Omar Eduardo Ortiz & Heinz-Otto Kreiss 
Introduction to Numerical Methods for Time Dependent Differential Equations [PDF ebook] 

Preface xiii
Acknowledgments xv
PART I ORDINARY DIFFERENTIAL EQUATIONS AND THEIRAPPROXIMATIONS
1 First Order Scalar Equations 3
1.1 Constant coefficient linear equations 3
1.1.1 Duhamel’s principle 8
1.1.2 Principle of frozen coefficients 10
1.2 Variable coefficient linear equations 10
1.2.1 The principle of superposition 10
1.2.2 Duhamel’s principle for variable coefficients 12
1.3 Perturbations and the concept of stability 13
1.4 Nonlinear equations: the possibility of blowup 17
1.5 The principle of linearization 20
2 The Method of Euler 23
2.1 The explicit Euler method 23
2.2 Stability of the explicit Euler method 25
2.3 Accuracy and truncation error 27
2.4 Discrete Duhamel’s principle and global error 28
2.5 General onestep methods. 31
2.6 How to test the correctness of a program 32
2.7 Extrapolation 34
3 Higher Order Methods 37
3.1 The secondorder Taylor method 37
3.2 Improved Euler’s method 39
3.3 Accuracy of the computed solution 40
3.4 Runge Kutta methods 44
3.5 Regions of stability 48
3.6 Accuracy and truncation error 51
3.7 Difference approximations for unstable problems 52
4 The Implicit Euler Method 55
4.1 Stiff equations 55
4.2 The implicit Euler method 58
4.3 A simple variable step size strategy 63
5 Two Step and Multistep Methods 67
5.1 Multistep methods 67
5.2 The leapfrog method 68
5.3 Adams methods 72
5.4 Stability of multistep methods 74
6 Systems of Differential Equations 77
PART II PARTIAL DIFFERENTIAL EQUATIONS AND THEIRAPPROXIMATIONS
7 Fourier Series and Interpolation 83
7.1 Fourier expansion 83
7.2 The L2norm and scalar product 89
7.3 Fourier interpolation 92
7.3.1 Scalar product and norm for 1periodic grid functions93
8 1periodic Solutions of Time Dependent PDE… 95
8.1 Examples of equations with simple wave solutions 95
8.1.1 The oneway wave equation 95
8.1.2 The heat equation 96
8.1.3 The wave equation 97
8.2 Discussion of well posed problems for time dependent PDE…98
8.2.1 First order equations 98
8.2.2 Second order (in space) equations 100
8.2.3 General equation 101
8.2.4 Stability against lower order terms and systems ofequations 102
9 Approximations of 1periodic Solutions of PDE 105
9.1 Approximations of space derivatives 105
9.1.1 Smoothness of the Fourier interpolant 108
9.2 Differentiation of Periodic Functions 109
9.3 The method of lines 110
9.3.1 The oneway wave equation 110
9.3.2 The heat equation 113
9.3.3 The wave equation 115
9.4 Time Discretizations and Stability Analysis 116
10 Linear Initial Boundary Value Problems 119
10.1 Well Posed Initial Boundary Value Problems 119
10.1.1 The heat equation on a strip 120
10.1.2 The oneway wave equation on a strip 122
10.1.3 The wave equation on a strip 124
10.2 The method of lines 126
10.2.1 The heat equation 126
10.2.2 Finite differences algebra 130
10.2.3 General parabolic problem 131
10.2.4 The oneway wave equation 134
10.2.5 The wave equation 135
11 Nonlinear Problems 137
11.1 Initialvalue problems for ODE 138
11.2 Existence theorems for nonlinear PDE 141
11.3 A nonlinear example: Burgers’ equation 145
A Auxiliary Material 149
A.1 Some useful Taylor series 149
A.2 The ‘O’ notation 150
A.3 The solution expansion 150
B Solutions to Exercises 153
References 171
Index 173

HEINZ-OTTO KREISS, PHD, is Professor
Emeritus in the Department of Mathematics at the University of
California, Los Angeles and is a renowned mathematician in the
field of applied mathematics.
OMAR EDUARDO ORTIZ, PHD, is Professor in
the Department of Mathematics, Astronomy, and Physics at the
National University of Córdoba, Argentina. Dr. Ortiz’s
research interests include analytical and numerical methods for
PDEs applied in physics.