Example: Solving a Nonlinear ODE with a Boundary Layer

Illustration of toolbox use in a nontrivial problem.

Copyright 1987-2003 C. de Boor and The MathWorks, Inc. $Revision: 1.3 $

Overview

The problem

We consider the nonlinear singularly perturbed problem

   epsilon D^2g(x) + (g(x))^2 = 1  on  [0..1]
                  Dg(0) = g(1) = 0 .

This problem is already quite difficult for epsilon = .001, so we choose a modest

epsilon = .1;

The approximation space

We seek an approximate solution by collocation from C^1 piecewise cubics with a specified break sequence BREAKS, hence want the order k to be 4 and obtain the corresponding knot sequence as knots = augknt(breaks,4,2)

breaks = [0:4]/4; k = 4;
knots = augknt(breaks,k,2)
knots =

  Columns 1 through 7 

         0         0         0         0    0.2500    0.2500    0.5000

  Columns 8 through 14 

    0.5000    0.7500    0.7500    1.0000    1.0000    1.0000    1.0000

The approximation space (continued)

Whatever the choice of order and knots, the corresponding spline space has dimension

n = length(knots) - k
n =

    10

Discretization

The number 10 of degrees of freedom fits nicely with the fact that we expect to collocate at two sites per polynomial piece, for a total of 8 conditions, bringing us to 10 conditions altogether once we add the two side conditions.

We choose two Gauss sites for each interval. For the `standard' interval [-1 .. 1]/2 of unit length, these are the two sites gauss = .5773502692*[-1;1]/2; From this, we obtain the whole collection of collocation sites by

gauss = .5773502692*[-1;1]/2;
ninterv = length(breaks)-1;
temp = (breaks(2:ninterv+1)+breaks(1:ninterv))/2;
temp = temp([1 1],:) + gauss*diff(breaks);
colsites = temp(:).';

The numerical problem

The numerical problem we want to solve is to find a pp y of the given order and with the given knots that satisfies the (nonlinear) system

                         Dy(0)  =  0
     (y(x))^2 + epsilon D^2y(x)  =  1   for  x in COLSITES
                           y(1)  =  0

Linearization

If y is our current approximation to the solution, then the linear problem for the better (?) solution z by Newton's method reads

                         Dz(0)  =  0
   w_0(x)z(x) + epsilon D^2z(x)  =  b(x)   for  x in COLSITES
                           z(1)  =  0

with w_0(x) := 2y(x), b(x) := (y(x))^2 + 1 .

In fact, by choosing w_0(1) := 1, w_1(0) := 1 , and

   w_2(x) := epsilon,    w_1(x) := 0    for  x  in COLSITES

and choosing all other values of w_0, w_1, w_2, b not yet specified to be zero, we can give our system the uniform shape

w_0(x)z(x) + w_1(x)Dz(x) + w_2(x)D^2z(x) = b(x)   for  x  in SITES

with

sites = [0,colsites,1];

Linear system to be solved

This system converts into one for the B-spline coefficients of its solution z . For this, we need the zeroth, first, and second derivative at every x in SITES and for every relevant B-spline. These values are supplied by the toolbox command SPCOL.

Here is the essential part of the online help for SPCOL:

%SPCOL B-spline collocation matrix.
%
%   COLLOC = SPCOL(KNOTS,K,TAU)  is the matrix 
%
%      [ D^m(i)B_j(TAU(i)) : i=1:length(TAU), j=1:length(KNOTS)-K ] ,
%
%   with  D^m(i)B_j  the m(i)-fold derivative of B_j,
%   B_j  the j-th B-spline of order K for the knot sequence KNOTS,
%   TAU a sequence of sites, 
%   both KNOTS and TAU are assumed to be nondecreasing, and
%   m(i) is the integer #{ j<i : TAU(j) = TAU(i) }, i.e., the 'cumulative'
%   multiplicity of TAU(i) in TAU.
%

Linear system to be solved (continuued)

We use SPCOL to supply the matrix

    colmat = spcol(knots,k, brk2knt(sites,3) )

with BRK2KNT used here to triple each entry of SITES, thus getting in COLMAT, for each x in SITES, value, first, and second derivative at x of all the relevant B-splines.

From this, we get the collocation matrix by combining the row triple associated with x using the weights w_0(x), w_1(x), w_2(x) to get the row corresponding to x of the matrix of our linear system.

colmat = spcol(knots,k, brk2knt(sites,3));

Need initial guess for y

We also need a current approximation y from our spline space. Initially, we get it by interpolating some reasonable initial guess from our pp space at SITES. For that guess, we use the parabola ()^2 - 1 which does satisfy the end conditions and lies in our spline space. We obtain its B-form by interpolation at SITES. We select the relevant interpolation matrix from the full matrix COLMAT. Here it is, in several (cautious) steps:

intmat = colmat([2 1+[1:(n-2)]*3,1+(n-1)*3],:);
coefs = intmat\[0 colsites.*colsites-1 0].';
y = spmak(knots,coefs.');
% We plot the result (it should be exactly  ()^2-1 ), to be sure:
fnplt(y,'g'), grid off, axis(axis)
title('Initial guess (green) is ()^2-1')
hold on

Iteration

We can now complete the construction and solution of the linear system for the improved approximate solution z from our current guess y . In fact, with the initial guess y available, we now set up an iteration, to be terminated when the change z-y is less than a specified TOLERANCE. The max-norms of these changes are shown above.

