二、 Basic Definition
2.3 Level Set Function
In this approach, an interface is represented by the zero level set of function φ. The following is the definition of φ on whole domain:
φ(x) < 0 if x ∈ Ω− φ(x) = 0 if x ∈ Γ φ(x) > 0 if x ∈ Ω+
We call φ is a signed distance function if φ(x) is the distance from x to the interface. We will use re-initialization process[10] to modified level set function into signed distance function so that use φ to define the outward unit normal vector n by
n = ∇φ
|∇φ|, (8)
and the curvature κ by
κ = ∇ · n = ∇ · µ ∇φ
|∇φ|
¶
. (9)
If X is on the interface but is not a grid point, we can still compute them by the interpolation method using specific points from the four corners of the rectangle that contains X.
3 One-Dimensional Elliptic Interface Prob-lems
In this section, we discuss with one-dimensional elliptic equation. Extending to two-dimensional elliptic equations is using dimension by dimension. The key idea of IIM is to avoid grid generation by correcting finite difference in the neighborhood of the interface. We only show the work about discrete form of (d2u/dx2)j. The discrete form of (du/dx)j can be easily obtained by the same way.
Assume the interface is located at x = α(Fig. 2). Let σ = α − xj
h . (10)
Clearly, we have 0 ≤ σ ≤ 1.
Figure 2: Uniform grid with interface located at x = α
The two jump conditions involving u and ux can be obtained from the original elliptic equation. A general jump conditions across the interface can be written as
[γu]x = γ+u+− γ−u−= A (11) and
· βdu
dx
¸
x
= β+du dx
+
− β−du dx
−
= B. (12)
As mention in Sec. 2.2, the superscripts “+” and “−” represent the variables at the right and left side of the interface, respectively.
There are two kinds of grid points. One is called a regular point if the finite difference formula at this point only involves grid points on the same side of the interface. Otherwise, it is an irregular point. If the gird point i is a regular point, we use standard finite difference directly. For example:
µd2u dx2
¶
j
= uj−1− 2uj + uj+1
h2 + O(h2) (13)
or
µd2u dx2
¶
j
= −uj−2+ 16uj−1− 30uj + 16uj+1− uj+2
12h2 + O(h4). (14)
These two difference formulas can be easily obtained by the Taylor expansion.
3.1 Difference Formula for d
2u/dx
2at Irregular Points
Finite difference approximations for d2u/dx2 at the irregular point j are considered by using a stencil of n points on the left side of interface and m points on the right(Fig. 2).
3.1.1 Difference Formulas with Four-point Stencil (n = m = 2)
Thus, we have to determine dks and the correction term on the right hand side of Eq. (15). By using the Taylor expansion at x = α−, we have Substituting Eqs. (11) and (12) into Eq. (20) and (21), we have
uj+1 = A
Substituting Eqs. (18), (19), (22), and (23) into Eq. (15) leads to can conclude that the (d2u/dx2) at irregular points is O(h). To determine dks, it is necessary to solve the linear system equation as follows
Figure 3: New Cartesian grid with exk−1 = −xj+2, exk = −xj+1 , exk+1 = −xj, and exk+2 = −xj−1.
Clearly, dks are functions of σ and jump parameters: γ+, β+, cγ, and cβ. Finally, we’ve determined all dks. Eq. (15), together with Eq. (26), is an explicit difference formula for O(h) approximation to (d2u/dx2)j. Moreover, it shows that the current formula at irregular points does not have singularity, even for the special cases of Γ coinciding with σ = 0 or σ = 1.
We can obtain (du/dx)j by the same way. The general formulas for first and second derivatives terms are
µdu dx
¶
j
= (d−1− 2)uj−1+ (d0+ 2)uj+ d1uj+1+ d2uj+2+ dAA + hdBB
2h + O(h),
µ (27) d2u dx2
¶
j
= d−1uj−1+ d0uj + d1uj+1+ d2uj+2+ dAA + hdBB
h2 + O(h), (28)
where dks are the same in Eq. (26).
3.1.2 Irregular Point Located at Right Side of Interface
The finite difference formulas at grid point j + 1 can be obtained from Eqs.
