This book introduces finite difference methods for both ordinary differential equations (ODEs) and partial differential equations (PDEs) and discusses the similarities and differences between algorithm design and stability analysis for different types of equations. A unified view of stability theory for ODEs and PDEs is presented, and the interplay between ODE and PDE analysis is stressed. The text emphasizes standard classical methods, but several newer approaches also are introduced and are described in the context of simple motivating examples. The book is organized into two main sections and a set of appendices. Part I addresses steady-state boundary value problems, starting with two-point boundary value problems in one dimension, followed by coverage of elliptic problems in two and three dimensions. It concludes with a chapter on iterative methods for large sparse linear systems that emphasizes systems arising from difference approximations. Part II addresses time-dependent problems, starting with the initial value problem for ODEs, moving on to initial boundary value problems for parabolic and hyperbolic PDEs, and concluding with a chapter on mixed equations combining features of ODEs, parabolic equations, and hyperbolic equations. The appendices cover concepts pertinent to Parts I and II. Exercises and student projects, developed in conjunction with this book, are available on the book s webpage along with numerous MATLAB m-files. Readers will gain an understanding of the essential ideas that underlie the development, analysis, and practical use of finite difference methods as well as the key concepts of stability theory, their relation to one another, and their practical implications. The author provides a foundation from which students can approach more advanced topics and further explore the theory and/or use of finite difference methods according to their interests and needs. Audience This book is designed as an introductory graduate-level textbook on finite difference methods and their analysis. It is also appropriate for researchers who desire an introduction to the use of these methods. Contents Preface; Part I: Boundary Value Problems and Iterative Methods. Chapter 1: Finite Difference Approximations; Chapter 2: Steady States and Boundary Value Problems; Chapter 3: Elliptic Equations; Chapter 4: Iterative Methods for Sparse Linear Systems; Part II: Initial Value Problems. Chapter 5: The Initial Value Problem for Ordinary Differential Equations; Chapter 6: Zero-Stability and Convergence for Initial Value Problems; Chapter 7: Absolute Stability for Ordinary Differential Equations; Chapter 8: Stiff Ordinary Differential Equations; Chapter 9: Diffusion Equations and Parabolic Problems; Chapter 10: Advection Equations and Hyperbolic Systems; Chapter 11: Mixed Equations; Appendix A: Measuring Errors; Appendix B: Polynomial Interpolation and Orthogonal Polynomials; Appendix C: Eigenvalues and Inner-Product Norms; Appendix D: Matrix Powers and Exponentials; Appendix E: Partial Differential Equations; Bibliography; Index.
Cited By
- Jha N, Perfilieva I and Kritika (2023). Fuzzy transform algorithm based on high-resolution compact discretization for three-dimensional nonlinear elliptic PDEs and convection–diffusion equations, Soft Computing - A Fusion of Foundations, Methodologies and Applications, 27:23, (17525-17550), Online publication date: 1-Dec-2023.
- Sharma R and Shankar V Accelerated training of physics-informed neural networks (PINNs) using meshless discretizations Proceedings of the 36th International Conference on Neural Information Processing Systems, (1034-1046)
- Chang S (2021). A family of matrix coefficient formulas for solving ordinary differential equations, Applied Mathematics and Computation, 418:C, Online publication date: 1-Apr-2022.
- Liu J and Wang Z (2022). A ROM-accelerated parallel-in-time preconditioner for solving all-at-once systems in unsteady convection-diffusion PDEs, Applied Mathematics and Computation, 416:C, Online publication date: 1-Mar-2022.
- Guaca D and Poletti E (2022). Modeling and numerical simulation of dissolved oxygen and biochemical oxygen demand concentrations with Holling type III kinetic relationships, Applied Mathematics and Computation, 415:C, Online publication date: 15-Feb-2022.
- Casanova P and Hernández-Santamaría V (2021). Carleman estimates and controllability results for fully discrete approximations of 1D parabolic equations, Advances in Computational Mathematics, 47:5, Online publication date: 1-Oct-2021.
- Zhang Y, Shi N, Yang M, Guo J and Chen J (2020). Output optimization of scalar and 2‐dimension time‐varying nonlinear systems using zeroing dynamics, Asian Journal of Control, 23:4, (1643-1657), Online publication date: 23-Jul-2021.
- Dai X, Kuang X, Xin J and Zhou A (2020). Two-Grid Based Adaptive Proper Orthogonal Decomposition Method for Time Dependent Partial Differential Equations, Journal of Scientific Computing, 84:3, Online publication date: 12-Sep-2020.
