equations in one space variable SIAM J. Sci. Statist. Comput.11(1) 1–32
5Arguments
1: – IntegerInput
On entry: the number of PDEs in the system to be solved.
Constraint:
.
2: – IntegerInput
On entry: the coordinate system used:
Indicates Cartesian coordinates.
Indicates cylindrical polar coordinates.
Indicates spherical polar coordinates.
Constraint:
, or .
3: – Real (Kind=nag_wp)Input/Output
On entry: the initial value of the independent variable .
On exit: the value of corresponding to the solution values in u. Normally .
Constraint:
.
4: – Real (Kind=nag_wp)Input
On entry: the final value of to which the integration is to be carried out.
5: – Subroutine, supplied by the user.External Procedure
pdedef must compute the functions , and which define the system of PDEs. pdedef is called approximately midway between each pair of mesh points in turn by d03pcf/d03pca.
On entry: the current value of the independent variable .
3: – Real (Kind=nag_wp)Input
On entry: the current value of the space variable .
4: – Real (Kind=nag_wp) arrayInput
On entry: contains the value of the component , for .
5: – Real (Kind=nag_wp) arrayInput
On entry: contains the value of the component , for .
6: – Real (Kind=nag_wp) arrayOutput
On exit: must be set to the value of , for and .
7: – Real (Kind=nag_wp) arrayOutput
On exit: must be set to the value of , for .
8: – Real (Kind=nag_wp) arrayOutput
On exit: must be set to the value of , for .
9: – IntegerInput/Output
On entry: set to or .
On exit: should usually remain unchanged. However, you may set ires to force the integration routine to take certain actions as described below:
Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to .
Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set when a physically meaningless input or output value has been generated. If you consecutively set , d03pcf/d03pca returns to the calling subroutine with the error indicator set to .
Note: the following are additional arguments for specific use with d03pca. Users of d03pcf therefore need not read the remainder of this description.
10: – Integer arrayUser Workspace
11: – Real (Kind=nag_wp) arrayUser Workspace
pdedef is called with the arguments iuser and ruser as supplied to d03pcf/d03pca. You should use the arrays iuser and ruser to supply information to pdedef.
pdedef must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which d03pcf/d03pca is called. Arguments denoted as Input must not be changed by this procedure.
Note:pdedef should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by d03pcf/d03pca. If your code inadvertently does return any NaNs or infinities, d03pcf/d03pca is likely to produce unexpected results.
6: – Subroutine, supplied by the user.External Procedure
bndary must compute the functions and which define the boundary conditions as in equation (3).
On entry: the current value of the independent variable .
3: – Real (Kind=nag_wp) arrayInput
On entry: contains the value of the component at the boundary specified by ibnd, for .
4: – Real (Kind=nag_wp) arrayInput
On entry: contains the value of the component at the boundary specified by ibnd, for .
5: – IntegerInput
On entry: determines the position of the boundary conditions.
bndary must set up the coefficients of the left-hand boundary, .
Indicates that bndary must set up the coefficients of the right-hand boundary, .
6: – Real (Kind=nag_wp) arrayOutput
On exit: must be set to the value of at the boundary specified by ibnd, for .
7: – Real (Kind=nag_wp) arrayOutput
On exit: must be set to the value of at the boundary specified by ibnd, for .
8: – IntegerInput/Output
On entry: set to or .
On exit: should usually remain unchanged. However, you may set ires to force the integration routine to take certain actions as described below:
Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to .
Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set when a physically meaningless input or output value has been generated. If you consecutively set , d03pcf/d03pca returns to the calling subroutine with the error indicator set to .
Note: the following are additional arguments for specific use with d03pca. Users of d03pcf therefore need not read the remainder of this description.
9: – Integer arrayUser Workspace
10: – Real (Kind=nag_wp) arrayUser Workspace
bndary is called with the arguments iuser and ruser as supplied to d03pcf/d03pca. You should use the arrays iuser and ruser to supply information to bndary.
bndary must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which d03pcf/d03pca is called. Arguments denoted as Input must not be changed by this procedure.
Note:bndary should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by d03pcf/d03pca. If your code inadvertently does return any NaNs or infinities, d03pcf/d03pca is likely to produce unexpected results.
7: – Real (Kind=nag_wp) arrayInput/Output
On entry: the initial values of at and the mesh points
, for .
On exit: will contain the computed solution at .
8: – IntegerInput
On entry: the number of mesh points in the interval .
Constraint:
.
9: – Real (Kind=nag_wp) arrayInput
On entry: the mesh points in the spatial direction. must specify the left-hand boundary, , and must specify the right-hand boundary, .