(27) and (28). Instead of using the method in previous section, we use the coordinate transformation (Fig. 3).
Let
v(x) = u(−x), e
γ(x) = γ(−x),
β(x) = β(−x),e (29)
[eγv]x = eA, [ eβv0]x = eB,
then the two jump conditions are
Consider the derivative of function v defined on the Cartesian grid exk. By the same thought in Sec. 3.1.1, we can easily obtain
µd2v
3.2 Difference Formulas with a General n + m Grid Stencil
In this section, we want to obtain arbitrary high order difference formula scheme. The difference formulas at irregular point j for n + m points are considered. In order to get uniform order, we often take n = m. The method we used is matched polynomial interpolation. We only provide the discrete form of d2u/dx2 here.
The polynomial on the left side of Γ, interpolating through n grid points can be written as
P−(x) =
−n+1X
k=0
lk(x)ui+k+ anR(x), (33) where an is an undetermined coefficient to be decided, and
R(x) =
−n+1Y
k=0
(x − xi+k). (34)
lk(x) is the Lagrange polynomial, i.e.
lk(x) = Similarly, the polynomial on the right side of Γ, interpolating through m grid points can be written as
P+(x) = Xm k=1
rk(x)ui+k+ bmQ(x), (36) where bm is an undetermined coefficient to be decided, and
Q(x) = Ym k=1
(x − xi+k). (37)
rk(x) is the Lagrange polynomial, i.e.
rk(x) = Our thought is that use the relation
µd2u
Thus, we only have to determine the unknown an. Once we find an, we can obtain the difference formula (d2u/dx2)j, and then we get (d2u/dx2)j+1 by the method in Sec. 3.1.2.
Substituting Eqs. (33) and (36) into Eq. (11) leads to
γ+
Rearrange the equation above we get
c11an+ c12bm = β1, (39)
Again, Substituting Eqs. (33) and (36) into Eq. (12) leads to
β+
Rearrange the equation above we get
c21an+ c22bm = β2, (41)
Solving Eqs. (39) and (41), we have
an= Xm
µkui+k+ ξ−AA + ξ−BB, (43)
where µk=
½ 1
J{γ−β+Q0(α)lk(α) − γ+β−Q(α)l0k(α)} for k = −n + 1, · · · , 0
γ+β+
J {−Q0(α)rk(α) + Q(α)r0k(α)} for k = 1, · · · , m, ξA−= 1
J{β+Q0(α)}, (44)
ξB−= −1
J{γ+Q(α)},
J = γ+β−R0(α)Q(α) − γ−β+Q0(α)R(α).
In fact, if we take n = m = 2, we will have the same result as present in the previous section.
3.3 Numerical Results
We use four versions of current IIM tested in this thesis. In method C and D, grid points j − 1 and j + 2 are irregular points, but we can treat only j and j + 1 as irregular points and use fourth-order one-sided difference formula for j − 1 and j + 2.
Methods Order at regular Order at irregular Expected global order grid points grid points
Method A O(h2) O(h) O(h2)
Method B O(h2) O(h2) O(h2)
Method C O(h4) O(h) O(h2)
Method D O(h4) O(h2) O(h3)
Table 1: Four immersed interface method
Example 3.1 In this example, we use the IIM to solve the following prob-lem:
d2u
dx2 + κu = βδ(x − α) , x ∈ (−0.5, 0.5), (45) where κ is discontinuous across the interface located at x = α:
κ(x) =
½ (α1)2 if − 0.5 < x ≤ α,
(α2)2 if α < x < 0.5. (46)
The boundary condition is
u(−0.5) = u(0.5) = 0. (47)
An alternative way to state Eq. (45) requires that u(x) satisfies the equation d2u
dx2 + κu = 0 , x ∈ (−0.5, α) ∪ (α, 0.5), (48) excluding the interface located at x = α, together with boundary conditions (47) and two natural jump conditions:
[u]x = 0, (49)
The exact solution is
uex(x) =
Figure 4: (a)Comparison of the exact solution uexand the numerical solution u(Method D with N = 80). (b) Numerical error(Method D with N = 640).