- Zhu L and Sheng Q (2020). A note on the adaptive numerical solution of a Riemann–Liouville space-fractional Kawarada problem, Journal of Computational and Applied Mathematics, 374:C, Online publication date: 15-Aug-2020.
- Peeters C, van de Wiel M and van Wieringen W (2019). The spectral condition number plot for regularization parameter evaluation, Computational Statistics, 35:2, (629-646), Online publication date: 1-Jun-2020.
- Gunarathna W, Nasir H and Daundasekera W (2019). An explicit form for higher order approximations of fractional derivatives, Applied Numerical Mathematics, 143:C, (51-60), Online publication date: 1-Sep-2019.
- Mena H and Pfurtscheller L (2019). An efficient SPDE approach for El Niño, Applied Mathematics and Computation, 352:C, (146-156), Online publication date: 1-Jul-2019.
- Vargas A, Hagstrom T, Chan J and Warburton T (2019). Leapfrog Time-Stepping for Hermite Methods, Journal of Scientific Computing, 80:1, (289-314), Online publication date: 1-Jul-2019.
- Xu M, Guo H and Zou Q (2019). Hessian recovery based finite element methods for the Cahn-Hilliard equation, Journal of Computational Physics, 386:C, (524-540), Online publication date: 1-Jun-2019.
- Berger-Vergiat L, Chen X and Waisman H (2019). Explicit and implicit methods for shear band modeling at high strain rates, Computational Mechanics, 63:4, (615-629), Online publication date: 1-Apr-2019.
- Schaumburg H, Marzouk A and Erdelyi B (2019). Picard iteration-based variable-order integrator with dense output employing algorithmic differentiation, Numerical Algorithms, 80:2, (377-396), Online publication date: 1-Feb-2019.
- Laiu M and Hauck C (2019). Positivity Limiters for Filtered Spectral Approximations of Linear Kinetic Transport Equations, Journal of Scientific Computing, 78:2, (918-950), Online publication date: 1-Feb-2019.
- Grégoire T and Chlipala A (2019). Mostly Automated Formal Verification of Loop Dependencies with Applications to Distributed Stencil Algorithms, Journal of Automated Reasoning, 62:2, (193-213), Online publication date: 1-Feb-2019.
- Ladenheim S, Chen Y, Mihajlović M and Pavlidis V (2018). The MTA: An Advanced and Versatile Thermal Simulator for Integrated Systems, IEEE Transactions on Computer-Aided Design of Integrated Circuits and Systems, 37:12, (3123-3136), Online publication date: 1-Dec-2018.
- Hong Y and Nicholls D (2018). A high-order perturbation of surfaces method for vector electromagnetic scattering by doubly layered periodic crossed gratings, Journal of Computational Physics, 372:C, (748-772), Online publication date: 1-Nov-2018.
- Kapanadze D (2018). Exterior diffraction problems for two-dimensional square lattice, Zeitschrift für Angewandte Mathematik und Physik (ZAMP), 69:5, (1-17), Online publication date: 1-Oct-2018.
- Nicholls D and Tong X (2018). High-Order Perturbation of Surfaces Algorithms for the Simulation of Localized Surface Plasmon Resonances in Two Dimensions, Journal of Scientific Computing, 76:3, (1370-1395), Online publication date: 1-Sep-2018.
- Reyes A, Lee D, Graziani C and Tzeferacos P (2018). A New Class of High-Order Methods for Fluid Dynamics Simulations Using Gaussian Process Modeling, Journal of Scientific Computing, 76:1, (443-480), Online publication date: 1-Jul-2018.
- Vabishchevich P (2018). Two-level schemes for the advection equation, Journal of Computational Physics, 363:C, (158-177), Online publication date: 15-Jun-2018.
- Schmitt A, Schreiber M, Peixoto P and Schäfer M (2018). A numerical study of a semi-Lagrangian Parareal method applied to the viscous Burgers equation, Computing and Visualization in Science, 19:1-2, (45-57), Online publication date: 1-Jun-2018.
- Johnson R (2018). Algorithm 988, ACM Transactions on Mathematical Software, 44:3, (1-19), Online publication date: 26-Apr-2018.
- Scarnati T, Gelb A and Platte R (2018). Using $$\ell _1$$ℓ1 Regularization to Improve Numerical Partial Differential Equation Solvers, Journal of Scientific Computing, 75:1, (225-252), Online publication date: 1-Apr-2018.
- Liu J and Wang Z (2018). Efficient time domain decomposition algorithms for parabolic PDE-constrained optimization problems, Computers & Mathematics with Applications, 75:6, (2115-2133), Online publication date: 15-Mar-2018.