Constraint:
.
10: – Real (Kind=nag_wp)Input
On entry: a positive quantity for controlling the local error estimate in the time integration. If is the estimated error for at the th mesh point, the error test is:
If , isave must be unchanged from the previous call to the routine because it contains required information about the iteration. In particular:
Contains the number of steps taken in time.
Contains the number of residual evaluations of the resulting ODE system used. One such evaluation involves computing the PDE functions at all the mesh points, as well as one evaluation of the functions in the boundary conditions.
Contains the number of Jacobian evaluations performed by the time integrator.
Contains the order of the last backward differentiation formula method used.
Contains the number of Newton iterations performed by the time integrator. Each iteration involves an ODE residual evaluation followed by a back-substitution using the decomposition of the Jacobian matrix.
14: – IntegerInput
On entry: the dimension of the array isave as declared in the (sub)program from which d03pcf/d03pca is called.
Constraint:
.
15: – IntegerInput
On entry: specifies the task to be performed by the ODE integrator.
Stop at first internal integration point at or beyond .
Constraint:
, or .
16: – IntegerInput
On entry: the level of trace information required from d03pcf/d03pca and the underlying ODE solver. itrace may take the value , , , or .
No output is generated.
Only warning messages from the PDE solver are printed on the current error message unit (see x04aaf).
Output from the underlying ODE solver is printed on the current advisory message unit (see x04abf). This output contains details of Jacobian entries, the nonlinear iteration and the time integration during the computation of the ODE system.
If , is assumed and similarly if , is assumed.
The advisory messages are given in greater detail as itrace increases. You are advised to set , unless you are experienced with Sub-chapter D02M–N.
17: – IntegerInput/Output
On entry: indicates whether this is a continuation call or a new integration.
Starts or restarts the integration in time.
Continues the integration after an earlier exit from the routine. In this case, only the arguments tout and ifail should be reset between calls to d03pcf/d03pca.
Constraint:
or .
On exit: .
18: – IntegerInput/Output
Note:for d03pca, ifail does not occur in this position in the argument list. See the additional arguments described below.
On entry: ifail must be set to , or to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of means that an error message is printed while a value of means that it is not.
If halting is not appropriate, the value or is recommended. If message printing is undesirable, then the value is recommended. Otherwise, the value is recommended. When the value or is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
Note: the following are additional arguments for specific use with d03pca. Users of d03pcf therefore need not read the remainder of this description.
18: – Integer arrayUser Workspace
19: – Real (Kind=nag_wp) arrayUser Workspace
iuser and ruser are not used by d03pcf/d03pca, but are passed directly to pdedef and bndary and may be used to pass information to these routines.
Serious error in internal call to an auxiliary. Increase itrace for further details.
Integration completed, but a small change in acc is unlikely to result in a changed solution.
.
Error during Jacobian formulation for ODE system. Increase itrace for further details.
Flux function appears to depend on time derivatives.
An unexpected error has been triggered by this routine. Please
contact NAG.
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.
7Accuracy
d03pcf/d03pca controls the accuracy of the integration in the time direction but not the accuracy of the approximation in space. The spatial accuracy depends on both the number of mesh points and on their distribution in space. In the time integration only the local error over a single step is controlled and so the accuracy over a number of steps cannot be guaranteed. You should, therefore, test the effect of varying the accuracy argument, acc.
8Parallelism and Performance
Background information to multithreading can be found in the Multithreading documentation.
d03pcf/d03pca is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
d03pcf/d03pca makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.
9Further Comments
d03pcf/d03pca is designed to solve parabolic systems (possibly including some elliptic equations) with second-order derivatives in space. The argument specification allows you to include equations with only first-order derivatives in the space direction but there is no guarantee that the method of integration will be satisfactory for such systems. The position and nature of the boundary conditions in particular are critical in defining a stable problem. It may be advisable in such cases to reduce the whole system to first-order and to use the Keller box scheme routine d03pef.
The time taken depends on the complexity of the parabolic system and on the accuracy requested.
10Example
We use the example given in Dew and Walsh (1981) which consists of an elliptic-parabolic pair of PDEs. The problem was originally derived from a single third-order in space PDE. The elliptic equation is
and the parabolic equation is
where . The boundary conditions are given by
and
The first of these boundary conditions implies that the flux term in the second PDE,
, is zero at .
The initial conditions at are given by
The value was used in the problem definition. A mesh of points was used with a circular mesh spacing to cluster the points towards the right-hand side of the spatial interval,
.
10.1Program Text
Note:the following programs illustrate the use of d03pcf and d03pca.