Table 2 shows the maximum-norm errors of four methods, the correspond-ing ratios and orders. Note that in order to compare the grid refinement results with the same conditions, all results are compared between grids N and N/4 because they have the same σ. So the ratio and order are defined as following:
Ratio = kEN/4k∞ kENk∞
, Order = log4
µkEN/4k∞ kENk∞
¶ .
N σ Method A Method B
kEnk∞ Ratio Order kEnk∞ Ratio Order
20 1/3 9.795371 9.884993
40 2/3 9.537e-1 9.369e-1
80 1/3 2.135e-1 45.875 2.76 2.135e-1 46.79 2.77
160 2/3 5.277e-2 18.073 2.09 5.189e-2 18.05 2.08
320 1/3 1.297e-2 16.466 2.02 1.288e-2 16.39 2.01
640 2/3 3.275e-3 16.112 2.00 3.222e-3 16.10 2.00
N σ Method C Method D
kEnk∞ Ratio Order kEnk∞ Ratio Order
40 2/3 3.673e-1 3.762e-1
80 1/3 1.269e-2 8.797e-3
160 2/3 2.709e-3 135.5 3.54 1.016e-3 369.9 4.27
320 1/3 2.198e-4 57.72 2.92 2.521e-5 348.9 4.22
640 2/3 1.255e-4 21.57 2.21 1.112e-5 91.44 3.26
Table 2: Comparison of numerical errors
4 Two-Dimensional Elliptic Interface Prob-lems
We use a dimension by dimension approach to solve the two-dimensional problems. To compute two-dimensional problems, the grid points are classi-fied into four categories in x-direction:
1. Regular point;
2. Irregular point located on left side of interface;
3. Irregular point located on right side of interface;
4. Irregular point near two interface.
The definition in y-direction is similar to x-direction.
For regular point away from the interface, the derivatives with respect to x and y are approximated by standard central difference:
µd2u Remember that in 1D problems, we need two jump conditions: [γu]x and [βux]x. But we can’t get these two necessary jump conditions from original equation directly, so we still have to make some effort to get these two jump conditions.
4.1 Poisson Equation with Interface
There are two natural jump conditions we can get from original poisson equation:
where s is a parameter of the interface. From Eq. (54), we obtain
·∂u
∂s
¸
= w0(s). (56)
Assume that n = (n1, n2) is the unit normal vector on Γ. Thus s = (−n2, n1) is the unit tangential vector on Γ. Hence, Eqs. (55) and (56) lead to:
[−n2ux+ n1uy] = w0(s), (57) [n1ux+ n2uy] = v(s). (58) By the definition, we have
−n2[ux] + n1[uy] = w0(s), (59) n1[ux] + n2[uy] = v(s). (60) Rearrange Eqs. (59) and (60) we have:
[ux] = n1v(s) − n2w0(s), (61) [uy] = n2v(s) + n1w0(s). (62) Since v(s) and w0(s) are known, we only have to calculate two unknowns, n1
and n2, by level set method.
Note that all jump conditions for partial derivative of u are NOT in x or y-direction. So we have to use Eq. (7) to derive jump conditions for partial derivative in x or y-directions.
4.2 Elliptic Equation with Interface
The natural jump conditions for elliptic equation are
[u] = w(s), (63)
· β∂u
∂n
¸
= v(s). (64)
Again, form Eq. (63) we have
· β∂u
∂s
¸
= w0(s). (65)
By the same thought in Sec. 4.1, we have
£(βn21 + n22)ux¤
= n1v(s) − n2w0(s) − [(β − 1)n1n2uy], (66)
£(n21+ βn22)uy¤
= n1w0(s) − n2v(s) − [(β − 1)n1n2ux]. (67) For finite difference approximation of x derivatives at an irregular point, the jump condition (66) is used. So we have to decide the y derivative term on the right hand side of Eq.(66). We evaluate [uy] by one-sided difference at an order of accuracy which is consistent with the order of the overall calculations.