- Barbarossa M, Polner M, Röst G and Bogaerts P (2018). Temporal Evolution of Immunity Distributions in a Population with Waning and Boosting, Complexity, 2018, Online publication date: 1-Jan-2018.
- Gonzlez-Caldern A, Vivas-Cruz L and Herrera-Hernndez E (2018). Application of the -method to a telegraphic model of fluid flow in a dual-porosity medium, Journal of Computational Physics, 352:C, (426-444), Online publication date: 1-Jan-2018.
- Hong Y and Nicholls D (2017). A high-order perturbation of surfaces method for scattering of linear waves by periodic multiply layered gratings in two and three dimensions, Journal of Computational Physics, 345:C, (162-188), Online publication date: 15-Sep-2017.
- An Y (2017). Uniform dispersion reduction schemes for the one dimensional wave equation in isotropic media, Journal of Computational Physics, 341:C, (13-21), Online publication date: 15-Jul-2017.
- Wang K, Bichot C, Li Y and Li B (2017). Local binary circumferential and radial derivative pattern for texture classification, Pattern Recognition, 67:C, (213-229), Online publication date: 1-Jul-2017.
- Ramos H, Singh G, Kanwar V and Bhatia S (2017). An embedded 3(2) pair of nonlinear methods for solving first order initial-value ordinary differential systems, Numerical Algorithms, 75:3, (509-529), Online publication date: 1-Jul-2017.
- Filippone S, Cardellini V, Barbieri D and Fanfarillo A (2017). Sparse Matrix-Vector Multiplication on GPGPUs, ACM Transactions on Mathematical Software, 43:4, (1-49), Online publication date: 23-Mar-2017.
- Ozelim L, Cavalcante A and Baetens J (2017). On the iota-delta function, The Journal of Supercomputing, 73:2, (700-712), Online publication date: 1-Feb-2017.
- Axelsson O and Karátson J (2017). Discretization error estimates in maximum norm for convergent splittings of matrices with a monotone preconditioning part, Journal of Computational and Applied Mathematics, 310:C, (155-164), Online publication date: 15-Jan-2017.
- Liu J and Xiao M (2016). A leapfrog multigrid algorithm for the optimal control of parabolic PDEs with Robin boundary conditions, Journal of Computational and Applied Mathematics, 307:C, (216-234), Online publication date: 1-Dec-2016.
- Seidl R and Rank E (2016). Iterative time reversal based flaw identification, Computers & Mathematics with Applications, 72:4, (879-892), Online publication date: 1-Aug-2016.
- Li W (2016). On the skew-permanental polynomials of orientation graphs, Discrete Applied Mathematics, 208:C, (79-87), Online publication date: 31-Jul-2016.
- Otte P and Frank M (2016). Derivation and analysis of Lattice Boltzmann schemes for the linearized Euler equations, Computers & Mathematics with Applications, 72:2, (311-327), Online publication date: 1-Jul-2016.
- Rao S (2016). High-order Numerical Method for Generalized Black-Scholes Model, Procedia Computer Science, 80:C, (1765-1776), Online publication date: 1-Jun-2016.
- Zhang Q (2016). GePUP, Journal of Scientific Computing, 67:3, (1134-1180), Online publication date: 1-Jun-2016.
- Qian J, Yuan L, Liu Y, Luo S and Burridge R (2016). Babich's Expansion and High-Order Eulerian Asymptotics for Point-Source Helmholtz Equations, Journal of Scientific Computing, 67:3, (883-908), Online publication date: 1-Jun-2016.
- Ghosh S and Suryanarayana P (2016). Higher-order finite-difference formulation of periodic Orbital-free Density Functional Theory, Journal of Computational Physics, 307:C, (634-652), Online publication date: 15-Feb-2016.
- Kitic S, Albera L, Bertin N and Gribonval R (2015). Physics-Driven Inverse Problems Made Tractable With Cosparse Regularization, IEEE Transactions on Signal Processing, 64:2, (335-348), Online publication date: 1-Jan-2016.
- D'Alessio S, Leung N and Wan J (2016). Stability of differentially heated flow from a rotating sphere, Journal of Computational and Applied Mathematics, 291:C, (209-224), Online publication date: 1-Jan-2016.
- Yuste S and Quintana-Murillo J (2016). Fast, accurate and robust adaptive finite difference methods for fractional diffusion equations, Numerical Algorithms, 71:1, (207-228), Online publication date: 1-Jan-2016.