tolerance = 6.e-9;

xlabel('... and iterates; also the norm of the difference between iterates.')
jc = -.2; hh(1) = text(.1,jc,'norm(z-y): ');
while 1
   vtau = fnval(y,colsites);
   weights=[0 1 0;
            [2*vtau.' zeros(n-2,1) repmat(epsilon,n-2,1)];
            1 0 0];
   colloc = zeros(n,n);
   for j=1:n
      colloc(j,:) = weights(j,:)*colmat(3*(j-1)+[1:3],:);
   end
   coefs = colloc\[0 vtau.*vtau+1 0].';
   z = spmak(knots,coefs.');
   fnplt(z,'k')
   maxdif = max(max(abs(z.coefs-y.coefs)));
   jc = jc-.1; hh(end+1) = text(.1,jc,num2str(maxdif));
   if (maxdif<tolerance), break, end
   % now reiterate
   y = z;
end

Getting ready for a smaller epsilon

That looks like quadratic convergence, as expected from a Newton iteration.

If we now decrease EPSILON, we create more of a boundary layer near
the right endpoint, and this calls for a nonuniform mesh. We use NEWKNT
to construct an appropriate (finer) mesh from the current approximation:
knots = newknt(z, ninterv+1); breaks = knt2brk(knots);
knots = augknt(breaks,4,2); 
n = length(knots)-k;

Collocation sites for new breaks

Next, we get the collocation sites corresponding to the new BREAKS, and then the new collocation matrix:

delete(hh)
ninterv = length(breaks)-1; 
temp = ((breaks(2:ninterv+1)+breaks(1:ninterv))/2); 
temp = temp([1 1], :) + gauss*diff(breaks); 
colsites = temp(:).'; 
sites = [0,colsites,1];

colmat = spcol(knots,k, brk2knt(sites,3));

Initial guess

We obtain the initial guess y as the interpolant from the current spline space to the computed solution z . We plot the resulting interpolant (it should be close to our current solution) to be sure.

intmat = colmat([2 1+[1:(n-2)]*3,1+(n-1)*3],:); 
y = spmak(knots,[0 fnval(z,colsites) 0]/intmat.');
fnplt(y,'g')
title('New initial guess (also green) for new value of epsilon'), xlabel('')

Iteration with smaller epsilon

Now we divide EPSILON by 3 and repeat the above iteration. Convergence is again quadratic.

epsilon = epsilon/3;
 jc = -.2; hh = [];
hh(1) = text(.1,jc,'norm(z-y): ');
while 1
   vtau = fnval(y,colsites);
   weights=[0 1 0;
            [2*vtau.' zeros(n-2,1) repmat(epsilon,n-2,1)];
            1 0 0];
   colloc = zeros(n,n);
   for j=1:n
    colloc(j,:) = weights(j,:)*colmat(3*(j-1)+[1:3],:);
   end
   coefs = colloc\[0 vtau.*vtau+1 0].';
   z = spmak(knots,coefs.');
   fnplt(z,'b')
   maxdif = max(max(abs(z.coefs-y.coefs)));
   jc = jc-.1; hh(end+1)= text(.1,jc,num2str(maxdif));
   if (maxdif<tolerance), break, end
   % now reiterate
   y = z;
end

Very small epsilon

For a much smaller epsilon, we merely repeat these calculations, dividing epsilon by 3 each time.

delete(hh);
for ee = 1:4
   knots = newknt(z, ninterv+1); breaks = knt2brk(knots);
   knots = augknt(breaks,4,2); n = length(knots)-k;

   ninterv = length(breaks)-1; 
   temp = ((breaks(2:ninterv+1)+breaks(1:ninterv))/2); 
   temp = temp([1 1], :) + gauss*diff(breaks); 
   colsites = temp(:).'; 
   sites = [0,colsites,1];
   
   colmat = spcol(knots,k, brk2knt(sites,3));
   
   intmat = colmat([2 1+[1:(n-2)]*3,1+(n-1)*3],:); 
   y = spmak(knots,[0 fnval(z,colsites) 0]/intmat.');
   fnplt(y,'g')
   
   epsilon = epsilon/3;
   while 1
      vtau = fnval(y,colsites);
      weights=[0 1 0;
               [2*vtau.' zeros(n-2,1) repmat(epsilon,n-2,1)];
               1 0 0];
      colloc = zeros(n,n);
      for j=1:n
       colloc(j,:) = weights(j,:)*colmat(3*(j-1)+[1:3],:);
      end
      coefs = colloc\[0 vtau.*vtau+1 0].';
      z = spmak(knots,coefs.');
      fnplt(z,'b')
      maxdif = max(max(abs(z.coefs-y.coefs)));
      if (maxdif<tolerance), break, end
      % now reiterate
      y = z;
   end

end

Plot the breaks used for smallest epsilon

Here is the final distribution of breaks, showing NEWKNT to have worked well in this case.

breaks = fnbrk(fn2fm(z,'pp'),'b');
bb = repmat(breaks,3,1); cc = repmat([0;-1;NaN],1,length(breaks));
plot(bb(:),cc(:),'r')
title('Initial guess (green) and iterates (blue) for epsilon = 1./3^j, j=2:5,')
xlabel('Also, the breaks used for smallest epsilon.')
hold off

Plot residual for smallest epsilon

Recall that we are solving the ODE

 epsilon D^2g(x) + (g(x))^2 = 1  on  [0..1]

As a check, we compute and plot the residual for the computed solution for the smallest epsilon. This, too, looks satisfactory.

xx = linspace(0,1,201);
plot(xx, 1 - epsilon*fnval(fnder(z,2),xx) - (fnval(z,xx)).^2)
title('Residual for the computed solution for smallest epsilon')