4.3 Numerical Results
4.3.1 Poisson Equation
Example 4.1 We use the example, which was used by Leveque and Li[3]
to test IIM in this thesis.
uxx+ uyy = Z
Γ
2δ(x − X(s))(y − Y (s))ds − 1 < x, y < 1, (68) where the interface Γ is a circle defined by x2+y2 = 1/4. We can easily obtain unit normal vector n = (2x, 2y) where (x, y) ∈ Γ. The Dirichlet boundary condition is specified by using the exact solution:
uex(x, y) = The jump conditions at all points on Γ are
[u] = 0, (70)
where (x, y) is on the interface Γ. We also test delta function method in this example. Assume f has a delta function singularity along the interface Γ by discrete delta function. For example:
f (x, y) = Z
Γ
C(s)δ(x − X(s))δ(y − Y (s))ds, (74) where (X(s), Y (s)) is the arc-length parameterization of Γ. We use the dis-crete delta function
to calculate fi,j, and the form of which is fi,j =
Xm k=1
C(sk)dh(xi− Xk)dh(yj− Yj)∆sk. (76) Fig. 5 shows that the main error in the computations are originated from the interface. This demonstrates the importance of using higher-order method
Figure 5: Contour of numerical error
Methods DFM Method A Method B
kEnk∞ Order kEnk∞ Order kEnk∞ Order
30 × 30 0.031 2.204e-3 6.867e-4
60 × 60 0.015 0.99 2.873e-4 2.94 1.072e-4 2.68
120 × 120 0.008 0.96 5.312e-5 2.43 3.286e-5 1.70
240 × 240 0.004 0.93 1.225e-5 2.16 8.134e-6 2.01
Table 3: Comparison of numerical errors
Example 4.2 In this example, we consider the discontinuous Poisson prob-lem with the elliptic interface:
Γ : x2 a2 +y2
b2 = 1, and we use the notations
4u± = f± in Ω±,
[u] = w(s) on Γ, (77)
[un] = v(s) on Γ, u = u0 on ∂Ω.
We derive the jump conditions [u] and [βun] from the exact solution. Four different examples as shown in Table 4 are tested. Unlike in Example 4.1, the solution in this example is discontinuous.
Remember that in order to calculate the jump conditions (61) and (62), we need the unit normal vector n = (n1, n2). In this example, we use re-initialization process mentioned in Sec. 2.
Case 1 Case 2 Case 3 Case 4
u− 1 x2− y2 excos(y) sin(x) cos(y)
u+ 1 + log(2p
x2+ y2) 0 0 0
f− 0 0 0 −2 sin(x) cos(y)
f+ 0 0 0 0
Table 4: Four test cases for Eq. (77).
In Case 2, since the exact solution is a polynomial, the maximum errors are machine errors. Note that for Case 4, we use the different grids since the Cartesian grid cannot fetch the interface behavior if we use the same grid for other cases.
N × N kEnk∞ Order N × N kEnkL2 Order
Case 1 30 × 30 5.355e-4 30 × 30 5.004e-4
60 × 60 1.758e-4 1.61 60 × 60 1.153e-4 2.12 120 × 120 3.692e-5 2.25 120 × 120 3.036e-5 1.98 240 × 240 1.239e-5 1.58 240 × 240 6.709e-6 2.18
Case 2 30 × 30 3.608e-16 30 × 30 2.368e-16
60 × 60 4.441e-16 60 × 60 4.400e-16
120 × 120 1.443e-15 120 × 120 6.002e-16 240 × 240 1.221e-15 240 × 240 4.368e-16
Case 3 30 × 30 1.123e-4 30 × 30 9.544e-5
60 × 60 5.723e-5 0.97 60 × 60 4.102e-5 1.22 120 × 120 7.524e-6 2.93 120 × 120 6.330e-6 2.70 240 × 240 2.637e-6 1.51 240 × 240 2.170e-6 1.54
Case 4 40 × 40 1.789e-5 40 × 40 8.451e-6
80 × 80 2.918e-6 2.62 80 × 80 1.191e-6 2.82 160 × 160 6.865e-7 2.09 160 × 160 2.667e-7 2.16 320 × 320 1.028e-7 2.74 320 × 320 2.830e-8 3.24 Table 5: Comparison of numerical errors by method A with result for a = 0.6, b = 0.4.