- Vignal P, Sarmiento A, Crtes A, Dalcin L and Calo V (2015). Coupling Navier-stokes and Cahn-hilliard Equations in a Two-dimensional Annular flow Configuration, Procedia Computer Science, 51:C, (934-943), Online publication date: 1-Sep-2015.
- Soares T, Xavier M, Pigozzo A, Campos R, Santos R and Lobosco M Performance Evaluation of a Human Immune System Simulator on a GPU Cluster Proceedings of the 13th International Conference on Parallel Computing Technologies - Volume 9251, (458-468)
- Sun Y and Kumar M (2015). A numerical solver for high dimensional transient Fokker-Planck equation in modeling polymeric fluids, Journal of Computational Physics, 289:C, (149-168), Online publication date: 15-May-2015.
- He S, Choi Y, Guo Y and Wang W (2014). Spectral Analysis on Medial Axis of 2D Shapes, Computer Graphics Forum, 33:8, (109-120), Online publication date: 1-Dec-2014.
- Matculevich S and Repin S (2014). Computable estimates of the distance to the exact solution of the evolutionary reaction-diffusion equation, Applied Mathematics and Computation, 247:C, (329-347), Online publication date: 15-Nov-2014.
- Rodrigues D, Barra L, Lobosco M and Bastos F Analysis of Turing Instability for Biological Models Proceedings of the 14th International Conference on Computational Science and Its Applications — ICCSA 2014 - Volume 8584, (576-591)
- Gkioulekas I, Zhao S, Bala K, Zickler T and Levin A (2013). Inverse volume rendering with material dictionaries, ACM Transactions on Graphics, 32:6, (1-13), Online publication date: 1-Nov-2013.
- Klug F (2013). The supply chain triangle, Modelling and Simulation in Engineering, 2013, (12-12), Online publication date: 1-Jan-2013.
- Wang W, Dai Z, Li J and Zhou L (2012). A hybrid Laplace transform finite analytic method for solving transport problems with large Peclet and Courant numbers, Computers & Geosciences, 49, (182-189), Online publication date: 1-Dec-2012.
- Rocha P, Xavier M, Pigozzo A, de M. Quintela B, Macedo G, dos Santos R and Lobosco M A three-dimensional computational model of the innate immune system Proceedings of the 12th international conference on Computational Science and Its Applications - Volume Part I, (691-706)
- Faragó I Note on the Convergence of the Implicit Euler Method Revised Selected Papers of the 5th International Conference on Numerical Analysis and Its Applications - Volume 8236, (1-11)
- Arbenz P, Hiltebrand A and Obrist D A parallel space-time finite difference solver for periodic solutions of the shallow-water equation Proceedings of the 9th international conference on Parallel Processing and Applied Mathematics - Volume Part II, (302-312)
- Erdogan U and Ozis T (2011). A smart nonstandard finite difference scheme for second order nonlinear boundary value problems, Journal of Computational Physics, 230:17, (6464-6474), Online publication date: 1-Jul-2011.
- Vabishchevich P SM stability for time-dependent problems Proceedings of the 7th international conference on Numerical methods and applications, (29-40)
- Adelmann A, Arbenz P and Ineichen Y (2010). A fast parallel Poisson solver on irregular domains applied to beam dynamics simulations, Journal of Computational Physics, 229:12, (4554-4566), Online publication date: 1-Jun-2010.
- Barnett A (2004). A fast numerical method for time-resolved photon diffusion in general stratified turbid media, Journal of Computational Physics, 201:2, (771-797), Online publication date: 10-Dec-2004.
- Bertin N, Kitić S and Gribonval R Joint estimation of sound source location and boundary impedance with physics-driven cosparse regularization 2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), (6340-6344)
Index Terms
- Finite Difference Methods for Ordinary and Partial Differential Equations: Steady-State and Time-Dependent Problems (Classics in Applied Mathematics Classics in Applied Mathemat)
Recommendations
Finite difference approximations for two-sided space-fractional partial differential equations
Fractional order partial differential equations are generalizations of classical partial differential equations. Increasingly, these models are used in applications such as fluid flow, finance and others. In this paper we examine some practical ...
A finite difference method for fractional partial differential equation
An implicit unconditional stable difference scheme is presented for a kind of linear space-time fractional convection-diffusion equation. The equation is obtained from the classical integer order convection-diffusion equations with fractional order ...
The Connection between Partial Differential Equations Soluble by Inverse Scattering and Ordinary Differential Equations of Painlevé Type
A completely integrable partial differential equation is one which has a Lax representation, or, more precisely, can be solved via a linear integral equation of Gel’fand–Levitan type, the classic example being the Korteweg–de Vries equation. An ordinary ...