4.3.2 Elliptic Equation
Example 4.3 We use the example, which was used by Leveque and Li[3]
to test IIM in this thesis. An elliptic equation with a delta function source term and with a discontinuous coefficient β as follows:
∇ · (β∇u) = f (x, y) + C
For the current case, the jump conditions on Γ are
[u] = 0, (79)
Here we derive the necessary two jump conditions for partial derivative by the method in Sec. 4.2.
C = 0.1 40 × 40 80 × 80 160 × 160 320 × 320
b kEnk∞ kEnk∞ Order kEnk∞ Order kEnk∞ Order 10.0 8.15e-5 2.53e-5 1.69 5.76e-6 2.14 1.38e-6 2.06
5.0 1.58e-4 4.97e-5 1.67 1.12e-5 2.15 2.71e-6 2.06
1.0 6.99e-4 2.31e-4 1.59 5.04e-5 2.20 1.24e-5 2.02
0.01 0.05985 0.02128 1.49 0.00431 2.30 0.00112 1.94 0.005 0.11961 0.04255 1.49 0.00861 2.30 0.00225 1.94
Table 6: Comparison of numerical errors
According to the exact solution, as b decreases, the maximum magnitude of |u(x, y)| increases. Therefore, the computational errors will increase when the value of b decreases.
Example 4.4 In this example, we consider the discontinuous elliptic equa-tion with elliptic interface:
Γ : x2 a2 +y2
b2 = 1
Case 1 Case 2 Case 3
u− x2+ y2 x2+ y2 x2− y2
u+ 1−8014−101 + (x2+y2)22 10+x2+y2 +0.1 log(2
√x2+y2)
10 0 sin(x) cos(y)
β− x2+ y2+ 1 ex− y 1
β+ 10 0.5 2
f− 8(x2+ y2) + 4 2ex(x + 2) − 6y 0
f+ 8(x2+ y2) + 4 0 −2 sin(x) cos(y)
Table 7: Three test cases.
N × N kEnk∞ Order N × N kEnkL2 Order
Case 1 30 × 30 2.169e-4 30 × 30 2.552e-4
60 × 60 5.600e-5 1.95 60 × 60 6.527e-5 1.97 120 × 120 1.508e-5 1.89 120 × 120 1.736e-5 1.91 240 × 240 3.135e-6 2.27 240 × 240 3.706e-6 2.23
Case 2 30 × 30 2.776e-16 30 × 30 1.086e-16
60 × 60 6.661e-16 60 × 60 1.833e-16
120 × 120 6.661e-16 120 × 120 1.535e-16 240 × 240 1.332e-15 240 × 240 4.247e-16
Case 3 30 × 30 2.093e-5 30 × 30 2.214e-5
60 × 60 8.626e-6 1.23 60 × 60 8.084e-6 1.45 120 × 120 1.449e-6 2.57 120 × 120 1.572e-6 2.36 240 × 240 5.628e-7 1.36 240 × 240 6.195e-7 1.34 Table 8: Comparison of numerical errors by method A with result for a = 0.8, b = 0.2.
In Case 2, because the exact solution is a polynomial, the maximum errors
4.3.3 Application of Heat Equation
Example 4.5 We use the example used by Shen and Li[6], the heat equa-tion with an interface as follows
ut = ∇ · (β∇u), Ω = [−1, 1] × [−1, 1], t ∈ [0, ∞] (81) where
β(x, y) =
( β− if (x, y) ∈ Ω−,
β+ if (x, y) ∈ Ω+. (82) We give the initial condition
u(x, y, 1) = exp µ
−x2+ y2 4β
¶
and the Dirichlet boundary condition when (x, y) ∈ ∂Ω and two natural jump conditions [u] and [βun] by the exact solution:
u(x, y, t) = 1 t exp
µ
−x2+ y2 4βt
¶
. (83)
We use the Crank-Nicolson method in this example. The steps of our algo-rithm can be outlined as follows:
Step 1. Reinitialize φ to be an exact signed distance function by solving the equation, φt = sgn(φ0)(1 − |∇φ|) to steady state.
Step 2. Compute outward normal vector n by Eq. (8). We compute this value at grid points neighboring the interface, then we interpolate its value on the interface whenever it is needed. Eq. (8) is numerically solved using center difference approximations to the partial derivatives of φ.
Step 3. Use φ to determine a flag matrix F . For example, let F (i, j) = 0 if (xi, yj) is regular point;
F (i, j) = 1 if (xi, yj) is irregular point.
Then we can use F to determine what kind the grid points are. Also, we compute the distance form irregular (xi, yj) to the interface in either the vertical or horizontal direction.
Step 4. Use the Crank-Nicolson method as following:
un+1i,j − uni,j
4t = 1
2(βi,j4un+1i,j + βi,j4uni,j).
Rearrange the equation above, we have
4t(βi,j4un+1i,j ) − 2un+1i,j = −4t(βi,j4uni,j) − 2uni,j (84) Use F to distinguish grid points. For regular point, we use five-point Laplacian to discretize 4un+1i,j on the left hand side of Eq. (84). For irregular point, we discretize 4un+1i,j term by IIM in this thesis. This scheme is always numerically stable and convergent but usually more numerically intensive as it requires solving a linear system AU = b of numerical equations on each time step.
Step 5. Since our interface is fixed, the matrix A is fixed. We repeat Step 4 to get the solution u at next time step.
Case 1.
N × N β+ β− kEnk∞ Order kEnkL2 Order
30 × 30 1000 1 3.928e-5 4.413e-5
60 × 60 1000 1 1.029e-5 1.93 1.166e-5 1.92
120 × 120 1000 1 2.669e-6 1.95 3.038e-6 1.94 240 × 240 1000 1 6.996e-7 1.93 7.974e-7 1.93
30 × 30 1 1000 3.532e-5 4.253e-5
60 × 60 1 1000 9.832e-6 1.85 1.189e-5 1.84
120 × 120 1 1000 2.522e-6 1.96 3.015e-6 1.98 240 × 240 1 1000 6.304e-7 2.00 7.540e-7 2.00
30 × 30 5 1 4.500e-5 5.076e-5
60 × 60 5 1 1.192e-5 1.92 1.352e-5 1.91
120 × 120 5 1 3.084e-6 1.95 3.510e-6 1.95
240 × 240 5 1 8.012e-7 1.94 9.131e-7 1.94
Table 9: Numerical results with Γ : x2+ y2 = 1/4, ∆t = h, T = 2.
Case 2.
N × N β+ β− kEnk∞ Order kEnkL2 Order
30 × 30 1000 1 5.220e-5 4.855e-5
60 × 60 1000 1 1.352e-5 1.95 1.287e-5 1.92
120 × 120 1000 1 3.478e-6 1.96 3.336e-6 1.95 240 × 240 1000 1 8.674e-7 2.00 8.280e-7 2.01
30 × 30 1 1000 5.023e-5 5.092e-5
60 × 60 1 1000 1.363e-5 1.88 1.363e-5 1.90
120 × 120 1 1000 3.492e-6 1.88 3.439e-6 1.99 240 × 240 1 1000 8.963e-7 1.96 8.834e-7 1.96
30 × 30 5 1 5.884e-5 5.544e-5
60 × 60 5 1 1.537e-5 1.94 1.475e-5 1.91
120 × 120 5 1 3.947e-6 1.96 3.806e-6 1.95
240 × 240 5 1 9.903e-7 1.99 9.528e-7 2.00
Table 10: Numerical results with Γ : ¡ x
0.8
¢2 +¡ y
0.2
¢2
= 1, ∆t = h, T = 2.
5 Conclusion
The advantage of the IIM in this thesis is that the finite difference formulas at irregular points are expressed in an explicit form, so they can be applied to difference problems without modifications. But there are still hard work when we use the natural jump condition [βun], so our method will fail if the problem with concave interface.
Our future work is to calculate [un] by the relation [un] = [βun] − [β]u−n
β+ .
Thus, we have to solve the unknown term u−n. Li[4] offered the method by a similar method introduced in original IIM.
There are two challenges. First one is modify our IIM by the method introduced above. Second one is use the modified IIM to solve the Stefan problems[11, 12, 13].
Acknowledgments The method and most notations we used in this thesis are referred by Zhong[1]. Especially we thank Tsai for providing the code of re-initialization process.
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